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What changed 10-Q

Item 1. Financial Statements

2023-08-09 compared with 2023-05-10 · 749 added, 749 removed, 3251 unchanged (32% of the section changed)

This section is long enough that the comparison stopped early. What follows is partial, and the remainder is not necessarily unchanged.

2 unchanged sentences

TEUCRIUM COMMODITY TRUST

Combined Statements of Assets and Liabilities at March 31, 2023 (Unaudited) and December 31, 2022

Combined Schedule of Investments at March 31, 2023 (Unaudited) and December 31, 2022

Combined Statements of Operations (Unaudited) for the three months ended March 31, 2023 and 2022

Combined Statements of Changes in Net Assets (Unaudited) for the three months ended March 31, 2023 and 2022

Combined Statements of Cash Flows (Unaudited) for the three months ended March 31, 2023 and 2022

Combined Statements of Assets and Liabilities at June 30, 2023 (Unaudited) and December 31, 2022

Combined Schedule of Investments at June 30, 2023 (Unaudited) and December 31, 2022

Combined Statements of Operations (Unaudited) for the three and six months ended June 30, 2023 and 2022

Combined Statements of Changes in Net Assets (Unaudited) for the six months ended June 30, 2023 and 2022

Combined Statements of Cash Flows (Unaudited) for the six months ended June 30, 2023 and 2022

Notes to Combined Financial Statements

TEUCRIUM CORN FUND

Statements of Assets and Liabilities at March 31, 2023 (Unaudited) and December 31, 2022

Schedule of Investments at March 31, 2023 (Unaudited) and December 31, 2022

Statements of Operations (Unaudited) for the three months ended March 31, 2023 and 2022

Statements of Changes in Net Assets (Unaudited) for the three months ended March 31, 2023 and 2022

Statements of Cash Flows (Unaudited) for the three months ended March 31, 2023 and 2022

Statements of Assets and Liabilities at June 30, 2023 (Unaudited) and December 31, 2022

Schedule of Investments at June 30, 2023 (Unaudited) and December 31, 2022

Statements of Operations (Unaudited) for the three and six months ended June 30, 2023 and 2022

Statements of Changes in Net Assets (Unaudited) for the six months ended June 30, 2023 and 2022

Statements of Cash Flows (Unaudited) for the six months ended June 30, 2023 and 2022

Notes to Financial Statements

TEUCRIUM SOYBEAN FUND

Statements of Assets and Liabilities at March 31, 2023 (Unaudited) and December 31, 2022

Schedule of Investments at March 31, 2023 (Unaudited) and December 31, 2022

Statements of Operations (Unaudited) for the three months ended March 31, 2023 and 2022

Statements of Changes in Net Assets (Unaudited) for the three months ended March 31, 2023 and 2022

Statements of Cash Flows (Unaudited) for the three months ended March 31, 2023 and 2022

Statements of Assets and Liabilities at June 30, 2023 (Unaudited) and December 31, 2022

Schedule of Investments at June 30, 2023 (Unaudited) and December 31, 2022

Statements of Operations (Unaudited) for the three and six months ended June 30, 2023 and 2022

Statements of Changes in Net Assets (Unaudited) for the six months ended June 30, 2023 and 2022

Statements of Cash Flows (Unaudited) for the six months ended June 30, 2023 and 2022

Notes to Financial Statements

TEUCRIUM SUGAR FUND

Statements of Assets and Liabilities at March 31, 2023 (Unaudited) and December 31, 2022

Schedule of Investments at March 31, 2023 (Unaudited) and December 31, 2022

Statements of Operations (Unaudited) for the three months ended March 31, 2023 and 2022

Statements of Changes in Net Assets (Unaudited) for the three months ended March 31, 2023 and 2022

Statements of Cash Flows (Unaudited) for the three months ended March 31, 2023 and 2022

Statements of Assets and Liabilities at June 30, 2023 (Unaudited) and December 31, 2022

Schedule of Investments at June 30, 2023 (Unaudited) and December 31, 2022

Statements of Operations (Unaudited) for the three and six months ended June 30, 2023 and 2022

Statements of Changes in Net Assets (Unaudited) for the six months ended June 30, 2023 and 2022

Statements of Cash Flows (Unaudited) for the six months ended June 30, 2023 and 2022

Notes to Financial Statements

TEUCRIUM WHEAT FUND

Statements of Assets and Liabilities at March 31, 2023 (Unaudited) and December 31, 2022

Schedule of Investments at March 31, 2023 (Unaudited) and December 31, 2022

Statements of Operations (Unaudited) for the three months ended March 31, 2023 and 2022

Statements of Changes in Net Assets (Unaudited) for the three months ended March 31, 2023 and 2022

Statements of Cash Flows (Unaudited) for the three months ended March 31, 2023 and 2022

Statements of Assets and Liabilities at June 30, 2023 (Unaudited) and December 31, 2022

Schedule of Investments at June 30, 2023 (Unaudited) and December 31, 2022

Statements of Operations (Unaudited) for the three and six months ended June 30, 2023 and 2022

Statements of Changes in Net Assets (Unaudited) for the six months ended June 30, 2023 and 2022

Statements of Cash Flows (Unaudited) for the six months ended June 30, 2023 and 2022

Notes to Financial Statements

TEUCRIUM AGRICULTURAL FUND

Statements of Assets and Liabilities at March 31, 2023 (Unaudited) and December 31, 2022

Schedule of Investments at March 31, 2023 (Unaudited) and December 31, 2022

Statements of Operations (Unaudited) for the three months ended March 31, 2023 and 2022

Statements of Changes in Net Assets (Unaudited) for the three months ended March 31, 2023 and 2022

Statements of Cash Flows (Unaudited) for the three months ended March 31, 2023 and 2022

Statements of Assets and Liabilities at June 30, 2023 (Unaudited) and December 31, 2022

Schedule of Investments at June 30, 2023 (Unaudited) and December 31, 2022

Statements of Operations (Unaudited) for the three and six months ended June 30, 2023 and 2022

Statements of Changes in Net Assets (Unaudited) for the six months ended June 30, 2023 and 2022

Statements of Cash Flows (Unaudited) for the six months ended June 30, 2023 and 2022

Notes to Financial Statements

HASHDEX BITCOIN FUTURES ETF

Statements of Assets and Liabilities at March 31, 2023 (Unaudited) and December 31, 2022

Schedule of Investments at March 31, 2023 (Unaudited)

Statements of Operations (Unaudited) for the three months ended March 31, 2023

Statements of Changes in Net Assets (Unaudited) for the three months ended March 31, 2023

Statements of Cash Flows (Unaudited) for the three months ended March 31, 2023

Statements of Assets and Liabilities at June 30, 2023 (Unaudited) and December 31, 2022

Schedule of Investments at June 30, 2023 (Unaudited)  and December 31, 2022

Statements of Operations (Unaudited) for the three and six months ended June 30, 2023

Statements of Changes in Net Assets (Unaudited) for the six months ended June 30, 2023

Statements of Cash Flows (Unaudited) for the six months ended June 30, 2023

Notes to Financial Statements

1 unchanged sentence

COMBINED STATEMENTS OF ASSETS AND LIABILITIES

March 31, 2023

June 30, 2023

December 31, 2022

8 unchanged sentences

1,344,830  

1,344,830  

Equity in trading accounts:

Commodity futures contracts

Commodity and cryptocurrency futures contracts

1,866,892  

11 unchanged sentences

432,882  

Payable for purchases of commercial paper

5,962,734  

Other liabilities

3 unchanged sentences

1,587,650  

10,183,915  

Equity in trading accounts:

2 unchanged sentences

29,433,069  

Due to broker

2,101,900  

Total equity in trading accounts

34,802,431  

29,433,069  

Total liabilities

6 unchanged sentences

COMBINED SCHEDULE OF INVESTMENTS

March 31, 2023

June 30, 2023

Percentage of

16 unchanged sentences

Commercial Paper

Brookfield Infrastructure Holdings (Canada) Inc.

April 18, 2023

5.147 %  

$ 7,405,313  

$ 7,482,114  

7,500,000  

Brookfield Infrastructure Holdings (Canada) Inc.

American Electric Power Company, Inc.

August 17, 2023

5.285 %  

2 unchanged sentences

6,000,000  

Conagra Brands, Inc.

April 14, 2023

September 20, 2023

5.352 %  

2 unchanged sentences

5,000,000  

Crown Castle Inc.

April 25, 2023

Bayer Corporation

July 10, 2023

5.200 %  

2 unchanged sentences

10,000,000  

Dollar General Corporation

Brookfield Infrastructure Holdings (Canada) Inc.

August 2, 2023

5.639 %  

2 unchanged sentences

5,000,000  

Brookfield Infrastructure Holdings (Canada) Inc.

August 9, 2023

5.702 %  

2 unchanged sentences

7,500,000  

CNH Industrial Capital LLC

August 17, 2023

5.396 %  

2 unchanged sentences

12,500,000  

FMC Corporation

April 21, 2023

Enbridge (U.S.) Inc.

July 10, 2023

5.317 %  

2 unchanged sentences

10,000,000  

FMC Corporation

April 27, 2023

Enbridge (U.S.) Inc.

July 10, 2023

5.317 %  

2 unchanged sentences

5,000,000  

Glencore Funding LLC

April 3, 2023

General Motors Financial Company, Inc.

5.296 %  

2 unchanged sentences

6,000,000  

Harley-Davidson Financial Services, Inc.

April 3, 2023

General Motors Financial Company, Inc.

July 20, 2023

5.368 %  

2 unchanged sentences

5,000,000  

Harley-Davidson Financial Services, Inc.

April 6, 2023

General Motors Financial Company, Inc.

August 9, 2023

5.397 %  

2 unchanged sentences

5,000,000  

April 24, 2023

Glencore Funding LLC

July 13, 2023

5.341 %  

2 unchanged sentences

20,000,000  

April 28, 2023

Harley-Davidson Financial Services, Inc.

July 14, 2023

5.602 %  

2 unchanged sentences

5,000,000  

April 6, 2023

Harley-Davidson Financial Services, Inc.

August 1, 2023

5.728 %  

2 unchanged sentences

7,500,000  

Marriott International, Inc.

April 24, 2023

Harley-Davidson Financial Services, Inc.

August 18, 2023

5.557 %  

2 unchanged sentences

2,500,000  

Oracle Corporation

April 14, 2023

July 14, 2023

5.587 %  

2 unchanged sentences

1,250,000  

Oracle Corporation

July 28, 2023

5.651 %  

2 unchanged sentences

5,000,000  

Stanley Black & Decker, Inc.

April 28, 2023

Walgreens Boots Alliance, Inc.

5.674 %  

3 unchanged sentences

Walgreens Boots Alliance, Inc.

April 3, 2023

July 13, 2023

5.707 %  

3 unchanged sentences

Walgreens Boots Alliance, Inc.

April 10, 2023

July 14, 2023

5.737 %  

2 unchanged sentences

7,500,000  

Walgreens Boots Alliance, Inc.

April 12, 2023

WGL Holdings, Inc.

July 11, 2023

5.584 %  

11 unchanged sentences

Commodity and Cryptocurrency futures contracts

United States corn futures contracts

CBOT Corn Futures SEP23

$ 798,350  

$ 34,635,000  

United States sugar futures contracts

ICE sugar futures JUL23

United States soybean futures contracts

CBOT soybean futures NOV23

$ 51,011  

$ 13,231,013  

ICE sugar futures OCT23

CBOT soybean futures JAN24

767,339  

11,245,363  

United States sugar futures contracts

ICE sugar futures MAR24

1 unchanged sentence

8,126,865  

United States wheat futures contracts

CBOT wheat futures SEP23

ICE sugar futures MAY24

148,913  

1 unchanged sentence

United States CME Bitcoin futures contracts

CME Bitcoin futures APR23

CME Bitcoin futures JUL23

124,509  

920,400  

CME Bitcoin futures MAY23

CME Bitcoin futures AUG23

1,083,425  

7 unchanged sentences

United States corn futures contracts

CBOT Corn Futures JUL23

CBOT corn futures SEP23

$ 4,516,994  

3 unchanged sentences

27,310,200  

United States soybean futures contracts

CBOT soybean futures JUL23

CBOT corn futures DEC24

1,273,890  

33,679,650  

United States soybean futures contracts

CBOT soybean futures NOV24

1 unchanged sentence

12,429,525  

CBOT soybean futures NOV24

United States sugar futures contracts

ICE sugar futures MAR25

97,357  

1 unchanged sentence

United States wheat futures contracts

CBOT wheat futures JUL23

CBOT wheat futures SEP23

3,721,805  

3 unchanged sentences

49,223,338  

CBOT wheat futures DEC24

96,354  

57,966,225  

Total commodity and cryptocurrency futures contracts

283 unchanged sentences

Three months ended

March 31, 2023

March 31, 2022 (1)

Six months ended

Six months ended

June 30, 2023

June 30, 2022 (1)

June 30, 2023

June 30, 2022 (1)

Realized and unrealized gain (loss) on trading of commodity futures contracts:

2 unchanged sentences

$ 26,913,430  

$ ( 42,541,244 )  

$ 88,611,840  

Net change in unrealized depreciation on commodity and cryptocurrency futures contracts

( 8,646,874 )  

( 112,660,860 )  

( 14,470,153 )  

( 127,795,433 )

2 unchanged sentences

1,779,555  

Total (loss) income

8,527,835  

1,999,541  

( 20,400,172 )  

( 83,967,875 )  

( 48,483,562 )  

( 37,184,052 )

Management fees

1 unchanged sentence

2,448,692  

1,839,779  

3,454,462  

Professional fees

1 unchanged sentence

399,674  

1,003,227  

809,527  

Distribution and marketing fees

1 unchanged sentence

1,127,864  

1,904,116  

1,887,941  

Custodian fees and expenses

1 unchanged sentence

97,970  

217,997  

129,490  

Business permits and licenses fees

1 unchanged sentence

43,549  

71,128  

97,375  

General and administrative expenses

1 unchanged sentence

151,954  

173,083  

210,115  

Other expenses

Total expenses

1 unchanged sentence

4,269,708  

5,209,330  

6,588,915  

Expenses waived by the Sponsor

( 213,804 )  

( 707,463 )  

( 409,868 )  

( 1,052,981 )

Total expenses, net

1 unchanged sentence

3,562,245  

Net (loss) income

4,799,462  

5,535,934  

$ ( 22,828,100 )  

$ ( 87,530,120 )  

$ ( 53,283,024 )  

$ ( 42,719,986 )

(1) The Hashdex Bitcoin Futures ETF commenced operations on September 15, 2022.

2 unchanged sentences

COMBINED STATEMENTS OF CHANGES IN NET ASSETS

Three months ended

Three months ended

March 31, 2023

March 31, 2022 (1)

Net (loss) income

$ ( 30,454,925 )  

Six months ended

Six months ended

June 30, 2023

June 30, 2022 (1)

$ ( 53,283,024 )  

$ ( 42,719,986 )

Capital transactions

24 unchanged sentences

COMBINED STATEMENTS OF CASH FLOWS

Three months ended

Three months ended

March 31, 2023

March 31, 2022 (1)

Six months ended

Six months ended

June 30, 2023

June 30, 2022 (1)

Cash flows from operating activities:

Net (loss) income

$ ( 53,283,024 )  

$ 44,810,134  

Adjustments to reconcile net (loss) income to net cash (used in) provided by operating activities:

Net change in unrealized depreciation on commodity futures contracts

$ ( 42,719,986 )

Adjustments to reconcile net loss to net cash used in operating activities:

Net change in unrealized appreciation on commodity futures contracts

14,470,153  

6 unchanged sentences

( 110,172 )  

Net receivable for investments sold

( 3,260,269 )

( 76,961 )  

Due to broker

2,101,900  

4,563,815  

Management fee payable to Sponsor

6 unchanged sentences

46,587  

Net cash (used in) provided by operating activities

( 16,960,478 )  

Net cash used in operating activities

( 22,917,771 )  

( 56,128,630 )

Cash flows from financing activities:

23 unchanged sentences

NOTES TO COMBINED FINANCIAL STATEMENTS

March 31, 2023

June 30, 2023

Note 1 –

38 unchanged sentences

It is suggested that these interim financial statements be read in conjunction with the audited financial statements and related notes included in the Trust’s Annual Report on Form 10 -K, as well as the most recent Form S- 1 filing, as applicable.

The operating results for the three months ended March 31, 2023 , are not necessarily indicative of the results to be expected for the full year ending December 31, 2023.

The operating results for the three and six months ended June 30, 2023 , are not necessarily indicative of the results to be expected for the full year ending December 31, 2023.

Subject to the terms of the Trust Agreement, Teucrium Trading, LLC in its capacity as the Sponsor of the Trust may terminate a Fund at any time, regardless of whether the Fund has incurred losses, including, for instance, if it determines that the Fund’s aggregate net assets in relation to its operating expenses make the continued operation of the Fund unreasonable or imprudent.

21 unchanged sentences

A summary of these expenses is included below.

Pursuant to a Consulting Services Agreement, Foreside Consulting Services, LLC, performs certain consulting support services for the Trust’s Sponsor.

Additionally, Foreside Distributors, LLC performs certain distribution consulting services pursuant to a Distribution Consulting Agreement with the Sponsor.

Marex Capital Markets, Inc.

26 unchanged sentences

A summary of these expenses is included below:

Three months ended March 31, 2023

Three months ended March 31, 2022(1)

Three months ended June 30, 2023

Three months ended June 30, 2022 (1)

Six months ended June 30, 2023

Six months ended June 30, 2022 (1)

Amount Recognized for Custody Services

1 unchanged sentence

$ 97,970  

$ 217,997  

$ 129,490  

Amount of Custody Services Waived

$ 9,187  

$ 27,908  

$ 16,516  

$ 28,101  

Amount Recognized for Distribution Services

1 unchanged sentence

$ 55,129  

$ 76,493  

$ 94,055  

Amount of Distribution Services Waived

1 unchanged sentence

$ 22,981  

Amount Recognized for Wilmington Trust

Amount of Wilmington Trust Waived

$ 4,936  

$ 42,994  

Amount Recognized for Thales

1 unchanged sentence

$ 103,062  

$ 37,578  

$ 158,124  

Amount of Thales Waived

1 unchanged sentence

$ 2,259  

$ 100,791  

( 1 ) The Hashdex Bitcoin Futures ETF commenced operations on September 15, 2022.

25 unchanged sentences

The Sponsor recognizes the expense for brokerage commissions for futures contract trades on a per-trade basis.

The below table shows the amounts included on the combined statements of operations as total brokerage commissions paid inclusive of unrealized loss for the three months ended March 31, 2023 and 2022 .

Three months ended March 31, 2023

The below table shows the amounts included on the combined statements of operations as total brokerage commissions paid inclusive of unrealized loss for the three and six months ended June 30, 2023 and 2022 .

Three months ended June 30, 2023

$ 13,898  

3 unchanged sentences

$ 49,718  

Three months ended March 31, 2022 (1)

Three months ended June 30, 2022 (1)

$ 102,336  

3 unchanged sentences

$ 329,754  

Six months ended June 30, 2023

$ 31,168  

$ 8,779  

$ 15,954  

$ 44,458  

$ 1,377  

$ 101,736  

Six months ended June 30, 2022 (1)

$ 133,575  

$ 15,206  

$ 26,536  

$ 279,543  

$ 454,860  

( 1 ) The Hashdex Bitcoin Futures ETF commenced operations on September 15, 2022.

15 unchanged sentences

De-recognition of a tax benefit previously recognized results in the Funds recording a tax liability that reduces net assets.

Based on their analysis, the Funds have determined that they have not incurred any liability for unrecognized tax benefits as of March 31, 2023 , and for the years ended December 31, 2022 , 

Based on their analysis, the Funds have determined that they have not incurred any liability for unrecognized tax benefits as of June 30, 2023 , and for the years ended December 31, 2022 , 

2021 and 2020 .

7 unchanged sentences

The Funds recognize interest accrued related to unrecognized tax benefits and penalties related to unrecognized tax benefits in income tax fees payable, if assessed.

No interest expense or penalties have been recognized as of and for the three months ended March 31, 2023 and 2022 .

No interest expense or penalties have been recognized as of and for the three and six months ended June 30, 2023 and 2022 .

The Funds may be subject to potential examination by U.S.

32 unchanged sentences

The Sponsor may invest a portion of the cash held by the broker in short term Treasury Bills as collateral for open futures contracts, which is classified as a cash equivalent and is not FDIC insured.

March 31, 2023

June 30, 2023

December 31, 2022

62 unchanged sentences

Routine operational, administrative, and other ordinary expenses are not deemed extraordinary expenses.

Three months ended March 31, 2023

Three months ended March 31, 2022 (1)

Three months ended June 30, 2023

Three months ended June 30, 2022 (1)

Six months ended June 30, 2023

Six months ended June 30, 2022 (1)

Recognized Related Party Transactions

1 unchanged sentence

$ 871,921  

$ 1,322,979  

$ 1,417,630  

Waived Related Party Transactions

1 unchanged sentence

$ 358,002  

$ 68,722  

$ 479,081  

( 1 ) The Hashdex Bitcoin Futures ETF commenced operations on September 15, 2022.

3 unchanged sentences

The Sponsor has determined that there will be no recovery sought for the amounts below in any future period.

Three months ended March 31, 2023

Three months ended June 30, 2023

$ 152,755  

1 unchanged sentence

$ 213,804  

Three months ended March 31, 2022 (1)

Three months ended June 30, 2022 (1)

$ 221,478  

4 unchanged sentences

$ 707,463  

Six months ended June 30, 2023

$ 278,249  

$ 131,619  

$ 409,868  

Six months ended June 30, 2022(1)

$ 345,855  

$ 89,562  

$ 78,237  

$ 425,164  

$ 114,163  

$ 1,052,981  

( 1 ) The Hashdex Bitcoin Futures ETF commenced operations on September 15, 2022.

33 unchanged sentences

When such a situation exists on a quarter close, the Sponsor will calculate the NAV on a particular day using the Level 1 valuation but will later recalculate the NAV for the impacted Fund based upon the valuation inputs from these alternative verifiable sources (Level 2 or Level 3 ) and will report such NAV in its applicable financial statements and reports.

On March 31, 2023 and December 31, 2022 , in the opinion of the Trust, the reported value at the close of the market for each commodity and cryptocurrency contract fairly reflected the value of the futures and no alternative valuations were required.

For the three months ended March 31, 2023 and year ended December 31, 2022 , the Funds did not have any significant transfers between any of the levels of the fair value hierarchy.

On June 30, 2023 and December 31, 2022 , in the opinion of the Trust, the reported value at the close of the market for each commodity and cryptocurrency contract fairly reflected the value of the futures and no alternative valuations were required.

For the three and six months ended June 30, 2023  and year ended December 31, 2022 , the Funds did not have any significant transfers between any of the levels of the fair value hierarchy.

The Funds and the Trust record their derivative activities at fair value.

19 unchanged sentences

The Trust’s assets and liabilities recorded at fair value have been categorized based upon a fair value hierarchy as described in the Trust’s significant accounting policies in Note 3.

The following table presents information about the Trust’s assets and liabilities measured at fair value as of March 31, 2023 and December 31, 2022 :

Balance as of March 31, 2023

The following table presents information about the Trust’s assets and liabilities measured at fair value as of June 30, 2023 and December 31, 2022 :

Balance as of June 30, 2023

Cash Equivalents

2 unchanged sentences

Commodity and Cryptocurrency Futures Contracts

Corn futures contracts

Soybean futures contracts

818,350  

3 unchanged sentences

921,870  

Wheat futures contracts

729,576  

729,576  

Bitcoin futures contracts

3 unchanged sentences

$ 265,812,434  

Balance as of March 31, 2023

Balance as of June 30, 2023

Commodity and Cryptocurrency Futures Contracts

5 unchanged sentences

685,954  

Sugar futures contracts

97,357  

97,357  

Wheat futures contracts

39 unchanged sentences

$ 29,433,069  

For the three months ended March 31, 2023 and year ended December 31, 2022 , the Funds did not have any significant transfers between any of the levels of the fair value hierarchy.

For the three and six months ended June 30, 2023 and year ended December 31, 2022 , the Funds did not have any significant transfers between any of the levels of the fair value hierarchy.

The determination is made as of the settlement of the futures contracts on the last day of trading for the reporting period.

8 unchanged sentences

interest rate, credit, commodity price, and equity price risks.

In addition to its primary underlying risks, the Funds are also subject to additional counterparty risk due to inability of its counterparties to meet the terms of their contracts.

For the three months ended March 31, 2023 and year ended December 31, 2022 , the Funds invested only in commodity and cryptocurrency futures contracts specifically related to each Fund.

In addition to its primary underlying risks, the Funds are also subject to additional counterparty risk due to the inability of its counterparties to meet the terms of their contracts.

For the three and six months ended June 30, 2023 and year ended December 31, 2022 , the Funds invested only in commodity and cryptocurrency futures contracts specifically related to each Fund.

Futures Contracts

16 unchanged sentences

Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities.”

The following table also identifies the fair value amounts of derivative instruments included in the combined statements of assets and liabilities as derivative contracts, categorized by primary underlying risk, and held by the FCMs, Marex, and StoneX as of March 31, 2023 , and December 31, 2022 .

The DEFI Fund has an account open at Phillip Capital with no contracts held as of March 31, 2023 .

The following table also identifies the fair value amounts of derivative instruments included in the combined statements of assets and liabilities as derivative contracts, categorized by primary underlying risk, and held by the FCMs, Marex, and StoneX as of June 30, 2023 , and December 31, 2022 .

The DEFI Fund has an account open at Phillip Capital with no contracts held as of June 30, 2023 .

*The amount of collateral presented in Collateral, Due from Broker, is limited to the liability for the futures contracts and accordingly does not include the excess collateral pledged.

Offsetting of Financial Assets and Derivative Assets as of March 31, 2023

Offsetting of Financial Assets and Derivative Assets as of June 30, 2023

(iii) = (i-ii)

7 unchanged sentences

Commodity and Cryptocurrency Price

Corn futures contracts

$ 798,350  

$ 798,350  

Soybean futures contracts

$ 818,350  

Sugar futures contracts

$ 818,350  

1 unchanged sentence

$ 132,396  

Sugar futures contracts

$ 921,870  

Wheat futures contracts

$ 921,870  

5 unchanged sentences

$ 126,672  

Offsetting of Financial Liabilities and Derivative Liabilities as of March 31, 2023

Offsetting of Financial Liabilities and Derivative Liabilities as of June 30, 2023

(iii) = (i-ii)

11 unchanged sentences

$ 13,427,593  

$ 4,680,665  

Soybean futures contracts

2 unchanged sentences

$ 685,954  

Wheat futures contracts

Sugar futures contracts

$ 97,357  

1 unchanged sentence

$ 97,357  

Wheat futures contracts

$ 23,351,829  

$ 23,351,829  

$ 23,351,829  

Offsetting of Financial Assets and Derivative Assets as of December 31, 2022

54 unchanged sentences

The following is a summary of realized and unrealized gains (losses) of the derivative instruments utilized by the Trust:

Three months ended March 31, 2023  

Three months ended June 30, 2023  

Realized (Loss) Gain on Commodity Futures Contracts

6 unchanged sentences

( 1,108,023 )  

( 3,699,642 )

1,311,668  

Sugar futures contracts

7,408,174  

( 3,141,505 )

Wheat futures contracts

( 17,129,061 )  

1,960,839  

Bitcoin futures Contracts

71,236  

Total commodity and cryptocurrency futures contracts

$ ( 15,950,119 )  

$ ( 8,646,874 )

Three months ended June 30, 2022

Realized Gain on Commodity Futures Contracts

Net Change in Unrealized Depreciation on Commodity Futures Contracts

Commodity Price

Corn futures contracts

$ 22,454,084  

$ ( 47,449,038 )

Soybeans futures contracts

2,645,146  

( 2,827,976 )

Sugar futures contracts

401,262  

( 2,174,684 )

Wheat futures contracts

1 unchanged sentence

( 60,209,162 )

Total commodity futures contracts

$ 26,913,430  

$ ( 112,660,860 )

Six months ended June 30, 2023

Realized (Loss) Gain on Commodity Futures Contracts

Net Change in Unrealized (Depreciation) Appreciation on Commodity Futures Contracts

Commodity Price

Corn futures contracts

$ ( 11,461,380 )  

$ ( 12,046,288 )

Soybeans futures contracts

( 40,479 )  

( 2,387,974 )

Sugar futures contracts

8,747,622  

Wheat futures contracts

( 40,487,794 )  

Bitcoin futures Contracts

4 unchanged sentences

$ ( 14,470,153 )

Three months ended March 31, 2022

Six months ended June 30, 2022

Realized Gain on Commodity Futures Contracts

Net Change in Unrealized Appreciation (Depreciation) on Commodity Futures Contracts

Net Change in Unrealized Depreciation on Commodity Futures Contracts

Commodity Price

1 unchanged sentence

$ 39,023,065  

$ 19,894,329  

$ ( 27,554,708 )

Soybeans futures contracts

9,697,847  

914,717  

( 1,913,259 )

Sugar futures contracts

471,423  

907,742  

( 1,266,942 )

Wheat futures contracts

1 unchanged sentence

( 97,060,524 )

Total commodity futures contracts

Total commodity and cryptocurrency futures contracts

$ 88,611,840  

1 unchanged sentence

Volume of Derivative Activities

The average notional market value categorized by primary underlying risk for the futures contracts held was $ 382.3  million and $ 479.0  million respectively for the three months ended March 31, 2023 and for the three months ended March 31, 2022 .

The average notional market value categorized by primary underlying risk for the futures contracts held was $ 324.9  million and $ 353.6  million respectively for the three and six months ended June 30, 2023 and $ 902.8 million and $ 690.9 million respectively for the three and six months ended June 30, 2022 .

Note 6 - Organizational and Offering Costs

4 unchanged sentences

The following are the net assets and shares outstanding of each Fund that is a series of the Trust and, thus, in total, comprise the combined net assets of the Trust:

March 31, 2023

June 30, 2023

Teucrium Corn Fund

48 unchanged sentences

Subsequent Events

Management has evaluated the financial statements for the quarter-ended March 31, 2023 for subsequent events through the date of this filing and noted no material events requiring either recognition through the date of the filing or disclosure herein for the Trust and Funds other than those noted below:

Management has evaluated the financial statements for the quarter-ended June 30, 2023 for subsequent events through the date of this filing and noted no material events requiring either recognition through the date of the filing or disclosure herein for the Trust and Funds other than those noted below:

Nothing to report.

1 unchanged sentence

Nothing to report.

The total net assets of the Fund increased by $ 12,317,902 , or 44 %, for the period March 31, 2023 to May 9, 2023.

This was driven by a 19 % increase in the shares outstanding and a 21 % increase in the NAV/share.

Nothing to report.

1 unchanged sentence

Nothing to report.

The Hashdex Bitcoin Futures ETF (“Tidal Fund”), sponsored by Toroso Investments, LLC (“Toroso”), a series of the Tidal Commodities Trust I has not commenced operations and was recently formed.

The Tidal Fund will be the successor and surviving entity from the merger (the “Merger”) into the Tidal Fund of Hashdex Bitcoin Futures ETF (the “Teucrium Fund”) that is a series of the Teucrium Commodity Trust (the “Teucrium Trust”) sponsored by Teucrium Trading, LLC (“Teucrium”).

The Merger is expected to close in 2023.

Teucrium, Toroso, and Tidal ETF Services, LLC (“Tidal”) and Victory Capital Management Inc.

(“Victory Capital”) (the “Marketing Agents”) have entered into a support agreement (“Support Agreement”) that, among other things, will cause the Merger in furtherance of their long-term business goals, the Tidal Fund will be the successor and surviving entity from the Merger.

The Tidal Fund and the Teucrium Fund will file current reports on Form 8 -K including a press release notifying shareholders that the Merger has been consummated.

TEUCRIUM CORN FUND

STATEMENTS OF ASSETS AND LIABILITIES

March 31, 2023

June 30, 2023

December 31, 2022

5 unchanged sentences

125,014  

19,189  

Capital shares receivable

3 unchanged sentences

1,585,798  

1,585,798  

Due from broker

9 unchanged sentences

144,877  

Other liabilities

Payable for purchases of commercial paper

3,478,261  

Other liabilities

21,349  

25 unchanged sentences

SCHEDULE OF INVESTMENTS

March 31, 2023

June 30, 2023

Percentage of

14 unchanged sentences

$ 18,698,800  

Percentage of  

Principal  

Percentage of

Commercial Paper

Brookfield Infrastructure Holdings (Canada) Inc.

American Electric Power Company, Inc.

August 17, 2023

5.285 %  

2 unchanged sentences

3,500,000  

Conagra Brands, Inc.

April 14, 2023

Bayer Corporation

July 10, 2023

5.200 %  

2 unchanged sentences

2,500,000  

Dollar General Corporation

Brookfield Infrastructure Holdings (Canada) Inc.

August 2, 2023

5.639 %  

2 unchanged sentences

2,500,000  

Brookfield Infrastructure Holdings (Canada) Inc.

August 9, 2023

5.702 %  

2 unchanged sentences

2,500,000  

CNH Industrial Capital LLC

August 17, 2023

5.396 %  

2 unchanged sentences

2,500,000  

FMC Corporation

April 21, 2023

Enbridge (U.S.) Inc.

July 10, 2023

5.317 %  

2 unchanged sentences

2,500,000  

FMC Corporation

April 27, 2023

Enbridge (U.S.) Inc.

July 10, 2023

5.317 %  

2 unchanged sentences

2,500,000  

Glencore Funding LLC

April 3, 2023

General Motors Financial Company, Inc.

5.296 %  

2 unchanged sentences

3,500,000  

April 24, 2023

General Motors Financial Company, Inc.

July 20, 2023

5.368 %  

2 unchanged sentences

2,500,000  

April 6, 2023

Glencore Funding LLC

July 13, 2023

5.341 %  

2 unchanged sentences

7,500,000  

Marriott International, Inc.

April 24, 2023

Harley-Davidson Financial Services, Inc.

July 14, 2023

5.602 %  

2 unchanged sentences

2,500,000  

Oracle Corporation

April 14, 2023

Harley-Davidson Financial Services, Inc.

August 1, 2023

5.728 %  

2 unchanged sentences

2,500,000  

Oracle Corporation

July 28, 2023

5.651 %  

2 unchanged sentences

2,500,000  

Stanley Black & Decker, Inc.

April 28, 2023

Walgreens Boots Alliance, Inc.

5.674 %  

3 unchanged sentences

Walgreens Boots Alliance, Inc.

April 10, 2023

July 13, 2023

5.707 %  

3 unchanged sentences

Walgreens Boots Alliance, Inc.

April 12, 2023

July 14, 2023

5.737 %  

2 unchanged sentences

2,500,000  

WGL Holdings, Inc.

July 11, 2023

5.584 %  

2,493,125  

2,496,181  

2,500,000  

Total Commercial Paper

11 unchanged sentences

$ 31,801,350  

Percentage of

Notional Amount

(Long Exposure)

Commodity futures contracts

United States corn futures contracts

CBOT Corn Futures JUL23

CBOT corn futures DEC23

7,636,709  

160 unchanged sentences

Three months ended

March 31, 2023

March 31, 2022

Six months ended

Six months ended

June 30, 2023

June 30, 2022

June 30, 2023

June 30, 2022

Realized and unrealized gain (loss) on trading of commodity futures contracts:

2 unchanged sentences

$ 22,454,084  

Net change in unrealized (depreciation)/appreciation on commodity futures contracts

$ ( 11,461,380 )  

$ 39,023,065  

Net change in unrealized depreciation on commodity futures contracts

( 8,746,928 )  

( 47,449,038 )  

( 12,046,288 )  

( 27,554,708 )

Interest income

1 unchanged sentence

531,679  

2,722,600  

618,304  

Total (loss) income

1 unchanged sentence

( 24,463,275 )  

( 20,785,068 )  

12,086,661  

Management fees

1 unchanged sentence

724,521  

584,444  

1,102,802  

Professional fees

1 unchanged sentence

117,588  

191,610  

282,087  

Distribution and marketing fees

1 unchanged sentence

331,091  

507,012  

626,686  

Custodian fees and expenses

1 unchanged sentence

18,490  

54,803  

35,004  

Business permits and licenses fees

3 unchanged sentences

58,709  

46,207  

86,184  

Total expenses

1 unchanged sentence

1,255,263  

1,393,374  

2,153,621  

Expenses waived by the Sponsor

( 221,478 )  

Total expenses, net

1 unchanged sentence

1,033,785  

1,393,374  

1,807,766  

Net (loss) income

1 unchanged sentence

$ ( 25,497,060 )  

$ ( 22,178,442 )  

$ 10,278,895  

Net (loss) gain per share

1 unchanged sentence

$ ( 2.11 )  

$ ( 4.68 )  

$ 3.48  

Net (loss) gain per weighted average share

1 unchanged sentence

$ ( 2.51 )  

$ ( 4.72 )  

$ 1.24  

Weighted average shares outstanding

1 unchanged sentence

10,146,433  

4,696,413  

8,266,993  

The accompanying notes are an integral part of these financial statements.

1 unchanged sentence

STATEMENTS OF CHANGES IN NET ASSETS

Three months ended

Three months ended

March 31, 2023

March 31, 2022

Six months ended

Six months ended

June 30, 2023

June 30, 2022

Net (loss) income

35 unchanged sentences

STATEMENTS OF CASH FLOWS

Three months ended

Three months ended

March 31, 2023

March 31, 2022

Six months ended

Six months ended

June 30, 2023

June 30, 2022

Cash flows from operating activities:

5 unchanged sentences

12,046,288  

( 19,894,329 )

27,554,708  

Changes in operating assets and liabilities:

1 unchanged sentence

( 3,775,693 )  

77,143  

( 27,101,825 )

Interest receivable

( 45,260 )  

Due to broker

( 18,335 )  

5 unchanged sentences

Other liabilities

( 18,029 )  

Net cash (used in) provided by operating activities

22 unchanged sentences

NOTES TO FINANCIAL STATEMENTS

March 31, 2023

June 30, 2023

Note 1 –

30 unchanged sentences

It is suggested that these interim financial statements be read in conjunction with the financial statements and related notes included in the Trust’s Annual Report on Form 10 -K, as well as the most recent Form S- 1 filing, as applicable.

The operating results for the three months ended March 31, 2023 are not necessarily indicative of the results to be expected for the full year ending December 31, 2023.

The operating results for the three and six months ended June 30, 2023 are not necessarily indicative of the results to be expected for the full year ending December 31, 2023.

Subject to the terms of the Trust Agreement, Teucrium Trading, LLC, in its capacity as the Sponsor (“Sponsor”), may terminate a Fund at any time, regardless of whether the Fund has incurred losses, including, for instance, if it determines that the Fund’s aggregate net assets in relation to its operating expenses make the continued operation of the Fund unreasonable or imprudent.

45 unchanged sentences

A summary of these expenses is included below:

Three months ended March 31, 2023

Three months ended March 31, 2022

Three months ended June 30, 2023

Three months ended June 30, 2022

Six months ended June 30, 2023

Six months ended June 30, 2022

Amount Recognized for Custody Services

1 unchanged sentence

$ 18,490  

$ 54,803  

$ 35,004  

Amount of Custody Services Waived

$ 4,000  

$ 4,000  

Amount Recognized for Distribution Services

1 unchanged sentence

$ 15,890  

$ 19,955  

$ 32,629  

Amount of Distribution Services Waived

$ 10,708  

Amount Recognized for Wilmington Trust

Amount of Wilmington Trust Waived

$ 17,010  

Amount Recognized for Thales

1 unchanged sentence

$ 31,725  

$ 9,832  

$ 58,918  

Amount of Thales Waived

21 unchanged sentences

The Sponsor recognizes the expense for brokerage commissions for futures contract trades on a per-trade basis.

The below table shows the amounts included on the statements of operations as total brokerage commissions paid inclusive of unrealized loss for the three months ended March 31, 2023 and 2022 .

Three months ended March 31, 2023

The below table shows the amounts included on the statements of operations as total brokerage commissions paid inclusive of unrealized loss for the three and six months ended June 30, 2023 and 2022 .

Three months ended June 30, 2023

$ 13,898  

Three months ended March 31, 2022

Three months ended June 30, 2022

$ 102,336  

Six months ended June 30, 2023

$ 31,168  

Six months ended June 30, 2022

$ 133,575  

For federal income tax purposes, the Fund will be treated as a publicly traded partnership.

12 unchanged sentences

De-recognition of a tax benefit previously recognized results in the Fund recording a tax liability that reduces net assets.

Based on its analysis, the Fund has determined that it has not incurred any liability for unrecognized tax benefits as of March 31, 2023 and for the years ended December 31, 2022 , 2021 , and 2020 .

Based on its analysis, the Fund has determined that it has not incurred any liability for unrecognized tax benefits as of June 30, 2023 and for the years ended December 31, 2022 , 2021 , and 2020 .

However, the Fund’s conclusions regarding this policy may be subject to review and adjustment at a later date based on factors including, but not limited to, ongoing analysis of and changes to tax laws, regulations, and interpretations thereof.

The Fund recognizes interest accrued related to unrecognized tax benefits and penalties related to unrecognized tax benefits in income tax fees payable, if assessed.

No interest expense or penalties have been recognized as of and for the three months ended March 31, 2023 and 2022 .

No interest expense or penalties have been recognized as of and for the three and six months ended June 30, 2023 and 2022 .

The Fund may be subject to potential examination by U.S.

27 unchanged sentences

The Sponsor may invest a portion of the cash held by the broker in short term Treasury Bills as collateral for open futures contracts, which is classified as a cash equivalent and is not FDIC insured.

March 31, 2023

June 30, 2023

December 31, 2022

62 unchanged sentences

Such expenses are primarily recorded as distribution and marketing fees in the financial statements of each Fund.

Three months ended March 31, 2023

Three months ended March 31, 2022

Three months ended June 30, 2023

Three months ended June 30, 2022

Six months ended June 30, 2023

Six months ended June 30, 2022

Recognized Related Party Transactions

1 unchanged sentence

$ 249,320  

$ 351,270  

$ 482,817  

Waived Related Party Transactions

$ 111,525  

$ 149,721  

The Sponsor has the ability to elect to pay certain expenses on behalf of the Funds or waive the management fee.

2 unchanged sentences

The Sponsor has determined that there will be no recovery sought for the amounts below in any future period:

Three months ended March 31, 2023

Three months ended March 31, 2022

Three months ended June 30, 2023

Three months ended June 30, 2022

$ 221,478  

Six months ended June 30, 2023

Six months ended June 30, 2022

$ 345,855  

Use of Estimates

31 unchanged sentences

When such a situation exists on a quarter close, the Sponsor will calculate the Net Asset Value (“NAV”) on a particular day using the Level 1 valuation but will later recalculate the NAV for the impacted Fund based upon the valuation inputs from these alternative verifiable sources (Level 2 or Level 3 ) and will report such NAV in its applicable financial statements and reports.

On March 31, 2023 and December 31, 2022 , in the opinion of the Trust and the Fund, the reported value at the close of the market for each commodity contract fairly reflected the value of the futures and no alternative valuations were required.

On June 30, 2023 and December 31, 2022 , in the opinion of the Trust and the Fund, the reported value at the close of the market for each commodity contract fairly reflected the value of the futures and no alternative valuations were required.

The determination is made as of the settlement of the futures contracts on the last day of trading for the reporting period.

In making the determination of a Level 1 or Level 2 transfer, the Fund considers the average volume of the specific underlying futures contracts traded on the relevant exchange for the periods being reported.

For the three months ended March 31, 2023  and year ended December 31, 2022 , the Fund did not have any significant transfers between any of the levels of the fair value hierarchy.

For the three months ended June 30, 2023  and year ended December 31, 2022 , the Fund did not have any significant transfers between any of the levels of the fair value hierarchy.

The Fund records its derivative activities at fair value.

21 unchanged sentences

The Fund’s assets and liabilities recorded at fair value have been categorized based upon a fair value hierarchy as described in the Fund’s significant accounting policies in Note 3.

The following table presents information about the Fund’s assets and liabilities measured at fair value as of March 31, 2023 and December 31, 2022 :

March 31, 2023

The following table presents information about the Fund’s assets and liabilities measured at fair value as of June 30, 2023 and December 31, 2022 :

June 30, 2023

Balance as of

March 31, 2023

June 30, 2023

Cash Equivalents

1 unchanged sentence

$ 68,057,484  

Commodity Futures Contracts

Corn futures contracts

798,350  

798,350  

$ 82,091,469  

$ 82,091,469  

Balance as of

March 31, 2023

June 30, 2023

Commodity Futures Contracts

20 unchanged sentences

For the 

three months ended March 31, 2023 and year ended December 31, 2022 , the Fund did not have any significant transfers between any of the levels of the fair value hierarchy. 

three and six months ended June 30, 2023 and year ended December 31, 2022 , the Fund did not have any significant transfers between any of the levels of the fair value hierarchy. 

See the Fair Value - Definition and Hierarchy section in Note 3 above for an explanation of the transfers into and out of each level of the fair value hierarchy.

6 unchanged sentences

In addition to its primary underlying risks, the Fund is also subject to additional counterparty risk due to inability of its counterparties to meet the terms of their contracts.

For the three months ended March 31, 2023 and year ended December 31, 2022 , the Fund invested only in commodity futures contracts.

For the three and six months ended June 30, 2023 and year ended December 31, 2022 , the Fund invested only in commodity futures contracts.

Futures Contracts

15 unchanged sentences

Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities.”

The following table also identifies the fair value amounts of derivative instruments included in the statements of assets and liabilities as derivative contracts, categorized by primary underlying risk, and held by the FCMs, Marex and StoneX as of March 31, 2023 , and December 31, 2022 .

The following table also identifies the fair value amounts of derivative instruments included in the statements of assets and liabilities as derivative contracts, categorized by primary underlying risk, and held by the FCMs, Marex and StoneX as of June 30, 2023 , and December 31, 2022 .

*The amount of collateral presented in Collateral, Due from Broker, is limited to the liability for the futures contracts and accordingly does not include the excess collateral pledged.

Offsetting of Financial Assets and Derivative Assets as of March 31, 2023

(iii) = (i)-(ii)

(v)=(iii)-(iv)

Gross Amount Not Offset in the Statement of Assets and Liabilities

Gross Amount of Recognized Assets

Gross Amount Offset in the Statement of Assets and Liabilities

Net Amount Presented in the Statement of Assets and Liabilities

Futures Contracts Available for Offset

Collateral, Due to Broker

Commodity Price

Corn futures contracts

$ 798,350  

$ 798,350  

$ 798,350  

Offsetting of Financial Liabilities and Derivative Liabilities as of March 31, 2023

Offsetting of Financial Liabilities and Derivative Liabilities as of June 30, 2023

(iii) = (i)-(ii)

11 unchanged sentences

$ 13,427,593  

$ 4,680,665  

Offsetting of Financial Assets and Derivative Assets as of December 31, 2022

16 unchanged sentences

Gross Amount Not Offset in the Statement of Assets and Liabilities

Gross Amount of Recognized Assets

Gross Amount of Recognized Liabilities

Gross Amount Offset in the Statement of Assets and Liabilities

9 unchanged sentences

The following tables identify the net gain and loss amounts included in the statements of operations as realized and unrealized gains and losses on trading of commodity futures contracts categorized by primary underlying risk:

Three months ended March 31, 2023

Three months ended June 30, 2023

Realized Loss on Commodity Futures Contracts

4 unchanged sentences

$ ( 8,746,928 )

Three months ended March 31, 2022

Three months ended June 30, 2022

Realized Gain on Commodity Futures Contracts

Net Change in Unrealized Appreciation on Commodity Futures Contracts

Net Change in Unrealized Depreciation on Commodity Futures Contracts

Commodity Price

1 unchanged sentence

$ 22,454,084  

$ ( 47,449,038 )

Six months ended June 30, 2023

Realized Loss on Commodity Futures Contracts

Net Change in Unrealized Depreciation on Commodity Futures Contracts

Commodity Price

Corn futures contracts

$ ( 11,461,380 )  

$ ( 12,046,288 )

Six months ended June 30, 2022

Realized Gain on Commodity Futures Contracts

Net Change in Unrealized Depreciation on Commodity Futures Contracts

Commodity Price

Corn futures contracts

$ 39,023,065  

$ ( 27,554,708 )

Volume of Derivative Activities

The average notional market value categorized by primary underlying risk for the futures contracts held was $ 126.4  million and $ 167.5  million respectively for the three months ended March 31, 2023 and for the three months ended March 31, 2022 .

The average notional market value categorized by primary underlying risk for the futures contracts held was $ 96.6  million and $ 111.5  million respectively for the three and six months ended June 30, 2023 and $ 286.2 million and $ 226.8 million respectively for the three and six months ended June 30, 2022 .

Note 6 –

Financial Highlights

The following tables present per unit performance data and other supplemental financial data for the three months ended March 31, 2023 and 2022 .

The following tables present per unit performance data and other supplemental financial data for the three and six months ended June 30, 2023 and 2022 .

This information has been derived from information presented in the financial statements and is presented with total expenses gross of expenses waived by the Sponsor and with total expenses net of expenses waived by the Sponsor, as appropriate.

1 unchanged sentence

Three months ended

March 31, 2023

March 31, 2022

Six months ended

Six months ended

June 30, 2023

June 30, 2022

June 30, 2023

June 30, 2022

Per Share Operation Performance

2 unchanged sentences

$ 27.17  

$ 26.90  

$ 21.58  

Income from investment operations:

2 unchanged sentences

( 3.19 )  

( 2.06 )  

( 4.96 )  

Total expenses, net

( 0.16 )  

( 0.10 )  

( 0.30 )  

Net (decrease) increase in net asset value

( 3.05 )  

( 2.11 )  

( 4.68 )  

Net asset value at end of period

2 unchanged sentences

$ 22.22  

$ 25.06  

- 12.07 %  

- 7.76 %  

- 17.38 %  

Ratios to Average Net Assets (Annualized)

1 unchanged sentence

2.71 %  

1.73 %  

2.38 %  

Total expenses, net

2.71 %  

1.43 %  

2.38 %  

Net investment income (loss)

2.25 %  

- 0.69 %  

2.27 %  

The financial highlights per share data are calculated consistent with the methodology used to calculate asset-based fees and expenses.

5 unchanged sentences

Subsequent Events

Management has evaluated the financial statements for the quarter-ended March 31, 2023 for subsequent events through the date of this filing and noted no material events requiring either recognition through the date of the filing or disclosure herein for the Fund.

Management has evaluated the financial statements for the quarter-ended June 30, 2023 for subsequent events through the date of this filing and noted no material events requiring either recognition through the date of the filing or disclosure herein for the Fund.

TEUCRIUM SOYBEAN FUND

STATEMENTS OF ASSETS AND LIABILITIES

March 31, 2023

June 30, 2023

December 31, 2022

9 unchanged sentences

818,350  

2,520,370  

Due from broker

35 unchanged sentences

SCHEDULE OF INVESTMENTS

March 31, 2023

June 30, 2023

Percentage of

16 unchanged sentences

Commercial Paper

Brookfield Infrastructure Holdings (Canada) Inc.

April 18, 2023

5.147 %  

$ 2,468,438  

$ 2,494,038  

2,500,000  

Brookfield Infrastructure Holdings (Canada) Inc.

September 20, 2023

5.352 %  

2 unchanged sentences

2,500,000  

Conagra Brands, Inc.

April 14, 2023

Bayer Corporation

July 10, 2023

5.200 %  

2 unchanged sentences

2,500,000  

Harley-Davidson Financial Services, Inc.

April 6, 2023

CNH Industrial Capital LLC

August 17, 2023

5.396 %  

2 unchanged sentences

2,500,000  

Oracle Corporation

April 14, 2023

Enbridge (U.S.) Inc.

July 10, 2023

5.317 %  

2 unchanged sentences

2,500,000  

Oracle Corporation

General Motors Financial Company, Inc.

August 9, 2023

5.397 %  

3 unchanged sentences

Walgreens Boots Alliance, Inc.

April 3, 2023

July 14, 2023

5.737 %  

12 unchanged sentences

United States soybean futures contracts

CBOT soybean futures JUL23

$ 337,375  

$ 13,279,500  

CBOT soybean futures NOV23

1 unchanged sentence

$ 13,231,013  

CBOT soybean futures NOV24

CBOT soybean futures JAN24

767,339  

3 unchanged sentences

$ 24,476,376  

Percentage of

Notional Amount

(Long Exposure)

Commodity futures contracts

United States soybean futures contracts

CBOT soybean futures NOV24

$ 685,954  

1.86 %  

$ 12,429,525  

The accompanying notes are an integral part of these financial statements.

104 unchanged sentences

Three months ended

March 31, 2023

March 31, 2022

Six months ended

Six months ended

June 30, 2023

June 30, 2022

June 30, 2023

June 30, 2022

Realized and unrealized gain (loss) on trading of commodity futures contracts:

Realized gain on commodity futures contracts

Realized (loss) gain on commodity futures contracts

$ ( 1,108,023 )  

$ 2,645,146  

Net change in unrealized (depreciation)/appreciation on commodity futures contracts

$ ( 40,479 )  

$ 9,697,847  

Net change in unrealized appreciation/depreciation on commodity futures contracts

1,311,668  

( 2,827,976 )  

( 2,387,974 )  

( 1,913,259 )

Interest income

1 unchanged sentence

156,528  

Total (loss) income

944,785  

184,364  

Total income (loss)

636,807  

( 26,302 )  

( 1,483,668 )  

7,968,952  

Management fees

1 unchanged sentence

201,951  

201,405  

337,666  

Professional fees

1 unchanged sentence

21,564  

154,009  

85,551  

Distribution and marketing fees

1 unchanged sentence

72,420  

171,739  

199,586  

Custodian fees and expenses

13,874  

17,315  

11,006  

Business permits and licenses fees

10,965  

14,071  

General and administrative expenses

26,799  

10,965  

36,397  

Total expenses

1 unchanged sentence

334,492  

566,398  

684,277  

Expenses waived by the Sponsor

( 38,146 )  

Total expenses, net

1 unchanged sentence

296,346  

Net (loss) income

566,398  

594,715  

Net (loss) gain per share

Net income (loss)

$ 320,311  

$ ( 322,648 )  

Net (loss) gain per weighted average share

$ ( 2,050,066 )  

$ 7,374,237  

Net gain (loss) per share

$ 0.14  

$ 0.31  

$ ( 1.17 )  

$ 4.30  

Net gain (loss) per weighted average share

$ 0.24  

$ 0.11  

$ ( 1.37 )  

$ 2.94  

Weighted average shares outstanding

1 unchanged sentence

2,881,323  

1,497,380  

2,506,772  

The accompanying notes are an integral part of these financial statements.

1 unchanged sentence

STATEMENTS OF CHANGES IN NET ASSETS

Three months ended

Three months ended

March 31, 2023

March 31, 2022

Six months ended

Six months ended

June 30, 2023

June 30, 2022

Net (loss) income

35 unchanged sentences

STATEMENTS OF CASH FLOWS

Three months ended

Three months ended

March 31, 2023

March 31, 2022

Six months ended

Six months ended

June 30, 2023

June 30, 2022

Cash flows from operating activities:

3 unchanged sentences

Adjustments to reconcile net (loss) income to net cash (used in) provided by operating activities:

Net change in unrealized depreciation/(appreciation) on commodity futures contracts

Net change in unrealized depreciation on commodity futures contracts

2,387,974  

1,913,259  

Changes in operating assets and liabilities:

1 unchanged sentence

( 2,294,720 )  

( 1,759,296 )

Interest receivable

2 unchanged sentences

Due to broker

1,264,293  

Management fee payable to Sponsor

3 unchanged sentences

( 6,787 )  

37,744  

Net cash (used in) provided by operating activities

22 unchanged sentences

NOTES TO FINANCIAL STATEMENTS

March 31, 2023

June 30, 2023

Note 1 –

29 unchanged sentences

It is suggested that these interim financial statements be read in conjunction with the financial statements and related notes included in the Trust’s Annual Report on Form 10 -K, as well as the most recent Form S- 1 filing, as applicable.

The operating results for the three months ended March 31, 2023 are not necessarily indicative of the results to be expected for the full year ending December 31, 2023. 

The operating results for the three and six months ended June 30, 2023 are not necessarily indicative of the results to be expected for the full year ending December 31, 2023. 

Subject to the terms of the Trust Agreement, Teucrium Trading, LLC, in its capacity as the Sponsor (“Sponsor”), may terminate a Fund at any time, regardless of whether the Fund has incurred losses, including, for instance, if it determines that the Fund’s aggregate net assets in relation to its operating expenses make the continued operation of the Fund unreasonable or imprudent.

46 unchanged sentences

    

Three months ended March 31, 2023

Three months ended March 31, 2022

Three months ended June 30, 2023

Three months ended June 30, 2022

Six months ended June 30, 2023

Six months ended June 30, 2022

Amount Recognized for Custody Services

1 unchanged sentence

$ 5,464  

$ 17,315  

$ 11,006  

Amount of Custody Services Waived

$ 4,000  

$ 4,000  

Amount Recognized for Distribution Services

1 unchanged sentence

$ 4,795  

$ 7,172  

$ 10,384  

Amount of Distribution Services Waived

$ 3,962  

Amount Recognized for Wilmington Trust

Amount of Wilmington Trust Waived

Amount Recognized for Thales

1 unchanged sentence

$ 9,042  

$ 3,541  

$ 17,771  

Amount of Thales Waived

20 unchanged sentences

the Sponsor recognizes the expense for brokerage commissions for futures contract trades on a per-trade basis.

The below table shows the amounts included on the statements of operations as total brokerage commissions paid inclusive of unrealized loss for the three months ended March 31, 2023 and 2022 .

Three months ended March 31, 2023

The below table shows the amounts included on the statements of operations as total brokerage commissions paid inclusive of unrealized loss for the three and six months ended June 30, 2023 and 2022 .

Three months ended June 30, 2023

$ 2,439  

Three months ended March 31, 2022

Three months ended June 30, 2022

$ 8,686  

Six months ended June 30, 2023

$ 8,779  

Six months ended June 30, 2022

$ 15,206  

For federal income tax purposes, each Fund will be treated as a publicly traded partnership.

12 unchanged sentences

De-recognition of a tax benefit previously recognized results in the Fund recording a tax liability that reduces net assets.

Based on its analysis, the Fund has determined that it has not incurred any liability for unrecognized tax benefits as of March 31, 2023 and for the years ended December 31, 2022 , 2021 , and 2020 .

Based on its analysis, the Fund has determined that it has not incurred any liability for unrecognized tax benefits as of June 30, 2023 and for the years ended December 31, 2022 , 2021 , and 2020 .

However, the Fund’s conclusions regarding this policy may be subject to review and adjustment at a later date based on factors including, but not limited to, ongoing analysis of and changes to tax laws, regulations, and interpretations thereof.

The Fund recognizes interest accrued related to unrecognized tax benefits and penalties related to unrecognized tax benefits in income tax fees payable, if assessed.

No interest expense or penalties have been recognized as of and for the three months ended March 31, 2023 and 2022 . 

No interest expense or penalties have been recognized as of and for the three and six months ended June 30, 2023 and 2022 . 

The Fund may be subject to potential examination by U.S.

27 unchanged sentences

The Sponsor may invest a portion of the cash held by the FCM in short term Treasury Bills as collateral for open futures contracts, which is classified as a cash equivalent and is not FDIC insured.

March 31, 2023

June 30, 2023

December 31, 2022

62 unchanged sentences

Such expenses are primarily recorded as distribution and marketing fees in the financial statements of each Fund.

Three months ended March 31, 2023

Three months ended March 31, 2022

Three months ended June 30, 2023

Three months ended June 30, 2022

Six months ended June 30, 2023

Six months ended June 30, 2022

Recognized Related Party Transactions

1 unchanged sentence

$ 74,713  

$ 125,685  

$ 152,146  

Waived Related Party Transactions

$ 7,089  

$ 32,056  

The Sponsor has the ability to elect to pay certain expenses on behalf of the Funds or waive the management fee.

2 unchanged sentences

The Sponsor has determined that there will be no recovery sought for the amounts below in any future period:

Three months ended March 31, 2023

Three months ended March 31, 2022

Three months ended June 30, 2023

Three months ended June 30, 2022

$ 38,146  

Six months ended June 30, 2023

Six months ended June 30, 2022

$ 89,562  

Use of Estimates

29 unchanged sentences

When such a situation exists on a quarter close, the Sponsor will calculate the NAV on a particular day using the Level 1 valuation but will later recalculate the NAV for the impacted Fund based upon the valuation inputs from these alternative verifiable sources (Level 2 or Level 3 ) and will report such NAV in its applicable financial statements and reports.

On March 31, 2023 and December 31, 2022 , in the opinion of the Trust and the Fund, the reported value at the close of the market for each commodity contract fairly reflected the value of the futures and no alternative valuations were required.

On June 30, 2023 and December 31, 2022 , in the opinion of the Trust and the Fund, the reported value at the close of the market for each commodity contract fairly reflected the value of the futures and no alternative valuations were required.

The determination is made as of the settlement of the futures contracts on the last day of trading for the reporting period.

In making the determination of a Level 1 or Level 2 transfer, the Fund considers the average volume of the specific underlying futures contracts traded on the relevant exchange for the periods being reported.

For the three months ended March 31, 2023 and year ended December 31, 2022 , the Fund did not have any significant transfers between any of the levels of the fair value hierarchy.

For the three months ended June 30, 2023 and year ended December 31, 2022 , the Fund did not have any significant transfers between any of the levels of the fair value hierarchy.

The Fund records its derivative activities at fair value.

21 unchanged sentences

The Fund’s assets and liabilities recorded at fair value have been categorized based upon a fair value hierarchy as described in the Fund’s significant accounting policies in Note 3.

The following table presents information about the Fund’s assets and liabilities measured at fair value as of March 31, 2023 and December 31, 2022 :

March 31, 2023

The following table presents information about the Fund’s assets and liabilities measured at fair value as of June 30, 2023 and December 31, 2022 :

June 30, 2023

Balance as of

March 31, 2023

June 30, 2023

Cash Equivalents

1 unchanged sentence

$ 28,617,632  

Commodity Futures Contracts

Soybean futures contracts

818,350  

818,350  

$ 29,435,982  

$ 29,435,982  

Balance as of

March 31, 2023

June 30, 2023

Commodity Futures Contracts

14 unchanged sentences

$ 55,589,444  

For the three months ended March 31, 2023 and year ended December 31, 2022 , the Fund did not have any significant transfers between any of the levels of the fair value hierarchy.

For the three and six months ended June 30, 2023 and year ended December 31, 2022 , the Fund did not have any significant transfers between any of the levels of the fair value hierarchy.

See the Fair Value - Definition and Hierarchy section in Note 3 above for an explanation of the transfers into and out of each level of the fair value hierarchy.

6 unchanged sentences

In addition to its primary underlying risks, the Fund is also subject to additional counterparty risk due to inability of its counterparties to meet the terms of their contracts.

For the three months ended March 31, 2023 and year ended December 31, 2022 , the Fund invested only in commodity futures contracts.

For the three and six months ended June 30, 2023 and year ended December 31, 2022 , the Fund invested only in commodity futures contracts.

Futures Contracts

15 unchanged sentences

Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities.”

The following table also identifies the fair value amounts of derivative instruments included in the statements of assets and liabilities as derivative contracts, categorized by primary underlying risk, and held by the FCMs, Marex and StoneX as of March 31, 2023 , and December 31, 2022 .

The following table also identifies the fair value amounts of derivative instruments included in the statements of assets and liabilities as derivative contracts, categorized by primary underlying risk, and held by the FCMs, Marex and StoneX as of June 30, 2023 , and December 31, 2022 .

*The amount of collateral presented in Collateral, Due from Broker, is limited to the liability for the futures contracts and accordingly does not include the excess collateral pledged.

Offsetting of Financial Liabilities and Derivative Liabilities as of March 31, 2023

Offsetting of Financial Assets and Derivative Assets as of 

June 30, 2023

(iii) = (i)-(ii)

1 unchanged sentence

Gross Amount Not Offset in the Statement of Assets and Liabilities

Gross Amount of Recognized Assets

Gross Amount Offset in the Statement of Assets and Liabilities

Net Amount Presented in the Statement of Assets and Liabilities

Futures Contracts Available for Offset

Collateral, Due to Broker

Commodity Price

Soybean futures contracts

$ 818,350  

$ 818,350  

$ 685,954  

$ 132,396  

Offsetting of Financial Liabilities and Derivative Liabilities as of June 30, 2023

(iii) = (i)-(ii)

(v)=(iii)-(iv)

Gross Amount Not Offset in the Statement of Assets and Liabilities

Gross Amount of Recognized Liabilities

23 unchanged sentences

The following is a summary of realized and unrealized gains and losses of the derivative instruments utilized by the Fund:

Three months ended March 31, 2023

Three months ended June 30, 2023

Realized Loss on Commodity Futures Contracts

Net Change in Unrealized Appreciation on Commodity Futures Contracts

Commodity Price

Soybean futures contracts

$ ( 1,108,023 )  

$ 1,311,668  

Three months ended June 30, 2022

    

Realized Gain on Commodity Futures Contracts

4 unchanged sentences

$ ( 2,827,976 )

Three months ended March 31, 2022

    

Realized Gain on Commodity Futures Contracts

Net Change in Unrealized Appreciation on Commodity Futures Contracts

Six months ended June 30, 2023

Realized Loss on Commodity Futures Contracts

Net Change in Unrealized Depreciation on Commodity Futures Contracts

Commodity Price

1 unchanged sentence

$ ( 40,479 )  

$ ( 2,387,974 )

Six months ended June 30, 2022

Realized Gain on Commodity Futures Contracts

Net Change in Unrealized Depreciation on Commodity Futures Contracts

Commodity Price

Soybean futures contracts

$ 9,697,847  

$ ( 1,913,259 )

Volume of Derivative Activities

The average notional market value categorized by primary underlying risk for all futures contracts held was $ 42.6  million and $ 56.8  million respectively for the three months ended March 31, 2023  and for the three months ended March 31, 2022 .

The average notional market value categorized by primary underlying risk for all futures contracts held was $ 34.2  million and $ 38.4  million respectively for the three and six months ended June 30, 2023  and $ 80.3 million and $ 68.5 million respectively for the three and six months ended June 30, 2022 .

Note 6 –

Financial Highlights

The following tables present per unit performance data and other supplemental financial data for the three months ended March 31, 2023 and 2022 .

The following tables present per unit performance data and other supplemental financial data for the three and six months ended June 30, 2023 and 2022 .

This information has been derived from information presented in the financial statements and is presented with total expenses gross of expenses waived by the Sponsor and with total expenses net of expenses waived by the Sponsor, as appropriate.

2 unchanged sentences

Three months ended

March 31, 2023

March 31, 2022

Six months ended

Six months ended

June 30, 2023

June 30, 2022

June 30, 2023

June 30, 2022

Per Share Operation Performance

2 unchanged sentences

$ 26.76  

$ 28.50  

$ 22.77  

Income from investment operations:

Investment income

Net realized and unrealized (loss) gain on commodity futures contracts

Net realized and unrealized gain (loss) on commodity futures contracts

( 1.42 )  

1 unchanged sentence

( 0.24 )  

Net (decrease) increase in net asset value

( 0.10 )  

( 0.38 )  

Net increase (decrease) in net asset value

( 1.17 )  

Net asset value at end of period

2 unchanged sentences

$ 27.33  

$ 27.07  

0.52 %  

1.14 %  

- 4.12 %  

Ratios to Average Net Assets (Annualized)

1 unchanged sentence

3.65 %  

1.66 %  

2.81 %  

Total expenses, net

3.65 %  

1.47 %  

2.81 %  

Net investment income (loss)

1.35 %  

- 0.69 %  

1.88 %  

The financial highlights per share data are calculated consistent with the methodology used to calculate asset-based fees and expenses.

5 unchanged sentences

Subsequent Events

Management has evaluated the financial statements for the quarter-ended March 31, 2023 for subsequent events through the date of this filing and noted no material events requiring either recognition through the date of the filing or disclosure herein for the Fund.

Management has evaluated the financial statements for the quarter-ended June 30, 2023 for subsequent events through the date of this filing and noted no material events requiring either recognition through the date of the filing or disclosure herein for the Fund.

TEUCRIUM SUGAR FUND

STATEMENTS OF ASSETS AND LIABILITIES

March 31, 2023

June 30, 2023

December 31, 2022

12 unchanged sentences

979,197  

447,801  

Total equity in trading accounts

3 unchanged sentences

24,370,244  

Payable for shares redeemed

1,587,650  

Management fee payable to Sponsor

5 unchanged sentences

97,357  

Due to broker

85,128  

Total equity in trading accounts

2,101,900  

85,128  

Total liabilities

17 unchanged sentences

SCHEDULE OF INVESTMENTS

March 31, 2023

June 30, 2023

Percentage of

16 unchanged sentences

Commercial Paper

Crown Castle Inc.

April 25, 2023

CNH Industrial Capital LLC

August 17, 2023

5.396 %  

2 unchanged sentences

2,500,000  

April 28, 2023

Enbridge (U.S.) Inc.

July 10, 2023

5.317 %  

2 unchanged sentences

2,500,000  

Oracle Corporation

Glencore Funding LLC

July 13, 2023

5.341 %  

2 unchanged sentences

2,500,000  

Harley-Davidson Financial Services, Inc.

August 1, 2023

5.728 %  

2,466,886  

2,487,923  

2,500,000  

Walgreens Boots Alliance, Inc.

April 10, 2023

July 14, 2023

5.737 %  

12 unchanged sentences

United States sugar futures contracts

ICE sugar futures JUL23

ICE sugar futures MAR24

$ 772,957  

$ 8,126,865  

ICE sugar futures OCT23

ICE sugar futures MAY24

148,913  

6,955,962  

ICE sugar futures MAR24

Total commodity futures contracts

$ 921,870  

$ 15,082,827  

Total commodity futures contracts

Percentage of

Notional Amount

(Long Exposure)

Commodity futures contracts

United States sugar futures contracts

ICE sugar futures MAR25

$ 97,357  

78 unchanged sentences

Three months ended

March 31, 2023

March 31, 2022

Six months ended

Six months ended

June 30, 2023

June 30, 2022

June 30, 2023

June 30, 2022

Realized and unrealized gain (loss) on trading of commodity futures contracts:

2 unchanged sentences

$ 401,262  

Net change in unrealized appreciation on commodity futures contracts

$ 8,747,622  

$ 471,423  

Net change in unrealized depreciation on commodity futures contracts

( 3,141,505 )  

( 2,174,684 )  

( 1,688 )  

( 1,266,942 )

Interest income

3 unchanged sentences

72,490  

Total income (loss)

4,697,906  

( 1,711,630 )  

9,448,620  

Management fees

1 unchanged sentence

87,825  

147,633  

142,431  

Professional fees

1 unchanged sentence

146,054  

41,785  

Distribution and marketing fees

1 unchanged sentence

44,085  

98,691  

92,055  

Custodian fees and expenses

11,202  

12,238  

Business permits and licenses fees

16,794  

11,121  

25,011  

General and administrative expenses

12,320  

10,404  

16,528  

Total expenses

1 unchanged sentence

173,004  

426,141  

323,044  

Expenses waived by the Sponsor

( 49,371 )  

Total expenses, net

3 unchanged sentences

244,807  

Net gain per share

Net income (loss)

$ 4,441,988  

$ ( 1,835,263 )  

Net gain per weighted average share

$ 9,022,479  

$ ( 967,836 )

Net gain (loss) per share

$ 1.26  

$ ( 0.30 )  

$ 3.19  

$ 0.09  

Net gain (loss) per weighted average share

$ 1.70  

$ ( 0.50 )  

$ 3.57  

Weighted average shares outstanding

1 unchanged sentence

3,644,509  

2,530,114  

3,036,330  

The accompanying notes are an integral part of these financial statements.

1 unchanged sentence

STATEMENTS OF CHANGES IN NET ASSETS

Three months ended

Three months ended

March 31, 2023

March 31, 2022

$ 4,580,491  

Six months ended

Six months ended

June 30, 2023

June 30, 2022

Net income (loss)

$ 9,022,479  

$ ( 967,836 )

Capital transactions

33 unchanged sentences

(Unaudited)  

Three months ended

Three months ended

March 31, 2023

March 31, 2022

Six months ended

Six months ended

June 30, 2023

June 30, 2022

Cash flows from operating activities:

$ 4,580,491  

Net income (loss)

$ 9,022,479  

Adjustments to reconcile net income to net cash provided by operating activities:

Net change in unrealized (appreciation) on commodity futures contracts

$ ( 967,836 )

Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

Net change in unrealized depreciation on commodity futures contracts

1,266,942  

2 unchanged sentences

( 531,396 )  

535,983  

( 1,547,470 )

Interest receivable

1 unchanged sentence

( 19,593 )  

Due to broker

2,101,900  

525,266  

Management fee payable to Sponsor

Other liabilities

12,016  

Net cash provided by operating activities

Other liabilities

( 614 )  

Net cash provided by (used in) operating activities

8,468,318  

( 1,253,738 )

Cash flows from financing activities:

19 unchanged sentences

NOTES TO FINANCIAL STATEMENTS

March 31, 2023

June 30, 2023

Note 1 –

30 unchanged sentences

It is suggested that these interim financial statements be read in conjunction with the financial statements and related notes included in the Trust’s Annual Report on Form 10 -K, as well as the most recent Form S- 1 filing, as applicable.

The operating results for the three months ended March 31, 2023 are not necessarily indicative of the results to be expected for the full year ending December 31, 2023.

The operating results for the three and six months ended June 30, 2023 are not necessarily indicative of the results to be expected for the full year ending December 31, 2023.

Subject to the terms of the Trust Agreement, Teucrium Trading, LLC, in its capacity as the Sponsor (“Sponsor”), may terminate a Fund at any time, regardless of whether the Fund has incurred losses, including, for instance, if it determines that the Fund’s aggregate net assets in relation to its operating expenses make the continued operation of the Fund unreasonable or imprudent.

45 unchanged sentences

A summary of these expenses is included below:

Three months ended March 31, 2023

Three months ended March 31, 2022

Three months ended June 30, 2023

Three months ended June 30, 2022

Six months ended June 30, 2023

Six months ended June 30, 2022

Amount Recognized for Custody Services

1 unchanged sentence

$ 2,959  

Amount of Custody Services Waived

Amount Recognized for Distribution Services

$ 12,238  

$ 5,234  

Amount of Distribution Services Waived

$ 1,852  

Amount Recognized for Wilmington Trust

Amount of Wilmington Trust Waived

Amount Recognized for Thales

$ 4,272  

Amount of Thales Waived

Note 3 –

Summary of Significant Accounting Policies

Basis of Presentation

The accompanying financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“U.S.

GAAP”) as detailed in the Financial Accounting Standards Board’s Accounting Standards Codification.

Revenue Recognition

Commodity futures contracts are recorded on the trade date.

All such transactions are recorded on the identified cost basis and marked to market daily.

Unrealized appreciation or depreciation on commodity futures contracts are reflected in the statements of operations as the difference between the original contract amount and the fair market value as of the last business day of the year or as of the last date of the financial statements.

Changes in the appreciation or depreciation between periods are reflected in the statements of operations.

Interest on cash equivalents with financial institutions are recognized on the accrual basis.

The Fund seeks to earn interest on funds held at the custodian and other financial institutions at prevailing market rates for such investments.

The Sponsor invests a portion of cash in commercial paper, which is deemed a cash equivalent based on the rating and duration of contracts as described in the notes to the financial statements and reflected in cash and cash equivalents on the statements of assets and liabilities and on the statements of cash flows.

Accretion on these investments is recognized using the effective interest method in U.S.

dollars and included in interest income on the statements of operations. 

The Sponsor invests a portion of the cash held by the broker in short term Treasury Bills as collateral for open futures contracts.

Accretion on these investments is recognized using the effective interest method in U.S.

dollars and included in interest income on the statements of operations.

Brokerage Commissions

The Sponsor recognizes the expense for brokerage commissions for futures contract trades on a per-trade basis.

The below table shows the amounts included on the statements of operations as total brokerage commissions paid inclusive of unrealized loss for the three months ended March 31, 2023 and 2022 .

Three months ended March 31, 2023

$ 6,055  

Three months ended March 31, 2022

$ 6,196  

For federal income tax purposes, the Fund will be treated as a publicly traded partnership.

A publicly traded partnership is generally treated as a corporation for federal income tax purposes unless 90% or more of the publicly traded partnership’s gross income for each taxable year of its existence consists of qualifying income as defined in section 7704 (d) of the Internal Revenue Code of 1986, as amended.

Qualifying income is defined as generally including, in pertinent part, interest (other than from a financial business), dividends, and gains from the sale or disposition of capital assets held for the production of interest or dividends.

In the case of a partnership of which a principal activity is the buying and selling of commodities, other than as inventory, or of futures, forwards and options with respect to commodities, qualifying income also includes income and gains from commodities and from futures, forwards, options with respect to commodities and, provided the partnership is a trader or investor with respect to such assets, swaps and other notional principal contracts with respect to commodities.

The Fund expects that at least 90% of the Fund’s gross income for each taxable year will consist of qualifying income and that the Fund will be taxed as a partnership for federal income tax purposes.

The Fund does not record a provision for income taxes because the shareholders report their share of the Fund’s income or loss on their income tax returns.

The financial statements reflect the Fund’s transactions without adjustment, if any, required for income tax purposes.

The Fund is required to determine whether a tax position is more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals or litigation processes, based on the technical merits of the position.

The Fund files an income tax return in the U.S.

federal jurisdiction and may file income tax returns in various U.S.

states and foreign jurisdictions.

For all tax years 2020 to 2022, the Fund remains subject to income tax examinations by major taxing authorities.

The tax benefit recognized is measured as the largest amount of benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement.

De-recognition of a tax benefit previously recognized results in the Fund recording a tax liability that reduces net assets.

Based on its analysis, the Fund has determined that it has not incurred any liability for unrecognized tax benefits as of March 31, 2023 and for the years ended December 31, 2022 , 2021 , and 2020 .

However, the Fund’s conclusions regarding this policy may be subject to review and adjustment at a later date based on factors including, but not limited to, ongoing analysis of and changes to tax laws, regulations, and interpretations thereof. 

The Fund recognizes interest accrued related to unrecognized tax benefits and penalties related to unrecognized tax benefits in income tax fees payable, if assessed.

No interest expense or penalties have been recognized as of and for the three months ended March 31, 2023 and 2022 .

The Fund may be subject to potential examination by U.S.

federal, U.S.

state, or foreign jurisdictional authorities in the area of income taxes.

These potential examinations may include questioning the timing and amount of deductions, the nexus of income among various tax jurisdictions, and compliance with U.S.

federal, U.S.

state and foreign tax laws.

Creations and Redemptions

Authorized Purchasers may purchase Creation Baskets consisting of 25,000 shares from the Fund.

The amount of the proceeds required to purchase a Creation Basket will be equal to the NAV of the shares in the Creation Basket determined as of 4:00 p.m.

(ET) on the day the order to create the basket is received in good order.

Authorized Purchasers may redeem shares from the Fund only in blocks of 25,000 shares called “Redemption Baskets.”

The amount of the redemption proceeds for a Redemption Basket will be equal to the NAV of the shares in the Redemption Basket determined as of 4:00 p.m.

(ET) on the day the order to redeem the basket is received in good order.

The Fund receives or pays the proceeds from shares sold or redeemed within three business days after the trade date of the purchase or redemption.

The amounts due from Authorized Purchasers are reflected in the Fund’s statements of assets and liabilities as capital shares receivable.

Amounts payable to Authorized Purchasers upon redemption are reflected in the Fund’s statements of assets and liabilities as payable for shares redeemed.

As outlined in the most recent Form S- 1 filing, 50,000 shares represents two Redemption Baskets for the Fund and a minimum level of shares.

If the Fund experienced redemptions that caused the number of Shares outstanding to decrease to the minimum level of Shares required to be outstanding, until the minimum number of Shares is again exceeded through the purchase of a new Creation Basket, there can be no more redemptions by an Authorized Purchaser.

Allocation of Shareholder Income and Losses

Profit or loss is allocated among the shareholders of the Fund in proportion to the number of shares each shareholder holds as of the close of each month. 

Cash and Cash Equivalents

Cash equivalents are highly liquid investments with maturity dates of 90 days or less when acquired.

The Trust reported its cash equivalents in the statements of assets and liabilities at market value, or at carrying amounts that approximate fair value, because of their highly liquid nature and short-term maturities.

Each Fund that is a series of the Trust has the balance of its cash equivalents on deposit with financial institutions.

The Fund holds a balance in money market funds that is included in cash and cash equivalents on the statements of assets and liabilities.

The Sponsor invests a portion of the available cash for the Funds in alternative demand deposit savings accounts, which is classified as cash and not as cash equivalents.

Assets deposited with the bank may, at times, exceed federally insured limits.

The Sponsor invests a portion of the available cash for the Funds in investment grade commercial paper with durations of 90 days or less, which is classified as a cash equivalent and is not FDIC insured.

The Sponsor may invest a portion of the cash held by the broker in short term Treasury Bills as collateral for open futures contracts, which is classified as a cash equivalent and is not FDIC insured.

March 31, 2023

December 31, 2022

Money Market Funds

$ 13,063,495  

$ 9,920,499  

Demand Deposit Savings Accounts

3,102,292  

3,069,677  

Commercial Paper

9,966,550  

9,987,304  

Total cash and cash equivalents as presented on the Statement of Assets and Liabilities

$ 26,132,337  

$ 22,977,480  

Due from/to Broker

The amount recorded by the Fund for the amount due from and to the clearing broker includes, but is not limited to, cash held by the broker, amounts payable to the clearing broker related to open transactions, payables for commodities futures accounts liquidating to an equity balance on the clearing broker’s records, and amounts of brokerage commissions paid and recognized as unrealized losses.

Margin is the minimum amount of funds that must be deposited by a commodity interest trader with the trader’s broker to initiate and maintain an open position in futures contracts.

A margin deposit acts to assure the trader’s performance of the futures contracts purchased or sold.

Futures contracts are customarily bought and sold on initial margin that represents a very small percentage of the aggregate purchase or sales price of the contract.

Because of such low margin requirements, price fluctuations occurring in the futures markets may create profits and losses that, in relation to the amount invested, are greater than customary in other forms of investment or speculation.

As discussed below, adverse price changes in the futures contract may result in margin requirements that greatly exceed the initial margin.

In addition, the amount of margin required in connection with a particular futures contract is set from time to time by the exchange on which the contract is traded and may be modified from time to time by the exchange during the term of the contract.

Brokerage firms, such as the Fund’s clearing brokers, carrying accounts for traders in commodity interest contracts generally require higher amounts of margin as a matter of policy to further protect themselves.

Over the counter trading generally involves the extension of credit between counterparties, so the counterparties may agree to require the posting of collateral by one or both parties to address credit exposure.

When a trader purchases an option, there is no margin requirement;

however, the option premium must be paid in full.

When a trader sells an option, on the other hand, he or she is required to deposit margin in an amount determined by the margin requirements established for the underlying interest and, in addition, an amount substantially equal to the current premium for the option.

The margin requirements imposed on the selling of options, although adjusted to reflect the probability that out-of-the-money options will not be exercised, can in fact be higher than those imposed in dealing in the futures markets directly.

Complicated margin requirements apply to spreads and conversions, which are complex trading strategies in which a trader acquires a mixture of options positions and positions in the underlying interest.

Ongoing or “maintenance”

margin requirements are computed each day by a trader’s clearing broker.

When the market value of a particular open futures contract changes to a point where the margin on deposit does not satisfy maintenance margin requirements, a margin call is made by the broker.

If the margin call is not met within a reasonable time, the broker may close out the trader’s position.

With respect to the Fund’s trading, the Fund (and not its shareholders personally) is subject to margin calls.

Finally, many major U.S.

exchanges have passed certain cross margining arrangements involving procedures pursuant to which the futures and options positions held in an account would, in the case of some accounts, be aggregated and margin requirements would be assessed on a portfolio basis, measuring the total risk of the combined positions. 

Calculation of Net Asset Value

The Fund’s NAV is calculated by:

Taking the current market value of its total assets and

Subtracting any liabilities.

The administrator, Global Fund Services, calculates the NAV of the Fund once each trading day.

It calculates the NAV as of the earlier of the close of the NYSE or 4:00 p.m.

The NAV for a particular trading day is released after 4:15 p.m.

In determining the value of Sugar Futures Contracts, the administrator uses the ICE closing price.

The administrator determines the value of all other Fund investments as of the earlier of the close of the NYSE or 4:00 p.m.

The value of over-the-counter sugar interests is determined based on the value of the commodity or futures contract underlying such sugar interest, except that a fair value may be determined if the Sponsor believes that the Fund is subject to significant credit risk relating to the counterparty to such sugar interest.

For purposes of financial statements and reports, the Sponsor will recalculate the NAV where necessary to reflect the “fair value”

of a Futures Contract when the Futures Contract closes at its price fluctuation limit for the day.

Short term Treasury securities held by the Fund are valued by the administrator using values received from recognized third -party vendors and dealer quotes.

NAV includes any unrealized profit or loss on open sugar interests and any other income or expense accruing to the Fund but unpaid or not received by the Fund.

Sponsor Fee, Allocation of Expenses and Related Party Transactions

The Sponsor is responsible for investing the assets of the Fund in accordance with the objectives and policies of the Fund.

In addition, the Sponsor arranges for one or more third parties to provide administrative, custodial, accounting, transfer agency and other necessary services to the Trust and the Funds.

In addition, the Sponsor has elected not to outsource services directly attributable to the Trust and the Funds such as accounting, financial reporting, regulatory compliance, and trading activities, which the Sponsor performs itself.

In addition, the Fund is contractually obligated to pay a monthly management fee to the Sponsor, based on average daily net assets, at a rate equal to 1.00 % per annum.

The Fund generally pays for all brokerage fees, taxes, and other expenses, including licensing fees for the use of intellectual property, registration or other fees paid to the SEC, FINRA, or any other regulatory agency in connection with the offer and sale of subsequent Shares after its initial registration and all legal, accounting, printing and other expenses associated therewith.

The Fund also pays its portion of the fees and expenses associated with the Trust’s tax accounting and reporting requirements.

Certain aggregate expenses common to all Funds within the Trust are allocated by the Sponsor to the respective Fund based on activity drivers deemed most appropriate by the Sponsor for such expenses, including but not limited to relative assets under management and creation order activity.

These aggregate common expenses include, but are not limited to, legal, auditing, accounting and financial reporting, tax-preparation, regulatory compliance, trading activities, and insurance costs, as well as fees paid to the Distributor, which are included in the related line item in the statements of operations.

A portion of these aggregate common expenses are related to the Sponsor or related parties of principals of the Sponsor;

these are necessary services to the Funds, which are primarily the cost of performing accounting and financial reporting, regulatory compliance, and trading activities that are directly attributable to the Fund.

Such expenses are primarily recorded as distribution and marketing fees in the financial statements of each Fund.

Three months ended March 31, 2023

Three months ended March 31, 2022

Recognized Related Party Transactions

$ 23,761  

$ 36,129  

Waived Related Party Transactions

$ 6,782  

The Sponsor has the ability to elect to pay certain expenses on behalf of the Funds or waive the management fee.

This election is subject to change by the Sponsor, at its discretion.

Expenses paid by the Sponsor and Management fees waived by the Sponsor are, if applicable, presented as waived expenses in the statements of operations for each Fund.

The Sponsor has determined that there will be no recovery sought for the amounts below in any future period:

Three months ended March 31, 2023

Three months ended March 31, 2022

$ 28,866  

Use of Estimates

The preparation of financial statements in conformity with U.S.

GAAP requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of the revenue and expenses during the reporting period.

Actual results could differ from those estimates.

Fair Value –

Definition and Hierarchy

In accordance with U.S.

GAAP, fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e., the “exit price”) in an orderly transaction between market participants at the measurement date.

In determining fair value, the Fund uses various valuation approaches.

In accordance with U.S.

GAAP, a fair value hierarchy for inputs is used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available.

Observable inputs are those that market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund.

Unobservable inputs reflect the Fund’s assumptions about the inputs market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.

The fair value hierarchy is categorized into three levels based on the inputs as follows:

Level 1 –

Valuations based on unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.

Valuation adjustments and block discounts are not applied to Level 1 financial instruments.

Since valuations are based on quoted prices that are readily and regularly available in an active market, valuation of these financial instruments does not entail a significant degree of judgment.

Level 2 –

Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.

Level 3 –

Valuations based on inputs that are unobservable and significant to the overall fair value measurement.

The availability of valuation techniques and observable inputs can vary from financial instrument to financial instrument and is affected by a wide variety of factors including, the type of financial instrument, whether the financial instrument is new and not yet established in the marketplace, and other characteristics particular to the transaction.

To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment.

Those estimated values do not necessarily represent the amounts that may be ultimately realized due to the occurrence of future circumstances that cannot be reasonably determined.

Because of the inherent uncertainty of valuation, those estimated values may be materially higher or lower than the values that would have been used had a ready market for the financial instruments existed.

Accordingly, the degree of judgment exercised by the Fund in determining fair value is greatest for financial instruments categorized in Level 3.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy.

In such cases, for disclosure purposes, the level in the fair value hierarchy, within which the fair value measurement in its entirety falls, is determined based on the lowest level input that is significant to the fair value measurement. 

Fair value is a market-based measure considered from the perspective of a market participant rather than an entity-specific measure.

Therefore, even when market assumptions are not readily available, the Fund’s own assumptions are set to reflect those that market participants would use in pricing the asset or liability at the measurement date.

The Fund uses prices and inputs that are current as of the measurement date, including periods of market dislocation.

In periods of market dislocation, the observability of prices and inputs may be reduced for many financial instruments.

This condition could cause a financial instrument to be reclassified to a lower level within the fair value hierarchy.

When such a situation exists on a quarter close, the Sponsor will calculate the NAV on a particular day using the Level 1 valuation but will later recalculate the NAV for the impacted Fund based upon the valuation inputs from these alternative verifiable sources (Level 2 or Level 3 ) and will report such NAV in its applicable financial statements and reports.

On March 31, 2023 and December 31, 2022 , in the opinion of the Trust and the Fund, the reported value of the Sugar Futures Contracts traded on the ICE fairly reflected the value of the Sugar Futures Contracts held by the Fund, and no adjustments were necessary.

The determination is made as of the settlement of the futures contracts on the last day of trading for the reporting period.

In making the determination of a Level 1 or Level 2 transfer, the Fund considers the average volume of the specific underlying futures contracts traded on the relevant exchange for the periods being reported.

For the three months ended March 31, 2023 and year ended December 31, 2022 , the Fund did not have any significant transfers between any of the levels of the fair value hierarchy.

The Fund records its derivative activities at fair value.

Gains and losses from derivative contracts are included in the statements of operations.

Derivative contracts include futures contracts related to commodity prices.

Futures, which are listed on a national securities exchange, such as the CBOT and the ICE, or reported on another national market, are generally categorized in Level 1 of the fair value hierarchy.

OTC derivatives contracts (such as forward and swap contracts) which may be valued using models, depending on whether significant inputs are observable or unobservable, are categorized in Levels 2 or 3 of the fair value hierarchy.

Expenses are recorded using the accrual method of accounting.

Net Income (Loss) per Share

Net income (loss) per share is the difference between the NAV per unit at the beginning of each period and at the end of each period.

The weighted average number of units outstanding was computed for purposes of disclosing net income (loss) per weighted average unit.

The weighted average units are equal to the number of units outstanding at the end of the period, adjusted proportionately for units created or redeemed based on the amount of time the units were outstanding during such period.

New Accounting Pronouncements

The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) issued ASU 2023 - 01, related to Leases –

(Topic 842 ).

The response to concerns about applying Topic 842 to related party arrangements between entities under common control.

The update was adopted early for the quarter ended March 31, 2023;

the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund.

The FASB issued ASU 2022 - 03, related to fair value measurement (Topic 820 ) of equity securities subject to contractual sale restrictions.

Under the clarified guidance, contractual restrictions on the sale of an equity security are not considered part of the unit of account of the equity security and, therefore, are not considered in measuring fair value, however they do require disclosures.

The amendment was adopted for the quarter ended June 30, 2022;

the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund.

Note 4 –

Fair Value Measurements

The Fund’s assets and liabilities recorded at fair value have been categorized based upon a fair value hierarchy as described in the Fund’s significant accounting policies in Note 3.

The following table presents information about the Fund’s assets and liabilities measured at fair value as of March 31, 2023 and December 31, 2022 :

March 31, 2023

Balance as of

March 31, 2023

Cash Equivalents

$ 23,030,045  

$ 23,030,045  

Commodity Futures Contracts

Sugar futures contracts

3,966,018  

3,966,018  

$ 26,996,063  

$ 26,996,063  

December 31, 2022

Balance as of

December 31, 2022

Cash Equivalents

$ 19,907,803  

$ 19,907,803  

Sugar futures contracts

911,329  

911,329  

$ 20,819,132  

$ 20,819,132  

Balance as of

December 31, 2022

Sugar futures contracts

$ 85,128  

$ 85,128  

For the 

three months ended March 31, 2023 and year ended December 31, 2022 , the Fund did not have any significant transfers between any of the levels of the fair value hierarchy.

See the Fair Value –

Definition and Hierarchy section in Note 3 above for an explanation of the transfers into and out of each level of the fair value hierarchy.

Note 5 –

Derivative Instruments and Hedging Activities

In the normal course of business, the Fund utilizes derivative contracts in connection with its proprietary trading activities.

Investments in derivative contracts are subject to additional risks that can result in a loss of all or part of an investment.

The Fund’s derivative activities and exposure to derivative contracts are classified by the following primary underlying risks:

interest rate, credit, commodity price, and equity price risks.

In addition to its primary underlying risks, the Fund is also subject to additional counterparty risk due to inability of its counterparties to meet the terms of their contracts.

For the three months ended March 31, 2023 and year ended December 31, 2022 , the Fund invested only in commodity futures contracts.

Futures Contracts

The Fund is subject to commodity price risk in the normal course of pursuing its investment objectives.

A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.

The purchase and sale of futures contracts requires margin deposits with an FCM.

Subsequent payments (variation margin) are made or received by the Fund each day, depending on the daily fluctuations in the value of the contract, and are recorded as unrealized gains or losses by the Fund.

Futures contracts may reduce the Fund’s exposure to counterparty risk since futures contracts are exchange-traded;

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

The Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM’s proprietary activities.

A customer’s cash and other equity deposited with an FCM are considered commingled with all other customer funds subject to the FCM’s segregation requirements.

In the event of an FCM’s insolvency, recovery may be limited to the Fund’s pro rata share of segregated customer funds available.

It is possible that the recovery amount could be less than the total of cash and other equity deposited.

The following table discloses information about offsetting assets and liabilities presented in the statements of assets and liabilities to enable users of these financial statements to evaluate the effect or potential effect of netting arrangements for recognized assets and liabilities.

These recognized assets and liabilities are presented as defined in FASB ASU No.

2011 - 11 “Balance Sheet (Topic 210 ):

Disclosures about Offsetting Assets and Liabilities”

and subsequently clarified in FASB ASU 2013 - 01 “Balance Sheet (Topic 210 ):

Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities.”

The following table also identifies the fair value amounts of derivative instruments included in the statements of assets and liabilities as derivative contracts, categorized by primary underlying risk, and held by the FCMs, Marex and StoneX as of March 31, 2023 , and December 31, 2022 .

*The amount of collateral presented in Collateral, Due from Broker, is limited to the liability for the futures contracts and accordingly does not include the excess collateral pledged.

Offsetting of Financial Assets and Derivative Assets as of March 31, 2023

(iii) = (i)-(ii)

(v)=(iii)-(iv)

Gross Amount Not Offset in the Statement of Assets and Liabilities

Gross Amount of Recognized Assets

Gross Amount Offset in the Statement of Assets and Liabilities

Net Amount Presented in the Statement of Assets and Liabilities

Futures Contracts Available for Offset

Collateral, Due to Broker

Commodity Price

Sugar futures contracts

$ 3,966,018  

$ 3,966,018  

$ 2,101,900  

$ 1,864,118  

Offsetting of Financial Assets and Derivative Assets as of December 31, 2022

(iii) = (i)-(ii)

(v)=(iii)-(iv)

Gross Amount Not Offset in the Statement of Assets and Liabilities

Gross Amount of Recognized Assets

Gross Amount Offset in the Statement of Assets and Liabilities

Net Amount Presented in the Statement of Assets and Liabilities

Futures Contracts Available for Offset

Collateral, Due to Broker

Commodity Price

Sugar futures contracts

$ 911,329  

$ 911,329  

$ 85,128  

$ 826,201  

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2022

(iii) = (i)-(ii)

(v)=(iii)-(iv)

Gross Amount Not Offset in the Statement of Assets and Liabilities

Gross Amount of Recognized Liabilities

Gross Amount Offset in the Statement of Assets and Liabilities

Net Amount Presented in the Statement of Assets and Liabilities

Futures Contracts Available for Offset

Collateral, Due from Broker*

Commodity Price

Sugar futures contracts

$ 85,128  

$ 85,128  

$ 85,128  

The following tables identify the net gain and loss amounts included in the statements of operations as realized and unrealized gains and losses on trading of commodity futures contracts categorized by primary underlying risk:

Three months ended March 31, 2023

Realized Gain on Commodity Futures Contracts

Net Change in Unrealized Appreciation on Commodity Futures Contracts

Commodity Price

Sugar futures contracts

Amount of Custody Services Waived

$ 1,068  

$ 1,068  

Three months ended March 31, 2022

Realized Gain on Commodity Futures Contracts

Net Change in Unrealized Appreciation on Commodity Futures Contracts

Commodity Price

Sugar futures contracts

Amount Recognized for Distribution Services

$ 2,159  

$ 2,229  

Volume of Derivative Activities

The average notional market value categorized by primary underlying risk for all futures contracts held were $ 25.7  million and $ 21.4  million respectively for the three months ended March 31, 2023 and for the three months ended March 31, 2022 .

Note 6 –

Financial Highlights

The following table presents per unit performance data and other supplemental financial data for the three months ended March 31, 2023 and 2022 .

This information has been derived from information presented in the financial statements and is presented with total expenses gross of expenses waived by the Sponsor and with total expenses net of expenses waived by the Sponsor, as appropriate.

Three months ended

Three months ended

March 31, 2023

March 31, 2022

Per Share Operation Performance

Net asset value at beginning of period

$ 3,707  

$ 4,736  

Income (loss) from investment operations:

Investment income

Net realized and unrealized gain on commodity futures contracts

Total expenses, net

Amount of Distribution Services Waived

$ 1,479  

Net increase in net asset value

Net asset value at end of period

$ 3,331  

Amount Recognized for Thales

$ 1,110  

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.