Teucrium Commodity Trust 10-Q

tags20240331_10q.htm Table of Contents UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-Q ☒ Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the quarterly period ended March 31, 2024 . OR ☐ Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the transition period from _________ to _________ . Commission File Number: 001-34765 Teucrium Commodity Trust (Exact name of registrant as specified in its charter) Delaware 27-0724963 (State or other jurisdiction of (I.R.S. Employer incorporation or organization) Identification No.) Three Main Street, Suite 215 Burlington , VT 05401 (Address of principal executive offices) (Zip code) ( 802 ) 540-0019 (Registrant ’ s telephone number, including area code) Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. ☒ Yes ☐ No Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). ☒ Yes ☐ No Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, smaller reporting company or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act. Large accelerated filer ☐ Accelerated filer ☐ Non-accelerated Filer ☒ Smaller reporting company ☒ Emerging growth company ☐ If an emerging growth company, indicate by a check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐ Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). ☐ Yes ☒ No Indicate the number of shares outstanding of each of the issuer’s classes of common stock, as of the last practicable date. Total Number of Outstanding Shares as of May 9, 2024 Teucrium Corn Fund 3,550,004 Teucrium Sugar Fund 1,075,004 Teucrium Soybean Fund 1,350,004 Teucrium Wheat Fund 26,750,004 Teucrium Agricultural Fund 512,502 Table of Contents TEUCRIUM COMMODITY TRUST Table of Contents Page Part I. FINANCIAL INFORMATION Item 1. Financial Statements 3 Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations 4 Item 3. Quantitative and Qualitative Disclosures About Market Risk 50 Item 4. Controls and Procedures 54 Part II. OTHER INFORMATION Item 1. Legal Proceedings 55 Item 1A. Risk Factors 55 Item 2. Unregistered Sales of Equity Securities and Use of Proceeds 56 Item 3. Defaults Upon Senior Securities 58 Item 4. Mine Safety Disclosures 58 Item 5. Other Information 58 Item 6. Exhibits 59 2 Table of Contents Part I. FINANCIAL INFORMATION Item 1. Financial Statements. Index to Financial Statements Documents Page TEUCRIUM COMMODITY TRUST Combined Statements of Assets and Liabilities at March 31, 2024 (Unaudited) and December 31, 2023 F-1 Combined Schedule of Investments at March 31, 2024 (Unaudited) and December 31, 2023 F-2 Combined Statements of Operations (Unaudited) for the three months ended March 31, 2024 and 2023 F-6 Combined Statements of Changes in Net Assets (Unaudited) for the three months ended March 31, 2024 and 2023 F-7 Combined Statements of Cash Flows (Unaudited) for the three months ended March 31, 2024 and 2023 F-8 Notes to Combined Financial Statements F-9 TEUCRIUM CORN FUND Statements of Assets and Liabilities at March 31, 2024 (Unaudited) and December 31, 2023 F-25 Schedule of Investments at March 31, 2024 (Unaudited) and December 31, 2023 F-26 Statements of Operations (Unaudited) for the three months ended March 31, 2024 and 2023 F-28 Statements of Changes in Net Assets (Unaudited) for the three months ended March 31, 2024 and 2023 F-29 Statements of Cash Flows (Unaudited) for the three months ended March 31, 2024 and 2023 F-30 Notes to Financial Statements F-31 TEUCRIUM SOYBEAN FUND Statements of Assets and Liabilities at March 31, 2024 (Unaudited) and December 31, 2023 F-46 Schedule of Investments at March 31, 2024 (Unaudited) and December 31, 2023 F-47 Statements of Operations (Unaudited) for the three months ended March 31, 2024 and 2023 F-49 Statements of Changes in Net Assets (Unaudited) for the three months ended March 31, 2024 and 2023 F-50 Statements of Cash Flows (Unaudited) for the three months ended March 31, 2024 and 2023 F-51 Notes to Financial Statements F-52 TEUCRIUM SUGAR FUND Statements of Assets and Liabilities at March 31, 2024 (Unaudited) and December 31, 2023 F-66 Schedule of Investments at March 31, 2024 (Unaudited) and December 31, 2023 F-67 Statements of Operations (Unaudited) for the three months ended March 31, 2024 and 2023 F-69 Statements of Changes in Net Assets (Unaudited) for the three months ended March 31, 2024 and 2023 F-70 Statements of Cash Flows (Unaudited) for the three months ended March 31, 2024 and 2023 F-71 Notes to Financial Statements F-72 TEUCRIUM WHEAT FUND Statements of Assets and Liabilities at March 31, 2024 (Unaudited) and December 31, 2023 F-85 Schedule of Investments at March 31, 2024 (Unaudited) and December 31, 2023 F-86 Statements of Operations (Unaudited) for the three months ended March 31, 2024 and 2023 F-88 Statements of Changes in Net Assets (Unaudited) for the three months ended March 31, 2024 and 2023 F-89 Statements of Cash Flows (Unaudited) for the three months ended March 31, 2024 and 2023 F-90 Notes to Financial Statements F-91 TEUCRIUM AGRICULTURAL FUND Statements of Assets and Liabilities at March 31, 2024 (Unaudited) and December 31, 2023 F-104 Schedule of Investments at March 31, 2024 (Unaudited) and December 31, 2023 F-105 Statements of Operations (Unaudited) for the three months ended March 31, 2024 and 2023 F-107 Statements of Changes in Net Assets (Unaudited) for the three months ended March 31, 2024 and 2023 F-108 Statements of Cash Flows (Unaudited) for the three months ended March 31, 2024 and 2023 F-109 Notes to Financial Statements F-110 HASHDEX BITCOIN FUTURES ETF Statements of Assets and Liabilities at March 31, 2024 (Unaudited) and December 31, 2023 F-121 Schedule of Investments at March 31, 2024 (Unaudited) and December 31, 2023 F-121 Statements of Operations (Unaudited) for the three months ended March 31, 2024 and 2023 F-124 Statements of Changes in Net Assets (Unaudited) for the three months ended March 31, 2024 and 2023 F-125 Statements of Cash Flows (Unaudited) for the three months ended March 31, 2024 and 2023 F-126 Notes to Financial Statements F-127 3 Table of Contents TEUCRIUM COMMODITY TRUST COMBINED STATEMENTS OF ASSETS AND LIABILITIES March 31, 2024 December 31, 2023 (Unaudited) Assets Cash and cash equivalents $ 253,695,600 $ 292,237,362 Interest receivable 253,928 410,596 Other assets 16,381 5,362 Equity in trading accounts: Commodity and cryptocurrency futures contracts 1,667,718 2,367,012 Due from broker 41,016,750 30,935,806 Total equity in trading accounts 42,684,468 33,302,818 Total assets $ 296,650,377 $ 325,956,138 Liabilities Management fee payable to Sponsor $ 228,413 $ 276,900 Other liabilities 281,114 242,982 Equity in trading accounts: Commodity and cryptocurrency futures contracts 18,352,042 10,888,842 Total liabilities 18,861,569 $ 11,408,724 Net Assets $ 277,788,808 $ 314,547,414 The accompanying notes are an integral part of these financial statements. F-1 Table of Contents TEUCRIUM COMMODITY TRUST COMBINED SCHEDULE OF INVESTMENTS March 31, 2024 (Unaudited) Percentage of Description: Assets Yield Cost Fair Value Net Assets Shares Cash equivalents Money market funds U.S. Bank Deposit Account 5.240 % $ 22,987,077 $ 22,987,077 8.28 % 22,987,077 Goldman Sachs Financial Square Government Fund - Institutional Class 5.210 % 82,672,927 82,672,927 29.76 82,672,927 Total money market funds $ 105,660,004 $ 105,660,004 38.04 % Maturity Percentage of Principal Date Yield Cost Fair Value Net Assets Amount Commercial Paper American Electric Power Company, Inc. June 12, 2024 5.465 % $ 4,941,190 $ 4,946,401 1.78 % 5,000,000 Brookfield Infrastructure Holdings (Canada) Inc. April 23, 2024 5.844 % 2,465,045 2,491,261 0.90 2,500,000 Brookfield Infrastructure Holdings (Canada) Inc. May 7, 2024 5.834 % 2,465,106 2,485,725 0.89 2,500,000 Brookfield Infrastructure Holdings (Canada) Inc. May 9, 2024 5.710 % 4,946,334 4,970,444 1.79 5,000,000 Brookfield Infrastructure Holdings (Canada) Inc. May 14, 2024 5.782 % 2,464,625 2,483,098 0.89 2,500,000 Brookfield Infrastructure Holdings (Canada) Inc. May 16, 2024 5.772 % 4,929,376 4,964,688 1.79 5,000,000 Brookfield Infrastructure Holdings (Canada) Inc. May 22, 2024 5.780 % 2,466,590 2,479,954 0.89 2,500,000 Campbell Soup Company May 1, 2024 5.601 % 4,955,696 4,977,084 1.79 5,000,000 The Cigna Group April 5, 2024 5.501 % 2,970,300 2,998,200 1.08 3,000,000 Crown Castle Inc. April 18, 2024 5.530 % 9,945,600 9,974,312 3.59 10,000,000 EIDP, Inc. May 23, 2024 5.314 % 4,934,875 4,962,372 1.79 5,000,000 FMC Corporation April 22, 2024 5.755 % 2,487,815 2,491,746 0.90 2,500,000 General Motors Financial Company, Inc. April 23, 2024 5.511 % 4,932,500 4,983,500 1.79 5,000,000 General Motors Financial Company, Inc. April 29, 2024 5.408 % 3,465,928 3,485,545 1.25 3,500,000 Glencore Funding LLC April 16, 2024 5.490 % 7,456,125 7,483,125 2.69 7,500,000 Glencore Funding LLC April 30, 2024 5.493 % 4,964,750 4,978,250 1.79 5,000,000 Glencore Funding LLC May 10, 2024 5.475 % 7,440,597 7,456,287 2.68 7,500,000 Harley-Davidson Financial Services, Inc. April 26, 2024 5.700 % 2,482,111 2,490,278 0.90 2,500,000 Harley-Davidson Financial Services, Inc. May 16, 2024 5.815 % 4,943,792 4,964,376 1.79 5,000,000 National Fuel Gas Company April 4, 2024 5.544 % 7,476,113 7,496,588 2.70 7,500,000 Stanley Black & Decker, Inc. April 4, 2024 5.604 % 4,987,734 4,997,700 1.80 5,000,000 VW Credit, Inc. April 11, 2024 5.511 % 9,865,000 9,985,000 3.59 10,000,000 VW Credit, Inc. May 16, 2024 5.402 % 4,943,320 4,966,876 1.45 5,000,000 WGL Holdings, Inc. April 15, 2024 5.616 % 4,984,640 4,989,248 1.46 5,000,000 Total Commercial Paper $ 117,915,162 $ 118,502,058 41.97 % Total Cash Equivalents $ 224,162,062 80.01 % F- 2 Table of Contents Number of Percentage of Notional Amount Contracts Fair Value Net Assets (Long Exposure) Commodity and Cryptocurrency futures contracts United States corn futures contracts CBOT Corn Futures SEP24 901 $ 154,412 0.06 % $ 20,925,725 United States wheat futures contracts CBOT wheat futures SEP24 1,599 1,513,306 0.54 47,290,425 Total commodity and cryptocurrency futures contracts $ 1,667,718 0.60 % $ 68,216,150 Number of Percentage of Notional Amount Description: Liabilities Contracts Fair Value Net Assets (Long Exposure) Commodity and Cryptocurrency futures contracts United States corn futures contracts CBOT Corn Futures JUL24 1,072 $ 2,021,501 0.73 % $ 24,361,200 CBOT Corn Futures DEC24 1,022 1,911,222 0.69 24,413,025 United States soybean futures contracts CBOT soybean futures JUL24 197 308,999 0.11 11,871,713 CBOT soybean futures NOV24 172 478,846 0.17 10,201,750 CBOT soybean futures NOV25 204 7,131 0.00 11,860,050 United States sugar futures contracts ICE sugar futures JUL24 234 594,646 0.21 5,805,072 ICE sugar futures OCT24 201 83,984 0.03 4,963,896 ICE sugar futures MAR25 233 135,771 0.05 5,769,826 United States wheat futures contracts CBOT wheat futures JUL24 1,915 3,610,065 1.30 55,128,063 CBOT wheat futures DEC24 1,800 9,199,877 3.31 55,080,000 Total commodity and cryptocurrency futures contracts $ 18,352,042 6.60 % $ 209,454,595 Percentage of Exchange-traded funds* Cost Fair Value Net Assets Shares Teucrium Corn Fund $ 3,661,367 1.32 % 181,115 Teucrium Soybean Fund 3,574,703 1.29 142,076 Teucrium Sugar Fund 3,605,828 1.30 267,233 Teucrium Wheat Fund 3,673,518 1.32 682,062 Total exchange-traded funds $ 16,068,429 $ 14,515,416 5.23 % *The Trust eliminates the shares owned by the Teucrium Agricultural Fund from its combined statements of assets and liabilities due to the fact that these represent holdings of the other four Funds (“Underlying Funds”) owned by the Teucrium Agricultural Fund, which are included as shares outstanding of the Underlying Funds. The accompanying notes are an integral part of these financial statements. F- 3 Table of Contents TEUCRIUM COMMODITY TRUST COMBINED SCHEDULE OF INVESTMENTS December 31, 2023 Percentage of Description: Assets Yield Cost Fair Value Net Assets Shares Cash equivalents Money market funds U.S. Bank Deposit Account 5.270 % $ 39,325,186 $ 39,325,186 12.50 % 39,325,186 Goldman Sachs Financial Square Government Fund - Institutional Class 5.250 % 80,722,654 80,722,654 25.66 80,722,654 Total money market funds $ 120,047,840 $ 120,047,840 38.16 % Maturity Percentage of Principal Date Yield Cost Fair Value Net Assets Amount Commercial Paper Albemarle Corporation January 3, 2024 5.770 % $ 4,950,475 $ 4,998,428 1.59 % 5,000,000 Albemarle Corporation January 4, 2024 5.753 % 4,960,764 4,997,646 1.59 5,000,000 Albemarle Corporation January 8, 2024 5.738 % 4,952,302 4,994,526 1.59 5,000,000 Albemarle Corporation January 11, 2024 5.808 % 4,956,460 4,992,083 1.59 5,000,000 Brookfield Infrastructure Holdings (Canada) Inc. January 9, 2024 5.794 % 4,979,416 4,993,666 1.59 5,000,000 Brookfield Infrastructure Holdings (Canada) Inc. January 16, 2024 5.853 % 4,933,150 4,988,062 1.59 5,000,000 Brookfield Infrastructure Holdings (Canada) Inc. January 30, 2024 5.814 % 3,032,227 3,040,948 0.97 3,055,000 Entergy Corporation March 1, 2024 5.665 % 7,402,875 7,430,625 2.36 7,500,000 FMC Corporation January 19, 2024 5.816 % 7,466,634 7,478,550 2.38 7,500,000 General Motors Financial Company, Inc. January 18, 2024 5.617 % 7,420,795 7,480,486 2.38 7,500,000 General Motors Financial Company, Inc. January 24, 2024 5.661 % 4,941,417 4,982,271 1.58 5,000,000 General Motors Financial Company, Inc. February 9, 2024 5.700 % 7,397,667 7,454,648 2.37 7,500,000 Harley-Davidson Financial Services, Inc. January 9, 2024 5.843 % 4,949,066 4,993,634 1.59 5,000,000 Harley-Davidson Financial Services, Inc. February 1, 2024 5.867 % 7,441,200 7,462,800 2.37 7,500,000 Harley-Davidson Financial Services, Inc. February 14, 2024 5.927 % 7,421,323 7,446,741 2.37 7,500,000 National Fuel Gas Company January 8, 2024 5.867 % 4,960,800 4,994,400 1.59 5,000,000 National Fuel Gas Company January 26, 2024 5.941 % 2,478,948 2,489,879 0.79 2,500,000 Oracle Corporation March 6, 2024 5.562 % 4,934,904 4,950,799 1.57 5,000,000 Stanley Black & Decker, Inc. January 22, 2024 5.807 % 7,437,063 7,475,063 2.38 7,500,000 V.F. Corporation January 17, 2024 5.674 % 4,936,679 4,987,645 1.59 5,000,000 V.F. Corporation January 18, 2024 5.606 % 4,947,292 4,987,014 1.59 5,000,000 V.F. Corporation January 25, 2024 5.910 % 4,928,362 4,950,783 1.57 4,970,000 WGL Holdings, Inc. January 3, 2024 5.793 % 4,981,792 4,998,416 1.59 5,000,000 WGL Holdings, Inc. January 12, 2024 5.849 % 7,461,666 7,486,824 2.38 7,500,000 Walgreens Boots Alliance, Inc. January 12, 2024 6.028 % 7,950,009 7,985,529 2.54 8,000,000 Total Commercial Paper $ 142,223,286 $ 143,041,466 45.50 % Total Cash Equivalents $ 263,089,306 83.66 % F- 4 Table of Contents Number of Percentage of Notional Amount Contracts Fair Value Net Assets (Long Exposure) Commodity and Cryptocurrency futures contracts United States wheat futures contracts CBOT wheat futures MAY24 2,018 $ 363,500 0.12 % $ 64,525,550 CBOT wheat futures JUL24 1,711 1,873,993 0.60 55,243,913 United States CME Bitcoin futures contracts CME Bitcoin futures JAN24 6 129,519 0.04 1,274,550 Total commodity and cryptocurrency futures contracts $ 2,367,012 0.76 % $ 121,044,013 Number of Percentage of Notional Amount Description: Liabilities Contracts Fair Value Net Assets (Long Exposure) Commodity and Cryptocurrency futures contracts United States corn futures contracts CBOT corn futures MAY24 1,171 $ 1,102,254 0.35 % $ 28,338,200 CBOT corn futures JUL24 983 384,407 0.12 24,280,100 CBOT corn futures DEC24 1,128 695,480 0.22 28,397,400 United States soybean futures contracts CBOT soybean futures MAR24 156 617,118 0.20 10,124,400 CBOT soybean futures MAY24 133 633,749 0.20 8,693,213 CBOT soybean futures NOV24 164 140,794 0.04 10,215,150 United States sugar futures contracts ICE sugar futures MAY24 270 1,051,261 0.33 6,175,008 ICE sugar futures JUL24 233 1,128,473 0.36 5,326,193 ICE sugar futures MAR25 268 508,264 0.16 6,216,314 United States wheat futures contracts CBOT wheat futures DEC24 1,924 4,575,666 1.45 64,357,800 United States CME Bitcoin futures contracts CME Bitcoin futures FEB24 6 51,376 0.02 1,288,500 Total commodity and cryptocurrency futures contracts $ 10,888,842 3.45 % $ 193,412,278 Percentage of Exchange-traded funds* Cost Fair Value Net Assets Shares Teucrium Corn Fund $ 4,567,949 1.45 % 211,348 Teucrium Soybean Fund 4,546,758 1.45 168,219 Teucrium Sugar Fund 4,624,253 1.47 371,871 Teucrium Wheat Fund 4,662,940 1.48 779,782 Total exchange-traded funds $ 19,469,359 $ 18,401,900 5.85 % *The Trust eliminates the shares owned by the Teucrium Agricultural Fund from its combined statements of assets and liabilities due to the fact that these represent holdings of the Underlying Funds owned by the Teucrium Agricultural Fund, which are included as shares outstanding of the Underlying Funds. The accompanying notes are an integral part of these financial statements. F- 5 Table of Contents TEUCRIUM COMMODITY TRUST COMBINED STATEMENTS OF OPERATIONS (Unaudited) Three months ended Three months ended March 31, 2024 March 31, 2023 Income Realized and unrealized gain (loss) on trading of commodity futures contracts: Realized loss on commodity and cryptocurrency futures contracts $ ( 17,194,951 ) $ ( 26,591,126 ) Net change in unrealized depreciation on commodity and cryptocurrency futures contracts ( 7,969,968 ) ( 5,823,279 ) Interest income 3,704,387 4,331,014 Total loss ( 21,460,532 ) ( 28,083,391 ) Expenses Management fees 701,923 989,515 Professional fees 302,008 446,052 Distribution and marketing fees 947,591 927,712 Custodian fees and expenses 95,024 120,560 Business permits and licenses fees 56,338 34,617 General and administrative expenses 70,863 49,142 Other expenses 66 - Total expenses 2,173,813 2,567,598 Expenses waived by the Sponsor ( 131,847 ) ( 196,064 ) Total expenses, net 2,041,966 2,371,534 Net loss $ ( 23,502,498 ) $ ( 30,454,925 ) The accompanying notes are an integral part of these financial statements. F-6 Table of Contents TEUCRIUM COMMODITY TRUST COMBINED STATEMENTS OF CHANGES IN NET ASSETS (Unaudited)* Three months ended Three months ended March 31, 2024 March 31, 2023 Operations Net loss $ ( 23,502,498 ) $ ( 30,454,925 ) Capital transactions Distribution of Net Assets to Acquiring Fund ( 2,574,071 ) - Issuance of Shares 13,002,447 17,208,235 Redemption of Shares ( 26,854,784 ) ( 100,669,768 ) Net change in the cost of the Underlying Funds 3,170,300 5,715,382 Total capital transactions ( 13,256,108 ) ( 77,746,151 ) Net change in net assets ( 36,758,606 ) ( 108,201,076 ) Net assets, beginning of period 314,547,414 465,375,598 Net assets, end of period $ 277,788,808 $ 357,174,522 * The Hashdex Bitcoin Futures ETF was transferred to the Tidal Commodities Trust I as described in Note 1 to these financials. The accompanying notes are an integral part of these financial statements. F-7 Table of Contents TEUCRIUM COMMODITY TRUST COMBINED STATEMENTS OF CASH FLOWS (Unaudited)* Three months ended Three months ended March 31, 2024 March 31, 2023 Cash flows from operating activities: Net loss $ ( 23,502,498 ) $ ( 30,454,925 ) Adjustments to reconcile net loss to net cash used in operating activities: Net change in unrealized appreciation on commodity and cryptocurrency futures contracts 7,969,968 5,823,279 Changes in operating assets and liabilities: Due from broker ( 10,080,944 ) 5,668,407 Interest receivable 146,371 11,703 Other assets ( 722 ) ( 50,462 ) Due to broker - 2,101,900 Management fee payable to Sponsor ( 48,487 ) ( 122,242 ) Other liabilities 38,132 61,862 Net cash used in operating activities ( 25,478,180 ) ( 16,960,478 ) Cash flows from financing activities: Distribution to Acquiring Fund upon consummation of merger and liquidation agreement - see Note 1 to the finanical statements ( 2,381,545 ) - Proceeds from sale of Shares 13,002,447 18,185,376 Redemption of Shares ( 26,854,784 ) ( 110,853,683 ) Net change in cost of the Underlying Funds 3,170,300 5,715,382 Net cash used in financing activities ( 13,063,582 ) ( 86,952,925 ) Net change in cash and cash equivalents ( 38,541,762 ) ( 103,913,403 ) Cash and cash equivalents beginning of period 292,237,362 434,062,296 Cash and cash equivalents end of period $ 253,695,600 $ 330,148,893 * The Hashdex Bitcoin Futures ETF was transferred to the Tidal Commodities Trust I as described in Note 1 to these financials. The accompanying notes are an integral part of these financial statements. F-8 Table of Contents NOTES TO COMBINED FINANCIAL STATEMENTS March 31, 2024 (Unaudited) Note 1 – Organization and Operation Teucrium Commodity Trust (“Trust”), a Delaware statutory trust organized on September 11, 2009, is a series trust consisting of six series: Teucrium Corn Fund (“CORN”), Teucrium Sugar Fund (“CANE”), Teucrium Soybean Fund (“SOYB”), Teucrium Wheat Fund (“WEAT”), Teucrium Agricultural Fund (“TAGS”) and Hashdex Bitcoin Futures ETF (“DEFI”). As discussed elsewhere in this Form 10 -Q, the Trust, on behalf of its series, Hashdex Bitcoin Futures Fund ("Acquired Fund"), and Tidal Commodities Trust I, on behalf of its series, Hashdex Bitcoin Futures Fund, entered into an Agreement and Plan of Merger and Liquidation dated as of October 30, 2023 ( "Plan of Merger"). The Merger closed on the January 3, 2024. Upon such closing, the Plan of Merger caused all of the Acquired Fund's shares to be canceled and the Acquired Fund to be liquidated. All of these series of the Trust are collectively referred to as the “Funds” and singularly as the “Fund.” Collectively, CORN, CANE, SOYB, and WEAT are referred to as the “Agricultural Funds”. Each Fund is a commodity pool that is a series of the Trust. The Funds issue common units, called the “Shares,” representing fractional undivided beneficial interests in a Fund. Effective as of April 29, 2019, the Trust and the Funds operate pursuant to the Trust’s Fifth Amended and Restated Declaration of Trust and Trust Agreement (the “Trust Agreement”). On June 7, 2010, the initial Form S- 1 for CORN was declared effective by the U.S. Securities and Exchange Commission (“SEC”). On June 8, 2010, four Creation Baskets for CORN were issued representing 200,000 shares and $ 5,000,000 . CORN began trading on the New York Stock Exchange (“NYSE”) Arca on June 9, 2010. The current registration statement for CORN was declared effective by the SEC on April 7, 2022. This registration statement for CORN registered an indeterminate number of shares. On June 13, 2011, the initial Forms S- 1 for CANE, SOYB, and WEAT were declared effective by the SEC. On September 16, 2011, two Creation Baskets were issued for each Fund, representing 100,000 shares and $2,500,000 , for CANE, SOYB, and WEAT. On September 19, 2011, CANE, SOYB, and WEAT started trading on the NYSE Arca. The current registration statements for CANE and SOYB were declared effective by the SEC on April 7, 2022. The registration statements for SOYB and CANE registered an indeterminate number of shares each. The current registration statement for WEAT was declared effective on March 9, 2022. This registration statement for WEAT registered an indeterminate number of shares. On February 10, 2012, the Form S- 1 for TAGS was declared effective by the SEC. On March 27, 2012, six Creation Baskets for TAGS were issued representing 300,000 shares and $ 15,000,000 . TAGS began trading on the NYSE Arca on March 28, 2012. The current registration statement for TAGS was declared effective by the SEC on April 7, 2022. This registration statement for TAGS registered an indeterminate number of shares. On September 14, 2022, the Form S- 1 for DEFI was declared effective by the SEC. This registration statement for DEFI registered an indeterminate number of shares. On September 15, 2022, five Creation Baskets for DEFI were issued representing 50,000 shares and $ 1,250,000 . DEFI began trading on the NYSE Arca on September 16, 2022. As reported by the registrant on a Form 8 -K filed with the Securities and Exchange Commission on November 7, 2023 ( File No. 001 - 34765 ), Teucrium Commodity Trust (the “Teucrium Trust”), on behalf of its series, Hashdex Bitcoin Futures ETF (“Acquired Fund”), and Tidal Commodities Trust I (“Acquiring Trust”), on behalf of its series, Hashdex Bitcoin Futures ETF (“Acquiring Fund”), entered into an Agreement and Plan of Partnership Merger and Liquidation dated as of October 30, 2023 ( the “Plan of Merger”). The Merger closed on January 3, 2024 ( the “Closing Date”). Pursuant to the Plan of Merger, each Acquired Fund shareholder received one share of the Acquiring Fund for every one share of the Acquired Fund held on the Closing Date based on the net asset value per share of the Acquiring Fund being equal to the net asset value per share of the Acquired Fund determined immediately prior to the Merger closing. Upon the Merger closing, the Acquiring Fund acquired all the assets of the Acquired Fund and assumed all the liabilities of the Acquired Fund via distribution. Upon the Merger closing, the Plan of Merger caused all of the Acquired Fund’s shares to be cancelled and the Acquired Fund to be liquidated. The sponsor of the Teucrium Trust, Teucrium Trading, LLC (“Teucrium”), is not receiving any compensation dependent on the consummation of the Merger. Pursuant to a certain Amended and Restated ‘33 Act Fund Platform Support Agreement, as amended (the “Support Agreement”) among Tidal Investments LLC (f/k/a Toroso Investments, LLC) (“Tidal”), Tidal ETF Services, LLC, Hashdex Asset Management Ltd., and Teucrium, Tidal has agreed to provide Teucrium after the Merger with a monthly amount equal to the greater of seven percent ( 7 %) of the management fee paid to Tidal from the Acquiring Fund and 0.04 % of monthly average net assets of the Acquiring Fund (“Teucrium Compensation”). Any payment of the Teucrium Compensation will be made from the resources of Tidal and not from the assets of the Acquiring Fund. Teucrium Trading, LLC is the sponsor (“Sponsor”) of the Trust. The Sponsor is a member of the National Futures Association (the “NFA”) and became a commodity pool operator (“CPO”) registered with the Commodity Futures Trading Commission (the “CFTC”) effective November 10, 2009. The Sponsor registered as a Commodity Trading Advisor (“CTA”) with the CFTC effective September 8, 2017. The accompanying unaudited financial statements have been prepared in accordance with Rule 10 - 01 of Regulation S- X promulgated by the SEC and, therefore, do not include all information and footnote disclosures required under accounting principles generally accepted in the United States of America (“GAAP”). The financial information included herein is unaudited; however, such financial information reflects all adjustments which are, in the opinion of management, necessary for the fair presentation of the Trust’s financial statements for the interim period. 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, 2024 , are not necessarily indicative of the results to be expected for the full year ending December 31, 2024. 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. However, no level of losses will require the Sponsor to terminate a Fund. F- 9 Table of Contents Note 2 – Principal Contracts and Agreements The Sponsor employs U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Global Fund Services”), for Transfer Agency, Fund Accounting and Fund Administration services. The principal address for Global Fund Services is 615 E. Michigan Street, Milwaukee, WI 53202. For custody services, the Funds will pay to U.S. Bank N.A. 0.0075 % of average gross assets up to $1 billion, and .0050% of average gross assets over $1 billion, annually, plus certain per-transaction charges. For Transfer Agency, Fund Accounting and Fund Administration services, which are based on the total assets for all the Funds in the Trust, the Funds will pay to Global Fund Services 0.05 % of average gross assets on the first $500 million, 0.04 % on the next $500 million, 0.03 % on the next $2 billion and 0.02 % on the balance over $3 billion annually. A combined minimum annual fee of up to $ 47,000 for custody, transfer agency, accounting and administrative services is assessed per Fund. These services are recorded as custodian fees and expenses on the combined statements of operations. A summary of these expenses is included below. The Sponsor employs Foreside Fund Services, LLC (“Foreside” or the “Distributor”) as the Distributor for the Funds. The Distribution Services Agreement among the Distributor and the Sponsor calls for the Distributor to work with the Custodian in connection with the receipt and processing of orders for Creation Baskets and Redemption Baskets and the review and approval of all Fund sales literature and advertising materials. The Distributor and the Sponsor have also entered into a Securities Activities and Service Agreement (the “SASA”) under which certain employees and officers of the Sponsor are licensed as registered representatives or registered principals of the Distributor, under Financial Industry Regulatory Authority (“FINRA”) rules. For its services as the Distributor, Foreside receives a fee of 0.01 % of each Fund’s average daily net assets and an aggregate annual fee of $ 100,000 for all Funds, along with certain expense reimbursements. For its services under the SASA, Foreside receives a fee of $ 5,000 per registered representative and $ 1,000 per registered location. These services are recorded as distribution and marketing fees on the combined statements of operations. A summary of these expenses is included below. Marex Capital Markets, Inc. (“Marex”), StoneX Financial Inc. (“StoneX”) and Phillip Capital Inc. (“Phillip Capital”) serve as the Funds’ clearing brokers to execute and clear futures contracts and provide other brokerage-related services. Marex, StoneX and Phillip Capital are each registered as futures commission merchants (“FCM”) with the U.S. CFTC and are members of the NFA. The clearing brokers are registered as broker-dealers with the SEC and are each a member of FINRA. Marex, StoneX and Phillip Capital are each clearing members of ICE Futures U.S., Inc., Chicago Board of Trade, Chicago Mercantile Exchange, New York Mercantile Exchange, and all other major United States commodity exchanges. For Corn, Soybean, Sugar and Wheat Futures Contracts, Marex is paid $ 3.00 per round turn exclusive of pass-through fees for the exchange and the NFA. StoneX is paid $ 2.50 per round turn exclusive of pass-through fees for the exchange and the NFA. Additionally, if the monthly commissions paid by each Fund does not equal or exceed 16.5 % return on the StoneX Capital Requirement at 9.6 % of the Exchange Maintenance Margin, each Fund will pay a true up to meet that return at the end of each month. These expenses are recognized on a per-trade basis. The half-turn is recognized as an unrealized loss on the combined statements of operations, and a full turn is recognized as a realized loss on the combined statements of operations when a contract is sold. For Bitcoin futures contracts, StoneX is paid $ 10.00 - $ 25.00 per half-turn exclusive of pass through fees for the exchange and NFA. Phillip Capital is paid $ 35.00 - $ 45.00 per half-turn exclusive of pass through fees for the exchange, NFA, execution fees and platform and exchange data fees. A summary of these expenses can be found under the heading, Brokerage Commissions . F- 10 Table of Contents The sole Trustee of the Trust is Wilmington Trust Company, a Delaware banking corporation. The Trustee will accept service of legal process on the Trust in the State of Delaware and will make certain filings under the Delaware Statutory Trust Act. For its services, the Trustee receives an annual fee of $ 3,300 from the Trust. These services are recorded in business permits and licenses fees on the combined statements of operations. A summary of these expenses is included below. Three months ended March 31, 2024 Three months ended March 31, 2023 Amount Recognized for Custody Services $ 93,105 $ 120,560 Amount of Custody Services Waived $ 3,615 $ 7,329 Amount Recognized for Distribution Services $ 36,539 $ 38,765 Amount of Distribution Services Waived $ 1,527 $ 2,322 Amount Recognized for Wilmington Trust $ - $ - Amount of Wilmington Trust Waived $ - $ - Note 3 – Summary of Significant Accounting Policies Basis of Presentation The accompanying financial statements have been prepared on a combined basis in conformity 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 and include the accounts of the Trust, CORN, CANE, SOYB, WEAT, TAGS and DEFI. Refer to the accompanying separate financial statements for each Fund for more detailed information. The periods represented by the financial statements herein contain the results of CORN, SOYB, CANE, WEAT, TAGS and DEFI for the months during which each Fund was in operation, except for eliminations for TAGS as explained below. Given the investment objective of TAGS as described in Note 1 above, TAGS will buy, sell, and hold, as part of its normal operations, shares of the four Underlying Agricultural Funds. The Trust eliminates the shares of the other series of the Trust owned by TAGS from its combined statements of assets and liabilities. The Trust eliminates the net change in unrealized appreciation or depreciation on securities owned by TAGS from its combined statements of operations. The combined statements of changes in net assets and cash flows present a net presentation of the purchases and sales of the Underlying Funds by TAGS. F- 11 Table of Contents Revenue Recognition Commodity and cryptocurrency 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 and cryptocurrency futures contracts are reflected in the combined 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 combined statements of operations. Interest on cash equivalents with financial institutions are recognized on an accrual basis. The Funds 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 combined financial statements and reflected in cash and cash equivalents on the combined statements of assets and liabilities and on the combined 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 combined 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 combined 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 combined statements of operations as total brokerage commissions paid inclusive of unrealized loss for the three months ended March 31, 2024 and 2023 . CORN SOYB CANE WEAT TAGS DEFI TRUST Three months ended March 31, 2024 $ 9,706 $ 4,158 $ 2,008 $ 15,580 $ - $ 192 $ 31,644 Three months ended March 31, 2023 $ 17,270 $ 6,340 $ 6,055 $ 21,746 $ - $ 609 $ 52,020 Income Taxes The Trust is organized and will be operated as a Delaware statutory trust. For federal income tax purposes, each 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. Each 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. Therefore, the Funds do not record a provision for income taxes because the shareholders report their share of a Fund’s income or loss on their income tax returns. The financial statements reflect the Funds’ transactions without adjustment, if any, required for income tax purposes. F- 12 Table of Contents The Funds are 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 Funds file income tax returns in the U.S. federal jurisdiction and may file income tax returns in various U.S. states and foreign jurisdictions. For all tax years 2021 to 2023, the Funds remain 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 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, 2024 , and for the years ended December 31, 2023 , 2022 and 2021 . However, the Funds’ 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. There is very limited authority on the U.S. federal income tax treatment of bitcoin and no direct authority on bitcoin derivatives, such as Bitcoin Futures Contracts. Bitcoin Futures Contracts more likely than not will be considered futures with respect to commodities for purposes of the qualifying income exception under section 7704 of the Code. Based on a CFTC determination that treats bitcoin as a commodity under the CEA, the Fund intends to take the position that Bitcoin Futures Contracts consist of futures on commodities for purposes of the qualifying income exception under section 7704 of the Code. Shareholders should be aware that the Fund’s position is not binding on the IRS, and no assurance can be given that the IRS will not challenge the Fund’s position, or that the IRS or a court will not ultimately reach a contrary conclusion, which would result in the material adverse consequences to Shareholders and the Fund. 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, 2024 and 2023 . The Funds 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 from each 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) time on the day the order to create the basket is received in good order. Authorized Purchasers may redeem shares from each Fund only in blocks of 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. Each 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 statements of assets and liabilities as capital shares receivable. Amounts payable to Authorized Purchasers upon redemption are reflected in the statements of assets and liabilities as payable for shares redeemed. There are a minimum number of baskets and associated Shares specified for each Fund in the Fund’s respective prospectus, as amended from time to time. If a 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. These minimum levels are as follows: CORN: 50,000 shares representing 2 baskets SOYB: 50,000 shares representing 2 baskets CANE: 50,000 shares representing 2 baskets WEAT: 50,000 shares representing 2 baskets TAGS: 50,000 shares representing 4 baskets DEFI: 50,000 shares representing 5 baskets F- 13 Table of Contents Cash and Cash Equivalents Cash equivalents are highly liquid investments with original maturity dates of 90 days or less when acquired. The Trust reported its cash equivalents in the combined 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 Trust holds a balance in money market funds that is included in cash and cash equivalents on the combined statements of assets and liabilities. The Sponsor invests a portion of the available cash for the Funds in alternative demand deposit savings accounts, which are 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, 2024 December 31, 2023 Money Market Funds $ 105,660,004 $ 120,047,840 Demand Deposit Savings Accounts 29,533,538 29,148,056 Commercial Paper 118,502,058 143,041,466 Total cash and cash equivalents as presented on the combined Statement of Assets and Liabilities $ 253,695,600 $ 292,237,362 Payable for Purchases of Commercial Paper The amount recorded by the Trust for commercial paper transactions awaiting settlement represents the amount payable for contracts purchased but not yet settled as of the reporting date. The value of the contract is included in cash and cash equivalents, and the payable amount is included as a liability. Due from/to Broker The amount recorded by the Trust 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 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 Funds’ 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. F- 14 Table of Contents 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 Funds’ trading, the Funds (and not their shareholders personally) are 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. Payable/Receivable for Securities Purchased/Sold Due from/to broker for investments in securities are securities transactions pending settlement. The Trust and the Funds are subject to credit risk to the extent any broker with whom it conducts business is unable to fulfill contractual obligations on its behalf. The management of the Trust and the Funds monitors the financial condition of such brokers and does not anticipate any losses from these counterparties. The principal broker through which the Trust and TAGS can execute securities transactions for TAGS is U.S. Bank N.A. 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, compliance, and other necessary services to the Fund, including services directly attributable to the Fund such as accounting, financial reporting, regulatory compliance, and trading activities. In some cases, at its discretion, the Sponsor may elect not to outsource certain of these expenses. In addition, the Agricultural Funds, except for TAGS, which has no such fee are 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 Agricultural Funds generally pay 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, the Financial Industry Regulatory Authority (“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. Each 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 Funds 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 services provided by 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 Funds and are, primarily, included as distribution and marketing fees on the statements of operations. These amounts, for the Trust and for each Fund, are detailed in the notes to the financial statements included in Part I of this filing. F- 15 Table of Contents DEFI is contractually obligated to pay a monthly management fee to the Sponsor, based on average daily net assets, at a rate equal to 0.94 % per annum. From the Management Fee, the Sponsor pays all of the routine operational, administrative and other ordinary expenses of the Fund, generally as determined by the Sponsor, including but not limited to, fees and expenses of the Administrator, Custodian, Distributor, Transfer Agent, licensors, accounting and audit fees expenses, tax preparation expenses, legal fees, ongoing SEC registration fees, individual Schedule K- 1 preparation and mailing fees, and report preparation and mailing expenses. These fees and expenses are not included in the breakeven table because they are paid for by the Sponsor through the proceeds from the Management Fee. The Fund pays all of its non-recurring and unusual fees and expenses, if any, as determined by the Sponsor. Non-recurring and unusual fees and expenses are unexpected or unusual in nature, such as legal claims and liabilities and litigation costs or indemnification or other unanticipated expenses. Extraordinary fees and expenses also include material expenses which are not currently anticipated obligations of the Fund. Routine operational, administrative, and other ordinary expenses are not deemed extraordinary expenses. Three months ended March 31, 2024 Three months ended March 31, 2023 Recognized Related Party Transactions $ 614,406 $ 591,603 Waived Related Party Transactions $ 25,585 $ 23,865 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. CORN SOYB CANE WEAT TAGS DEFI TRUST Three months ended March 31, 2024 $ - $ - $ - $ - $ 69,538 $ 62,309 $ 131,847 Three months ended March 31, 2023 $ - $ - $ - $ - $ 125,494 $ 70,570 $ 196,064 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 amounts 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. F- 16 Table of Contents 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 Trust 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 Trust. Unobservable inputs reflect the Trust’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 Trust has the ability to access. Valuation adjustments and block discounts are not applied to Level 1 futures contracts held by CORN, SOYB, CANE, WEAT and DEFI, the securities of the Underlying Funds held by TAGS, and any other securities held by any Fund, together referenced throughout this filing as “financial instruments.” Since valuations are based on quoted prices that are readily and regularly available in an active market, valuation of these securities 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 Trust’s own assumptions are set to reflect those that market participants would use in pricing the asset or liability at the measurement date. The Trust 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. For instance, when Corn Futures Contracts on the Chicago Board of Trade (“CBOT”) are not actively trading due to a “limit-up” or ‘limit-down” condition, meaning that the daily change in the Corn Futures Contracts has exceeded the limits established, the Trust and the Fund will revert to alternative verifiable sources of valuation of its assets. 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. F- 17 Table of Contents On March 31, 2024 and December 31, 2023 , 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, 2024 and year ended December 31, 2023 , 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. 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. Investments in the securities of the Underlying Funds are freely traded and listed on the NYSE Arca. These investments are valued at the NAV of the Underlying Fund as of the valuation date as calculated by the administrator based on the exchange-quoted prices of the commodity futures contracts held by the Underlying Fund. Expenses Expenses are recorded using the accrual method of accounting. New Accounting Pronouncements The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) issued ASU 2023 - 06 – Disclosure Improvements: Codification Amendments in Response to the SEC’s Disclosure Update and Simplification Initiative. The amendments require an entity to disclose its accounting policy for where cash flows associated with derivative instruments and their related gains and losses are presented. The Trust and Funds already disclose the accounting policy related to the derivative gains and losses presented on the cash flow statement. The amendment was adopted early for the period ended December 31, 2023. There is no impact to the financial statements of the Trust or the Funds. The FASB 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 Funds. F- 18 Table of Contents Note 4 – Fair Value Measurements 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, 2024 and December 31, 2023 : Assets: Level 1 Level 2 Level 3 Balance as of March 31, 2024 Cash Equivalents $ 224,162,062 $ - $ - $ 224,162,062 Commodity Futures Contracts Corn futures contracts 154,412 - - 154,412 Wheat futures contracts 1,513,306 - - 1,513,306 Total $ 225,829,780 $ - $ - $ 225,829,780 F- 19 Table of Contents Liabilities Level 1 Level 2 Level 3 Balance as of March 31, 2024 Commodity Futures Contracts Corn futures contracts $ 3,932,723 $ - $ - $ 3,932,723 Soybean futures contracts 794,976 - - 794,976 Sugar futures contracts 814,401 - - 814,401 Wheat futures contracts 12,809,942 - - 12,809,942 Total $ 18,352,042 $ - $ - $ 18,352,042 Assets: Level 1 Level 2 Level 3 Balance as of December 31, 2023 Cash Equivalents $ 263,089,306 $ - $ - $ 263,089,306 Commodity and Cryptocurrency Futures Contracts Wheat futures contracts 2,237,493 - - 2,237,493 Bitcoin futures contracts 129,519 - - 129,519 Total $ 265,456,318 $ - $ - $ 265,456,318 Liabilities Level 1 Level 2 Level 3 Balance as of December 31, 2023 Cash Equivalents Commodity and Cryptocurrency Futures Contracts Corn futures contracts $ 2,182,141 $ - $ - $ 2,182,141 Soybean futures contracts 1,391,661 - - 1,391,661 Sugar futures contracts 2,687,998 - - 2,687,998 Wheat futures contracts 4,575,666 - - 4,575,666 Bitcoin futures contracts 51,376 - - 51,376 Total $ 10,888,842 $ - $ - $ 10,888,842 For the three months ended March 31, 2024 and year ended December 31, 2023 , 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. In making the determination of a Level 1 or Level 2 transfer, the Funds consider the average volume of the specific underlying futures contracts traded on the relevant exchange for the periods being reported. 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 Funds utilize 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 Funds’ 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 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 months ended March 31, 2024 and year ended December 31, 2023 , the Funds invested only in commodity and cryptocurrency futures contracts specifically related to each Fund. F- 20 Table of Contents Futures Contracts The Funds are subject to commodity and cryptocurrency price risk in the normal course of pursuing their 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 each Fund each day, depending on the daily fluctuations in the value of the contract, and are recorded as unrealized gains or losses by each Fund. Futures contracts may reduce the Funds’ 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 each 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 combined 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 the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Update (“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 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, 2024 , and December 31, 2023 . The DEFI Fund has an account open at Phillip Capital with no contracts held as of March 31, 2024 . *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, 2024 (i) (ii) (iii) = (i-ii) (iv) (v) = (iii)-(iv) Gross Amount Not Offset in the Statement of Assets and Liabilities Description 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 Net Amount Commodity Price Corn futures contracts $ 154,412 $ - $ 154,412 $ 154,412 $ - $ - Wheat futures contracts $ 1,513,306 $ - $ 1,513,306 $ 1,513,306 $ - $ - Offsetting of Financial Liabilities and Derivative Liabilities as of March 31, 2024 (i) (ii) (iii) = (i-ii) (iv) (v) = (iii)-(iv) Gross Amount Not Offset in the Statement of Assets and Liabilities Description 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* Net Amount Commodity Price Corn futures contracts $ 3,932,723 $ - $ 3,932,723 $ 154,412 $ 3,778,311 $ - Soybean futures contracts $ 794,976 $ - $ 794,976 $ - $ 794,976 $ - Sugar futures contracts $ 814,401 $ - $ 814,401 $ - $ 814,401 $ - Wheat futures contracts $ 12,809,942 $ - $ 12,809,942 $ 1,513,306 $ 11,296,636 $ - F- 21 Table of Contents Offsetting of Financial Assets and Derivative Assets as of December 31, 2023 (i) (ii) (iii) = (i-ii) (iv) (v) = (iii)-(iv) Gross Amount Not Offset in the Statement of Assets and Liabilities Description 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 Net Amount Commodity and Cryptocurrency Price Wheat futures contracts $ 2,237,493 $ - $ 2,237,493 $ 2,237,493 $ - $ - Bitcoin futures contracts $ 129,519 $ - $ 129,519 $ 51,376 $ - $ 78,143 Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2023 (i) (ii) (iii) = (i-ii) (iv) (v) = (iii)-(iv) Gross Amount Not Offset in the Statement of Assets and Liabilities Description 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* Net Amount Commodity and Cryptocurrency Price Corn futures contracts $ 2,182,141 $ - $ 2,182,141 $ - $ 2,182,141 $ - Soybean futures contracts $ 1,391,661 $ - $ 1,391,661 $ - $ 1,391,661 $ - Sugar futures contracts $ 2,687,998 $ - $ 2,687,998 $ - $ 2,687,998 $ - Wheat futures contracts $ 4,575,666 $ - $ 4,575,666 $ 2,237,493 $ 2,338,173 $ - Bitcoin futures contracts $ 51,376 $ - $ 51,376 $ 51,376 $ - $ - The following is a summary of realized and unrealized gains (losses) of the derivative instruments utilized by the Trust: Three months ended March 31, 2024 Realized Loss on Commodity Futures Contracts Net Change in Unrealized (Depreciation) Appreciation on Commodity Futures Contracts Commodity Price and Cryptocurrency Price Corn futures contracts $ ( 3,964,335 ) $ ( 1,596,170 ) Soybeans futures contracts ( 2,632,854 ) 596,685 Sugar futures contracts ( 482,314 ) 1,873,597 Wheat futures contracts ( 10,037,305 ) ( 8,958,463 ) Bitcoin futures Contracts ( 78,143 ) 114,383 Total commodity and cryptocurrency futures contracts $ ( 17,194,951 ) $ ( 7,969,968 ) F- 22 Table of Contents Three months ended March 31, 2023 Realized (Loss) Gain on Commodity Futures Contracts Net Change in Unrealized (Depreciation) Appreciation on Commodity Futures Contracts Commodity Price and Cryptocurrency Price Corn futures contracts $ ( 6,268,935 ) $ ( 3,299,360 ) Soybeans futures contracts 1,067,543 ( 3,699,642 ) Sugar futures contracts 1,339,448 3,139,817 Wheat futures contracts ( 23,358,733 ) ( 2,092,562 ) Bitcoin futures Contracts 629,551 128,468 Total commodity and cryptocurrency futures contracts $ ( 26,591,126 ) $ ( 5,823,279 ) Volume of Derivative Activities The average notional market value categorized by primary underlying risk for the futures contracts held was $ 277.8 million for the three months ended March 31, 2024 and $ 382.3 million for the three months ended March 31, 2023 . Note 6 - Organizational and Offering Costs Expenses incurred in organizing of the Trust and the initial offering of the shares of the Funds, including applicable SEC registration fees, were borne directly by the Sponsor for the Funds, and will be borne directly by the Sponsor for any series of the Trust which is not yet operating or will be issued in the future. The Trust will not be obligated to reimburse the Sponsor. Note 7 – Detail of the net assets and shares outstanding of the Funds that are a series of the Trust 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, 2024 Outstanding Shares Net Assets Teucrium Corn Fund 3,450,004 $ 69,744,097 Teucrium Soybean Fund 1,350,004 33,966,763 Teucrium Sugar Fund 1,225,004 16,529,172 Teucrium Wheat Fund 29,250,004 157,537,309 Teucrium Agricultural Fund: 512,502 Net assets including the investment in the Underlying Funds 14,526,883 Less: Investment in the Underlying Funds ( 14,515,416 ) Net for the Fund in the combined net assets of the Trust 11,467 Total $ 277,788,808 F- 23 Table of Contents December 31, 2023 Outstanding Shares Net Assets Teucrium Corn Fund 3,750,004 $ 81,050,442 Teucrium Soybean Fund 1,075,004 29,056,020 Teucrium Sugar Fund 1,425,004 17,720,099 Teucrium Wheat Fund 30,800,004 184,176,669 Hashdex Bitcoin Futures ETF 50,000 2,536,958 Teucrium Agricultural Fund: 625,002 Net assets including the investment in the Underlying Funds 18,409,126 Less: Investment in the Underlying Funds ( 18,401,900 ) Net for the Fund in the combined net assets of the Trust 7,226 Total $ 314,547,414 The detailed information for the subscriptions and redemptions, and other financial information for each Fund that is a series of the Trust are included in the accompanying financial statements of each Fund. Note 8 – Subsequent Events Management has evaluated the financial statements for the quarter-ended March 31, 2024 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: Trust: Legal Matters: A settlement agreement (“Agreement”), by and among Teucrium Trading, LLC, Salvatore Gilbertie, Carl Miller III, Cory Mullen-Rusin, Steve Kahler, and Dale and Barbara Riker, was entered into as of April 26, 2024 and is expected to become effective on or before May 17, 2024. The Agreement resolves all of the claims raised in the actions captioned Dale Riker v. Sal Gilbertie et al. , C.A. 656794/2020 (N.Y. Supreme Court), Sal Gilbertie, et. al. v. Dale Riker, et al. , C.A. 2020 - 1018 -LWW (Del. Ch.) and Dale Riker, et al. v. Teucrium Trading, LLC , C.A. 2022 - 1030 -LWW (Del. Ch.). CORN: Nothing to report. SOYB: Nothing to report. CANE: The net assets of the fund decreased by $ 3,645,989 , or 22.1 %, for the period March 31, 2024 to May 9, 2024. This was driven by a decrease in the shares outstanding by 12.2 % and a decrease in the NAV per share of 11.2 %. WEAT: Nothing to report. TAGS: Nothing to report. DEFI: Nothing to report. F-24 Table of Contents TEUCRIUM CORN FUND STATEMENTS OF ASSETS AND LIABILITIES March 31, 2024 December 31, 2023 (Unaudited) Assets Cash and cash equivalents $ 63,692,529 $ 76,745,471 Interest receivable 75,550 105,283 Equity in trading accounts: Commodity futures contracts 154,412 - Due from broker 9,899,988 6,533,938 Total equity in trading accounts 10,054,400 6,533,938 Total assets 73,822,479 83,384,692 Liabilities Management fee payable to Sponsor 58,311 71,506 Other liabilities 87,348 80,603 Equity in trading accounts: Commodity futures contracts 3,932,723 2,182,141 Total liabilities 4,078,382 2,334,250 Net assets $ 69,744,097 $ 81,050,442 Shares outstanding 3,450,004 3,750,004 Shares Authorized * * Net asset value per share $ 20.22 $ 21.61 Market value per share $ 20.18 $ 21.57 * On April 7, 2022, the Teucrium Corn Fund registered an indeterminate number of shares of the Fund pursuant to Rule 456(d) under the Securities Act of 1933. The accompanying notes are an integral part of these financial statements. F-25 Table of Contents TEUCRIUM CORN FUND SCHEDULE OF INVESTMENTS March 31, 2024 (Unaudited) Percentage of Description: Assets Yield Cost Fair Value Net Assets Shares Cash equivalents Money market funds U.S. Bank Deposit Account 5.240 % $ 3,095,240 $ 3,095,240 4.44 % 3,095,240 Goldman Sachs Financial Square Government Fund - Institutional Class 5.210 % 17,795,011 17,795,011 25.51 17,795,011 Total money market funds $ 20,890,251 $ 20,890,251 29.95 % Maturity Percentage of Principal Date Yield Cost Fair Value Net Assets Amount Commercial Paper Brookfield Infrastructure Holdings (Canada) Inc. May 9, 2024 5.710 % 2,473,167 $ 2,485,222 3.56 % 2,500,000 Brookfield Infrastructure Holdings (Canada) Inc. May 14, 2024 5.782 % 2,464,625 2,483,098 3.56 2,500,000 Brookfield Infrastructure Holdings (Canada) Inc. May 16, 2024 5.772 % 2,464,688 2,482,344 3.56 2,500,000 Campbell Soup Company May 1, 2024 5.601 % 2,477,848 2,488,542 3.57 2,500,000 Crown Castle Inc. April 18, 2024 5.530 % 4,972,800 4,987,156 7.15 5,000,000 Glencore Funding LLC April 16, 2024 5.490 % 2,485,375 2,494,375 3.58 2,500,000 Harley-Davidson Financial Services, Inc. May 16, 2024 5.815 % 2,471,896 2,482,188 3.56 2,500,000 Stanley Black & Decker, Inc. April 4, 2024 5.604 % 2,493,867 2,498,850 3.58 2,500,000 VW Credit, Inc. April 11, 2024 5.511 % 4,932,500 4,992,500 7.16 5,000,000 VW Credit, Inc. May 16, 2024 5.402 % 2,471,660 2,483,438 3.56 2,500,000 WGL Holdings, Inc. April 15, 2024 5.616 % 2,492,320 2,494,624 3.58 2,500,000 Total Commercial Paper $ 32,200,746 $ 32,372,337 46.42 % Total Cash Equivalents $ 53,262,588 76.37 % Number of Percentage of Notional Amount Contracts Fair Value Net Assets (Long Exposure) Commodity futures contracts United States corn futures contracts CBOT Corn Futures SEP24 901 $ 154,412 0.22 % $ 20,925,725 Number of Percentage of Notional Amount Description: Liabilities Contracts Fair Value Net Assets (Long Exposure) Commodity futures contracts United States corn futures contracts CBOT Corn Futures JUL24 1,072 $ 2,021,501 2.90 % $ 24,361,200 CBOT Corn Futures DEC24 1,022 1,911,222 2.74 24,413,025 Total commodity futures contracts $ 3,932,723 5.64 % $ 48,774,225 The accompanying notes are an integral part of these financial statements. F- 26 Table of Contents TEUCRIUM CORN FUND SCHEDULE OF INVESTMENTS December 31, 2023 Percentage of Description: Assets Yield Cost Fair Value Net Assets Shares Cash equivalents Money market funds U.S. Bank Deposit Account 5.270 % $ 7,523,423 $ 7,523,423 9.28 % 7,523,423 Goldman Sachs Financial Square Government Fund - Institutional Class 5.250 % 19,050,119 19,050,119 23.51 19,050,119 Total money market funds $ 26,573,542 $ 26,573,542 32.79 % Maturity Percentage of Principal Date Yield Cost Fair Value Net Assets Amount Commercial Paper Albemarle Corporation January 3, 2024 5.770 % $ 4,950,475 $ 4,998,428 6.17 % 5,000,000 Albemarle Corporation January 11, 2024 5.808 % 2,478,230 2,496,042 3.08 2,500,000 Brookfield Infrastructure Holdings (Canada) Inc. January 9, 2024 5.794 % 2,489,708 2,496,833 3.08 2,500,000 Brookfield Infrastructure Holdings (Canada) Inc. January 16, 2024 5.853 % 2,466,575 2,494,031 3.08 2,500,000 Entergy Corporation March 1, 2024 5.665 % 2,467,625 2,476,875 3.06 2,500,000 FMC Corporation January 19, 2024 5.816 % 2,488,878 2,492,850 3.07 2,500,000 Harley-Davidson Financial Services, Inc. January 9, 2024 5.843 % 2,474,533 2,496,817 3.08 2,500,000 Harley-Davidson Financial Services, Inc. February 1, 2024 5.867 % 2,480,400 2,487,600 3.07 2,500,000 Harley-Davidson Financial Services, Inc. February 14, 2024 5.927 % 2,473,774 2,482,247 3.06 2,500,000 National Fuel Gas Company January 8, 2024 5.867 % 2,480,400 2,497,200 3.08 2,500,000 Oracle Corporation March 6, 2024 5.562 % 2,467,452 2,475,400 3.05 2,500,000 V.F. Corporation January 18, 2024 5.606 % 2,473,646 2,493,507 3.08 2,500,000 WGL Holdings, Inc. January 3, 2024 5.793 % 2,490,896 2,499,208 3.08 2,500,000 WGL Holdings, Inc. January 12, 2024 5.849 % 2,487,222 2,495,608 3.08 2,500,000 Walgreens Boots Alliance, Inc. January 12, 2024 6.028 % 2,484,378 2,495,478 3.08 2,500,000 Total Commercial Paper $ 39,654,192 $ 39,878,124 49.20 % Total Cash Equivalents $ 66,451,666 81.99 % Number of Percentage of Notional Amount Description: Liabilities Contracts Fair Value Net Assets (Long Exposure) Commodity futures contracts United States corn futures contracts CBOT corn futures MAY24 1,171 $ 1,102,254 1.36 % $ 28,338,200 CBOT corn futures JUL24 983 384,407 0.47 24,280,100 CBOT corn futures DEC24 1,128 695,480 0.86 28,397,400 Total commodity futures contracts $ 2,182,141 2.69 % $ 81,015,700 The accompanying notes are an integral part of these financial statements. F- 27 Table of Contents TEUCRIUM CORN FUND STATEMENTS OF OPERATIONS (Unaudited) Three months ended Three months ended March 31, 2024 March 31, 2023 Income Realized and unrealized gain (loss) on trading of commodity futures contracts: Realized loss on commodity futures contracts $ ( 3,964,335 ) $ ( 6,268,935 ) Net change in unrealized depreciation on commodity futures contracts ( 1,596,170 ) ( 3,299,360 ) Interest income 948,218 1,454,236 Total loss ( 4,612,287 ) ( 8,114,059 ) Expenses Management fees 178,243 328,874 Professional fees 57,038 78,808 Distribution and marketing fees 205,464 239,078 Custodian fees and expenses 21,972 33,044 Business permits and licenses fees 7,130 6,578 General and administrative expenses 15,426 13,312 Total expenses 485,273 699,694 Expenses waived by the Sponsor - - Total expenses, net 485,273 699,694 Net loss $ ( 5,097,560 ) $ ( 8,813,753 ) Net loss per share $ ( 1.39 ) $ ( 1.63 ) Net loss per weighted average share $ ( 1.43 ) $ ( 1.71 ) Weighted average shares outstanding 3,554,125 5,145,004 The accompanying notes are an integral part of these financial statements. F-28 Table of Contents TEUCRIUM CORN FUND STATEMENTS OF CHANGES IN NET ASSETS (Unaudited) Three months ended Three months ended March 31, 2024 March 31, 2023 Operations Net loss $ ( 5,097,560 ) $ ( 8,813,753 ) Capital transactions Issuance of Shares 2,436,790 1,991,168 Redemption of Shares ( 8,645,575 ) ( 30,190,763 ) Total capital transactions ( 6,208,785 ) ( 28,199,595 ) Net change in net assets ( 11,306,345 ) ( 37,013,348 ) Net assets, beginning of period $ 81,050,442 $ 152,638,405 Net assets, end of period $ 69,744,097 $ 115,625,057 Net asset value per share at beginning of period $ 21.61 $ 26.90 Net asset value per share at end of period $ 20.22 $ 25.27 Creation of Shares 125,000 75,000 Redemption of Shares 425,000 1,175,000 The accompanying notes are an integral part of these financial statements. F-29 Table of Contents TEUCRIUM CORN FUND STATEMENTS OF CASH FLOWS (Unaudited) Three months ended Three months ended March 31, 2024 March 31, 2023 Cash flows from operating activities: Net loss $ ( 5,097,560 ) $ ( 8,813,753 ) Adjustments to reconcile net loss to net cash used in operating activities: Net change in unrealized depreciation on commodity futures contracts 1,596,170 3,299,360 Changes in operating assets and liabilities: Due from broker ( 3,366,050 ) ( 1,572,445 ) Interest receivable 29,733 ( 3,744 ) Other assets - 854 Management fee payable to Sponsor ( 13,195 ) ( 43,305 ) Other liabilities 6,745 1,016 Net cash used in operating activities ( 6,844,157 ) ( 7,132,017 ) Cash flows from financing activities: Proceeds from sale of Shares 2,436,790 3,335,998 Redemption of Shares ( 8,645,575 ) ( 31,535,593 ) Net cash used in financing activities ( 6,208,785 ) ( 28,199,595 ) Net change in cash and cash equivalents ( 13,052,942 ) ( 35,331,612 ) Cash and cash equivalents, beginning of period 76,745,471 142,434,737 Cash and cash equivalents, end of period $ 63,692,529 $ 107,103,125 The accompanying notes are an integral part of these financial statements. F-30 Table of Contents NOTES TO FINANCIAL STATEMENTS March 31, 2024 (Unaudited) Note 1 – Organization and Operation Teucrium Corn Fund (referred to herein as “CORN,” or the “Fund”) is a commodity pool that is a series of Teucrium Commodity Trust (“Trust”), a Delaware statutory trust formed on September 11, 2009. The Fund issues common units, called the “Shares,” representing fractional undivided beneficial interests in the Fund. The Fund continuously offers Creation Baskets consisting of 25,000 Shares at their Net Asset Value (“NAV”) to “Authorized Purchasers” through Foreside Fund Services, LLC, which is the distributor for the Fund (the “Distributor”). Authorized Purchasers sell such Shares, which are listed on the New York Stock Exchange (“NYSE”) Arca under the symbol “CORN,” to the public at per-Share offering prices that reflect, among other factors, the trading price of the Shares on the NYSE Arca, the NAV of the Fund at the time the Authorized Purchaser purchased the Creation Baskets and the NAV at the time of the offer of the Shares to the public, the supply of and demand for Shares at the time of sale, and the liquidity of the markets for corn interests. The Fund’s Shares trade in the secondary market on the NYSE Arca at prices that are lower or higher than their NAV per Share. The investment objective of CORN is to have the daily changes in the NAV of the Fund’s Shares reflect the daily changes in the corn market for future delivery as measured by the Benchmark. The Benchmark is a weighted average of the closing settlement prices for three futures contracts for corn (“Corn Futures Contracts”) that are traded on the Chicago Board of Trade (“CBOT”): CORN Benchmark CBOT Corn Futures Contract Weighting Second to expire 35 % Third to expire 30 % December following the third to expire 35 % The Fund commenced investment operations on June 9, 2010 and has a fiscal year ending on December 31. The Fund’s sponsor is Teucrium Trading, LLC (the “Sponsor”). The Sponsor is responsible for the management of the Fund. The Sponsor is registered as a commodity pool operator (“CPO”) and a commodity trading adviser (“CTA”) with the Commodity Futures Trading Commission (“CFTC”) and is a member of the National Futures Association (“NFA”). On June 7, 2010, the initial Form S- 1 for CORN was declared effective by the U.S. Securities and Exchange Commission (“SEC”). On June 8, 2010, four Creation Baskets for CORN were issued representing 200,000 shares and $ 5,000,000 . CORN began trading on the New York Stock Exchange (“NYSE”) Arca on June 9, 2010. The current registration statement for CORN was declared effective by the SEC on April 7, 2022. This registration statement for CORN registered an indeterminate number of shares. The accompanying unaudited financial statements have been prepared in accordance with Rule 10 - 01 of Regulation S- X promulgated by the SEC and, therefore, do not include all information and footnote disclosures required under accounting principles generally accepted in the United States of America (“GAAP”). The financial information included herein is unaudited; however, such financial information reflects all adjustments which are, in the opinion of management, necessary for the fair presentation of the Fund’s financial statements for the interim period. 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, 2024 are not necessarily indicative of the results to be expected for the full year ending December 31, 2024. F- 31 Table of Contents 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. However, no level of losses will require the Sponsor to terminate a Fund. Note 2 – Principal Contracts and Agreements The Sponsor employs U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Global Fund Services”), for Transfer Agency, Fund Accounting and Fund Administration services. The principal address for Global Fund Services is 615 E. Michigan Street, Milwaukee, WI 53202. For custody services, the Funds will pay to U.S. Bank N.A. 0.0075 % of average gross assets up to $1 billion, and .0050% of average gross assets over $1 billion, annually, plus certain per-transaction charges. For Transfer Agency, Fund Accounting and Fund Administration services, which are based on the total assets for all the Funds in the Trust, the Funds will pay to Global Fund Services 0.05 % of average gross assets on the first $500 million, 0.04 % on the next $500 million, 0.03 % on the next $2 billion and 0.02 % on the balance over $3 billion annually. A combined minimum annual fee of up to $ 47,000 for custody, transfer agency, accounting and administrative services is assessed per Fund. These services are recorded as custodian fees and expenses on the statements of operations. A summary of these expenses is included below. The Sponsor employs Foreside Fund Services, LLC (“Foreside” or the “Distributor”) as the Distributor for the Funds. The Distribution Services Agreement among the Distributor and the Sponsor calls for the Distributor to work with the Custodian in connection with the receipt and processing of orders for Creation Baskets and Redemption Baskets and the review and approval of all Fund sales literature and advertising materials. The Distributor and the Sponsor have also entered into a Securities Activities and Service Agreement (the “SASA”) under which certain employees and officers of the Sponsor are licensed as registered representatives or registered principals of the Distributor, under Financial Industry Regulatory Authority (“FINRA”) rules. For its services as the Distributor, Foreside receives a fee of 0.01 % of each Fund’s average daily net assets and an aggregate annual fee of $ 100,000 for all Funds, along with certain expense reimbursements. For its services under the SASA, Foreside receives a fee of $ 5,000 per registered representative and $ 1,000 per registered location. These services are recorded as distribution and marketing fees on the statements of operations. A summary of these expenses is included below. Marex Capital Markets, Inc. (“Marex”) and StoneX Financial Inc (“StoneX”) serve as the Funds’ clearing brokers to execute and clear futures contracts and provide other brokerage-related services. Marex and StoneX are each registered as futures commission merchants (“FCM”) with the U.S. CFTC and are members of the NFA. The clearing brokers are registered as broker-dealers with the SEC and are each a member of FINRA. Marex and StoneX are each clearing members of ICE Futures U.S., Inc., Chicago Board of Trade, Chicago Mercantile Exchange, New York Mercantile Exchange, and all other major United States commodity exchanges. For Corn, Soybean, Sugar and Wheat Futures Contracts, Marex is paid $ 3.00 per round turn exclusive of pass-through fees for the exchange and the NFA. StoneX is paid $ 2.50 per round turn exclusive of pass-through fees for the exchange and the NFA. Additionally, if the monthly commissions paid by each Fund does not equal or exceed 16.5 % return on the StoneX Capital Requirement at 9.6 % of the Exchange Maintenance Margin, each Fund will pay a true up to meet that return at the end of each month. These expenses are recognized on a per-trade basis. The half-turn is recognized as an unrealized loss on the statements of operations for contracts that have been purchased since the change in recognition, and a full turn is recognized as a realized loss on the statements of operations when a contract is sold. A summary of these expenses can be found under the heading, Brokerage Commissions . F- 32 Table of Contents The sole Trustee of the Trust is Wilmington Trust Company, a Delaware banking corporation. The Trustee will accept service of legal process on the Trust in the State of Delaware and will make certain filings under the Delaware Statutory Trust Act. For its services, the Trustee receives an annual fee of $ 3,300 from the Trust. These services are recorded in business permits and licenses fees on the statements of operations. A summary of these expenses is included below. Three months ended March 31, 2024 Three months ended March 31, 2023 Amount Recognized for Custody Services $ 21,972 $ 33,044 Amount of Custody Services Waived $ - $ - Amount Recognized for Distribution Services $ 8,128 $ 10,053 Amount of Distribution Services Waived $ - $ - Amount Recognized for Wilmington Trust $ - $ - Amount of Wilmington Trust 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. The Fund seeks to earn interest on its assets denominated in U.S. dollars on deposits with the Futures Commission Merchant. In addition, the Fund earns interest on funds held at the custodian and at 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 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. F- 33 Table of Contents 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, 2024 and 2023 . CORN Three months ended March 31, 2024 $ 9,706 Three months ended March 31, 2023 $ 17,270 Income Taxes 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 2021 to 2023, 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, 2024 and for the years ended December 31, 2023 , 2022 , and 2021 . 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. F- 34 Table of Contents 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, 2024 and 2023 . 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 CORN. 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 represent 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 Fund 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, 2024 December 31, 2023 Money Market Funds $ 20,890,251 $ 26,573,542 Demand Deposit Savings Accounts 10,429,941 10,293,805 Commercial Paper 32,372,337 39,878,124 Total cash and cash equivalents as presented on the Statements of Assets and Liabilities $ 63,692,529 $ 76,745,471 F- 35 Table of Contents Payable for Purchases of Commercial Paper The amount recorded by the Fund for commercial paper transactions awaiting settlement, represents the amount payable for contracts purchased but not yet settled as of the reporting date. The value of the contract is included in cash and cash equivalents, and the payable amount is included as a liability. 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 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. F- 36 Table of Contents 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. (ET). The NAV for a particular trading day is released after 4:15 p.m. (ET). In determining the value of Corn Futures Contracts, the administrator uses the CBOT 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. (ET). The value of over-the-counter corn interests is determined based on the value of the commodity or futures contract underlying such corn 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 corn 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 corn 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, 2024 Three months ended March 31, 2023 Recognized Related Party Transactions $ 136,525 $ 154,915 Waived Related Party Transactions $ - $ - F- 37 Table of Contents 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. There were no expenses waived for the three months ended March 31, 2024 and 2023. 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 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. F- 38 Table of Contents 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 during periods of market dislocation. In periods of market dislocation, the observability of prices and inputs may be reduced for many securities. This condition could cause a financial instrument to be reclassified to a lower level within the fair value hierarchy. For instance, when Corn Futures Contracts on the CBOT are not actively trading due to a “limit-up” or limit-down” condition, meaning that the daily change in the Corn Futures Contracts has exceeded the limits established, the Trust and the Fund will revert to alternative verifiable sources of valuation of its assets. 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, 2024 and December 31, 2023 , 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, 2024 and year ended December 31, 2023 , 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. F- 39 Table of Contents Expenses 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 - 06 – Disclosure Improvements: Codification Amendments in Response to the SEC’s Disclosure Update and Simplification Initiative. The amendments require an entity to disclose its accounting policy for where cash flows associated with derivative instruments and their related gains and losses are presented. The Trust and Fund already discloses the accounting policy related to the derivative gains and losses presented on the cash flow statement. The amendment was adopted early for the period ended December 31, 2023. There is no impact to the financial statements of the Trust or the Fund. The FASB 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. F- 40 Table of Contents 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, 2024 and December 31, 2023 : March 31, 2024 Balance as of Assets: Level 1 Level 2 Level 3 March 31, 2024 Cash Equivalents $ 53,262,588 $ - $ - $ 53,262,588 Commodity Futures Contracts Corn futures contracts 154,412 - - 154,412 Total $ 53,417,000 $ - $ - $ 53,417,000 Balance as of Liabilities Level 1 Level 2 Level 3 March 31, 2024 Commodity Futures Contracts Corn futures contracts $ 3,932,723 $ - $ - $ 3,932,723 December 31, 2023 Balance as of Assets: Level 1 Level 2 Level 3 December 31, 2023 Cash Equivalents $ 66,451,666 $ - $ - $ 66,451,666 Balance as of Liabilities Level 1 Level 2 Level 3 December 31, 2023 Corn futures contracts $ 2,182,141 $ - $ - $ 2,182,141 F- 41 Table of Contents For the three months ended March 31, 2024 and year ended December 31, 2023 , 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, 2024 and year ended December 31, 2023 , 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.” F- 42 Table of Contents 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, 2024 , and December 31, 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, 2024 (i) (ii) (iii) = (i)-(ii) (iv) (v)=(iii)-(iv) Gross Amount Not Offset in the Statement of Assets and Liabilities Description 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 Net Amount Commodity Price Corn futures contracts $ 154,412 $ - $ 154,412 $ 154,412 $ - $ - Offsetting of Financial Liabilities and Derivative Liabilities as of March 31, 2024 (i) (ii) (iii) = (i)-(ii) (iv) (v)=(iii)-(iv) Gross Amount Not Offset in the Statement of Assets and Liabilities Description 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* Net Amount Commodity Price Corn futures contracts $ 3,932,723 $ - $ 3,932,723 $ 154,412 $ 3,778,311 $ - Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2023 (i) (ii) (iii) = (i)-(ii) (iv) (v)=(iii)-(iv) Gross Amount Not Offset in the Statement of Assets and Liabilities Description 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* Net Amount Commodity Price Corn futures contracts $ 2,182,141 $ - $ 2,182,141 $ - $ 2,182,141 $ - F- 43 Table of Contents 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, 2024 Realized Loss on Commodity Futures Contracts Net Change in Unrealized Depreciation on Commodity Futures Contracts Commodity Price Corn futures contracts $ ( 3,964,335 ) $ ( 1,596,170 ) Three months ended March 31, 2023 Realized Loss on Commodity Futures Contracts Net Change in Unrealized Depreciation on Commodity Futures Contracts Commodity Price Corn futures contracts $ ( 6,268,935 ) $ ( 3,299,360 ) Volume of Derivative Activities The average notional market value categorized by primary underlying risk for the futures contracts held was $ 69.4 million for the three months ended March 31, 2024 and $ 126.4 million for the three months ended March 31, 2023 . F- 44 Table of Contents Note 6 – Financial Highlights The following tables present per unit performance data and other supplemental financial data for the three months ended March 31, 2024 and 2023 . 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, 2024 March 31, 2023 Per Share Operation Performance Net asset value at beginning of period $ 21.61 $ 26.90 Income from investment operations: Interest income 0.27 0.28 Net realized and unrealized loss on commodity futures contracts ( 1.53 ) ( 1.77 ) Total expenses, net ( 0.13 ) ( 0.14 ) Net decrease in net asset value ( 1.39 ) ( 1.63 ) Net asset value at end of period $ 20.22 $ 25.27 Total Return - 6.47 % - 6.03 % Ratios to Average Net Assets (Annualized) Total expenses 2.72 % 2.13 % Total expenses, net 2.72 % 2.13 % Net investment income 2.60 % 2.29 % The financial highlights per share data are calculated consistent with the methodology used to calculate asset-based fees and expenses. Note 7 – Organizational and Offering Costs Expenses incurred in organizing of the Trust and the initial offering of the Shares of the Fund, including applicable SEC registration fees were borne directly by the Sponsor. The Fund will not be obligated to reimburse the Sponsor. Note 8 – Subsequent Events Management has evaluated the financial statements for the quarter-ended March 31, 2024 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. F-45 Table of Contents TEUCRIUM SOYBEAN FUND STATEMENTS OF ASSETS AND LIABILITIES March 31, 2024 December 31, 2023 (Unaudited) Assets Cash and cash equivalents $ 32,652,507 $ 28,107,189 Interest receivable 53,269 36,662 Other assets 883 - Equity in trading accounts: Due from broker 2,165,633 2,385,040 Total assets 34,872,292 30,528,891 Liabilities Management fee payable to Sponsor 26,755 25,659 Other liabilities 83,798 55,551 Equity in trading accounts: Commodity futures contracts 794,976 1,391,661 Total liabilities 905,529 1,472,871 Net assets $ 33,966,763 $ 29,056,020 Shares outstanding 1,350,004 1,075,004 Shares authorized * * Net asset value per share $ 25.16 $ 27.03 Market value per share $ 25.21 $ 27.01 * On April 7, 2022, the Teucrium Soybean Fund registered an indeterminate number of shares of the Fund pursuant to Rule 456(d) under the Securities Act of 1933. The accompanying notes are an integral part of these financial statements. F-46 Table of Contents TEUCRIUM SOYBEAN FUND SCHEDULE OF INVESTMENTS March 31, 2024 (Unaudited) Percentage of Description: Assets Yield Cost Fair Value Net Assets Shares Cash equivalents Money market funds First American Government Obligations Fund - Class X 5.240 % $ 7,780,493 $ 7,780,493 22.91 % 7,780,493 Goldman Sachs Financial Square Government Fund - Institutional Class 5.210 % 4,447,673 4,447,673 13.09 4,447,673 Total money market funds $ 12,228,166 $ 12,228,166 36.00 % Maturity Percentage of Principal Date Yield Cost Fair Value Net Assets Amount Commercial Paper FMC Corporation April 22, 2024 5.755 % $ 2,487,815 $ 2,491,746 7.34 % 2,500,000 General Motors Financial Company, Inc. April 29, 2024 5.408 % 2,475,663 2,489,675 7.33 2,500,000 Glencore Funding LLC April 30, 2024 5.493 % 2,482,375 2,489,125 7.33 2,500,000 Glencore Funding LLC May 10, 2024 5.475 % 2,480,199 2,485,429 7.32 2,500,000 National Fuel Gas Company April 4, 2024 5.544 % 2,492,038 2,498,863 7.36 2,500,000 Stanley Black & Decker, Inc. April 4, 2024 5.604 % 2,493,867 2,498,850 7.36 2,500,000 Total Commercial Paper $ 14,911,957 $ 14,953,688 44.04 % Total Cash Equivalents $ 27,181,854 80.04 % Number of Percentage of Notional Amount Description: Liabilities Contracts Fair Value Net Assets (Long Exposure) Commodity futures contracts United States soybean futures contracts CBOT soybean futures JUL24 197 $ 308,999 0.91 % $ 11,871,713 CBOT soybean futures NOV24 172 478,846 1.41 10,201,750 CBOT soybean futures NOV25 204 7,131 0.02 11,860,050 Total commodity futures contracts $ 794,976 2.34 % $ 33,933,513 The accompanying notes are an integral part of these financial statements. F- 47 Table of Contents TEUCRIUM SOYBEAN FUND SCHEDULE OF INVESTMENTS December 31, 2023 Percentage of Description: Assets Yield Cost Fair Value Net Assets Shares Cash equivalents Money market funds U.S. Bank Deposit Account 5.270 % $ 1,075,007 $ 1,075,007 3.70 % 1,075,007 Goldman Sachs Financial Square Government Fund - Institutional Class 5.250 % 6,671,092 6,671,092 22.96 6,671,092 Total money market funds $ 7,746,099 $ 7,746,099 26.66 % Maturity Percentage of Principal Date Yield Cost Fair Value Net Assets Amount Commercial Paper Albemarle Corporation January 8, 2024 5.738 % $ 2,476,151 $ 2,497,263 8.59 % 2,500,000 Brookfield Infrastructure Holdings (Canada) Inc. January 9, 2024 5.794 % 2,489,708 2,496,833 8.59 2,500,000 FMC Corporation January 19, 2024 5.816 % 2,488,878 2,492,850 8.58 2,500,000 Harley-Davidson Financial Services, Inc. February 1, 2024 5.867 % 2,480,400 2,487,600 8.56 2,500,000 Stanley Black & Decker, Inc. January 22, 2024 5.807 % 2,479,021 2,491,688 8.58 2,500,000 WGL Holdings, Inc. January 12, 2024 5.849 % 2,487,222 2,495,608 8.59 2,500,000 Total Commercial Paper $ 14,901,380 $ 14,961,842 51.49 % Total Cash Equivalents $ 22,707,941 78.15 % Number of Percentage of Notional Amount Description: Liabilities Contracts Fair Value Net Assets (Long Exposure) Commodity futures contracts United States soybean futures contracts CBOT soybean futures MAR24 156 $ 617,118 2.12 % $ 10,124,400 CBOT soybean futures MAY24 133 633,749 2.18 8,693,213 CBOT soybean futures NOV24 164 140,794 0.48 10,215,150 Total commodity futures contracts $ 1,391,661 4.78 % $ 29,032,763 The accompanying notes are an integral part of these financial statements. F- 48 Table of Contents TEUCRIUM SOYBEAN FUND STATEMENTS OF OPERATIONS (Unaudited) Three months ended Three months ended March 31, 2024 March 31, 2023 Income Realized and unrealized gain (loss) on trading of commodity futures contracts: Realized (loss) gain on commodity futures contracts $ ( 2,632,854 ) $ 1,067,543 Net change in unrealized appreciation/(depreciation) on commodity futures contracts 596,685 ( 3,699,642 ) Interest income 380,411 511,623 Total loss ( 1,655,758 ) ( 2,120,476 ) Expenses Management fees 70,722 114,690 Professional fees 38,420 57,998 Distribution and marketing fees 100,750 69,185 Custodian fees and expenses 8,486 3,441 Business permits and licenses fees 6,269 2,294 General and administrative expenses 7,072 2,294 Total expenses 231,719 249,902 Expenses waived by the Sponsor - - Total expenses, net 231,719 249,902 Net loss $ ( 1,887,477 ) $ ( 2,370,378 ) Net loss per share $ ( 1.87 ) $ ( 1.31 ) Net loss per weighted average share $ ( 1.67 ) $ ( 1.42 ) Weighted average shares outstanding 1,129,400 1,668,615 The accompanying notes are an integral part of these financial statements. F-49 Table of Contents TEUCRIUM SOYBEAN FUND STATEMENTS OF CHANGES IN NET ASSETS (Unaudited) Three months ended Three months ended March 31, 2024 March 31, 2023 Operations Net loss $ ( 1,887,477 ) $ ( 2,370,378 ) Capital transactions Issuance of Shares 8,094,215 3,526,043 Redemption of Shares ( 1,295,995 ) ( 21,521,150 ) Total capital transactions 6,798,220 ( 17,995,107 ) Net change in net assets 4,910,743 ( 20,365,485 ) Net assets, beginning of period $ 29,056,020 $ 58,429,985 Net assets, end of period $ 33,966,763 $ 38,064,500 Net asset value per share at beginning of period $ 27.03 $ 28.50 Net asset value per share at end of period $ 25.16 $ 27.19 Creation of Shares 325,000 125,000 Redemption of Shares 50,000 775,000 The accompanying notes are an integral part of these financial statements. F-50 Table of Contents TEUCRIUM SOYBEAN FUND STATEMENTS OF CASH FLOWS (Unaudited) Three months ended Three months ended March 31, 2024 March 31, 2023 Cash flows from operating activities: Net loss $ ( 1,887,477 ) $ ( 2,370,378 ) Adjustments to reconcile net loss to net cash used in operating activities: Net change in unrealized (depreciation)/appreciation on commodity futures contracts ( 596,685 ) 3,699,642 Changes in operating assets and liabilities: Due from broker 219,407 ( 2,578,615 ) Interest receivable ( 16,607 ) 34,657 Other assets ( 883 ) ( 29,849 ) Management fee payable to Sponsor 1,096 ( 21,191 ) Other liabilities 28,247 ( 7,119 ) Net cash used in operating activities ( 2,252,902 ) ( 1,272,853 ) Cash flows from financing activities: Proceeds from sale of Shares 8,094,215 3,526,043 Redemption of Shares ( 1,295,995 ) ( 24,371,410 ) Net cash provided by (used in) financing activities 6,798,220 ( 20,845,367 ) Net change in cash and cash equivalents 4,545,318 ( 22,118,220 ) Cash and cash equivalents beginning of period 28,107,189 58,212,569 Cash and cash equivalents end of period $ 32,652,507 $ 36,094,349 The accompanying notes are an integral part of these financial statements. F-51 Table of Contents NOTES TO FINANCIAL STATEMENTS March 31, 2024 (Unaudited) Note 1 – Organization and Operation Teucrium Soybean Fund (referred to herein as “SOYB” or the “Fund”) is a commodity pool that is a series of Teucrium Commodity Trust (“Trust”), a Delaware statutory trust formed on September 11, 2009. The Fund issues common units, called the “Shares,” representing fractional undivided beneficial interests in the Fund. The Fund continuously offers Creation Baskets consisting of 25,000 Shares at their Net Asset Value (“NAV”) to “Authorized Purchasers” through Foreside Fund Services, LLC, which is the distributor for the Fund (the “Distributor”). Authorized Purchasers sell such Shares, which are listed on the New York Stock Exchange (“NYSE”) Arca under the symbol “SOYB,” to the public at per Share offering prices that reflect, among other factors, the trading price of the Shares on the NYSE Arca, the NAV of the Fund at the time the Authorized Purchaser purchased the Creation Baskets and the NAV at the time of the offer of the Shares to the public, the supply of and demand for Shares at the time of sale, and the liquidity of the markets for soybean interests. The Fund’s Shares trade in the secondary market on the NYSE Arca at prices that are lower or higher than their NAV per Share. The investment objective of SOYB is to have the daily changes in the NAV of the Fund’s Shares reflect the daily changes in the soybean market for future delivery as measured by the Benchmark. The Benchmark is a weighted average of the closing settlement prices for three futures contracts for soybeans (“Soybean Futures Contracts”) that are traded on the Chicago Board of Trade (“CBOT”): SOYB Benchmark CBOT Soybean Futures Contract Weighting Second to expire (excluding August & September) 35 % Third to expire (excluding August & September) 30 % Expiring in the November following the expiration of the third to expire contract 35 % The Fund commenced investment operations on September 19, 2011 and has a fiscal year ending December 31. The Fund’s sponsor is Teucrium Trading, LLC (the “Sponsor”). The Sponsor is responsible for the management of the Fund. The Sponsor is registered as a commodity pool operator (“CPO”) and a commodity trading adviser (“CTA”) with the Commodity Futures Trading Commission (“CFTC”) and is a member of the National Futures Association (“NFA”). On June 13, 2011, the initial Form S- 1 for SOYB was declared effective by the SEC. On September 16, 2011, two Creation Baskets were issued representing 100,000 shares and $ 2,500,000 . On September 19, 2011, SOYB started trading on the NYSE Arca. The current registration statement for SOYB was declared effective by the SEC on April 7, 2022. This registration statement for SOYB registered an indeterminate number of shares. The accompanying unaudited financial statements have been prepared in accordance with Rule 10 - 01 of Regulation S- X promulgated by the SEC and, therefore, do not include all information and footnote disclosures required under accounting principles generally accepted in the United States of America (“GAAP”). The financial information included herein is unaudited; however, such financial information reflects all adjustments which are, in the opinion of management, necessary for the fair presentation of the Fund’s financial statements for the interim period. 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, 2024 are not necessarily indicative of the results to be expected for the full year ending December 31, 2024. F- 52 Table of Contents 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. However, no level of losses will require the Sponsor to terminate a Fund. Note 2 – Principal Contracts and Agreements The Sponsor employs U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Global Fund Services”), for Transfer Agency, Fund Accounting and Fund Administration services. The principal address for Global Fund Services is 615 E. Michigan Street, Milwaukee, WI 53202. For custody services, the Funds will pay to U.S. Bank N.A. 0.0075 % of average gross assets up to $1 billion, and .0050% of average gross assets over $1 billion, annually, plus certain per-transaction charges. For Transfer Agency, Fund Accounting and Fund Administration services, which are based on the total assets for all the Funds in the Trust, the Funds will pay to Global Fund Services 0.05 % of average gross assets on the first $500 million, 0.04 % on the next $500 million, 0.03 % on the next $2 billion and 0.02 % on the balance over $3 billion annually. A combined minimum annual fee of up to $ 47,000 for custody, transfer agency, accounting and administrative services is assessed per Fund. These services are recorded as custodian fees and expenses on the statements of operations. A summary of these expenses is included below. The Sponsor employs Foreside Fund Services, LLC (“Foreside” or the “Distributor”) as the Distributor for the Funds. The Distribution Services Agreement among the Distributor and the Sponsor calls for the Distributor to work with the Custodian in connection with the receipt and processing of orders for Creation Baskets and Redemption Baskets and the review and approval of all Fund sales literature and advertising materials. The Distributor and the Sponsor have also entered into a Securities Activities and Service Agreement (the “SASA”) under which certain employees and officers of the Sponsor are licensed as registered representatives or registered principals of the Distributor, under Financial Industry Regulatory Authority (“FINRA”) rules. For its services as the Distributor, Foreside receives a fee of 0.01 % of each Fund’s average daily net assets and an aggregate annual fee of $ 100,000 for all Funds, along with certain expense reimbursements. For its services under the SASA, Foreside receives a fee of $ 5,000 per registered representative and $ 1,000 per registered location. These services are recorded as distribution and marketing fees on the statements of operations. A summary of these expenses is included below. Marex Capital Markets, Inc. (“Marex”) and StoneX Financial Inc. (“StoneX”) serve as the Funds’ clearing brokers to execute and clear futures contracts and provide other brokerage-related services. Marex and StoneX are each registered as futures commission merchants (“FCM”) with the U.S. CFTC and are members of the NFA. The clearing brokers are registered as broker-dealers with the SEC and are each a member of FINRA. Marex and StoneX are each clearing members of ICE Futures U.S., Inc., Chicago Board of Trade, Chicago Mercantile Exchange, New York Mercantile Exchange, and all other major United States commodity exchanges. For Corn, Soybean, Sugar, and Wheat Futures Contracts E D & F Man is paid $ 3.00 per round turn exclusive of pass-through fees for the exchange and the NFA. StoneX is paid $ 2.50 per round turn exclusive of pass-through fees for the exchange and the NFA. Additionally, if the monthly commissions paid by each Fund does not equal or exceed 16.5 % return on the StoneX Capital Requirement at 9.6 % of the Exchange Maintenance Margin, each Fund will pay a true up to meet that return at the end of each month. These expenses are recognized on a per-trade basis. The half-turn is recognized as an unrealized loss on the statements of operations for contracts that have been purchased since the change in recognition, and a full turn is recognized as a realized loss on the statements of operations when a contract is sold. A summary of these expenses can be found under the heading, Brokerage Commissions . F- 53 Table of Contents The sole Trustee of the Trust is Wilmington Trust Company, a Delaware banking corporation. The Trustee will accept service of legal process on the Trust in the State of Delaware and will make certain filings under the Delaware Statutory Trust Act. For its services, the Trustee receives an annual fee of $ 3,300 from the Trust. These services are recorded in business permits and licenses fees on the statements of operations. A summary of these expenses is included below. Three months ended March 31, 2024 Three months ended March 31, 2023 Amount Recognized for Custody Services $ 8,486 $ 3,441 Amount of Custody Services Waived $ - $ - Amount Recognized for Distribution Services $ 3,063 $ 3,266 Amount of Distribution Services Waived $ - $ - Amount Recognized for Wilmington Trust $ - $ - Amount of Wilmington Trust 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. The Fund seeks to earn interest on its assets denominated in U.S. dollars on deposits with the Futures Commission Merchant. In addition, 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. F- 54 Table of Contents 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, 2024 and 2023 . SOYB Three months ended March 31, 2024 $ 4,158 Three months ended March 31, 2023 $ 6,340 Income Taxes For federal income tax purposes, each 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 2021 to 2023, 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, 2024 and for the years ended December 31, 2023 , 2022 , and 2021 . 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, 2024 and 2023 . 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. F- 55 Table of Contents 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 represent 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 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, 2024 December 31, 2023 Money Market Funds $ 12,228,166 $ 7,746,099 Demand Deposit Savings Accounts 5,470,653 5,399,248 Commercial Paper 14,953,688 14,961,842 Total cash and cash equivalents as presented on the Statements of Assets and Liabilities $ 32,652,507 $ 28,107,189 F- 56 Table of Contents Payable for Purchases of Commercial Paper The amount recorded by the Fund for commercial paper transactions awaiting settlement, represents the amount payable for contracts purchased but not yet settled as of the reporting date. The value of the contract is included in cash and cash equivalents, and the payable amount is included as a liability. 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 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. (ET). The NAV for a particular trading day is released after 4:15 p.m. (ET). F- 57 Table of Contents In determining the value of Soybean Futures Contracts, the administrator uses the CBOT 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. (ET). The value of over-the-counter soybean interests is determined based on the value of the commodity or futures contract underlying such soybean 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 soybean 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 soybean 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 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, 2024 Three months ended March 31, 2023 Recognized Related Party Transactions $ 51,460 $ 50,267 Waived Related Party Transactions $ - $ - F- 58 Table of Contents 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. There were no expenses waived for the three months ended March 31, 2024 and 2023. 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. F- 59 Table of Contents 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, 2024 and December 31, 2023 , 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, 2024 and year ended December 31, 2023 , 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 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 Shares outstanding was computed for purposes of disclosing net income (loss) per weighted average Share. The weighted average Shares are equal to the number of Shares outstanding at the end of the period, adjusted proportionately for Shares created or redeemed based on the amount of time the Shares were outstanding during such period. New Accounting Pronouncements The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) issued ASU 2023 - 06 – Disclosure Improvements: Codification Amendments in Response to the SEC’s Disclosure Update and Simplification Initiative. The amendments require an entity to disclose its accounting policy for where cash flows associated with derivative instruments and their related gains and losses are presented. The Trust and Fund already discloses the accounting policy related to the derivative gains and losses presented on the cash flow statement. The amendment was adopted early for the period ended December 31, 2023. There is no impact to the financial statements of the Trust or the Fund. F- 60 Table of Contents The FASB 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. F- 61 Table of Contents 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, 2024 and December 31, 2023 : March 31, 2024 Balance as of Assets: Level 1 Level 2 Level 3 March 31, 2024 Cash Equivalents $ 27,181,854 $ - $ - $ 27,181,854 Balance as of Liabilities Level 1 Level 2 Level 3 March 31, 2024 Commodity Futures Contracts Soybean futures contracts $ 794,976 $ - $ - $ 794,976 December 31, 2023 Balance as of Assets: Level 1 Level 2 Level 3 December 31, 2023 Cash Equivalents $ 22,707,941 $ - $ - $ 22,707,941 Balance as of Liabilities Level 1 Level 2 Level 3 December 31, 2023 Soybean futures contracts $ 1,391,661 $ - $ - $ 1,391,661 For the three months ended March 31, 2024 and year ended December 31, 2023 , 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, 2024 and year ended December 31, 2023 , the Fund invested only in commodity futures contracts. F- 62 Table of Contents 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, 2024 , and December 31, 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 Liabilities and Derivative Liabilities as of March 31, 2024 (i) (ii) (iii) = (i)-(ii) (iv) (v)=(iii)-(iv) Gross Amount Not Offset in the Statement of Assets and Liabilities Description 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* Net Amount Commodity Price Soybean futures contracts $ 794,976 $ - $ 794,976 $ - $ 794,976 $ - Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2023 (i) (ii) (iii) = (i)-(ii) (iv) (v)=(iii)-(iv) Gross Amount Not Offset in the Statement of Assets and Liabilities Description 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* Net Amount Commodity Price Soybean futures contracts $ 1,391,661 $ - $ 1,391,661 $ - $ 1,391,661 $ - F- 63 Table of Contents 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, 2024 Realized Loss on Commodity Futures Contracts Net Change in Unrealized Appreciation on Commodity Futures Contracts Commodity Price Soybean futures contracts $ ( 2,632,854 ) $ 596,685 Three months ended March 31, 2023 Realized Gain on Commodity Futures Contracts Net Change in Unrealized Depreciation on Commodity Futures Contracts Commodity Price Soybean futures contracts $ 1,067,543 $ ( 3,699,642 ) Volume of Derivative Activities The average notional market value categorized by primary underlying risk for all futures contracts held was $ 29.1 million for the three months ended March 31, 2024 and $ 42.6 million for the three months ended March 31, 2023 . F- 64 Table of Contents Note 6 – Financial Highlights The following tables present per unit performance data and other supplemental financial data for the three months ended March 31, 2024 and 2023 . 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, 2024 March 31, 2023 Per Share Operation Performance Net asset value at beginning of period $ 27.03 $ 28.50 Income from investment operations: Interest income 0.34 0.31 Net realized and unrealized loss on commodity futures contracts ( 2.00 ) ( 1.47 ) Total expenses, net ( 0.21 ) ( 0.15 ) Net decrease in net asset value ( 1.87 ) ( 1.31 ) Net asset value at end of period $ 25.16 $ 27.19 Total Return - 6.91 % - 4.61 % Ratios to Average Net Assets (Annualized) Total expenses 3.28 % 2.18 % Total expenses, net 3.28 % 2.18 % Net investment income 2.10 % 2.28 % The financial highlights per share data are calculated consistent with the methodology used to calculate asset-based fees and expenses. Note 7 – Organizational and Offering Costs Expenses incurred in organizing of the Trust and the initial offering of the Shares of the Fund, including applicable SEC registration fees were borne directly by the Sponsor. The Fund will not be obligated to reimburse the Sponsor. Note 8 – Subsequent Events Management has evaluated the financial statements for the quarter-ended March 31, 2024 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. F-65 Table of Contents TEUCRIUM SUGAR FUND STATEMENTS OF ASSETS AND LIABILITIES March 31, 2024 December 31, 2023 (Unaudited) Assets Cash and cash equivalents $ 15,283,959 $ 16,773,745 Interest receivable 21,734 31,551 Other assets 9,114 835 Equity in trading accounts: Due from broker 2,063,532 3,650,191 Total assets 17,378,339 20,456,322 Liabilities Management fee payable to Sponsor 13,643 17,451 Other liabilities 21,123 30,774 Equity in trading accounts: Commodity futures contracts 814,401 2,687,998 Total liabilities 849,167 2,736,223 Net assets $ 16,529,172 $ 17,720,099 Shares outstanding 1,225,004 1,425,004 Shares authorized * * Net asset value per share $ 13.49 $ 12.44 Market value per share $ 13.49 $ 12.40 * On April 7, 2022, the Teucrium Sugar Fund registered an indeterminate number of shares of the Fund pursuant to Rule 456(d) under the Securities Act of 1933. The accompanying notes are an integral part of these financial statements. F-66 Table of Contents TEUCRIUM SUGAR FUND SCHEDULE OF INVESTMENTS March 31, 2024 (Unaudited) Percentage of Description: Assets Yield Cost Fair Value Net Assets Shares Cash equivalents Money market funds U.S. Bank Deposit Account 5.240 % $ 1,342,798 $ 1,342,798 8.12 % 1,342,798 Goldman Sachs Financial Square Government Fund - Institutional Class 5.210 % 2,708,188 2,708,188 16.38 2,708,188 Total Money Market Funds $ 4,050,986 $ 4,050,986 24.50 % Maturity Percentage of Principal Date Yield Cost Fair Value Net Assets Amount Commercial Paper The Cigna Group April 5, 2024 5.501 % $ 495,050 $ 499,700 3.02 % 500,000 Campbell Soup Company May 1, 2024 5.601 % 2,477,848 2,488,542 15.06 2,500,000 Glencore Funding LLC April 16, 2024 5.490 % 2,485,375 2,494,375 15.09 2,500,000 Glencore Funding LLC May 10, 2024 5.475 % 2,480,199 2,485,429 15.04 2,500,000 Total Commercial Paper $ 7,938,472 $ 7,968,046 48.21 % Total Cash Equivalents $ 12,019,032 72.71 % Number of Percentage of Notional Amount Description: Liabilities Contracts Fair Value Net Assets (Long Exposure) Commodity futures contracts United States sugar futures contracts ICE sugar futures JUL24 234 $ 594,646 3.60 % $ 5,805,072 ICE sugar futures OCT24 201 83,984 0.51 4,963,896 ICE sugar futures MAR25 233 135,771 0.82 5,769,826 Total commodity futures contracts $ 814,401 4.93 % $ 16,538,794 The accompanying notes are an integral part of these financial statements. F- 67 Table of Contents TEUCRIUM SUGAR FUND SCHEDULE OF INVESTMENTS December 31, 2023 Percentage of Description: Assets Yield Cost Fair Value Net Assets Shares Cash equivalents Money market funds U.S. Bank Deposit Account 5.270 % $ 1,532,232 $ 1,532,232 8.65 % 1,532,232 Goldman Sachs Financial Square Government Fund - Institutional Class 5.250 % 1,501,006 1,501,006 8.47 1,501,006 Total Money Market Funds $ 3,033,238 $ 3,033,238 17.12 % Maturity Percentage of Principal Date Yield Cost Fair Value Net Assets Amount Commercial Paper Albemarle Corporation January 4, 2024 5.753 % $ 2,480,382 $ 2,498,823 14.10 % 2,500,000 Brookfield Infrastructure Holdings (Canada) Inc. January 30, 2024 5.814 % 550,863 552,447 3.12 555,000 Entergy Corporation March 1, 2024 5.665 % 2,467,625 2,476,875 13.98 2,500,000 FMC Corporation January 19, 2024 5.816 % 2,488,878 2,492,850 14.07 2,500,000 National Fuel Gas Company January 8, 2024 5.867 % 2,480,400 2,497,200 14.09 2,500,000 Total Commercial Paper $ 10,468,148 $ 10,518,195 59.36 % Total Cash Equivalents $ 13,551,433 76.47 % Number of Percentage of Notional Amount Description: Liabilities Contracts Fair Value Net Assets (Long Exposure) Commodity futures contracts United States sugar futures contracts ICE sugar futures MAY24 270 $ 1,051,261 5.93 % $ 6,175,008 ICE sugar futures JUL24 233 1,128,473 6.37 5,326,193 ICE sugar futures MAR25 268 508,264 2.87 6,216,314 Total commodity futures contracts $ 2,687,998 15.17 % $ 17,717,515 The accompanying notes are an integral part of these financial statements. F- 68 Table of Contents TEUCRIUM SUGAR FUND STATEMENTS OF OPERATIONS (Unaudited) Three months ended Three months ended March 31, 2024 March 31, 2023 Income Realized and unrealized gain (loss) on trading of commodity futures contracts: Realized (loss) gain on commodity futures contracts $ ( 482,314 ) $ 1,339,448 Net change in unrealized appreciation on commodity futures contracts 1,873,597 3,139,817 Interest income 224,625 271,449 Total income 1,615,908 4,750,714 Expenses Management fees 42,559 61,338 Professional fees 27,663 69,929 Distribution and marketing fees 82,545 34,816 Custodian fees and expenses 8,512 1,036 Business permits and licenses fees 5,631 2,491 General and administrative expenses 5,107 613 Total expenses 172,017 170,223 Expenses waived by the Sponsor - - Total expenses, net 172,017 170,223 Net income $ 1,443,891 $ 4,580,491 Net income per share $ 1.05 $ 1.93 Net income per weighted average share $ 1.12 $ 1.87 Weighted average shares outstanding 1,287,641 2,446,948 The accompanying notes are an integral part of these financial statements. F-69 Table of Contents TEUCRIUM SUGAR FUND STATEMENTS OF CHANGES IN NET ASSETS (Unaudited) Three months ended Three months ended March 31, 2024 March 31, 2023 Operations Net income $ 1,443,891 $ 4,580,491 Capital transactions Issuance of Shares - 5,458,637 Redemption of Shares ( 2,634,818 ) ( 6,262,695 ) Total capital transactions ( 2,634,818 ) ( 804,058 ) Net change in net assets ( 1,190,927 ) 3,776,433 Net assets, beginning of period $ 17,720,099 $ 24,262,359 Net assets, end of period $ 16,529,172 $ 28,038,792 Net asset value per share at beginning of period $ 12.44 $ 9.51 Net asset value per share at end of period $ 13.49 $ 11.44 Creation of Shares - 525,000 Redemption of Shares 200,000 625,000 The accompanying notes are an integral part of these financial statements. F-70 Table of Contents TEUCRIUM SUGAR FUND STATEMENTS OF CASH FLOWS (Unaudited) Three months ended Three months ended March 31, 2024 March 31, 2023 Cash flows from operating activities: Net income $ 1,443,891 $ 4,580,491 Adjustments to reconcile net income to net cash provided by operating activities: Net change in unrealized appreciation on commodity futures contracts ( 1,873,597 ) ( 3,139,817 ) Changes in operating assets and liabilities: Due from broker 1,586,659 447,801 Interest receivable 9,817 ( 16,719 ) Other assets ( 8,279 ) ( 16,995 ) Due to broker - 2,101,900 Management fee payable to Sponsor ( 3,808 ) 2,877 Other liabilities ( 9,651 ) ( 623 ) Net cash provided by operating activities 1,145,032 3,958,915 Cash flows from financing activities: Proceeds from sale of Shares - 5,458,637 Redemption of Shares ( 2,634,818 ) ( 6,262,695 ) Net cash used in financing activities ( 2,634,818 ) ( 804,058 ) Net change in cash and cash equivalents ( 1,489,786 ) 3,154,857 Cash and cash equivalents beginning of period 16,773,745 22,977,480 Cash and cash equivalents end of period $ 15,283,959 $ 26,132,337 The accompanying notes are an integral part of these financial statements. F-71 Table of Contents NOTES TO FINANCIAL STATEMENTS March 31, 2024 (Unaudited) Note 1 – Organization and Operation Teucrium Sugar Fund (referred to herein as “CANE” or the “Fund”) is a commodity pool that is a series of Teucrium Commodity Trust (“Trust”), a Delaware statutory trust formed on September 11, 2009. The Fund issues common units, called the “Shares,” representing fractional undivided beneficial interests in the Fund. The Fund continuously offers Creation Baskets consisting of 25,000 Shares at their Net Asset Value (“NAV”) to “Authorized Purchasers” through Foreside Fund Services, LLC, which is the distributor for the Fund (the “Distributor”). Authorized Purchasers sell such Shares, which are listed on the New York Stock Exchange (“NYSE”) Arca under the symbol “CANE,” to the public at per-Share offering prices that reflect, among other factors, the trading price of the Shares on the NYSE Arca, the NAV of the Fund at the time the Authorized Purchaser purchased the Creation Baskets and the NAV at the time of the offer of the Shares to the public, the supply of and demand for Shares at the time of sale, and the liquidity of the markets for sugar interests. The Fund’s Shares trade in the secondary market on the NYSE Arca at prices that are lower or higher than their NAV per Share. The investment objective of CANE is to have the daily changes in the NAV of the Fund’s Shares reflect the daily changes in the sugar market for future delivery as measured by the Benchmark. The Benchmark is a weighted average of the closing settlement prices for three futures contracts for No. 11 sugar (“Sugar Futures Contracts”) that are traded on the ICE Futures US (“ICE”): CANE Benchmark ICE Sugar Futures Contract Weighting Second to expire 35 % Third to expire 30 % Expiring in the March following the expiration of the third to expire contract 35 % The Fund commenced investment operations on September 19, 2011 and has a fiscal year ending December 31. The Fund’s sponsor is Teucrium Trading, LLC (the “Sponsor”). The Sponsor is responsible for the management of the Fund. The Sponsor is registered as a commodity pool operator (“CPO”) and a commodity trading adviser (“CTA”) with the Commodity Futures Trading Commission (“CFTC”) and is a member of the National Futures Association (“NFA”). On June 13, 2011, the initial Form S- 1 for CANE was declared effective by the SEC. On September 16, 2011, two Creation Baskets were issued representing 100,000 shares and $ 2,500,000 . On September 19, 2011, CANE started trading on the NYSE Arca. The current registration statement for CANE was declared effective by the SEC on April 7, 2022. This registration statement for CANE registered an indeterminate number of shares. The accompanying unaudited financial statements have been prepared in accordance with Rule 10 - 01 of Regulation S- X promulgated by the SEC and, therefore, do not include all information and footnote disclosures required under accounting principles generally accepted in the United States of America (“GAAP”). The financial information included herein is unaudited; however, such financial information reflects all adjustments which are, in the opinion of management, necessary for the fair presentation of the Fund’s financial statements for the interim period. 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, 2024 are not necessarily indicative of the results to be expected for the full year ending December 31, 2024. F- 72 Table of Contents 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. However, no level of losses will require the Sponsor to terminate a Fund. Note 2 – Principal Contracts and Agreements The Sponsor employs U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Global Fund Services”), for Transfer Agency, Fund Accounting and Fund Administration services. The principal address for Global Fund Services is 615 E. Michigan Street, Milwaukee, WI 53202. For custody services, the Funds will pay to U.S. Bank N.A. 0.0075 % of average gross assets up to $1 billion, and .0050% of average gross assets over $1 billion, annually, plus certain per-transaction charges. For Transfer Agency, Fund Accounting and Fund Administration services, which are based on the total assets for all the Funds in the Trust, the Funds will pay to Global Fund Services 0.05 % of average gross assets on the first $500 million, 0.04 % on the next $500 million, 0.03 % on the next $2 billion and 0.02 % on the balance over $3 billion annually. A combined minimum annual fee of up to $ 47,000 for custody, transfer agency, accounting and administrative services is assessed per Fund. These services are recorded as custodian fees and expenses on the statements of operations. A summary of these expenses is included below. The Sponsor employs Foreside Fund Services, LLC (“Foreside” or the “Distributor”) as the Distributor for the Funds. The Distribution Services Agreement among the Distributor and the Sponsor calls for the Distributor to work with the Custodian in connection with the receipt and processing of orders for Creation Baskets and Redemption Baskets and the review and approval of all Fund sales literature and advertising materials. The Distributor and the Sponsor have also entered into a Securities Activities and Service Agreement (the “SASA”) under which certain employees and officers of the Sponsor are licensed as registered representatives or registered principals of the Distributor, under Financial Industry Regulatory Authority (“FINRA”) rules. For its services as the Distributor, Foreside receives a fee of 0.01 % of each Fund’s average daily net assets and an aggregate annual fee of $ 100,000 for all Funds, along with certain expense reimbursements. For its services under the SASA, Foreside receives a fee of $ 5,000 per registered representative and $ 1,000 per registered location. These services are recorded as distribution and marketing fees on the statements of operations. A summary of these expenses is included below. Marex Capital Markets, Inc. (“Marex”) and StoneX Financial Inc. (“StoneX”) serve as the Funds’ clearing brokers to execute and clear the futures contracts and provide other brokerage-related services. Marex and StoneX are each registered as futures commission merchants (“FCM”) with the U.S. CFTC and are members of the NFA. The clearing brokers are registered as broker-dealers with the SEC and are each a member of FINRA. Marex and StoneX are each clearing members of ICE Futures U.S., Inc., Chicago Board of Trade, Chicago Mercantile Exchange, New York Mercantile Exchange, and all other major United States commodity exchanges. For Corn, Soybean, Sugar, and Wheat Futures Contracts Marex is paid $ 3.00 per round turn exclusive of pass-through fees for the exchange and the NFA. StoneX is paid $ 2.50 per round turn exclusive of pass-through fees for the exchange and the NFA. Additionally, if the monthly commissions paid by each Fund does not equal or exceed 16.5 % return on the StoneX Capital Requirement at 9.6 % of the Exchange Maintenance Margin, each Fund will pay a true up to meet that return at the end of each month. These expenses are recognized on a per-trade basis. The half-turn is recognized as an unrealized loss on the statements of operations for contracts that have been purchased since the change in recognition, and a full turn is recognized as a realized loss on the statements of operations when a contract is sold. A summary of these expenses can be found under the heading, Brokerage Commissions . F- 73 Table of Contents The sole Trustee of the Trust is Wilmington Trust Company, a Delaware banking corporation. The Trustee will accept service of legal process on the Trust in the State of Delaware and will make certain filings under the Delaware Statutory Trust Act. For its services, the Trustee receives an annual fee of $ 3,300 from the Trust. These services are recorded in business permits and licenses fees on the statements of operations. A summary of these expenses is included below. Three months ended March 31, 2024 Three months ended March 31, 2023 Amount Recognized for Custody Services $ 8,512 $ 1,036 Amount of Custody Services Waived $ - $ - Amount Recognized for Distribution Services $ 3,491 $ 1,548 Amount of Distribution Services Waived $ - $ - Amount Recognized for Wilmington Trust $ - $ - Amount of Wilmington Trust 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 an 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. F- 74 Table of Contents 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, 2024 and 2023 . CANE Three months ended March 31, 2024 $ 2,008 Three months ended March 31, 2023 $ 6,055 Income Taxes 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 2021 to 2023, 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, 2024 and for the years ended December 31, 2023 , 2022 , and 2021 . 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, 2024 and 2023 . 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. F- 75 Table of Contents 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, 2024 December 31, 2023 Money Market Funds $ 4,050,986 $ 3,033,238 Demand Deposit Savings Accounts 3,264,927 3,222,312 Commercial Paper 7,968,046 10,518,195 Total cash and cash equivalents as presented on the Statements of Assets and Liabilities $ 15,283,959 $ 16,773,745 F- 76 Table of Contents 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 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. (ET). The NAV for a particular trading day is released after 4:15 p.m. (ET). 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. (ET). 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. F- 77 Table of Contents 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, 2024 Three months ended March 31, 2023 Recognized Related Party Transactions $ 58,527 $ 23,761 Waived Related Party Transactions $ - $ - 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. There were no expenses waived for the three months ended March 31, 2024 and 2023. F- 78 Table of Contents 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. F- 79 Table of Contents On March 31, 2024 and December 31, 2023 , 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, 2024 and year ended December 31, 2023 , 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 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 - 06 – Disclosure Improvements: Codification Amendments in Response to the SEC’s Disclosure Update and Simplification Initiative. The amendments require an entity to disclose its accounting policy for where cash flows associated with derivative instruments and their related gains and losses are presented. The Trust and Fund already discloses the accounting policy related to the derivative gains and losses presented on the cash flow statement. The amendment was adopted early for the period ended December 31, 2023. There is no impact to the financial statements of the Trust or the Fund. The FASB 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. F- 80 Table of Contents 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, 2024 and December 31, 2023 : March 31, 2024 Balance as of Assets: Level 1 Level 2 Level 3 March 31, 2024 Cash Equivalents $ 12,019,032 $ - $ - $ 12,019,032 Balance as of Liabilities Level 1 Level 2 Level 3 March 31, 2024 Commodity Futures Contracts Sugar futures contracts $ 814,401 $ - $ - $ 814,401 December 31, 2023 Balance as of Assets: Level 1 Level 2 Level 3 December 31, 2023 Cash Equivalents $ 13,551,433 $ - $ - $ 13,551,433 Balance as of Liabilities Level 1 Level 2 Level 3 December 31, 2023 Sugar futures contracts $ 2,687,998 $ - $ - $ 2,687,998 For the three months ended March 31, 2024 and year ended December 31, 2023 , 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, 2024 and year ended December 31, 2023 , 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. F- 81 Table of Contents 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, 2024 , and December 31, 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 Liabilities and Derivative Liabilities as of March 31, 2024 (i) (ii) (iii) = (i)-(ii) (iv) (v)=(iii)-(iv) Gross Amount Not Offset in the Statement of Assets and Liabilities Description 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* Net Amount Commodity Price Sugar futures contracts $ 814,401 $ - $ 814,401 $ - $ 814,401 $ - Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2023 (i) (ii) (iii) = (i)-(ii) (iv) (v)=(iii)-(iv) Gross Amount Not Offset in the Statement of Assets and Liabilities Description 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* Net Amount Commodity Price Sugar futures contracts $ 2,687,998 $ - $ 2,687,998 $ 2,687,998 $ - $ - F- 82 Table of Contents 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, 2024 Realized Loss on Commodity Futures Contracts Net Change in Unrealized Appreciation on Commodity Futures Contracts Commodity Price Sugar futures contracts $ ( 482,314 ) $ 1,873,597 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 $ 1,339,448 $ 3,139,817 Volume of Derivative Activities The average notional market value categorized by primary underlying risk for all futures contracts held were $ 16.9 million for the three months ended March 31, 2024 and $ 25.7 million for the three months ended March 31, 2023 . F- 83 Table of Contents Note 6 – Financial Highlights The following table presents per unit performance data and other supplemental financial data for the three months ended March 31, 2024 and 2023 . 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, 2024 March 31, 2023 Per Share Operation Performance Net asset value at beginning of period $ 12.44 $ 9.51 Income (loss) from investment operations: Interest income 0.17 0.11 Net realized and unrealized gain on commodity futures contracts 1.01 1.89 Total expenses, net ( 0.13 ) ( 0.07 ) Net increase in net asset value 1.05 1.93 Net asset value at end of period $ 13.49 $ 11.44 Total Return 8.51 % 20.28 % Ratios to Average Net Assets (Annualized) Total expenses 4.04 % 2.78 % Total expenses, net 4.04 % 2.78 % Net investment income 1.24 % 1.65 % The financial highlights per share data are calculated consistent with the methodology used to calculate asset-based fees and expenses. Note 7 – Organizational and Offering Costs Expenses incurred in organizing of the Trust and the initial offering of the Shares of the Fund, including applicable SEC registration fees, were borne directly by the Sponsor. The Fund will not be obligated to reimburse the Sponsor. Note 8 – Subsequent Events Management has evaluated the financial statements for the quarter-ended March 31, 2024 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 other than those notes below: The net assets of the fund decreased by $ 3,645,989 , or 22.1 %, for the period March 31, 2024 to May 9, 2024. This was driven by a decrease in the shares outstanding by 12.2 % and a decrease in the NAV per share of 11.2 %. F-84 Table of Contents TEUCRIUM WHEAT FUND STATEMENTS OF ASSETS AND LIABILITIES March 31, 2024 December 31, 2023 (Unaudited) Assets Cash and cash equivalents $ 142,056,904 $ 168,732,086 Interest receivable 103,341 226,748 Other assets 813 4,527 Equity in trading accounts: Commodity futures contracts 1,513,306 2,237,493 Due from broker 26,887,597 17,783,729 Total equity in trading accounts 28,400,903 20,021,222 Total assets 170,561,961 188,984,583 Liabilities Management fee payable to Sponsor 129,704 160,231 Other liabilities 85,006 72,017 Equity in trading accounts: Commodity futures contracts 12,809,942 4,575,666 Total liabilities 13,024,652 4,807,914 Net assets $ 157,537,309 $ 184,176,669 Shares outstanding 29,250,004 30,800,004 Shares authorized * * Net asset value per share $ 5.39 $ 5.98 Market value per share $ 5.41 $ 5.97 * On March 9, 2022, the Teucrium Wheat Fund registered an indeterminate number of shares of the Fund pursuant to Rule 456(d) under the Securities Act of 1933. The accompanying notes are an integral part of these financial statements. F-85 Table of Contents TEUCRIUM WHEAT FUND SCHEDULE OF INVESTMENTS March 31, 2024 (Unaudited) Percentage of Description: Assets Yield Cost Fair Value Net Assets Shares Cash equivalents Money market funds U.S. Bank Deposit Account 5.240 % $ 10,758,845 $ 10,758,845 6.83 % 10,758,845 Goldman Sachs Financial Square Government Fund - Institutional Class 5.210 % 57,722,055 57,722,055 36.64 57,722,055 Total money market funds $ 68,480,900 $ 68,480,900 43.47 % Maturity Percentage of Principal Date Yield Cost Fair Value Net Assets Amount Commercial Paper American Electric Power Company, Inc. June 12, 2024 5.465 % $ 4,941,190 $ 4,946,401 3.14 % 5,000,000 Brookfield Infrastructure Holdings (Canada) Inc. April 23, 2024 5.844 % 2,465,045 2,491,261 1.58 2,500,000 Brookfield Infrastructure Holdings (Canada) Inc. May 7, 2024 5.834 % 2,465,106 2,485,725 1.58 2,500,000 Brookfield Infrastructure Holdings (Canada) Inc. May 9, 2024 5.710 % 2,473,167 2,485,222 1.58 2,500,000 Brookfield Infrastructure Holdings (Canada) Inc. May 16, 2024 5.772 % 2,464,688 2,482,344 1.58 2,500,000 Brookfield Infrastructure Holdings (Canada) Inc. May 22, 2024 5.780 % 2,466,590 2,479,954 1.57 2,500,000 The Cigna Group April 5, 2024 5.501 % 2,475,250 2,498,500 1.59 2,500,000 Crown Castle Inc. April 18, 2024 5.530 % 4,972,800 4,987,156 3.17 5,000,000 EIDP, Inc. May 23, 2024 5.314 % 4,934,875 4,962,372 3.15 5,000,000 General Motors Financial Company, Inc. April 23, 2024 5.511 % 4,932,500 4,983,500 3.16 5,000,000 General Motors Financial Company, Inc. April 29, 2024 5.408 % 990,265 995,870 0.63 1,000,000 Glencore Funding LLC April 16, 2024 5.490 % 2,485,375 2,494,375 1.58 2,500,000 Glencore Funding LLC April 30, 2024 5.493 % 2,482,375 2,489,125 1.58 2,500,000 Glencore Funding LLC May 10, 2024 5.475 % 2,480,199 2,485,429 1.58 2,500,000 Harley-Davidson Financial Services, Inc. April 26, 2024 5.700 % 2,482,111 2,490,278 1.58 2,500,000 Harley-Davidson Financial Services, Inc. May 16, 2024 5.815 % 2,471,896 2,482,188 1.58 2,500,000 National Fuel Gas Company April 4, 2024 5.544 % 4,984,075 4,997,725 3.17 5,000,000 VW Credit, Inc. April 11, 2024 5.511 % 4,932,500 4,992,500 3.17 5,000,000 VW Credit, Inc. May 16, 2024 5.402 % 2,471,660 2,483,438 1.58 2,500,000 WGL Holdings, Inc. April 15, 2024 5.616 % 2,492,320 2,494,624 1.58 2,500,000 Total Commercial Paper $ 62,863,987 $ 63,207,987 40.13 % Total Cash Equivalents $ 131,688,887 83.60 % Number of Percentage of Notional Amount Contracts Fair Value Net Assets (Long Exposure) Commodity futures contracts United States wheat futures contracts CBOT wheat futures SEP24 1,599 $ 1,513,306 0.96 % $ 47,290,425 Number of Percentage of Notional Amount Description: Liabilities Contracts Fair Value Net Assets (Long Exposure) Commodity futures contracts United States wheat futures contracts CBOT wheat futures JUL24 1,915 $ 3,610,065 2.29 % $ 55,128,063 CBOT wheat futures DEC24 1,800 9,199,877 5.84 55,080,000 Total commodity futures contracts $ 12,809,942 8.13 % $ 110,208,063 The accompanying notes are an integral part of these financial statements. F- 86 Table of Contents TEUCRIUM WHEAT FUND SCHEDULE OF INVESTMENTS December 31, 2023 Percentage of Description: Assets Yield Cost Fair Value Net Assets Shares Cash equivalents Money market funds U.S. Bank Deposit Account 5.270 % $ 27,315,653 $ 27,315,653 14.83 % 27,315,653 Goldman Sachs Financial Square Government Fund - Institutional Class 5.250 % 53,500,438 53,500,438 29.05 53,500,438 Total money market funds $ 80,816,091 $ 80,816,091 43.88 % Maturity Percentage of Principal Date Yield Cost Fair Value Net Assets Amount Commercial Paper Albemarle Corporation January 4, 2024 5.753 % $ 2,480,382 $ 2,498,823 1.36 % 2,500,000 Albemarle Corporation January 8, 2024 5.738 % 2,476,151 2,497,263 1.36 2,500,000 Albemarle Corporation January 11, 2024 5.808 % 2,478,230 2,496,041 1.36 2,500,000 Brookfield Infrastructure Holdings (Canada) Inc. January 16, 2024 5.853 % 2,466,575 2,494,031 1.35 2,500,000 Brookfield Infrastructure Holdings (Canada) Inc. January 30, 2024 5.814 % 2,481,364 2,488,501 1.35 2,500,000 Entergy Corporation March 1, 2024 5.665 % 2,467,625 2,476,875 1.34 2,500,000 General Motors Financial Company, Inc. January 18, 2024 5.617 % 7,420,795 7,480,486 4.06 7,500,000 General Motors Financial Company, Inc. January 24, 2024 5.661 % 4,941,417 4,982,271 2.71 5,000,000 General Motors Financial Company, Inc. February 9, 2024 5.700 % 7,397,667 7,454,648 4.05 7,500,000 Harley-Davidson Financial Services, Inc. January 9, 2024 5.843 % 2,474,533 2,496,817 1.36 2,500,000 Harley-Davidson Financial Services, Inc. February 1, 2024 5.867 % 2,480,400 2,487,600 1.35 2,500,000 Harley-Davidson Financial Services, Inc. February 14, 2024 5.927 % 4,947,549 4,964,494 2.70 5,000,000 National Fuel Gas Company January 26, 2024 5.941 % 2,478,948 2,489,879 1.35 2,500,000 Oracle Corporation March 6, 2024 5.562 % 2,467,452 2,475,399 1.34 2,500,000 Stanley Black & Decker, Inc. January 22, 2024 5.807 % 4,958,042 4,983,375 2.71 5,000,000 V.F. Corporation January 17, 2024 5.674 % 4,936,679 4,987,645 2.71 5,000,000 V.F. Corporation January 18, 2024 5.606 % 2,473,646 2,493,507 1.35 2,500,000 V.F. Corporation January 25, 2024 5.910 % 4,928,362 4,950,783 2.69 4,970,000 WGL Holdings, Inc. January 3, 2024 5.793 % 2,490,896 2,499,208 1.36 2,500,000 WGL Holdings, Inc. January 12, 2024 5.849 % 2,487,222 2,495,608 1.36 2,500,000 Walgreens Boots Alliance, Inc. January 12, 2024 6.028 % 5,465,631 5,490,051 2.98 5,500,000 Total Commercial Paper $ 77,199,566 $ 77,683,305 42.20 % Total Cash Equivalents $ 158,499,396 86.08 % Number of Percentage of Notional Amount Contracts Fair Value Net Assets (Long Exposure) Commodity futures contracts United States wheat futures contracts CBOT wheat futures MAY24 2,018 $ 363,500 0.20 % $ 64,525,550 CBOT wheat futures JUL24 1,711 1,873,993 1.02 55,243,913 Total commodity futures contracts $ 2,237,493 1.22 % $ 119,769,463 Number of Percentage of Notional Amount Description: Liabilities Contracts Fair Value Net Assets (Long Exposure) Commodity futures contracts United States wheat futures contracts CBOT wheat futures DEC24 1,924 $ 4,575,666 2.48 % $ 64,357,800 The accompanying notes are an integral part of these financial statements. F- 87 Table of Contents TEUCRIUM WHEAT FUND STATEMENTS OF OPERATIONS (Unaudited) Three months ended Three months ended March 31, 2024 March 31, 2023 Income Realized and unrealized gain (loss) on trading of commodity futures contracts: Realized loss on commodity futures contracts $ ( 10,037,305 ) $ ( 23,358,733 ) Net change in unrealized depreciation on commodity futures contracts ( 8,958,463 ) ( 2,092,562 ) Interest income 2,149,924 2,080,146 Total loss ( 16,845,844 ) ( 23,371,149 ) Expenses Management fees 410,199 481,218 Professional fees 109,035 104,985 Distribution and marketing fees 521,828 544,062 Custodian fees and expenses 50,520 75,710 Business permits and licenses fees 16,408 4,812 General and administrative expenses 41,020 29,485 Total expenses 1,149,010 1,240,272 Expenses waived by the Sponsor - - Total expenses, net 1,149,010 1,240,272 Net loss $ ( 17,994,854 ) $ ( 24,611,421 ) Net loss per share $ ( 0.59 ) $ ( 0.93 ) Net loss per weighted average share $ ( 0.60 ) $ ( 0.94 ) Weighted average shares outstanding 29,990,663 26,265,282 The accompanying notes are an integral part of these financial statements. F-88 Table of Contents TEUCRIUM WHEAT FUND STATEMENTS OF CHANGES IN NET ASSETS (Unaudited) Three months ended Three months ended March 31, 2024 March 31, 2023 Operations Net loss $ ( 17,994,854 ) $ ( 24,611,421 ) Capital transactions Issuance of Shares 2,471,442 5,864,698 Redemption of Shares ( 11,115,948 ) ( 37,002,190 ) Total capital transactions ( 8,644,506 ) ( 31,137,492 ) Net change in net assets ( 26,639,360 ) ( 55,748,913 ) Net assets, beginning of period $ 184,176,669 $ 228,972,039 Net assets, end of period $ 157,537,309 $ 173,223,126 Net asset value per share at beginning of period $ 5.98 $ 7.99 Net asset value per share at end of period $ 5.39 $ 7.06 Creation of Shares 475,000 825,000 Redemption of Shares 2,025,000 4,975,000 The accompanying notes are an integral part of these financial statements. F-89 Table of Contents TEUCRIUM WHEAT FUND STATEMENTS OF CASH FLOWS (Unaudited) Three months ended Three months ended March 31, 2024 March 31, 2023 Cash flows from operating activities: Net loss $ ( 17,994,854 ) $ ( 24,611,421 ) Adjustments to reconcile net loss to net cash used in operating activities: Net change in unrealized depreciation on commodity futures contracts 8,958,463 2,092,562 Changes in operating assets and liabilities: Due from broker ( 9,103,868 ) 9,481,490 Interest receivable 123,407 ( 352 ) Other assets 3,714 2,728 Management fee payable to Sponsor ( 30,527 ) ( 61,031 ) Other liabilities 12,989 66,003 Net cash used in operating activities ( 18,030,676 ) ( 13,030,021 ) Cash flows from financing activities: Proceeds from sale of Shares 2,471,442 5,864,698 Redemption of Shares ( 11,115,948 ) ( 42,991,015 ) Net cash used in financing activities ( 8,644,506 ) ( 37,126,317 ) Net change in cash and cash equivalents ( 26,675,182 ) ( 50,156,338 ) Cash and cash equivalents, beginning of period 168,732,086 209,730,825 Cash and cash equivalents, end of period $ 142,056,904 $ 159,574,487 The accompanying notes are an integral part of these financial statements. F-90 Table of Contents NOTES TO FINANCIAL STATEMENTS March 31, 2024 (Unaudited) Note 1 – Organization and Operation Teucrium Wheat Fund (referred to herein as “WEAT” or the “Fund”) is a commodity pool that is a series of Teucrium Commodity Trust (“Trust”), a Delaware statutory trust formed on September 11, 2009. The Fund issues common units, called the “Shares,” representing fractional undivided beneficial interests in the Fund. The Fund continuously offers Creation Baskets consisting of 25,000 Shares at their Net Asset Value (“NAV”) to “Authorized Purchasers” through Foreside Fund Services, LLC, which is the distributor for the Fund (the “Distributor”). Authorized Purchasers sell such Shares, which are listed on the New York Stock Exchange (“NYSE”) Arca under the symbol “WEAT,” to the public at per-Share offering prices that reflect, among other factors, the trading price of the Shares on the NYSE Arca, the NAV of the Fund at the time the Authorized Purchaser purchased the Creation Baskets and the NAV at the time of the offer of the Shares to the public, the supply of and demand for Shares at the time of sale, and the liquidity of the markets for wheat interests. The Fund’s Shares trade in the secondary market on the NYSE Arca at prices that are lower or higher than their NAV per Share. The investment objective of WEAT is to have the daily changes in the NAV of the Fund’s Shares reflect the daily changes in the wheat market for future delivery as measured by the Benchmark. The Benchmark is a weighted average of the closing settlement prices for three futures contracts for wheat (“Wheat Futures Contracts”) that are traded on the Chicago Board of Trade (“CBOT”): WEAT Benchmark CBOT Wheat Futures Contract Weighting Second to expire 35 % Third to expire 30 % December following the third to expire 35 % The Fund commenced investment operations on September 19, 2011 and has a fiscal year ending December 31. The Fund’s sponsor is Teucrium Trading, LLC (the “Sponsor”). The Sponsor is responsible for the management of the Fund. The Sponsor is registered as a commodity pool operator (“CPO”) and a commodity trading adviser (“CTA”) with the Commodity Futures Trading Commission (“CFTC”) and is a member of the National Futures Association (“NFA”). On June 13, 2011, the Fund’s initial registration of 10,000,000 shares on Form S1 was declared effective by the SEC. On September 19, 2011, the Fund listed its shares on the NYSE Arca under the ticker symbol “WEAT.” On the business day prior to that, the Fund issued 100,000 shares in exchange for $ 2,500,000 at the Fund’s initial NAV of $ 25 per share. The Fund also commenced investment operations on September 19, 2011 by purchasing commodity futures contracts traded on the CBOT. On December 31, 2010, the Fund had four shares outstanding, which were owned by the Sponsor. The current registration statement for WEAT was declared effective on March 9, 2022. This registration statement for WEAT registered an indeterminate number of shares. The accompanying unaudited financial statements have been prepared in accordance with Rule 10 - 01 of Regulation S- X promulgated by the SEC and, therefore, do not include all information and footnote disclosures required under accounting principles generally accepted in the United States of America (“GAAP”). The financial information included herein is unaudited; however, such financial information reflects all adjustments which are, in the opinion of management, necessary for the fair presentation of the Fund’s financial statements for the interim period. 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, 2024 are not necessarily indicative of the results to be expected for the full year ending December 31, 2024. 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. However, no level of losses will require the Sponsor to terminate a Fund. Note 2 – Principal Contracts and Agreements The Sponsor employs U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Global Fund Services”), for Transfer Agency, Fund Accounting and Fund Administration services. The principal address for Global Fund Services is 615 E. Michigan Street, Milwaukee, WI 53202. For custody services, the Funds will pay to U.S. Bank N.A. 0.0075 % of average gross assets up to $1 billion, and .0050% of average gross assets over $1 billion, annually, plus certain per-transaction charges. For Transfer Agency, Fund Accounting and Fund Administration services, which are based on the total assets for all the Funds in the Trust, the Funds will pay to Global Fund Services 0.05 % of average gross assets on the first $500 million, 0.04 % on the next $500 million, 0.03 % on the next $2 billion and 0.02 % on the balance over $3 billion annually. A combined minimum annual fee of up to $ 47,000 for custody, transfer agency, accounting and administrative services is assessed per Fund. These services are recorded as custodian fees and expenses on the statements of operations. A summary of these expenses is included below. F- 91 Table of Contents The Sponsor employs Foreside Fund Services, LLC (“Foreside” or the “Distributor”) as the Distributor for the Funds. The Distribution Services Agreement among the Distributor and the Sponsor calls for the Distributor to work with the Custodian in connection with the receipt and processing of orders for Creation Baskets and Redemption Baskets and the review and approval of all Fund sales literature and advertising materials. The Distributor and the Sponsor have also entered into a Securities Activities and Service Agreement (the “SASA”) under which certain employees and officers of the Sponsor are licensed as registered representatives or registered principals of the Distributor, under Financial Industry Regulatory Authority (“FINRA”) rules. For its services as the Distributor, Foreside receives a fee of 0.01 % of each Fund’s average daily net assets and an aggregate annual fee of $ 100,000 for all Funds, along with certain expense reimbursements. For its services under the SASA, Foreside receives a fee of $ 5,000 per registered representative and $ 1,000 per registered location. These services are recorded as distribution and marketing fees on the statements of operations. A summary of these expenses is included below. Marex Capital Markets, Inc. (“Marex”) and StoneX Financial Inc. (“StoneX”) serve as the Funds’ clearing brokers to execute and clear futures contracts and provide other brokerage-related services. Marex and StoneX are each registered as futures commission merchants (“FCM”) with the U.S. CFTC and are members of the NFA. The clearing brokers are registered as broker-dealers with the SEC and are each a member of FINRA. Marex and StoneX are each clearing members of ICE Futures U.S., Inc., Chicago Board of Trade, Chicago Mercantile Exchange, New York Mercantile Exchange, and all other major United States commodity exchanges. For Corn, Soybean, Sugar, and Wheat Futures Contracts Marex is paid $ 3.00 per round turn exclusive of pass-through fees for the exchange and the NFA. StoneX is paid $ 2.50 per round turn exclusive of pass-through fees for the exchange and the NFA. Additionally, if the monthly commissions paid by each Fund does not equal or exceed 16.5 % return on the StoneX Capital Requirement at 9.6 % of the Exchange Maintenance Margin, each Fund will pay a true up to meet that return at the end of each month. These expenses are recognized on a per-trade basis. The half-turn is recognized as an unrealized loss on the statements of operations for contracts that have been purchased since the change in recognition, and a full turn is recognized as a realized loss on the statements of operations when a contract is sold. A summary of these expenses can be found under the heading, Brokerage Commissions . The sole Trustee of the Trust is Wilmington Trust Company, a Delaware banking corporation. The Trustee will accept service of legal process on the Trust in the State of Delaware and will make certain filings under the Delaware Statutory Trust Act. For its services, the Trustee receives an annual fee of $ 3,300 from the Trust. These services are recorded in business permits and licenses fees on the statements of operations. A summary of these expenses is included below. Three months ended March 31, 2024 Three months ended March 31, 2023 Amount Recognized for Custody Services $ 50,520 $ 75,710 Amount of Custody Services Waived $ - $ - Amount Recognized for Distribution Services $ 20,330 $ 21,576 Amount of Distribution Services Waived $ - $ - Amount Recognized for Wilmington Trust $ - $ - Amount of Wilmington Trust Waived $ - $ - F- 92 Table of Contents 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 an 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, 2024 and 2023 . WEAT Three months ended March 31, 2024 $ 15,580 Three months ended March 31, 2023 $ 21,746 F- 93 Table of Contents Income Taxes 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 2021 to 2023, 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, 2024 and for the years ended December 31, 2023 , 2022 and 2021 . 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, 2024 and 2023 . 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. F- 94 Table of Contents 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 properly received. 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 properly received. 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 represent 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, 2024 December 31, 2023 Money Market Funds $ 68,480,900 $ 80,816,091 Demand Deposit Savings Accounts 10,368,017 10,232,690 Commercial Paper 63,207,987 77,683,305 Total cash and cash equivalents as presented on the Statements of Assets and Liabilities $ 142,056,904 $ 168,732,086 F- 95 Table of Contents Payable for Purchases of Commercial Paper The amount recorded by the Fund for commercial paper transactions awaiting settlement, represents the amount payable for contracts purchased but not yet settled as of the reporting date. The value of the contract is included in cash and cash equivalents, and the payable amount is included as a liability. 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 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. F- 96 Table of Contents 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. (ET). The NAV for a particular trading day is released after 4:15 p.m. (ET). In determining the value of Wheat Futures Contracts, the administrator uses the CBOT 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. (ET). The value of over-the-counter wheat interests is determined based on the value of the commodity or futures contract underlying such wheat 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 wheat 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 wheat 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 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, 2024 Three months ended March 31, 2023 Recognized Related Party Transactions $ 342,309 $ 328,187 Waived Related Party Transactions $ - $ - 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. There were no expenses waived for the three months ended March 31, 2024 and 2023. F- 97 Table of Contents 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. F- 98 Table of Contents 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, 2024 and December 31, 2023 , in the opinion of the Trust and the Fund, the reported value of the Wheat Futures Contracts traded on the CBOT fairly reflected the value of the Wheat 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, 2024 and year ended December 31, 2023 , 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 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 - 06 – Disclosure Improvements: Codification Amendments in Response to the SEC’s Disclosure Update and Simplification Initiative. The amendments require an entity to disclose its accounting policy for where cash flows associated with derivative instruments and their related gains and losses are presented. The Trust and Fund already discloses the accounting policy related to the derivative gains and losses presented on the cash flow statement. The amendment was adopted early for the period ended December 31, 2023. There is no impact to the financial statements of the Trust or the Fund. The FASB 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. F- 99 Table of Contents 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, 2024 and December 31, 2023 : March 31, 2024 Balance as of Assets: Level 1 Level 2 Level 3 March 31, 2024 Cash Equivalents $ 131,688,887 $ - $ - $ 131,688,887 Commodity Futures Contracts Wheat futures contracts 1,513,306 - - 1,513,306 Total $ 133,202,193 $ - $ - $ 133,202,193 Balance as of Liabilities Level 1 Level 2 Level 3 March 31, 2024 Commodity Futures Contracts Wheat futures contracts $ 12,809,942 $ - $ - $ 12,809,942 December 31, 2023 Balance as of Assets: Level 1 Level 2 Level 3 December 31, 2023 Cash Equivalents $ 158,499,396 $ - $ - $ 158,499,396 Commodity Futures Contracts Wheat futures contracts 2,237,493 - - 2,237,493 Total $ 160,736,889 $ - $ - $ 160,736,889 Balance as of Liabilities Level 1 Level 2 Level 3 December 31, 2023 Wheat futures contracts $ 4,575,666 $ - $ - $ 4,575,666 For the three months ended March 31, 2024 and year ended December 31, 2023 , 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, 2024 and for the year ended December 31, 2023 , 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. F- 100 Table of Contents The purchase and sale of futures contracts requires margin deposits with a Futures Commission Merchant (“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 the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Update (“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, 2024 and December 31, 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, 2024 (i) (ii) (iii) = (i)-(ii) (iv) (v)=(iii)-(iv) Gross Amount Not Offset in the Statement of Assets and Liabilities Description 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 Net Amount Commodity Price Wheat futures contracts $ 1,513,306 $ - $ 1,513,306 $ 1,513,306 $ - $ - Offsetting of Financial Liabilities and Derivative Liabilities as of March 31, 2024 (i) (ii) (iii) = (i)-(ii) (iv) (v)=(iii)-(iv) Gross Amount Not Offset in the Statement of Assets and Liabilities Description 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* Net Amount Commodity Price Wheat futures contracts $ 12,809,942 $ - $ 12,809,942 $ 1,513,306 $ 11,296,636 $ - F- 101 Table of Contents Offsetting of Financial Assets and Derivative Assets as of December 31, 2023 (i) (ii) (iii) = (i)-(ii) (iv) (v)=(iii)-(iv) Gross Amount Not Offset in the Statement of Assets and Liabilities Description 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 Net Amount Commodity Price Wheat futures contracts $ 2,237,493 $ - $ 2,237,493 $ 2,237,493 $ - $ - Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2023 (i) (ii) (iii) = (i)-(ii) (iv) (v)=(iii)-(iv) Gross Amount Not Offset in the Statement of Assets and Liabilities Description 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* Net Amount Commodity Price Wheat futures contracts $ 4,575,666 $ - $ 4,575,666 $ 2,237,493 $ 2,338,173 $ - 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, 2024 Realized Loss on Commodity Futures Contracts Net Change in Unrealized Depreciation on Commodity Futures Contracts Commodity Price Wheat futures contracts $ ( 10,037,305 ) $ ( 8,958,463 ) Three months ended March 31, 2023 Realized Loss on Commodity Futures Contracts Net Change in Unrealized Depreciation on Commodity Futures Contracts Commodity Price Wheat futures contracts $ ( 23,358,733 ) $ ( 2,092,562 ) F- 102 Table of Contents Volume of Derivative Activities The average notional market value categorized by primary underlying risk for all futures contracts held was $ 162.4 million, for the three months ended March 31, 2024 and $ 185.9 million, for the three months ended March 31, 2023 . Note 6 – Financial Highlights The following tables present per unit performance data and other supplemental financial data for the three months ended March 31, 2024 and 2023 . 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, 2024 March 31, 2023 Per Share Operation Performance Net asset value at beginning of period $ 5.98 $ 7.99 Income (loss) from investment operations: Interest income 0.07 0.08 Net realized and unrealized loss on commodity futures contracts ( 0.62 ) ( 0.96 ) Total expenses, net ( 0.04 ) ( 0.05 ) Net decrease in net asset value ( 0.59 ) ( 0.93 ) Net asset value at end of period $ 5.39 $ 7.06 Total Return - 9.93 % - 11.55 % Ratios to Average Net Assets (Annualized) Total expenses 2.80 % 2.58 % Total expenses, net 2.80 % 2.58 % Net investment income 2.45 % 1.76 % The financial highlights per share data are calculated consistent with the methodology used to calculate asset-based fees and expenses. Note 7 – Organizational and Offering Costs Expenses incurred in organizing of the Trust and the initial offering of the Shares of the Fund, including applicable SEC registration fees, were borne directly by the Sponsor. The Fund will not be obligated to reimburse the Sponsor. Note 8 – Subsequent Events Management has evaluated the financial statements for the quarter-ended March 31, 2024 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. F-103 Table of Contents TEUCRIUM AGRICULTURAL FUND STATEMENTS OF ASSETS AND LIABILITIES March 31, 2024 December 31, 2023 (Unaudited) Assets Cash equivalents $ 9,701 $ 11,208 Interest receivable 34 55 Other assets 5,571 - Equity in trading accounts: Investments in securities, at fair value (cost $ 16,068,429 and $ 19,469,359 as of March 31, 2024 and December 31, 2023, respectively) 14,515,416 18,401,900 Total assets 14,530,722 18,413,163 Liabilities Other liabilities 3,839 4,037 Total liabilities 3,839 4,037 Net assets $ 14,526,883 $ 18,409,126 Shares outstanding 512,502 625,002 Shares authorized * * Net asset value per share $ 28.35 $ 29.45 Market value per share $ 28.36 $ 29.41 * On April 7, 2022, the Teucrium Agricultural Fund registered an indeterminate number of shares of the Fund pursuant to Rule 456(d) under the Securities Act of 1933. The accompanying notes are an integral part of these financial statements. F-104 Table of Contents TEUCRIUM AGRICULTURAL FUND SCHEDULE OF INVESTMENTS March 31, 2024 (Unaudited) Percentage of Description: Assets Yield Cost Fair Value Net Assets Shares Exchange-traded funds Teucrium Corn Fund $ 3,661,367 25.20 % 181,115 Teucrium Soybean Fund 3,574,703 24.61 142,076 Teucrium Sugar Fund 3,605,828 24.82 267,233 Teucrium Wheat Fund 3,673,518 25.29 682,062 Total exchange-traded funds $ 16,068,429 $ 14,515,416 99.92 % Cash equivalents Money market funds U.S. Bank Deposit Account 5.210 % $ 9,701 $ 9,701 0.07 % 9,701 The accompanying notes are an integral part of these financial statements. F- 105 Table of Contents TEUCRIUM AGRICULTURAL FUND SCHEDULE OF INVESTMENTS December 31, 2023 Percentage of Description: Assets Yield Cost Fair Value Net Assets Shares Exchange-traded funds Teucrium Corn Fund $ 4,567,949 24.81 % 211,348 Teucrium Soybean Fund 4,546,758 24.70 168,219 Teucrium Sugar Fund 4,624,253 25.12 371,871 Teucrium Wheat Fund 4,662,940 25.33 779,782 Total exchange-traded funds $ 19,469,359 $ 18,401,900 99.96 % Cash equivalents Money market funds U.S. Bank Deposit Account 5.270 % $ 11,208 $ 11,208 0.06 % 11,208 The accompanying notes are an integral part of these financial statements. F- 106 Table of Contents TEUCRIUM AGRICULTURAL FUND STATEMENTS OF OPERATIONS (Unaudited) Three months ended Three months ended March 31, 2024 March 31, 2023 Income Realized and unrealized gain (loss) on trading of securities: Realized loss on securities $ ( 230,630 ) $ ( 60,094 ) Net change in unrealized depreciation on securities ( 485,554 ) ( 439,126 ) Interest income 136 112 Total loss ( 716,048 ) ( 499,108 ) Expenses Professional fees 21,363 75,512 Distribution and marketing fees 36,178 39,209 Custodian fees and expenses 3,615 7,070 Business permits and licenses fees 9,825 8,313 General and administrative expenses 2,238 3,438 Other expenses 66 - Total expenses 73,285 133,542 Expenses waived by the Sponsor ( 69,538 ) ( 125,494 ) Total expenses, net 3,747 8,048 Net loss $ ( 719,795 ) $ ( 507,156 ) Net loss per share $ ( 1.10 ) $ ( 0.30 ) Net loss per weighted average share $ ( 1.22 ) $ ( 0.43 ) Weighted average shares outstanding 590,524 1,177,085 The accompanying notes are an integral part of these financial statements. F-107 Table of Contents TEUCRIUM AGRICULTURAL FUND STATEMENTS OF CHANGES IN NET ASSETS (Unaudited) Three months ended Three months ended March 31, 2024 March 31, 2023 Operations Net loss $ ( 719,795 ) $ ( 507,156 ) Capital transactions Issuance of Shares - - Redemption of Shares ( 3,162,448 ) ( 5,692,970 ) Total capital transactions ( 3,162,448 ) ( 5,692,970 ) Net change in net assets ( 3,882,243 ) ( 6,200,126 ) Net assets, beginning of period $ 18,409,126 $ 39,575,245 Net assets, end of period $ 14,526,883 $ 33,375,119 Net asset value per share at beginning of period $ 29.45 $ 31.35 Net asset value per share at end of period $ 28.35 $ 31.05 Creation of Shares - - Redemption of Shares 112,500 187,500 The accompanying notes are an integral part of these financial statements. F-108 Table of Contents TEUCRIUM AGRICULTURAL FUND STATEMENTS OF CASH FLOWS (Unaudited) Three months ended Three months ended March 31, 2024 March 31, 2023 Cash flows from operating activities: Net loss $ ( 719,795 ) $ ( 507,156 ) Adjustments to reconcile net loss to net cash provided by operating activities: Net change in unrealized depreciation on securities 485,554 439,126 Changes in operating assets and liabilities: Net sale of investments in securities 3,400,930 5,775,476 Interest receivable 21 ( 15 ) Other assets ( 5,571 ) ( 7,200 ) Other liabilities ( 198 ) 2,585 Net cash provided by operating activities 3,160,941 5,702,816 Cash flows from financing activities: Redemption of Shares ( 3,162,448 ) ( 5,692,970 ) Net cash used in financing activities ( 3,162,448 ) ( 5,692,970 ) Net change in cash equivalents ( 1,507 ) 9,846 Cash equivalents, beginning of period 11,208 4,716 Cash equivalents, end of period $ 9,701 $ 14,562 The accompanying notes are an integral part of these financial statements. F-109 Table of Contents NOTES TO FINANCIAL STATEMENTS March 31, 2024 (Unaudited) Note 1 – Organization and Operation Teucrium Agricultural Fund (referred to herein as “TAGS” or the “Fund”) is a series of Teucrium Commodity Trust (“Trust”), a Delaware statutory trust organized on September 11, 2009. The Fund operates pursuant to the Trust’s Fifth Amended and Restated Declaration of Trust and Trust Agreement (the “Trust Agreement”). The Fund was formed on March 29, 2011 and is managed and controlled by Teucrium Trading, LLC (the “Sponsor”). The Sponsor is a limited liability company formed in Delaware on July 28, 2009. The Sponsor is registered as a commodity pool operator (“CPO”) and a commodity trading adviser (“CTA”) with the Commodity Futures Trading Commission (“CFTC”) and is a member of the National Futures Association (“NFA”). On April 22, 2011, a registration statement was filed with the Securities and Exchange Commission (“SEC”). On February 10, 2012, the Fund’s initial registration of 5,000,000 shares on Form S- 1 was declared effective by the SEC. On March 28, 2012, the Fund listed its shares on the NYSE Arca under the ticker symbol “TAGS.” On the business day prior to that, the Fund issued 300,000 shares in exchange for $ 15,000,000 at the Fund’s initial NAV of $ 50 per share. The Fund also commenced investment operations on March 28, 2012 by purchasing shares of the Underlying Funds. On December 31, 2011, the Fund had two shares outstanding, which were owned by the Sponsor. The current registration statement for TAGS was declared effective on April 7, 2022. This registration statement for TAGS registered an indeterminate number of shares. The investment objective of the TAGS is to have the daily changes in percentage terms of the NAV of its Shares reflect the daily changes in percentage terms of a weighted average (the “Underlying Fund Average”) of the NAVs per share of four other commodity pools that are series of the Trust and are sponsored by the Sponsor: the Teucrium Corn Fund, the Teucrium Wheat Fund, the Teucrium Soybean Fund and the Teucrium Sugar Fund (collectively, the “Underlying Funds”). The Underlying Fund Average will have a weighting of 25 % to each Underlying Fund, and the Fund’s assets will be rebalanced, generally on a daily basis, to maintain the approximate 25 % allocation to each Underlying Fund: TAGS Benchmark Underlying Fund Weighting CORN 25 % SOYB 25 % CANE 25 % WEAT 25 % The Fund seeks to provide daily investment results that reflect the combined daily performance of the Underlying Funds. Under normal market conditions, the Fund seeks to achieve its investment objective generally by investing equally in shares of each Underlying Fund and, to a lesser extent, cash equivalents. The Fund’s investments in shares of the Underlying Funds is rebalanced, generally on a daily basis, in order to maintain approximately a 25 % allocation of the Fund’s assets to each Underlying Fund. (This weighted average is referred to herein as the Underlying Fund’s “Benchmark,” the Futures Contracts that at any given time make up an Underlying Fund’s Benchmark are referred to herein as the Underlying Fund’s “Benchmark Component Futures Contracts,” and the commodity specified in the Underlying Fund’s name is referred to herein as its “Specified Commodity.”) Specifically, the Teucrium Corn Fund’s Benchmark is: ( 1 ) the second to expire Futures Contract for corn traded on the Chicago Board of Trade (“CBOT”), weighted 35 %, ( 2 ) the third to expire CBOT corn Futures Contract, weighted 30 %, and ( 3 ) the CBOT corn Futures Contract expiring in the December following the expiration month of the third to expire contract, weighted 35 %. The Teucrium Wheat Fund’s Benchmark is: ( 1 ) the second to expire CBOT wheat Futures Contract, weighted 35 %, ( 2 ) the third to expire CBOT wheat Futures Contract, weighted 30 %, and ( 3 ) the CBOT wheat Futures Contract expiring in the December following the expiration month of the third to expire contract, weighted 35 %. The Teucrium Soybean Fund’s Benchmark is: ( 1 ) the second to expire CBOT soybean Futures Contract, weighted 35 %, ( 2 ) the third to expire CBOT soybean Futures Contract, weighted 30 %, and ( 3 ) the CBOT soybean Futures Contract expiring in the November following the expiration month of the third to expire contract, weighted 35 %, except that CBOT soybean Futures Contracts expiring in August and September will not be part of the Teucrium Soybean Fund’s Benchmark because of the less liquid market for these Futures Contracts. The Teucrium Sugar Fund’s Benchmark is: ( 1 ) the second to expire Sugar No. 11 Futures Contract traded on ICE Futures US (“ICE Futures”), weighted 35 %, ( 2 ) the third to expire ICE Futures Sugar No. 11 Futures Contract, weighted 30 %, and ( 3 ) the ICE Futures Sugar No. 11 Futures Contract expiring in the March following the expiration month of the third to expire contract, weighted 35 %. F- 110 Table of Contents While the Fund expects to maintain substantially all of its assets in shares of the Underlying Funds at all times, the Fund may hold some residual amount of assets in obligations of the United States government (“Treasury Securities”) or cash equivalents, and/or merely hold such assets in cash (generally in interest-bearing accounts). The Underlying Funds invest in Commodity Interests to the fullest extent possible without being leveraged or unable to satisfy their expected current or potential margin or collateral obligations with respect to their investments in Commodity Interests. After fulfilling such margin and collateral requirements, the Underlying Funds will invest the remainder of the proceeds from the sale of baskets in short term Treasury Securities or cash equivalents, and/or merely hold such assets in cash. Therefore, the focus of the Sponsor in managing the Underlying Funds is investing in Commodity Interests and in cash and/or cash equivalents. The Fund and Underlying Funds will seek to earn interest income from the short-term Treasury Securities and/or cash equivalents that it purchases, and, on the cash, it holds through the Fund’s custodian. The accompanying unaudited financial statements have been prepared in accordance with Rule 10 - 01 of Regulation S- X promulgated by the SEC and, therefore, do not include all information and footnote disclosures required under accounting principles generally accepted in the United States of America (“GAAP”). The financial information included herein is unaudited; however, such financial information reflects all adjustments which are, in the opinion of management, necessary for the fair presentation of the Fund’s financial statements for the interim period. 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, 2024 are not necessarily indicative of the results to be expected for the full year ending December 31, 2024. 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. However, no level of losses will require the Sponsor to terminate a Fund. Note 2 – Principal Contracts and Agreements The Sponsor employs U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Global Fund Services”), for Transfer Agency, Fund Accounting and Fund Administration services. The principal address for Global Fund Services is 615 E. Michigan Street, Milwaukee, WI 53202. For custody services, the Funds will pay to U.S. Bank N.A. 0.0075 % of average gross assets up to $1 billion, and .0050% of average gross assets over $1 billion, annually, plus certain per-transaction charges. For Transfer Agency, Fund Accounting and Fund Administration services, which are based on the total assets for all the Funds in the Trust, the Funds will pay to Global Fund Services 0.05 % of average gross assets on the first $500 million, 0.04 % on the next $500 million, 0.03 % on the next $2 billion and 0.02 % on the balance over $3 billion annually. A combined minimum annual fee of up to $ 47,000 for custody, transfer agency, accounting and administrative services is assessed per Fund. These services are recorded as custodian fees and expenses on the statements of operations. A summary of these expenses is included below. F- 111 Table of Contents The Sponsor employs Foreside Fund Services, LLC (“Foreside” or the “Distributor”) as the Distributor for the Funds. The Distribution Services Agreement among the Distributor and the Sponsor calls for the Distributor to work with the Custodian in connection with the receipt and processing of orders for Creation Baskets and Redemption Baskets and the review and approval of all Fund sales literature and advertising materials. The Distributor and the Sponsor have also entered into a Securities Activities and Service Agreement (the “SASA”) under which certain employees and officers of the Sponsor are licensed as registered representatives or registered principals of the Distributor, under Financial Industry Regulatory Authority (“FINRA”) rules. For its services as the Distributor, Foreside receives a fee of 0.01 % of each Fund’s average daily net assets and an aggregate annual fee of $ 100,000 for all Funds, along with certain expense reimbursements. For its services under the SASA, Foreside receives a fee of $ 5,000 per registered representative and $ 1,000 per registered location. These services are recorded as distribution and marketing fees on the statements of operations. A summary of these expenses is included below. Marex Capital Markets, Inc. (“Marex”) and StoneX Financial Inc. (“StoneX”) serve as the Underlying Funds’ clearing brokers to execute and clear the Underlying Funds’ futures and provide other brokerage-related services. Marex and StoneX are each registered as futures commission merchants (“FCM”) with the U.S. CFTC and are members of the NFA. The clearing brokers are registered as broker-dealers with the SEC and are each a member of FINRA. Marex and StoneX are each clearing members of ICE Futures U.S., Inc., Chicago Board of Trade, Chicago Mercantile Exchange, New York Mercantile Exchange, and all other major United States commodity exchanges. For Corn, Soybean, Sugar, and Wheat Futures Contracts Marex is paid $ 3.00 per round turn exclusive of pass-through fees for the exchange and the NFA. StoneX is paid $ 2.50 per round turn exclusive of pass-through fees for the exchange and the NFA. Additionally, if the monthly commissions paid by each Fund does not equal or exceed 16.5 % return on the StoneX Capital Requirement at 9.6 % of the Exchange Maintenance Margin, each Fund will pay a true up to meet that return at the end of each month. These expenses are recognized on a per-trade basis. The half-turn is recognized as an unrealized loss on the statements of operations for contracts that have been purchased since the change in recognition, and a full turn is recognized as a realized loss on the statements of operations when a contract is sold. A summary of these expenses can be found under the heading, Brokerage Commissions . The sole Trustee of the Trust is Wilmington Trust Company, a Delaware banking corporation. The Trustee will accept service of legal process on the Trust in the State of Delaware and will make certain filings under the Delaware Statutory Trust Act. For its services, the Trustee receives an annual fee of $ 3,300 from the Trust. These services are recorded in business permits and licenses fees on the statements of operations. A summary of these expenses is included below. Three months ended March 31, 2024 Three months ended March 31, 2023 Amount Recognized for Custody Services $ 3,615 $ 7,070 Amount of Custody Services Waived $ 3,615 $ 7,070 Amount Recognized for Distribution Services $ 1,527 $ 2,262 Amount of Distribution Services Waived $ 1,527 $ 2,262 Amount Recognized for Wilmington Trust $ - $ - Amount of Wilmington Trust Waived $ - $ - F- 112 Table of Contents 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 Investment transactions are accounted for on a trade-date basis. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized appreciation or depreciation on investments are reflected in the statements of operations as the difference between the original 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. Brokerage Commissions The Sponsor recognizes the expense for brokerage commissions for futures contract trades on a per-trade basis. Income Taxes 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 2021 to December 31, 2023 , 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. This policy has been applied to all existing tax positions upon the Fund’s initial adoption. Based on its analysis, the Fund has determined that it has not incurred any liability for unrecognized tax benefits as of March 31, 2024 and for the years ended December 31, 2023 , 2022 and 2021 . 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. F- 113 Table of Contents 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, 2024 and 2023 . 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 Effective August 28, 2018, the Sponsor filed a prospectus supplement updating the Creation and Redemption Basket size to 12,500 shares. Prior to this prospectus supplement, the basket size for Creations and Redemptions was 25,000 shares. Authorized Purchasers may purchase Creation Baskets consisting of 12,500 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 12,500 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 will receive the proceeds from shares sold or will pay for redeemed shares within three business days after the trade date of the purchase or redemption, respectively. The amounts due from Authorized Purchasers will be reflected in the Fund’s statements of assets and liabilities as capital shares receivable. Amounts payable to Authorized Purchasers upon redemption will be 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 represent four 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. F- 114 Table of Contents Cash Equivalents Cash equivalents are highly liquid investments with maturity dates of 90 days or less when acquired. The Fund 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. The Fund has these balances of its assets on deposit with banks. Assets deposited with a financial institution may, at times, exceed federally insured limits. TAGS had a balance of $ 9,701 and $ 11,208 in money market funds at March 31, 2024 and December 31, 2023 , respectively; these balances are included in cash equivalents on the statements of assets and liabilities. Payable/Receivable for Securities Purchased/Sold Due from/to broker for investments in securities are securities transactions pending settlement. The Fund is subject to credit risk to the extent any broker with whom it conducts business is unable to fulfill contractual obligations on its behalf. The management of the Fund monitors the financial condition of such brokers and does not anticipate any losses from these counterparties. 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, will calculate the NAV of the Fund once each trading day. It will calculate the NAV as of the earlier of the close of the New York Stock Exchange or 4:00 p.m. (ET). The NAV for a particular trading day will be released after 4:15 p.m. (ET). For purposes of determining the Fund’s NAV, the Fund’s investments in the Underlying Funds will be valued based on the Underlying Funds’ NAVs. In turn, in determining the value of the Futures Contracts held by the Underlying Funds, the Administrator will use the closing price on the exchange on which they are traded. The Administrator will determine the value of all other Funds and Underlying Fund investments as of the earlier of the close of the New York Stock Exchange or 4:00 p.m. (ET), in accordance with the current Services Agreement between the Administrator and the Trust. The value of over-the-counter Commodity Interests will be determined based on the value of the commodity or Futures Contract underlying such Commodity Interest, except that a fair value may be determined if the Sponsor believes that the Underlying Fund is subject to significant credit risk relating to the counterparty to such Commodity Interest. For purposes of financial statements and reports, the Sponsor will recalculate the NAV of an Underlying Fund where necessary to reflect the “fair value” of a Futures Contract held by an Underlying Fund when a Futures Contract held by the Underlying Fund closes at its price fluctuation limit for the day. Short term Treasury Securities held by the Fund or Underlying Funds will be valued by the Administrator using values received from recognized third -party vendors (such as Reuters) and dealer quotes. NAV will include any unrealized profit or loss on open Commodity Interests and any other credit or debit 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 elected not to outsource services directly attributable to the Trust and the Funds such as accounting, financial reporting, regulatory compliance, and trading activities. The Sponsor does not receive a management fee from the Fund. The Sponsor receives a management fee from each Underlying Fund at the annual rate of 1.00 % of such Underlying Fund’s average daily net assets, payable monthly. The Sponsor can elect to waive the payment of this fee for any Underlying Fund in any amount at its sole discretion, at any time and from time to time, in order to reduce the Fund’s expenses or for any other purpose. F- 115 Table of Contents 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 Funds 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 on the statements of operations. All asset-based fees and expenses for the Funds are calculated on the prior day’s net assets. Three months ended March 31, 2024 Three months ended March 31, 2023 Recognized Related Party Transactions $ 25,585 $ 34,473 Waived Related Party Transactions $ 25,585 $ 23,865 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: TAGS Three months ended March 31, 2024 $ 69,538 Three months ended March 31, 2023 $ 125,494 Expenses Expenses are recorded using the accrual method of accounting. Use of Estimates The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America 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. F- 116 Table of Contents New Accounting Pronouncements The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) issued ASU 2023 - 06 – Disclosure Improvements: Codification Amendments in Response to the SEC’s Disclosure Update and Simplification Initiative. The amendments require an entity to disclose its accounting policy for where cash flows associated with derivative instruments and their related gains and losses are presented. The Trust and Fund already discloses the accounting policy related to the derivative gains and losses presented on the cash flow statement. The amendment was adopted early for the period ended December 31, 2023. There is no impact to the financial statements of the Trust or the Fund. The FASB 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. F- 117 Table of Contents Fair Value - Definition and Hierarchy In accordance with 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 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 of the Underlying Funds and securities of the Fund, together the “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. F- 118 Table of Contents On March 31, 2024 and December 31, 2023 , the reported value at the close of the market for each commodity futures contract of the Underlying Funds fairly reflected the value of the futures and no alternative valuations were required. 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. 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, 2024 and December 31, 2023 : March 31, 2024 Balance as of Assets: Level 1 Level 2 Level 3 March 31, 2024 Exchange Traded Funds $ 14,515,416 $ - $ - $ 14,515,416 Cash Equivalents 9,701 - - 9,701 Total $ 14,525,117 $ - $ - $ 14,525,117 December 31, 2023 Balance as of Assets: Level 1 Level 2 Level 3 December 31, 2023 Exchange Traded Funds $ 18,401,900 $ - $ - $ 18,401,900 Cash Equivalents 11,208 - - 11,208 Total $ 18,413,108 $ - $ - $ 18,413,108 For the three months ended March 31, 2024 and year ended December 31, 2023 , 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. F- 119 Table of Contents Note 5 – Financial Highlights The following table presents per unit performance data and other supplemental financial data for the three months ended March 31, 2024 and 2023 . 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, 2024 March 31, 2023 Per Share Operation Performance Net asset value at beginning of period $ 29.45 $ 31.35 Income (loss) from investment operations: Net realized and unrealized loss on investment transactions ( 1.09 ) ( 0.29 ) Total expenses, net ( 0.01 ) ( 0.01 ) Net decrease in net asset value ( 1.10 ) ( 0.30 ) Net asset value at end of period $ 28.35 $ 31.05 Total Return - 3.77 % - 0.96 % Ratios to Average Net Assets (Annualized) Total expenses 1.76 % 1.49 % Total expenses, net 0.09 % 0.09 % Net investment loss - 0.09 % - 0.09 % The financial highlights per share data are calculated consistent with the methodology used to calculate asset-based fees and expenses. Note 6 – Organizational and Offering Costs Expenses incurred in organizing of the Trust and the initial offering of the Shares of the Fund, including applicable SEC registration fees, were borne directly by the Sponsor. The Fund will not be obligated to reimburse the Sponsor. Note 7 – Subsequent Events Management has evaluated the financial statements for the quarter-ended March 31, 2024 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. F-120 Table of Contents HASHDEX BITCOIN FUTURES ETF STATEMENTS OF ASSETS AND LIABILITIES March 31, 2024** December 31, 2023 (Unaudited) Assets Cash and cash equivalents $ - $ 1,867,663 Interest receivable - 10,297 Equity in trading accounts: Cryptocurrency futures contracts - 129,519 Due from broker - 582,908 Total equity in trading accounts - 712,427 Total assets - 2,590,387 Liabilities Management fee payable to Sponsor - 2,053 Equity in trading accounts: Cryptocurrency futures contracts - 51,376 Total liabilities - 53,429 Net assets $ - $ 2,536,958 Shares outstanding - 50,000 Shares authorized * * Net asset value per share $ - $ 50.74 Market value per share $ - $ 50.73 * On September 14, 2022, the Hashdex Bitcoin Futures ETF registered an indeterminate number of shares of the Fund pursuant to Rule 456(d) under the Securities Act of 1933. ** On January 3, 2024, the scheduled merger of the Hashdex Bitcoin Futures ETF (the “ Acquired Fund ” ), a series of the Teucrium Commodity Trust into the Hashdex Bitcoin Futures ETF (the “ Acquiring Fund ” ), a series of Tidal Commodities Trust I, became effective and therefore, no assets and liabilities remained after the effective date. The accompanying notes are an integral part of these financial statements. F-121 Table of Contents HASHDEX BITCOIN FUTURES ETF SCHEDULE OF INVESTMENTS March 31, 2024 (Unaudited)* *On January 3, 2024, the scheduled merger of the Hashdex Bitcoin Futures ETF (the "Acquired Fund"), a series of the Teucrium Commodity Trust into the Hashdex Bitcoin Futures ETF (the "Acquiring Fund") a series of Tidal Commodities Trust I, became effective, and therefore, no assets and liabilities remained after the effective date. The accompanying notes are an integral part of these financial statements. F- 122 Table of Contents HASHDEX BITCOIN FUTURES ETF SCHEDULE OF INVESTMENTS December 31, 2023 Percentage of Description: Assets Yield Cost Fair Value Net Assets Shares Cash equivalents Money market funds U.S. Bank Deposit Account 5.270 % $ 1,867,663 $ 1,867,663 73.62 % 1,867,663 Number of Percentage of Notional Amount Contracts Fair Value Net Assets (Long Exposure) Cryptocurrency futures contracts United States CME Bitcoin futures contracts CME Bitcoin futures JAN24 6 $ 129,519 5.11 % $ 1,274,550 Number of Percentage of Notional Amount Description: Liabilities Contracts Fair Value Net Assets (Long Exposure) Cryptocurrency futures contracts United States CME Bitcoin futures contracts CME Bitcoin futures FEB24 6 51,376 2.03 1,288,500 F- 123 Table of Contents HASHDEX BITCOIN FUTURES ETF STATEMENTS OF OPERATIONS (Unaudited) Three months ended Three months ended March 31, 2024* March 31, 2023 Income Realized and unrealized gain (loss) on trading of cryptocurrency futures contracts: Realized (loss) gain on cryptocurrency futures contracts $ ( 78,143 ) $ 629,551 Net change in unrealized appreciation on cryptocurrency futures contracts 114,383 128,468 Interest income 1,073 13,448 Total income 37,313 771,467 Expenses Management fees 200 3,395 Professional fees 48,489 58,820 Distribution and marketing fees 826 1,362 Custodian fees and expenses 1,919 259 Business permits and licenses fees 11,075 10,129 Total expenses 62,509 73,965 Expenses waived by the Sponsor ( 62,309 ) ( 70,570 ) Total expenses, net 200 3,395 Net income $ 37,113 $ 768,072 Net gain per share $ 0.74 $ 15.36 Net gain per weighted average share $ 0.74 $ 15.36 Weighted average shares outstanding 50,000 50,004 *On January 3, 2024, the scheduled merger of the Hashdex Bitcoin Futures ETF (the "Acquired Fund"), a series of the Teucrium Commodity Trust into the Hashdex Bitcoin Futures ETF (the "Acquiring Fund") a series of Tidal Commodities Trust I, became effective, and therefore, the operations presented here reflect the Aqcuired Fund's operations from January 1, 2024 to January 3, 2024 only. The accompanying notes are an integral part of these financial statements. F-124 Table of Contents HASHDEX BITCOIN FUTURES ETF STATEMENTS OF CHANGES IN NET ASSETS (Unaudited)* Three months ended Three months ended March 31, 2024 March 31, 2023 Operations Net income $ 37,113 $ 768,072 Capital transactions Distribution of Net Assets to Acquiring Fund ( 2,574,071 ) - Issuance of Shares - 367,689 Redemption of Shares - - Total capital transactions ( 2,574,071 ) 367,689 Net change in net assets ( 2,536,958 ) 1,135,761 Net assets, beginning of period $ 2,536,958 $ 1,070,263 Net assets, end of period $ - $ 2,206,024 Net asset value per share at beginning of period $ 50.74 $ 21.40 Net asset value per share at end of period $ - $ 36.76 Creation of Shares - 10,000 Redemption of Shares - - * The Hashdex Bitcoin Futures ETF was merged into the Tidal Commodities Trust I as described in Note 1 to these financials. The accompanying notes are an integral part of these financial statements. F-125 Table of Contents HASHDEX BITCOIN FUTURES ETF STATEMENTS OF CASH FLOWS* (Unaudited) Three months ended Three months ended March 31, 2024 March 31, 2023 Cash flows from operating activities: Net income $ 37,113 $ 768,072 Adjustments to reconcile net income to net cash (used in) provided by operating activities: Net change in unrealized appreciation on cryptocurrency futures contracts ( 114,383 ) ( 128,468 ) Changes in operating assets and liabilities: Due from broker 582,908 ( 109,824 ) Interest receivable 10,297 ( 2,124 ) Management fee payable to Sponsor ( 2,053 ) 408 Net cash (used in) provided by operating activities 513,882 528,064 Cash flows from financing activities: Distribution to Acquiring Fund upon consummation of merger and liquidation agreement - see Note 1 to the finanical statements ( 2,381,545 ) - Proceeds from sale of Shares - - Redemption of Shares - - Net cash provided by financing activities ( 2,381,545 ) - Net change in cash and cash equivalents ( 1,867,663 ) 528,064 Cash and cash equivalents beginning of period 1,867,663 701,969 Cash and cash equivalents end of period $ - $ 1,230,033 * The Hashdex Bitcoin Futures ETF was transferred into the Tidal Commodities Trust I as described in Note 1 to these financials. The accompanying notes are an integral part of these financial statements. F-126 Table of Contents NOTES TO FINANCIAL STATEMENTS March 31, 2024 (Unaudited) Note 1 – Organization and Operation Please note that as discussed further below, as of January 3, 2024, the Hashdex Bitcoin Futures ETF (the "Fund") was merged into an unaffiliated fund. The merger closed on January 3, 2024 and caused the Fund's shares to be canceled and the Fund to be liquidated. Accordingly, unless otherwise specifically noted, the information in the following notes to the Fund's financial statements are as of January 3, 2024. Hashdex Bitcoin Futures ETF (the “Fund”) is a series of Teucrium Commodity Trust (“Trust”), a Delaware statutory trust organized on September 11, 2009. The Fund operates pursuant to the Fifth Amended and Restated Declaration of Trust and Trust Agreement ("Trust Agreement"), dated April 26, 2019. The Trust Agreement may be found on the SEC’s EDGAR filing database at https://www.sec.gov/Archives/edgar/data/1471824/000165495419004865/ex31.htm. The Fund was formed and is managed and controlled by the Sponsor, a limited liability company formed in Delaware on July 28, 2009. The Sponsor is registered as a commodity pool operator (“CPO”) and a commodity trading adviser (“CTA”) with the Commodity Futures Trading Commission (“CFTC”) and is a member of the National Futures Association (“NFA”). The Fund intends to be treated as a partnership for U.S. federal income tax purposes. On September 14, 2022, the Fund’s initial registration of an indeterminate number of shares on Form S- 1 was declared effective by the SEC. On September 16, 2022, the Fund listed it’s shares on the NYSE Arca under the ticker symbol “DEFI”. On the business day prior to that, the Fund issued 50,000 shares in exchange for $ 1,250,000 at the Fund’s initial NAV of $ 25 per share. The Fund’s investment objective is for changes in the Shares’ NAV to reflect the daily changes of the price of a specified benchmark (the “Benchmark”), less expenses from the Fund’s operations. The Benchmark currently is the average of the closing settlement prices for the first to expire and second to expire bitcoin futures contracts (“Bitcoin Futures Contracts”) listed on the CME. These futures contracts are the Benchmark Component Futures Contracts. The CME currently offers two Bitcoin Futures Contracts, one contract representing 5 bitcoin (“BTC Contracts”) and another contract representing 0.10 bitcoin (“MBT Contracts”). The Fund will invest in BTC Contracts and MBT Contracts to the extent necessary to achieve maximum exposure to the bitcoin futures market. As reported by the registrant on a Form 8 -K filed with the Securities and Exchange Commission on November 7, 2023 ( File No. 001 - 34765 ), Teucrium Commodity Trust (the “Teucrium Trust”), on behalf of its series, Hashdex Bitcoin Futures ETF (“Acquired Fund”), and Tidal Commodities Trust I (“Acquiring Trust”), on behalf of its series, Hashdex Bitcoin Futures ETF (“Acquiring Fund”), entered into an Agreement and Plan of Partnership Merger and Liquidation dated as of October 30, 2023 ( the “Plan of Merger”). The Merger closed on January 3, 2024 ( the “Closing Date”). Pursuant to the Plan of Merger, each Acquired Fund shareholder received one share of the Acquiring Fund for every one share of the Acquired Fund held on the Closing Date based on the net asset value per share of the Acquiring Fund being equal to the net asset value per share of the Acquired Fund determined immediately prior to the Merger closing. Upon the Merger closing, the Acquiring Fund acquired all the assets of the Acquired Fund and assumed all the liabilities of the Acquired Fund and this balance is recognized in the financial statements as the net assets transferred to Acquiring Fund via distribution. Upon the Merger closing, the Plan of Merger caused all of the Acquired Fund’s shares to be cancelled and the Acquired Fund to be liquidated. Accordingly, the results of operations and Fund share activity reflected in the financial statements is only for the period from January 1, 2024 through January 3, 2024. Subsequently, as a result of the Merger, the Fund was de-recognized from the Trust. The sponsor of the Teucrium Trust, Teucrium Trading, LLC (“Teucrium”), is not receiving any compensation dependent on the consummation of the Merger. Pursuant to a certain Amended and Restated ‘33 Act Fund Platform Support Agreement, as amended (the “Support Agreement”) among Tidal Investments LLC (f/k/a Toroso Investments, LLC) (“Tidal”), Tidal ETF Services, LLC, Hashdex Asset Management Ltd., and Teucrium, Tidal has agreed to provide Teucrium after the Merger with a monthly amount equal to the greater of seven percent ( 7 %) of the management fee paid to Tidal from the Acquiring Fund and 0.04 % of monthly average net assets of the Acquiring Fund (“Teucrium Compensation”). Any payment of the Teucrium Compensation will be made from the resources of Tidal and not from the assets of the Acquiring Fund. DEFI Benchmark CME Bitcoin Futures Contracts Weighting First to expire 50 % Second to expire 50 % F- 127 Table of Contents The accompanying unaudited financial statements have been prepared in accordance with Rule 10 - 01 of Regulation S- X promulgated by the SEC and, therefore, do not include all information and footnote disclosures required under accounting principles generally accepted in the United States of America (“GAAP”). The financial information included herein is unaudited; however, such financial information reflects all adjustments which are, in the opinion of management, necessary for the fair presentation of the Fund’s financial statements for the interim period. 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, 2024 are not necessarily indicative of the results to be expected from the full year ended December 31, 2024. 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. However, no level of losses will require the Sponsor to terminate a Fund. Note 2 – Principal Contracts and Agreements The Sponsor employs U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Global Fund Services”), for Transfer Agency, Fund Accounting and Fund Administration services. The principal address for Global Fund Services is 615 E. Michigan Street, Milwaukee, WI 53202. For custody services, the Funds will pay to U.S. Bank N.A. 0.0075 % of average gross assets up to $1 billion, and .0050% of average gross assets over $1 billion, annually, plus certain per-transaction charges. For Transfer Agency, Fund Accounting and Fund Administration services, which are based on the total assets for all the Funds in the Trust, the Funds will pay to Global Fund Services 0.05 % of average gross assets on the first $500 million, 0.04 % on the next $500 million, 0.03 % on the next $2 billion and 0.02 % on the balance over $3 billion annually. A combined minimum annual fee of up to $ 47,000 for custody, transfer agency, accounting and administrative services is assessed per Fund. These services are recorded as custodian fees and expenses on the statements of operations. A summary of these expenses is included below. The Sponsor employs Foreside Fund Services, LLC (“Foreside” or the “Distributor”) as the Distributor for the Funds. The Distribution Services Agreement among the Distributor and the Sponsor calls for the Distributor to work with the Custodian in connection with the receipt and processing of orders for Creation Baskets and Redemption Baskets and the review and approval of all Fund sales literature and advertising materials. For its services as the Distributor, Foreside receives a fee of 0.01 % of each Fund’s average daily net assets and an aggregate annual fee of $ 100,000 for all Funds, along with certain expense reimbursements. These services are recorded as distribution and marketing fees on the statements of operations. 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. F- 128 Table of Contents StoneX Financial Inc. (“StoneX”) and Phillip Capital Inc. (“Phillip Capital”) serve as the Fund’s clearing brokers to execute futures contracts and provide other brokerage-related services. StoneX and Phillip Capital are each registered as futures commission merchants (“FCM”) with the U.S. CFTC and are members of the NFA. The clearing brokers are registered as broker-dealers with the SEC and are each a member of FINRA. StoneX and Phillip Capital are each clearing members of ICE Futures U.S., Inc., Chicago Board of Trade, Chicago Mercantile Exchange, New York Mercantile Exchange, and all other major United States commodity exchanges. StoneX is paid 10.00 - $ 25.00 per half-turn exclusive of pass through fees for the exchange, and the NFA. Additionally, if the monthly commissions paid by each Fund does not equal or exceed 16.5 % return on the StoneX Capital Requirement at 9.6 % of the Exchange Maintenance Margin, each Fund will pay a true up to meet that return at the end of each month. Phillip Capital is paid $ 35.00 - $ 45.00 per half-turn exclusive of pass through fees for the exchange, the NFA, execution fees and platform and exchange data fees. A summary of these expenses is included below. The sole Trustee of the Trust is Wilmington Trust Company, a Delaware banking corporation. The Trustee will accept service of legal process on the Trust in the State of Delaware and will make certain filings under the Delaware Statutory Trust Act. For its services, the Trustee receives an annual fee of $ 3,300 from the Trust. These services are recorded in business permits and licenses fees on the statements of operations. A summary of these expenses is included below. Three months ended March 31, 2024 Three months ended March 31, 2023 Amount Recognized for Custody Services $ - $ 259 Amount of Custody Services Waived $ - $ 259 Amount Recognized for Distribution Services $ - $ 60 Amount of Distribution Services Waived $ - $ 60 Amount Recognized for Wilmington Trust $ - $ - Amount of Wilmington Trust 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 Investment transactions are accounted for on a trade-date basis. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized appreciation or depreciation on investments are reflected in the statements of operations as the difference between the original 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. 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 quarter ended March 31, 2024 . DEFI Three months ended March 31, 2024 $ 192 Three months ended March 31, 2023 $ 609 F- 129 Table of Contents Income Taxes 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. There is very limited authority on the U.S. federal income tax treatment of bitcoin and no direct authority on bitcoin derivatives, such as Bitcoin Futures Contracts. Bitcoin Futures Contracts more likely than not will be considered futures with respect to commodities for purposes of the qualifying income exception under section 7704 of the Code. Based on a CFTC determination that treats bitcoin as a commodity under the CEA, the Fund intends to take the position that Bitcoin Futures Contracts consist of futures on commodities for purposes of the qualifying income exception under section 7704 of the Code. Shareholders should be aware that the Fund’s position is not binding on the IRS, and no assurance can be given that the IRS will not challenge the Fund’s position, or that the IRS or a court will not ultimately reach a contrary conclusion, which would result in the material adverse consequences to Shareholders and the Fund. 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 the tax year December 31, 2023 , 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. This policy has been applied to all existing tax positions upon the Fund’s initial adoption. Based on its analysis, the Fund has determined that it has not incurred any liability for unrecognized tax benefits as of March 31, 2024 and for the year ended December 31, 2023 . 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 a March 31, 2024 . 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 10,000 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 10,000 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 will receive the proceeds from shares sold or will pay for redeemed shares within three business days after the trade date of the purchase or redemption, respectively. The amounts due from Authorized Purchasers will be reflected in the Fund’s statements of assets and liabilities as capital shares receivable. Amounts payable to Authorized Purchasers upon redemption will be 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 represent five 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. F- 130 Table of Contents 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 Equivalents Cash equivalents are highly liquid investments with maturity dates of 90 days or less when acquired. The Fund 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. The Fund has these balances of its assets on deposit with banks. Assets deposited with a financial institution may, at times, exceed federally insured limits. DEFI had a balance of $ 1,867,663 in money market funds at December 31, 2023 respectively; this balances is included in cash equivalents on the statements of assets and liabilities. 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 cryptocurrency 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 cryptocurrency 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 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. F- 131 Table of Contents 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, will calculate the NAV of the Fund once each trading day. It will calculate the NAV as of the earlier of the close of the New York Stock Exchange or 4:00 p.m. (ET). The NAV for a particular trading day will be released after 4:15 p.m. (ET). In determining the value of Bitcoin Futures Contracts, the Administrator uses the settlement price for the Benchmark Component Futures Contracts, as reported on the CME. CME Group staff determines the daily settlements for the Benchmark Component Futures Contracts based on trading activity on CME Globex exchange between 14:59:00 and 15:00:00 Central Time (CT), the settlement period, except that the “fair value” of Bitcoin Futures Contracts (as described in more detail below) may be used when Bitcoin Futures Contracts close at their price fluctuation limit for the day. The Administrator determines the value of all investments as of the earlier of the close of the New York Stock Exchange or 4:00 p.m. (ET), in accordance with the current Services Agreement between the Administrator and the Trust. NAV includes any unrealized profit or loss on open bitcoin interests and any other credit or debit 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. DEFI is contractually obligated to pay a monthly management fee to the Sponsor, based on average daily net assets, at a rate equal to 0.94 % per annum. From the Management Fee, the Sponsor pays all of the routine operational, administrative and other ordinary expenses of the Fund, generally as determined by the Sponsor, including but not limited to, fees and expenses of the Administrator, Custodian, Distributor, Transfer Agent, licensors, accounting and audit fees expenses, tax preparation expenses, legal fees, ongoing SEC registration fees, individual Schedule K- 1 preparation and mailing fees, and report preparation and mailing expenses. These fees and expenses are not included in the breakeven table because they are paid for by the Sponsor through the proceeds from the Management Fee. The Fund pays all of its non-recurring and unusual fees and expenses, if any, as determined by the Sponsor. Non-recurring and unusual fees and expenses are unexpected or unusual in nature, such as legal claims and liabilities and litigation costs or indemnification or other unanticipated expenses. Extraordinary fees and expenses also include material expenses which are not currently anticipated obligations of the Fund. Routine operational, administrative, and other ordinary expenses are not deemed extraordinary expenses. F- 132 Table of Contents 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: DEFI Three months ended March 31, 2024 $ 62,309 Three months ended March 31, 2023 $ 70,570 Expenses Expenses are recorded using the accrual method of accounting. Use of Estimates The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America 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. 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. Fair Value - Definition and Hierarchy In accordance with 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 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 of the Underlying Funds and securities of the Fund, together the “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. F- 133 Table of Contents 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. On March 31, 2024 and December 31, 2023 , the reported value at the close of the market for each cryptocurrency contract fairly reflected the value of the futures and no alternative valuations were required. 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. 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 and December 31, 2023 . The Fund did not have any assets or liabilities as of March 31, 2024. December 31, 2023 Balance as of Assets: Level 1 Level 2 Level 3 December 31, 2023 Cash Equivalents $ 1,867,663 $ - $ - $ 1,867,663 Bitcoin futures contracts 129,519 - - 129,519 Total $ 1,997,182 $ - $ - $ 1,997,182 Balance as of Liabilities Level 1 Level 2 Level 3 December 31, 2023 Bitcoin futures contracts $ 51,376 $ - $ - $ 51,376 For the three months ended March 31, 2024 and year ended December 31, 2023 , 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. F- 134 Table of Contents 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 quarter ended December 31, 2023 , the Fund invested only in cryptocurrency futures contracts. The Fund did not have any derivative assets or derivative liabilities as of March 31, 2024. Futures Contracts The Fund is subject to cryptocurrency 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 a Futures Commission Merchant (“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 the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Update (“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, StoneX as of December 31, 2023 . The Fund did not have any derivative assets or derivative liabilities as of March 31, 2024. *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 December 31, 2023 (i) (ii) (iii) = (i)-(ii) (iv) (v)=(iii)-(iv) Gross Amount Not Offset in the Statement of Assets and Liabilities Description 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 from Broker* Net Amount Cryptocurrency Price Bitcoin futures contracts $ 129,519 $ - $ 129,519 $ 51,376 $ - $ 78,143 Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2023 (i) (ii) (iii) = (i)-(ii) (iv) (v)=(iii)-(iv) Gross Amount Not Offset in the Statement of Assets and Liabilities Description 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* Net Amount Cryptocurrency Price Bitcoin futures contracts $ 51,376 $ - $ 51,376 $ 51,376 $ - $ - F- 135 Table of Contents 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 cryptocurrency futures contracts categorized by primary underlying risk: Three months ended March 31, 2024 Realized Loss on Cryptocurrency Futures Contracts Net Change in Unrealized Appreciation on Cryptocurrency Futures Contracts Cryptocurrency Price Bitcoin futures Contracts $ ( 78,143 ) $ 114,383 Three months ended March 31, 2023 Realized Loss on Cryptocurrency Futures Contracts Net Change in Unrealized Depreciation on Cryptocurrency Futures Contracts Cryptocurrency Price Bitcoin futures Contracts $ ( 5,942 ) $ ( 14,372 ) Volume of Derivative Activities The average notional market value categorized by primary underlying risk for all futures contracts held was $ 1.7 million for the three months ended March 31, 2023 Note 6 – Financial Highlights The following table presents per unit performance data and other supplemental financial data for the three months ended March 31, 2024 and March 31, 2023 . 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, 2024 March 31, 2023 Per Share Operation Performance Net asset value at beginning of period $ 50.74 $ 21.40 Income (loss) from investment operations: Interest income 0.02 0.27 Net assets transferred to Acquired Fund ( 51.48 ) Net realized and unrealized gain on cryptocurrency futures contracts 0.72 15.16 Total expenses, net 0.00 ( 0.07 ) Net (decrease) increase in net asset value ( 50.74 ) 15.36 Net asset value at end of period $ - $ 36.76 Total Return 0.00 % 71.79 % Ratios to Average Net Assets (Annualized) Total expenses 286.28 % 20.48 % Total expenses, net 0.92 % 0.94 % Net investment income 4.00 % 2.78 % The financial highlights per share data are calculated consistent with the methodology used to calculate asset-based fees and expenses. Note 7 – Organizational and Offering Costs Expenses incurred in organizing of the Trust and the initial offering of the Shares of the Fund, including applicable SEC registration fees, were borne directly by the Sponsor. The Fund will not be obligated to reimburse the Sponsor. Note 8 – Subsequent Events Management has evaluated the financial statements for the quarter-ended March 31, 2024 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. F-136 Table of Contents Item 2. Management ’ s Discussion and Analysis of Financial Condition and Results of Operations. This information should be read in conjunction with the financial statements and notes included in Item 1 of Part I of this Quarterly Report (the “ Report ” ). The discussion and analysis which follows may contain trend analysis and other forward-looking statements within the meaning of Section 21E of the Securities Exchange Act of 1934 which reflect our current views with respect to future events and financial results. Words such as “ anticipate, ” “ expect, ” “ intend, ” “ plan, ” “ believe, ” “ seek, ” “ outlook ” and “ estimate, ” as well as similar words and phrases, signify forward-looking statements. Teucrium Commodity Trust ’ s (the “ Trust ’ s ” ) forward-looking statements are not a guarantee of future results and conditions, and important factors, risks and uncertainties may cause our actual results to differ materially from those expressed in our forward-looking statements. You should not place undue reliance on any forward-looking statements. Except as expressly required by the Federal securities laws, Teucrium Trading, LLC (the “ Sponsor ” ) undertakes no obligation to publicly update or revise any forward-looking statements or the risks, uncertainties or other factors described in this Report, as a result of new information, future events or changed circumstances or for any other reason after the date of this Report. Overview/Introduction Teucrium Commodity Trust (“Trust”), a Delaware statutory trust organized on September 11, 2009, is a series trust consisting of six series: Teucrium Corn Fund (“CORN”), Teucrium Sugar Fund (“CANE”), Teucrium Soybean Fund (“SOYB”), Teucrium Wheat Fund (“WEAT”), Teucrium Agricultural Fund (collectively, “the Agricultural Funds”) and Hashdex Bitcoin Futures ETF (“DEFI”). All of the series of the Trust are collectively referred to as the “Funds” and singularly as the “Fund.” Each Fund is a commodity pool that is a series of the Trust. The Funds issue common units, called the “Shares,” representing fractional undivided beneficial interests in a Fund. Effective as of April 26, 2019, the Trust and the Funds operate pursuant to the Trust’s Fifth Amended and Restated Declaration of Trust and Trust Agreement (the “Trust Agreement”). On June 7, 2010, the initial Form S-1 for CORN was declared effective by the U.S. Securities and Exchange Commission (“SEC”). On June 8, 2010, four Creation Baskets for CORN were issued representing 200,000 shares and $5,000,000. CORN began trading on the New York Stock Exchange (“NYSE”) Arca on June 9, 2010. The current registration statement for CORN was declared effective by the SEC on April 7, 2022. This registration statement for CORN registered an indeterminate number of shares. On June 13, 2011, the initial Forms S-1 for CANE, SOYB, and WEAT were declared effective by the SEC. On September 16, 2011, two Creation Baskets were issued for each Fund, representing 100,000 shares and $2,500,000, for CANE, SOYB, and WEAT. On September 19, 2011, CANE, SOYB, and WEAT started trading on the NYSE Arca. The current registration statements for SOYB and CANE were declared effective by the SEC on April 7, 2022. The registration statements for SOYB and CANE registered an indeterminate number of shares each. The current registration statement for WEAT was declared effective on March 9, 2022. This registration statement for WEAT registered an indeterminate number of shares. On February 10, 2012, the Form S-1 for TAGS was declared effective by the SEC. On March 27, 2012, six Creation Baskets for TAGS were issued representing 300,000 shares and $15,000,000. TAGS began trading on the NYSE Arca on March 28, 2012. The current registration statement for TAGS was declared effective by the SEC on April 7, 2022. This registration statement for TAGS registered an indeterminate number of shares. On September 14, 2022, the Form S-1 for DEFI was declared effective by the SEC. On September 15, 2022, five Creation Baskets for DEFI were issued representing 50,000 shares and $1,250,000. DEFI began trading on the NYSE Arca on September 16, 2022. This registration statement for DEFI registered an indeterminate number of shares. As reported by the registrant on a Form 8-K filed with the Securities and Exchange Commission on November 7, 2023 (File No. 001-34765), Teucrium Commodity Trust (the “Teucrium Trust”), on behalf of its series, Hashdex Bitcoin Futures ETF (“Acquired Fund”), and Tidal Commodities Trust I (“Acquiring Trust”), on behalf of its series, Hashdex Bitcoin Futures ETF (“Acquiring Fund”), entered into an Agreement and Plan of Partnership Merger and Liquidation dated as of October 30, 2023 (the “Plan of Merger”). The Merger closed on January 3, 2024 (the “Closing Date”). Pursuant to the Plan of Merger, each Acquired Fund shareholder received one share of the Acquiring Fund for every one share of the Acquired Fund held on the Closing Date based on the net asset value per share of the Acquiring Fund being equal to the net asset value per share of the Acquired Fund determined immediately prior to the Merger closing. Upon the Merger closing, the Acquiring Fund acquired all the assets of the Acquired Fund and assumed all the liabilities of the Acquired Fund. Upon the Merger closing, the Plan of Merger caused all of the Acquired Fund’s shares to be cancelled and the Acquired Fund to be liquidated. The sponsor of the Teucrium Trust, Teucrium Trading, LLC (“Teucrium”), is not receiving any compensation dependent on the consummation of the Merger. Pursuant to a certain Amended and Restated ‘33 Act Fund Platform Support Agreement, as amended (the “Support Agreement”) among Tidal Investments LLC (f/k/a Toroso Investments, LLC) (“Tidal”), Tidal ETF Services, LLC, Hashdex Asset Management Ltd., and Teucrium, Tidal has agreed to provide Teucrium after the Merger with a monthly amount equal to the greater of seven percent (7%) of the management fee paid to Tidal from the Acquiring Fund and 0.04% of monthly average net assets of the Acquiring Fund (“Teucrium Compensation”). Any payment of the Teucrium Compensation will be made from the resources of Tidal and not from the assets of the Acquiring Fund. 4 Table of Contents The occurrence of a severe weather event, natural disaster, terrorist attack, geopolitical events, outbreak, or public health emergency as declared by the World Health Organization, the continuation or expansion of war or other hostilities, or a prolonged government shutdown may have significant adverse effects on an Agricultural Fund and its investments and alter current assumptions and expectations. For example, in late February 2022, Russia invaded Ukraine, significantly amplifying already existing geopolitical tensions among Russia and other countries in the region and in the west. The responses of countries and political bodies to Russia’s actions, the larger overarching tensions, and Ukraine’s military response and the potential for wider conflict may increase financial market volatility generally, have severe adverse effects on regional and global economic marke