What changed in this filing

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Item 2. Management’s Discussion and Analysis

2021-11-09 compared with 2021-08-09 · 185 added, 195 removed, 1270 unchanged (23% of the section changed)

80 unchanged sentences

Each Benchmark is rebalanced periodically to ensure that each of the Benchmark Component Futures Contracts is weighted in the same proportion as in the investment objective for each Fund.

The following tables reflect the June 30, 2021, Benchmark Component Futures Contracts weights for each of the Funds, the contract held is identified by the generally accepted nomenclature of contract month and year, which may differ from the month in which the contract expires:

The following tables reflect the September 30, 2021, Benchmark Component Futures Contracts weights for each of the Funds, the contract held is identified by the generally accepted nomenclature of contract month and year, which may differ from the month in which the contract expires:

CORN Benchmark Component Futures Contracts

Notional Value

CBOT Corn Futures (2,092 contracts, SEP21)

CBOT Corn Futures (1,823 contracts, DEC21)

CBOT Corn Futures (1,544 contracts, MAR22)

CBOT Corn Futures (1,312 contracts, MAY22)

CBOT Corn Futures (1,624 contracts, DEC22)

Total at June 30, 2021

Total at September 30, 2021

$ 120,497,100

1 unchanged sentence

Notional Value

CBOT Soybean Futures (359 contracts, NOV21)

CBOT Soybean Futures (261 contracts, JAN22)

CBOT Soybean Futures (222 contracts, MAR22)

CBOT Soybean Futures (268 contracts, NOV22)

Total at June 30, 2021

Total at September 30, 2021

CANE Benchmark Component Futures Contracts

Notional Value

ICE Sugar Futures (382 contracts, MAR22)

ICE Sugar Futures (414 contracts, MAY22)

ICE Sugar Futures (368 contracts, JULY22)

ICE Sugar Futures (439 contracts, MAR23)

Total at June 30, 2021

Total at September 30, 2021

WEAT Benchmark Component Futures Contracts

Notional Value

CBOT Wheat Futures (889 contracts, SEP21)

CBOT Wheat Futures (753 contracts, DEC21)

CBOT Wheat Futures (695 contracts, MAR22)

CBOT Wheat Futures (593 contracts, MAY22)

CBOT Wheat Futures (708 contracts, DEC22)

Total at June 30, 2021

Total at September 30, 2021

TAGS Benchmark Component Futures Contracts

3 unchanged sentences

Shares of Teucrium Sugar Fund (219,042 shares)

Total at June 30, 2021

Total at September 30, 2021

The price relationship between the near month Futures Contract to expire and the Benchmark Component Futures Contracts will vary and may impact both the total return of each Fund over time and the degree to which such total return tracks the total return of the price indices related to the commodity of each Fund.

25 unchanged sentences

Any cash equivalent invested by a Fund will be deemed by the Sponsor to be of investment grade quality.

As of June 30, 2021, available cash balances in each of the Funds were invested in the First American Government Obligations Fund – Class X, Goldman Sachs Financial Square Government Fund, in demand deposits at Capital One, PNC, and in commercial paper with maturities of ninety days or less.

As of September 30, 2021, available cash balances in each of the Funds were invested in the First American Government Obligations Fund – Class X, Goldman Sachs Financial Square Government Fund, in demand deposits at Capital One, PNC, and in commercial paper with maturities of ninety days or less.

Additionally, the CORN, SOYB, CANE and WEAT Funds may invest a portion of the amount of funds required to be deposited with the FCM as initial margin in U.S.

29 unchanged sentences

Performance Summary

This report covers the periods from January 1 to June 30, 2021 for each Fund.

This report covers the periods from January 1 to September 30, 2021 for each Fund.

Total expenses are presented both gross and net of any expenses waived or paid by the Sponsor that would have been incurred by the Funds (“expenses waived by the Sponsor”).

61 unchanged sentences

The following includes a section for each Fund of the Trust.

The discussion below addresses the material changes in the results of operations for the three and six months ended June 30, 2021 compared to the same period in 2020.

The discussion below addresses the material changes in the results of operations for the three and nine months ended September 30, 2021 compared to the same period in 2020.

The following includes a section for each Fund of the Trust for the periods in which each Fund was in operation.

14 unchanged sentences

these are necessary services to the Funds, which are primarily the cost of performing accounting and financial reporting, regulatory compliance, and trading activities that are directly attributable to the Funds and are, primarily, included as distribution and marketing fees on the statements of operations.

These amounts, for the Trust and for each Fund, are detailed in the notes to the financial statements included in Part II of this filing.

These amounts, for the Trust and for each Fund, are detailed in the notes to the financial statements included in Part I of this filing.

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

5 unchanged sentences

The fund does not track the spot price of corn.

On June 30, 2021, the Corn Fund held a total of CBOT Corn Futures contracts with a notional value of $177,443,650.

On September 30, 2021, the Corn Fund held a total of CBOT Corn Futures contracts with a notional value of $120,497,100.

The contracts had an asset fair value of $1,980,301 and a liability fair value of $89,136.

The weighting of the notional value of the contracts is as follows:

(1) 36% to the SEP21 contracts, the second to expire CBOT Corn Futures Contract, (2) 30% to DEC21 CBOT contracts, the third to expire CBOT Corn Futures Contract, and (3) 34% to DEC22 CBOT contracts, the CBOT Corn Futures Contract expiring in the December following the expiration month of the third to expire contract.

(1) 35% to the MAR22 contracts, the second to expire CBOT Corn Futures Contract, (2) 30% to MAY22 CBOT contracts, the third to expire CBOT Corn Futures Contract, and (3) 35% to DEC22 CBOT contracts, the CBOT Corn Futures Contract expiring in the December following the expiration month of the third to expire contract.

Quarter Ending

1 unchanged sentence

Quarter Ending

June 30, 2021

September 30, 2021

September 30, 2020

June 30, 2021

March 31, 2021

Total Net Assets

1 unchanged sentence

$ 152,842,949

$ 177,431,275

Shares Outstanding

1 unchanged sentence

Closing Price

Total net assets for the Fund increased year over year by 101%, driven by a combination of an increase in total shares outstanding of 1,150,000 shares or 16% and an increase in the NAV per share of $9.04 or 73%.

The net assets for the Fund increased by 6% when comparing June 30, 2021 to March 31, 2021.

This increase in total net assets year over year, in the opinion of management, was generally due to weak corn prices during first half of 2020, followed by increased investor interest as China surfaced as a buyer of record amounts of US corn.

This in turn drew down inventories followed by the USDA greatly reducing ending stocks for the current crop year.

For the Three Months Ended June 30, 2021 Compared to the Three Months Ended June 30, 2020

Total net assets for the Fund decreased year over year by 21%, driven by a combination of a decrease in total shares outstanding of 5,675,000 shares or 49% and an increase in the NAV per share of $7.08 or 54%.

The net assets for the Fund decreased by 32% when comparing September 30, 2021 to June 30, 2021.

This decrease in total net assets year over year, in the opinion of management, was generally due to investors liquidating shares purchased at depressed values in mid-2020 which appreciated in value due to record large corn purchases by China and investors investing in commodities as an inflation hedge.

For the Three Months Ended September 30, 2021 Compared to the Three Months Ended September 30, 2020

Three Months Ended

June 30, 2021

June 30, 2020

September 30, 2021

September 30, 2020

Average daily total net assets

$ 135,767,092

Net realized and unrealized gain (loss) on futures contracts

$ 108,783,601

Net realized and unrealized (loss) gain on futures contracts

$ (10,603,502 )

Interest income earned on cash and cash equivalents

Annualized interest yield based on average daily total net assets

Net Income (Loss)

Net (Loss) Income

$ (11,185,315 )

14 unchanged sentences

The Sponsor has a static benchmark as described above and trades futures contracts to adhere to that benchmark and to adjust for the creation or redemption of shares.

The decrease in interest and other income year over year was due to continued uncertainty over the path of the virus, elevated unemployment and weak inflation with current federal funds rates at near zero.

As a result, the amount of interest income earned as a percentage of average daily total net assets was lower in the three months ended June 30, 2021, compared to the three months ended June 30, 2020.

The decrease in interest and other income year over year was due to continued uncertainty of the virus, and elevated unemployment with current federal funds rates at near zero.

As a result, the amount of interest income earned as a percentage of average daily total net assets was lower in the three months ended September 30, 2021, compared to the three months ended September 30, 2020.

The Fund seeks to earn interest and other income in investment grade, short-duration instruments or deposits associated with the pool’s cash management strategy that may be used to offset expenses.

1 unchanged sentence

These interest rate levels may be lower or higher than the projected interest rates stated in the prospectuses and thus will impact your breakeven even point.

The increase in management fee paid to the Sponsor for the three months ended June 30, 2021 compared to the three months ended June 30, 2020 was a result of higher average net assets.

The increase in management fee paid to the Sponsor for the three months ended September 30, 2021 compared to the three months ended September 30, 2020 was a result of higher average net assets.

The management fee is calculated at an annual rate of 1% of the Fund’s daily average net assets.

4 unchanged sentences

The Sponsor can elect to adjust the daily expense accruals at its discretion based on market conditions and other Fund considerations.

The increase in total gross fees and other expenses excluding management fees for the three months ended June 30, 2021 compared to the three months ended June 30, 2020 was generally due to the increase in average net assets in the period.

The increase in total gross fees and other expenses excluding management fees for the three months ended September 30, 2021 compared to the three months ended September 30, 2020 was generally due to the increase in average net assets in the period.

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

1 unchanged sentence

The Sponsor has determined that no reimbursement will be sought in future periods for those expenses which have been waived for the period.

The increase in total brokerage commissions for the three months ended June 30, 2021 compared to the three months ended June 30, 2020, was primarily due to an increase in contracts purchased, liquidated, and rolled.

For the three months ended June 30, 2021, the Fund issued 1,250,000 shares as part of creation baskets and purchased 2,525,000 shares as part of redemption baskets.

Shares outstanding increased by 1,150,000 shares or 16% for three months ended June 30, 2021 when compared to the same period in 2020.

In total, the Fund issued 3,225,000 shares and purchased 625,000 shares for the three months ended June 30, 2020.

For the Six Months Ended June 30, 2021 Compared to the Six Months Ended June 30, 2020

Six Months Ended

June 30, 2021

June 30, 2020

The decrease in total brokerage commissions for the three months ended September 30, 2021 compared to the three months ended September 30, 2020, was primarily due to a decrease in contracts purchased, liquidated, and rolled.

For the three months ended September 30, 2021, the Fund issued 375,000 shares as part of creation baskets and purchased 2,700,000 shares as part of redemption baskets.

Shares outstanding decreased by 5,675,000 shares or 49% for three months ended September 30, 2021 when compared to the same period in 2020.

In total, the Fund issued 8,425,000 shares and purchased 3,925,000 shares for the three months ended September 30, 2020.

For the Nine months Ended September 30, 2021 Compared to the Nine months Ended September 30, 2020

Nine Months Ended

September 30, 2021

September 30, 2020

Average daily total net assets

$ 158,799,521

Net realized and unrealized gain (loss) on futures contracts

$ (9,571,825 )

Net realized and unrealized gain on futures contracts

Interest income earned on cash and cash equivalents

Annualized interest yield based on average daily total net assets

Net Income (Loss)

$ (10,418,764 )

Weighted average share outstanding

13 unchanged sentences

The Sponsor has a static benchmark as described above and trades futures contracts to adhere to that benchmark and to adjust for the creation or redemption of shares.

As a result, the amount of interest income earned as a percentage of average daily total net assets was lower in the six months ended June 30, 2021, compared to the six months ended June 30, 2020.

The decrease in interest and other income year over year was due to continued uncertainty of the virus, and elevated unemployment with current federal funds rates at near zero.

The Fund seeks to earn interest and other income in investment grade, short-duration instruments or deposits associated with the pool’s cash management strategy that may be used to offset expenses.

1 unchanged sentence

These interest rate levels may be lower or higher than the projected interest rates stated in the prospectuses and thus will impact your breakeven even point.

The increase in management fee paid to the Sponsor for the six months ended June 30, 2021 compared to the six months ended June 30, 2020 was a result of higher average net assets.

The increase in management fee paid to the Sponsor for the nine months ended September 30, 2021 compared to the nine months ended September 30, 2020 was a result of higher average net assets.

The management fee is calculated at an annual rate of 1% of the Fund’s daily average net assets.

4 unchanged sentences

The Sponsor can elect to adjust the daily expense accruals at its discretion based on market conditions and other Fund considerations.

The increase in total gross fees and other expenses excluding management fees for the six months ended June 30, 2021 compared to the six months ended June 30, 2020 was generally due to the increase in average net assets in the period..

The increase in total gross fees and other expenses excluding management fees for the nine months ended September 30, 2021 compared to the nine months ended September 30, 2020 was generally due to the increase in average net assets in the period.

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

1 unchanged sentence

The Sponsor has determined that no reimbursement will be sought in future periods for those expenses which have been waived for the period.

The increase in total brokerage commissions for the six months ended June 30, 2021 compared to the six months ended June 30, 2020, was primarily due to an increase in contracts purchased, liquidated, and rolled.

For the six months ended June 30, 2021, the Fund issued 3,400,000 shares as part of creation baskets and purchased 4,025,000 shares as part of redemption baskets.

In total, the Fund issued 3,475,000 shares and purchased 1,425,000 shares for the six months ended June 30, 2020.

The graph below shows the actual shares outstanding, total net assets (or AUM) and net asset value per share (NAV per share) for the Fund from inception to June 30, 2021 and serves to illustrate the relative changes of these components.

The increase in total brokerage commissions for the nine months ended September 30, 2021 compared to the nine months ended September 30, 2020, was primarily due to an increase in contracts purchased, liquidated, and rolled.

For the nine months ended September 30, 2021, the Fund issued 3,775,000 shares as part of creation baskets and purchased 6,725,000 shares as part of redemption baskets.

In total, the Fund issued 11,900,000 shares and purchased 5,350,000 shares for the nine months ended September 30, 2020.

The graph below shows the actual shares outstanding, total net assets (or AUM) and net asset value per share (NAV per share) for the Fund from inception to September 30, 2021 and serves to illustrate the relative changes of these components.

Other than the management fee to the Sponsor and the brokerage commissions, most of the expenses incurred by the Fund are associated with the day to day operation of the Fund and the necessary functions related to regulatory compliance.

14 unchanged sentences

(1) 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%.

On June 30, 2021, the Fund held a total of CBOT soybean futures contracts with a notional value of $70,791,713.

The contracts had an asset fair value of $7,084,288.

On September 30, 2021, the Fund held a total of CBOT soybean futures contracts with a notional value of $47,300,225.

The contracts had an asset fair value of $1,045,744 and a liability fair value of $1,715,999.

The weighting of the notional value of the contracts is as follows:

(1) 35% to NOV21 CBOT contracts, (2) 30% to JAN22 CBOT contracts, and (3) 35% to NOV22 CBOT contracts.

(1) 35% to Jan22 CBOT contracts, (2) 30% to Mar22 CBOT contracts, and (3) 35% to Nov22 CBOT contracts.

Quarter Ending

1 unchanged sentence

Quarter Ending

June 30, 2021

September 30, 2021

September 30, 2020

June 30, 2021

March 31, 2021

Total Net Assets

$ 128,509,361

Shares Outstanding

1 unchanged sentence

Closing Price

Total net assets for the Fund increased year over year by 26%, driven by a combination of a decrease in total shares outstanding of 1,050,000 shares or 26% and an increase in the NAV per share of $9.81 or 70%.

The net assets for the Fund decreased by 22% when comparing June 30, 2021 to March 31, 2021.

This increase year over year, in the opinion of management, was due to the relative low price of soybeans during the first half of 2020 compared to the last decade, followed by China purchasing record amounts of soybeans in the midst of rebuilding their hog herd post African Swine Flu.

This in turn renewed investor focus on the agricultural commodity sector.

For the Three Months Ended June 30, 2021 Compared to the Three Months Ended June 30, 2020

Total net assets for the Fund decreased year over year by 63%, driven by a combination of a decrease in total shares outstanding of 5,950,000 shares or 73% and partially offset by an increase in the NAV per share of $6.12 or 39%.

The net assets for the Fund decreased by 33% when comparing September 30, 2021 to June 30, 2021.

Very similar with the decline in the Teucrium CORN Fund, this decrease in total net assets year over year, in the opinion of management, was generally due to investors liquidating shares purchased at depressed values in mid-2020 which appreciated in value due to record large soybean purchases by China and investors investing in commodities as an inflation hedge.

For the Three Months Ended September 30, 2021 Compared to the Three Months Ended September 30, 2020

Three Months Ended

June 30, 2021

June 30, 2020

September 30, 2021

September 30, 2020

Average daily total net assets

Net realized and unrealized gain on futures contracts

Net realized and unrealized (loss) gain on futures contracts

$ (4,333,370 )

Interest income earned on cash and cash equivalents

Annualized interest yield based on average daily total net assets

Net (Loss) Income

$ (4,573,209 )

Weighted average share outstanding

13 unchanged sentences

The Sponsor has a static benchmark as described above and trades futures contracts to adhere to that benchmark and to adjust for the creation or redemption of shares.

The decrease in interest and other income year over year was due to continued uncertainty of the virus, and elevated unemployment with current federal funds rates at near zero.

The Fund seeks to earn interest and other income in investment grade, short-duration instruments or deposits associated with the pool’s cash management strategy that may be used to offset expenses.

1 unchanged sentence

These interest rate levels may be lower or higher than the projected interest rates stated in the prospectuses and thus will impact your breakeven even point.

The increase in management fee paid to the Sponsor for the three months ended June 30, 2021 compared to the three months ended June 30, 2020 was a result of higher average net assets.

The decrease in management fee paid to the Sponsor for the three months ended September 30, 2021 compared to the three months ended September 30, 2020 was a result of lower average net assets.

The management fee is calculated at an annual rate of 1% of the Fund’s daily average net assets.

4 unchanged sentences

The Sponsor can elect to adjust the daily expense accruals at its discretion based on market conditions and other Fund considerations.

The decrease in total gross fees and other expenses excluding management fees for the three months ended September 30, 2021 compared to the three months ended September 30, 2020 was generally due to the decrease in average net assets in the period.

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

1 unchanged sentence

The Sponsor has determined that no reimbursement will be sought in future periods for those expenses which have been waived for the period.

For the three months ended June 30, 2021, the Fund issued 0 shares as part of creation baskets and purchased 1,250,000 shares as part of redemption baskets.

Shares outstanding decreased by 1,050,000 shares or 26% for three months ended June 30, 2021 when compared to the same period in 2020.

In total, the Fund issued 2,450,000 shares and purchased 0 shares for the three months ended June 30, 2020.

For the Six Months Ended June 30, 2021 Compared to the Six Months Ended June 30, 2020

Six Months Ended

June 30, 2021

June 30, 2020

For the three months ended September 30, 2021, the Fund issued 150,000 shares as part of creation baskets and purchased 975,000 shares as part of redemption baskets.

Shares outstanding decreased by 5,950,000 shares or 73% for three months ended September 30, 2021 when compared to the same period in 2020.

In total, the Fund issued 5,075,000 shares and purchased 1,000,000 shares for the three months ended September 30, 2020.

For the Nine months Ended September 30, 2021 Compared to the Nine months Ended September 30, 2020

Nine Months Ended

September 30, 2021

September 30, 2020

Average daily total net assets

Net realized and unrealized gain (loss) on futures contracts

$ (2,527,670 )

Net realized and unrealized gain on futures contracts

Interest income earned on cash and cash equivalents

Annualized interest yield based on average daily total net assets

Net Income (Loss)

$ (2,887,026 )

Weighted average share outstanding

13 unchanged sentences

The Sponsor has a static benchmark as described above and trades futures contracts to adhere to that benchmark and to adjust for the creation or redemption of shares.

As a result, the amount of interest income earned as a percentage of average daily total net assets was lower in the six months ended June 30, 2021, compared to the six months ended June 30, 2020.

The decrease in interest and other income year over year was due to continued uncertainty of the virus, and elevated unemployment with current federal funds rates at near zero.

The Fund seeks to earn interest and other income in investment grade, short-duration instruments or deposits associated with the pool’s cash management strategy that may be used to offset expenses.

1 unchanged sentence

These interest rate levels may be lower or higher than the projected interest rates stated in the prospectuses and thus will impact your breakeven even point.

The increase in management fee paid to the Sponsor for the six months ended June 30, 2021 compared to the six months ended June 30, 2020 was a result of higher average net assets.

The increase in management fee paid to the Sponsor for the nine months ended September 30, 2021 compared to the nine months ended September 30, 2020 was a result of higher average net assets.

The management fee is calculated at an annual rate of 1% of the Fund’s daily average net assets.

4 unchanged sentences

The Sponsor can elect to adjust the daily expense accruals at its discretion based on market conditions and other Fund considerations.

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

1 unchanged sentence

The Sponsor has determined that no reimbursement will be sought in future periods for those expenses which have been waived for the period.

For the six months ended June 30, 2021, the Fund issued 900,000 shares as part of creation baskets and purchased 2,500,000 shares as part of redemption baskets.

In total, the Fund issued 2,525,000 shares and purchased 275,000 shares for the six months ended June 30, 2020.

For the nine months ended September 30, 2021, the Fund issued 1,050,000 shares as part of creation baskets and purchased 3,475,000 shares as part of redemption baskets.

In total, the Fund issued 7,600,000 shares and purchased 1,275,000 shares for the nine months ended September 30, 2020.

17 unchanged sentences

11 Futures Contract expiring in the March following the expiration month of the third to expire contract, weighted 35%.

On June 30, 2021, the Fund held a total of ICE sugar futures contracts with a notional value of $22,064,616.

On September 30, 2021, the Fund held a total of ICE sugar futures contracts with a notional value of $26,088,787.

The contracts had an asset fair value of $2,254,654.

The weighting of the notional value of the contracts is as follows:

(1) 35% to the MAR22 ICE No 11 contracts, (2) 30% to the MAY22 ICE No 11 contracts, and (3) 35% to the MAR23 ICE No 11 contracts.

(1) 35% to the May22 ICE No 11 contracts, (2) 30% to the Jul22 ICE No 11 contracts, and (3) 35% to the Mar23 ICE No 11 contracts.

Quarter Ending

1 unchanged sentence

Quarter Ending

June 30, 2021

September 30, 2021

September 30, 2020

June 30, 2021

March 31, 2021

Total Net Assets

3 unchanged sentences

Total net assets for the Fund increased year over year by 128%, driven by a combination of an increase in total shares outstanding of 850,000 or 45% and an increase in the NAV per share of $3.46 or 57%.

The net assets for the Fund increased by 44% when comparing June 30, 2021 to March 31, 2021.

The net assets for the Fund increased by 18% when comparing September 30, 2021 to June 30, 2021.

This increase was, in the opinion of management, due to the low price of sugar and record world demand relative to recent years, which accelerated investor interest.

For the Three Months Ended June 30, 2021 Compared to the Three Months Ended June 30, 2020

For the Three Months Ended September 30, 2021 Compared to the Three Months Ended September 30, 2020

Three Months Ended

June 30, 2021

June 30, 2020

September 30, 2021

September 30, 2020

Average daily total net assets

17 unchanged sentences

The Sponsor has a static benchmark as described above and trades futures contracts to adhere to that benchmark and to adjust for the creation or redemption of shares.

The increase in interest and other income year over year was due to higher net assets and partially offset by continued uncertainty of the virus, and elevated unemployment with current federal funds rates at near zero.

The Fund seeks to earn interest and other income in investment grade, short-duration instruments or deposits associated with the pool’s cash management strategy that may be used to offset expenses.

1 unchanged sentence

These interest rate levels may be lower or higher than the projected interest rates stated in the prospectuses and thus will impact your breakeven even point.

The increase in management fee paid to the Sponsor for the three months ended June 30, 2021 compared to the three months ended June 30, 2020 was a result of higher average net assets.

The increase in management fee paid to the Sponsor for the three months ended September 30, 2021 compared to the three months ended September 30, 2020 was a result of higher average net assets.

The management fee is calculated at an annual rate of 1% of the Fund’s daily average net assets.

4 unchanged sentences

The Sponsor can elect to adjust the daily expense accruals at its discretion based on market conditions and other Fund considerations.

The decrease in total gross fees and other expenses excluding management fees for the three months ended June 30, 2021 compared to the three months ended June 30, 2020 was generally due to the average net assets relative to the other Funds.

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

1 unchanged sentence

The Sponsor has determined that no reimbursement will be sought in future periods for those expenses which have been waived for the period.

For the three months ended June 30, 2021, the Fund issued 600,000 shares as part of creation baskets and purchased 175,000 shares as part of redemption baskets.

Shares outstanding increased by 1,050,000 shares or 68% for three months ended June 30, 2021 when compared to the same period in 2020.

In total, the Fund issued 425,000 shares and purchased 125,000 shares for the three months ended June 30, 2020.

For the Six Months Ended June 30, 2021 Compared to the Six Months Ended June 30, 2020

Six Months Ended

June 30, 2021

June 30, 2020

The increase in total brokerage commissions for the three months ended September 30, 2021 compared to the three months ended September 30, 2020, was primarily due to an increase in contracts purchased, liquidated, and rolled.

For the three months ended September 30, 2021, the Fund issued 525,000 shares as part of creation baskets and purchased 450,000 shares as part of redemption baskets.

Shares outstanding increased by 850,000 shares or 45% for three months ended September 30, 2021 when compared to the same period in 2020.

In total, the Fund issued 850,000 shares and purchased 525,000 shares for the three months ended September 30, 2020.

For the Nine months Ended September 30, 2021 Compared to the Nine months Ended September 30, 2020

Nine Months Ended

September 30, 2021

September 30, 2020

Average daily total net assets

Net realized and unrealized gain (loss) on futures contracts

$ (1,414,448 )

Net realized and unrealized gain on futures contracts

Interest income earned on cash and cash equivalents

1 unchanged sentence

Net Income (Loss)

$ (1,521,877 )

Weighted average share outstanding

13 unchanged sentences

The Sponsor has a static benchmark as described above and trades futures contracts to adhere to that benchmark and to adjust for the creation or redemption of shares.

As a result, the amount of interest income earned as a percentage of average daily total net assets was lower in the six months ended June 30, 2021, compared to the six months ended June 30, 2020.

The decrease in interest and other income year over year was due to continued uncertainty of the virus, and elevated unemployment with current federal funds rates at near zero.

The Fund seeks to earn interest and other income in investment grade, short-duration instruments or deposits associated with the pool’s cash management strategy that may be used to offset expenses.

1 unchanged sentence

These interest rate levels may be lower or higher than the projected interest rates stated in the prospectuses and thus will impact your breakeven even point.

The increase in management fee paid to the Sponsor for the six months ended June 30, 2021 compared to the six months ended June 30, 2020 was a result of higher average net assets.

The increase in management fee paid to the Sponsor for the nine months ended September 30, 2021 compared to the nine months ended September 30, 2020 was a result of higher average net assets.

The management fee is calculated at an annual rate of 1% of the Fund’s daily average net assets.

4 unchanged sentences

The Sponsor can elect to adjust the daily expense accruals at its discretion based on market conditions and other Fund considerations.

The decrease in total gross fees and other expenses excluding management fees for the six months ended June 30, 2021 compared to the six months ended June 30, 2020 was generally due to the average net assets relative to the other Funds.

The decrease in total gross fees and other expenses excluding management fees for the nine months ended September 30, 2021 compared to the nine months ended September 30, 2020 was generally due to the average net assets relative to the other Funds.

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

1 unchanged sentence

The Sponsor has determined that no reimbursement will be sought in future periods for those expenses which have been waived for the period.

For the six months ended June 30, 2021, the Fund issued 875,000 shares as part of creation baskets and purchased 175,000 shares as part of redemption baskets.

In total, the Fund issued 500,000 shares and purchased 700,000 shares for the six months ended June 30, 2020.

For the nine months ended September 30, 2021, the Fund issued 1,450,000 shares as part of creation baskets and purchased 625,000 shares as part of redemption baskets.

In total, the Fund issued 1,350,000 shares and purchased 1,225,000 shares for the nine months ended September 30, 2020.

The seasonality patterns for sugar cane futures prices are impacted by a variety of factors.

14 unchanged sentences

(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%.

On June 30, 2021, the Fund held a total of CBOT wheat futures contracts with a notional value of $86,021,400.

The contracts had an asset fair value of $4,165,999 and a liability fair value of $232,887.

On September 30, 2021, the Fund held a total of CBOT wheat futures contracts with a notional value of $73,308,450.

The contracts had an asset fair value of $4,538,406.

The weighting of the notional value of the contracts is as follows:

(1) 35% to SEP21 CBOT contracts, (2) 30% to DEC21 CBOT contracts, and (3) 35% to DEC22 CBOT contracts.

(1) 35% to Mar22 CBOT contracts, (2) 30% to May22 CBOT contracts, and (3) 35% to Dec22 CBOT contracts.

Quarter Ending

1 unchanged sentence

Quarter Ending

June 30, 2021

September 30, 2021

September 30, 2020

June 30, 2021

March 31, 2021

Total Net Assets

2 unchanged sentences

Closing Price

Total net assets for the Fund increased year over year by 87%, driven by a combination of an increase in total shares outstanding of 3,625,000 or 40% and an increase in the NAV per share of $1.71 or 34%.

The net assets for the Fund increased by 7% when comparing June 30, 2021 to March 31, 2021.

Total net assets for the Fund increased year over year by 15%, driven by a combination of a decrease in total shares outstanding of 750,000 or 7% and an increase in the NAV per share of $1.34 or 24%.

The net assets for the Fund decreased by 15% when comparing September 30, 2021 to June 30, 2021.

This increase year over year, in the opinion of management, was due to concerns over reduced supplies due to the lowest planted acres in over 100 years and strong world demand;

both aiding in the drawdown of US ending stocks.

For the Three Months Ended June 30, 2021 Compared to the Three Months Ended June 30, 2020

For the Three Months Ended September 30, 2021 Compared to the Three Months Ended September 30, 2020

Three Months Ended

June 30, 2021

June 30, 2020

September 30, 2021

September 30, 2020

Average daily total net assets

Net realized and unrealized gain (loss) on futures contracts

$ (6,170,683 )

Net realized and unrealized gain on futures contracts

Interest income earned on cash and cash equivalents

Annualized interest yield based on average daily total net assets

Net Income (Loss)

$ (6,472,338 )

Weighted average share outstanding

13 unchanged sentences

The Sponsor has a static benchmark as described above and trades futures contracts to adhere to that benchmark and to adjust for the creation or redemption of shares.

The decrease in interest and other income year over year was due to continued uncertainty of the virus, and elevated unemployment with current federal funds rates at near zero.

The Fund seeks to earn interest and other income in investment grade, short-duration instruments or deposits associated with the pool’s cash management strategy that may be used to offset expenses.

1 unchanged sentence

These interest rate levels may be lower or higher than the projected interest rates stated in the prospectuses and thus will impact your breakeven even point.

The increase in management fee paid to the Sponsor for the three months ended June 30, 2021 compared to the three months ended June 30, 2020 was a result of higher average net assets.

The increase in management fee paid to the Sponsor for the three months ended September 30, 2021 compared to the three months ended September 30, 2020 was a result of higher average net assets.

The management fee is calculated at an annual rate of 1% of the Fund’s daily average net assets.

4 unchanged sentences

The Sponsor can elect to adjust the daily expense accruals at its discretion based on market conditions and other Fund considerations.

The decrease in total gross fees and other expenses excluding management fees for the three months ended June 30, 2021 compared to the three months ended June 30, 2020 was generally due to an increase in expenses paid on behalf of the Sponsor.

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

1 unchanged sentence

The Sponsor has determined that no reimbursement will be sought in future periods for those expenses which have been waived for the period.

For the three months ended June 30, 2021, the Fund issued 500,000 shares as part of creation baskets and purchased 1,225,000 shares as part of redemption baskets.

Shares outstanding increased by 3,625,000 shares or 40% for three months ended June 30, 2021 when compared to the same period in 2020.

In total, the Fund issued 700,000 shares and purchased 75,000 shares for the three months ended June 30, 2020.

For the Six Months Ended June 30, 2021 Compared to the Six Months Ended June 30, 2020

Six Months Ended

June 30, 2021

June 30, 2020

For the three months ended September 30, 2021, the Fund issued 200,000 shares as part of creation baskets and purchased 2,575,000 shares as part of redemption baskets.

Shares outstanding decreased by 750,000 shares or 7% for three months ended September 30, 2021 when compared to the same period in 2020.

In total, the Fund issued 2,100,000 shares and purchased 100,000 shares for the three months ended September 30, 2020.

For the Nine months Ended September 30, 2021 Compared to the Nine months Ended September 30, 2020

Nine Months Ended

September 30, 2021

September 30, 2020

Average daily total net assets

Net realized and unrealized gain (loss) on futures contracts

$ (6,716,701 )

Net realized and unrealized gain on futures contracts

Interest income earned on cash and cash equivalents

Annualized interest yield based on average daily total net assets

Net Income (Loss)

$ (7,243,043 )

Weighted average share outstanding

13 unchanged sentences

The Sponsor has a static benchmark as described above and trades futures contracts to adhere to that benchmark and to adjust for the creation or redemption of shares.

As a result, the amount of interest income earned as a percentage of average daily total net assets was lower in the six months ended June 30, 2021, compared to the six months ended June 30, 2020.

The decrease in interest and other income year over year was due to continued uncertainty of the virus, elevated unemployment and weak inflation with current federal funds rates at near zero.

As a result, the amount of interest income earned as a percentage of average daily total net assets was lower in the nine months ended September 30, 2021, compared to the nine months ended September 30, 2020.

The Fund seeks to earn interest and other income in investment grade, short-duration instruments or deposits associated with the pool’s cash management strategy that may be used to offset expenses.

1 unchanged sentence

These interest rate levels may be lower or higher than the projected interest rates stated in the prospectuses and thus will impact your breakeven even point.

The increase in management fee paid to the Sponsor for the six months ended June 30, 2021 compared to the six months ended June 30, 2020 was a result of higher average net assets.

The increase in management fee paid to the Sponsor for the nine months ended September 30, 2021 compared to the nine months ended September 30, 2020 was a result of higher average net assets.

The management fee is calculated at an annual rate of 1% of the Fund’s daily average net assets.

4 unchanged sentences

The Sponsor can elect to adjust the daily expense accruals at its discretion based on market conditions and other Fund considerations.

The decrease in total gross fees and other expenses excluding management fees for the six months ended June 30, 2021 compared to the six months ended June 30, 2020 was generally due to an increase in expenses paid on behalf of the Sponsor.

The decrease in total gross fees and other expenses excluding management fees for the nine months ended September 30, 2021 compared to the nine months ended September 30, 2020 was generally due to an increase in expenses paid on behalf of the Sponsor.

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

1 unchanged sentence

The Sponsor has determined that no reimbursement will be sought in future periods for those expenses which have been waived for the period.

For the six months ended June 30, 2021, the Fund issued 3,300,000 shares as part of creation baskets and purchased 1,900,000 shares as part of redemption baskets.

In total, the Fund issued 1,000,000 shares and purchased 825,000 shares for the six months ended June 30, 2020.

For the nine months ended September 30, 2021, the Fund issued 3,500,000 shares as part of creation baskets and purchased 4,475,000 shares as part of redemption baskets.

In total, the Fund issued 3,100,000 shares and purchased 925,000 shares for the nine months ended September 30, 2020.

The seasonality patterns for wheat futures prices are impacted by a variety of factors.

27 unchanged sentences

11 Futures Contract expiring in the March following the expiration month of the third to expire contract, weighted 35%.

On June 30, 2021, the Fund held:

On September 30, 2021, the Fund held:

1) 108,297 shares of CORN with a fair value of $2,191,357;

2 unchanged sentences

and 4) 219,042 shares of CANE with a fair value of $2,095,400.

The weighting on June 30, 2021 was 26% to CORN, 24% to WEAT, 25% to SOYB and 25% to CANE.

The weighting on September 30, 2021 was 26% to CORN, 26% to WEAT, 24% to SOYB and 24% to CANE.

Quarter Ending

1 unchanged sentence

Quarter Ending

June 30, 2021

September 30, 2021

September 30, 2020

June 30, 2021

March 31, 2021

Total Net Assets

3 unchanged sentences

Total net assets for the Fund increased year over year by 641%, driven by a combination of an increase in shares outstanding of 262,500 shares or 420% and an increase in the NAV per share of $7.83 or 42%.

The net assets for the Fund increased by 100% when comparing June 30, 2021 to March 31, 2021.

The net assets for the Fund decreased by 15% when comparing September 30, 2021 to June 30, 2021.

Effective August 2, 2012 through April 9, 2018, the Fund was at 50,002 shares outstanding which represents a minimum number of shares and there could be no further redemptions until additional shares were created.

For the Three Months Ended June 30, 2021 Compared to the Three Months Ended June 30, 2020

For the Three Months Ended September 30, 2021 Compared to the Three Months Ended September 30, 2020

Three Months Ended

June 30, 2021

June 30, 2020

September 30, 2021

September 30, 2020

Average daily total net assets

Net realized and unrealized gain (loss) on securities

Net realized and unrealized gain on securities

Interest income earned on cash equivalents

Annualized interest yield based on average daily total net assets

Net Income (Loss)

Weighted average share outstanding

14 unchanged sentences

The Sponsor can elect to adjust the daily expense accruals at its discretion based on market conditions and other Fund considerations.

The increase in total gross fees and other expenses for the three months ended June 30, 2021 compared to the three months ended June 30, 2020 was generally due to the increase in average net assets in the period.

The increase in total gross fees and other expenses for the three months ended September 30, 2021 compared to the three months ended September 30, 2020 was generally due to the increase in average net assets in the period.

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

1 unchanged sentence

The Sponsor has determined that no reimbursement will be sought in future periods for those expenses which have been waived for the period.

For the Six Months Ended June 30, 2021 Compared to the Six Months Ended June 30, 2020

Six Months Ended

June 30, 2021

June 30, 2020

For the Nine months Ended September 30, 2021 Compared to the Nine months Ended September 30, 2020

Nine Months Ended

September 30, 2021

September 30, 2020

Average daily total net assets

19 unchanged sentences

The Sponsor can elect to adjust the daily expense accruals at its discretion based on market conditions and other Fund considerations.

The increase in total gross fees and other expenses for the six months ended June 30, 2021 compared to the six months ended June 30, 2020 was generally due to the increase in average net assets in the period.

The increase in total gross fees and other expenses for the nine months ended September 30, 2021 compared to the nine months ended September 30, 2020 was generally due to the increase in average net assets in the period.

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

1 unchanged sentence

The Sponsor has determined that no reimbursement will be sought in future periods for those expenses which have been waived for the period.

Market Outlook

6 unchanged sentences

These reports are available on the USDA’s website, www.usda.gov, at no charge.

The outlook provided below is from the July 12, 2021 USDA report.

The outlook provided below is from the October 12, 2021 USDA report.

The United States is the world’s leading producer and exporter of corn.

1 unchanged sentence

will produce approximately 32% of all the corn globally, of which about 17% will be exported.

For the Crop Year 2021-22, based on the July 12, 2021 USDA report, global consumption of 1,183 Million Metric Tons (MMT) is expected to be slightly lower than global production of 1,195 MMT.

For the Crop Year 2021-22, based on the October 12, 2021 USDA report, global consumption of 1,186 Million Metric Tons (MMT) is expected to be slightly lower than global production of 1,198 MMT.

If the global demand of corn exceeds global supply, this may have a positive impact on the price of corn.

15 unchanged sentences

and global demand.

The graph below shows the USDA published price per bushel by month for the period January 2007 to May 2021.

On July 12, 2021, the USDA released its monthly World Agricultural Supply and Demand Estimates (WASDE) for the Crop Year 2021-22.

The graph below shows the USDA published price per bushel by month for the period January 2007 to August 2021.

On October 12, 2021, the USDA released its monthly World Agricultural Supply and Demand Estimates (WASDE) for the Crop Year 2021-22.

The exhibit below provides a summary of historical and current information for United States corn production.

38 unchanged sentences

Argentina is projected to produce about 51 MMT.

For the Crop Year 2021-22, based on the July 12, 2021 USDA report, global consumption of 381 MMT is estimated slightly lower than global production of 385 MMT.

For the Crop Year 2021-22, based on the October 12, 2021 USDA report, global consumption of 377 MMT is estimated slightly lower than global production of 385 MMT.

If the global demand of soybeans exceeds global supply, this may have a positive impact on the price of soybeans.

2 unchanged sentences

These reports are available on the USDA’s website, www.usda.gov, at no charge.

The outlook provided below is from the July 12, 2021 USDA report.

The outlook provided below is from the October 12, 2021 USDA report.

The soybean processing industry converts soybeans into soybean meal, soybean hulls, and soybean oil.

25 unchanged sentences

and global demand.

The graph below shows the USDA published price per bushel by month for the period January 2007 to May 2021.

On July 12, 2021, the USDA released its monthly World Agricultural Supply and Demand Estimates (WASDE) for the Crop Year 2021-22.

The graph below shows the USDA published price per bushel by month for the period January 2007 to August 2021.

On October 12, 2021, the USDA released its monthly World Agricultural Supply and Demand Estimates (WASDE) for the Crop Year 2021-22.

The exhibit below provides a summary of historical and current information for United States soybean production.

52 unchanged sentences

generates approximately 6% of the global production, with approximately 53% of that being exported.

For the Crop year 2021-22, based on the July 12, 2021 USDA report, global consumption of 791 MMT is estimated to be slightly lower than production of 792 MMT.

For the Crop year 2021-22, based on the October 12, 2021 USDA report, global consumption of 787 MMT is estimated to be slightly higher than production of 776 MMT.

If the global demand of wheat exceeds global supply, this may have a positive impact on the price of wheat.

21 unchanged sentences

and global demand.

The graph below shows the USDA published price per bushel by month for the period January 2007 to May 2021.

On July 12, 2021, the USDA released its monthly World Agricultural Supply and Demand Estimates (WASDE) for the Crop Year 2021-22.

The graph below shows the USDA published price per bushel by month for the period January 2007 to August 2021.

On October 12, 2021, the USDA released its monthly World Agricultural Supply and Demand Estimates (WASDE) for the Crop Year 2021-22.

The exhibit below provides a summary of historical and current information for United States wheat production.

168 unchanged sentences

Interest earned on interest-bearing assets of a Fund are paid to that Fund.

Due to the continued economic uncertainty over the path of the COVID-19 virus, the Sponsor has experienced a significant decrease in interest rates, and as such the Funds may experience a higher breakeven year over year.

Due to the continued economic uncertainty of the COVID-19 virus, the Sponsor has experienced a significant decrease in interest rates, and as such the Funds may experience a higher breakeven year over year.

The investments of a Fund in Commodity Interests are subject to periods of illiquidity because of market conditions, regulatory considerations, and other reasons.

133 unchanged sentences

Off Balance Sheet Financing

As of June 30, 2021, neither the Trust nor any of the Funds has any loan guarantees, credit support or other off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions relating to certain risks service providers undertake in performing services which are in the best interests of the Funds.

As of September 30, 2021, neither the Trust nor any of the Funds has any loan guarantees, credit support or other off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions relating to certain risks service providers undertake in performing services which are in the best interests of the Funds.

While the exposure of each Fund under these indemnification provisions cannot be estimated, they are not expected to have a material impact on the financial positions of each Fund.

29 unchanged sentences

Investors may choose to use the Funds as vehicles to hedge against the risk of loss, and there are risks involved in hedging activities.

During the period from January 1, 2021 through June 30, 2021 the average daily change in the NAV of each Fund was within plus/minus 10 percent of the average daily change in the Benchmark of each Fund, as stated in the applicable prospectus for each Fund.

During the period from January 1, 2021 through September 30, 2021 the average daily change in the NAV of each Fund was within plus/minus 10 percent of the average daily change in the Benchmark of each Fund, as stated in the applicable prospectus for each Fund.

Frequency Distribution of Premiums and Discounts:

73 unchanged sentences

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

What changed 10-Q

Item 2. Management’s Discussion and Analysis