Teucrium Commodity Trust 10-Q

tctr_10q.htm 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 June 30, 2020 . 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 and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted 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 and post 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 August 6, 2020 Teucrium Corn Fund 7,375,004 Teucrium Sugar Fund 1,875,004 Teucrium Soybean Fund 4,750,004 Teucrium Wheat Fund 9,600,004 Teucrium Agricultural Fund 62,502 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 105 Item 3. Quantitative and Qualitative Disclosures About Market Risk 141 Item 4. Controls and Procedures 144 Part II. OTHER INFORMATION Item 1. Legal Proceedings 145 Item 1A. Risk Factors 145 Item 2. Unregistered Sales of Equity Securities and Use of Proceeds 163 Item 3. Defaults Upon Senior Securities 166 Item 4. Mine Safety Disclosures 166 Item 5. Other Information 166 Item 6. Exhibits 167 2 Part I. FINANCIAL INFORMATION I tem 1. Financial Statements. Index to Financial Statements Documents Page TEUCRIUM COMMODITY TRUST Combined Statements of Assets and Liabilities at June 30, 2020 (Unaudited) and December 31, 2019 4 Combined Schedule of Investments at June 30, 2020 (Unaudited) and December 31, 2019 5 Combined Statements of Operations (Unaudited) for the three and six months ended June 30, 2020 and 2019 7 Combined Statements of Changes in Net Assets (Unaudited) for the six months ended June 30, 2020 and 2019 8 Combined Statements of Cash Flows (Unaudited) for the six months ended June 30, 2020 and 2019 9 Notes to Combined Financial Statements 10 TEUCRIUM CORN FUND Statements of Assets and Liabilities at June 30, 2020 (Unaudited) and December 31, 2019 23 Schedule of Investments at June 30, 2020 (Unaudited) and December 31, 2019 24 Statements of Operations (Unaudited) for the three and six months ended June 30, 2020 and 2019 26 Statements of Changes in Net Assets (Unaudited) for the six months ended June 30, 2020 and 2019 27 Statements of Cash Flows (Unaudited) for the six months ended June 30, 2020 and 2019 28 Notes to Financial Statements 29 TEUCRIUM SOYBEAN FUND Statements of Assets and Liabilities at June 30, 2020 (Unaudited) and December 31, 2019 41 Schedule of Investments at June 30, 2020 (Unaudited) and December 31, 2019 42 Statements of Operations (Unaudited) for the three and six months ended June 30, 2020 and 2019 44 Statements of Changes in Net Assets (Unaudited) for the six months ended June 30, 2020 and 2019 45 Statements of Cash Flows (Unaudited) for the six months ended June 30, 2020 and 2019 46 Notes to Financial Statements 47 TEUCRIUM SUGAR FUND Statements of Assets and Liabilities at June 30, 2020 (Unaudited) and December 31, 2019 57 Schedule of Investments at June 30, 2020 (Unaudited) and December 31, 2019 58 Statements of Operations (Unaudited) for the three and six months ended June 30, 2020 and 2019 60 Statements of Changes in Net Assets (Unaudited) for the six months ended June 30, 2020 and 2019 61 Statements of Cash Flows (Unaudited) for the six months ended June 30, 2020 and 2019 62 Notes to Financial Statements 63 TEUCRIUM WHEAT FUND Statements of Assets and Liabilities at June 30, 2020 (Unaudited) and December 31, 2019 74 Schedule of Investments at June 30, 2020 (Unaudited) and December 31, 2019 75 Statements of Operations (Unaudited) for the three and six months ended June 30, 2020 and 2019 77 Statements of Changes in Net Assets (Unaudited) for the six months ended June 30, 2020 and 2019 78 Statements of Cash Flows (Unaudited) for the six months ended June 30, 2020 and 2019 79 Notes to Financial Statements 80 TEUCRIUM AGRICULTURAL FUND Statements of Assets and Liabilities at June 30, 2020 (Unaudited) and December 31, 2019 91 Schedule of Investments at June 30, 2020 (Unaudited) and December 31, 2019 92 Statements of Operations (Unaudited) for the three and six months ended June 30, 2020 and 2019 94 Statements of Changes in Net Assets (Unaudited) for the six months ended June 30, 2020 and 2019 95 Statements of Cash Flows (Unaudited) for the six months ended June 30, 2020 and 2019 96 Notes to Financial Statements 97 3 Table of Contents T EUCRIUM COMMODITY TRUST COMBINED STATEMENTS OF ASSETS AND LIABILITIES June 30, 2020 December 31, 2019 (Unaudited) Assets Cash and cash equivalents $ 196,778,163 $ 166,081,885 Receivable for investments sold 211,145 - Interest receivable 4,378 250 Other assets 71,854 9,719 Equity in trading accounts: Commodity futures contracts 925,680 7,712,856 Due from broker 18,141,740 4,252 Total equity in trading accounts 19,067,420 7,717,108 Total assets $ 216,132,960 $ 173,808,962 Liabilities Management fee payable to Sponsor 129,083 141,898 Payable for purchases of commercial paper 7,495,500 - Other liabilities 32,861 38,767 Capital shares payable 4,241,134 - Equity in trading accounts: Commodity futures contracts 4,747,706 581,574 Due to broker - 5,140,126 Total equity in trading accounts 4,747,706 5,721,700 Total liabilities 16,646,284 5,902,365 Net Assets $ 199,486,676 $ 167,906,597 The accompanying notes are an integral part of these financial statements. 4 Table of Contents T EUCRIUM COMMODITY TRUST COMBINED SCHEDULE OF INVESTMENTS June 30, 2020 (Unaudited) Percentage of Description: Assets Fair Value Net Assets Shares Cash equivalents Money market funds Fidelity Institutional Money Market Funds - Government Portfolio 0.05% (cost $95,724,819) $ 95,724,819 47.99 % 95,724,819 Blackrock Liquidity FedFund - Institutional Class 0.09% (cost $5,277,214) 5,277,214 2.65 Total money market funds (cost: $101,002,033) $ 101,002,033 50.64 % Principal Amount Commercial Paper BASF SE 1.34% (cost: $9,976,724 due: 7/06/2020) $ 9,998,152 5.01 % 10,000,000 Bayer Corporation 2.15% (cost: $9,947,344 due: 7/27/2020) 9,984,618 5.01 10,000,000 CNH Industrial Capital LLC 2.01% (cost: $4,983,611 due: 7/17/2020) 4,995,556 2.50 5,000,000 FMC Technologies, Inc. 1.76% (cost: $9,973,022 due: 7/27/2020) 9,987,362 5.01 10,000,000 FMC Technologies, Inc. 1.51% (cost: $7,490,938 due: 7/01/2020) 7,500,000 3.76 7,500,000 FMC Technologies, Inc. 0.83% (cost: $2,498,444 due: 7/13/2020) 2,499,308 1.25 2,500,000 General Motors Financial Company, Inc.1.01% (cost: $4,987,516 due: 9/23/2020) 4,988,218 2.50 5,000,000 General Motors Financial Company, Inc.0.53% (cost: $4,998,381 due: 7/16/2020) 4,998,896 2.51 5,000,000 Hyundai Capital America, Inc. 0.56% (cost: $4,996,190 due: 8/14/2020) 4,996,578 2.50 5,000,000 Hyundai Capital America, Inc.0.54% (cost: $7,495,500 due: 8/10/2020) 7,495,500 3.76 7,500,000 Jabil Inc.0.61% (cost: $4,994,070 due: 8/28/2020) 4,994,959 2.50 5,000,000 Jabil Inc.0.75% (cost: $9,992,918 due: 7/08/2020) 9,998,541 5.01 10,000,000 The Dow Chemical Company1.00% (cost: $4,987,917 due: 8/24/2020) 4,992,500 2.50 5,000,000 Walgreens Boots Alliance, Inc. 0.43% (cost: $4,995,880 due: 8/24/2020) 4,996,776 2.50 5,000,000 WGL Holdings, Inc.0.60% (cost: $2,498,000 due: 7/22/2020) 2,499,125 1.25 2,500,000 Total Commercial Paper (cost: $94,816,455) $ 94,926,089 47.57 % Total cash equivalents $ 195,928,122 98.21 % Notional Amount (Long Exposure) Commodity futures contracts United States corn futures contracts CBOT corn futures DEC21 (1,658 contracts) $ 510,002 0.26 $ 30,921,700 United States soybean futures contracts CBOT soybean futures JAN21 (383 contacts) 322,552 0.16 16,942,963 United States sugar futures contracts ICE sugar futures MAY21 (194 contracts) 24,439 0.01 2,666,026 ICE sugar futures MAR22 (227 contracts) 68,687 0.03 3,089,016 Total commodity futures contracts $ 925,680 0.46 % $ 53,619,705 Percentage of Notional Amount Description: Liabilities Fair Value Net Assets (Long Exposure) Commodity futures contracts United States corn futures contracts CBOT corn futures SEP20 (1,812 contracts) $ 435,054 0.22 % $ 30,939,900 CBOT corn futures DEC20 (1,513 contracts) 2,084,098 1.04 26,515,325 United States soybean futures contracts CBOT soybean futures NOV20 (448 contracts) 150,837 0.08 19,762,400 CBOT soybean futures NOV21 (449 contracts) 49,371 0.02 19,582,012 United States sugar futures contracts ICE sugar futures MAR21 (222 contracts) 212,606 0.11 3,122,918 United States wheat futures contracts CBOT wheat futures SEP20 (655 contracts) 767,697 0.38 16,104,812 CBOT wheat futures DEC20 (553 contracts) 514,883 0.26 13,797,350 CBOT wheat futures DEC21 (605 contracts) 533,160 0.27 16,070,313 Total commodity futures contracts $ 4,747,706 2.38 % $ 145,895,030 Exchange-traded funds* Shares Teucrium Corn Fund $ 260,585 0.13 % 21,008 Teucrium Soybean Fund 261,237 0.13 18,681 Teucrium Sugar Fund 262,901 0.13 45,924 Teucrium Wheat Fund 260,506 0.13 51,737 Total exchange-traded funds (cost $1,385,044) $ 1,045,229 0.52 % *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. 5 Table of Contents TEUCRIUM COMMODITY TRUST C OMBINED SCHEDULE OF INVESTMENTS December 31, 2019 Percentage of Description: Assets Fair Value Net Assets Shares Cash equivalents Money market funds Fidelity Institutional Money Market Funds - Government Portfolio 1.50% (cost $3,060) $ 3,060 0.00 % 3,060 Principal Amount U.S. Treasury Obligations U.S. Treasury Bills 1.53% (cost: $6,609,673 due 01/30/2020) (a)(b) $ 6,611,271 3.94 % 6,619,000 Commercial Paper Broadcom Inc. 2.01% (cost: $4,984,445 due 01/09/20) $ 4,997,778 2.98 % 5,000,000 CNH Industrial Capital LLC 2.12% (cost: $4,975,210 due 01/10/20) 4,997,375 2.98 5,000,000 CNH Industrial Capital LLC 1.86% (cost: $4,987,924 due 01/06/20) 4,998,716 2.98 5,000,000 Energy Transfer Operating, L.P. 1.99% (cost: $4,987,626 due 01/31/20) 4,991,750 2.97 5,000,000 FMC Technologies, Inc. 1.93% (cost: $12,440,666 due 02/04/20) 12,477,333 7.43 12,500,000 FMC Technologies, Inc. 2.01% (cost: $4,977,779 due 03/06/20) 4,981,945 2.97 5,000,000 FMC Technologies, Inc. 1.86% (cost: $2,494,476 due 01/02/20) 2,499,872 1.49 2,500,000 General Motors Financial Company, Inc. 2.17% (cost: $2,486,562 due 01/02/20) 2,499,851 1.49 2,500,000 General Motors Financial Company, Inc. 2.15% (cost: $7,462,393 due 01/06/20) 7,497,782 4.47 7,500,000 General Motors Financial Company, Inc. 2.16% (cost: $9,947,094 due 01/15/20) 9,991,678 5.95 10,000,000 Jabil Inc. 2.15% (cost: $2,489,202 due 02/28/20) 2,491,421 1.48 2,500,000 Jabil Inc. 2.03% (cost: $2,488,637 due 02/28/20) 2,491,864 1.48 2,500,000 Royal Caribbean Cruises Ltd. 2.12% (cost: $4,975,500 due 01/09/20) 4,997,666 2.98 5,000,000 Total Commercial Paper (total cost: $69,697,514) $ 69,915,031 41.65 % Total Cash Equivalents $ 76,529,362 45.59 % Notional Amount (Long Exposure) Commodity futures contracts United States corn futures contracts CBOT corn futures MAY20 (1,334 contracts) $ 583,610 0.35 % $ 26,329,825 CBOT corn futures JUL20 (1,126 contracts) 781,445 0.47 22,576,300 United States soybean futures contracts CBOT soybean futures MAR20 (207 contracts) 345,319 0.21 9,889,425 CBOT soybean futures MAY20 (175 contracts) 247,987 0.15 8,476,563 CBOT soybean futures NOV20 (200 contracts) 338,590 0.20 9,787,500 United States sugar futures contracts ICE sugar futures MAY20 (284 contracts) 88,865 0.05 4,306,803 ICE sugar futures JUL20 (241 contracts) 223,677 0.13 3,687,107 ICE sugar futures MAR21 (268 contracts) 34,887 0.02 4,316,301 United States wheat futures contracts CBOT wheat futures MAY20 (650 contracts) 2,113,350 1.26 18,256,875 CBOT wheat futures JUL20 (556 contracts) 892,498 0.53 15,665,300 CBOT wheat futures DEC20 (634 contracts) 2,062,628 1.23 18,314,675 Total commodity futures contracts $ 7,712,856 4.60 % $ 141,606,674 Percentage of Notional Amount Description: Liabilities Fair Value Net Assets (Long Exposure) Commodity futures contracts United States corn futures contracts CBOT corn futures DEC20 (1,308 contracts) $ 581,574 0.35 % $ 26,323,500 Exchange-traded funds* Shares Teucrium Corn Fund $ 360,286 0.21 % 24,308 Teucrium Soybean Fund 371,397 0.22 23,431 Teucrium Sugar Fund 373,786 0.22 53,124 Teucrium Wheat Fund 371,411 0.22 63,637 Total exchange-traded funds (cost $1,908,649) $ 1,476,880 0.87 % *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. (a) Discount yield at the time of purchase inclusive of collateral fees. (b) The security is held by the broker as collateral for open futures contracts. The accompanying notes are an integral part of these financial statements. 6 Table of Contents T EUCRIUM COMMODITY TRUST COMBINED STATEMENTS OF OPERATIONS (Unaudited) Three months ended Three months ended Six months ended Six months ended June 30, 2020 June 30, 2019 June 30, 2020 June 30, 2019 Income Realized and unrealized gain (loss) on trading of commodity futures contracts: Realized loss on commodity futures contracts $ ( 7,587,383 ) $ ( 7,714,964 ) $ ( 9,277,336 ) $ ( 12,321,045 ) Net change in unrealized appreciation (depreciation) on commodity futures contracts 1,512,207 17,277,425 ( 10,953,308 ) 12,600,695 Interest income 348,584 1,101,771 989,116 2,087,816 Total (loss) income ( 5,726,592 ) 10,664,232 ( 19,241,528 ) 2,367,466 Expenses Management fees 356,401 412,685 740,764 779,348 Professional fees 467,596 333,153 758,485 635,234 Distribution and marketing fees 624,765 729,998 1,278,946 1,297,194 Custodian fees and expenses 106,162 89,371 184,034 173,420 Business permits and licenses fees 67,067 22,360 108,944 54,306 General and administrative expenses 125,363 81,706 176,273 145,425 Brokerage commissions - 13,144 - 41,273 Other expenses 6 7,661 25 15,562 Total expenses 1,747,360 1,690,078 3,247,471 3,141,762 Expenses waived by the Sponsor ( 243,764 ) ( 98,526 ) ( 417,017 ) ( 232,643 ) Total expenses, net 1,503,596 1,591,552 2,830,454 2,909,119 Net (loss) income $ ( 7,230,188 ) $ 9,072,680 $ ( 22,071,982 ) $ ( 541,653 ) The accompanying notes are an integral part of these financial statements. 7 Table of Contents T EUCRIUM COMMODITY TRUST COMBINED STATEMENTS OF CHANGES IN NET ASSETS (Unaudited) Six months ended Six months ended June 30, 2020 June 30, 2019 Operations Net loss $ (22,071,982 ) $ (541,653 ) Capital transactions Issuance of Shares 85,735,034 61,931,985 Redemption of Shares ( 32,294,893 ) ( 13,611,950 ) Net change in the cost of the Underlying Funds 211,920 1,339 Total capital transactions 53,652,061 48,321,374 Net change in net assets 31,580,079 47,779,721 Net assets, beginning of period 167,906,597 150,251,160 Net assets, end of period $ 199,486,676 $ 198,030,881 The accompanying notes are an integral part of these financial statements. 8 Table of Contents T EUCRIUM COMMODITY TRUST COMBINED STATEMENTS OF CASH FLOWS (Unaudited) Six months ended Six months ended June 30, 2020 June 30, 2019 Cash flows from operating activities: Net loss $ ( 22,071,982 ) $ ( 541,653 ) Adjustments to reconcile net loss to net cash used in operating activities: Net change in unrealized appreciation (depreciation) on commodity futures contracts 10,953,308 ( 12,600,695 ) Changes in operating assets and liabilities: Due from broker ( 18,137,488 ) 10,842,595 Interest receivable ( 4,128 ) ( 1,038 ) Receivable for investments sold ( 211,145 ) - Other assets ( 62,135 ) ( 205,580 ) Due to broker ( 5,140,126 ) 10,217,018 Management fee payable to Sponsor ( 12,815 ) 22,323 Payable for purchases of commercial paper 7,495,500 ( 14,951,548 ) Other liabilities ( 5,906 ) ( 9,524 ) Net cash used in operating activities ( 27,196,917 ) ( 7,228,102 ) Cash flows from financing activities: Proceeds from sale of Shares 85,735,034 61,931,985 Redemption of Shares ( 28,053,759 ) ( 13,611,950 ) Net change in cost of the Underlying Funds 211,920 1,339 Net cash provided by financing activities 57,893,195 48,321,374 Net change in cash and cash equivalents 30,696,278 41,093,272 Cash and cash equivalents beginning of period 166,081,885 159,250,322 Cash and cash equivalents end of period $ 196,778,163 $ 200,343,594 The accompanying notes are an integral part of these financial statements. 9 Table of Contents N OTES TO COMBINED FINANCIAL STATEMENTS June 30, 2020 (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 five series: Teucrium Corn Fund (“CORN”), Teucrium Sugar Fund (“CANE”), Teucrium Soybean Fund (“SOYB”), Teucrium Wheat Fund (“WEAT”), and Teucrium Agricultural Fund (“TAGS”). All these 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 May 1, 2020. The registration statement for CORN registered an additional 10,000,000 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 30, 2018. The registration statements for SOYB and CANE registered an additional 5,000,000 shares each. The current registration statement for WEAT was declared effective on April 29, 2019. This registration statement for WEAT registered an additional 30,000,000 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 30, 2018. 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 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 and six months ended June 30, 2020 are not necessarily indicative of the results to be expected for the full year ending December 31, 2020. 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. Bank N.A. as the Custodian for the Funds. The principal business address for U.S. Bank N.A is 1555 North Rivercenter Drive, Suite 302, Milwaukee, Wisconsin 53212. U.S. Bank N.A. is a Wisconsin state-chartered bank subject to regulation by the Board of Governors of the Federal Reserve System and the Wisconsin State Banking Department. The principal address for U.S. Bancorp Fund Services, LLC doing business as U.S. Bank Global Fund Services ("Global Fund Services") is 615 E. Michigan Street, Milwaukee, WI 53202. In addition, effective on the Conversion Date, Global Fund Services, a wholly owned subsidiary of U.S. Bank, commenced serving as administrator for each Fund, performing certain administrative and accounting services and preparing certain SEC reports on behalf of the Funds, and also became the registrar and transfer agent for each Fund’s Shares. For such services, U.S. Bank and Global Fund Services will receive an asset-based fee, subject to a minimum annual fee. 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 0.06% of average gross assets on the first $250 million, 0.05% on the next $250 million, 0.04% on the next $500 million and 0.03% on the balance over $1 billion annually. A combined minimum annual fee of up to $64,500 for custody, transfer agency, accounting and administrative services is assessed per Fund . These services are recorded in custodian fees and expenses on the combined statements of operations. A summary of these expenses is included below. 10 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 the Fund’s average daily net assets and an aggregate annual fee of $100,000 for all Teucrium 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 in distribution and marketing fees on the combined 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. Additionally, Foreside Distributors, LLC performs certain distribution consulting services pursuant to a Distribution Consulting Agreement with the Trust's Sponsor. ED&F Man Capital Markets, Inc. (“ED&F Man”) serves as the Underlying Funds’ clearing broker to execute and clear the Underlying Funds’ futures and provide other brokerage-related services. ED&F Man is registered as an FCM with the U.S. CFTC and is a member of the NFA. ED&F Man is also registered as a broker/dealer with the U.S. Securities and Exchange Commission and is a member of the FINRA. ED&F Man is a clearing member 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 ED&F Man is paid $9.00 per round turn . Prior to August 21, 2019, these expenses were recorded in brokerage commissions on the combined statements of operations. Beginning on August 21, 2019, these expenses were recognized on a per-trade basis. The half-turn is recognized as an unrealized loss on the combined 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 combined statements of operations when a contract is sold. 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 combined statements of operations. A summary of these expenses is included below. The Sponsor employs Thales Capital Partners LLC (TCP) as the Marketing Agent. TCP is registered as a Broker-Dealer with the SEC and a member of Financial Industry Regulatory Authority (FINRA) and SIPC. TCP receives an annual fee of $90,000 and an additional 0.0015% of average daily net assets in referred accounts for distribution and solicitation-related services. This additional fee is determined by an agreed upon level of assets at the time of signing the contract. These services are recorded in distribution and marketing fees on the combined statements of operations. A summary of these expenses is included below: Three months ended June 30, 2020 Three months ended June 30, 2019 Six months ended June 30, 2020 Six months ended June 30, 2019 Amount Recognized for Custody Services $ 106,162 $ 89,371 $ 184,034 $ 173,420 Amount of Custody Services Waived $ 2,607 $ 5,951 $ 15,342 $ 19,567 Amount Recognized for Distribution Services $ 35,719 $ 35,502 $ 79,422 $ 73,407 Amount of Distribution Services Waived $ 1,005 $ 2,294 $ 2,475 $ 3,900 Amount Recognized for Brokerage Commissions $ - $ 13,144 $ - $ 41,272 Amount of Brokerage Commissions Waived $ - $ - $ - $ - Amount Recognized for Wilmington Trust $ - $ - $ - $ - Amount of Wilmington Trust Waived $ - $ - $ - $ - Amount Recognized for TCP $ 22,500 $ - $ 45,000 $ - Amount of TCP Waived $ 1,647 $ - $ 1,777 $ - 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 and TAGS. Refer to the accompanying separate financial statements for each Fund for more detailed information. For the periods represented by the financial statements herein the operations of the Trust contain the results of CORN, SOYB, CANE, WEAT, and TAGS except for eliminations for TAGS as explained below for the months during which each Fund was in operation. 11 Table of Contents 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 Funds. The Trust eliminates the shares of the other series of the Trust owned by the Teucrium Agricultural Fund from its combined statements of assets and liabilities. The Trust eliminates the net change in unrealized appreciation or depreciation on securities owned by the Teucrium Agricultural Fund 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 of TAGS. 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 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. Beginning on August 21, 2019, brokerage commission expenses were recognized on a per-trade basis. The half-turn is recognized as an unrealized loss on the combined 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 combined statements of operations when a contract is sold. 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 the 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 in cash and cash equivalents cash on the combined statements of cash flows. Accretion on these investments are 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 are recognized using the effective interest method in U.S. dollars and included in interest income on the combined statements of operations. The Sponsor adopted ASC 606, Revenue from Contracts With Customers, for the year ended December 31, 2018. The adoption did not have a material impact on the financial statements of the Trust or the Funds. Brokerage Commissions Beginning on August 21, 2019, the Sponsor began recognizing the expense for brokerage commissions for futures contract trades on a per-trade basis. Prior to the change, brokerage commissions on all open commodity futures contracts were accrued on the trade date and on a full-turn basis. The below table shows the amounts included on the combined statements of operations as unrealized losses attributed to brokerage commissions as of June 30, 2020. CORN SOYB CANE WEAT TAGS TRUST Unrealized Loss Attributed to Brokerage Commissions $ 19,575 $ 5,144 $ 2,574 $ 6,165 $ - $ 33,458 Total Brokerage Commissions paid including unrealized loss $ 40,422 $ 10,145 $ 8,243 $ 14,159 $ 1 $ 72,970 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. 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 2017 to 2019, 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 June 30, 2020 and for the years ended December 31, 2019, 2018, and 2017. 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. 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 and six months ended June 30, 2020 and 2019. 12 Table of Contents 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. (EST) time on the day the order to create the basket is properly received. 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. (EST) on the day the order to redeem the basket is properly received. 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 receivable for shares sold. 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 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 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 is classified as cash and not as cash equivalents. Assets deposited with the bank may, at times, exceed federally insured limits. The Sponsor invested 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 invests 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. June 30, 2020 December 31, 2019 Money Market Funds $ 101,002,033 $ 3,060 Demand Deposit Savings Accounts 850,041 89,552,523 Commercial Paper 94,926,089 69,915,031 Treasury Bills - 6,611,271 Total cash and cash equivalents as presented on the combined Statement of Assets and Liabilities $ 196,778,163 $ 166,081,885 13 Table of Contents Payable for Purchases of Commercial Paper The amount recorded by the Trust for commercial paper transactions awaiting settlement, which 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 very small percentage of the aggregate purchase or sales price of the contract. Because of such low margin requirements, price fluctuations occurring in the futures markets may create profits and losses that, in relation to the amount invested, are greater than are 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. 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. From inception through September 11, 2019, the principal broker through which the Trust and TAGS can execute securities transaction for TAGS was the Bank of New York Mellon Capital Markets. Effective September 11, 2019, 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 Fund’s sponsor is Teucrium Trading, LLC (the “Sponsor”). The Sponsor is responsible for investing the assets of the Funds in accordance with the objectives and policies of each 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. In addition, the 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 Funds 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, FINRA (formerly the National Association of Securities Dealers) 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 Funds also pay 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. 14 Table of Contents 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 combined 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 Trust and the Funds, which are primarily the cost of performing accounting and financial reporting, regulatory compliance, and trading activities that are directly attributable to the Trust and the Funds. Such expenses are primarily included as distribution and marketing fees. Three months ended June 30, 2020 Three months ended June 30, 2019 Six months ended June 30, 2020 Six months ended June 30, 2019 Recognized Related Party Transactions $ 481,113 $ 426,792 $ 1,072,237 $ 1,117,600 Waived Related Party Transactions $ 84,225 $ 39,877 $ 184,907 $ 76,557 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 would be no recovery sought for the amounts below in any future period. CORN SOYB CANE WEAT TAGS TRUST Three months ended June 30, 2020 $ 108,468 $ 47,076 $ 76,539 $ - $ 11,681 $ 243,764 Three months ended June 30, 2019 $ - $ 33,391 $ 57,954 $ - $ 7,181 $ 98,526 Six months ended June 30, 2020 $ 195,575 $ 77,047 $ 113,892 $ - $ 30,503 $ 417,017 Six months ended June 30, 2019 $ 5,639 $ 96,303 $ 99,436 $ 2,500 $ 28,765 $ 232,643 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 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 and WEAT, 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. 15 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 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 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. On June 30, 2020 and December 31, 2019, in the opinion of the Trust, 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 Funds consider the average volume of the specific underlying futures contracts traded on the relevant exchange for the periods being reported. For the three and six months ended June 30, 2020 and year ended December 31, 2019, the Funds did not have any significant transfers between any of the levels of the fair value hierarchy, except for the DEC21 CBOT Wheat contracts held by WEAT which are reflected as a Level 2 investment due to the quarterly average daily volume for the contract for the quarter ended June 30, 2020. 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”) 2020-02: “Financial Instruments-Credit Losses (Topic 326) and Leases (Topic 842): Amendments to SEC Paragraphs Pursuant to SEC Staff Accounting Bulletin No. 119 and Update to SEC Section on Effective Date Related to Accounting Standards Update No. 2016-02, Leases (Topic 842). The amendment updates and adds language to ASU 2016-02. The amendments were adopted for the quarter ended March 31, 2020; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Funds. The FASB issued ASU 2020-01: Investments-Equity Securities (Topic 321), Investments-Equity Method and Joint Ventures (Topic 323), and Derivatives and Hedging (Topic 815)-Clarifying the Interactions between Topic 321, Topic 323, and Topic 815. The amendments clarify the treatment of transactions that require a company to apply or discontinue the equity method of accounting. The amendments were adopted early for the quarter ended March 31, 2020; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Funds. The FASB issued 2019-07: “Codification Updates to SEC Sections: Amendments to SEC Paragraphs Pursuant to SEC Final Rule Releases No. 33-10532, Disclosure Update and Simplification, and Nos. 33-10231 and 33-10442, Investment Company Reporting Modernization, and Miscellaneous Updates.” The amendments improve, update, and simplify the SEC’s regulations on financial reporting and disclosure. The amendments were adopted for the quarter ended September 30, 2019; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Funds. The FASB issued ASU 2019-04: “Codification Improvements to Topic 326, Financial Instruments - Credit Losses, Topic 815, Derivatives and hedging, and Topic 825, Financial Instruments.” The amendments clarify and improve areas of guidance related to the recently issued standards on credit losses, hedging, and recognition and measurement, specifically relating to ASU 2017-12. The amendments were early adopted for the quarter ended June 30, 2019; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Funds. The FASB issued ASU 2019-01: "Leases (Topic 842): Codification Improvements. These amendments align the guidance for fair value of underlying assets by lessors that are not manufacturers or dealers in Topic 842 with that of existing guidance. The amendments will be effective for fiscal years and interim periods beginning after December 15, 2019 and may be adopted early. The Sponsor is evaluating the impacts, but the amendment is not expected to have a material impact on the financial statements of the Trust or the Funds. 16 Table of Contents The FASB issued ASU 2018-13: “Fair Value Measurement (Topic 820): Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement. These amendments modify public and private company fair value disclosure requirements. While some disclosures were removed or modified, others were added. The guidance is a result of the FASB’s test of the principals developed to improve the effectiveness of disclosures in the notes to the financial statements. The amendments will be effective for fiscal years and interim periods beginning after December 15, 2019 and may be adopted early. The Sponsor is evaluating the impacts, specifically, the removal, modification and addition to the fair value disclosures of the Trust or the Funds. The FASB issued ASU 2018-05, “Income Taxes (Topic 740): Amendments to SEC Paragraphs Pursuant to SEC Staff Accounting Bulletin No. 118." These amendments add guidance to the FASB Accounting Standards Codification regarding the Tax Cuts and Jobs Act (Act). The amendments were adopted for the quarter ended March 31, 2018; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Funds. The FASB issued ASU 2017-13, “Revenue Recognition (Topic 605), Leases (Topic 840), and Leases (Topic 842): Amendments to SEC Paragraphs Pursuant to the Staff Announcement at the July 20, 2017 EITF Meeting and Rescission of Prior SEC Staff Announcements and Observer Comments”. The amendment amends the early adoption date option for certain companies related to adoption of ASU No. 2014-09 and ASU No. 2016-02. The SEC staff stated the SEC would not object to a public business entity that otherwise would not meet the definition of a public business entity except for a requirement to include or the inclusion of its financial statements or financial information in another entity’s filing with the SEC adopting ASC Topic 842 for fiscal years beginning after December 15, 2019, and interim periods within fiscal years beginning after December 15, 2020. This amendment is not expected to have a material impact on the financial statements and disclosures of the Trust or the Funds. The FASB issued ASU 2017-12, “Derivatives and Hedging (Topic 815): Targeted Improvements to Accounting for Hedging Activities”. These amendments refine and expand hedge accounting for both financial (e.g., interest rate) and commodity risks. Its provisions create more transparency around how economic results are presented, both on the face of the financial statements and in the footnotes. It also makes certain targeted improvements to simplify the application of hedge accounting guidance. The amendments were adopted for the quarter ended March 31, 2019; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Funds. The FASB issued ASU 2016-02, “Leases (Topic 842).” The amendments in this update increase transparency and comparability among organizations by recognizing lease assets and lease liabilities on the balance sheet and disclosing key information about leasing arrangements. The amendments were adopted for the quarter ended March 31, 2019; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Funds. 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 June 30, 2020 and December 31, 2019: June 30, 2020 Assets: Level 1 Level 2 Level 3 Balance as of June 30, 2020 Cash Equivalents $ 195,928,122 $ - $ - $ 195,928,122 Commodity Futures Contracts Corn futures contracts 510,002 - - 510,002 Soybean futures contracts 322,552 - - 322,552 Sugar futures contracts 93,126 - - 93,126 Total $ 196,853,802 $ - $ - $ 196,853,802 Liabilities Level 1 Level 2 Level 3 Balance as of June 30, 2020 Commodity Futures Contracts Corn futures contracts $ 2,519,152 $ - $ - $ 2,519,152 Soybean futures contracts 200,208 - - 200,208 Sugar futures contracts 212,606 - - 212,606 Wheat futures contracts 1,282,580 533,160 - 1,815,740 Total $ 4,214,546 $ 533,160 $ - $ 4,747,706 17 Table of Contents December 31, 2019 Assets: Level 1 Level 2 Level 3 Balance as of December 31, 2019 Cash Equivalents $ 76,529,362 $ - $ - $ 76,529,362 Commodity Futures Contracts Corn futures contracts 1,365,055 - - 1,365,055 Soybean futures contracts 931,896 - - 931,896 Sugar futures contracts 347,429 - - 347,429 Wheat futures contracts 5,068,476 - - 5,068,476 Total $ 84,242,218 $ - $ - $ 84,242,218 Liabilities Level 1 Level 2 Level 3 Balance as of December 31, 2019 Commodity Futures Contracts Corn futures contracts $ 581,574 $ - $ - $ 581,574 For the period ending June 30, 2020 and year ended December 31, 2019, the Funds did not have any significant transfers between any of the levels of the fair value hierarchy, except for the DEC21 CBOT Wheat contracts held by WEAT which are reflected as a Level 2 investment due to the quarterly average daily volume for the contract. 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 counter-party risk due to inability of its counterparties to meet the terms of their contracts. For the three and six months ended June 30, 2020 and year ended December 31, 2019, the Funds invested only in commodity futures contracts specifically related to each Fund. Futures Contracts The Funds are subject to commodity 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 counter-party 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 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 FCM, ED&F Man as of June 30, 2020 and December 31, 2019. 18 Table of Contents Offsetting of Financial Assets and Derivative Assets as of June 30, 2020 (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 $ 510,002 $ - $ 510,002 $ 510,002 $ - $ - Soybean futures contracts $ 322,552 $ - $ 322,552 $ 200,208 $ - $ 122,344 Sugar futures contracts $ 93,126 $ - $ 93,126 $ 93,126 $ - $ - Offsetting of Financial Liabilities and Derivative Liabilities as of June 30, 2020 (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 $ 2,519,152 $ - $ 2,519,152 $ 510,002 $ 2,009,150 $ - Soybean futures contracts $ 200,208 $ - $ 200,208 $ 200,208 $ - $ - Sugar futures contracts $ 212,606 $ - $ 212,606 $ 93,126 $ 119,480 $ - Wheat futures contracts $ 1,815,740 $ - $ 1,815,740 $ - $ 1,815,740 $ - Offsetting of Financial Assets and Derivative Assets as of December 31, 2019 (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 $ 1,365,055 $ - $ 1,365,055 $ 581,574 $ - $ 783,481 Soybean futures contracts $ 931,896 $ - $ 931,896 $ - $ 643,808 $ 288,088 Sugar futures contracts $ 347,429 $ - $ 347,429 $ - $ 237,908 $ 109,521 Wheat futures contracts $ 5,068,476 $ - $ 5,068,476 $ - $ 4,258,410 $ 810,066 19 Table of Contents Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2019 (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 $ 581,574 $ - $ 581,574 $ 581,574 $ - $ - The following is a summary of realized and unrealized gains (losses) of the derivative instruments utilized by the Trust: Three months ended June 30, 2020 Realized Loss on Commodity Futures Contracts Net Change in Unrealized Appreciation (Depreciation) on Commodity Futures Contracts Commodity Price Corn futures contracts $ ( 5,200,091 ) $ 4,223,848 Soybean futures contracts ( 861,903 ) 1,484,213 Sugar futures contracts ( 1,239,596 ) 1,689,036 Wheat futures contracts ( 285,793 ) ( 5,884,890 ) Total commodity futures contracts $ (7,587,383 ) $ 1,512,207 Three months ended June 30, 2019 Realized Loss on Commodity Futures Contracts Net Change in Unrealized Appreciation (Depreciation) on Commodity Futures Contracts Commodity Price Corn futures contracts $ ( 2,187,325 ) $ 6,531,538 Soybean futures contracts ( 1,187,050 ) 1,746,950 Sugar futures contracts ( 68,701 ) ( 269,125 ) Wheat futures contracts ( 4,271,888 ) 9,268,062 Total commodity futures contracts $ (7,714,964 ) $ 17,277,425 20 Table of Contents Six months ended June 30, 2020 Realized (Loss) Gain on Commodity Futures Contracts Net Change in Unrealized Depreciation on Commodity Futures Contracts Commodity Price Corn futures contracts $ ( 6,779,194 ) $ ( 2,792,631 ) Soybean futures contracts ( 1,718,118 ) ( 809,552 ) Sugar futures contracts ( 947,539 ) ( 466,909 ) Wheat futures contracts 167,515 ( 6,884,216 ) Total commodity futures contracts $ (9,277,336 ) $ (10,953,308 ) Six months ended June 30, 2019 Realized (Loss) Gain on Commodity Futures Contracts Net Change in Unrealized Appreciation (Depreciation) on Commodity Futures Contracts Commodity Price Corn futures contracts $ ( 3,093,050 ) $ 4,416,538 Soybean futures contracts ( 1,153,412 ) 1,242,075 Sugar futures contracts 292,667 ( 209,093 ) Wheat futures contracts ( 8,367,250 ) 7,151,175 Total commodity futures contracts $ (12,321,045 ) $ 12,600,695 Volume of Derivative Activities The average notional market value categorized by primary underlying risk for the futures contracts held was $ 161.5 million and $ 175.1 million for the three months ended June 30, 2020 and 2019 and $ 154.9 million and $ 160.3 million for the six months ended June 30, 2020 and 2019. Note 6 - Organizational and Offering Costs Expenses incurred in organizing of the Trust and the initial offering of the shares, 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: June 30, 2020 Outstanding Shares Net Assets Teucrium Corn Fund 7,125,004 $ 88,377,671 Teucrium Soybean Fund 4,025,004 56,286,250 Teucrium Sugar Fund 1,550,004 8,873,365 Teucrium Wheat Fund 9,125,004 45,946,643 Teucrium Agricultural Fund: Net assets including the investment in the Underlying Funds 65,502 1,047,976 Less: Investment in the Underlying Funds ( 1,045,229 ) Net for the Fund in the combined net assets of the Trust 2,747 Total $ 199,486,676 21 Table of Contents December 31, 2019 Outstanding Shares Net Assets Teucrium Corn Fund 5,075,004 $ 75,220,190 Teucrium Soybean Fund 1,775,004 28,135,131 Teucrium Sugar Fund 1,750,004 12,313,180 Teucrium Wheat Fund 8,950,004 52,236,196 Teucrium Agricultural Fund: Net assets including the investment in the Underlying Funds 75,002 1,478,780 Less: Investment in the Underlying Funds ( 1,476,880 ) Net for the Fund in the combined net assets of the Trust 1,900 Total $ 167,906,597 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 June 30, 2020 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: The impact of COVID-19 is evolving rapidly and such events can be highly disruptive to economies and markets. The impact of COVID-19 to the Trust and the Funds is described in more detail in Part 2 of this 10-Q. On July 20, 2020, the Sponsor opened interest-bearing accounts for CORN, SOYB, CANE, and WEAT, with Capital One Bank through American Deposit Management Company. Balances in the accounts may at times exceed FDIC insurance limits. CORN: On July 20, 2020, the Sponsor opened an interest-bearing account with Capital One Bank through American Deposit Management Company. Balances in the account may at times exceed FDIC insurance limits. SOYB: On July 20, 2020, the Sponsor opened an interest-bearing account with Capital One Bank through American Deposit Management Company. Balances in the account may at times exceed FDIC insurance limits. The total net assets for the fund increased by $ 14,654,476 , or 26 %, for the period June 30, 2020 through August 6, 2020. This was driven by a 25% increase in the shares outstanding and by a 0.5% increase in the net asset value per share. This is inclusive of a 300,000 share create that was placed on August 6, 2020, which created a receivable of $ 4,214,310 which settles August 7, 2020. CANE: On July 20, 2020, the Sponsor opened an interest-bearing account with Capital One Bank through American Deposit Management Company. Balances in the account may at times exceed FDIC insurance limits. The total net assets for the fund increased by $ 2,555,133 , or 29 %, for the period June 30, 2020 through August 6, 2020. This was driven by a 21% increase in the shares outstanding and by a 6 % increase in the net asset value per share. WEAT: On July 20, 2020, the Sponsor opened an interest-bearing account with Capital One Bank through American Deposit Management Company. Balances in the account may at times exceed FDIC insurance limits. TAGS: Nothing to report. 22 Table of Contents TEUCRIUM CORN FUND STATEMENTS OF ASSETS AND LIABILITIES June 30, 2020 December 31, 2019 (Unaudited) Assets Cash and cash equivalents $ 92,135,308 $ 74,521,123 Interest receivable 1,664 106 Other assets 48,494 - Equity in trading accounts: Commodity futures contracts 510,002 1,365,055 Due from broker 9,788,953 4,252 Total equity in trading accounts 10,298,955 1,369,307 Total assets 102,484,421 75,890,536 Liabilities Management fee payable to Sponsor 53,543 65,233 Payable for purchases of commercial paper 7,495,500 - Other liabilities 7,222 23,539 Capital shares payable 4,031,333 - Equity in trading accounts: Commodity futures contracts 2,519,152 581,574 Total liabilities 14,106,750 670,346 Net assets $ 88,377,671 $ 75,220,190 Shares outstanding 7,125,004 5,075,004 Shares Authorized 16,650,000 10,125,000 Net asset value per share $ 12.40 $ 14.82 Market value per share $ 12.40 $ 14.80 The accompanying notes are an integral part of these financial statements. 23 Table of Contents T EUCRIUM CORN FUND SCHEDULE OF INVESTMENTS June 30, 2020 (Unaudited) Percentage of Description: Assets Fair Value Net Assets Shares Cash equivalents Money market funds Fidelity Institutional Money Market Funds - Government Portfolio (cost $41,818,901) $ 41,818,901 47.32 % 41,818,901 Blackrock Liquidity FedFund - Institutional Class (cost $2,627,990) 2,627,990 2.97 2,627,990 Total money market funds (cost: $44,446,891) $ 44,446,891 50.29 % Principal Amount Commercial Paper Bayer Corporation 2.15% (cost: $4,973,672 due 7/27/2020) $ 4,992,309 5.65 % 5,000,000 BASF SE 1.34% (cost: $4,988,362 due 7/06/2020) 4,999,076 5.66 5,000,000 CNH Industrial Capital LLC 2.01% (cost: $2,491,806 due 7/17/2020) 2,497,778 2.82 2,500,000 FMC Technologies, Inc. 1.76% (cost: $4,986,511 due 7/27/2020) 4,993,681 5.65 5,000,000 FMC Technologies, Inc. 1.51% (cost: $7,490,938 due 7/01/2020) 7,500,000 8.48 7,500,000 Jabil Inc. 0.75% (cost: $2,498,229 due 7/08/2020) 2,499,635 2.83 2,500,000 Walgreens Boots Alliance, Inc. 0.43% (cost: $2,497,940 due 8/24/2020) 2,498,388 2.83 2,500,000 General Motors Financial Company, Inc. 0.53% (cost: $4,998,381 due 7/16/2020) 4,998,896 5.66 5,000,000 Hyundai Capital America, Inc. 0.56% (cost: $2,498,095 due 8/14/2020) 2,498,289 2.83 2,500,000 General Motors Financial Company, Inc. 1.01% (cost: $2,493,758 due 9/23/2020) 2,494,109 2.82 2,500,000 Hyundai Capital America, Inc. 0.54% (cost: $7,495,500 due 8/10/2020) 7,495,500 8.48 7,500,000 Total Commercial Paper (cost: $47,413,192) $ 47,467,661 53.71 % Total cash equivalents $ 91,914,552 104.00 % Notional Amount (Long Exposure) Commodity futures contracts United States corn futures contracts CBOT corn futures DEC21 (1,658 contracts) $ 510,002 0.58 % $ 30,921,700 Percentage of Notional Amount Description: Liabilities Fair Value Net Assets (Long Exposure) Commodity futures contracts United States corn futures contracts CBOT corn futures SEP20 (1,812 contracts) $ 435,054 0.49 % $ 30,939,900 CBOT corn futures DEC20 (1,513 contracts) 2,084,098 2.36 26,515,325 Total commodity futures contracts $ 2,519,152 2.85 % $ 57,455,225 The accompanying notes are an integral part of these financial statements. 24 Table of Contents T EUCRIUM CORN FUND SCHEDULE OF INVESTMENTS December 31, 2019 Percentage of Description: Assets Fair Value Net Assets Shares Cash equivalents Money market funds Fidelity Institutional Money Market Funds - Government Portfolio (cost $102) $ 102 0.00 % 102 Principal Amount U.S. Treasury Obligations U.S. Treasury Bills 1.53% (cost: $3,263,392 due 01/30/2020) (a)(b) $ 3,264,182 4.34 % 3,268,000 Commercial Paper Broadcom Inc. 2.01% (cost: $4,984,445 due 01/09/2020) $ 4,997,778 6.65 % 5,000,000 CNH Industrial Capital LLC 2.12% (cost: $4,975,210 due 01/10/2020) 4,997,375 6.65 5,000,000 FMC Technologies, Inc. 1.93% (cost: $4,976,267 due 02/04/2020) 4,990,933 6.64 5,000,000 FMC Technologies, Inc. 2.01% (cost: $4,977,779 due 03/06/2020) 4,981,945 6.62 5,000,000 General Motors Financial Company, Inc. 2.17% (cost: $2,486,562 due 01/02/2020) 2,499,851 3.32 2,500,000 General Motors Financial Company, Inc. 2.15% (cost: $2,487,131 due 01/06/2020) 2,499,261 3.32 2,500,000 General Motors Financial Company, Inc. 2.16% (cost: $4,973,547 due 01/15/2020) 4,995,839 6.64 5,000,000 Jabil Inc. 2.15% (cost: $2,489,202 due 02/28/2020) 2,491,421 3.31 2,500,000 Royal Caribbean Cruises Ltd. 2.12% (cost: $2,487,750 due 01/09/2020) 2,498,833 3.32 2,500,000 Total Commercial Paper (cost: $34,837,893) $ 34,953,236 46.47 % Total Cash Equivalents $ 38,217,520 50.81 % Notional Amount (Long Exposure) Commodity futures contracts United States corn futures contracts CBOT corn futures MAY20 (1,334 contracts) $ 583,610 0.77 % $ 26,329,825 CBOT corn futures JUL20 (1,126 contracts) 781,445 1.04 22,576,300 Total commodity futures contracts $ 1,365,055 1.81 % $ 48,906,125 Percentage of Notional Amount Description: Liabilities Fair Value Net Assets (Long Exposure) Commodity futures contracts CBOT corn futures DEC20 (1,308 contracts) $ 581,574 0.77 % $ 26,323,500 (a) Discount yield at the time of purchase inclusive of collateral fees. (b) The security is held by the broker as collateral for open futures contracts. The accompanying notes are an integral part of these financial statements. 25 Table of Contents T EUCRIUM CORN FUND STATEMENTS OF OPERATIONS (Unaudited) Three months ended Three months ended Six months ended Six months ended June 30, 2020 June 30, 2019 June 30, 2020 June 30, 2019 Income Realized and unrealized gain (loss) on trading of commodity futures contracts: Realized loss on commodity futures contracts $ ( 5,200,091 ) $ ( 2,187,325 ) $ ( 6,779,194 ) $ ( 3,093,050 ) Net change in unrealized appreciation or (depreciation) on commodity futures contracts 4,223,848 6,531,538 ( 2,792,631 ) 4,416,538 Interest income 154,141 474,635 443,599 853,579 Total (loss) income ( 822,102 ) 4,818,848 ( 9,128,226 ) 2,177,067 Expenses Management fees 147,767 176,715 318,564 316,837 Professional fees 209,862 145,210 339,668 243,455 Distribution and marketing fees 291,920 285,848 620,098 484,262 Custodian fees and expenses 54,528 35,343 91,856 61,966 Business permits and licenses fees 29,554 3,534 32,969 9,139 General and administrative expenses 57,338 27,483 82,958 52,443 Brokerage commissions - 5,301 - 18,768 Other expenses - 3,534 - 6,337 Total expenses 790,969 682,968 1,486,113 1,193,207 Expenses waived by the Sponsor ( 108,468 ) - ( 195,575 ) ( 5,639 ) Total expenses, net 682,501 682,968 1,290,538 1,187,568 Net (loss) income $ ( 1,504,603 ) $ 4,135,880 $ ( 10,418,764 ) $ 989,499 Net (loss) income per share $ ( 0.55 ) $ 1.18 $ ( 2.42 ) $ 0.29 Net (loss) income per weighted average share $ ( 0.31 ) $ 0.93 $ ( 2.14 ) $ 0.25 Weighted average shares outstanding 4,890,389 4,439,564 4,862,504 3,993,650 The accompanying notes are an integral part of these financial statements. 26 Table of Contents T EUCRIUM CORN FUND STATEMENTS OF CHANGES IN NET ASSETS (Unaudited) Six months ended Six months ended June 30, 2020 June 30, 2019 Operations Net (loss) income $ ( 10,418,764 ) $ 989,499 Capital transactions Issuance of Shares 42,543,773 40,556,488 Redemption of Shares ( 18,967,528 ) ( 1,551,650 ) Total capital transactions 23,576,245 39,004,838 Net change in net assets 13,157,481 39,994,337 Net assets, beginning of period $ 75,220,190 $ 56,379,057 Net assets, end of period $ 88,377,671 $ 96,373,394 Net asset value per share at beginning of period $ 14.82 $ 16.11 Net asset value per share at end of period $ 12.40 $ 16.40 Creation of Shares 3,475,000 2,475,000 Redemption of Shares 1,425,000 100,000 The accompanying notes are an integral part of these financial statements. 27 Table of Contents T EUCRIUM CORN FUND STATEMENTS OF CASH FLOWS (Unaudited) Six months ended Six months ended June 30, 2020 June 30, 2019 Cash flows from operating activities: Net (loss) income $ ( 10,418,764 ) $ 989,499 Adjustments to reconcile net (loss) income to net cash (used in) provided by operating activities: Net change in unrealized appreciation (depreciation) on commodity futures contracts 2,792,631 ( 4,416,538 ) Changes in operating assets and liabilities: Due from broker ( 9,784,701 ) 3,730,196 Interest receivable ( 1,558 ) ( 526 ) Other assets ( 48,494 ) ( 50,304 ) Due to broker - 5,231,225 Management fee payable to Sponsor ( 11,690 ) 22,103 Payable for purchases of commercial paper 7,495,500 ( 4,981,957 ) Other liabilities ( 16,317 ) ( 18,512 ) Net cash (used in) provided by operating activities ( 9,993,393 ) 505,186 Cash flows from financing activities: Proceeds from sale of Shares 42,543,773 40,556,488 Redemption of Shares ( 14,936,195 ) ( 1,551,650 ) Net cash provided by financing activities 27,607,578 39,004,838 Net change in cash and cash equivalents 17,614,185 39,510,024 Cash and cash equivalents, beginning of period 74,521,123 58,910,133 Cash and cash equivalents, end of period $ 92,135,308 $ 98,420,157 The accompanying notes are an integral part of these financial statements. 28 Table of Contents N OTES TO FINANCIAL STATEMENTS June 30, 2020 (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 May 1, 2020. The registration statement for CORN registered an additional 10,000,000 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 and six months ended June 30, 2020 are not necessarily indicative of the results to be expected for the full year ending December 31, 2020. 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. Bank N.A. as the Custodian for the Funds. The principal business address for U.S. Bank N.A is 1555 North Rivercenter Drive, Suite 302, Milwaukee, Wisconsin 53212. U.S. Bank N.A. is a Wisconsin state-chartered bank subject to regulation by the Board of Governors of the Federal Reserve System and the Wisconsin State Banking Department. The principal address for U.S. Bancorp Fund Services, LLC doing business as U.S. Bank Global Fund Services ("Global Fund Services") is 615 E. Michigan Street, Milwaukee, WI 53202. In addition, effective on the Conversion Date, Global Fund Services, a wholly owned subsidiary of U.S. Bank, commenced serving as administrator for each Fund, performing certain administrative and accounting services and preparing certain SEC reports on behalf of the Funds, and also became the registrar and transfer agent for each Fund’s Shares. For such services, U.S. Bank and Global Fund Services will receive an asset-based fee, subject to a minimum annual fee. 29 Table of Contents 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 0.06% of average gross assets on the first $250 million, 0.05% on the next $250 million, 0.04% on the next $500 million and 0.03% on the balance over $1 billion annually. A combined minimum annual fee of up to $64,500 for custody, transfer agency, accounting and administrative services is assessed per Fund . These services are recorded in 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 the Fund’s average daily net assets and an aggregate annual fee of $100,000 for all Teucrium 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 . T hese services are recorded in 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. Additionally, Foreside Distributors, LLC performs certain distribution consulting services pursuant to a Distribution Consulting Agreement with the Trust's Sponsor. ED&F Man Capital Markets, Inc. (“ED&F Man”) serves as the Underlying Funds’ clearing broker to execute and clear the Underlying Funds’ futures and provide other brokerage-related services. ED&F Man is registered as an FCM with the U.S. CFTC and is a member of the NFA. ED&F Man is also registered as a broker/dealer with the U.S. Securities and Exchange Commission and is a member of the FINRA. ED&F Man is a clearing member 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 ED&F Man is paid $9.00 per round turn . Prior to August 21, 2019, these expenses were recorded in brokerage commissions on the statements of operations. Beginning on August 21, 2019, these expenses were 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 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. The Sponsor employs Thales Capital Partners LLC (TCP) as the Marketing Agent. TCP is registered as a Broker-Dealer with the SEC and a member of Financial Industry Regulatory Authority (FINRA) and SIPC. TCP receives an annual fee of $90,000 and an additional 0.0015% of average daily net assets in referred accounts for distribution and solicitation-related services . This additional fee is determined by an agreed upon level of assets at the time of signing the contract. These services are recorded in distribution and marketing fees on the statements of operations. A summary of these expenses is included below: Three months ended June 30, 2020 Three months ended June 30, 2019 Six months ended June 30, 2020 Six months ended June 30, 2019 Amount Recognized for Custody Services $ 54,528 $ 35,343 $ 91,856 $ 61,966 Amount of Custody Services Waived $ - $ - $ 10,000 $ - Amount Recognized for Distribution Services $ 17,356 $ 13,564 $ 39,671 $ 27,301 Amount of Distribution Services Waived $ - $ - $ - $ - Amount Recognized for Brokerage Commissions $ - $ 5,301 $ - $ 18,768 Amount of Brokerage Commissions Waived $ - $ - $ - $ - Amount Recognized for Wilmington Trust $ - $ - $ - $ - Amount of Wilmington Trust Waived $ - $ - $ - $ - Amount Recognized for TCP $ 11,375 $ - $ 22,759 $ - Amount of TCP Waived $ - $ - $ - $ - 30 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. Beginning on August 21, 2019, brokerage commission expenses were 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. Changes in the appreciation or depreciation between periods are reflected in the statements of operations. Interest on cash equivalents with financial institutions are recognized on the accrual basis. The 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 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 are 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 are recognized using the effective interest method in U.S. dollars and included in interest income on the combined statements of operations. The Sponsor adopted ASC 606, Revenue from Contracts With Customers, for the year ended December 31, 2018. The adoption did not have a material impact on the financial statements of the Trust or the Funds. Brokerage Commissions Beginning on August 21, 2019, the Sponsor began recognizing the expense for brokerage commissions for futures contract trades on a per-trade basis. Prior to the change, brokerage commissions on all open commodity futures contracts were accrued on the trade date and on a full-turn basis. The below table shows the amounts included on the statements of operations as unrealized losses attributed to brokerage commissions as of June 30, 2020. CORN Unrealized Loss Attributed to Brokerage Commissions $ 19,575 Total Brokerage Commissions paid including unrealized loss $ 40,422 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 2017 to 2019, 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 June 30, 2020 and for the years ended December 31, 2019, 2018, and 2017. 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. 31 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 and six months ended June 30, 2020 and 2019. 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. (EST) 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. (EST) 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 receivable for shares sold. 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 Trust 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 invests 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. June 30, 2020 December 31, 2019 Money Market Funds $ 44,446,891 $ 102 Demand Deposit Savings Accounts 220,756 36,303,603 Commercial Paper 47,467,661 34,953,236 Treasury Bills - 3,264,182 Total cash and cash equivalents as presented on the Statement of Assets and Liabilities $ 92,135,308 $ 74,521,123 Payable for Purchases of Commercial Paper The amount recorded by the Fund for commercial paper transactions awaiting settlement, which 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. 32 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 very small percentage of the aggregate purchase or sales price of the contract. Because of such low margin requirements, price fluctuations occurring in the futures markets may create profits and losses that, in relation to the amount invested, are greater than are 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. (EST). The NAV for a particular trading day is released after 4:15 p.m. (EST). 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. (EST). 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 elected not to outsource services directly attributable to the Trust and the Funds such as accounting, financial reporting, regulatory compliance and trading activities. 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. 33 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, formerly the National Association of Securities Dealers, 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 statement of operations. All asset-based fees and expenses for the Funds are calculated on the prior day’s net assets. Three months ended June 30, 2020 Three months ended June 30, 2019 Six months ended June 30, 2020 Six months ended June 30, 2019 Recognized Related Party Transactions $ 233,294 $ 165,828 $ 534,936 $ 415,411 Waived Related Party Transactions $ 50,000 $ - $ 127,107 $ 4,500 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 would be no recovery sought for the amounts below in any future period: CORN Three months ended June 30, 2020 $ 108,468 Three months ended June 30, 2019 $ - Six months ended June 30, 2020 $ 195,575 Six months ended June 30, 2019 $ 5,639 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. 34 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 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 June 30, 2020 and December 31, 2019, in the opinion of the Trust and the Fund, the reported value of the Corn Futures Contracts traded on the CBOT fairly reflected the value of the Corn 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 June 30, 2020 and for the year ended December 31, 2019, 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”) 2020-02: “Financial Instruments-Credit Losses (Topic 326) and Leases (Topic 842): Amendments to SEC Paragraphs Pursuant to SEC Staff Accounting Bulletin No. 119 and Update to SEC Section on Effective Date Related to Accounting Standards Update No. 2016-02, Leases (Topic 842). The amendment updates and adds language to ASU 2016-02. The amendments were adopted for the quarter ended March 31, 2020; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued ASU 2020-01: Investments-Equity Securities (Topic 321), Investments-Equity Method and Joint Ventures (Topic 323), and Derivatives and Hedging (Topic 815)-Clarifying the Interactions between Topic 321, Topic 323, and Topic 815. The amendments clarify the treatment of transactions that require a company to apply or discontinue the equity method of accounting. The amendments were adopted early for the quarter ended March 31, 2020; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. 35 Table of Contents The FASB issued 2019-07: “Codification Updates to SEC Sections: Amendments to SEC Paragraphs Pursuant to SEC Final Rule Releases No. 33-10532, Disclosure Update and Simplification, and Nos. 33-10231 and 33-10442, Investment Company Reporting Modernization, and Miscellaneous Updates.” The amendments improve, update, and simplify the SEC’s regulations on financial reporting and disclosure. The amendments were adopted for the quarter ended September 30, 2019; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued ASU 2019-04: “Codification Improvements to Topic 326, Financial Instruments - Credit Losses, Topic 815, Derivatives and hedging, and Topic 825, Financial Instruments.” The amendments clarify and improve areas of guidance related to the recently issued standards on credit losses, hedging, and recognition and measurement, specifically relating to ASU 2017-12. The amendments were early adopted for the quarter ended June 30, 2019; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued ASU 2019-01: "Leases (Topic 842): Codification Improvements. These amendments align the guidance for fair value of underlying assets by lessors that are not manufacturers or dealers in Topic 842 with that of existing guidance. The amendments will be effective for fiscal years and interim periods beginning after December 15, 2019 and may be adopted early. The Sponsor is evaluating the impacts, but the amendment is not expected to have a material impact on the financial statements of the Trust or the Fund. The FASB issued ASU 2018-13: “Fair Value Measurement (Topic 820): Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement. These amendments modify public and private company fair value disclosure requirements. While some disclosures were removed or modified, others were added. The guidance is a result of the FASB’s test of the principals developed to improve the effectiveness of disclosures in the notes to the financial statements. The amendments will be effective for fiscal years and interim periods beginning after December 15, 2019 and may be adopted early. The Sponsor is evaluating the impacts, specifically, the removal, modification, and addition to the fair value disclosures of the Trust or the Fund. The FASB issued ASU 2018-05, “Income Taxes (Topic 740): Amendments to SEC Paragraphs Pursuant to SEC Staff Accounting Bulletin No. 118." These amendments add guidance to the FASB Accounting Standards Codification regarding the Tax Cuts and Jobs Act (Act). The amendments were adopted for the quarter ended March 31, 2018; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued ASU 2017-13, “Revenue Recognition (Topic 605), Leases (Topic 840), and Leases (Topic 842): Amendments to SEC Paragraphs Pursuant to the Staff Announcement at the July 20, 2017 EITF Meeting and Rescission of Prior SEC Staff Announcements and Observer Comments”. The amendment amends the early adoption date option for certain companies related to adoption of ASU No. 2014-09 and ASU No. 2016-02. The SEC staff stated the SEC would not object to a public business entity that otherwise would not meet the definition of a public business entity except for a requirement to include or the inclusion of its financial statements or financial information in another entity’s filing with the SEC adopting ASC Topic 842 for fiscal years beginning after December 15, 2019, and interim periods within fiscal years beginning after December 15, 2020. This amendment is not expected to have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued ASU 2017-12, “Derivatives and Hedging (Topic 815): Targeted Improvements to Accounting for Hedging Activities”. These amendments refine and expand hedge accounting for both financial (e.g., interest rate) and commodity risks. Its provisions create more transparency around how economic results are presented, both on the face of the financial statements and in the footnotes. It also makes certain targeted improvements to simplify the application of hedge accounting guidance. The amendments were adopted for the quarter ended March 31, 2019; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued ASU 2016-02, “Leases (Topic 842).” The amendments in this update increase transparency and comparability among organizations by recognizing lease assets and lease liabilities on the balance sheet and disclosing key information about leasing arrangements. The amendments were adopted for the quarter ended March 31, 2019; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. Note 4 - Fair Value Measurements The Fund’s assets and liabilities recorded at fair value have been categorized based upon a fair value hierarchy as described in the Fund’s significant accounting policies in Note 3. The following table presents information about the Fund’s assets and liabilities measured at fair value as of June 30, 2020 and December 31, 2019: June 30, 2020 Assets: Level 1 Level 2 Level 3 Balance as of June 30, 2020 Cash Equivalents $ 91,914,552 $ - $ - $ 91,914,552 Commodity Futures Contracts Corn futures contracts 510,002 - - 510,002 Total $ 92,424,554 $ - $ - $ 92,424,554 Liabilities Level 1 Level 2 Level 3 Balance as of June 30, 2020 Commodity Futures Contracts Corn futures contracts $ 2,519,152 $ - $ - $ 2,519,152 36 Table of Contents December 31, 2019 Assets: Level 1 Level 2 Level 3 Balance as of December 31, 2019 Cash Equivalents $ 38,217,520 $ - $ - $ 38,217,520 Commodity Futures Contracts Corn futures contracts 1,365,055 - - 1,365,055 Total $ 39,582,575 $ - $ - $ 39,582,575 Liabilities Level 1 Level 2 Level 3 Balance as of December 31, 2019 Cash Equivalents Commodity Futures Contracts Corn futures contracts $ 581,574 - - $ 581,574 For the period ending June 30, 2020 and year ended December 31, 2019, 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 three and six months ended June 30, 2020 and year ended December 31, 2019, the Fund invested only in commodity futures contracts. Futures Contracts The Fund is subject to commodity price risk in the normal course of pursuing its investment objectives. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date. The purchase and sale of futures contracts requires margin deposits with an FCM. Subsequent payments (variation margin) are made or received by the Fund each day, depending on the daily fluctuations in the value of the contract, and are recorded as unrealized gains or losses by the Fund. Futures contracts may reduce the Fund’s exposure to counterparty risk since futures contracts are exchange-traded; and the exchange’s clearinghouse, as the counterparty to all exchange-traded futures, guarantees the futures against default. The Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM’s proprietary activities. A customer’s cash and other equity deposited with an FCM are considered commingled with all other customer funds subject to the FCM’s segregation requirements. In the event of an FCM’s insolvency, recovery may be limited to the Fund’s pro rata share of segregated customer funds available. It is possible that the recovery amount could be less than the total of cash and other equity deposited. The following table discloses information about offsetting assets and liabilities presented in the statements of assets and liabilities to enable users of these financial statements to evaluate the effect or potential effect of netting arrangements for recognized assets and liabilities. These recognized assets and liabilities are presented as defined in FASB ASU No. 2011-11 “Balance Sheet (Topic 210): Disclosures about Offsetting Assets and Liabilities” and subsequently clarified in FASB ASU 2013-01 “Balance Sheet (Topic 210): Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities.” The following table also identifies the fair value amounts of derivative instruments included in the statements of assets and liabilities as derivative contracts, categorized by primary underlying risk and held by the FCM, ED&F Man as of June 30, 2020 and December 31, 2019. 37 Table of Contents Offsetting of Financial Assets and Derivative Assets as of June 30, 2020 (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 $ 510,002 $ - $ 510,002 $ 510,002 $ - $ - Offsetting of Financial Liabilities and Derivative Liabilities as of June 30, 2020 (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 $ 2,519,152 $ - $ 2,519,152 $ 510,002 $ 2,009,150 $ - Offsetting of Financial Assets and Derivative Assets as of December 31, 2019 (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 $ 1,365,055 $ - $ 1,365,055 $ 581,574 $ - $ 783,481 Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2019 (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 $ 581,574 $ - $ 581,574 $ 581,574 $ - $ - 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: 38 Table of Contents Three months ended June 30, 2020 Realized Loss on Commodity Futures Contracts Net Change in Unrealized Appreciation on Commodity Futures Contracts Commodity Price Corn futures contracts $ ( 5,200,091 ) $ 4,223,848 Three months ended June 30, 2019 Realized Loss on Commodity Futures Contracts Net Change in Unrealized Appreciation on Commodity Futures Contracts Commodity Price Corn futures contracts $ ( 2,187,325 ) $ 6,531,538 Six months ended June 30, 2020 Realized Loss on Commodity Futures Contracts Net Change in Unrealized Depreciation on Commodity Futures Contracts Commodity Price Corn futures contracts $ ( 6,779,194 ) $ ( 2,792,631 ) Six months ended June 30, 2019 Realized Loss on Commodity Futures Contracts Net Change in Unrealized Appreciation on Commodity Futures Contracts Commodity Price Corn futures contracts $ ( 3,093,050 ) $ 4,416,538 Volume of Derivative Activities The average notional market value categorized by primary underlying risk for the futures contracts held was $ 68.5 million and $ 78.9 million, respectively, for the three months ended June 30, 2020 and 2019, and $ 66.9 million and $ 67.3 million for the six months ended June 30, 2020 and 2019. 39 Table of Contents Note 6 - Financial Highlights The following tables present per unit performance data and other supplemental financial data for the three and six months ended June 30, 2020 and 2019. 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 Six months ended Six months ended June 30, 2020 June 30, 2019 June 30, 2020 June 30, 2019 Per Share Operation Performance Net asset value at beginning of period $ 12.95 $ 15.22 $ 14.82 $ 16.11 Income from investment operations: Investment income 0.03 0.11 0.10 0.22 Net realized and unrealized (loss) gain on commodity futures contracts ( 0.44 ) 1.22 ( 2.25 ) 0.37 Total expenses, net ( 0.14 ) ( 0.15 ) ( 0.27 ) ( 0.30 ) Net (decrease) increase in net asset value ( 0.55 ) 1.18 ( 2.42 ) 0.29 Net asset value at end of period $ 12.40 $ 16.40 $ 12.40 $ 16.40 Total Return ( 4.19 )% 7.75 % ( 16.31 )% 1.80 % Ratios to Average Net Assets (Annualized) Total expenses 5.35 % 3.86 % 4.67 % 3.77 % Total expenses, net 4.62 % 3.86 % 4.05 % 3.75 % Net investment loss ( 3.58 )% ( 1.17 )% ( 2.66 )% ( 1.06 )% 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 June 30, 2020 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 noted below: The impact of COVID-19 is evolving rapidly, and such events can be highly disruptive to economies and markets. The impact of COVID-19 to the Fund is described in more detail in Part 2 of this 10-Q. On July 20, 2020, the Sponsor opened an interest-bearing account with Capital One Bank through American Deposit Management Company. Balances in the account may at times exceed FDIC insurance limits. 40 Table of Contents T EUCRIUM SOYBEAN FUND STATEMENTS OF ASSETS AND LIABILITIES June 30, 2020 December 31, 2019 (Unaudited) Assets Cash and cash equivalents $ 53,470,857 $ 27,874,691 Interest receivable 1,251 42 Other assets 18,430 4,370 Equity in trading accounts: Commodity futures contracts 322,552 931,896 Due from broker 2,707,585 - Total equity in trading accounts 3,030,137 931,896 Total assets 56,520,675 28,810,999 Liabilities Management fee payable to Sponsor 30,354 23,139 Other liabilities 3,863 8,921 Equity in trading accounts: Commodity futures contracts 200,208 - Due to broker - 643,808 Total equity in trading accounts 200,208 643,808 Total liabilities 234,425 675,868 Net assets $ 56,286,250 $ 28,135,131 Shares outstanding 4,025,004 1,775,004 Shares authorized 7,175,000 9,700,000 Net asset value per share $ 13.98 $ 15.85 Market value per share $ 13.97 $ 15.83 The accompanying notes are an integral part of these financial statements. 41 Table of Contents TEUCRIUM SOYBEAN FUND SCHEDULE OF INVESTMENTS June 30, 2020 (Unaudited) Percentage of Description: Assets Fair Value Net Assets Shares Cash equivalents Money market funds Fidelity Institutional Money Market Funds - Government Portfolio (cost $30,743,332) $ 30,743,332 54.62 % 30,743,332 Blackrock Liquidity FedFund - Institutional Class (cost $36,222) 36,222 0.06 36,222 Total money market funds (cost: $30,779,554) $ 30,779,554 54.68 % Principal Amount Commercial Paper BASF SE 1.34% (cost: $2,494,181 due 7/06/2020) $ 2,499,538 4.44 % 2,500,000 CNH Industrial Capital LLC 2.01% (cost: $2,491,805 due 7/17/2020) 2,497,778 4.44 2,500,000 FMC Technologies, Inc. 1.76% (cost: $2,493,195 due 7/27/2020) 2,496,840 4.44 2,500,000 Jabil Inc. 0.75% (cost: $4,996,459 due 7/08/2020) 4,999,271 8.88 5,000,000 Walgreens Boots Alliance, Inc. 0.43% (cost: $2,497,940 due 8/24/2020) 2,498,388 4.44 2,500,000 Jabil Inc. 0.61% (cost: $2,497,035 due 8/28/2020) 2,497,543 4.44 2,500,000 Hyundai Capital America, Inc. 0.56% (cost: $2,498,095 due 8/14/2020) 2,498,289 4.44 2,500,000 General Motors Financial Company, Inc. 1.01% (cost: $2,493,758 due 9/23/2020) 2,494,109 4.43 2,500,000 Total Commercial Paper (cost: $22,462,468) 22,481,756 39.95 Total Cash Equivalents $ 53,261,310 94.63 % Notional Amount (Long Exposure) Commodity futures contracts United States soybean futures contracts CBOT soybean futures JAN21 (383 contacts) $ 322,552 0.57 % $ 16,942,963 Percentage of Notional Amount Description: Liabilities Fair Value Net Assets (Long Exposure) Commodity futures contracts United States soybean futures contracts CBOT soybean futures NOV20 (448 contracts) $ 150,837 0.27 % $ 19,762,400 CBOT soybean futures NOV21 (449 contracts) 49,371 0.09 19,582,012 Total commodity futures contracts $ 200,208 0.36 % $ 39,344,412 The accompanying notes are an integral part of these financial statements. 42 Table of Contents TEUCRIUM SOYBEAN FUND SCHEDULE OF INVESTMENTS December 31, 2019 Percentage of Description: Assets Fair Value Net Assets Shares Cash equivalents Money market funds Fidelity Institutional Money Market Funds - Government Portfolio (cost $103) $ 103 0.00 % 103 Principal Amount U.S. Treasury Obligations U.S. Treasury Bills 1.53% (cost: $714,992 due 01/30/2020) (a)(b) $ 715,165 2.54 % 716,000 Commercial Paper General Motors Financial Company, Inc. 2.15% (cost: $2,487,131 due 01/06/2020) $ 2,499,260 8.88 % 2,500,000 FMC Technologies, Inc. 1.93% (cost: $2,488,133 due 02/04/2020) 2,495,467 8.87 2,500,000 CNH Industrial Capital LLC 1.86% (cost: $2,493,962 due 01/06/2020) 2,499,358 8.89 2,500,000 Jabil Inc. 2.03% (cost: $2,488,637 due 02/28/2020) 2,491,864 8.86 2,500,000 Energy Transfer Operating, L.P. 1.99% (cost: $2,493,813 due 01/31/2020) 2,495,875 8.87 2,500,000 Total Commercial Paper (cost: $12,451,676) $ 12,481,824 44.37 % Total Cash Equivalents $ 13,197,092 46.91 % Notional Amount (Long Exposure) Commodity futures contracts United States soybean futures contracts CBOT soybean futures MAR20 (207 contracts) $ 345,319 1.23 % $ 9,889,425 CBOT soybean futures MAY20 (175 contracts) 247,987 0.88 8,476,563 CBOT soybean futures NOV20 (200 contracts) 338,590 1.20 9,787,500 Total commodity futures contracts $ 931,896 3.31 % $ 28,153,488 (a) Discount yield at the time of purchase inclusive of collateral fees. (b) The security is held by the broker as collateral for open futures contracts. The accompanying notes are an integral part of these financial statements. 43 Table of Contents T EUCRIUM SOYBEAN FUND STATEMENTS OF OPERATIONS (Unaudited) Three months ended Three months ended Six months ended Six months ended June 30, 2020 June 30, 2019 June 30, 2020 June 30, 2019 Income Realized and unrealized gain (loss) on trading of commodity futures contracts: Realized loss on commodity futures contracts $ ( 861,903 ) $ ( 1,187,050 ) $ ( 1,718,118 ) $ ( 1,153,412 ) Net change in unrealized appreciation or (depreciation) on commodity futures contracts 1,484,213 1,746,950 ( 809,552 ) 1,242,075 Interest income 55,191 184,260 160,418 352,252 Total income (loss) 677,501 744,160 ( 2,367,252 ) 440,915 Expenses Management fees 72,291 69,242 135,511 132,005 Professional fees 101,284 41,706 159,849 102,412 Distribution and marketing fees 135,606 152,042 227,765 272,238 Custodian fees and expenses 19,718 15,233 30,465 41,869 Business permits and licenses fees 8,675 5,345 12,468 9,738 General and administrative expenses 25,073 16,771 30,763 27,441 Brokerage commissions - 2,077 - 4,193 Other expenses - 692 - 2,051 Total expenses 362,647 303,108 596,821 591,947 Expenses waived by the Sponsor ( 47,076 ) ( 33,391 ) ( 77,047 ) ( 96,303 ) Total expenses, net 315,571 269,717 519,774 495,644 Net income (loss) $ 361,930 $ 474,443 $ ( 2,887,026 ) $ ( 54,729 ) Net loss per share $ ( 0.02 ) $ ( 0.07 ) $ ( 1.87 ) $ ( 0.48 ) Net income (loss) per weighted average share $ 0.17 $ 0.26 $ ( 1.51 ) $ ( 0.03 ) Weighted average shares outstanding 2,115,663 1,807,971 1,917,312 1,682,463 The accompanying notes are an integral part of these financial statements. 44 Table of Contents T EUCRIUM SOYBEAN FUND STATEMENTS OF CHANGES IN NET ASSETS (Unaudited) Six months ended Six months ended June 30, 2020 June 30, 2019 Operations Net loss $ ( 2,887,026 ) $ ( 54,729 ) Capital transactions Issuance of Shares 34,981,703 9,251,550 Redemption of Shares ( 3,943,558 ) ( 4,117,450 ) Total capital transactions 31,038,145 5,134,100 Net change in net assets 28,151,119 5,079,371 Net assets, beginning of period $ 28,135,131 $ 27,942,017 Net assets, end of period $ 56,286,250 $ 33,021,388 Net asset value per share at beginning of period $ 15.85 $ 16.20 Net asset value per share at end of period $ 13.98 $ 15.72 Creation of Shares 2,525,000 625,000 Redemption of Shares 275,000 250,000 The accompanying notes are an integral part of these financial statements. 45 Table of Contents T EUCRIUM SOYBEAN FUND STATEMENTS OF CASH FLOWS (Unaudited) Six months ended Six months ended June 30, 2020 June 30, 2019 Cash flows from operating activities: Net loss $ ( 2,887,026 ) $ ( 54,729 ) Adjustments to reconcile net loss to net cash (used in) provided by operating activities: Net change in unrealized appreciation or (depreciation) on commodity futures contracts 809,552 ( 1,242,075 ) Changes in operating assets and liabilities: Due from broker ( 2,707,585 ) 1,022,182 Interest receivable ( 1,209 ) ( 199 ) Other assets ( 14,060 ) ( 73,657 ) Due to broker ( 643,808 ) 738,351 Management fee payable to Sponsor 7,215 1,500 Other liabilities ( 5,058 ) ( 5,175 ) Net cash (used in) provided by operating activities ( 5,441,979 ) 386,198 Cash flows from financing activities: Proceeds from sale of Shares 34,981,703 9,251,550 Redemption of Shares ( 3,943,558 ) ( 4,117,450 ) Net cash provided by financing activities 31,038,145 5,134,100 Net change in cash and cash equivalents 25,596,166 5,520,298 Cash and cash equivalents beginning of period 27,874,691 26,774,939 Cash and cash equivalents end of period $ 53,470,857 $ 32,295,237 The accompanying notes are an integral part of these financial statements. 46 Table of Contents NOTES TO FINANCIAL STATEMENTS June 30, 2020 (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 30, 2018. The registration statement for SOYB registered an additional 5,000,000 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 and six months ended June 30, 2020 are not necessarily indicative of the results to be expected for the full year ending December 31, 2020. 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. Bank N.A. as the Custodian for the Funds. The principal business address for U.S. Bank N.A is 1555 North Rivercenter Drive, Suite 302, Milwaukee, Wisconsin 53212. U.S. Bank N.A. is a Wisconsin state-chartered bank subject to regulation by the Board of Governors of the Federal Reserve System and the Wisconsin State Banking Department. The principal address for U.S. Bancorp Fund Services, LLC doing business as U.S. Bank Global Fund Services ("Global Fund Services") is 615 E. Michigan Street, Milwaukee, WI 53202. In addition, effective on the Conversion Date, Global Fund Services, a wholly owned subsidiary of U.S. Bank, commenced serving as administrator for each Fund, performing certain administrative and accounting services and preparing certain SEC reports on behalf of the Funds, and also became the registrar and transfer agent for each Fund’s Shares. For such services, U.S. Bank and Global Fund Services will receive an asset-based fee, subject to a minimum annual fee. 47 Table of Contents 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 0.06% of average gross assets on the first $250 million, 0.05% on the next $250 million, 0.04% on the next $500 million and 0.03% on the balance over $1 billion annually. A combined minimum annual fee of up to $64,500 for custody, transfer agency, accounting and administrative services is assessed per Fund . These services are recorded in 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 the Fund’s average daily net assets and an aggregate annual fee of $100,000 for all Teucrium 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 . T hese services are recorded in 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. Additionally, Foreside Distributors, LLC performs certain distribution consulting services pursuant to a Distribution Consulting Agreement with the Trust's Sponsor. ED&F Man Capital Markets, Inc. (“ED&F Man”) serves as the Underlying Funds’ clearing broker to execute and clear the Underlying Funds’ futures and provide other brokerage-related services. ED&F Man is registered as an FCM with the U.S. CFTC and is a member of the NFA. ED&F Man is also registered as a broker/dealer with the U.S. Securities and Exchange Commission and is a member of the FINRA. ED&F Man is a clearing member 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 ED&F Man is paid $9.00 per round turn . Prior to August 21, 2019, these expenses were recorded in brokerage commissions on the statements of operations. Beginning on August 21, 2019, these expenses were 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 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. The Sponsor employs Thales Capital Partners LLC (TCP) as the Marketing Agent. TCP is registered as a Broker-Dealer with the SEC and a member of Financial Industry Regulatory Authority (FINRA) and SIPC. TCP receives an annual fee of $90,000 and an additional 0.0015% of average daily net assets in referred accounts for distribution and solicitation-related services . This additional fee is determined by an agreed upon level of assets at the time of signing the contract. These services are recorded in distribution and marketing fees on the statements of operations. A summary of these expenses is included below: Three months ended June 30, 2020 Three months ended June 30, 2019 Six months ended June 30, 2020 Six months ended June 30, 2019 Amount Recognized for Custody Services $ 19,718 $ 15,233 $ 30,465 $ 41,869 Amount of Custody Services Waived $ - $ - $ - $ 12,828 Amount Recognized for Distribution Services $ 6,478 $ 7,754 $ 13,361 $ 15,670 Amount of Distribution Services Waived $ - $ - $ - $ - Amount Recognized for Brokerage Commissions $ - $ 2,077 $ - $ 4,193 Amount of Brokerage Commissions Waived $ - $ - $ - $ - Amount Recognized for Wilmington Trust $ - $ - $ - $ - Amount of Wilmington Trust Waived $ - $ - $ - $ - Amount Recognized for TCP $ 3,600 $ - $ 7,101 $ - Amount of TCP Waived $ - $ - $ - $ - 48 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. Beginning on August 21, 2019, brokerage commission expenses were 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. Changes in the appreciation or depreciation between periods are reflected in the statements of operations. Interest on cash equivalents with financial institutions are recognized on the accrual basis. The 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 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 are 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 are recognized using the effective interest method in U.S. dollars and included in interest income on the combined statements of operations. The Sponsor adopted ASC 606, Revenue from Contracts With Customers, for the year ended December 31, 2018. The adoption did not have a material impact on the financial statements of the Trust or the Funds. Brokerage Commissions Beginning on August 21, 2019, the Sponsor began recognizing the expense for brokerage commissions for futures contract trades on a per-trade basis. Prior to the change, brokerage commissions on all open commodity futures contracts were accrued on the trade date and on a full-turn basis. The below table shows the amounts included on the statements of operations as unrealized losses attributed to brokerage commissions as of June 30, 2020. SOYB Unrealized Loss Attributed to Brokerage Commissions $ 5,144 Total Brokerage Commissions paid including unrealized loss $ 10,145 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 2017 to 2019, 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 June 30, 2020 and for the years ended December 31, 2019, 2018, and 2017. 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 and six months ended June 30, 2020 and 2019. 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. 49 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. (EST) 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. (EST) 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 receivable for shares sold. 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 Trust 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 invests 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. June 30, 2020 December 31, 2019 Money Market Funds $ 30,779,554 $ 103 Demand Deposit Savings Accounts 209,547 14,677,599 Commercial Paper 22,481,756 12,481,824 Treasury Bills - 715,165 Total cash and cash equivalents as presented on the Statement of Assets and Liabilities $ 53,470,857 $ 27,874,691 Due from/to Broker The amount recorded by the Fund for the amount due from and to the clearing broker includes, but is not limited to, cash held by the broker, amounts payable to the clearing broker related to open transactions, payables for commodities futures accounts liquidating to an equity balance on the clearing broker’s records and amounts of brokerage commissions paid and recognized as unrealized losses. Margin is the minimum amount of funds that must be deposited by a commodity interest trader with the trader’s broker to initiate and maintain an open position in futures contracts. A margin deposit acts to assure the trader’s performance of the futures contracts purchased or sold. Futures contracts are customarily bought and sold on initial margin that represents a very small percentage of the aggregate purchase or sales price of the contract. Because of such low margin requirements, price fluctuations occurring in the futures markets may create profits and losses that, in relation to the amount invested, are greater than are 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. 50 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. (EST). The NAV for a particular trading day is released after 4:15 p.m. (EST). 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. (EST). 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 elected not to outsource services directly attributable to the Trust and the Funds such as accounting, financial reporting, regulatory compliance and trading activities. 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, formerly the National Association of Securities Dealers, 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 statement of operations. All asset-based fees and expenses for the Funds are calculated on the prior day’s net assets. Three months ended June 30, 2020 Three months ended June 30, 2019 Six months ended June 30, 2020 Six months ended June 30, 2019 Recognized Related Party Transactions $ 94,179 $ 92,608 $ 186,829 $ 235,850 Waived Related Party Transactions $ 22,076 $ 15,831 $ 32,047 $ 31,537 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 would be no recovery sought for the amounts below in any future period: SOYB Three months ended June 30, 2020 $ 47,076 Three months ended June 30, 2019 $ 33,391 Six months ended June 30, 2020 $ 77,047 Six months ended June 30, 2019 $ 96,303 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. 51 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 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 June 30, 2020 and December 31, 2019, in the opinion of the Trust and the Fund, the reported value of the Soybean Futures Contracts traded on the CBOT fairly reflected the value of the Soybean Futures Contracts held by the Fund, with no adjustments 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 and six ended June 30, 2020 and for the year ended December 31, 2019, 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”) 2020-02: “Financial Instruments-Credit Losses (Topic 326) and Leases (Topic 842): Amendments to SEC Paragraphs Pursuant to SEC Staff Accounting Bulletin No. 119 and Update to SEC Section on Effective Date Related to Accounting Standards Update No. 2016-02, Leases (Topic 842). The amendment updates and adds language to ASU 2016-02. The amendments were adopted for the quarter ended March 31, 2020; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued ASU 2020-01: Investments-Equity Securities (Topic 321), Investments-Equity Method and Joint Ventures (Topic 323), and Derivatives and Hedging (Topic 815)-Clarifying the Interactions between Topic 321, Topic 323, and Topic 815. The amendments clarify the treatment of transactions that require a company to apply or discontinue the equity method of accounting. The amendments were adopted early for the quarter ended March 31, 2020; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued 2019-07: “Codification Updates to SEC Sections: Amendments to SEC Paragraphs Pursuant to SEC Final Rule Releases No. 33-10532, Disclosure Update and Simplification, and Nos. 33-10231 and 33-10442, Investment Company Reporting Modernization, and Miscellaneous Updates.” The amendments improve, update, and simplify the SEC’s regulations on financial reporting and disclosure. The amendments were adopted for the quarter ended September 30, 2019; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued ASU 2019-04: “Codification Improvements to Topic 326, Financial Instruments - Credit Losses, Topic 815, Derivatives and hedging, and Topic 825, Financial Instruments.” The amendments clarify and improve areas of guidance related to the recently issued standards on credit losses, hedging, and recognition and measurement, specifically relating to ASU 2017-12. The amendments were early adopted for the quarter ended June 30, 2019; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. 52 Table of Contents The FASB issued ASU 2019-01: "Leases (Topic 842): Codification Improvements. These amendments align the guidance for fair value of underlying assets by lessors that are not manufacturers or dealers in Topic 842 with that of existing guidance. The amendments will be effective for fiscal years and interim periods beginning after December 15, 2019 and may be adopted early. The Sponsor is evaluating the impacts, but the amendment is not expected to have a material impact on the financial statements of the Trust or the Fund. The FASB issued ASU 2018-13: “Fair Value Measurement (Topic 820): Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement. These amendments modify public and private company fair value disclosure requirements. While some disclosures were removed or modified, others were added. The guidance is a result of the FASB’s test of the principals developed to improve the effectiveness of disclosures in the notes to the financial statements. The amendments will be effective for fiscal years and interim periods beginning after December 15, 2019 and may be adopted early. The Sponsor is evaluating the impacts, specifically, the removal, modification and addition to the fair value disclosures of the Trust or the Fund. The FASB issued ASU 2018-05, “Income Taxes (Topic 740): Amendments to SEC Paragraphs Pursuant to SEC Staff Accounting Bulletin No. 118." These amendments add guidance to the FASB Accounting Standards Codification regarding the Tax Cuts and Jobs Act (Act). The amendments were adopted for the quarter ended March 31, 2018; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued ASU 2017-13, “Revenue Recognition (Topic 605), Leases (Topic 840), and Leases (Topic 842): Amendments to SEC Paragraphs Pursuant to the Staff Announcement at the July 20, 2017 EITF Meeting and Rescission of Prior SEC Staff Announcements and Observer Comments”. The amendment amends the early adoption date option for certain companies related to adoption of ASU No. 2014-09 and ASU No. 2016-02. The SEC staff stated the SEC would not object to a public business entity that otherwise would not meet the definition of a public business entity except for a requirement to include or the inclusion of its financial statements or financial information in another entity’s filing with the SEC adopting ASC Topic 842 for fiscal years beginning after December 15, 2019, and interim periods within fiscal years beginning after December 15, 2020. This amendment is not expected to have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued ASU 2017-12, “Derivatives and Hedging (Topic 815): Targeted Improvements to Accounting for Hedging Activities”. These amendments refine and expand hedge accounting for both financial (e.g., interest rate) and commodity risks. Its provisions create more transparency around how economic results are presented, both on the face of the financial statements and in the footnotes. It also makes certain targeted improvements to simplify the application of hedge accounting guidance. The amendments were adopted for the quarter ended March 31, 2019; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued ASU 2016-02, “Leases (Topic 842).” The amendments in this update increase transparency and comparability among organizations by recognizing lease assets and lease liabilities on the balance sheet and disclosing key information about leasing arrangements. The amendments were adopted for the quarter ended March 31, 2019; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. Note 4 - Fair Value Measurements The Fund’s assets and liabilities recorded at fair value have been categorized based upon a fair value hierarchy as described in the Fund’s significant accounting policies in Note 3. The following table presents information about the Fund’s assets and liabilities measured at fair value as of June 30, 2020 and December 31, 2019: June 30, 2020 Assets: Level 1 Level 2 Level 3 Balance as of June 30, 2020 Cash Equivalents $ 53,261,310 $ - $ - $ 53,261,310 Commodity Futures Contracts Soybean futures contracts 322,552 - - $ 322,552 Total $ 53,583,862 $ - $ - $ 53,583,862 Liabilities Level 1 Level 2 Level 3 Balance as of June 30, 2020 Commodity Futures Contracts Soybean futures contracts $ 200,208 $ - $ - $ 200,208 December 31, 2019 Assets: Level 1 Level 2 Level 3 Balance as of December 31, 2019 Cash Equivalents $ 13,197,092 $ - $ - $ 13,197,092 Commodity Futures Contracts Soybean futures contracts 931,896 - - $ 931,896 Total $ 14,128,988 $ - $ - $ 14,128,988 For the period ended June 30, 2020 and year ended December 31, 2019, 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. 53 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 three and six months ended June 30, 2020 and year ended December 31, 2019, the Fund invested only in commodity futures contracts. Futures Contracts The Fund is subject to commodity price risk in the normal course of pursuing its investment objectives. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date. The purchase and sale of futures contracts requires margin deposits with an FCM. Subsequent payments (variation margin) are made or received by the Fund each day, depending on the daily fluctuations in the value of the contract, and are recorded as unrealized gains or losses by the Fund. Futures contracts may reduce the Fund’s exposure to counterparty risk since futures contracts are exchange-traded; and the exchange’s clearinghouse, as the counterparty to all exchange-traded futures, guarantees the futures against default. The Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM’s proprietary activities. A customer’s cash and other equity deposited with an FCM are considered commingled with all other customer funds subject to the FCM’s segregation requirements. In the event of an FCM’s insolvency, recovery may be limited to the Fund’s pro rata share of segregated customer funds available. It is possible that the recovery amount could be less than the total of cash and other equity deposited. The following table discloses information about offsetting assets and liabilities presented in the statements of assets and liabilities to enable users of these financial statements to evaluate the effect or potential effect of netting arrangements for recognized assets and liabilities. These recognized assets and liabilities are presented as defined in FASB ASU No. 2011-11 “Balance Sheet (Topic 210): Disclosures about Offsetting Assets and Liabilities” and subsequently clarified in FASB ASU 2013-01 “Balance Sheet (Topic 210): Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities.” The following table also identifies the fair value amounts of derivative instruments included in the statements of assets and liabilities as derivative contracts, categorized by primary underlying risk and held by the FCM, ED&F Man as of June 30, 2020 and December 31, 2019. Offsetting of Financial Assets and Derivative Assets as of June 30, 2020 (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 Soybean futures contracts $ 322,552 $ - $ 322,552 $ 200,208 $ - $ 122,344 Offsetting of Financial Liabilities and Derivative Liabilities as of June 30, 2020 (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 $ 200,208 $ - $ 200,208 $ 200,208 $ - $ - 54 Table of Contents Offsetting of Financial Assets and Derivative Assets as of December 31, 2019 (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 Soybean futures contracts $ 931,896 $ - $ 931,896 $ - $ 643,808 $ 288,088 The following is a summary of realized and unrealized gains and losses of the derivative instruments utilized by the Fund: Three months ended June 30, 2020 Realized Loss on Commodity Futures Contracts Net Change in Unrealized Appreciation on Commodity Futures Contracts Commodity Price Soybean futures contracts $ ( 861,903 ) $ 1,484,213 Three months ended June 30, 2019 Realized Loss on Commodity Futures Contracts Net Change in Unrealized Appreciation on Commodity Futures Contracts Commodity Price Soybean futures contracts $ ( 1,187,050 ) $ 1,746,950 Six months ended June 30, 2020 Realized Loss on Commodity Futures Contracts Net Change in Unrealized Depreciation on Commodity Futures Contracts Commodity Price Soybean futures contracts $ ( 1,718,118 ) $ ( 809,552 ) Six months ended June 30, 2019 Realized Loss on Commodity Futures Contracts Net Change in Unrealized Depreciation on Commodity Futures Contracts Commodity Price Soybean futures contracts $ ( 1,153,412 ) $ 1,242,075 Volume of Derivative Activities The average notional market value categorized by primary underlying risk for all futures contracts held was $ 37.9 million and $ 29.4 million, respectively for the three months ended June 30, 2020 and 2019, and $ 31.0 million and $ 26.8 million for the six months ended June 30, 2020 and 2019. 55 Table of Contents Note 6 - Financial Highlights The following tables present per unit performance data and other supplemental financial data for the three and six months ended June 30, 2020 and 2019. This information has been derived from information presented in the financial statements. 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 Six months ended Six months ended June 30, 2020 June 30, 2019 June 30, 2020 June 30, 2019 Per Share Operation Performance Net asset value at beginning of period $ 14.00 $ 15.79 $ 15.85 $ 16.20 Income from investment operations: Investment income 0.03 0.10 0.08 0.21 Net realized and unrealized gain (loss) on commodity futures contracts 0.10 ( 0.02 ) ( 1.68 ) ( 0.39 ) Total expenses, net ( 0.15 ) ( 0.15 ) ( 0.27 ) ( 0.30 ) Net decrease in net asset value ( 0.02 ) ( 0.07 ) ( 1.87 ) ( 0.48 ) Net asset value at end of period $ 13.98 $ 15.72 $ 13.98 $ 15.72 Total Return ( 0.12 )% ( 0.44 )% ( 11.78 )% ( 2.96 )% Ratios to Average Net Assets (Annualized) Total expenses 5.02 % 4.38 % 4.40 % 4.48 % Total expenses, net 4.36 % 3.90 % 3.83 % 3.75 % Net investment loss ( 3.60 )% ( 1.24 )% ( 2.65 )% ( 1.08 )% 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 June 30, 2020 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 noted below: The impact of COVID-19 is evolving rapidly, and such events can be highly disruptive to economies and markets. The impact of COVID-19 to the Fund is described in more detail in Part 2 of this 10-Q. On July 20, 2020, the Sponsor opened an interest-bearing account with Capital One Bank through American Deposit Management Company. Balances in the account may at times exceed FDIC insurance limits. The total net assets for the fund increased by $ 14,654,476 , or 26 %, for the period June 30, 2020 through August 6, 2020. This was driven by a 25% increase in the shares outstanding and by a 0.5 % increase in the net asset value per share. This is inclusive of a 300,000 share create that was placed on August 6, 2020, which created a receivable of $ 4,214,310 which settles August 7, 2020. 56 Table of Contents TEUCRIUM SUGAR FUND STATEMENTS OF ASSETS AND LIABILITIES June 30, 2020 December 31, 2019 (Unaudited) Assets Cash and cash equivalents $ 8,145,967 $ 12,215,795 Interest receivable 337 28 Other assets 1,841 1,140 Equity in trading accounts: Commodity futures contracts 93,126 347,429 Due from broker 858,685 - Total equity in trading accounts 951,811 347,429 Total assets 9,099,956 12,564,392 Liabilities Management fee payable to Sponsor 7,246 10,609 Other liabilities 6,739 2,695 Equity in trading accounts: Commodity futures contracts 212,606 - Due to broker - 237,908 Total equity in trading accounts 212,606 237,908 Total liabilities 226,591 251,212 Net assets $ 8,873,365 $ 12,313,180 Shares outstanding 1,550,004 1,750,004 Shares authorized 9,225,000 9,725,000 Net asset value per share $ 5.72 $ 7.04 Market value per share $ 5.75 $ 7.02 The accompanying notes are an integral part of these financial statements. 57 Table of Contents TEUCRIUM SUGAR FUND SCHEDULE OF INVESTMENTS June 30, 2020 (Unaudited) Percentage of Description: Assets Fair Value Net Assets Shares Cash equivalents Money market funds Fidelity Institutional Money Market Funds - Government Portfolio (cost $5,428,388) $ 5,428,388 61.18 % 5,428,388 Blackrock Liquidity FedFund - Institutional Class (cost $14,230) 14,230 0.16 14,230 Total money market funds $ 5,442,618 61.34 % Principal Amount Commercial Paper FMC Technologies, Inc. 0.83% (cost: $2,498,444 due 7/13/20) $ 2,499,308 28.16 % 2,500,000 Total Cash Equivalents $ 7,941,926 89.50 % Notional Amount (Long Exposure) Commodity futures contracts United States sugar futures contracts ICE sugar futures MAY21 (194 contracts) $ 24,439 0.28 % $ 2,666,026 ICE sugar futures MAR22 (227 contracts) 68,687 0.77 3,089,016 Total commodity futures contracts $ 93,126 1.05 % $ 5,755,042 Percentage of Notional Amount Description: Liabilities Fair Value Net Assets (Long Exposure) Commodity futures contracts United States sugar futures contracts ICE sugar futures MAR21 (222 contracts) $ 212,606 2.40 % $ 3,122,918 The accompanying notes are an integral part of these financial statements. 58 Table of Contents TEUCRIUM SUGAR FUND SCHEDULE OF INVESTMENTS December 31, 2019 Percentage of Description: Assets Fair Value Net Assets Shares Cash equivalents Money market funds Fidelity Institutional Money Market Funds - Government Portfolio (cost $103) $ 103 0.00 % 103 Principal Amount U.S. Treasury Obligations U.S. Treasury Bills 1.53% (cost: $683,030 due 01/30/2020) (a)(b) $ 683,196 5.55 % 684,000 Commercial Paper FMC Technologies 1.86% (cost: $2,494,476 due 01/02/2020) 2,499,872 20.30 2,500,000 Total Cash Equivalents $ 3,183,171 25.85 % Notional Amount (Long Exposure) Commodity futures contracts United States sugar futures contracts ICE sugar futures MAY20 (284 contracts) $ 88,865 0.72 % $ 4,306,803 ICE sugar futures JUL20 (241 contracts) 223,677 1.82 3,687,107 ICE sugar futures MAR21 (268 contracts) 34,887 0.28 4,316,301 Total commodity futures contracts $ 347,429 2.82 % $ 12,310,211 (a) Discount yield at the time of purchase inclusive of collateral fees. (b) The security is held by the broker as collateral for open futures contracts. The accompanying notes are an integral part of these financial statements. 59 Table of Contents T EUCRIUM SUGAR FUND STATEMENTS OF OPERATIONS (Unaudited) Three months ended Three months ended Six months ended Six months ended June 30, 2020 June 30, 2019 June 30, 2020 June 30, 2019 Income Realized and unrealized gain (loss) on trading of commodity futures contracts: Realized (loss) gain on commodity futures contracts $ ( 1,239,596 ) $ ( 68,701 ) $ ( 947,539 ) $ 292,667 Net change in unrealized appreciation or (depreciation) on commodity futures contracts 1,689,036 ( 269,125 ) ( 466,909 ) ( 209,093 ) Interest income 15,136 66,268 58,108 132,892 Total income (loss) 464,576 ( 271,558 ) ( 1,356,340 ) 216,466 Expenses Management fees 18,627 25,463 45,129 51,596 Professional fees 65,432 30,695 88,592 77,144 Distribution and marketing fees 45,172 62,696 90,505 108,287 Custodian fees and expenses 5,428 10,500 12,399 15,726 Business permits and licenses fees 10,074 4,449 28,664 8,891 General and administrative expenses 10,949 15,994 14,125 20,298 Brokerage commissions - 1,528 - 3,471 Other expenses - 601 15 1,551 Total expenses 155,682 151,926 279,429 286,964 Expenses waived by the Sponsor ( 76,539 ) ( 57,954 ) ( 113,892 ) ( 99,436 ) Total expenses, net 79,143 93,972 165,537 187,528 Net income (loss) $ 385,433 $ ( 365,530 ) $ ( 1,521,877 ) $ 28,938 Net income (loss) per share $ 0.23 $ ( 0.20 ) $ ( 1.32 ) $ 0.03 Net income (loss) per weighted average share $ 0.28 $ ( 0.26 ) $ ( 1.05 ) $ 0.02 Weighted average shares outstanding 1,360,718 1,432,147 1,442,999 1,429,976 The accompanying notes are an integral part of these financial statements. 60 Table of Contents T EUCRIUM SUGAR FUND STATEMENTS OF CHANGES IN NET ASSETS (Unaudited) Six months ended Six months ended June 30, 2020 June 30, 2019 Operations Net (loss) income $ ( 1,521,877 ) $ 28,938 Capital transactions Issuance of Shares 2,722,055 2,184,937 Redemption of Shares ( 4,639,993 ) ( 3,057,840 ) Total capital transactions ( 1,917,938 ) ( 872,903 ) Net change in net assets ( 3,439,815 ) ( 843,965 ) Net assets, beginning of period $ 12,313,180 $ 10,778,739 Net assets, end of period $ 8,873,365 $ 9,934,774 Net asset value per share at beginning of period $ 7.04 $ 7.07 Net asset value per share at end of period $ 5.72 $ 7.10 Creation of Shares 500,000 300,000 Redemption of Shares 700,000 425,000 The accompanying notes are an integral part of these financial statements. 61 Table of Contents TEUCRIUM SUGAR FUND STATEMENTS OF CASH FLOWS (Unaudited) Six months ended Six months ended June 30, 2020 June 30, 2019 Cash flows from operating activities: Net (loss) income $ ( 1,521,877 ) $ 28,938 Adjustments to reconcile net (loss) income to net cash (used in) provided by operating activities: Net change in unrealized depreciation on commodity futures contracts 466,909 209,093 Changes in operating assets and liabilities: Due from broker ( 858,685 ) 222,292 Interest receivable ( 309 ) 14 Other assets ( 701 ) ( 63,184 ) Due to broker ( 237,908 ) - Management fee payable to Sponsor ( 3,363 ) ( 1,774 ) Other liabilities 4,044 ( 12,806 ) Net cash (used in) provided by operating activities ( 2,151,890 ) 382,573 Cash flows from financing activities: Proceeds from sale of Shares 2,722,055 2,184,937 Redemption of Shares ( 4,639,993 ) ( 3,057,840 ) Net cash used in financing activities ( 1,917,938 ) ( 872,903 ) Net change in cash and cash equivalents ( 4,069,828 ) ( 490,330 ) Cash and cash equivalents beginning of period 12,215,795 10,261,941 Cash and cash equivalents end of period $ 8,145,967 $ 9,771,611 The accompanying notes are an integral part of these financial statements. 62 Table of Contents NOTES TO FINANCIAL STATEMENTS June 30, 2020 (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 30, 2018. The registration statement for CANE registered an additional 5,000,000 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 and six months ended June 30, 2020 are not necessarily indicative of the results to be expected for the full year ending December 31, 2020. 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. Bank N.A. as the Custodian for the Funds. The principal business address for U.S. Bank N.A is 1555 North Rivercenter Drive, Suite 302, Milwaukee, Wisconsin 53212. U.S. Bank N.A. is a Wisconsin state-chartered bank subject to regulation by the Board of Governors of the Federal Reserve System and the Wisconsin State Banking Department. The principal address for U.S. Bancorp Fund Services, LLC doing business as U.S. Bank Global Fund Services ("Global Fund Services") is 615 E. Michigan Street, Milwaukee, WI 53202. In addition, effective on the Conversion Date, Global Fund Services, a wholly owned subsidiary of U.S. Bank, commenced serving as administrator for each Fund, performing certain administrative and accounting services and preparing certain SEC reports on behalf of the Funds, and also became the registrar and transfer agent for each Fund’s Shares. For such services, U.S. Bank and Global Fund Services will receive an asset-based fee, subject to a minimum annual fee. 63 Table of Contents 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 0.06% of average gross assets on the first $250 million, 0.05% on the next $250 million, 0.04% on the next $500 million and 0.03% on the balance over $1 billion annually. A combined minimum annual fee of up to $64,500 for custody, transfer agency, accounting and administrative services is assessed per Fund . These services are recorded in 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 the Fund’s average daily net assets and an aggregate annual fee of $100,000 for all Teucrium 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 . T hese services are recorded in 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. Additionally, Foreside Distributors, LLC performs certain distribution consulting services pursuant to a Distribution Consulting Agreement with the Trust's Sponsor. ED&F Man Capital Markets, Inc. (“ED&F Man”) serves as the Underlying Funds’ clearing broker to execute and clear the Underlying Funds’ futures and provide other brokerage-related services. ED&F Man is registered as an FCM with the U.S. CFTC and is a member of the NFA. ED&F Man is also registered as a broker/dealer with the U.S. Securities and Exchange Commission and is a member of the FINRA. ED&F Man is a clearing member 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 ED&F Man is paid $9.00 per round turn . Prior to August 21, 2019, these expenses were recorded in brokerage commissions on the statements of operations. Beginning on August 21, 2019, these expenses were 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 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. The Sponsor employs Thales Capital Partners LLC (TCP) as the Marketing Agent. TCP is registered as a Broker-Dealer with the SEC and a member of Financial Industry Regulatory Authority (FINRA) and SIPC. TCP receives an annual fee of $90,000 and an additional 0.0015% of average daily net assets in referred accounts for distribution and solicitation-related services . This additional fee is determined by an agreed upon level of assets at the time of signing the contract. These services are recorded in distribution and marketing fees on the statements of operations. A summary of these expenses is included below: Three months ended June 30, 2020 Three months ended June 30, 2019 Six months ended June 30, 2020 Six months ended June 30, 2019 Amount Recognized for Custody Services $ 5,428 $ 10,500 $ 12,399 $ 15,726 Amount of Custody Services Waived $ 2,075 $ 5,407 $ 4,276 $ 5,407 Amount Recognized for Distribution Services $ 2,499 $ 3,434 $ 5,526 $ 7,990 Amount of Distribution Services Waived $ 798 $ 2,078 $ 2,011 $ 3,443 Amount Recognized for Brokerage Commissions $ - $ 1,528 $ - $ 3,471 Amount of Brokerage Commissions Waived $ - $ - $ - $ - Amount Recognized for Wilmington Trust $ - $ - $ - $ - Amount of Wilmington Trust Waived $ - $ - $ - $ - Amount Recognized for TCP $ 1,513 $ - $ 3,107 $ - Amount of TCP Waived $ 1,513 $ - $ 1,513 $ - 64 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. Beginning on August 21, 2019, brokerage commission expenses were 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. Changes in the appreciation or depreciation between periods are reflected in the statements of operations. Interest on cash equivalents with financial institutions are recognized on the accrual basis. The 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 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 are 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 are recognized using the effective interest method in U.S. dollars and included in interest income on the combined statements of operations. The Sponsor adopted ASC 606, Revenue from Contracts With Customers, for the year ended December 31, 2018. The adoption did not have a material impact on the financial statements of the Trust or the Funds. Brokerage Commissions Beginning on August 21, 2019, the Sponsor began recognizing the expense for brokerage commissions for futures contract trades on a per-trade basis. Prior to the change, brokerage commissions on all open commodity futures contracts were accrued on the trade date and on a full-turn basis. The below table shows the amounts included on the statements of operations as unrealized losses attributed to brokerage commissions as of June 30, 2020. CANE Unrealized Loss Attributed to Brokerage Commissions $ 2,574 Total Brokerage Commissions paid including unrealized loss $ 8,243 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 2017 to 2019, 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 tax benefits as of June 30, 2020 and for the years ended December 31, 2019, 2018 and 2017. 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 and six months ended June 30, 2020 and 2019. 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. 65 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. (EST) 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. (EST) 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 receivable for shares sold. 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 Trust 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 invests 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. June 30, 2020 December 31, 2019 Money Market Funds $ 5,442,618 $ 103 Demand Deposit Savings Accounts 204,041 9,032,624 Commercial Paper 2,499,308 2,499,872 Treasury Bills - 683,196 Total cash and cash equivalents as presented on the Statement of Assets and Liabilities $ 8,145,967 $ 12,215,795 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. 66 Table of Contents Margin is the minimum amount of funds that must be deposited by a commodity interest trader with the trader’s broker to initiate and maintain an open position in futures contracts. A margin deposit acts to assure the trader’s performance of the futures contracts purchased or sold. Futures contracts are customarily bought and sold on initial margin that represents a very small percentage of the aggregate purchase or sales price of the contract. Because of such low margin requirements, price fluctuations occurring in the futures markets may create profits and losses that, in relation to the amount invested, are greater than are 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. (EST). The NAV for a particular trading day is released after 4:15 p.m. (EST). 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. (EST). The value of over-the-counter sugar interests is determined based on the value of the commodity or futures contract underlying such sugar interest, except that a fair value may be determined if the Sponsor believes that the Fund is subject to significant credit risk relating to the counterparty to such sugar interest. For purposes of financial statements and reports, the Sponsor will recalculate the NAV where necessary to reflect the “fair value” of a Futures Contract when the Futures Contract closes at its price fluctuation limit for the day. Short term Treasury securities held by the Fund are valued by the administrator using values received from recognized third-party vendors and dealer quotes. NAV includes any unrealized profit or loss on open sugar interests and any other income or expense accruing to the Fund but unpaid or not received by the Fund. Sponsor Fee, Allocation of Expenses and Related Party Transactions The Sponsor is responsible for investing the assets of the Fund in accordance with the objectives and policies of the Fund. In addition, the Sponsor arranges for one or more third parties to provide administrative, custodial, accounting, transfer agency and other necessary services to the Trust and the Funds. In addition, the Sponsor elected not to outsource services directly attributable to the Trust and the Funds such as accounting, financial reporting, regulatory compliance and trading activities. 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, formerly the National Association of Securities Dealers, 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. 67 Table of Contents 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 statement of operations. All asset-based fees and expenses for the Funds are calculated on the prior day’s net assets. Three months ended June 30, 2020 Three months ended June 30, 2019 Six months ended June 30, 2020 Six months ended June 30, 2019 Recognized Related Party Transactions $ 31,713 $ 41,333 $ 72,911 $ 124,755 Waived Related Party Transactions $ 9,834 $ 21,305 $ 19,973 $ 30,473 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 would be no recovery sought for the amounts below in any future period: CANE Three months ended June 30, 2020 $ 76,539 Three months ended June 30, 2019 $ 57,954 Six months ended June 30, 2020 $ 113,892 Six months ended June 30, 2019 $ 99,436 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. 68 Table of Contents On June 30, 2020 and December 31, 2019, 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 and six months ended June 30, 2020 and year ended December 31, 2019, 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. 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”) 2020-02: “Financial Instruments-Credit Losses (Topic 326) and Leases (Topic 842): Amendments to SEC Paragraphs Pursuant to SEC Staff Accounting Bulletin No. 119 and Update to SEC Section on Effective Date Related to Accounting Standards Update No. 2016-02, Leases (Topic 842). The amendment updates and adds language to ASU 2016-02. The amendments were adopted for the quarter ended March 31, 2020; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued ASU 2020-01: Investments-Equity Securities (Topic 321), Investments-Equity Method and Joint Ventures (Topic 323), and Derivatives and Hedging (Topic 815)-Clarifying the Interactions between Topic 321, Topic 323, and Topic 815. The amendments clarify the treatment of transactions that require a company to apply or discontinue the equity method of accounting. The amendments were adopted early for the quarter ended March 31, 2020; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued 2019-07: “Codification Updates to SEC Sections: Amendments to SEC Paragraphs Pursuant to SEC Final Rule Releases No. 33-10532, Disclosure Update and Simplification, and Nos. 33-10231 and 33-10442, Investment Company Reporting Modernization, and Miscellaneous Updates.” The amendments improve, update, and simplify the SEC’s regulations on financial reporting and disclosure. The amendments were adopted for the quarter ended September 30, 2019; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued ASU 2019-04: “Codification Improvements to Topic 326, Financial Instruments - Credit Losses, Topic 815, Derivatives and hedging, and Topic 825, Financial Instruments.” The amendments clarify and improve areas of guidance related to the recently issued standards on credit losses, hedging, and recognition and measurement, specifically relating to ASU 2017-12. The amendments were early adopted for the quarter ended June 30, 2019; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued ASU 2019-01: "Leases (Topic 842): Codification Improvements. These amendments align the guidance for fair value of underlying assets by lessors that are not manufacturers or dealers in Topic 842 with that of existing guidance. The amendments will be effective for fiscal years and interim periods beginning after December 15, 2019 and may be adopted early. The Sponsor is evaluating the impacts but the amendment is not expected to have a material impact on the financial statements of the Trust or the Fund. The FASB issued ASU 2018-13: “Fair Value Measurement (Topic 820): Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement. These amendments modify public and private company fair value disclosure requirements. While some disclosures were removed or modified, others were added. The guidance is a result of the FASB’s test of the principals developed to improve the effectiveness of disclosures in the notes to the financial statements. The amendments will be effective for fiscal years and interim periods beginning after December 15, 2019 and may be adopted early. The Sponsor is evaluating the impacts, specifically, the removal, modification and addition to the fair value disclosures of the Trust or the Fund. The FASB issued ASU 2018-05, “Income Taxes (Topic 740): Amendments to SEC Paragraphs Pursuant to SEC Staff Accounting Bulletin No. 118." These amendments add guidance to the FASB Accounting Standards Codification regarding the Tax Cuts and Jobs Act (Act). The amendments were adopted for the quarter ended March 31, 2018; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. 69 Table of Contents The FASB issued ASU 2017-13, “Revenue Recognition (Topic 605), Leases (Topic 840), and Leases (Topic 842): Amendments to SEC Paragraphs Pursuant to the Staff Announcement at the July 20, 2017 EITF Meeting and Rescission of Prior SEC Staff Announcements and Observer Comments”. The amendment amends the early adoption date option for certain companies related to adoption of ASU No. 2014-09 and ASU No. 2016-02. The SEC staff stated the SEC would not object to a public business entity that otherwise would not meet the definition of a public business entity except for a requirement to include or the inclusion of its financial statements or financial information in another entity’s filing with the SEC adopting ASC Topic 842 for fiscal years beginning after December 15, 2019, and interim periods within fiscal years beginning after December 15, 2020. This amendment is not expected to have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued ASU 2017-12, “Derivatives and Hedging (Topic 815): Targeted Improvements to Accounting for Hedging Activities”. These amendments refine and expand hedge accounting for both financial (e.g., interest rate) and commodity risks. Its provisions create more transparency around how economic results are presented, both on the face of the financial statements and in the footnotes. It also makes certain targeted improvements to simplify the application of hedge accounting guidance. The amendments were adopted for the quarter ended March 31, 2019; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued ASU 2016-02, “Leases (Topic 842).” The amendments in this update increase transparency and comparability among organizations by recognizing lease assets and lease liabilities on the balance sheet and disclosing key information about leasing arrangements. The amendments were adopted for the quarter ended March 31, 2019; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. Note 4 - Fair Value Measurements The Fund’s assets and liabilities recorded at fair value have been categorized based upon a fair value hierarchy as described in the Fund’s significant accounting policies in Note 3. The following table presents information about the Fund’s assets and liabilities measured at fair value as of June 30, 2020 and December 31, 2019: June 30, 2020 Assets: Level 1 Level 2 Level 3 Balance as of June 30, 2020 Cash Equivalents $ 7,941,926 $ - $ - $ 7,941,926 Commodity Futures Contracts Sugar futures contracts 93,126 - - 93,126 Total $ 8,035,052 $ - $ - $ 8,035,052 Liabilities Level 1 Level 2 Level 3 Balance as of June 30, 2020 Commodity Futures Contracts Sugar futures contracts $ 212,606 $ - $ - $ 212,606 December 31, 2019 Assets: Level 1 Level 2 Level 3 Balance as of December 31, 2019 Cash Equivalents $ 3,183,171 $ - $ - $ 3,183,171 Commodity Futures Contracts Sugar futures contracts 347,429 - - 347,429 Total $ 3,530,600 $ - $ - $ 3,530,600 For the period ended June 30, 2020 and year ended December 31, 2019, 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. 70 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 three and six months ended June 30, 2020 and year ended December 31, 2019, the Fund invested only in commodity futures contracts. Futures Contracts The Fund is subject to commodity price risk in the normal course of pursuing its investment objectives. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date. The purchase and sale of futures contracts requires margin deposits with an FCM. Subsequent payments (variation margin) are made or received by the Fund each day, depending on the daily fluctuations in the value of the contract, and are recorded as unrealized gains or losses by the Fund. Futures contracts may reduce the Fund’s exposure to counterparty risk since futures contracts are exchange-traded; and the exchange’s clearinghouse, as the counterparty to all exchange-traded futures, guarantees the futures against default. The Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM’s proprietary activities. A customer’s cash and other equity deposited with an FCM are considered commingled with all other customer funds subject to the FCM’s segregation requirements. In the event of an FCM’s insolvency, recovery may be limited to the Fund’s pro rata share of segregated customer funds available. It is possible that the recovery amount could be less than the total of cash and other equity deposited. The following table discloses information about offsetting assets and liabilities presented in the statements of assets and liabilities to enable users of these financial statements to evaluate the effect or potential effect of netting arrangements for recognized assets and liabilities. These recognized assets and liabilities are presented as defined in FASB ASU No. 2011-11 “Balance Sheet (Topic 210): Disclosures about Offsetting Assets and Liabilities” and subsequently clarified in FASB ASU 2013-01 “Balance Sheet (Topic 210): Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities.” The following table also identifies the fair value amounts of derivative instruments included in the statements of assets and liabilities as derivative contracts, categorized by primary underlying risk and held by the FCM, ED&F Man as of June 30, 2020 and December 31, 2019. Offsetting of Financial Assets and Derivative Assets as of June 30, 2020 (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 Sugar futures contracts $ 93,126 $ - $ 93,126 $ 93,126 $ - $ - Offsetting of Financial Liabilities and Derivative Liabilities as of June 30, 2020 (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 $ 212,606 $ - $ 212,606 $ 93,126 $ 119,480 $ - Offsetting of Financial Assets and Derivative Assets as of December 31, 2019 (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 Sugar futures contracts $ 347,429 $ - $ 347,429 $ - $ 237,908 $ 109,521 71 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 June 30, 2020 Realized Loss on Commodity Futures Contracts Net Change in Unrealized Appreciation on Commodity Futures Contracts Commodity Price Sugar futures contracts $ ( 1,239,596 ) $ 1,689,036 Three months ended June 30, 2019 Realized Loss on Commodity Futures Contracts Net Change in Unrealized Depreciation on Commodity Futures Contracts Commodity Price Sugar futures contracts $ ( 68,701 ) $ ( 269,125 ) Six months ended June 30, 2020 Realized Loss on Commodity Futures Contracts Net Change in Unrealized Depreciation on Commodity Futures Contracts Commodity Price Sugar futures contracts $ ( 947,539 ) $ ( 466,909 ) Six months ended June 30, 2019 Realized Gain on Commodity Futures Contracts Net Change in Unrealized Depreciation on Commodity Futures Contracts Commodity Price Sugar futures contracts $ 292,667 $ ( 209,093 ) Volume of Derivative Activities The average notional market value categorized by primary underlying risk for all futures contracts held were $ 7.80 million and $ 10.3 million, respectively, for the three months ended June 30, 2020 and 2019, and $ 8.73 million and $ 10.3 million for the six months ended June 30, 2020 and 2019. 72 Table of Contents Note 6 - Financial Highlights The following table presents per unit performance data and other supplemental financial data for the three and six months ended June 30, 2020 and 2019. This information has been derived from information presented in the financial statements. 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 Six months ended Six months ended June 30, 2020 June 30, 2019 June 30, 2020 June 30, 2019 Per Share Operation Performance Net asset value at beginning of period $ 5.49 $ 7.30 $ 7.04 $ 7.07 Income (loss) from investment operations: Investment income 0.01 0.05 0.04 0.09 Net realized and unrealized gain (loss) on commodity futures contracts 0.28 ( 0.18 ) ( 1.25 ) 0.07 Total expenses, net ( 0.06 ) ( 0.07 ) ( 0.11 ) ( 0.13 ) Net increase (decrease) in net asset value 0.23 ( 0.20 ) ( 1.32 ) 0.03 Net asset value at end of period $ 5.72 $ 7.10 $ 5.72 $ 7.10 Total Return 4.19 % ( 2.74 )% ( 18.64 )% 0.42 % Ratios to Average Net Assets (Annualized) Total expenses 8.36 % 5.97 % 6.19 % 5.56 % Total expenses, net 4.25 % 3.69 % 3.67 % 3.63 % Net investment loss ( 3.44 )% ( 1.09 )% ( 2.38 )% ( 1.05 )% 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 June 30, 2020 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 noted below: The impact of COVID-19 is evolving rapidly, and such events can be highly disruptive to economies and markets. The impact of COVID-19 to the Fund is described in more detail in Part 2 of this 10-Q. On July 20, 2020, the Sponsor opened an interest-bearing account with Capital One Bank through American Deposit Management Company. Balances in the account may at times exceed FDIC insurance limits. The total net assets for the fund increased by $2,555,133, or 29%, for the period June 30, 2020 through August 6, 2020. This was driven by a 21% increase in the shares outstanding and by a 6% increase in the net asset value per share. 73 Table of Contents TEUCRIUM WHEAT FUND STATEMENTS OF ASSETS AND LIABILITIES June 30, 2020 December 31, 2019 (Unaudited) Assets Cash and cash equivalents $ 43,023,496 $ 51,467,643 Interest receivable 1,126 71 Other assets 3,066 4,209 Equity in trading accounts: Commodity futures contracts - 5,068,476 Due from broker 4,786,517 - Total equity in trading accounts 4,786,517 5,068,476 Total assets 47,814,205 56,540,399 Liabilities Management fee payable to Sponsor 37,940 42,917 Other liabilities 13,882 2,876 Equity in trading accounts: Commodity futures contracts 1,815,740 - Due to broker - 4,258,410 Total equity in trading accounts 1,815,740 4,258,410 Total liabilities 1,867,562 4,304,203 Net assets $ 45,946,643 $ 52,236,196 Shares outstanding 9,125,004 8,950,004 Shares authorized 42,000,000 43,000,000 Net asset value per share $ 5.04 $ 5.84 Market value per share $ 5.06 $ 5.85 The accompanying notes are an integral part of these financial statements. 74 Table of Contents T EUCRIUM WHEAT FUND SCHEDULE OF INVESTMENTS June 30, 2020 (Unaudited) Percentage of Description: Assets Fair Value Net Assets Shares Cash equivalents Money market funds Fidelity Institutional Money Market Funds - Government Portfolio (cost $17,731,663) $ 17,731,663 38.59 % 17,731,663 Blackrock Liquidity FedFund - Institutional Class (cost $2,598,772) 2,598,772 5.66 2,598,772 Total money market funds (cost: $20,330,435) $ 20,330,435 44.25 % Principal Amount Commercial Paper Bayer Corporation 2.15% (cost: $4,973,672 due 7/27/2020) $ 4,992,309 10.86 % 5,000,000 BASF SE 1.34% (cost: $2,494,181 due 7/06/2020) 2,499,538 5.44 2,500,000 The Dow Chemical Company 1.00% (cost: $4,987,917 due 8/24/2020) 4,992,500 10.87 5,000,000 FMC Technologies, Inc. 1.76% (cost: $2,493,316 due 7/27/2020) 2,496,841 5.43 2,500,000 Jabil Inc. 0.75% (cost: $2,498,230 due 7/08/2020) 2,499,635 5.44 2,500,000 WGL Holdings, Inc. 0.60% (cost: $2,498,000 due 7/22/2020) 2,499,125 5.44 2,500,000 Jabil Inc. 0.61% (cost: $2,497,035 due 8/31/2020) 2,497,416 5.44 2,500,000 Total Commercial Paper (cost: 22,442,351) $ 22,477,364 48.92 % Total cash equivalents $ 42,807,799 93.17 % Percentage of Notional Amount Description: Liabilities Fair Value Net Assets (Long Exposure) Commodity futures contracts United States wheat futures contracts CBOT wheat futures SEP20 (655 contracts) $ 767,697 1.67 % $ 16,104,812 CBOT wheat futures DEC20 (553 contracts) 514,883 1.12 13,797,350 CBOT wheat futures DEC21 (605 contracts) 533,160 1.16 16,070,313 Total commodity futures contracts $ 1,815,740 3.95 % $ 45,972,475 The accompanying notes are an integral part of these financial statements. 75 Table of Contents TEUCRIUM WHEAT FUND SCHEDULE OF INVESTMENTS December 31, 2019 Percentage of Description: Assets Fair Value Net Assets Shares Cash equivalents Money market funds Fidelity Institutional Money Market Funds - Government Portfolio (cost $119) $ 119 0.00 % 119 Principal Amount U.S. Treasury Obligations U.S. Treasury Bills 1.53% (cost: $1,948,259 due 01/30/2020) (a)(b) $ 1,948,728 3.73 % 1,951,000 Commercial Paper CNH Industrial Capital LLC 1.86% (cost: $2,493,962 due 01/06/2020) $ 2,499,358 4.79 % 2,500,000 Energy Transfer Operating, L.P. 1.99% (cost: $2,493,813 due 01/31/2020) 2,495,875 4.78 2,500,000 FMC Technologies, Inc. 1.93% (cost: $4,976,266 due 02/04/2020) 4,990,933 9.56 5,000,000 General Motors Financial Company, Inc. 2.15% (cost: $2,487,131 due 01/06/2020) 2,499,261 4.78 2,500,000 General Motors Financial Company, Inc. 2.16% (cost: $4,973,547 due 01/15/2020) 4,995,839 9.56 5,000,000 Royal Caribbean Cruises Ltd. 2.12% (cost: $2,487,750 due 01/09/2020) 2,498,833 4.78 2,500,000 Total Commercial Paper (cost: $19,912,469) $ 19,980,099 38.25 % Total Cash Equivalents $ 21,928,946 41.98 % Notional Amount (Long Exposure) Commodity futures contracts United States wheat futures contracts CBOT wheat futures MAY20 (650 contracts) $ 2,113,350 4.04 % $ 18,256,875 CBOT wheat futures JUL20 (556 contracts) 892,498 1.71 15,665,300 CBOT wheat futures DEC20 (634 contracts) 2,062,628 3.95 18,314,675 Total commodity futures contracts $ 5,068,476 9.70 % $ 52,236,850 (a) Discount yield at the time of purchase inclusive of collateral fees. (b) The security is held by the broker as collateral for open futures contracts. The accompanying notes are an integral part of these financial statements. 76 Table of Contents T EUCRIUM WHEAT FUND STATEMENTS OF OPERATIONS (Unaudited) Three months ended Three months ended Six months ended Six months ended June 30, 2020 June 30, 2019 June 30, 2020 June 30, 2019 Income Realized and unrealized gain (loss) on trading of commodity futures contracts: Realized (loss) gain on commodity futures contracts $ ( 285,793 ) $ ( 4,271,888 ) $ 167,515 $ ( 8,367,250 ) Net change in unrealized (depreciation) appreciation on commodity futures contracts ( 5,884,890 ) 9,268,062 ( 6,884,216 ) 7,151,175 Interest income 124,115 376,592 326,980 749,059 Total (loss) income ( 6,046,568 ) 5,372,766 ( 6,389,721 ) ( 467,016 ) Expenses Management fees 117,716 141,265 241,560 278,910 Professional fees 86,409 113,106 163,193 206,784 Distribution and marketing fees 148,603 225,302 332,181 422,208 Custodian fees and expenses 25,956 27,751 48,248 52,527 Business permits and licenses fees 15,760 9,025 20,714 14,531 General and administrative expenses 31,326 20,688 47,426 44,087 Brokerage commissions - 4,238 - 14,841 Other expenses - 2,825 - 5,578 Total expenses 425,770 544,200 853,322 1,039,466 Expenses waived by the Sponsor - - - ( 2,500 ) Total expenses, net 425,770 544,200 853,322 1,036,966 Net (loss) income $ ( 6,472,338 ) $ 4,828,566 $ ( 7,243,043 ) $ ( 1,503,982 ) Net (loss) income per share $ ( 0.73 ) $ 0.45 $ ( 0.80 ) $ ( 0.20 ) Net (loss) income per weighted average share $ ( 0.73 ) $ 0.46 $ ( 0.82 ) $ ( 0.15 ) Weighted average shares outstanding 8,886,542 10,503,575 8,832,009 10,130,253 The accompanying notes are an integral part of these financial statements. 77 Table of Contents T EUCRIUM WHEAT FUND STATEMENTS OF CHANGES IN NET ASSETS (Unaudited) Six months ended Six months ended June 30, 2020 June 30, 2019 Operations Net loss $ ( 7,243,043 ) $ ( 1,503,982 ) Capital transactions Issuance of Shares 5,487,503 9,939,010 Redemption of Shares ( 4,534,013 ) ( 4,885,010 ) Total capital transactions 953,490 5,054,000 Net change in net assets ( 6,289,553 ) 3,550,018 Net assets, beginning of period $ 52,236,196 $ 55,149,873 Net assets, end of period $ 45,946,643 $ 58,699,891 Net asset value per share at beginning of period $ 5.84 $ 5.95 Net asset value per share at end of period $ 5.04 $ 5.75 Creation of Shares 1,000,000 1,800,000 Redemption of Shares 825,000 875,000 The accompanying notes are an integral part of these financial statements. 78 Table of Contents TEUCRIUM WHEAT FUND STATEMENTS OF CASH FLOWS (Unaudited) Six months ended Six months ended June 30, 2020 June 30, 2019 Cash flows from operating activities: Net loss $ ( 7,243,043 ) $ ( 1,503,982 ) Adjustments to reconcile net loss to net cash used in operating activities: Net change in unrealized depreciation (appreciation) on commodity futures contracts 6,884,216 ( 7,151,175 ) Changes in operating assets and liabilities: Due from broker ( 4,786,517 ) 5,867,925 Interest receivable ( 1,055 ) ( 327 ) Other assets 1,143 ( 18,435 ) Due to broker ( 4,258,410 ) 4,247,442 Payable for purchases of commercial paper - ( 9,969,591 ) Management fee payable to Sponsor ( 4,977 ) 494 Other liabilities 11,006 27,051 Net cash used in operating activities ( 9,397,637 ) ( 8,500,598 ) Cash flows from financing activities: Proceeds from sale of Shares 5,487,503 9,939,010 Redemption of Shares ( 4,534,013 ) ( 4,885,010 ) Net cash provided by financing activities 953,490 5,054,000 Net change in cash and cash equivalents ( 8,444,147 ) ( 3,446,598 ) Cash and cash equivalents, beginning of period 51,467,643 63,300,447 Cash and cash equivalents, end of period $ 43,023,496 $ 59,853,849 The accompanying notes are an integral part of these financial statements. 79 Table of Contents N OTES TO FINANCIAL STATEMENTS June 30, 2020 (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 April 29, 2019. This registration statement for WEAT registered an additional 30,000,000 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 and six months ended June 30, 2020 are not necessarily indicative of the results to be expected for the full year ending December 31, 2020. 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. Bank N.A. as the Custodian for the Funds. The principal business address for U.S. Bank N.A is 1555 North Rivercenter Drive, Suite 302, Milwaukee, Wisconsin 53212. U.S. Bank N.A. is a Wisconsin state-chartered bank subject to regulation by the Board of Governors of the Federal Reserve System and the Wisconsin State Banking Department. The principal address for U.S. Bancorp Fund Services, LLC doing business as U.S. Bank Global Fund Services ("Global Fund Services") is 615 E. Michigan Street, Milwaukee, WI 53202. In addition, effective on the Conversion Date, Global Fund Services, a wholly owned subsidiary of U.S. Bank, commenced serving as administrator for each Fund, performing certain administrative and accounting services and preparing certain SEC reports on behalf of the Funds, and also became the registrar and transfer agent for each Fund’s Shares. For such services, U.S. Bank and Global Fund Services will receive an asset-based fee, subject to a minimum annual fee. 80 Table of Contents 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 0.06% of average gross assets on the first $250 million, 0.05% on the next $250 million, 0.04% on the next $500 million and 0.03% on the balance over $1 billion annually. A combined minimum annual fee of up to $64,500 for custody, transfer agency, accounting and administrative services is assessed per Fund . These services are recorded in 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 the Fund’s average daily net assets and an aggregate annual fee of $100,000 for all Teucrium 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. T hese services are recorded in 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. Additionally, Foreside Distributors, LLC performs certain distribution consulting services pursuant to a Distribution Consulting Agreement with the Trust's Sponsor. ED&F Man Capital Markets, Inc. (“ED&F Man”) serves as the Underlying Funds’ clearing broker to execute and clear the Underlying Funds’ futures and provide other brokerage-related services. ED&F Man is registered as an FCM with the U.S. CFTC and is a member of the NFA. ED&F Man is also registered as a broker/dealer with the U.S. Securities and Exchange Commission and is a member of the FINRA. ED&F Man is a clearing member 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 ED&F Man is paid $9.00 per round turn . Prior to August 21, 2019, these expenses were recorded in brokerage commissions on the statements of operations. Beginning on August 21, 2019, these expenses were 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 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. The Sponsor employs Thales Capital Partners LLC (TCP) as the Marketing Agent. TCP is registered as a Broker-Dealer with the SEC and a member of Financial Industry Regulatory Authority (FINRA) and SIPC. TCP receives an annual fee of $90,000 and an additional 0.0015% of average daily net assets in referred accounts for distribution and solicitation-related services . This additional fee is determined by an agreed upon level of assets at the time of signing the contract. These services are recorded in distribution and marketing fees on the statements of operations. A summary of these expenses is included below: Three months ended June 30, 2020 Three months ended June 30, 2019 Six months ended June 30, 2020 Six months ended June 30, 2019 Amount Recognized for Custody Services $ 25,956 $ 27,751 $ 48,248 $ 52,527 Amount of Custody Services Waived $ - $ - $ - $ - Amount Recognized for Distribution Services $ 9,178 $ 10,533 $ 20,400 $ 21,898 Amount of Distribution Services Waived $ - $ - $ - $ - Amount Recognized for Brokerage Commissions $ - $ 4,238 $ - $ 14,841 Amount of Brokerage Commissions Waived $ - $ - $ - $ - Amount Recognized for Wilmington Trust $ - $ - $ - $ - Amount of Wilmington Trust Waived $ - $ - $ - $ - Amount Recognized for TCP $ 5,878 $ - $ 11,769 $ - Amount of TCP Waived $ - $ - $ - $ - 81 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. Beginning on August 21, 2019, brokerage commission expenses were 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. Changes in the appreciation or depreciation between periods are reflected in the statements of operations. Interest on cash equivalents with financial institutions are recognized on the accrual basis. The 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 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 are 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 are recognized using the effective interest method in U.S. dollars and included in interest income on the combined statements of operations. The Sponsor adopted ASC 606, Revenue from Contracts With Customers, for the year ended December 31, 2018. The adoption did not have a material impact on the financial statements of the Trust or the Funds. Brokerage Commissions Beginning on August 21, 2019, the Sponsor began recognizing the expense for brokerage commissions for futures contract trades on a per-trade basis. Prior to the change, brokerage commissions on all open commodity futures contracts were accrued on the trade date and on a full-turn basis. The below table shows the amounts included on the statements of operations as unrealized losses attributed to brokerage commissions as of June 30, 2020. WEAT Unrealized Loss Attributed to Brokerage Commissions $ 6,165 Total Brokerage Commissions paid including unrealized loss $ 14,159 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 2017 to 2019, 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 June 30, 2020 and for the years ended December 31, 2019, 2018 and 2017. 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 and six months ended June 30, 2020 and 2019. 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. 82 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.(EST) 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. (EST) 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 receivable for shares sold. 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 Trust 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 invests 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. June 30, 2020 December 31, 2019 Money Market Funds $ 20,330,435 $ 119 Demand Deposit Savings Accounts 215,697 29,538,697 Commercial Paper 22,477,364 19,980,099 Treasury Bills - 1,948,728 Total cash and cash equivalents as presented on the Statement of Assets and Liabilities $ 43,023,496 $ 51,467,643 Due from/to Broker The amount recorded by the Fund for the amount due from and to the clearing broker includes, but is not limited to, cash held by the broker, amounts payable to the clearing broker related to open transactions, payables for commodities futures accounts liquidating to an equity balance on the clearing broker’s records and amounts of brokerage commissions paid and recognized as unrealized losses. Margin is the minimum amount of funds that must be deposited by a commodity interest trader with the trader’s broker to initiate and maintain an open position in futures contracts. A margin deposit acts to assure the trader’s performance of the futures contracts purchased or sold. Futures contracts are customarily bought and sold on initial margin that represents a very small percentage of the aggregate purchase or sales price of the contract. Because of such low margin requirements, price fluctuations occurring in the futures markets may create profits and losses that, in relation to the amount invested, are greater than are 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. 83 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 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. (EST). The NAV for a particular trading day is released after 4:15 p.m. (EST). 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. (EST). 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. 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, formerly the National Association of Securities Dealers, 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 statement of operations. All asset-based fees and expenses for the Funds are calculated on the prior day’s net assets. Three months ended June 30, 2020 Three months ended June 30, 2019 Six months ended June 30, 2020 Six months ended June 30, 2019 Recognized Related Party Transactions $ 119,191 $ 124,282 $ 271,360 $ 332,810 Waived Related Party Transactions $ - $ - $ - $ 2,500 84 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 would be no recovery sought for the amounts below in any future period: WEAT Three months ended June 30, 2020 $ - Three months ended June 30, 2019 $ - Six months ended June 30, 2020 $ - Six months ended June 30, 2019 $ 2,500 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. 85 Table of Contents 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 three months being reported. On June 30, 2020 and December 31, 2019, 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 and six months ended June 30, 2020 and year ended December 31, 2019, the Fund did not have any significant transfers between any of the levels of the fair value hierarchy except for the DEC21 CBOT Wheat contracts which are reflected as a Level 2 investment due to the quarterly average daily volume for the contract for the quarter ended June 30, 2020. 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”) 2020-02: “Financial Instruments-Credit Losses (Topic 326) and Leases (Topic 842): Amendments to SEC Paragraphs Pursuant to SEC Staff Accounting Bulletin No. 119 and Update to SEC Section on Effective Date Related to Accounting Standards Update No. 2016-02, Leases (Topic 842). The amendment updates and adds language to ASU 2016-02. The amendments were adopted for the quarter ended March 31, 2020; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued ASU 2020-01: Investments-Equity Securities (Topic 321), Investments-Equity Method and Joint Ventures (Topic 323), and Derivatives and Hedging (Topic 815)-Clarifying the Interactions between Topic 321, Topic 323, and Topic 815. The amendments clarify the treatment of transactions that require a company to apply or discontinue the equity method of accounting. The amendments were adopted early for the quarter ended March 31, 2020; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued 2019-07: “Codification Updates to SEC Sections: Amendments to SEC Paragraphs Pursuant to SEC Final Rule Releases No. 33-10532, Disclosure Update and Simplification, and Nos. 33-10231 and 33-10442, Investment Company Reporting Modernization, and Miscellaneous Updates.” The amendments improve, update, and simplify the SEC’s regulations on financial reporting and disclosure. The amendments were adopted for the quarter ended September 30, 2019; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued ASU 2019-04: “Codification Improvements to Topic 326, Financial Instruments - Credit Losses, Topic 815, Derivatives and hedging, and Topic 825, Financial Instruments.” The amendments clarify and improve areas of guidance related to the recently issued standards on credit losses, hedging, and recognition and measurement, specifically relating to ASU 2017-12. The amendments were early adopted for the quarter ended June 30, 2019; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued ASU 2019-01: "Leases (Topic 842): Codification Improvements. These amendments align the guidance for fair value of underlying assets by lessors that are not manufacturers or dealers in Topic 842 with that of existing guidance. The amendments will be effective for fiscal years and interim periods beginning after December 15, 2019 and may be adopted early. The Sponsor is evaluating the impacts, but the amendment is not expected to have a material impact on the financial statements of the Trust or the Fund. 86 Table of Contents The FASB issued ASU 2018-13: “Fair Value Measurement (Topic 820): Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement. These amendments modify public and private company fair value disclosure requirements. While some disclosures were removed or modified, others were added. The guidance is a result of the FASB’s test of the principals developed to improve the effectiveness of disclosures in the notes to the financial statements. The amendments will be effective for fiscal years and interim periods beginning after December 15, 2019 and may be adopted early. The Sponsor is evaluating the impacts, specifically, the removal, modification and addition to the fair value disclosures of the Trust or the Fund. The FASB issued ASU 2018-05, “Income Taxes (Topic 740): Amendments to SEC Paragraphs Pursuant to SEC Staff Accounting Bulletin No. 118." These amendments add guidance to the FASB Accounting Standards Codification regarding the Tax Cuts and Jobs Act (Act). The amendments were adopted for the quarter ended March 31, 2018; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued ASU 2017-13, “Revenue Recognition (Topic 605), Leases (Topic 840), and Leases (Topic 842): Amendments to SEC Paragraphs Pursuant to the Staff Announcement at the July 20, 2017 EITF Meeting and Rescission of Prior SEC Staff Announcements and Observer Comments”. The amendment amends the early adoption date option for certain companies related to adoption of ASU No. 2014-09 and ASU No. 2016-02. The SEC staff stated the SEC would not object to a public business entity that otherwise would not meet the definition of a public business entity except for a requirement to include or the inclusion of its financial statements or financial information in another entity’s filing with the SEC adopting ASC Topic 842 for fiscal years beginning after December 15, 2019, and interim periods within fiscal years beginning after December 15, 2020. This amendment is not expected to have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued ASU 2017-12, “Derivatives and Hedging (Topic 815): Targeted Improvements to Accounting for Hedging Activities”. These amendments refine and expand hedge accounting for both financial (e.g., interest rate) and commodity risks. Its provisions create more transparency around how economic results are presented, both on the face of the financial statements and in the footnotes. It also makes certain targeted improvements to simplify the application of hedge accounting guidance. The amendments were adopted for the quarter ended March 31, 2019; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued ASU 2016-02, “Leases (Topic 842).” The amendments in this update increase transparency and comparability among organizations by recognizing lease assets and lease liabilities on the balance sheet and disclosing key information about leasing arrangements. The amendments were adopted for the quarter ended March 31, 2019; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. Note 4 - Fair Value Measurements The Fund’s assets and liabilities recorded at fair value have been categorized based upon a fair value hierarchy as described in the Fund’s significant accounting policies in Note 3. The following table presents information about the Fund’s assets and liabilities measured at fair value as of June 30, 2020 and December 31, 2019: June 30, 2020 Assets: Level 1 Level 2 Level 3 Balance as of June 30, 2020 Cash Equivalents $ 42,807,799 $ - $ - $ 42,807,799 Liabilities Level 1 Level 2 Level 3 Balance as of June 30, 2020 Commodity Futures Contracts Wheat futures contracts $ 1,282,580 $ 533,160 $ - $ 1,815,740 December 31, 2019 Assets: Level 1 Level 2 Level 3 Balance as of December 31, 2019 Cash Equivalents $ 21,928,946 $ - $ - $ 21,928,946 Commodity Futures Contracts Wheat futures contracts 5,068,476 - - 5,068,476 Total $ 26,997,422 $ - $ - $ 26,997,422 For the period ended June 30, 2020 and year ended December 31, 2019, the Fund did not have any significant transfers between any of the levels of the fair value hierarchy except for the DEC21 CBOT Wheat contracts which are reflected as a Level 2 investment due to the quarterly average daily volume for the contract for the quarter ended June 30, 2020. 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. 87 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 three and six months ended June 30, 2020 and for the year ended December 31, 2019, 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 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 FCM, ED&F Man as of June 30, 2020 and December 31, 2019. Offsetting of Financial Liabilities and Derivative Liabilities as of June 30, 2020 (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 $ 1,815,740 $ - $ 1,815,740 $ - $ 1,815,740 $ - Offsetting of Financial Assets and Derivative Assets as of December 31, 2019 (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 $ 5,068,476 $ - $ 5,068,476 $ - $ 4,258,410 $ 810,066 88 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 June 30, 2020 Realized Loss on Commodity Futures Contracts Net Change in Unrealized Depreciation on Commodity Futures Contracts Commodity Price Wheat futures contracts $ ( 285,793 ) $ ( 5,884,890 ) Three months ended June 30, 2019 Realized Loss on Commodity Futures Contracts Net Change in Unrealized Appreciation on Commodity Futures Contracts Commodity Price Wheat futures contracts $ ( 4,271,888 ) $ 9,268,062 Six months ended June 30, 2020 Realized Gain on Commodity Futures Contracts Net Change in Unrealized Depreciation on Commodity Futures Contracts Commodity Price Wheat futures contracts $ 167,515 $ ( 6,884,216 ) Six months ended June 30, 2019 Realized Loss on Commodity Futures Contracts Net Change in Unrealized Appreciation on Commodity Futures Contracts Commodity Price Wheat futures contracts $ ( 8,367,250 ) $ 7,151,175 Volume of Derivative Activities The average notional market value categorized by primary underlying risk for all futures contracts held was $ 47.4 million and $ 56.5 million, respectively, for the three months ended June 30, 2020 and 2019, and $ 48.3 million and $ 56.0 million for the six months ended June 30, 2020 and 2019. 89 Table of Contents Note 6 - Financial Highlights The following tables present per unit performance data and other supplemental financial data for the three and six months ended June 30, 2020 and 2019. This information has been derived from information presented in the financial statements. 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 Six months ended Six months ended June 30, 2020 June 30, 2019 June 30, 2020 June 30, 2019 Per Share Operation Performance Net asset value at beginning of period $ 5.77 $ 5.30 $ 5.84 $ 5.95 Income (loss) from investment operations: Investment income 0.01 0.03 0.04 0.07 Net realized and unrealized (loss) gain on commodity futures contracts ( 0.69 ) 0.47 ( 0.74 ) ( 0.17 ) Total expenses, net ( 0.05 ) ( 0.05 ) ( 0.10 ) ( 0.10 ) Net (decrease) increase in net asset value ( 0.73 ) 0.45 ( 0.80 ) ( 0.20 ) Net asset value at end of period $ 5.04 $ 5.75 $ 5.04 $ 5.75 Total Return ( 12.76 )% 8.49 % ( 13.73 )% ( 3.36 )% Ratios to Average Net Assets (Annualized) Total expenses 3.62 % 3.85 % 3.53 % 3.73 % Total expenses, net 3.62 % 3.85 % 3.53 % 3.72 % Net investment loss ( 2.56 )% ( 1.18 )% ( 2.18 )% ( 1.03 )% 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 June 30, 2020 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 noted below: The impact of COVID-19 is evolving rapidly, and such events can be highly disruptive to economies and markets. The impact of COVID-19 to the Fund is described in more detail in Part 2 of this 10-Q. On July 20, 2020, the Sponsor opened an interest-bearing account with Capital One Bank through American Deposit Management Company. Balances in the account may at times exceed FDIC insurance limits. 90 Table of Contents T EUCRIUM AGRICULTURAL FUND STATEMENTS OF ASSETS AND LIABILITIES June 30, 2020 December 31, 2019 (Unaudited) Assets Cash equivalents $ 2,535 $ 2,633 Receivable for investments sold 211,145 - Interest receivable - 3 Other assets 23 - Equity in trading accounts: Investments in securities, at fair value (cost $1,385,044 and $1,908,649 as of June 30, 2020 and December 31, 2019, respectively) 1,045,229 1,476,880 Total assets 1,258,932 1,479,516 Liabilities Capital shares payable 209,801 - Other liabilities 1,155 736 Total liabilities $ 210,956 736 Net assets $ 1,047,976 $ 1,478,780 Shares outstanding 62,502 75,002 Shares authorized 4,625,000 4,625,000 Net asset value per share $ 16.77 $ 19.72 Market value per share $ 16.79 $ 19.60 The accompanying notes are an integral part of these financial statements. 91 Table of Contents T EUCRIUM AGRICULTURAL FUND SCHEDULE OF INVESTMENTS June 30, 2020 (Unaudited) Percentage of Description: Assets Fair Value Net Assets Shares Exchange-traded funds Teucrium Corn Fund $ 260,585 24.87 % 21,008 Teucrium Soybean Fund 261,237 24.93 18,681 Teucrium Sugar Fund 262,901 25.09 45,924 Teucrium Wheat Fund 260,506 24.86 51,737 Total exchange-traded funds (cost $1,385,044) $ 1,045,229 99.75 % Cash equivalents Money market funds Fidelity Institutional Money Market Funds - Government Portfolio 0.05% (cost $2,535) $ 2,535 0.24 % 2,535 The accompanying notes are an integral part of these financial statements. 92 Table of Contents TEUCRIUM AGRICULTURAL FUND SCHEDULE OF INVESTMENTS December 31, 2019 Percentage of Description: Assets Fair Value Net Assets Shares Exchange-traded funds Teucrium Corn Fund $ 360,286 24.36 % 24,308 Teucrium Soybean Fund 371,397 25.11 23,431 Teucrium Sugar Fund 373,786 25.28 53,124 Teucrium Wheat Fund 371,411 25.12 63,637 Total exchange-traded funds (cost: $1,908,649) $ 1,476,880 99.87 % Cash equivalents Money market funds Fidelity Institutional Money Market Funds - Government Portfolio 1.50% (cost $2,633) $ 2,633 0.18 % 2,633 The accompanying notes are an integral part of these financial statements. 93 Table of Contents T EUCRIUM AGRICULTURAL FUND STATEMENTS OF OPERATIONS (Unaudited) Three months ended Three months ended Six months ended Six months ended June 30, 2020 June 30, 2019 June 30, 2020 June 30, 2019 Income Realized and unrealized gain (loss) on trading of securities: Realized loss on securities $ ( 240,268 ) $ ( 58,112 ) $ ( 311,685 ) $ ( 65,649 ) Net change in unrealized appreciation (depreciation) on securities 196,238 105,666 91,954 52,630 Interest income 1 16 11 34 Total (loss) income ( 44,029 ) 47,570 ( 219,720 ) ( 12,985 ) Expenses Professional fees 4,609 2,436 7,183 5,439 Distribution and marketing fees 3,464 4,110 8,397 10,199 Custodian fees and expenses 532 544 1,066 1,332 Business permits and licenses fees 3,004 7 14,129 12,007 General and administrative expenses 677 770 1,001 1,156 Other expenses 6 9 10 45 Total expenses 12,292 7,876 31,786 30,178 Expenses waived by the Sponsor ( 11,681 ) ( 7,181 ) ( 30,503 ) ( 28,765 ) Total expenses, net 611 695 1,283 1,413 Net (loss) income $ ( 44,640 ) $ 46,875 $ ( 221,003 ) $ ( 14,398 ) Net (loss) income per share $ ( 0.60 ) $ 0.63 $ ( 2.95 ) $ ( 0.19 ) Net (loss) income per weighted average share $ ( 0.60 ) $ 0.62 $ ( 2.95 ) $ ( 0.19 ) Weighted average shares outstanding 75,002 75,002 75,002 75,002 The accompanying notes are an integral part of these financial statements. 94 Table of Contents T EUCRIUM AGRICULTURAL FUND STATEMENTS OF CHANGES IN NET ASSETS (Unaudited) Six months ended Six months ended June 30, 2020 June 30, 2019 Operations Net loss $ ( 221,003 ) $ ( 14,398 ) Capital transactions Redemption of Shares ( 209,801 ) - Total capital transactions ( 209,801 ) - Net change in net assets ( 430,804 ) ( 14,398 ) Net assets, beginning of period $ 1,478,780 $ 1,524,760 Net assets, end of period $ 1,047,976 $ 1,510,362 Net asset value per share at beginning of period $ 19.72 $ 20.33 Net asset value per share at end of period $ 16.77 $ 20.14 Creation of Shares - - Redemption of Shares 12,500 - The accompanying notes are an integral part of these financial statements. 95 Table of Contents T EUCRIUM AGRICULTURAL FUND STATEMENTS OF CASH FLOWS (Unaudited) Six months ended Six months ended June 30, 2020 June 30, 2019 Cash flows from operating activities: Net loss $ ( 221,003 ) $ ( 14,398 ) Adjustments to reconcile net loss to net cash used in operating activities: Net change in unrealized appreciation on securities (91,954 ) (52,630 ) Changes in operating assets and liabilities: Net sale of investments in securities 523,605 66,988 Interest receivable 3 - Receivable for investments sold ( 211,145 ) - Other assets ( 23 ) - Other liabilities 419 ( 82 ) Net cash used in operating activities ( 98 ) ( 122 ) Net change in cash and cash equivalents ( 98 ) ( 122 ) Cash and cash equivalents, beginning of period 2,633 2,862 Cash and cash equivalents, end of period $ 2,535 $ 2,740 The accompanying notes are an integral part of these financial statements. 96 Table of Contents NOTES TO FINANCIAL STATEMENTS June 30, 2020 (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. On April 30, 2018, a subsequent registration statement for TAGS was declared effective by the SEC. 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 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%. 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 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. 97 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 and six months ended June 30, 2020 are not necessarily indicative of the results to be expected for the full year ending December 31, 2020. 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. Bank N.A. as the Custodian for the Funds. The principal business address for U.S. Bank N.A is 1555 North Rivercenter Drive, Suite 302, Milwaukee, Wisconsin 53212. U.S. Bank N.A. is a Wisconsin state-chartered bank subject to regulation by the Board of Governors of the Federal Reserve System and the Wisconsin State Banking Department. The principal address for U.S. Bancorp Fund Services, LLC doing business as U.S. Bank Global Fund Services ("Global Fund Services") is 615 E. Michigan Street, Milwaukee, WI 53202. In addition, effective on the Conversion Date, Global Fund Services, a wholly owned subsidiary of U.S. Bank, commenced serving as administrator for each Fund, performing certain administrative and accounting services and preparing certain SEC reports on behalf of the Funds, and also became the registrar and transfer agent for each Fund’s Shares. For such services, U.S. Bank and Global Fund Services will receive an asset-based fee, subject to a minimum annual fee. 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 0.06% of average gross assets on the first $250 million, 0.05% on the next $250 million, 0.04% on the next $500 million and 0.03% on the balance over $1 billion annually. A combined minimum annual fee of up to $64,500 for custody, transfer agency, accounting and administrative services is assessed per Fund . These services are recorded in 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 the Fund’s average daily net assets and an aggregate annual fee of $100,000 for all Teucrium 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 in 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. Additionally, Foreside Distributors, LLC performs certain distribution consulting services pursuant to a Distribution Consulting Agreement with the Trust's Sponsor. ED&F Man Capital Markets, Inc. (“ED&F Man”) serves as the Underlying Funds’ clearing broker to execute and clear the Underlying Funds’ futures and provide other brokerage-related services. ED&F Man is registered as an FCM with the U.S. CFTC and is a member of the NFA. ED&F Man is also registered as a broker/dealer with the U.S. Securities and Exchange Commission and is a member of the FINRA. ED&F Man is a clearing member 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 ED&F Man is paid $9.00 per round turn . Prior to August 21, 2019, these expenses were recorded in brokerage commissions on the statements of operations. Beginning on August 21, 2019, these expenses were 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 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. 98 Table of Contents The Sponsor employs Thales Capital Partners LLC (TCP) as the Marketing Agent. TCP is registered as a Broker-Dealer with the SEC and a member of Financial Industry Regulatory Authority (FINRA) and SIPC. TCP receives an annual fee of $90,000 and an additional 0.0015% of average daily net assets in referred accounts for distribution and solicitation-related services . This additional fee is determined by an agreed upon level of assets at the time of signing the contract. These services are recorded in distribution and marketing fees on the statements of operations. A summary of these expenses is included below. Three months ended June 30, 2020 Three months ended June 30, 2019 Six months ended June 30, 2020 Six months ended June 30, 2019 Amount Recognized for Custody Services $ 532 $ 544 $ 1,066 $ 1,332 Amount of Custody Services Waived $ 532 $ 544 $ 1,066 $ 1,332 Amount Recognized for Distribution Services $ 206 $ 216 $ 463 $ 548 Amount of Distribution Services Waived $ 206 $ 216 $ 463 $ 457 Amount Recognized for Brokerage Commissions $ - $ - $ - $ - Amount of Brokerage Commissions Waived $ - $ - $ - $ - Amount Recognized for Wilmington Trust $ - $ - $ - $ - Amount of Wilmington Trust Waived $ - $ - $ - $ - Amount Recognized for TCP $ 134 $ - $ 264 $ - Amount of TCP Waived $ 134 $ - $ 264 $ - 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 assets and liabilities 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. Beginning on August 21, 2019, brokerage commission expenses were 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. Changes in the appreciation or depreciation between periods are reflected in the statements of operations. The Sponsor adopted ASC 606, Revenue from Contracts With Customers, for the year ended December 31, 2018. The adoption did not have a material impact on the financial statements of the Trust or the Fund. Brokerage Commissions Brokerage commissions are accrued on the trade date and on a full-turn 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. 99 Table of Contents 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 2017 to 2019, 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 June 30, 2020 and for the years ended December 31, 2019, 2018 and 2017. 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 June 30, 2020 and 2019. 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. (EST) on the day the order to create the basket is properly received. 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. (EST) on the day the order to redeem the basket is properly received. 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 receivable for shares sold. 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 represents 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. 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 $2,535 and $2,633 in money market funds at June 30, 2020 and December 31, 2019, 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 Funds monitors the financial condition of such brokers and does not anticipate any losses from these counterparties. 100 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. (EST). The NAV for a particular trading day will be released after 4:15 p.m. (EST). For purposes of the 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 Fund and Underlying Fund investments as of the earlier of the close of the New York Stock Exchange or 4:00 p.m. (EST), 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 an 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. 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, formerly the National Association of Securities Dealers, 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 statement of operations. All asset-based fees and expenses for the Funds are calculated on the prior day’s net assets. Three months ended June 30, 2020 Three months ended June 30, 2019 Six months ended June 30, 2020 Six months ended June 30, 2019 Recognized Related Party Transactions $ 2,736 $ 2,741 $ 6,201 $ 8,774 Waived Related Party Transactions $ 2,315 $ 2,741 $ 5,780 $ 7,547 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 would be no recovery sought for the amounts below in any future period: TAGS Three months ended June 30, 2020 $ 11,681 Three months ended June 30, 2019 $ 7,181 Six months ended June 30, 2020 $ 30,503 Six months ended June 30, 2019 $ 28,765 Expenses Expenses are recorded using the accrual method of accounting. 101 Table of Contents 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”) 2020-02: “Financial Instruments-Credit Losses (Topic 326) and Leases (Topic 842): Amendments to SEC Paragraphs Pursuant to SEC Staff Accounting Bulletin No. 119 and Update to SEC Section on Effective Date Related to Accounting Standards Update No. 2016-02, Leases (Topic 842). The amendment updates and adds language to ASU 2016-02. The amendments were adopted for the quarter ended March 31, 2020; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund The FASB issued ASU 2020-01: Investments-Equity Securities (Topic 321), Investments-Equity Method and Joint Ventures (Topic 323), and Derivatives and Hedging (Topic 815)-Clarifying the Interactions between Topic 321, Topic 323, and Topic 815. The amendments clarify the treatment of transactions that require a company to apply or discontinue the equity method of accounting. The amendments were adopted early for the quarter ended March 31, 2020; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued 2019-07: “Codification Updates to SEC Sections: Amendments to SEC Paragraphs Pursuant to SEC Final Rule Releases No. 33-10532, Disclosure Update and Simplification, and Nos. 33-10231 and 33-10442, Investment Company Reporting Modernization, and Miscellaneous Updates.” The amendments improve, update, and simplify the SEC’s regulations on financial reporting and disclosure. The amendments were adopted for the quarter ended September 30, 2019; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued ASU 2019-04: “Codification Improvements to Topic 326, Financial Instruments - Credit Losses, Topic 815, Derivatives and hedging, and Topic 825, Financial Instruments.” The amendments clarify and improve areas of guidance related to the recently issued standards on credit losses, hedging, and recognition and measurement, specifically relating to ASU 2017-12. The amendments were early adopted for the quarter ended June 30, 2019; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued ASU 2019-01: "Leases (Topic 842): Codification Improvements. These amendments align the guidance for fair value of underlying assets by lessors that are not manufacturers or dealers in Topic 842 with that of existing guidance. The amendments will be effective for fiscal years and interim periods beginning after December 15, 2019 and may be adopted early. The Sponsor is evaluating the impacts, but the amendment is not expected to have a material impact on the financial statements of the Trust or the Fund. The FASB issued ASU 2018-13: “Fair Value Measurement (Topic 820): Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement. These amendments modify public and private company fair value disclosure requirements. While some disclosures were removed or modified, others were added. The guidance is a result of the FASB’s test of the principals developed to improve the effectiveness of disclosures in the notes to the financial statements. The amendments will be effective for fiscal years and interim periods beginning after December 15, 2019 and may be adopted early. The Sponsor is evaluating the impacts, specifically, the removal, modification and addition to the fair value disclosures of the Trust or the Fund. The FASB issued ASU 2018-05, “Income Taxes (Topic 740): Amendments to SEC Paragraphs Pursuant to SEC Staff Accounting Bulletin No. 118." These amendments add guidance to the FASB Accounting Standards Codification regarding the Tax Cuts and Jobs Act (Act). The amendments were adopted for the quarter ended March 31, 2018; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued ASU 2017-13, “Revenue Recognition (Topic 605), Leases (Topic 840), and Leases (Topic 842): Amendments to SEC Paragraphs Pursuant to the Staff Announcement at the July 20, 2017 EITF Meeting and Rescission of Prior SEC Staff Announcements and Observer Comments”. The amendment amends the early adoption date option for certain companies related to adoption of ASU No. 2014-09 and ASU No. 2016-02. The SEC staff stated the SEC would not object to a public business entity that otherwise would not meet the definition of a public business entity except for a requirement to include or the inclusion of its financial statements or financial information in another entity’s filing with the SEC adopting ASC Topic 842 for fiscal years beginning after December 15, 2019, and interim periods within fiscal years beginning after December 15, 2020. This amendment is not expected to have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued ASU 2017-12, “Derivatives and Hedging (Topic 815): Targeted Improvements to Accounting for Hedging Activities”. These amendments refine and expand hedge accounting for both financial (e.g., interest rate) and commodity risks. Its provisions create more transparency around how economic results are presented, both on the face of the financial statements and in the footnotes. It also makes certain targeted improvements to simplify the application of hedge accounting guidance. The amendments were adopted for the quarter ended March 31, 2019; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued ASU 2016-02, “Leases (Topic 842).” The amendments in this update increase transparency and comparability among organizations by recognizing lease assets and lease liabilities on the balance sheet and disclosing key information about leasing arrangements. The amendments were adopted for the quarter ended March 31, 2019; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. 102 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. 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 2. The following table presents information about the Fund’s assets and liabilities measured at fair value as of June 30, 2020 and December 31, 2019: June 30, 2020 Assets: Level 1 Level 2 Level 3 Balance as of June 30, 2020 Exchange Traded Funds $ 1,045,229 $ - $ - $ 1,045,229 Cash Equivalents 2,535 - - $ 2,535 Total $ 1,047,764 $ - $ - $ 1,047,764 103 Table of Contents December 31, 2019 Assets: Level 1 Level 2 Level 3 Balanc