Amplify Commodity Trust 10-K

Item 8. Financial Statements and Supplemental Data. ETF MANAGERS GROUP COMMODITY TRUST I Combined Statements of Assets and Liabilities June 30, 2023 BREAKWAVE DRY BULK BREAKWAVE TANKER SHIPPING ETF SHIPPING ETF COMBINED Assets Investment in securities, at fair value (cost $ 39,591,860 and $ 475,048 , respectively) $ 39,591,860 $ 475,048 $ 40,066,908 Segregated cash held by broker 35,323,736 2,879,954 38,203,690 Receivable on open futures contracts - 825,287 825,287 Interest receivable 145,794 2,001 147,795 Total assets 75,061,390 4,182,290 79,243,680 Liabilities Due to Sponsor 156,055 8,776 164,831 Payable on open futures contracts 13,669,745 - 13,669,745 Other accrued expenses 41,691 4,762 46,453 Total liabilities 13,867,491 13,538 13,881,029 Net Assets $ 61,193,899 $ 4,168,752 65,362,651 Shares outstanding (unlimited authorized) 11,075,040 200,100 Net asset value per share $ 5.53 $ 20.83 Market value per share $ 5.55 $ 20.88 See accompanying notes to combined financial statements. 33 ETF MANAGERS GROUP COMMODITY TRUST I Combined Statements of Assets and Liabilities June 30, 2022 BREAKWAVE DRY BULK BREAKWAVE TANKER SHIPPING ETF SHIPPING ETF COMBINED Assets Investment in securities, at fair value (cost $ 17,208,763 ) $ 17,208,763 $ - $ 17,208,763 Segregated cash held by broker 37,188,477 - 37,188,477 Subscriptions receivable 1,684,835 - 1,684,835 Interest receivable 17,241 - 17,241 Total assets 56,099,316 - 56,099,316 Liabilities Due to Sponsor 271,746 - 271,746 Payable on open futures contracts 9,265,175 - 9,265,175 Other accrued expenses 75,227 - 75,227 Total liabilities 9,612,148 - 9,612,148 Net Assets $ 46,487,168 $ - $ 46,487,168 Shares outstanding (unlimited authorized) 2,725,040 - Net asset value per share $ 17.06 $ - Market value per share $ 17.17 $ - See accompanying notes to combined financial statements. 34 ETF MANAGERS GROUP COMMODITY TRUST I Combined Schedule of Investments June 30, 2023 BREAKWAVE DRY BULK BREAKWAVE TANKER SHIPPING ETF SHIPPING ETF COMBINED MONEY MARKET FUNDS - 64.7 % and 11.4 %, respectively First American US Treasury Obligations Fund, Class X, 5.04 % (a) $ 39,591,860 $ 475,048 $ 40,066,908 TOTAL MONEY MARKET FUNDS (Cost $ 39,591,860 and $ 475,048 , respectively) 39,591,860 475,048 40,066,908 Total Investments (Cost $ 39,591,860 and $ 475,048 , respectively) - 64.7 % and 11.4 %, respectively 39,591,860 475,048 40,066,908 Other Assets in Excess of Liabilities - 35.3 % and 88.6 %, respectively (b) 21,602,039 3,693,704 25,295,743 TOTAL NET ASSETS - 100.0 % and 100.0 %, respectively $ 61,193,899 $ 4,168,752 $ 65,362,651 (a) Annualized seven-day yield as of June 30, 2023. (b) $35,323,736 and $2,879,954, respectively, of cash is pledged as collateral for futures contracts. BREAKWAVE DRY BULK SHIPPING ETF Unrealized Unrealized ETF MANAGERS GROUP Futures Contracts Appreciation/ Appreciation/ COMMODITY June 30, 2023 (Depreciation) (Depreciation) TRUST I Baltic Capesize Time Charter Expiring July 28, 2023 (Underlying Face Amount at Market Value - $ 9,552,340 ) (620 contracts) $ ( 2,288,410 ) $ - $ ( 2,288,410 ) Baltic Capesize Time Charter Expiring August 25, 2023 (Underlying Face Amount at Market Value - $ 10,172,340 ) (620 contracts) ( 1,668,410 ) - ( 1,668,410 ) Baltic Capesize Time Charter Expiring September 29, 2023 (Underlying Face Amount at Market Value - $ 10,781,180 ) (620 contracts) ( 1,059,570 ) - ( 1,059,570 ) Baltic Exchange Panamax T/C Average Shipping Route Index Expiring July 28, 2023 (Underlying Face Amount at Market Value - $ 7,122,330 ) (810 contracts) ( 3,404,475 ) - ( 3,404,475 ) Baltic Exchange Panamax T/C Average Shipping Route Index Expiring August 25, 2023 (Underlying Face Amount at Market Value - $ 8,311,410 ) (810 contracts) ( 2,248,325 ) - ( 2,248,325 ) Baltic Exchange Panamax T/C Average Shipping Route Index Expiring September 29, 2023 (Underlying Face Amount at Market Value - $ 9,218,610 ) (810 contracts) ( 1,356,325 ) - ( 1,356,325 ) Baltic Exchange Supramax T/C Average Shipping Route Expiring July 28, 2023 (Underlying Face Amount at Market Value - $ 1,752,750 ) (190 contracts) ( 732,250 ) - ( 732,250 ) Baltic Exchange Supramax T/C Average Shipping Route Expiring August 25, 2023 (Underlying Face Amount at Market Value - $ 1,938,000 ) (190 contracts) ( 547,000 ) - ( 547,000 ) Baltic Exchange Supramax T/C Average Shipping Route Expiring September 29, 2023 (Underlying Face Amount at Market Value - $ 2,120,000 ) (190 contracts) ( 364,980 ) - ( 364,980 ) $ ( 13,669,745 ) $ - $ ( 13,669,745 ) BREAKWAVE TANKER SHIPPING ETF Unrealized Unrealized ETF MANAGERS GROUP Futures Contracts Appreciation/ Appreciation/ COMMODITY June 30, 2023 (Depreciation) (Depreciation) TRUST I Baltic Freight Route Middle East Gulf to China Expiring July 28, 2023 (Underlying Face Amount at Market Value - $ 1,296,000 ) (90 contracts) $ - $ 300,377 $ 300,377 Baltic Freight Route Middle East Gulf to China Expiring August 25, 2023 (Underlying Face Amount at Market Value - $ 1,229,400 ) (90 contracts) - 233,777 233,777 Baltic Freight Route Middle East Gulf to China Expiring September 29, 2023 (Underlying Face Amount at Market Value - $ 1,234,800 ) (90 contracts) - 239,177 239,177 Baltic Freight Route West Africa to UK Continent Expiring July 28, 2023 (Underlying Face Amount at Market Value - $ 95,450 ) (5 contracts) - 19,567 19,567 Baltic Freight Route West Africa to UK Continent Expiring August 25, 2023 (Underlying Face Amount at Market Value - $ 179,400 ) (10 contracts) - 19,121 19,121 Baltic Freight Route West Africa to UK Continent Expiring September 29, 2023 (Underlying Face Amount at Market Value - $ 89,150 ) (5 contracts) - 13,268 13,268 $ - $ 825,287 $ 825,287 See accompanying notes to combined financial statements. 35 ETF MANAGERS GROUP COMMODITY TRUST I Combined Schedules of Investments June 30, 2022 BREAKWAVE DRY BULK BREAKWAVE TANKER SHIPPING ETF SHIPPING ETF COMBINED MONEY MARKET FUNDS - 37.0 % First American US Treasury Obligations Fund, Class X, 1.31 % (a) $ 17,208,763 $ - $ 17,208,763 TOTAL MONEY MARKET FUNDS (Cost $ 17,208,763 ) 17,208,763 - 17,208,763 Total Investments (Cost $ 17,208,763 ) - 37.0 % 17,208,763 - 17,208,763 Other Assets in Excess of Liabilities - 63.0 % (b) 29,278,405 - 29,278,405 TOTAL NET ASSETS - 100.0 % $ 46,487,168 $ - $ 46,487,168 (a) Annualized seven-day yield as of June 30, 2022. (b) $37,188,477 of cash is pledged as collateral for futures contracts. BREAKWAVE DRY BULK SHIPPING ETF Unrealized ETF MANAGERS GROUP Futures Contracts Appreciation/ COMMODITY June 30, 2022 (Depreciation) TRUST I Baltic Capesize Time Charter Expiring July 29, 2022 (Underlying Face Amount at Market Value - $ 6,834,850 ) (275 contracts) $ ( 2,692,960 ) $ ( 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 ) ( 1,694,040 ) Baltic Capesize Time Charter Expiring September 23, 2022 (Underlying Face Amount at Market Value - $ 8,752,975 ) (275 contracts) ( 879,460 ) ( 879,460 ) 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 ) ( 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 ) ( 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) ( 960,195 ) ( 960,195 ) Baltic Exchange Supramax T/C Average Shipping Route Expiring July 29, 2022 (Underlying Face Amount at Market Value - $ 1,455,000 ) (60 contracts) ( 247,875 ) ( 247,875 ) Baltic Exchange Supramax T/C Average Shipping Route Expiring August 26, 2022 (Underlying Face Amount at Market Value - $ 1,507,500 ) (60 contracts) ( 205,395 ) ( 205,395 ) Baltic Exchange Supramax T/C Average Shipping Route Expiring September 23, 2022 (Underlying Face Amount at Market Value - $ 1,467,000 ) (60 contracts) ( 249,375 ) ( 249,375 ) $ ( 9,265,175 ) $ ( 9,265,175 ) See accompanying notes to combined financial statements. 36 ETF MANAGERS GROUP COMMODITY TRUST I Combined Statements of Operations Year Ended Ended June 30, 2023 BREAKWAVE DRY BULK BREAKWAVE TANKER SHIPPING ETF SHIPPING ETF* COMBINED Investment Income Interest $ 1,255,773 $ 4,478 $ 1,260,251 Expenses Sponsor fee 128,597 8,083 136,680 CTA fee 760,089 7,574 767,663 Audit fees 78,000 20,000 98,000 Tax preparation fees 205,073 16,568 221,641 Admin/accounting/custodian/transfer agent fees 66,005 9,666 75,671 Legal fees 45,002 7,274 52,276 Chief Compliance Officer fees 24,999 4,041 29,040 Principal Financial Officer fees 24,999 4,041 29,040 Regulatory reporting fees 24,999 4,041 29,040 Brokerage commissions 684,169 19,746 703,915 Distribution fees 15,707 2,539 18,246 NJ Filing fees 172,716 7,500 180,216 Insurance expense 15,001 2,425 17,426 Listing and calculation agent fees 9,203 1,091 10,294 Marketing expenses 36,003 2,425 38,428 Other expenses 15,001 2,425 17,426 Website Support and Marketing Materials 10,502 205 10,707 Printing and Postage 15,111 200 15,311 Wholesale support fees 87,902 3,209 91,111 Interest expense 1,561 - 1,561 Total Expenses 2,420,639 123,053 2,543,692 Less: Waiver of CTA fee ( 22,434 ) ( 7,574 ) ( 30,008 ) Less: Expenses absorbed by Sponsor - ( 77,450 ) ( 77,450 ) Net Expenses 2,398,205 38,029 2,436,234 Net Investment Income (Loss) ( 1,142,432 ) ( 33,551 ) ( 1,175,983 ) Net Realized and Unrealized Gain (Loss) on Investment Activity Net Realized Gain (Loss) on Investments, and futures contracts ( 30,983,820 ) 375,516 ( 30,608,304 ) Change in Unrealized Gain (Loss) on Investments, and futures contracts ( 4,404,570 ) 825,287 ( 3,579,283 ) Net realized and unrealized gain (loss) ( 35,388,390 ) 1,200,803 ( 34,187,587 ) Net income (loss) $ ( 36,530,822 ) $ 1,167,252 $ ( 35,363,570 ) * Period from May 3, 2023 (commencement of investment operations) to June 30, 2023. See accompanying notes to combined financial statements. 37 ETF MANAGERS GROUP COMMODITY TRUST I Combined Statements of Operations Year Ended Ended June 30, 2022 BREAKWAVE DRY BULK BREAKWAVE TANKER SHIPPING ETF SHIPPING ETF COMBINED Investment Income Interest $ 33,040 $ - $ 33,040 Expenses Sponsor fee 131,335 - 131,335 CTA fee 1,056,037 - 1,056,037 Audit fees 69,847 - 69,847 Tax preparation fees 461,064 - 461,064 Admin/accounting/custodian/transfer agent fees 64,618 - 64,618 Legal fees 45,002 - 45,002 Chief Compliance Officer fees 24,999 - 24,999 Principal Financial Officer fees 24,999 - 24,999 Regulatory reporting fees 24,999 - 24,999 Brokerage commissions 665,810 - 665,810 Distribution fees 15,707 - 15,707 NJ Filing fees 373,410 - 373,410 Insurance expense 15,001 - 15,001 Listing and calculation agent fees 10,201 - 10,201 Marketing expenses 18,001 - 18,001 Amortization of offering costs 24,071 - 24,071 Other expenses 17,901 - 17,901 Website support and marketing materials 13,879 - 13,879 Printing and Postage 39,237 - 39,237 Wholesale support fees 112,393 - 112,393 Interest expense 71,718 - 71,718 Total Expenses 3,280,229 - 3,280,229 Less: Waiver of CTA fee - - - Less: Expenses absorbed by Sponsor - - - Net Expenses 3,280,229 - 3,280,229 Net Investment Income (Loss) ( 3,247,189 ) - ( 3,247,189 ) Net Realized and Unrealized Gain (Loss) on Investment Activity Net Realized Gain (Loss) on Investments, futures and options contracts 836,968 - 836,968 Change in Unrealized Gain (Loss) on Investments, futures and options contracts ( 30,988,515 ) - ( 30,988,515 ) Net realized and unrealized gain (loss) ( 30,151,547 ) - ( 30,151,547 ) Net income (loss) $ ( 33,398,736 ) $ - $ ( 33,398,736 ) See accompanying notes to combined financial statements. 38 ETF MANAGERS GROUP COMMODITY TRUST I Combined Statements of Changes in Net Assets Year Ended June 30, 2023 BREAKWAVE DRY BULK BREAKWAVE TANKER SHIPPING ETF SHIPPING ETF* COMBINED Net Assets at Beginning of Year $ 46,487,168 $ - $ 46,487,168 Increase (decrease) in Net Assets from share transactions Addition of 14,975,000 and 200,100 shares, respectively 112,635,604 3,001,500 115,637,104 Redemption of 6,625,000 and - 0 - shares, respectively ( 61,398,051 ) - ( 61,398,051 ) Net increase (decrease) in Net Assets from share transactions 51,237,553 3,001,500 54,239,053 Increase (decrease) in Net Assets from operations Net investment income (loss) ( 1,142,432 ) ( 33,551 ) ( 1,175,983 ) Net realized gain (loss) ( 30,983,820 ) 375,516 ( 30,608,304 ) Change in net unrealized gain (loss) ( 4,404,570 ) 825,287 ( 3,579,283 ) Net increase (decrease) in Net Assets from operations ( 36,530,822 ) 1,167,252 ( 35,363,570 ) Net Assets at End of Year $ 61,193,899 $ 4,168,752 $ 65,362,651 * Period from May 3, 2023 (commencement of investment operations) to June 30, 2023. See accompanying notes to combined financial statements. 39 ETF MANAGERS GROUP COMMODITY TRUST I Combined Statements of Changes in Net Assets Year Ended June 30, 2022 BREAKWAVE DRY BULK BREAKWAVE TANKER SHIPPING ETF SHIPPING ETF COMBINED Net Assets at Beginning of Year $ 114,077,152 $ - $ 114,077,152 Increase (decrease) in Net Assets from share transactions Addition of 4,850,000 shares 125,116,790 - 125,116,790 Redemption of 6,075,000 shares ( 159,308,038 ) - ( 159,308,038 ) Net increase (decrease) in Net Assets from share transactions ( 34,191,248 ) - ( 34,191,248 ) Increase (decrease) in Net Assets from operations Net investment income (loss) ( 3,247,189 ) - ( 3,247,189 ) Net realized gain (loss) 836,968 - 836,968 Change in net unrealized gain (loss) ( 30,988,515 ) - ( 30,988,515 ) Net increase (decrease) in Net Assets from operations ( 33,398,736 ) - ( 33,398,736 ) Net Assets at End of Year $ 46,487,168 $ - $ 46,487,168 See accompanying notes to combined financial statements. 40 ETF MANAGERS GROUP COMMODITY TRUST I Combined Statements of Cash Flows Year Ended June 30, 2023 BREAKWAVE DRY BULK BREAKWAVE TANKER SHIPPING ETF SHIPPING ETF* COMBINED Cash flows provided by/used in operating activities Net income (loss) $ ( 36,530,822 ) $ 1,167,252 $ ( 35,363,570 ) Adjustments to reconcile net income (loss) to net cash provided by/used in operating activities: Net realized gain (loss) on investments 30,983,820 ( 375,516 ) 30,608,304 Change in net unrealized gain (loss) on investments 4,404,570 ( 825,287 ) 3,579,283 Change in operating assets and liabilities: Sale (Purchase) of investments - net ( 57,771,487 ) 725,755 ( 57,045,732 ) Decrease in subscriptions receivable 1,684,835 - 1,684,835 Increase in interest receivable ( 128,553 ) ( 2,001 ) ( 130,554 ) Increase in receivable on open futures contracts - ( 825,287 ) ( 825,287 ) Increase in payable on open futures contracts 4,404,570 - 4,404,570 Increase (decrease) in due to Sponsor ( 115,691 ) 8,776 ( 106,915 ) Increase (decrease) in other accrued expenses ( 33,536 ) 4,762 ( 28,774 ) Net cash provided by operating activities ( 53,102,294 ) ( 121,546 ) ( 53,223,840 ) Cash flows from financing activities Proceeds from sale of shares 112,635,604 3,001,500 115,637,104 Paid on redemption of shares ( 61,398,051 ) - ( 61,398,051 ) Net cash provided by/used in financing activities 51,237,553 3,001,500 54,239,053 Net increase (decrease) in cash and restricted cash ( 1,864,741 ) 2,879,954 1,015,213 Cash and restricted cash, beginning of year 37,188,477 - 37,188,477 Cash and restricted cash, end of year $ 35,323,736 $ 2,879,954 $ 38,203,690 The following table provides a reconciliation of cash and restricted cash reported within the Combined Statements of Assets and Liabilities that sum to the total of such amounts shown on the Combined Statements of Cash Flows. Cash $ - $ - $ - Segregated cash held by broker 35,323,736 2,879,954 38,203,690 Total cash and restricted cash as shown on the combined statements of cash flows. $ 35,323,736 $ 2,879,954 $ 38,203,690 * Period from May 3, 2023 (commencement of investment operations) to June 30, 2023. See accompanying notes to combined financial statements. 41 ETF MANAGERS GROUP COMMODITY TRUST I Combined Statements of Cash Flows Year Ended June 30, 2022 BREAKWAVE DRY BULK BREAKWAVE TANKER SHIPPING ETF SHIPPING ETF COMBINED Cash flows provided by/used in operating activities Net income (loss) $ ( 33,398,736 ) $ - $ ( 33,398,736 ) Adjustments to reconcile net income (loss) to net cash provided by/used in operating activities: Net realized gain (loss) on investments ( 836,968 ) - ( 836,968 ) Change in net unrealized gain (loss) on investments 30,988,515 - 30,988,515 Change in operating assets and liabilities: Sale (Purchase) of investments - net ( 4,706,252 ) - ( 4,706,252 ) Increase in interest receivable ( 16,798 ) - ( 16,798 ) Decrease in receivable on open futures contracts 20,038,735 - 20,038,735 Increase in payable on open futures contracts 9,265,175 - 9,265,175 Decrease in prepaid expenses 24,071 - 24,071 Increase (decrease) in due to Sponsor 36,675 - 36,675 Decrease in other accrued expenses ( 55,280 ) - ( 55,280 ) Net cash provided by operating activities 21,339,137 - 21,339,137 Cash flows from financing activities Proceeds from sale of shares 125,116,790 - 125,116,790 Paid on redemption of shares ( 159,308,038 ) - ( 159,308,038 ) Net cash provided by/used in financing activities ( 34,191,248 ) - ( 34,191,248 ) Net increase (decrease) in cash and restricted cash ( 12,852,111 ) - ( 12,852,111 ) Cash and restricted cash, beginning of year 50,040,588 - 50,040,588 Cash and restricted cash, end of year $ 37,188,477 $ - $ 37,188,477 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. Cash $ - $ - $ - Segregated cash held by broker 37,188,477 - 37,188,477 Total cash and restricted cash as shown on the statement of cash flows. $ 37,188,477 $ - $ 37,188,477 See accompanying notes to combined financial statements. 42 ETF Managers Group Commodity Trust I Notes to Combined Financial Statements June 30, 2023 and 2022 (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 two separate series. BREAKWAVE DRY BULK SHIPPING ETF (“BDRY), is the first series of the Trust and is a commodity pool that continuously issues shares of beneficial interest that may be purchased and sold on the NYSE Arca. The second series of the Trust, BREAKWAVE TANKER SHIPPING ETF (“BWET”, each a “Fund” and together with BDRY, the “Funds”), is also a commodity pool that continuously issues shares of beneficial interest that may be purchased and sold on the NYSE Arca. The Funds are managed and controlled by ETF Managers Capital LLC (the “Sponsor”), a Delaware limited liability company. The Sponsor is registered with the Commodity Futures Trading Commission (“CFTC”) as a “commodity pool operator” (“CPO”) and is a member of the National Futures Trading Association (“NFA”). Breakwave Advisors, LLC (“Breakwave”) is registered as a “commodity trading advisor” (“CTA”) with the CFTC and serves as the Funds commodity trading advisor. BDRY commenced investment operations on March 22, 2018. 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 Ltd. (the “Baltic Exchange”) and measures the charter rate for shipping dry bulk freight in a specific size category of cargo ship – Capesize, Panamax or Supramax. The three Reference Indexes are as follows: ● Capesize : the Capesize 5TC Index; ● Panamax : the Panamax 4TC Index; and ● Supramax : the Supramax 6TC Index. The value of the Capesize 5TC Index is disseminated at 11:00 a.m., London Time and the value of the Panamax 4TC Index and the Supramax 6TC Index each is disseminated at 1:00 p.m., London Time. The Reference Index information disseminated by the Baltic Exchange also includes the components and value of each component in each Reference Index. Such Reference Index information also is widely disseminated by Reuters and/or other major market data vendors. BDRY seeks to achieve its investment objective by investing substantially all of its assets in the Freight Futures currently constituting the BDRY Benchmark Portfolio. The BDRY Benchmark Portfolio includes all existing positions to maturity and settles them in cash. During any given calendar quarter, the BDRY Benchmark Portfolio progressively increases its positions to the next calendar quarter three-month strip, thus maintaining constant exposure to the Freight Futures market as positions mature. The BDRY Benchmark Portfolio maintains long-only positions in Freight Futures. The BDRY Benchmark Portfolio includes a combination of Capesize, Panamax and Supramax Freight Futures. More specifically, the BDRY Benchmark Portfolio includes 50 % exposure in Capesize Freight Futures contracts, 40 % exposure in Panamax Freight Futures contracts and 10 % exposure in Supramax Freight Futures contracts. The BDRY Benchmark Portfolio does not include and BDRY does not invest in swaps, non-cleared dry bulk freight forwards or other over-the-counter derivative instruments that are not cleared through exchanges or clearing houses. BDRY may hold exchange-traded options on Freight Futures. The BDRY Benchmark Portfolio is maintained by Breakwave and will be rebalanced annually. The Freight Futures currently constituting the BDRY Benchmark Portfolio, as well as the daily holdings of BDRY are available on BDRY’s website at www.drybulketf.com. 43 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, Marex Financial Ltd (formerly 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. Any assets not required to be posted as margin with the FCM may be held at BDRY’s custodian or remain with the FCM in cash or cash equivalents, as discussed below. BDRY was created to provide investors with a cost-effective and convenient way to gain exposure to daily changes in the price of Freight Futures. BDRY is intended to be used as a diversification opportunity as part of a complete portfolio, not a complete investment program. The Fund will incur certain expenses in connection with its operations. The Fund will hold cash or cash equivalents such as U.S. Treasuries or other high credit quality, short-term fixed-income or similar securities for direct investment or as collateral for the Treasury Instruments and for other liquidity purposes and to meet redemptions that may be necessary on an ongoing basis. These expenses and income from the cash and cash equivalent holdings may cause imperfect correlation between changes in the 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 maturity; accordingly, natural market forces may cost the Fund while rebalancing. 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. BWET commenced investment operations on May 3, 2023. BWET commenced trading on NYSE Arca on May 3, 2023 and trades under the symbol “BWET.” BWET’s investment objective is to provide investors with exposure to the daily change in the price of crude oil tanker freight futures, before expenses and liabilities of the Fund, by tracking the performance of a portfolio (the “BWET Benchmark Portfolio”) mainly consisting of the nearest calendar quarter of futures contracts on specified indexes (each a “Reference Index”) that measure prices for shipping crude oil (“Freight Futures”). Freight Futures reflect market expectations for the future cost of transporting crude oil. 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 crude oil in a specific size category of cargo ship and for a specific route. The two Reference Indexes are as follows: ● The TD3C Index : Persian Gulf to China, 270,000mt cargo (Very Large Crude Carrier or VLCC tankers); ● The TD20 Index: West Africa to Europe, 130,000mt cargo (Suezmax Tankers) The value of the TD3C Index and the TD20 Index is disseminated at 4:00 p.m. London Time by the Baltic Exchange. Such Reference Index information also is widely disseminated by Reuters, Bloomberg and/or other major market data vendors. 44 The Fund seeks to achieve its investment objective by investing substantially all of its assets in the Freight Futures currently constituting the BWET Benchmark Portfolio. The BWET Benchmark Portfolio includes a combination of TD3C and TD20 Freight Futures. More specifically, the Benchmark Portfolio includes 90 % exposure in TD3C Freight Futures contracts and 10 % exposure in TD20 Freight Futures contracts to maturity and settles them in cash. At any given time, the average maturity of the futures held by the Fund will be approximately 50 to 70 days. The BWET Benchmark Portfolio does not include and BWET does not invest in swaps, non-cleared freight forwards or other over-the-counter derivative instruments that are not cleared through exchanges or clearing houses. BWET may hold exchange-traded options on Freight Futures. The BWET Benchmark Portfolio is maintained by Breakwave and will be rebalanced annually. The Freight Futures currently constituting the BWET Benchmark Portfolio, as well as the daily holdings of BWET are available on BWET’s website at www.tankeretf.com. When establishing positions in Freight Futures, BWET 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 BWET’s FCM, Marex Financial Ltd. On a daily basis, BWET 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 BWET’s custodian or remain with the FCM in cash or cash equivalents, as discussed below. BWET was created to provide investors with a cost-effective and convenient way to gain exposure to daily changes in the price of Freight Futures. BWET 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. 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. The Fund may also realize interest income from its holdings in U.S. Treasuries or other market rate instruments. 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 maturity; accordingly, natural market forces may cost the Fund while rebalancing. 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 (a) Basis of Accounting The accompanying combined financial statements of the Funds have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”). Each Fund qualifies as an investment company for financial reporting purposes under Topic 946 of the Accounting Standard Codification of U.S. GAAP. (b) Use of Estimates The preparation of the combined financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the combined financial statements and accompanying notes. Actual results could differ from those estimates. There were no significant estimates used in the preparation of the combined financial statements. 45 (c) Cash Cash, when shown in the Combined Statements of Assets and Liabilities, represents non-segregated cash with the custodian and does not include short-term investments. (d) Cash Held by Broker Breakwave is registered as a “commodity trading advisor” and acts as such for the Funds. The Funds’ arrangement with its FCM require the Funds to meet its variation margin requirements related to the price movements, both positive and negative, on futures contracts held by the Funds 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. Each Fund deposits cash or United States Treasury Obligations, as applicable, with the FCM subject to the CFTC regulations and various exchange and broker requirements. The combination of each Fund’s deposits with the FCM of cash and United States Treasury Obligations, as applicable, and the unrealized gain or loss on open futures contracts (variation margin) represents each Fund’s overall equity in its brokerage trading account. The Funds use theirs cash held by the FCM to satisfy individual Fund variation margin requirements. The Funds earns interest on their cash deposited with the 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, 2023 and June 30, 2022 was at 4:00 p.m. Eastern Time on June 30, 2023 and June 30, 2022, respectively. 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, 2023 and June 30, 2022. Fair value per share is determined at the close of the NYSE Arca. For financial reporting purposes, each Fund values its investment positions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these combined financial statements differ from those used in the calculations of the Fund’s final creation/redemption NAVs at June 30, 2023 and June 30, 2022. (f) Investment Valuation Short-term investments, excluding U.S. Treasury Bills, are carried at amortized cost, which approximates fair value. U.S. Treasury Bills, when held by the Funds, are valued as determined by an independent pricing service based on methods which include consideration of: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. Futures and options contracts are valued at the last settled price on the applicable exchange on which that futures and/or options contract trades. ( g) Financial Instruments and Fair Value Each Fund discloses the fair value of its investments in accordance with the Financial Accounting Standards Board (“FASB”) fair value measurement and disclosure guidance which requires a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The disclosure requirements establish a fair value hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent to the Fund (observable inputs); and (2) the Fund’s own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the disclosure requirements hierarchy are as follows: Level I: Quoted prices (unadjusted) in active markets for identical assets and liabilities that the reporting entity has the ability to access at the measurement date. 46 Level II: Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or indirectly. Level II inputs include the following: quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means (market-corroborated inputs). Level III: Unobservable pricing input at the measurement date for the asset or liability. Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available. In some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest input level that is significant to the fair value measurement in its entirety. Fair value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances indicate that a transaction is not orderly. The following tables summarize BDRY’s valuation of investments at June 30, 2023 and June 30, 2022 using the fair value hierarchy: June 30, 2023 Short-Term Investments Futures Contracts Total Level I – Quoted Prices $ 39,591,860 a $ ( 13,669,745 )b $ 25,922,115 a – Included in Investments in securities in the Combined Statements of Assets and Liabilities. b – Included in Payable on open futures contracts in the Combined Statements of Assets and Liabilities. June 30, 2022 Short-Term Investments Futures Contracts Total Level I – Quoted Prices $ 17,208,763 a $ ( 9,265,175 )b $ 7,943,588 a – Included in Investments in securities in the Combined Statements of Assets and Liabilities. b – Included in Payable on open futures contracts in the Combined Statements of Assets and Liabilities. Transfers between levels are recognized at the end of the reporting period. During the years ended June 30, 2023 and June 30, 2022, BDRY recognized no transfers from Level 1, Level 2 or Level 3. The following table summarizes BWET’s valuation of investments at June 30, 2023 using the fair value hierarchy: June 30, 2023 Short-Term Investments Futures Contracts Total Level I – Quoted Prices $ 475,048 a $ 825,287 b $ 1,300,335 a – Included in Investments in securities in the Combined Statements of Assets and Liabilities. b – Included in Receivable on open futures contracts in the Combined Statements of Assets and Liabilities. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities. 47 (h) Investment Transactions and Related Income Investment transactions are recorded on the trade date. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized gain/loss on open futures contracts is reflected in Receivable/Payable on open futures contracts in the Combined Statements of Assets and Liabilities and the change in the unrealized gain/loss between periods is reflected in the Combined Statements of Operations. The Funds interest earned on short-term securities and on cash deposited with Marex Financial Ltd. is accrued daily and reflected as Interest Income, when applicable, in the Combined Statements of Operations. (i) Federal Income Taxes Each Fund is registered as a Delaware statutory trust and is treated as a partnership for U.S. federal income tax purposes. Accordingly, the Funds do not expect to incur U.S. federal income tax liability; rather, each beneficial owner is required to take into account their allocable share of the Funds’ income, gain, loss, deductions and other items for the Funds’ taxable year ending with or within the beneficial owner’s taxable year. Management of the Funds has reviewed the open tax years and major jurisdictions and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns at June 30, 2023 and June 30, 2022. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis, management will monitor its tax positions taken to determine if adjustments to its conclusions are necessary based on factors including, but not limited to, further implementation of guidance expected from the FASB and on-going analysis of tax law, regulation, and interpretations thereof. The Funds’ federal tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed. (3) Investments (a) Short-Term Investments The Funds may purchase U.S. Treasury Bills, agency securities, and other high-credit quality short-term fixed income or similar securities with original maturities of one year or less. A portion of these investments may be used as margin for the Funds’ trading in futures contracts. (b) Accounting for Derivative Instruments In seeking to achieve each Fund’s investment objective, the commodity trading advisor uses a mathematical approach to investing. Using this approach, the 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, 2023 and at June 30, 2022, as applicable, are disclosed in the Combined Schedules of Investments and the notional value of these open positions relative to the shareholders’ capital of the Funds is generally representative of the notional value of open positions to shareholders’ capital throughout the reporting periods for the Funds. The volume associated with derivative positions varies on a daily basis as the Fund transact in derivative contracts in order to achieve the appropriate exposure, as expressed in notional value, in comparison to shareholders’ capital consistent with the applicable Fund’s investment objective. Following is a description of the derivative instruments used by the Funds during the reporting period, including the primary underlying risk exposures. (c) Futures Contracts The Funds enter into futures contracts to gain exposure to changes in the value of the Benchmark Portfolios. A futures contract obligates the seller to deliver (and the purchaser to accept) the future cash settlement of a specified quantity and type of a freight 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. 48 Upon entering into a futures contract, the Funds are required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction is affected. The initial margin is segregated as Cash held by broker, as disclosed in the Combined Statements of Assets and Liabilities, and is restricted as to its use. Pursuant to the futures contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known as variation margin and are recorded by the Funds as unrealized gains or losses. The Funds will realize a gain or loss upon closing a futures transaction. Futures contracts involve, to varying degrees, elements of market risk (specifically freight futures price risk) and exposure to loss in excess of the amount of variation margin. The face or contract amounts reflect the extent of the total exposure the Funds haves in the particular classes of instruments. Additional risks associated with the use of futures contracts include imperfect correlation between movements in the price of the futures contracts and the market value of the underlying securities and the possibility of an illiquid market for a futures contract. With futures contracts, there is minimal counterparty risk to the Funds since futures contracts are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures contracts, guarantees the futures contracts against default. BREAKWAVE DRY BULK SHIPPING ETF Fair Value of Derivative Instruments, as of June 30, 2023 Asset Derivatives Liability Derivatives Derivatives Combined Statements of Assets and Liabilities Fair Value Combined Statements of Assets and Liabilities Fair Value Dry Bulk Index Rates Market Risk - Payable on open futures contracts $ 13,669,745 * * Represents cumulative depreciation of futures contracts as reported in the Combined Statements of Assets and Liabilities. BREAKWAVE DRY BULK SHIPPING ETF Fair Value of Derivative Instruments, as of June 30, 2022 Asset Derivatives Liability Derivatives Derivatives Combined Statements of Assets and Liabilities Fair Value Combined Statements of Assets and Liabilities Fair Value Dry Bulk Index Rates Market Risk - Payable on open futures contracts $ 9,265,175 * * Represents cumulative depreciation of futures contracts as reported in the Combined Statements of Assets and Liabilities. BREAKWAVE DRY BULK SHIPPING ETF The Effect of Derivative Instruments on the Combined Statements of Operations For the Year Ended June 30, 2023 Derivatives Location of Gain (Loss) on Derivatives Realized Loss on Derivatives Recognized in Income Change in Unrealized Gain (Loss) on Derivatives Recognized in Income Dry Bulk Index Rates Market Risk Net realized loss on futures contracts and/or change in unrealized gain (loss) on futures contracts $ ( 30,983,820 ) $ ( 4,404,570 ) The futures contracts open at June 30, 2023 are indicative of the activity for the year ended June 30, 2023. 49 BREAKWAVE DRY BULK SHIPPING ETF The Effect of Derivative Instruments on the Combined Statements of Operations For the Year Ended June 30, 2022 Derivatives Location of Gain (Loss) on Derivatives Realized Loss on Derivatives Recognized in Income Change in Unrealized Gain (Loss) on Derivatives Recognized in Income Dry Bulk Index Rates Market Risk Net realized loss on futures contracts and/or change in unrealized gain (loss) on futures contracts $ 836,968 $ ( 30,988,515 ) The futures contracts open at June 30, 2022 are indicative of the activity for the year ended June 30, 2022. BREAKWAVE TANKER SHIPPING ETF Fair Value of Derivative Instruments, as of June 30, 2023 Asset Derivatives Liability Derivatives Derivatives Combined Statements of Assets and Liabilities Fair Value Combined Statements of Assets and Liabilities Fair Value Crude Oil Tanker Index Rates Market Risk Receivable on open futures contracts $ 825,287 * Payable on open futures contracts - * Represents cumulative appreciation of futures contracts as reported in the Combined Statements of Assets and Liabilities. BREAKWAVE TANKER SHIPPING ETF The Effect of Derivative Instruments on the Combined Statements of Operations For the Year Ended June 30, 2023 Derivatives Location of Gain (Loss) on Derivatives Realized Loss on Derivatives Recognized in Income Change in Unrealized Gain (Loss) on Derivatives Recognized in Income Crude Oil Tanker Index Rates Market Risk Net realized gain on futures contracts and/or change in unrealized gain (loss) on futures contracts $ 375,516 $ 825,287 The futures contracts open at June 30, 2023 are indicative of the activity for the period from May 3, 2023 (commencement of operations) to June 30, 2023. (4) Agreements (a) Management Fee Each Fund pays the Sponsor a sponsor fee (the “Sponsor Fee”) in consideration of the Sponsor’s advisory services to the Funds. Additionally, each Fund pays the 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, 2025 (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. 50 The waiver of BDRY’s CTA fees, pursuant to the undertaking, amounted to $ 22,434 and $- 0 - for the years ended June 30, 2023 and 2022, respectively, as disclosed in the Combined Statements of Operations. Effective September 1, 2022 Breakwave may, during the term of the waiver agreement, recoup any fees waived pursuant to the contract; however, the Fund will only make repayments to Breakwave if such repayment does not cause the Fund’s expense ratio after the repayment is taken into account, to exceed either (i) the expense cap in place at the time such amounts were waived, or (ii) the Fund’s current expense cap. Such recoupment is limited to three years from the date the amount is initially waived. At June 30, 2023, BDRY is not subject to potential future repayments to Breakwave. BWET pays the Sponsor an annual Sponsor Fee, monthly in arrears, in an amount calculated as the greater of 0.30 % of its average daily net assets, or $ 50,000 . BWET also pays an annual CTA license and service 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 BWET 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 BWET’s average daily net assets through March 31, 2025 (the “BWET Expense Cap”). The assumption of expenses by the Sponsor and waiver of BWET’s CTA fee are contractual on the part of the Sponsor and Breakwave, respectively. The waiver of BWET’s CTA fees, pursuant to the undertaking, amounted to $ 7,574 for the period from May 3, 2023 to June 30, 2023 as disclosed in the Combined Statements of Operations. Breakwave may, during the term of the waiver agreement, recoup any fees waived pursuant to the contract; however, the Fund will only make repayments to Breakwave if such repayment does not cause the Fund’s expense ratio after the repayment is taken into account, to exceed either (i) the expense cap in place at the time such amounts were waived, or (ii) the Fund’s current expense cap. Such recoupment is limited to three years from the date the amount is initially waived. At June 30, 2023, BWET is subject to potential future repayments of $ 7,574 to Breakwave. The potential future repayments expire during the year ending June 30, 2026 as follows: May 31, 2026 - $ 3,333 and June 30, 2026 - $ 4,241 . The Funds currently accrue their daily expenses up to the applicable 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 Funds in excess of the Fund’s respective Expense Cap, which in the case of BDRY, aggregated $- 0 - and $-0- for the years ended June 30, 2023 and 2022, respectively, as disclosed in the Combined Statements of Operations. In the case of BWET, expenses absorbed by the Sponsor aggregated $ 77,450 for the period from May 3, 2023 (commencement of operations) to June 30, 2023 as disclosed in the Combined Statements of Operations. (b) The Administrator, Custodian, Fund Accountant and Transfer Agent Each Fund has appointed U.S. Bank, a national banking association, with its principal office in Milwaukee, Wisconsin, as the custodian (the “Custodian”). Its affiliate, U.S. Bancorp Fund Services, is the Fund accountant (“the Fund accountant”) of the Funds, transfer agent (the “Transfer Agent”) for Fund shares and administrator for the Funds (the “Administrator”). It performs certain administrative and accounting services for the Funds and prepares certain SEC, NFA and CFTC reports on behalf of the Fund. (U.S. Bank and U.S. Bancorp Fund Services are referred to collectively hereinafter as “U.S. Bank”). 51 Each Fund has agreed to pay U.S. Bank 0.05 % of average assets under management (“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 $ 66,005 and $ 64,618 for the years ended June 30, 2023 and 2022, respectively, as disclosed in the Combined Statements of Operations. BWET paid U.S. Bank $ 9,666 for the period from May 3, 2023 (commencement of operations) to June 30, 2023. (c) The Distributor Each 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 respective Marketing Agent Agreements between the Sponsor, each Fund and the Distributor, the Distributor assists the Sponsor and the applicable Fund with certain functions and duties relating to distribution and marketing services to the applicable Fund, including reviewing and approving marketing materials and certain regulatory compliance matters. The Distributor also assists with the processing of creation and redemption orders. BDRY incurred $ 15,707 and $ 15,707 in distribution and related administrative services for the years ended June 30, 2023 and 2022, respectively, as disclosed in the Combined Statements of Operations. BWET incurred $ 2,539 in distribution and related administrative services for the period from May 3, 2023 (commencement of operations) to June 30, 2023 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. BWET pays the Sponsor an annual fee for wholesale support services of $ 15,000 plus 0.15 % of BWET’s average daily net assets, payable monthly. BDRY incurred $ 87,902 and $ 112,393 in wholesale support fees for the years ended June 30, 2023 and 2022, respectively, as disclosed in the Combined Statements of Operations. BWET incurred $ 3,209 in wholesale support fees for the period from May 3, 2023 (commencement of operations) to June 30, 2023, as disclosed in the Combined Statements of Operations. (d) The Commodity Broker Marex Financial Ltd., registered in England, serves as each Fund’s clearing broker, (the “Commodity Broker”). In its capacity as clearing broker, the Commodity Broker executes and clears each Fund’s futures transactions and performs certain administrative services for the Funds. The Funds pay respective brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”) fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities in CFTC regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis. The Sponsor does not expect annual brokerage commissions and fees to exceed 0.40 % for BDRY and 1.30 % for BWET (excluding the impact on each Fund of creation and/or redemption activity) of the net asset value of BDRY and BWET, respectively, for execution and clearing services on behalf of the Funds, 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 freight futures or similar high credit quality short-term fixed-income or similar securities are not included in the foregoing analysis. BDRY incurred $ 684,169 and $ 665,810 in brokerage commissions and fees for the years ended June 30, 2023 and 2022, respectively, as disclosed in the Combined Statements of Operations. BWET incurred $ 19,746 in brokerage commissions and fees for the period from May 3, 2023 (commencement of operations) to June 30, 2023 as disclosed in the Combined Statement of Operations. 52 (e) The Trustee Under the Amended and Restated Declaration of Trust and Trust Agreement (the “Trust Agreement”) for each Fund, Wilmington Trust Company, the Trustee of each of the Funds (the “Trustee”) serves as the sole trustee of each Fund in the State of Delaware. The Trustee will accept service of legal process on the Funds in the State of Delaware and will make certain filings under the Delaware Statutory Trust Act. Under the Trust Agreement for each Fund, the Sponsor has the exclusive management and control of all aspects of the business of the Funds. The Trustee does not owe any other duties to the Funds, the Sponsor or the Shareholders of the Funds. 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 $ 4,603 and $ 5,000 , respectively, in trustee fees for years ended June 30, 2023 and 2022, which is included in Other Expenses in the Combined Statements of Operations. BWET incurred $397 in trustee fees for the period from May 3, 2023 (commencement of operations) to June 30, 2023. (f) Routine Offering, Operational, Administrative and Other Ordinary Expenses 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 $ 2,398,205 and $ 3,280,299 , respectively, during the years ended June 30, 2023 and 2022 in routine offering, operational, administrative or other ordinary expenses. The CTA fee waiver for BDRY by Breakwave was $ 22,434 and $- 0 -, respectively, for the years ended June 30, 2023 and 2022. 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, 2023 and 2022. The Sponsor, in accordance with the BWET Expense Cap limitation paid, after the waiver of a portion of the CTA fee for BWET by Breakwave, all of the routine offering, operational, administrative and other ordinary expenses of BWET in excess of 3.50 % (excluding brokerage commissions and interest expense) of BWET’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. BWET incurred $ 115,479 for the period from May 3, 2023 (commencement of operations) to June 30, 2023 in routine offering, operational, administrative or other ordinary expenses. The CTA fee waiver for BDRY by Breakwave was $ 7,574 for the period from May 3, 2023 (commencement of operations) to June 30, 2023. In addition, the assumption of Fund expenses above the BWET Expense Cap by the Sponsor, pursuant to the undertaking (as discussed in Note 4a), amounted to $ 77,450 for the period from May 3, 2023 (commencement of operations) to June 30, 2023. (g) Organizational and Offering Costs Expenses incurred in connection with organizing BDRY and BWET and up to the offering of its Shares upon commencement of its investment operations on March 22, 2018 and May 3, 2023, respectively, were paid by the Sponsor and Breakwave without reimbursement. Accordingly, all such expenses are not reflected in the Combined Statements of Operations. The Funds will bear the costs of their 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. During the year ended June 30, 2021 the Sponsor, in order to maintain the continuous offering of Shares undertook to register additional shares of BDRY, the costs of which were borne by the Fund and aggregated $ 28,997 , of which $ 24,071 was amortized to expense during the year ended June 30, 2022. 53 (h) Extraordinary Fees and Expenses The Funds 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, 2023 and 2022 BDRY did not incur such expenses. For the period from May 3, 2023 (commencement of operations) to June 30, 2023, BWET did not incur such expenses. (5) Creations and Redemptions Each Fund issues and redeems Shares from time to time, but only in one or more Creation or Redemption Baskets. A Creation or Redemption Basket is a block of 25,000 shares of the particular Fund. Baskets may be created or redeemed only by Authorized Participants. Except when aggregated in Creation or Redemption Baskets, the shares are not redeemable securities. Retail investors, therefore, generally will not be able to purchase or redeem shares directly from or with 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. (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 BDRY or BWET order, which goes directly to the Custodian. The AP Transaction Fees are paid by the Authorized Participants and not by the Funds. (b) Share Transactions BREAKWAVE DRY BULK SHIPPING ETF Summary of Share Transactions for the Year Ended June 30, 2023 Shares Net Assets Increase Shares Sold 14,975,000 $ 112,635,604 Shares Redeemed ( 6,625,000 ) ( 61,398,051 ) Net Increase 8,350,000 $ 51,237,553 BREAKWAVE DRY BULK SHIPPING ETF Summary of Share Transactions for the Year Ended June 30, 2022 Shares Net Assets Decrease Shares Sold 4,850,000 $ 125,116,790 Shares Redeemed ( 6,075,000 ) ( 159,308,038 ) Net Decrease ( 1,225,000 ) $ ( 34,191,248 ) BREAKWAVE TANKER SHIPPING ETF Summary of Share Transactions for the Period from May 3, 2023 to June 30, 2023 Shares Net Assets Increase Shares Sold 200,100 $ 3,001,500 Shares Redeemed - - Net Increase 200,100 $ 3,001,500 54 (6) Risk (a) Investment Related Risk The NAV of each Fund’s shares relates directly to the value of the respective freight futures portfolio, cash and cash equivalents held by each Fund. Fluctuations in the prices of these assets could materially adversely affect the values and performance of an investment in BDRY and BWET shares. Past performance is not necessarily indicative of future results; all or substantially all of an investment in BDRY or BWET could be lost. The NAV of BDRY and BWET shares relates directly to the value of the futures investments held by each Fund which are materially impacted by fluctuations in changes in spot charter rates. Charter rates for dry bulk vessels and crude oil tankers are volatile and have declined significantly since their historic highs and may remain at low levels or decrease further in the future. Futures and options contracts have expiration dates. Before or upon the expiration of a contract, BDRY and/or BWET may be required to enter into replacement contracts that are priced higher or that have less favorable terms than the contracts being replaced (see “Negative Roll Risk,” below). The Freight Futures market settles in cash against published indices, so there is no physical delivery against the futures contracts. Similar to other futures contracts, the Freight Futures curve shape could be either in “contango” (where the futures curve is upward sloping with next futures price higher than the current one) or “backwardation” (where each the next futures price is lower than the current one). Contango curves are generally characterized by negative roll cost, as the expiring contract value is lower that the next prompt contract value, assuming the same lot size. That means there could be losses incurred when the contracts are rolled each period (“Negative Roll Risk”) and such losses are independent of the Freight Futures price level. The Russia-Ukraine war poses an increasing risk for global economic growth. 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. In the case of BDRY, 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 word, leading to lower dry bulk freight rates. The 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 prolonged stoppage could lead to significantly lower freight rates and thus a decline in freight futures prices and a decline in the value of BDRY. 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 BDRY. In the case of BWET, the conflict between Russia and Ukraine has also had a profound impact on oil prices and as a result on tanker rates and might continue to impact the level of tanker rates for years to come. Russia accounts for more than 10 % of global oil production. Sanctions put in place to limit the exports of crude oil and refined products from Russia has caused a reshuffling in tanker trade patterns and has led to increasing volatility in tanker freight rates. With limited seaborne crude exports out of Russia, refiners and oil traders have been seeking alternative sources for feedstock crude, causing major disruptions in the traditional crude oil trading patterns. Volatility in tanker rates has increased, especially for tankers carrying refined products. As volatility of spot charter rates increases, higher trading volumes in freight futures would be expected as market participants tend to increase their hedging requirements. In addition, oil price volatility has increased significantly, impacting tanker spot rate freight rates. In addition, The People’s Republic of China (“China”) accounts for a sizable part of oil demand, and changes in the economic and political environment in China and policies adopted by the government to regulate its economy may have a material adverse effect on tanker charter rates and as a result, Freight Futures. 55 (b) Liquidity Risk In certain circumstances, such as the disruption of the orderly markets for the futures contracts or Financial Instruments in which the Funds invest, the Funds might not be able to dispose of certain holdings quickly or at prices that represent what the market value may have been in an orderly market. Futures and option positions cannot always be liquidated at the desired price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. A market disruption can also make it difficult to liquidate a position. The large size of the positions that the Funds may acquire increases the risk of illiquidity both by making their positions more difficult to liquidate and by potentially increasing losses while trying to do so. Such a situation may prevent the Funds from limiting losses, realizing gains or achieving a high correlation with the applicable Benchmark Portfolio. (c) Natural Disaster/Epidemic Risk Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including pandemics and epidemics (for example, the novel coronavirus COVID-19), have been and can be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased market volatility and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks previously mentioned, and result in significant breakdowns, delays, shutdowns, social isolation, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Funds and their investments. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities, and increases the difficulty of performing due diligence and modeling market conditions, potentially reducing the accuracy of financial projections. Under these circumstances, the Funds may have difficulty achieving their investment objectives which may adversely impact performance. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Funds’ Sponsor and third party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds’ investments. These factors can cause substantial market volatility. exchange trading suspensions and closures and can impact the ability of the Funds to complete redemptions and otherwise affect each Fund’s performance and the Funds’ trading in the secondary market. A widespread crisis may also affect the global economy in ways that cannot necessarily be foreseen at the current time. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these events could have significant impact on the Funds’ performance, resulting in losses to the Funds. (7) Profit and Loss Allocations and Distributions Pursuant to the Trust Agreement, income and expenses of the Funds are allocated pro rata among the Shareholders monthly based on their respective percentage interests as of the close of the last trading day of the preceding month. Any losses allocated to the Sponsor which are in excess of the Sponsor’s capital balance are allocated to the Shareholders in accordance with their respective interest in the applicable Fund as a percentage of total Shareholders’ capital. Distributions (other than redemption of units) may be made at the sole discretion of the Sponsor on a pro rata basis in accordance with the respective interests of the Shareholders. 56 (8) Indemnifications The Sponsor, either in its own capacity or in its capacity as the Sponsor and on behalf of the Funds, has entered into various service agreements that contain a variety of representations, or provide indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Funds. As of June 30, 2023, the Funds had not received any claims or incurred any losses pursuant to these agreements and expects the risk of such losses to be remote. (9) Termination The term of each Fund is perpetual unless terminated earlier in certain circumstances as described in the applicable Prospectus. (10) Net Asset Value and Financial Highlights The Funds are presenting, as applicable, the following net asset value and financial highlights related to investment performance for a Share outstanding throughout the years ended June 30, 2023 and 2022, 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 BREAKWAVE TANKER SHIPPING ETF SHIPPING ETF For the Year Ended June 30, For the Year Ended June 30, 2023 2022 2023* 2022 Net Asset Value Net asset value per Share, beginning of year $ 17.06 $ 28.88 $ 15.00 $ - Net investment income (loss) ( 0.19 ) ( 1.15 ) ( 0.17 ) - Net realized and unrealized gain (loss) ( 11.34 ) ( 10.67 ) 6.00 - Net Income (Loss) ( 11.53 ) ( 11.82 ) 5.83 - Net Asset Value per Share, end of year $ 5.53 $ 17.06 $ 20.83 $ - Market Value per Share, end of year $ 5.55 $ 17.17 $ 20.88 $ - Ratios to Average Net Assets** Expense Ratio**** 4.57 % 4.50 % 7.28 % - Expense Ratio**** before Waiver/Assumption 4.62 % 4.50 % 23.56 % - Net Investment Income (Loss) ( 2.18 )% ( 4.46 )% ( 6.42 )% - Total Return, at Net Asset Value*** ( 67.58 )% ( 40.93 )% 38.89 % - Total Return, at Market Value*** ( 67.68 )% ( 41.50 )% 49.89 % - * Period from May 3, 2023 (commencement of investment operations) to June 30, 2023 ** Percentages are annualized. *** Percentages are not annualized. **** Fund expenses have been capped at 3.50 % of average daily net assets, plus brokerage commissions, interest expense, and extraordinary expenses, if any. (11) Subsequent Events Effective August 14, 2023, the Sponsor entered into a Marketing Agent Agreement (the “Marketing Agreement”) on behalf of the Trust and the Funds with Foreside Fund Services, LLC (“Foreside”), pursuant to which Foreside provides certain marketing services to the Funds. Each Fund pays an annual fee for such distribution services and related administrative services equal to approximately 0.00006 % of the Fund’s average daily net assets, with a minimum of approximately $ 7,150 payable annually. Pursuant to the Marketing Agent Agreement between the Sponsor, the Funds and Foreside, Foreside assists the Sponsor and the Funds with certain functions and duties relating to distribution and marketing services to the Funds, including reviewing and approving marketing materials and certain regulatory compliance matters. Foresides also assists with the processing of creation and redemption orders. Foreside’s principal business address is Three Canal Plaza, Suite 100, Portland, ME 04101. Foreside is a broker-dealer registered with FINRA. The Sponsor intends to withdraw as sponsor of the Trust and the Funds and appoint Amplify Investments LLC, or an affiliate (“Amplify”), to serve as sponsor of the Trust, commencing upon the resignation of the Sponsor (the “Sponsor Replacement”). Amplify will thereafter serve as sole sponsor of the Trust and intends to carry on the business of the Trust and the Funds. It is expected that the Sponsor Replacement will occur during the fourth quarter of 2023, subject to certain conditions, including, but not limited to, the registration of Amplify as a CPO with the CFTC. It is not expected that the Sponsor Replacement will affect the Trust, its shareholders or an investment in the Funds’ shares in any way. 57 Report of Independent Registered Public Accounting Firm To the Sponsor and Shareholders of ETF Managers Group Commodity Trust I Opinion on the financial statements We have audited the following: ● The accompanying statements of assets and liabilities of Breakwave Dry Bulk Shipping ETF (“BDRY”) and Breakwave Tanker Shipping ETF (“BWET”) (collectively the “Funds”), (each a series of ETF Managers Group Commodity Trust I (the “Trust”), including the schedules of investments of the Funds and the combined schedules of the Trust, as of June 30, 2023 and 2022, the related combined statements of operations, changes in net assets and cash flows of the Trust for the years then ended, and the related notes; ● the accompanying statement of operations of Breakwave Tanker Shipping ETF (“BWET”), a series of the Trust, including changes in net assets and cash flows for the period from May 3, 2023 (date of commencement) to June 30, 2023 and the related notes; ● The above are collectively referred to as the “financial statements.” In our opinion, the financial statements present fairly, in all material respects, the financial position of the Funds and the Trust as of June 30, 2023 and June 30, 2022, and the results of their operations and their cash flows for the years then ended, in conformity with accounting principles generally accepted in the United States of America. Basis for opinion These financial statements are the responsibility of the Funds’ and the Trust’s management. Our responsibility is to express an opinion on the Funds’ and Trust’s financial statements based on our audits. We are a public accounting firm registered with the PCAOB and are required to be independent with respect to the Funds and the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Company is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the entity's internal control over financial reporting. Accordingly, we express no such opinion. Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion. /s/WithumSmith+Brown, PC We have served as the Trust's and Funds' auditor since 2014. New York, NY September 26, 2023 58 Item 9. Changes in and Disagreements with Accountants on Accounting and Financial Disclosure. Not applicable.