Teucrium Commodity Trust 10-Q

Item 1. Financial Statements. Index to Financial Statements Documents Page TEUCRIUM COMMODITY TRUST Combined Statements of Assets and Liabilities at September 30, 2021 (Unaudited) and December 31, 2020 4 Combined Schedule of Investments at September 30, 2021 (Unaudited) and December 31, 2020 5 Combined Statements of Operations (Unaudited) for the three and nine months ended September 30, 2021 and 2020 7 Combined Statements of Changes in Net Assets (Unaudited) for the nine months ended September 30, 2021 and 2020 8 Combined Statements of Cash Flows (Unaudited) for the nine months ended September 30, 2021 and 2020 9 Notes to Combined Financial Statements 10 TEUCRIUM CORN FUND Statements of Assets and Liabilities at September 30, 2021 (Unaudited) and December 31, 2020 24 Schedule of Investments at September 30, 2021 (Unaudited) and December 31, 2020 25 Statements of Operations (Unaudited) for the three and nine months ended September 30, 2021 and 2020 27 Statements of Changes in Net Assets (Unaudited) for the nine months ended September 30, 2021 and 2020 28 Statements of Cash Flows (Unaudited) for the nine months ended September 30, 2021 and 2020 29 Notes to Financial Statements 30 TEUCRIUM SOYBEAN FUND Statements of Assets and Liabilities at September 30, 2021 (Unaudited) and December 31, 2020 42 Schedule of Investments at September 30, 2021 (Unaudited) and December 31, 2020 43 Statements of Operations (Unaudited) for the three and nine months ended September 30, 2021 and 2020 45 Statements of Changes in Net Assets (Unaudited) for the nine months ended September 30, 2021 and 2020 46 Statements of Cash Flows (Unaudited) for the nine months ended September 30, 2021 and 2020 47 Notes to Financial Statements 48 TEUCRIUM SUGAR FUND Statements of Assets and Liabilities at September 30, 2021 (Unaudited) and December 31, 2020 60 Schedule of Investments at September 30, 2021 (Unaudited) and December 31, 2020 61 Statements of Operations (Unaudited) for the three and nine months ended September 30, 2021 and 2020 63 Statements of Changes in Net Assets (Unaudited) for the nine months ended September 30, 2021 and 2020 64 Statements of Cash Flows (Unaudited) for the nine months ended September 30, 2021 and 2020 65 Notes to Financial Statements 66 TEUCRIUM WHEAT FUND Statements of Assets and Liabilities at September 30, 2021 (Unaudited) and December 31, 2020 77 Schedule of Investments at September 30,, 2021 (Unaudited) and December 31, 2020 78 Statements of Operations (Unaudited) for the three and nine months ended September 30, 2021 and 2020 80 Statements of Changes in Net Assets (Unaudited) for the nine months ended September 30, 2021 and 2020 81 Statements of Cash Flows (Unaudited) for the nine months ended September 30, 2021 and 2020 82 Notes to Financial Statements 83 TEUCRIUM AGRICULTURAL FUND Statements of Assets and Liabilities at September 30, 2021 (Unaudited) and December 31, 2020 95 Schedule of Investments at September 30, 2021 (Unaudited) and December 31, 2020 96 Statements of Operations (Unaudited) for the three and nine months ended September 30, 2021 and 2020 98 Statements of Changes in Net Assets (Unaudited) for the nine months ended September 30, 2021 and 2020 99 Statements of Cash Flows (Unaudited) for the nine months ended September 30, 2021 and 2020 100 Notes to Financial Statements 101 3 Table of Contents TEUCRIUM COMMODITY TRUST COMBINED STATEMENTS OF ASSETS AND LIABILITIES September 30, 2021 December 31 , 2020 (Unaudited) Assets Cash and cash equivalents $ 254,300,174 $ 309,378,295 Interest receivable 18,584 16,982 Other assets 30 38 Capital shares receivable - 307,830 Equity in trading accounts: Commodity futures contracts 9,819,105 42,424,697 Due from broker 10,577,745 - Total equity in trading accounts 20,396,850 42,424,697 Total assets $ 274,715,638 $ 352,127,842 Liabilities Management fee payable to Sponsor 225,510 264,709 Payable for purchases of commercial paper 4,997,510 9,995,298 Other liabilities 296,068 71,568 Payable for shares redeemed - 4,404,915 Equity in trading accounts: Commodity futures contracts 1,805,135 - Due to broker 346,666 27,278,158 Total equity in trading accounts 2,151,801 27,278,158 Total liabilities 7,670,889 42,014,648 Net Assets $ 267,044,749 $ 310,113,194 The accompanying notes are an integral part of these financial statements. 4 Table of Contents TEUCRIUM COMMODITY TRUST COMBINED SCHEDULE OF INVESTMENTS September 30, 2021 (Unaudited) Percentage of Description: Assets Fair Value Net Assets Shares Cash equivalents Money market funds First American Government Obligations Fund - Class X (cost $22,060,622) $ 22,060,622 8.26 % 22,060,622 Goldman Sachs Financial Square Government Fund - Institutional Class (cost: $3,550,336) 3,550,336 1.33 3,550,336 Total money market funds (cost $25,610,958) $ 25,610,958 9.59 % Principal Amount Commercial Paper Brookfield Infrastructure Holdings (Canada) Inc. 0.178% (cost: $12,496,844 due: 11/03/2021) $ 12,497,958 4.68 % 12,500,000 General Motors Financial Company, Inc. 0.150% (cost: $4,998,166 due: 10/04/2021) 4,999,938 1.87 5,000,000 General Motors Financial Company, Inc. 0.172% (cost: $9,996,980 due: 11/04/2021) 9,998,395 3.74 10,000,000 General Motors Financial Company, Inc. 0.170% (cost: $4,998,630 due: 11/10/2021) 4,999,056 1.87 5,000,000 Glencore Funding LLC 0.150% (cost: $4,998,210 due: 10/06/2021) 4,999,896 1.87 5,000,000 Harley-Davidson Financial Services, Inc. 0.150% (cost: $8,997,300 due: 10/14/2021) 8,999,512 3.37 9,000,000 Harley-Davidson Financial Services, Inc. 0.160% (cost: $7,497,033 due: 11/03/2021) 7,498,900 2.81 7,500,000 Harley-Davidson Financial Services, Inc. 0.150% (cost: $2,499,333 due: 11/19/2021) 2,499,489 0.94 2,500,000 Jabil Inc. 0.262% (cost: $14,995,751 due: 10/19/2021) 14,998,038 5.62 15,000,000 Jabil Inc. 0.260% (cost: $4,998,340 due: 10/29/2021) 4,998,990 1.87 5,000,000 National Fuel Gas Company 0.200% (cost: $9,998,832 due: 10/08/2021) 9,999,612 3.74 10,000,000 Viatris Inc. 0.274% (cost: $9,993,151 due: 10/18/2021) 9,998,705 3.74 10,000,000 Viatris Inc. 0.220% (cost: $4,997,434 due: 10/18/2021) 4,999,481 1.87 5,000,000 Viatris Inc. 0.230% (cost: $4,997,510 due: 12/21/2021) 4,997,510 1.87 5,000,000 Total Commercial Paper (cost: $106,463,514) $ 106,485,480 39.86 % Total Cash Equivalents $ 132,096,438 49.45 % Notional Amount (Long Exposure) Commodity futures contracts United States corn futures contracts CBOT corn futures MAY22 (1,312 contracts) $ 1,420,596 0.53 % $ 36,014,400 CBOT corn futures DEC22 (1,624 contracts) 559,705 0.21 42,447,300 United States soybean futures contracts CBOT soybean futures NOV22 (268 contracts) 1,045,744 0.39 16,666,250 United States sugar futures contracts ICE sugar futures MAY22 (414 contracts) 909,895 0.34 9,162,317 ICE sugar futures JUL22 (368 contracts) 183,614 0.07 7,859,891 ICE sugar futures MAR23 (439 contracts) 1,161,145 0.43 9,066,579 United States wheat futures contracts CBOT wheat futures MAR22 (695 contracts) 2,691,398 1.01 25,593,375 CBOT wheat futures MAY22 (593 contracts) 1,097,519 0.41 21,926,175 CBOT wheat futures DEC22 (708 contracts) 749,489 0.28 25,788,900 Total commodity futures contracts $ 9,819,105 3.67 % $ 194,525,187 Percentage of Notional Amount Description: Liabilities Fair Value Net Assets (Long Exposure) Commodity futures contracts United States corn futures contracts CBOT corn futures MAR22 (1,544 contracts) $ 89,136 0.03 % $ 42,035,400 United States soybean futures contracts CBOT soybean futures JAN22 (261 contracts) 1,423,625 0.53 16,514,775 CBOT soybean futures MAR22 (222 contracts) 292,374 0.11 14,119,200 Total commodity futures contracts $ 1,805,135 0.67 % $ 72,669,375 Exchange-traded funds* Shares Teucrium Corn Fund $ 2,191,357 0.82 % 108,297 Teucrium Soybean Fund 2,070,600 0.78 94,149 Teucrium Sugar Fund 2,095,400 0.78 219,042 Teucrium Wheat Fund 2,183,748 0.82 309,107 Total exchange-traded funds (cost $7,335,496) $ 8,541,105 3.20 % _____________ *The Trust eliminates the shares owned by the Teucrium Agricultural Fund from its combined statements of assets and liabilities due to the fact that these represent holdings of the other four Funds (“Underlying Funds”) owned by the Teucrium Agricultural Fund, which are included as shares outstanding of the Underlying Funds. The accompanying notes are an integral part of these financial statements. 5 Table of Contents TEUCRIUM COMMODITY TRUST COMBINED SCHEDULE OF INVESTMENTS December 31, 2020 Percentage of Description: Assets Fair Value Net Assets Shares Cash equivalents Money market funds First American Government Obligations Fund - Class X 0.04% (cost $56,055,737) $ 56,055,737 18.08 % 56,055,737 Blackrock Liquidity FedFund - Institutional Class 0.005% (cost $5,065,941) 5,065,941 1.63 5,065,941 Total money market funds (cost: $61,121,678) $ 61,121,678 19.71 % Principal Amount Commercial Paper Energy Transfer Operating, L.P. 0.501% (cost: $7,496,667 due 01/29/2021) $ 7,497,084 2.42 % 7,500,000 Energy Transfer Operating, L.P. 0.421% (cost: $4,997,725 due 01/29/2021) 4,998,366 1.61 5,000,000 Energy Transfer Operating, L.P. 0.501% (cost: $7,496,771 due 02/05/2021) 7,496,771 2.42 7,500,000 General Motors Financial Company, Inc. 0.400% (cost: $4,995,890 due 01/04/2021) 4,999,834 1.61 5,000,000 General Motors Financial Company, Inc. 0.411% (cost: $4,996,356 due 01/08/2021) 4,999,602 1.61 5,000,000 General Motors Financial Company, Inc. 0.471% (cost: $7,491,612 due 01/20/2021) 7,498,140 2.42 7,500,000 General Motors Financial Company, Inc. 0.471% (cost: $2,497,062 due 01/25/2021) 2,499,217 0.81 2,500,000 Harley-Davidson Financial Services, Inc. 0.310% (cost: $7,994,903 due 01/05/2021) 7,999,725 2.58 8,000,000 Harley-Davidson Financial Services, Inc. 0.250% (cost: $9,993,749 due 01/11/2021) 9,999,305 3.22 10,000,000 Harley-Davidson Financial Services, Inc. 0.270% (cost: $1,999,025 due 01/20/2021) 1,999,715 0.64 2,000,000 Hyundai Capital America, Inc. 0.150% (cost: $7,497,595 due 02/01/2021) 7,499,031 2.42 7,500,000 Hyundai Capital America, Inc. 0.170% (cost: $9,996,980 due 02/03/2021) 9,998,443 3.22 10,000,000 Jabil Inc. 0.430% (cost: $9,994,507 due 01/29/2021) 9,996,656 3.22 10,000,000 Jabil Inc. 0.501% (cost: $7,491,459 due 02/24/2021) 7,494,375 2.42 7,500,000 Jabil Inc. 0.401% (cost: $2,498,528 due 02/26/2021) 2,498,528 0.81 2,500,000 Marathon Petroleum Corporation 0.350% (cost: $7,496,063 due 02/01/2021) 7,497,739 2.42 7,500,000 Marathon Petroleum Corporation 0.381% (cost: $12,490,368 due 02/26/2021) 12,492,610 4.03 12,500,000 Viatris Inc. 0.372% (cost: $9,994,117 due 02/26/2021) 9,994,220 3.22 10,000,000 Viatris Inc. 0.451% (cost: $4,994,438 due 03/22/2021) 4,995,000 1.61 5,000,000 WGL Holdings, Inc. 0.200% (cost: $2,499,528 due 01/26/2021) 2,499,653 0.81 2,500,000 WGL Holdings, Inc. 0.200% (cost: $2,499,417 due 01/27/2021) 2,499,639 0.81 2,500,000 Walgreens Boots Alliance, Inc. 0.246% (cost: $14,993,143 due 03/05/2021) 14,993,553 4.83 15,000,000 Total commercial paper (total cost: $152,405,903) $ 152,447,206 49.16 % Total cash equivalents $ 213,568,884 68.87 % Notional Amount (Long Exposure) Commodity futures contracts CBOT corn futures MAY21 (2,004 contracts) $ 9,160,307 2.95 % $ 48,421,650 CBOT corn futures JUL21 (1,727 contracts) 4,516,403 1.46 41,469,588 CBOT corn futures DEC21 (2,226 contracts) 6,477,896 2.09 48,387,675 United States soybean futures contracts CBOT soybean futures MAR21 (479 contracts) 7,011,407 2.26 31,398,450 CBOT soybean futures MAY21 (411 contracts) 3,404,313 1.10 26,853,712 CBOT soybean futures NOV21 (557 contracts) 4,708,506 1.52 30,962,238 United States sugar futures contracts ICE sugar futures MAY21 (272 contracts) 550,868 0.18 4,472,115 ICE sugar futures JUL21 (241 contracts) 345,612 0.11 3,830,165 ICE sugar futures MAR22 (279 contracts) 511,223 0.16 4,459,090 United States wheat futures contracts CBOT wheat futures MAY21 (765 contracts) 2,297,658 0.74 24,460,875 CBOT wheat futures JUL21 (668 contracts) 687,506 0.22 20,983,550 CBOT wheat futures DEC21 (767 contracts) 2,752,998 0.89 24,419,363 Total commodity futures contracts $ 42,424,697 13.68 % $ 310,118,471 Exchange-traded funds* Shares Teucrium Corn Fund $ 401,787 0.13 % 25,858 Teucrium Soybean Fund 401,177 0.13 20,581 Teucrium Sugar Fund 383,816 0.12 57,124 Teucrium Wheat Fund 395,482 0.13 64,237 Total exchange-traded funds (cost $1,586,899) $ 1,582,262 0.51 % ________________ *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. 6 Table of Contents TEUCRIUM COMMODITY TRUST COMBINED STATEMENTS OF OPERATIONS (Unaudited) Three months ended Three months ended Nine months ended Nine months ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 Income Realized and unrealized gain (loss) on trading of commodity futures contracts: Realized gain (loss) on commodity futures contracts $ 15,419,113 $ 5,135,178 $ 109,828,706 $ ( 4,142,159 ) Net change in unrealized appreciation/(depreciation) on commodity futures contracts ( 23,501,922 ) 25,250,892 ( 34,410,727 ) 14,297,584 Interest income 113,104 189,590 430,283 1,178,703 Total income (loss) ( 7,969,705 ) 30,575,660 75,848,262 11,334,128 Expenses Management fees 749,229 629,881 2,549,948 1,370,646 Professional fees 219,475 203,202 928,149 961,686 Distribution and marketing fees 920,861 768,315 2,509,136 2,047,260 Custodian fees and expenses 99,410 114,154 280,651 298,189 Business permits and licenses fees 11,051 73,705 107,406 182,649 General and administrative expenses 58,673 57,443 263,366 233,715 Other expenses 17 2,734 17 2,759 Total expenses 2,058,716 1,849,434 6,638,673 5,096,904 Expenses waived by the Sponsor ( 684,792 ) ( 401,702 ) ( 1,650,854 ) ( 818,719 ) Total expenses, net 1,373,924 1,447,732 4,987,819 4,278,185 Net (loss) income $ ( 9,343,629 ) $ 29,127,928 $ 70,860,443 $ 7,055,943 The accompanying notes are an integral part of these financial statements. 7 Table of Contents TEUCRIUM COMMODITY TRUST COMBINED STATEMENTS OF CHANGES IN NET ASSETS (Unaudited) Nine months ended Nine months ended September 30, 2021 September 30, 2020 Operations Net income $ 70,860,443 $ 7,055,943 Capital transactions Issuance of Shares 134,705,493 279,799,802 Redemption of Shares ( 242,902,007 ) ( 98,585,169 ) Net change in the cost of the Underlying Funds ( 5,732,374 ) 211,896 Total capital transactions ( 113,928,888 ) 181,426,529 Net change in net assets ( 43,068,445 ) 188,482,472 Net assets, beginning of period 310,113,194 167,906,597 Net assets, end of period $ 267,044,749 $ 356,389,069 The accompanying notes are an integral part of these financial statements. 8 Table of Contents TEUCRIUM COMMODITY TRUST COMBINED STATEMENTS OF CASH FLOWS (Unaudited) Nine months ended Nine months ended September 30, 2021 September 30, 2020 Cash flows from operating activities: Net income $ 70,860,443 $ 7,055,943 Adjustments to reconcile net income to net cash provided by/(used in) operating activities: Net change in unrealized appreciation/(depreciation) on commodity futures contracts 34,410,727 ( 14,297,584 ) Changes in operating assets and liabilities: Due from broker ( 10,577,745 ) ( 4,127,995 ) Interest receivable ( 1,602 ) ( 18,128 ) Other assets 8 ( 10,018 ) Due to broker ( 26,931,492 ) ( 4,387,950 ) Management fee payable to Sponsor ( 39,199 ) 112,348 Payable for purchases of commercial paper ( 4,997,788 ) 9,999,526 Other liabilities 224,500 193,088 Net cash provided by/(used in) operating activities 62,947,852 ( 4,823,380 ) Cash flows from financing activities: Proceeds from sale of Shares 135,013,323 279,799,802 Redemption of Shares ( 247,306,922 ) ( 97,927,779 ) Net change in cost of the Underlying Funds ( 5,732,374 ) 211,896 Net cash (used in)/provided by financing activities ( 118,025,973 ) 181,426,529 Net change in cash and cash equivalents ( 55,078,121 ) 176,603,149 Cash and cash equivalents beginning of period 309,378,295 166,081,885 Cash and cash equivalents end of period $ 254,300,174 $ 342,685,034 The accompanying notes are an integral part of these financial statements. 9 Table of Contents NOTES TO COMBINED FINANCIAL STATEMENTS September 30, 2021 (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 of 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 29, 2019, the Trust and the Funds operate pursuant to the Trust’s Fifth Amended and Restated Declaration of Trust and Trust Agreement (the “Trust Agreement”). On June 7, 2010, the initial Form S-1 for CORN was declared effective by the U.S. Securities and Exchange Commission (“SEC”). On June 8, 2010, four Creation Baskets for CORN were issued representing 200,000 shares and $ 5,000,000 . CORN began trading on the New York Stock Exchange (“NYSE”) Arca on June 9, 2010. The current registration statement for CORN was declared effective by the SEC on October 2, 2020. The registration statement for CORN registered an additional 20,000,000 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 was declared effective on October 2, 2020 and the current registration statement for SOYB was declared effective by the SEC on August 24, 2020. The registration statements for SOYB and CANE registered an additional 15,000,000 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, 2021. Teucrium Trading, LLC is the sponsor (“Sponsor”) of the Trust. The Sponsor is a member of the National Futures Association (the "NFA") and became a commodity pool operator ("CPO") registered with the Commodity Futures Trading Commission (the "CFTC") effective November 10, 2009. The Sponsor registered as a Commodity Trading Advisor ("CTA") with the CFTC effective September 8, 2017. The accompanying unaudited financial statements have been prepared in accordance with Rule 10-01 of Regulation S-X promulgated by the SEC and, therefore, do not include all information and footnote disclosures required under accounting principles generally accepted in the United States of America (“GAAP”). The financial information included herein is unaudited; however, such financial information reflects all adjustments which are, in the opinion of management, necessary for the fair presentation of the Trust’s financial statements for the interim period. It is suggested that these interim financial statements be read in conjunction with the audited financial statements and related notes included in the Trust’s Annual Report on Form 10-K, as well as the most recent Form S-1 filing, as applicable. The operating results for the three and nine months ended September 30, 2021 are not necessarily indicative of the results to be expected for the full year ending December 31, 2021. Subject to the terms of the Trust Agreement, Teucrium Trading, LLC in its capacity as the Sponsor of the Trust may terminate a Fund at any time, regardless of whether the Fund has incurred losses, including, for instance, if it determines that the Fund’s aggregate net assets in relation to its operating expenses make the continued operation of the Fund unreasonable or imprudent. However, no level of losses will require the Sponsor to terminate a Fund. Note 2 – Principal Contracts and Agreements The Sponsor employs U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services ("Global Fund Services"), for Transfer Agency, Fund Accounting and Fund Administration services. The principal address for Global Fund Services is 615 E. Michigan Street, Milwaukee, WI 53202. For custody services, the Funds will pay to U.S. Bank N.A. 0.0075% of average gross assets up to $1 billion, and .0050% of average gross assets over $1 billion, annually, plus certain per-transaction charges. For Transfer Agency, Fund Accounting and Fund Administration services, which are based on the total assets for all the Funds in the Trust, the Funds will pay to Global Fund Services 0.05% of average gross assets on the first $500 million, 0.04% on the next $500 million, 0.03% on the next $2 billion and 0.02% on the balance over $3 billion annually. A combined minimum annual fee of up to $47,000 for custody, transfer agency, accounting and administrative services is assessed per Fund. These services are recorded as custodian fees and expenses on the combined statements of operations. A summary of these expenses is included below. 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 each Fund’s average daily net assets and an aggregate annual fee of $100,000 for all Funds, along with certain expense reimbursements. For its services under the SASA, Foreside receives a fee of $5,000 per registered representative and $1,000 per registered location. These services are recorded as distribution and marketing fees on the combined statements of operations. A summary of these expenses is included below. Pursuant to a Consulting Services Agreement, Foreside Consulting Services, LLC, performs certain consulting support services for the Trust's Sponsor. Additionally, Foreside Distributors, LLC performs certain distribution consulting services pursuant to a Distribution Consulting Agreement with the Sponsor. E D & F Man Capital Markets, Inc. (“E D & F Man”) serves as the Underlying Funds’ clearing broker to execute and clear the Underlying Funds’ futures and provide other brokerage-related services. E D & F Man is registered as a futures commission merchant (“FCM”) with the U.S. CFTC and is a member of the NFA. E D & F Man is also registered as a broker/dealer with the SEC and is a member of 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 E D & 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 (“Thales”) for distribution and solicitation-related services. Thales is registered as a Broker-Dealer with the SEC and a member of FINRA and the Securities Investor Protection Corporation (“SIPC”). Thales receives a quarterly fee of the higher of $18,750 or 0.10% of new assets raised in referred accounts for distribution and solicitation-related services. This fee based on new assets raised 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 month ended Three month ended Nine month ended Nine month ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 Amount Recognized for Custody Services $ 99,410 $ 114,155 $ 280,651 $ 298,189 Amount of Custody Services Waived $ 53,146 $ 18,742 $ 79,955 $ 34,084 Amount Recognized for Distribution Services $ 41,306 $ 38,382 $ 132,621 $ 117,804 Amount of Distribution Services Waived $ 36,153 $ 15,640 $ 60,354 $ 18,115 Amount Recognized for Wilmington Trust $ 3,300 $ - $ 3,300 $ - Amount of Wilmington Trust Waived $ 991 $ - $ 991 $ - Amount Recognized for Thales $ 92,386 $ 22,500 $ 253,154 $ 67,500 Amount of Thales Waived $ 92,386 $ 6,977 $ 134,064 $ 8,754 11 Table of Contents 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. The periods represented by the financial statements herein contain the results of CORN, SOYB, CANE, WEAT, and TAGS for the months during which each Fund was in operation, except for eliminations for TAGS as explained below. Given the investment objective of TAGS as described in Note 1 above, TAGS will buy, sell and hold, as part of its normal operations, shares of the four Underlying Funds. The Trust eliminates the shares of the other series of the Trust owned by TAGS from its combined statements of assets and liabilities. The Trust eliminates the net change in unrealized appreciation or depreciation on securities owned by TAGS from its combined statements of operations. The combined statements of changes in net assets and cash flows present a net presentation of the purchases and sales of the Underlying Funds by TAGS. 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. 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 on the combined statements of cash flows. Accretion on these investments is recognized using the effective interest method in U.S. dollars and included in interest income on the combined statements of operations. The Sponsor invests a portion of the cash held by the broker in short term Treasury Bills as collateral for open futures contracts. Accretion on these investments is recognized using the effective interest method in U.S. dollars and included in interest income on the combined statements of operations. Brokerage Commissions 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 total brokerage commissions paid inclusive of unrealized loss for the three and nine months ended September 30, 2021 and 2020. CORN SOYB CANE WEAT TAGS TRUST Three months ended September 30, 2021 $ 43,677 $ 4,833 $ 6,613 $ 17,330 $ - $ 72,452 Three months ended September 30, 2020 $ 73,503 $ 15,066 $ 5,311 $ 14,900 $ - $ 108,780 Nine months ended September 30, 2021 $ 118,868 $ 26,568 $ 19,047 $ 39,852 $ - $ 204,334 Nine months ended September 30, 2020 $ 113,925 $ 25,211 $ 13,554 $ 29,059 $ 1 $ 181,749 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. 12 Table of Contents The Funds are required to determine whether a tax position is more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Funds file income tax returns in the U.S. federal jurisdiction, and may file income tax returns in various U.S. states and foreign jurisdictions. For all tax years 2018 to 2020, 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 September 30, 2021 and for the years ended December 31, 2020, 2019, and 2018. 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 nine months ended September 30, 2021 and 2020. 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 received in good order. Authorized Purchasers may redeem shares from each Fund only in blocks of shares called “Redemption Baskets.” The amount of the redemption proceeds for a Redemption Basket will be equal to the NAV of the shares in the Redemption Basket determined as of 4:00 p.m. (EST) on the day the order to redeem the basket is received in good order. Each Fund receives or pays the proceeds from shares sold or redeemed within three business days after the trade date of the purchase or redemption. The amounts due from Authorized Purchasers are reflected in the statements of assets and liabilities as capital shares receivable. Amounts payable to Authorized Purchasers upon redemption are reflected in the statements of assets and liabilities as payable for shares redeemed. There are a minimum number of baskets and associated Shares specified for each Fund in the Fund’s respective prospectus, as amended from time to time. If a Fund experienced redemptions that caused the number of Shares outstanding to decrease to the minimum level of Shares required to be outstanding, until the minimum number of Shares is again exceeded through the purchase of a new Creation Basket, there can be no more redemptions by an Authorized Purchaser. These minimum levels are as follows: CORN: 50,000 shares representing 2 baskets SOYB: 50,000 shares representing 2 baskets CANE: 50,000 shares representing 2 baskets WEAT: 50,000 shares representing 2 baskets TAGS: 50,000 shares representing 4 baskets 13 Table of Contents Cash and Cash Equivalents Cash equivalents are highly liquid investments with original maturity dates of 90 days or less when acquired. The Trust reported its cash equivalents in the combined statements of assets and liabilities at market value, or at carrying amounts that approximate fair value, because of their highly liquid nature and short term maturities. Each Fund that is a series of the Trust has the balance of its cash equivalents on deposit with financial institutions. The Trust holds a balance in money market funds that is included in cash and cash equivalents on the combined statements of assets and liabilities. The Sponsor invests a portion of the available cash for the Funds in alternative demand deposit savings accounts, which are classified as cash and not as cash equivalents. Assets deposited with the bank may, at times, exceed federally insured limits. The Sponsor invests a portion of the available cash for the Funds in investment grade commercial paper with durations of 90 days or less, which is classified as a cash equivalent and is not FDIC insured. The Sponsor may invest a portion of the cash held by the broker in short term Treasury Bills as collateral for open futures contracts, which is classified as a cash equivalent and is not FDIC insured. September 30, 2021 December 31, 2020 Money Market Funds $ 25,610,958 $ 61,121,678 Demand Deposit Savings Accounts 122,203,736 95,809,411 Commercial Paper 106,485,480 152,447,206 Total cash and cash equivalents as presented on the combined Statements of Assets and Liabilities $ 254,300,174 $ 309,378,295 Payable for Purchases of Commercial Paper The amount recorded by the Trust for commercial paper transactions awaiting settlement represents the amount payable for contracts purchased but not yet settled as of the reporting date. The value of the contract is included in cash and cash equivalents, and the payable amount is included as a liability. Due from/to Broker The amount recorded by the Trust for the amount due from and to the clearing broker includes, but is not limited to, cash held by the broker, amounts payable to the clearing broker related to open transactions, payables for commodities futures accounts liquidating to an equity balance on the clearing broker’s records, and amounts of brokerage commissions paid and recognized as unrealized losses. Margin is the minimum amount of funds that must be deposited by a commodity interest trader with the trader’s broker to initiate and maintain an open position in futures contracts. A margin deposit acts to assure the trader’s performance of the futures contracts purchased or sold. Futures contracts are customarily bought and sold on initial margin that represents a very small percentage of the aggregate purchase or sales price of the contract. Because of such low margin requirements, price fluctuations occurring in the futures markets may create profits and losses that, in relation to the amount invested, are greater than customary in other forms of investment or speculation. As discussed below, adverse price changes in the futures contract may result in margin requirements that greatly exceed the initial margin. In addition, the amount of margin required in connection with a particular futures contract is set from time to time by the exchange on which the contract is traded and may be modified from time to time by the exchange during the term of the contract. Brokerage firms, such as the 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. 14 Table of Contents 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 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 has elected not to outsource services directly attributable to the Trust and the Funds such as accounting, financial reporting, regulatory compliance and trading activities, which the Sponsor performs itself. In addition, the 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 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. 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 in the financial statements of each Fund. Three months ended Three months ended Nine months ended Nine months ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 Recognized Related Party Transactions $ 518,894 $ 478,615 $ 1,702,621 $ 1,550,852 Waived Related Party Transactions $ 284,739 $ 253,990 $ 735,581 $ 438,897 The Sponsor has the ability to elect to pay certain expenses on behalf of the Funds or waive the management fee. This election is subject to change by the Sponsor, at its discretion. Expenses paid by the Sponsor and Management fees waived by the Sponsor are, if applicable, presented as waived expenses in the statements of operations for each Fund. The Sponsor has determined that there will be no recovery sought for the amounts below in any future period. CORN SOYB CANE WEAT TAGS TRUST Three months ended September 30, 2021 $ 347,523 $ 173,635 $ 29,699 $ 104,989 $ 28,946 $ 684,792 Three months ended September 30, 2020 $ 190,244 $ 159,329 $ 32,961 $ 16,384 $ 2,784 $ 401,702 Nine months ended September 30, 2021 $ 789,304 $ 479,631 $ 87,738 $ 229,640 $ 64,541 $ 1,650,854 Nine months ended September 30, 2020 $ 385,819 $ 236,376 $ 146,853 $ 16,384 $ 33,287 $ 818,719 Use of Estimates The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of the revenue and expenses during the reporting period. Actual results could differ from those estimates. 15 Table of Contents Fair Value - Definition and Hierarchy In accordance with U.S. GAAP, fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e., the “exit price”) in an orderly transaction between market participants at the measurement date. In determining fair value, the Trust uses various valuation approaches. In accordance with U.S. GAAP, a fair value hierarchy for inputs is used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Trust. Unobservable inputs reflect the Trust’s assumptions about the inputs market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The fair value hierarchy is categorized into three levels based on the inputs as follows: Level 1 - Valuations based on unadjusted quoted prices in active markets for identical assets or liabilities that the Trust has the ability to access. Valuation adjustments and block discounts are not applied to Level 1 futures contracts held by CORN, SOYB, CANE 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. Fair value is a market-based measure considered from the perspective of a market participant rather than an entity-specific measure. Therefore, even when market assumptions are not readily available, the Trust’s own assumptions are set to reflect those that market participants would use in pricing the asset or liability at the measurement date. The Trust uses prices and inputs that are current as of the measurement date, including periods of market dislocation. In periods of market dislocation, the observability of prices and inputs may be reduced for many financial instruments. This condition could cause a financial instrument to be reclassified to a lower level within the fair value hierarchy. For instance, when Corn Futures Contracts on the Chicago Board of Trade (“CBOT”) are not actively trading due to a “limit-up” or ‘limit-down” condition, meaning that the daily change in the Corn Futures Contracts has exceeded the limits established, the Trust and the Fund will revert to alternative verifiable sources of valuation of its assets. When such a situation exists on a quarter close, the Sponsor will calculate the NAV on a particular day using the Level 1 valuation but will later recalculate the NAV for the impacted Fund based upon the valuation inputs from these alternative verifiable sources (Level 2 or Level 3) and will report such NAV in its applicable financial statements and reports. On September 30, 2021 and December 31, 2020, 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. For the quarter ended June 30, 2021, Corn Futures Contracts for the Sep21 CBOT corn futures and the Dec21 CBOT corn futures, settled in a “limit up” condition. Accordingly, the Trust, CORN and TAGS classified these as level 2 assets. The financial statements of CORN including TAGS, due to the NAV adjustment for the Underlying CORN holdings, were adjusted accordingly. The adjustment resulted in an increase in the unrealized change in commodity futures contracts in excess of reported CBOT values of $ 711,275 for CORN. The Corn futures contracts transferred back to a Level 1 asset for the period ended September 30, 2021. For the quarter ended March 31, 2021, Corn Futures Contracts for the Jul21 CBOT corn futures, Sep21 CBOT corn futures, Dec21 CBOT corn futures, Jul21 CBOT soybean futures, and the Nov21 CBOT soybean futures, settled in a “limit up” condition. Accordingly, the Trust, CORN, and SOYB classified these as Level 2 assets. The financial statements of these funds including TAGS, due to the NAV adjustment for each of these Underlying Funds, were adjusted accordingly. The adjustment resulted in an increase in the unrealized change in commodity futures contracts in excess of reported CBOT values of $ 3,371,513 for CORN and $ 279,750 for SOYB. The Soybean futures contracts transferred back to a Level 1 asset for the period ended June 30, 2021, and the Sep21 and Dec21 corn futures contracts remained a Level 2 asset as described above. 16 Table of Contents For the quarter ended June 30, 2020, the Dec21 CBOT Wheat Futures Contracts traded on the CBOT did not, in the opinion of the Trust and WEAT, trade in an actively traded futures market as defined in the policy of the Trust and WEAT for the entire period during which they were held. Accordingly, the Trust and WEAT classified these as a Level 2 asset for the period ended June 30, 2020 due to the quarterly average daily volume for the contract. These Wheat contracts transferred back to a Level 1 asset for the period ended September 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”) 2021-05: “Leases (Topic 842).” Under the amended guidance, a lessor should classify and account for a lease with variable lease payments that don’t depend on an index or a rate as an operating lease if the lease would’ve been classified as a sales-type lease or a direct financing lease in accordance with the lease classification guidance in Topic 842 and the lessor would’ve otherwise recognized a day-one loss. The amendment was adopted early for the quarter ended September 30, 2021; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Funds. The FASB issued ASU 2020-10: “Codification Improvements.” The amendment improves the disclosure guidance in appropriate Disclosure Sections, without resulting in changes to current GAAP. The amendment was adopted for the quarter ended March 31, 2021; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Funds. The FASB issued ASU 2020-02: “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 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 were adopted for the quarter ended September 30, 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 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 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. 17 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. The amendments were adopted for the quarter ended September 30, 2020; 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 September 30, 2021 and December 31, 2020: September 30, 2021 Assets: Level 1 Level 2 Level 3 Balance as of September 30, 2021 Cash Equivalents $ 132,096,438 $ - $ - $ 132,096,438 Commodity Futures Contracts Corn futures contracts 1,980,301 - - 1,980,301 Soybean futures contracts 1,045,744 - - 1,045,744 Sugar futures contracts 2,254,654 - - 2,254,654 Wheat futures contracts 4,538,406 - - 4,538,391 Total $ 141,915,543 $ - $ - $ 141,915,543 Liabilities Level 1 Level 2 Level 3 Balance as of September 30, 2021 Commodity Futures Contracts Corn futures contracts $ 89,136 $ - $ - $ 89,136 Soybean futures contracts 1,715,999 - - 1,715,999 Total $ 1,805,135 $ - $ - $ 1,805,135 December 31, 2020 Assets: Level 1 Level 2 Level 3 Balance as of December 31, 2020 Cash Equivalents $ 213,568,884 $ - $ - $ 213,568,884 Commodity Futures Contracts Corn futures contracts 20,154,606 - - $ 20,154,606 Soybean futures contracts 15,124,226 - - $ 15,124,226 Sugar futures contracts 1,407,703 - - $ 1,407,703 Wheat futures contracts 5,738,162 - - $ 5,738,162 Total $ 255,993,581 $ - $ - $ 255,993,581 For the period ended September 30, 2021 and year ended December 31, 2020, the Funds did not have any significant transfers between any of the levels of the fair value hierarchy. The determination is made as of the settlement of the futures contracts on the last day of trading for the reporting period. In making the determination of a Level 1 or Level 2 transfer, the Fund considers the average volume of the specific underlying futures contracts traded on the relevant exchange for the periods being reported. 18 Table of Contents For the quarter ended June 30, 2021, Corn Futures Contracts for the Sep21 CBOT corn futures and the Dec21 CBOT corn futures, settled in a “limit up” condition. Accordingly, the Trust, CORN and TAGS classified these as level 2 assets. The financial statements of CORN including TAGS, due to the NAV adjustment for the Underlying CORN holdings, were adjusted accordingly. The adjustment resulted in an increase in the unrealized change in commodity futures contracts in excess of reported CBOT values of $ 711,275 for CORN. The Corn futures contracts transferred back to a Level 1 asset for the period ended September 30, 2021. For the quarter ended March 31, 2021, Corn Futures Contracts for the Jul21 CBOT corn futures, Sep21 CBOT corn futures, Dec21 CBOT corn futures, Jul21 CBOT soybean futures, and the Nov21 CBOT soybean futures, settled in a “limit up” condition. Accordingly, the Trust, CORN, and SOYB classified these as Level 2 assets. The financial statements of these funds including TAGS, due to the NAV adjustment for each of these Underlying Funds, were adjusted accordingly. The adjustment resulted in an increase in the unrealized change in commodity futures contracts in excess of reported CBOT values of $ 3,371,513 for CORN and $ 279,750 for SOYB. The Soybean futures contracts transferred back to a Level 1 asset for the period ended June 30, 2021, and the Sep21 and Dec21 corn futures contracts remained a Level 2 asset as described above. For the quarter ended June 30, 2020, the Dec21 CBOT Wheat Futures Contracts traded on the CBOT did not, in the opinion of the Trust and WEAT, trade in an actively traded futures market as defined in the policy of the Trust and WEAT for the entire period during which they were held. Accordingly, the Trust and WEAT classified these as a Level 2 asset for the period ended June 30, 2020 due to the quarterly average daily volume for the contract. These Wheat contracts transferred back to a Level 1 asset for the period ended September 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. Note 5 – Derivative Instruments and Hedging Activities In the normal course of business, the Funds utilize derivative contracts in connection with its proprietary trading activities. Investments in derivative contracts are subject to additional risks that can result in a loss of all or part of an investment. The Funds’ derivative activities and exposure to derivative contracts are classified by the following primary underlying risks: interest rate, credit, commodity price, and equity price risks. In addition to its primary underlying risks, the Funds are also subject to additional counterparty risk due to inability of its counterparties to meet the terms of their contracts. For the three and nine months ended September 30, 2021 and year ended December 31, 2020, 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 a FCM. Subsequent payments (variation margin) are made or received by each Fund each day, depending on the daily fluctuations in the value of the contract, and are recorded as unrealized gains or losses by each Fund. Futures contracts may reduce the Funds’ exposure to counterparty risk since futures contracts are exchange-traded; and the exchange’s clearinghouse, as the counterparty to all exchange-traded futures, guarantees the futures against default. The Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM’s proprietary activities. A customer’s cash and other equity deposited with an FCM are considered commingled with all other customer funds subject to the FCM’s segregation requirements. In the event of an FCM’s insolvency, recovery may be limited to each Fund’s pro rata share of segregated customer funds available. It is possible that the recovery amount could be less than the total of cash and other equity deposited. The following table discloses information about offsetting assets and liabilities presented in the combined statements of assets and liabilities to enable users of these financial statements to evaluate the effect or potential effect of netting arrangements for recognized assets and liabilities. These recognized assets and liabilities are presented as defined in the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Update (“ASU”) No. 2011-11 “Balance Sheet (Topic 210): Disclosures about Offsetting Assets and Liabilities” and subsequently clarified in FASB ASU 2013-01 “Balance Sheet (Topic 210): Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities.” 19 Table of Contents The following table also identifies the fair value amounts of derivative instruments included in the combined statements of assets and liabilities as derivative contracts, categorized by primary underlying risk and held by the FCM, E D & F Man as of September 30, 2021 and December 31, 2020. *The amount of collateral presented in Collateral, Due from Broker, is limited to the liability for the futures contracts and accordingly does not include the excess collateral pledged. Offsetting of Financial Assets and Derivative Assets as of September 30, 2021 (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 $ 1,980,301 $ - $ 1,980,301 $ 89,136 $ - $ 1,891,165 Soybean futures contracts $ 1,045,744 $ - $ 1,045,744 $ 1,045,744 $ - $ - Sugar futures contracts $ 2,254,654 $ - $ 2,254,654 $ - $ 346,666 $ 1,907,988 Wheat futures contracts $ 4,538,406 $ - $ 4,538,406 $ - $ - $ 4,538,406 Offsetting of Financial Liabilities and Derivative Liabilities as of September 30, 2021 (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 $ 89,136 $ - $ 89,136 $ 89,136 $ - $ - Soybean futures contracts $ 1,715,999 $ - $ 1,715,999 $ 1,045,744 $ 670,255 $ - 20 Table of Contents Offsetting of Financial Assets and Derivative Assets as of December 31, 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 $ 20,154,606 $ - $ 20,154,606 $ - $ 12,973,828 $ 7,180,778 Soybean futures contracts $ 15,124,226 $ - $ 15,124,226 $ - $ 11,257,566 $ 3,866,660 Sugar futures contracts $ 1,407,703 $ - $ 1,407,703 $ - $ 475,661 $ 932,042 Wheat futures contracts $ 5,738,162 $ - $ 5,738,162 $ - $ 2,571,103 $ 3,167,059 The following is a summary of realized and unrealized gains (losses) of the derivative instruments utilized by the Trust: Three months ended September 30, 2021 Realized Gain on Commodity Futures Contracts Net Change in Unrealized (Depreciation) Appreciation on Commodity Futures Contracts Commodity Price Corn futures contracts $ 6,039,005 $ ( 16,642,507 ) Soybean futures contracts 3,421,173 ( 7,754,543 ) Sugar futures contracts 2,536,459 289,834 Wheat futures contracts 3,422,476 605,294 Total commodity futures contracts $ 15,419,113 $ ( 23,501,922 ) Three months ended September 30, 2020 Realized Gain on Commodity Futures Contracts Net Change in Unrealized Appreciation on Commodity Futures Contracts Commodity Price Corn futures contracts $ 400,170 $ 10,737,739 Soybean futures contracts 2,919,491 8,101,755 Sugar futures contracts 184,149 484,253 Wheat futures contracts 1,631,368 5,927,145 Total commodity futures contracts $ 5,135,178 $ 25,250,892 21 Table of Contents Nine months ended September 30, 2021 Realized Gain on Commodity Futures Contracts Net Change in Unrealized (Depreciation) Appreciation on Commodity Futures Contracts Commodity Price Corn futures contracts $ 61,285,136 $ ( 18,263,441 ) Soybean futures contracts 29,238,888 ( 15,794,481 ) Sugar futures contracts 5,802,090 846,951 Wheat futures contracts 13,502,592 ( 1,199,756 ) Total commodity futures contracts $ 109,828,706 $ ( 34,410,727 ) Nine months ended September 30, 2020 Realized (Loss) Gain on Commodity Futures Contracts Net Change in Unrealized Appreciation (Depreciation) on Commodity Futures Contracts Commodity Price Corn futures contracts $ ( 6,379,024 ) $ 7,945,108 Soybean futures contracts ( 1,201,373 ) 7,292,203 Sugar futures contracts ( 763,390 ) 17,344 Wheat futures contracts 1,798,882 ( 957,071 ) Total commodity futures contracts $ ( 4,142,159 ) $ 14,297,584 Volume of Derivative Activities The average notional market value categorized by primary underlying risk for the futures contracts held was $ 281.7 million and $ 334.0 million for the three and nine months ended September 30, 2021, respectively, and $ 277.2 million and $ 193.5 million for the three and nine months ended September 30, 2020, respectively. Note 6 - Organizational and Offering Costs Expenses incurred in organizing of the Trust and the initial offering of the shares of the Funds, including applicable SEC registration fees, were borne directly by the Sponsor for the Funds and will be borne directly by the Sponsor for any series of the Trust which is not yet operating or will be issued in the future. The Trust will not be obligated to reimburse the Sponsor. Note 7 – Detail of the net assets and shares outstanding of the Funds that are a series of the Trust The following are the net assets and shares outstanding of each Fund that is a series of the Trust and, thus, in total, comprise the combined net assets of the Trust: September 30, 2021 Outstanding Shares Net Assets Teucrium Corn Fund 5,950,004 $ 120,396,395 Teucrium Soybean Fund 2,150,004 47,284,707 Teucrium Sugar Fund 2,725,004 26,068,010 Teucrium Wheat Fund 10,375,004 73,296,079 Teucrium Agricultural Fund: Net assets including the investment in the Underlying Funds 325,502 8,540,663 Less: Investment in the Underlying Funds ( 8,541,105 ) Net for the Fund in the combined net assets of the Trust ( 442 ) Total $ 267,044,749 22 Table of Contents December 31, 2020 Outstanding Shares Net Assets Teucrium Corn Fund 8,900,004 $ 138,289,537 Teucrium Soybean Fund 4,575,004 89,178,862 Teucrium Sugar Fund 1,900,004 12,766,091 Teucrium Wheat Fund 11,350,004 69,876,578 Teucrium Agricultural Fund: Net assets including the investment in the Underlying Funds 75,002 1,584,388 Less: Investment in the Underlying Funds ( 1,582,262 ) Net for the Fund in the combined net assets of the Trust 2,126 Total $ 310,113,194 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 September 30, 2021 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: The continued uncertainty of COVID-19 may continue to 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 II of this 10-Q. CORN: Nothing to report SOYB: Nothing to report CANE: Nothing to report WEAT: Nothing to report TAGS: Nothing to report 23 Table of Contents TEUCRIUM CORN FUND STATEMENTS OF ASSETS AND LIABILITIES September 30, 2021 December 31, 2020 (Unaudited) Assets Cash and cash equivalents $ 115,048,530 $ 138,181,061 Interest receivable 8,853 7,343 Equity in trading accounts: Commodity futures contracts 1,980,301 20,154,606 Due from broker 6,206,315 - Total equity in trading accounts 8,186,616 20,154,606 Total assets 123,243,999 158,343,010 Liabilities Management fee payable to Sponsor 98,490 117,864 Payable for purchases of commercial paper 2,498,755 4,997,847 Other liabilities 161,223 21,659 Payable for shares redeemed - 1,942,275 Equity in trading accounts: Commodity futures contracts 89,136 - Due to broker - 12,973,828 Total equity in trading accounts 89,136 12,973,828 Total liabilities 2,847,604 20,053,473 Net assets $ 120,396,395 $ 138,289,537 Shares outstanding 5,950,004 8,900,004 Shares Authorized 23,675,000 27,450,000 Net asset value per share $ 20.23 $ 15.54 Market value per share $ 20.17 $ 15.58 The accompanying notes are an integral part of these financial statements. 24 Table of Contents TEUCRIUM CORN FUND SCHEDULE OF INVESTMENTS September 30, 2021 (Unaudited) Percentage of Description: Assets Fair Value Net Assets Shares Cash equivalents Money market funds First American Governemnt Obligations Fund - Class X (cost $8,952,627) $ 8,952,627 7.44 % 8,952,627 Goldman Sachs Financial Square Government Fund - Institutional Class (cost: $8,936) 8,936 0.01 8,936 Total money market funds (cost: $8,961,563) $ 8,961,563 7.45 % Commercial Paper General Motors Financial Company, Inc. 0.150% (cost: $2,499,083 due 10/04/2021) $ 2,499,969 2.08 % 2,500,000 General Motors Financial Company, Inc. 0.172% (cost: $3,498,943 due 11/04/2021) 3,499,438 2.91 3,500,000 General Motors Financial Company, Inc. 0.170% (cost: $2,499,315 due 11/10/2021) 2,499,528 2.07 2,500,000 Glencore Funding LLC 0.150% (cost: $2,499,105 due 10/06/2021) 2,499,948 2.08 2,500,000 Harley-Davidson Financial Services, Inc. 0.150% (cost: $2,499,250 due 10/14/2021) 2,499,865 2.08 2,500,000 Harley-Davidson Financial Services, Inc. 0.160% (cost: $4,998,022 due 11/03/2021) 4,999,267 4.15 5,000,000 Harley-Davidson Financial Services, Inc. 0.150% (cost: $2,499,333 due 11/19/2021) 2,499,489 2.07 2,500,000 Jabil Inc. 0.262% (cost: $7,497,875 due 10/19/2021) 7,499,019 6.23 7,500,000 National Fuel Gas Company 0.200% (cost: $2,499,708 due 10/08/2021) 2,499,903 2.08 2,500,000 Viatris Inc. 0.274% (cost: $7,494,863 due 10/18/2021) 7,499,029 6.23 7,500,000 Viatris Inc. 0.220% (cost: $4,997,434 due 10/18/2021) 4,999,481 4.15 5,000,000 Viatris Inc. 0.230% (cost: $2,498,755 due 12/21/2021) 2,498,755 2.07 2,500,000 Total Commercial Paper (cost: $45,981,686) $ 45,993,691 38.20 % Total Cash Equivalents $ 54,955,254 45.65 % Notional Amount (Long Exposure) Commodity futures contracts United States corn futures contracts CBOT corn futures MAY22 (1,312 contracts) $ 1,420,596 1.18 % $ 36,014,400 CBOT corn futures DEC22 (1,624 contracts) 559,705 0.46 42,447,300 Total commodity futures contracts $ 1,980,301 1.64 % $ 78,461,700 Percentage of Notional Amount Description: Liabilities Fair Value Net Assets (Long Exposure) Commodity futures contracts United States corn futures contracts CBOT corn futures MAR22 (1,544 contracts) $ 89,136 0.07 % $ 42,035,400 The accompanying notes are an integral part of these financial statements. 25 Table of Contents TEUCRIUM CORN FUND SCHEDULE OF INVESTMENTS December 31, 2020 Percentage of Description: Assets Fair Value Net Assets Shares Cash equivalents Money market funds First American Government Obligations Fund - Class X 0.04% (cost $27,477,241) $ 27,477,241 19.87 % 27,477,241 Blackrock Liquidity FedFund - Institutional Class 0.005% (cost $19,076) 19,076 0.01 19,076 Total money market funds (cost: $27,496,317) $ 27,496,317 19.88 % Principal Amount Commercial Paper Energy Transfer Operating, L.P. 0.501% (cost: $2,498,889 due 01/29/2021) $ 2,499,028 1.81 % 2,500,000 Energy Transfer Operating, L.P. 0.501% (cost: $4,997,847 due 02/05/2021) 4,997,847 3.61 5,000,000 General Motors Financial Company, Inc. 0.411% (cost: $2,498,178 due 01/08/2021) 2,499,801 1.81 2,500,000 General Motors Financial Company, Inc. 0.471% (cost: $4,994,386 due 01/20/2021) 4,998,760 3.61 5,000,000 General Motors Financial Company, Inc. 0.471% (cost: $2,497,226 due 01/20/2021) 2,499,380 1.81 2,500,000 General Motors Financial Company, Inc. 0.471% (cost: $2,497,062 due 01/25/2021) 2,499,217 1.81 2,500,000 Harley-Davidson Financial Services, Inc. 0.310% (cost: $5,496,496 due 01/05/2021) 5,499,811 3.98 5,500,000 Harley-Davidson Financial Services, Inc. 0.250% (cost: $2,498,437 due 01/11/2021) 2,499,826 1.81 2,500,000 Hyundai Capital America, Inc. 0.150% (cost: $4,998,397 due 02/01/2021) 4,999,354 3.62 5,000,000 Hyundai Capital America, Inc. 0.170% (cost: $4,998,490 due 02/03/2021) 4,999,221 3.61 5,000,000 Jabil Inc. 0.430% (cost: $4,997,253 due 01/29/2021) 4,998,328 3.61 5,000,000 Jabil Inc. 0.501% (cost: $4,994,306 due 02/24/2021) 4,996,250 3.61 5,000,000 Marathon Petroleum Corporation 0.381% (cost: $4,996,147 due 02/26/2021) 4,997,044 3.61 5,000,000 Viatris Inc. 0.372% (cost: $7,495,588 due 02/26/2021) 7,495,665 5.42 7,500,000 Viatris Inc. 0.451% (cost: $2,497,219 due 03/22/2021) 2,497,500 1.81 2,500,000 WGL Holdings, Inc. 0.200% (cost: $2,499,528 due 01/26/2021) 2,499,653 1.81 2,500,000 Walgreens Boots Alliance, Inc. 0.246% (cost: $4,997,715 due 03/05/2021) 4,997,851 3.61 5,000,000 Total commercial paper (cost: $70,453,164) $ 70,474,536 50.96 % Total cash equivalents $ 97,970,853 70.84 % Notional Amount (Long Exposure) Commodity futures contracts United States corn futures contracts CBOT corn futures MAY21 (2,004 contracts) $ 9,160,307 6.62 % $ 48,421,650 CBOT corn futures JUL21 (1,727 contracts) 4,516,403 3.27 41,469,588 CBOT corn futures DEC21 (2,226 contracts) 6,477,896 4.68 48,387,675 Total commodity futures contracts $ 20,154,606 14.57 % $ 138,278,913 The accompanying notes are an integral part of these financial statements. 26 Table of Contents TEUCRIUM CORN FUND STATEMENTS OF OPERATIONS (Unaudited) Three months ended Three months ended Nine months ended Nine months ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 Income Realized and unrealized gain (loss) on trading of commodity futures contracts: Realized gain (loss) on commodity futures contracts $ 6,039,005 $ 400,170 $ 61,285,136 $ ( 6,379,024 ) Net change in unrealized (depreciation)/appreciation on commodity futures contracts ( 16,642,507 ) 10,737,739 ( 18,263,441 ) 7,945,108 Interest income 55,229 82,500 206,168 526,097 Total (loss) income ( 10,548,273 ) 11,220,409 43,227,863 2,092,181 Expenses Management fees 342,207 273,445 1,187,734 592,009 Professional fees 117,055 81,710 447,879 421,378 Distribution and marketing fees 444,526 388,178 1,191,750 1,008,276 Custodian fees and expenses 48,716 50,213 132,904 142,069 Business permits and licenses fees 3,685 29,583 27,959 62,552 General and administrative expenses 28,376 16,094 117,321 99,051 Other expenses - 2,734 - 2,734 Total expenses 984,565 841,957 3,105,547 2,328,069 Expenses waived by the Sponsor ( 347,523 ) ( 190,244 ) ( 789,304 ) ( 385,819 ) Total expenses, net 637,042 651,713 2,316,243 1,942,250 Net (loss) income $ ( 11,185,315 ) $ 10,568,696 $ 40,911,620 $ 149,931 Net (loss) income per share $ ( 1.12 ) $ 0.75 $ 4.69 $ ( 1.67 ) Net (loss) income per weighted average share $ ( 1.67 ) $ 1.20 $ 4.87 $ 0.02 Weighted average shares outstanding 6,704,352 8,795,384 8,402,293 6,183,033 The accompanying notes are an integral part of these financial statements. 27 Table of Contents TEUCRIUM CORN FUND STATEMENTS OF CHANGES IN NET ASSETS (Unaudited) Nine months ended Nine months ended September 30, 2021 September 30, 2020 Operations Net income $ 40,911,620 $ 149,931 Capital transactions Issuance of Shares 69,950,418 144,765,321 Redemption of Shares ( 128,755,180 ) ( 67,292,493 ) Total capital transactions ( 58,804,762 ) 77,472,828 Net change in net assets ( 17,893,142 ) 77,622,759 Net assets, beginning of period $ 138,289,537 $ 75,220,190 Net assets, end of period $ 120,396,395 $ 152,842,949 Net asset value per share at beginning of period $ 15.54 $ 14.82 Net asset value per share at end of period $ 20.23 $ 13.15 Creation of Shares 3,775,000 11,900,000 Redemption of Shares 6,725,000 5,350,000 The accompanying notes are an integral part of these financial statements. 28 Table of Contents TEUCRIUM CORN FUND STATEMENTS OF CASH FLOWS (Unaudited) Nine months ended Nine months ended September 30, 2021 September 30, 2020 Cash flows from operating activities: Net income $ 40,911,620 $ 149,931 Adjustments to reconcile net income to net cash provided by (used in) operating activities: Net change in unrealized depreciation/(appreciation) on commodity futures contracts 18,263,441 ( 7,945,108 ) Changes in operating assets and liabilities: Due from broker ( 6,206,315 ) ( 2,721,436 ) Interest receivable ( 1,510 ) ( 7,428 ) Other assets - ( 10,422 ) Due to broker ( 12,973,828 ) - Management fee payable to Sponsor ( 19,374 ) 40,836 Payable for purchases of commercial paper ( 2,499,092 ) 4,999,763 Other liabilities 139,564 88,350 Net cash provided by (used in) operating activities 37,614,506 ( 5,405,514 ) Cash flows from financing activities: Proceeds from sale of Shares 69,950,418 144,765,321 Redemption of Shares ( 130,697,455 ) ( 66,635,103 ) Net cash (used in) provided by financing activities ( 60,747,037 ) 78,130,218 Net change in cash and cash equivalents ( 23,132,531 ) 72,724,704 Cash and cash equivalents, beginning of period 138,181,061 74,521,123 Cash and cash equivalents, end of period $ 115,048,530 $ 147,245,827 The accompanying notes are an integral part of these financial statements. 29 Table of Contents NOTES TO FINANCIAL STATEMENTS September 30, 2021 (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 October 2, 2020. This registration statement for CORN registered an additional 20,000,000 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 nine months ended September 30, 2021 are not necessarily indicative of the results to be expected for the full year ending December 31, 2021. 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. 30 Table of Contents Note 2 – Principal Contracts and Agreements The Sponsor employs U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services ("Global Fund Services"), for Transfer Agency, Fund Accounting and Fund Administration services. The principal address for Global Fund Services is 615 E. Michigan Street, Milwaukee, WI 53202. For custody services, the Funds will pay to U.S. Bank N.A. 0.0075% of average gross assets up to $1 billion, and .0050% of average gross assets over $1 billion, annually, plus certain per-transaction charges. For Transfer Agency, Fund Accounting and Fund Administration services, which are based on the total assets for all the Funds in the Trust, the Funds will pay to Global Fund Services 0.05% of average gross assets on the first $500 million, 0.04% on the next $500 million, 0.03% on the next $2 billion and 0.02% on the balance over $3 billion annually. A combined minimum annual fee of up to $47,000 for custody, transfer agency, accounting and administrative services is assessed per Fund. These services are recorded as custodian fees and expenses on the statements of operations. A summary of these expenses is included below. The Sponsor employs Foreside Fund Services, LLC (“Foreside” or the “Distributor”) as the Distributor for the Funds. The Distribution Services Agreement among the Distributor and the Sponsor calls for the Distributor to work with the Custodian in connection with the receipt and processing of orders for Creation Baskets and Redemption Baskets and the review and approval of all Fund sales literature and advertising materials. The Distributor and the Sponsor have also entered into a Securities Activities and Service Agreement (the “SASA”) under which certain employees and officers of the Sponsor are licensed as registered representatives or registered principals of the Distributor, under Financial Industry Regulatory Authority (“FINRA”) rules. For its services as the Distributor, Foreside receives a fee of 0.01% of each Fund’s average daily net assets and an aggregate annual fee of $100,000 for all Funds, along with certain expense reimbursements. For its services under the SASA, Foreside receives a fee of $5,000 per registered representative and $1,000 per registered location. These services are recorded as distribution and marketing fees on the statements of operations. A summary of these expenses is included below. Pursuant to a Consulting Services Agreement, Foreside Consulting Services, LLC, performs certain consulting support services for the Trust's Sponsor. Additionally, Foreside Distributors, LLC performs certain distribution consulting services pursuant to a Distribution Consulting Agreement with the Sponsor. E D & F Man Capital Markets, Inc. (“E D & F Man”) serves as the Underlying Funds’ clearing broker to execute and clear the Underlying Funds’ futures and provide other brokerage-related services. E D & F Man is registered as a futures commission merchant (“FCM”) with the U.S. CFTC and is a member of the NFA. E D & F Man is also registered as a broker/dealer with the SEC and is a member of FINRA. E D & 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 E D & 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 (“Thales”) for distribution and solicitation-related services. Thales is registered as a Broker-Dealer with the SEC and a member of FINRA and the Securities Investor Protection Corporation (“SIPC”). Thales receives a quarterly fee of the higher of $18,750 or 0.10% of new assets raised in referred accounts for distribution and solicitation-related services. This fee based on new assets raised 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 month ended Three month ended Nine month ended Nine month ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 Amount Recognized for Custody Services $ 48,716 $ 50,213 $ 132,904 $ 142,069 Amount of Custody Services Waived $ 28,184 $ 14,262 $ 43,116 $ 24,262 Amount Recognized for Distribution Services $ 19,543 $ 18,062 $ 62,120 $ 57,732 Amount of Distribution Services Waived $ 19,543 $ 1,490 $ 19,543 $ 1,490 Amount Recognized for Wilmington Trust $ 1,520 $ - $ 1,520 $ - Amount of Wilmington Trust Waived $ - $ - $ - $ - Amount Recognized for Thales $ 43,254 $ 10,912 $ 117,331 $ 33,671 Amount of Thales Waived $ 43,254 $ - $ 73,274 $ - 31 Table of Contents Note 3 – Summary of Significant Accounting Policies Basis of Presentation The accompanying financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) as detailed in the Financial Accounting Standards Board’s Accounting Standards Codification. Revenue Recognition Commodity futures contracts are recorded on the trade date. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized appreciation or depreciation on commodity futures contracts are reflected in the statements of operations as the difference between the original contract amount and the fair market value as of the last business day of the year or as of the last date of the financial statements. Changes in the appreciation or depreciation between periods are reflected in the statements of operations. The Fund seeks to earn interest on its assets denominated in U.S. dollars on deposits with the Futures Commission Merchant. In addition, the Fund earns interest on funds held at the custodian and at other financial institutions at prevailing market rates for such investments. The Sponsor invests a portion of cash in commercial paper, which is deemed a cash equivalent based on the rating and duration of contracts as described in the notes to the financial statements and reflected in cash and cash equivalents on the statements of assets and liabilities and statements of cash flows. Accretion on these investments 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 statements of operations. 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 total brokerage commissions paid inclusive of unrealized loss for the three and nine months ended September 30, 2021. CORN Three months ended September 30, 2021 $ 43,677 Three months ended September 30, 2020 $ 73,503 Nine months ended September 30, 2021 $ 118,868 Nine months ended September 30, 2020 $ 113,925 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. 32 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 2018 to 2020, 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 September 30, 2021 and for the years ended December 31, 2020, 2019, and 2018. 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 nine months ended September 30, 2021 and 2020. 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 received in good order. Authorized Purchasers may redeem shares from the Fund only in blocks of 25,000 shares called “Redemption Baskets.” The amount of the redemption proceeds for a Redemption Basket will be equal to the NAV of the shares in the Redemption Basket determined as of 4:00 p.m. (EST) on the day the order to redeem the basket is received in good order. The Fund receives or pays the proceeds from shares sold or redeemed within three business days after the trade date of the purchase or redemption. The amounts due from Authorized Purchasers are reflected in the Fund’s statements of assets and liabilities as capital shares receivable. Amounts payable to Authorized Purchasers upon redemption are reflected in the Fund’s statements of assets and liabilities as payable for shares redeemed. As outlined in the most recent Form S-1 filing, 50,000 shares represents two Redemption Baskets for the Fund and a minimum level of shares. If the Fund experienced redemptions that caused the number of Shares outstanding to decrease to the minimum level of Shares required to be outstanding, until the minimum number of Shares is again exceeded through the purchase of a new Creation Basket, there can be no more redemptions by an Authorized Purchaser. Allocation of Shareholder Income and Losses Profit or loss is allocated among the shareholders of the Fund in proportion to the number of shares each shareholder holds as of the close of each month. Cash and Cash Equivalents Cash equivalents are highly liquid investments with maturity dates of 90 days or less when acquired. The Fund reported its cash equivalents in the statements of assets and liabilities at market value, or at carrying amounts that approximate fair value, because of their highly liquid nature and short term maturities. Each Fund that is a series of the Trust has the balance of its cash equivalents on deposit with financial institutions. The Fund holds a balance in money market funds that is included in cash and cash equivalents on the statements of assets and liabilities. The Sponsor invests a portion of the available cash for the Funds in alternative demand deposit savings accounts, which is classified as cash and not as cash equivalents. Assets deposited with the bank may, at times, exceed federally insured limits. The Sponsor invests a portion of the available cash for the Funds in investment grade commercial paper with durations of 90 days or less, which is classified as a cash equivalent and is not FDIC insured. The Sponsor may invest a portion of the cash held by the broker in short term Treasury Bills as collateral for open futures contracts, which is classified as a cash equivalent and is not FDIC insured. September 30, 2021 December 31, 2020 Money Market Funds $ 8,961,563 $ 27,496,317 Demand Deposit Savings Accounts 60,093,276 40,210,208 Commercial Paper 45,993,691 70,474,536 Total cash and cash equivalents as presented on the Statement of Assets and Liabilities $ 115,048,530 $ 138,181,061 33 Table of Contents Payable for Purchases of Commercial Paper The amount recorded by the Fund for commercial paper transactions awaiting settlement, represents the amount payable for contracts purchased but not yet settled as of the reporting date. The value of the contract is included in cash and cash equivalents, and the payable amount is included as a liability. Due from/to Broker The amount recorded by the Fund for the amount due from and to the clearing broker includes, but is not limited to, cash held by the broker, amounts payable to the clearing broker related to open transactions, payables for commodities futures accounts liquidating to an equity balance on the clearing broker’s records and amounts of brokerage commissions paid and recognized as unrealized losses. Margin is the minimum amount of funds that must be deposited by a commodity interest trader with the trader’s broker to initiate and maintain an open position in futures contracts. A margin deposit acts to assure the trader’s performance of the futures contracts purchased or sold. Futures contracts are customarily bought and sold on initial margin that represents a very small percentage of the aggregate purchase or sales price of the contract. Because of such low margin requirements, price fluctuations occurring in the futures markets may create profits and losses that, in relation to the amount invested, are greater than customary in other forms of investment or speculation. As discussed below, adverse price changes in the futures contract may result in margin requirements that greatly exceed the initial margin. In addition, the amount of margin required in connection with a particular futures contract is set from time to time by the exchange on which the contract is traded and may be modified from time to time by the exchange during the term of the contract. Brokerage firms, such as the Fund’s clearing brokers, carrying accounts for traders in commodity interest contracts generally require higher amounts of margin as a matter of policy to further protect themselves. Over the counter trading generally involves the extension of credit between counterparties, so the counterparties may agree to require the posting of collateral by one or both parties to address credit exposure. When a trader purchases an option, there is no margin requirement; however, the option premium must be paid in full. When a trader sells an option, on the other hand, he or she is required to deposit margin in an amount determined by the margin requirements established for the underlying interest and, in addition, an amount substantially equal to the current premium for the option. The margin requirements imposed on the selling of options, although adjusted to reflect the probability that out-of-the-money options will not be exercised, can in fact be higher than those imposed in dealing in the futures markets directly. Complicated margin requirements apply to spreads and conversions, which are complex trading strategies in which a trader acquires a mixture of options positions and positions in the underlying interest. Ongoing or “maintenance” margin requirements are computed each day by a trader’s clearing broker. When the market value of a particular open futures contract changes to a point where the margin on deposit does not satisfy maintenance margin requirements, a margin call is made by the broker. If the margin call is not met within a reasonable time, the broker may close out the trader’s position. With respect to the Fund’s trading, the Fund (and not its shareholders personally) is subject to margin calls. Finally, many major U.S. exchanges have passed certain cross margining arrangements involving procedures pursuant to which the futures and options positions held in an account would, in the case of some accounts, be aggregated and margin requirements would be assessed on a portfolio basis, measuring the total risk of the combined positions. Calculation of Net Asset Value The Fund’s NAV is calculated by: • Taking the current market value of its total assets and • Subtracting any liabilities. The administrator, Global Fund Services, calculates the NAV of the Fund once each trading day. It calculates the NAV as of the earlier of the close of the NYSE or 4:00 p.m. (EST). The NAV for a particular trading day is released after 4:15 p.m. (EST). 34 Table of Contents 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 has elected not to outsource services directly attributable to the Trust and the Funds such as accounting, financial reporting, regulatory compliance and trading activities, which the Sponsor performs itself. In addition, the Fund is contractually obligated to pay a monthly management fee to the Sponsor, based on average daily net assets, at a rate equal to 1.00 % per annum. The Fund generally pays for all brokerage fees, taxes and other expenses, including licensing fees for the use of intellectual property, registration or other fees paid to the SEC, FINRA, or any other regulatory agency in connection with the offer and sale of subsequent Shares after its initial registration and all legal, accounting, printing and other expenses associated therewith. The Fund also pays its portion of the fees and expenses associated with the Trust’s tax accounting and reporting requirements. Certain aggregate expenses common to all Funds within the Trust are allocated by the Sponsor to the respective Fund based on activity drivers deemed most appropriate by the Sponsor for such expenses, including but not limited to relative assets under management and creation order activity. These aggregate common expenses include, but are not limited to, legal, auditing, accounting and financial reporting, tax-preparation, regulatory compliance, trading activities, and insurance costs, as well as fees paid to the Distributor, which are included in the related line item in the statements of operations. A portion of these aggregate common expenses are related to the Sponsor or related parties of principals of the Sponsor; these are necessary services to the Funds, which are primarily the cost of performing accounting and financial reporting, regulatory compliance, and trading activities that are directly attributable to the Fund. Such expenses are primarily recorded as distribution and marketing fees in the financial statements of each Fund. Three months ended Three months ended Nine months ended Nine months ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 Recognized Related Party Transactions $ 242,913 $ 220,939 $ 797,998 $ 755,875 Waived Related Party Transactions $ 151,170 $ 132,094 $ 370,338 $ 259,201 The Sponsor has the ability to elect to pay certain expenses on behalf of the Funds or waive the management fee. This election is subject to change by the Sponsor, at its discretion. Expenses paid by the Sponsor and Management fees waived by the Sponsor are, if applicable, presented as waived expenses in the statements of operations for each Fund. The Sponsor has determined that there will be no recovery sought for the amounts below in any future period: CORN Three months ended September 30, 2021 $ 347,523 Three months ended September 30, 2020 $ 190,244 Nine months ended September 30, 2021 $ 789,304 Nine months ended September 30, 2020 $ 385,819 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. 35 Table of Contents Fair Value - Definition and Hierarchy In accordance with U.S. GAAP, fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e., the “exit price”) in an orderly transaction between market participants at the measurement date. In determining fair value, the 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. The availability of valuation techniques and observable inputs can vary from financial instrument to financial instrument and is affected by a wide variety of factors including, the type of financial instrument, whether the financial instrument is new and not yet established in the marketplace, and other characteristics particular to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Those estimated values do not necessarily represent the amounts that may be ultimately realized due to the occurrence of future circumstances that cannot be reasonably determined. Because of the inherent uncertainty of valuation, those estimated values may be materially higher or lower than the values that would have been used had a ready market for the financial instruments existed. Accordingly, the degree of judgment exercised by the Fund in determining fair value is greatest for financial instruments categorized in Level 3. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy, within which the fair value measurement in its entirety falls, is determined based on the lowest level input that is significant to the fair value measurement. Fair value is a market-based measure considered from the perspective of a market participant rather than an entity-specific measure. Therefore, even when market assumptions are not readily available, the Fund’s own assumptions are set to reflect those that market participants would use in pricing the asset or liability at the measurement date. The Fund uses prices and inputs that are current as of the measurement date, including during periods of market dislocation. In periods of market dislocation, the observability of prices and inputs may be reduced for many securities. This condition could cause a financial instrument to be reclassified to a lower level within the fair value hierarchy. For instance, when Corn Futures Contracts on the CBOT are not actively trading due to a “limit-up” or limit-down” condition, meaning that the daily change in the Corn Futures Contracts has exceeded the limits established, the Trust and the Fund will revert to alternative verifiable sources of valuation of its assets. When such a situation exists on a quarter close, the Sponsor will calculate the Net Asset Value (“NAV”) on a particular day using the Level 1 valuation but will later recalculate the NAV for the impacted Fund based upon the valuation inputs from these alternative verifiable sources (Level 2 or Level 3) and will report such NAV in its applicable financial statements and reports. On September 30, 2021 and December 31, 2020, in the opinion of the Trust and the Fund, the reported value at the close of the market for each commodity contract fairly reflected the value of the futures and no alternative valuations were required. The determination is made as of the settlement of the futures contracts on the last day of trading for the reporting period. In making the determination of a Level 1 or Level 2 transfer, the Fund considers the average volume of the specific underlying futures contracts traded on the relevant exchange for the periods being reported. For the quarter ended June 30, 2021, Corn Futures Contracts for the Sep21 CBOT corn futures and the Dec21 CBOT corn futures, settled in a “limit up” condition. Accordingly, the Trust and CORN classified these as level 2 assets. The financial statements of CORN were adjusted accordingly. The adjustment resulted in an increase in the unrealized change in commodity futures contracts in excess of reported CBOT values of $711,275 for CORN. The Corn futures contracts transferred back to a Level 1 asset for the period ended September 30, 2021. For the quarter ended March 31, 2021, Corn Futures Contracts for the Jul21 CBOT corn futures, Sep21 CBOT corn futures, and Dec21 CBOT corn futures settled in a “limit up” condition. Accordingly, the Trust and CORN classified these as Level 2 assets. The financial statements of CORN were adjusted accordingly. The adjustment resulted in an increase in the unrealized change in commodity futures contracts in excess of reported CBOT values of $3,371,513. The Jul21 corn futures contracts transferred back to a Level 1 asset, and the Sep21 and Dec21 corn futures contracts remained a Level 2 asset as described above for the period ended June 30, 2021. 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. 36 Table of Contents Expenses Expenses are recorded using the accrual method of accounting. Net Income (Loss) per Share Net income (loss) per share is the difference between the NAV per unit at the beginning of each period and at the end of each period. The weighted average number of units outstanding was computed for purposes of disclosing net income (loss) per weighted average unit. The weighted average units are equal to the number of units outstanding at the end of the period, adjusted proportionately for units created or redeemed based on the amount of time the units were outstanding during such period. New Accounting Pronouncements The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2021-05: “Leases (Topic 842).” Under the amended guidance, a lessor should classify and account for a lease with variable lease payments that don’t depend on an index or a rate as an operating lease if the lease would’ve been classified as a sales-type lease or a direct financing lease in accordance with the lease classification guidance in Topic 842 and the lessor would’ve otherwise recognized a day-one loss. The amendment was adopted early for the quarter ended September 30, 2021; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued ASU 2020-10: “Codification Improvements.” The amendment improves the disclosure guidance in appropriate Disclosure Sections, without resulting in changes to current GAAP. The amendment is effective for annual periods beginning after December 15, 2020. The amendment was adopted for the quarter ended March 31, 2021; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued 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 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 were adopted for the quarter ended September 30, 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 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 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 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. The amendments were adopted for the quarter ended September 30, 2020; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. 37 Table of Contents Note 4 – Fair Value Measurements The Fund’s assets and liabilities recorded at fair value have been categorized based upon a fair value hierarchy as described in the Fund’s significant accounting policies in Note 3. The following table presents information about the Fund’s assets and liabilities measured at fair value as of September 30, 2021 and December 31, 2020: September 30, 2021 Assets: Level 1 Level 2 Level 3 Balance as of September 30, 2021 Cash Equivalents $ 54,955,254 $ - $ - $ 54,955,254 Commodity Futures Contracts Corn futures contracts 1,980,301 - - 1,980,301 Total $ 56,935,555 $ - $ - $ 56,935,555 Liabilities Level 1 Level 2 Level 3 Balance as of September 30, 2021 Commodity Futures Contracts Corn futures contracts $ 89,136 $ - $ - $ 89,136 December 31, 2020 Assets: Level 1 Level 2 Level 3 Balance as of December 31, 2020 Cash Equivalents $ 97,970,853 $ - $ - $ 97,970,853 Commodity Futures Contracts Corn futures contracts 20,154,606 - - 20,154,606 Total $ 118,125,459 $ - $ - $ 118,125,459 For the period ended September 30, 2021 and year ended December 31, 2020, the Fund did not have any significant transfers between any of the levels of the fair value hierarchy. The: Sep21 and Dec21 CBOT corn futures contracts were reflected as a Level 2 investment for the period ended June 30, 2021 due to a “limit up” condition; the Jul21 CBOT corn futures, Sep21 CBOT corn futures, and Dec21 CBOT corn futures, were reflected as a Level 2 investment for the period ended March 31, 2021 due to a “limit up” condition. The Jul21 corn futures transferred back to a Level 1 asset for the period ended June 30, 2021, and the Sep21 and Dec21 corn futures contracts transferred back to a Level 1 asset for the period ended September 30, 2021. 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 nine months ended September 30, 2021 and year ended December 31, 2020, the Fund invested only in commodity futures contracts. 38 Table of Contents Futures Contracts The Fund is subject to commodity price risk in the normal course of pursuing its investment objectives. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date. The purchase and sale of futures contracts requires margin deposits with a 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 combined statements of assets and liabilities as derivative contracts, categorized by primary underlying risk and held by the FCM, E D & F Man as of September 30, 2021 and December 31, 2020. *The amount of collateral presented in Collateral, Due from Broker, is limited to the liability for the futures contracts and accordingly does not include the excess collateral pledged. Offsetting of Financial Assets and Derivative Assets as of September 30, 2021 (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 $ 1,980,301 $ - $ 1,980,301 $ 89,136 $ - $ 1,891,165 39 Table of Contents Offsetting of Financial Liabilities and Derivative Liabilities as of September 30, 2021 (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 $ 89,136 $ - $ 89,136 $ 89,136 $ - $ - Offsetting of Financial Assets and Derivative Assets as of December 31, 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 $ 20,154,606 $ - $ 20,154,606 $ - $ 12,973,828 $ 7,180,778 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 September 30, 2021 Realized Gain on Commodity Futures Contracts Net Change in Unrealized Depreciation on Commodity Futures Contracts Commodity Price Corn futures contracts $ 6,039,005 $ ( 16,642,507 ) Three months ended September 30, 2020 Realized Gain on Commodity Futures Contracts Net Change in Unrealized Appreciation on Commodity Futures Contracts Commodity Price Corn futures contracts $ 400,170 $ 10,737,739 40 Table of Contents Nine months ended September 30, 2021 Realized Gain on Commodity Futures Contracts Net Change in Unrealized Depreciation on Commodity Futures Contracts Commodity Price Corn futures contracts $ 61,285,136 $ ( 18,263,441 ) Nine months ended September 30, 2020 Realized Loss on Commodity Futures Contracts Net Change in Unrealized Depreciation on Commodity Futures Contracts Commodity Price Corn futures contracts $ ( 6,379,024 ) $ ( 7,945,108 ) Volume of Derivative Activities The average notional market value categorized by primary underlying risk for the futures contracts held was $ 126.7 million and $ 154.1 million, respectively, for the three and nine months ended September 30, 2021, and $ 117.8 million and $ 83.3 million for the three and nine months ended September 30, 2020, respectively. Note 6 – Financial Highlights The following tables present per unit performance data and other supplemental financial data for the three and nine months ended September 30, 2021 and 2020. 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 Nine months ended Nine months ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 Per Share Operation Performance Net asset value at beginning of period $ 21.44 $ 12.40 $ 15.54 $ 14.82 Income from investment operations: Investment income 0.01 0.01 0.02 0.08 Net realized and unrealized (loss) gain on commodity futures contracts ( 1.12 ) 0.81 4.94 ( 1.44 ) Total expenses, net ( 0.10 ) ( 0.07 ) ( 0.27 ) ( 0.31 ) Net (decrease) increase in net asset value ( 1.21 ) 0.75 4.69 ( 1.67 ) Net asset value at end of period $ 20.23 $ 13.15 $ 20.23 $ 13.15 Total Return ( 5.62 )% 6.00 % 30.23 % ( 11.29 )% Ratios to Average Net Assets (Annualized) Total expenses 2.88 % 3.08 % 2.61 % 3.93 % Total expenses, net 1.86 % 2.38 % 1.95 % 3.28 % Net investment loss ( 1.70 )% ( 2.08 )% ( 1.78 )% ( 2.39 )% 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 September 30, 2021 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 continued uncertainty of COVID-19 may continue to 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. 41 Table of Contents TEUCRIUM SOYBEAN FUND STATEMENTS OF ASSETS AND LIABILITIES September 30, 2021 December 31, 2020 (Unaudited) Assets Cash and cash equivalents $ 44,597,145 $ 90,398,391 Interest receivable 3,235 5,478 Other assets - 37 Equity in trading accounts: Commodity futures contracts 1,045,744 15,124,226 Due from broker 3,451,445 - Total equity in trading accounts 4,497,189 15,124,226 Total assets 49,097,569 105,528,132 Liabilities Management fee payable to Sponsor 45,421 75,651 Payable for purchase of commercial paper - 4,997,451 Other liabilities 51,442 18,602 Equity in trading accounts: Commodity futures contracts 1,715,999 - Due to broker - 11,257,566 Total equity in trading accounts 1,715,999 11,257,566 Total liabilities 1,812,862 16,349,270 Net assets $ 47,284,707 $ 89,178,862 Shares outstanding 2,150,004 4,575,004 Shares authorized 16,050,000 17,100,000 Net asset value per share $ 21.99 $ 19.49 Market value per share $ 22.02 $ 19.47 The accompanying notes are an integral part of these financial statements. 42 Table of Contents TEUCRIUM SOYBEAN FUND SCHEDULE OF INVESTMENTS September 30, 2021 (Unaudited) Percentage of Description: Assets Fair Value Net Assets Shares Cash equivalents Money market funds First American Funds - Government Obligations Fund - Class X (cost $2,548,576) $ 2,548,576 5.39 % 2,548,576 Goldman Sachs Financial Square Government Fund - Institutional Class (cost: $1,107) 1,107 0.00 1,107 Total money market funds (cost: $2,549,683) $ 2,549,683 5.39 % Principal Amount Commercial Paper Brookfield Infrastructure Holdings (Canada) Inc. 0.178% (cost: $4,998,737 due 11/03/2021) $ 4,999,183 10.57 % 5,000,000 General Motors Financial Company, Inc. 0.172% (cost: $3,998,792 due 11/04/2021) 3,999,358 8.46 4,000,000 General Motors Financial Company, Inc. 0.170% (cost: $2,499,315 due 11/10/2021) 2,499,528 5.28 2,500,000 Glencore Funding LLC 0.150% (cost: $2,499,105 due 10/06/2021) 2,499,948 5.29 2,500,000 Harley-Davidson Financial Services, Inc. 0.150% (cost: $2,499,250 due 10/14/2021) 2,499,864 5.29 2,500,000 Jabil Inc. 0.262% (cost: $2,499,292 due 10/19/2021) 2,499,673 5.29 2,500,000 Jabil Inc. 0.260% (cost: $2,499,170 due 10/29/2021) 2,499,495 5.28 2,500,000 National Fuel Gas Company 0.200% (cost: $2,499,708 due 10/08/2021) 2,499,903 5.29 2,500,000 Total Commercial Paper (cost: $23,993,369) $ 23,996,952 50.75 % Total Cash Equivalents $ 26,546,635 56.14 % Notional Amount (Long Exposure) Commodity futures contracts United States soybean futures contracts CBOT soybean futures NOV22 (268 contracts) $ 1,045,744 2.21 % $ 16,666,250 Percentage of Notional Amount Description: Liabilities Fair Value Net Assets (Long Exposure) Commodity futures contracts United States soybean futures contracts CBOT soybean futures JAN22 (261 contracts) $ 1,423,625 3.01 % $ 16,514,775 CBOT soybean futures MAR22 (222 contracts) 292,374 0.62 14,119,200 Total commodity futures contracts $ 1,715,999 3.63 % $ 30,633,975 The accompanying notes are an integral part of these financial statements. 43 Table of Contents TEUCRIUM SOYBEAN FUND SCHEDULE OF INVESTMENTS December 31, 2020 Percentage of Description: Assets Fair Value Net Assets Shares Cash equivalents Money market funds First American Government Obligations Fund - Class X 0.04% (cost $8,227,242) $ 8,227,242 9.23 % 8,227,242 Blackrock Liquidity FedFund - Institutional Class 0.005% (cost $5,014,767) 5,014,767 5.62 5,014,767 Total money market funds (cost: $13,242,009) $ 13,242,009 14.85 % Principal Amount Commercial Paper Energy Transfer Operating, L.P. 0.421% (cost: $2,498,862 due 01/29/2021) $ 2,499,183 2.80 % 2,500,000 Energy Transfer Operating, L.P. 0.501% (cost: $2,498,924 due 02/05/2021) 2,498,924 2.80 2,500,000 General Motors Financial Company, Inc. 0.400% (cost: $2,497,945 due 01/04/2021) 2,499,917 2.81 2,500,000 Harley-Davidson Financial Services, Inc. 0.310% (cost: $2,498,407 due 01/05/2021) 2,499,914 2.81 2,500,000 Harley-Davidson Financial Services, Inc. 0.250% (cost: $4,996,875 due 01/11/2021) 4,999,653 5.61 5,000,000 Harley-Davidson Financial Services, Inc. 0.270% (cost: $1,999,025 due 01/20/2021) 1,999,715 2.24 2,000,000 Hyundai Capital America, Inc. 0.150% (cost: $2,499,198 due 02/01/2021) 2,499,677 2.80 2,500,000 Hyundai Capital America, Inc. 0.170% (cost: $2,499,245 due 02/03/2021) 2,499,611 2.80 2,500,000 Jabil Inc. 0.430% (cost: $2,498,627 due 01/29/2021) 2,499,164 2.80 2,500,000 Jabil Inc. 0.401% (cost: $2,498,528 due 02/26/2021) 2,498,528 2.80 2,500,000 Marathon Petroleum Corporation 0.350% (cost: $2,498,688 due 02/01/2021) 2,499,246 2.80 2,500,000 Marathon Petroleum Corporation 0.381% (cost: $2,498,074 due 02/26/2021) 2,498,522 2.80 2,500,000 Viatris Inc. 0.372% (cost: $2,498,529 due 02/26/2021) 2,498,555 2.80 2,500,000 Viatris Inc. 0.451% (cost: $2,497,219 due 03/22/2021) 2,497,500 2.80 2,500,000 Walgreens Boots Alliance, Inc. 0.246% (cost: $7,496,571 due 03/05/2021) 7,496,776 8.41 7,500,000 Total commercial paper (cost: $44,474,717) $ 44,484,885 49.88 % Total cash equivalents $ 57,726,894 64.73 % Notional Amount (Long Exposure) Commodity futures contracts United States soybean futures contracts CBOT soybean futures MAR21 (479 contracts) $ 7,011,407 7.86 % $ 31,398,450 CBOT soybean futures MAY21 (411 contracts) 3,404,313 3.82 26,853,712 CBOT soybean futures NOV21 (557 contracts) 4,708,506 5.28 30,962,238 Total commodity futures contracts $ 15,124,226 16.96 % $ 89,214,400 The accompanying notes are an integral part of these financial statements. 44 Table of Contents TEUCRIUM SOYBEAN FUND STATEMENTS OF OPERATIONS (Unaudited) Three months ended Three months ended Nine months ended Nine months ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 Income Realized and unrealized gain (loss) on trading of commodity futures contracts: Realized gain on commodity futures contracts $ 3,421,173 $ 2,919,491 $ 29,238,888 $ 1,201,373 Net change in unrealized appreciation/(depreciation) on commodity futures contracts ( 7,754,543 ) 8,101,755 ( 15,794,481 ) 7,292,203 Interest income 20,624 50,232 105,253 210,650 Total (loss) income ( 4,312,746 ) 11,071,478 13,549,660 8,704,226 Expenses Management fees 149,464 190,671 610,715 326,182 Professional fees 34,456 88,308 241,217 248,156 Distribution and marketing fees 212,480 175,799 672,427 403,563 Custodian fees and expenses 24,956 36,796 77,396 67,262 Business permits and licenses fees 631 37,954 20,995 50,422 General and administrative expenses 12,111 24,006 72,161 54,769 Total expenses 434,098 553,534 1,694,911 1,150,354 Expenses waived by the Sponsor ( 173,635 ) ( 159,329 ) ( 479,631 ) ( 236,376 ) Total expenses, net 260,463 394,205 1,215,280 913,978 Net (loss) income $ ( 4,573,209 ) $ 10,677,273 $ 12,334,380 $ 7,790,248 Net (loss) income per share $ ( 1.80 ) $ 1.89 $ 2.50 $ 0.02 Net (loss) income per weighted average share $ ( 1.77 ) $ 2.09 $ 3.31 $ 2.60 Weighted average shares outstanding 2,590,221 5,113,591 3,724,546 2,990,515 The accompanying notes are an integral part of these financial statements. 45 Table of Contents TEUCRIUM SOYBEAN FUND STATEMENTS OF CHANGES IN NET ASSETS (Unaudited) Nine months ended Nine months ended September 30, 2021 September 30, 2020 Operations Net income $ 12,334,380 $ 7,790,248 Capital transactions Issuance of Shares 22,195,355 110,771,840 Redemption of Shares ( 76,423,890 ) ( 18,187,858 ) Total capital transactions ( 54,228,535 ) 92,583,982 Net change in net assets ( 41,894,155 ) 100,374,230 Net assets, beginning of period $ 89,178,862 $ 28,135,131 Net assets, end of period $ 47,284,707 $ 128,509,361 Net asset value per share at beginning of period $ 19.49 $ 15.85 Net asset value per share at end of period $ 21.99 $ 15.87 Creation of Shares 1,050,000 7,600,000 Redemption of Shares 3,475,000 1,275,000 The accompanying notes are an integral part of these financial statements. 46 Table of Contents TEUCRIUM SOYBEAN FUND STATEMENTS OF CASH FLOWS (Unaudited) Nine months ended Nine months ended September 30, 2021 September 30, 2020 Cash flows from operating activities: Net income $ 12,334,380 $ 7,790,248 Adjustments to reconcile net income to net cash provided by operating activities: Net change in unrealized depreciation (appreciation) on commodity futures contracts 15,794,481 ( 7,292,203 ) Changes in operating assets and liabilities: Due from broker ( 3,451,445 ) - Interest receivable 2,243 ( 5,883 ) Other assets 37 4,370 Payable for purchases of commercial paper ( 4,997,451 ) 4,999,763 Due to broker ( 11,257,566 ) 108,368 Management fee payable to Sponsor ( 30,230 ) 64,236 Other liabilities 32,840 27,879 Net cash provided by operating activities 8,427,289 5,696,778 Cash flows from financing activities: Proceeds from sale of Shares 22,195,355 110,771,840 Redemption of Shares ( 76,423,890 ) ( 18,187,858 ) Net cash (used in) provided by financing activities ( 54,228,535 ) 92,583,982 Net change in cash and cash equivalents ( 45,801,246 ) 98,280,760 Cash and cash equivalents beginning of period 90,398,391 27,874,691 Cash and cash equivalents end of period $ 44,597,145 $ 126,155,451 The accompanying notes are an integral part of these financial statements. 47 Table of Contents NOTES TO FINANCIAL STATEMENTS September 30, 2021 (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 August 24, 2020. This registration statement for SOYB registered an additional 15,000,000 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 nine months ended September 30, 2021 are not necessarily indicative of the results to be expected for the full year ending December 31, 2021. Subject to the terms of the Trust Agreement, Teucrium Trading, LLC, in its capacity as the Sponsor (“Sponsor”), may terminate a Fund at any time, regardless of whether the Fund has incurred losses, including, for instance, if it determines that the Fund’s aggregate net assets in relation to its operating expenses make the continued operation of the Fund unreasonable or imprudent. However, no level of losses will require the Sponsor to terminate a Fund. Note 2 – Principal Contracts and Agreements The Sponsor employs U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services ("Global Fund Services"), for Transfer Agency, Fund Accounting and Fund Administration services. The principal address for Global Fund Services is 615 E. Michigan Street, Milwaukee, WI 53202. 48 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 0.05% of average gross assets on the first $500 million, 0.04% on the next $500 million, 0.03% on the next $2 billion and 0.02% on the balance over $3 billion annually. A combined minimum annual fee of up to $47,000 for custody, transfer agency, accounting and administrative services is assessed per Fund. These services are recorded as custodian fees and expenses on the statements of operations. A summary of these expenses is included below. The Sponsor employs Foreside Fund Services, LLC (“Foreside” or the “Distributor”) as the Distributor for the Funds. The Distribution Services Agreement among the Distributor and the Sponsor calls for the Distributor to work with the Custodian in connection with the receipt and processing of orders for Creation Baskets and Redemption Baskets and the review and approval of all Fund sales literature and advertising materials. The Distributor and the Sponsor have also entered into a Securities Activities and Service Agreement (the “SASA”) under which certain employees and officers of the Sponsor are licensed as registered representatives or registered principals of the Distributor, under Financial Industry Regulatory Authority (“FINRA”) rules. For its services as the Distributor, Foreside receives a fee of 0.01% of each Fund’s average daily net assets and an aggregate annual fee of $100,000 for all Funds, along with certain expense reimbursements. For its services under the SASA, Foreside receives a fee of $5,000 per registered representative and $1,000 per registered location. These services are recorded as distribution and marketing fees on the statements of operations. A summary of these expenses is included below. Pursuant to a Consulting Services Agreement, Foreside Consulting Services, LLC, performs certain consulting support services for the Trust's Sponsor. Additionally, Foreside Distributors, LLC performs certain distribution consulting services pursuant to a Distribution Consulting Agreement with the Sponsor. E D & F Man Capital Markets, Inc. (“E D & F Man”) serves as the Underlying Funds’ clearing broker to execute and clear the Underlying Funds’ futures and provide other brokerage-related services. E D & F Man is registered as a futures commission merchant (“FCM”) with the U.S. CFTC and is a member of the NFA. E D & F Man is also registered as a broker/dealer with the SEC and is a member of FINRA. E D & 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 E D & 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 (“Thales”) for distribution and solicitation-related services. Thales is registered as a Broker-Dealer with the SEC and a member of FINRA and the Securities Investor Protection Corporation (“SIPC”). Thales receives a quarterly fee of the higher of $18,750 or 0.10% of new assets raised in referred accounts for distribution and solicitation-related services. This fee based on new assets raised 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 month ended Three month ended Nine month ended Nine month ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 Amount Recognized for Custody Services $ 24,956 $ 36,797 $ 77,396 $ 67,262 Amount of Custody Services Waived $ 14,494 $ 667 $ 22,311 $ 667 Amount Recognized for Distribution Services $ 9,804 $ 10,790 $ 36,491 $ 24,151 Amount of Distribution Services Waived $ 6,268 $ 10,198 $ 20,164 $ 10,198 Amount Recognized for Wilmington Trust $ 631 $ - $ 631 $ - Amount of Wilmington Trust Waived $ 631 $ - $ 631 $ - Amount Recognized for Thales $ 22,937 $ 5,701 $ 70,896 $ 12,802 Amount of Thales Waived $ 22,937 $ 5,701 $ 28,236 $ 5,701 49 Table of Contents Note 3 – Summary of Significant Accounting Policies Basis of Presentation The accompanying financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) as detailed in the Financial Accounting Standards Board’s Accounting Standards Codification. Revenue Recognition Commodity futures contracts are recorded on the trade date. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized appreciation or depreciation on commodity futures contracts are reflected in the statements of operations as the difference between the original contract amount and the fair market value as of the last business day of the year or as of the last date of the financial statements. Changes in the appreciation or depreciation between periods are reflected in the statements of operations. The Fund seeks to earn interest on its assets denominated in U.S. dollars on deposits with the Futures Commission Merchant. In addition, the Fund seeks to earn interest on funds held at the custodian and other financial institutions at prevailing market rates for such investments. The Sponsor invests a portion of cash in commercial paper, which is deemed a cash equivalent based on the rating and duration of contracts as described in the notes to the financial statements and reflected in cash and cash equivalents on the statements of assets and liabilities and on the statements of cash flows. Accretion on these investments is recognized using the effective interest method in U.S. dollars and included in interest income on the statements of operations. The Sponsor invests a portion of the cash held by the broker in short term Treasury Bills as collateral for open futures contracts. Accretion on these investments is recognized using the effective interest method in U.S. dollars and included in interest income on the statements of operations. 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 total brokerage commissions paid inclusive of unrealized loss for the three and nine months ended September 30, 2021 and 2020. SOYB Three months ended September 30, 2021 $ 4,833 Three months ended September 30, 2020 $ 15,066 Nine months ended September 30, 2021 $ 26,568 Nine months ended September 30, 2020 $ 25,211 Income Taxes For federal income tax purposes, each Fund will be treated as a publicly traded partnership. A publicly traded partnership is generally treated as a corporation for federal income tax purposes unless 90% or more of the publicly traded partnership’s gross income for each taxable year of its existence consists of qualifying income as defined in section 7704(d) of the Internal Revenue Code of 1986, as amended. Qualifying income is defined as generally including, in pertinent part, interest (other than from a financial business), dividends, and gains from the sale or disposition of capital assets held for the production of interest or dividends. In the case of a partnership of which a principal activity is the buying and selling of commodities, other than as inventory, or of futures, forwards and options with respect to commodities, qualifying income also includes income and gains from commodities and from futures, forwards, options with respect to commodities and, provided the partnership is a trader or investor with respect to such assets, swaps and other notional principal contracts with respect to commodities. The Fund expects that at least 90% of the Fund’s gross income for each taxable year will consist of qualifying income and that the Fund will be taxed as a partnership for federal income tax purposes. The Fund does not record a provision for income taxes because the shareholders report their share of the Fund’s income or loss on their income tax returns. The financial statements reflect the Fund’s transactions without adjustment, if any, required for income tax purposes. 50 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 2018 to 2020, 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 September 30, 2021 and for the years ended December 31, 2020, 2019, and 2018. 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 nine months ended September 30, 2021 and 2020. The Fund may be subject to potential examination by U.S. federal, U.S. state, or foreign jurisdictional authorities in the area of income taxes. These potential examinations may include questioning the timing and amount of deductions, the nexus of income among various tax jurisdictions, and compliance with U.S. federal, U.S. state and foreign tax laws. Creations and Redemptions Authorized Purchasers may purchase Creation Baskets consisting of 25,000 shares from the Fund. The amount of the proceeds required to purchase a Creation Basket will be equal to the NAV of the shares in the Creation Basket determined as of 4:00 p.m. (EST) on the day the order to create the basket is received in good order. Authorized Purchasers may redeem shares from the Fund only in blocks of 25,000 shares called “Redemption Baskets.” The amount of the redemption proceeds for a Redemption Basket will be equal to the NAV of the shares in the Redemption Basket determined as of 4:00 p.m. (EST) on the day the order to redeem the basket is received in good order. The Fund receives or pays the proceeds from shares sold or redeemed within three business days after the trade date of the purchase or redemption. The amounts due from Authorized Purchasers are reflected in the Fund’s statements of assets and liabilities as capital shares receivable. Amounts payable to Authorized Purchasers upon redemption are reflected in the Fund’s statements of assets and liabilities as payable for shares redeemed. As outlined in the most recent Form S-1 filing, 50,000 shares represents two Redemption Baskets for the Fund and a minimum level of shares. If the Fund experienced redemptions that caused the number of Shares outstanding to decrease to the minimum level of Shares required to be outstanding, until the minimum number of Shares is again exceeded through the purchase of a new Creation Basket, there can be no more redemptions by an Authorized Purchaser. Allocation of Shareholder Income and Losses Profit or loss is allocated among the shareholders of the Fund in proportion to the number of shares each shareholder holds as of the close of each month. Cash and Cash Equivalents Cash equivalents are highly liquid investments with maturity dates of 90 days or less when acquired. The Trust reported its cash equivalents in the statements of assets and liabilities at market value, or at carrying amounts that approximate fair value, because of their highly liquid nature and short term maturities. Each Fund that is a series of the Trust has the balance of its cash equivalents on deposit with financial institutions. The Fund holds a balance in money market funds that is included in cash and cash equivalents on the statements of assets and liabilities. The Sponsor invests a portion of the available cash for the Funds in alternative demand deposit savings accounts, which is classified as cash and not as cash equivalents. Assets deposited with the bank may, at times, exceed federally insured limits. The Sponsor invests a portion of the available cash for the Funds in investment grade commercial paper with durations of 90 days or less, which is classified as a cash equivalent and is not FDIC insured. The Sponsor may invest a portion of the cash held by the FCM in short term Treasury Bills as collateral for open futures contracts, which is classified as a cash equivalent and is not FDIC insured. September 30, 2021 December 31, 2020 Money Market Funds $ 2,549,683 $ 13,242,009 Demand Deposit Savings Accounts 18,050,510 32,671,497 Commercial Paper 23,996,952 44,484,885 Total cash and cash equivalents as presented on the Statement of Assets and Liabilities $ 44,597,145 $ 90,398,391 51 Table of Contents Payable for Purchases of Commercial Paper The amount recorded by the Fund for commercial paper transactions awaiting settlement, represents the amount payable for contracts purchased but not yet settled as of the reporting date. The value of the contract is included in cash and cash equivalents, and the payable amount is included as a liability. Due from/to Broker The amount recorded by the Fund for the amount due from and to the clearing broker includes, but is not limited to, cash held by the broker, amounts payable to the clearing broker related to open transactions, payables for commodities futures accounts liquidating to an equity balance on the clearing broker’s records and amounts of brokerage commissions paid and recognized as unrealized losses. Margin is the minimum amount of funds that must be deposited by a commodity interest trader with the trader’s broker to initiate and maintain an open position in futures contracts. A margin deposit acts to assure the trader’s performance of the futures contracts purchased or sold. Futures contracts are customarily bought and sold on initial margin that represents a very small percentage of the aggregate purchase or sales price of the contract. Because of such low margin requirements, price fluctuations occurring in the futures markets may create profits and losses that, in relation to the amount invested, are greater than customary in other forms of investment or speculation. As discussed below, adverse price changes in the futures contract may result in margin requirements that greatly exceed the initial margin. In addition, the amount of margin required in connection with a particular futures contract is set from time to time by the exchange on which the contract is traded and may be modified from time to time by the exchange during the term of the contract. Brokerage firms, such as the Fund’s clearing brokers, carrying accounts for traders in commodity interest contracts generally require higher amounts of margin as a matter of policy to further protect themselves. Over the counter trading generally involves the extension of credit between counterparties, so the counterparties may agree to require the posting of collateral by one or both parties to address credit exposure. When a trader purchases an option, there is no margin requirement; however, the option premium must be paid in full. When a trader sells an option, on the other hand, he or she is required to deposit margin in an amount determined by the margin requirements established for the underlying interest and, in addition, an amount substantially equal to the current premium for the option. The margin requirements imposed on the selling of options, although adjusted to reflect the probability that out-of-the-money options will not be exercised, can in fact be higher than those imposed in dealing in the futures markets directly. Complicated margin requirements apply to spreads and conversions, which are complex trading strategies in which a trader acquires a mixture of options positions and positions in the underlying interest. Ongoing or “maintenance” margin requirements are computed each day by a trader’s clearing broker. When the market value of a particular open futures contract changes to a point where the margin on deposit does not satisfy maintenance margin requirements, a margin call is made by the broker. If the margin call is not met within a reasonable time, the broker may close out the trader’s position. With respect to the Fund’s trading, the Fund (and not its shareholders personally) is subject to margin calls. Finally, many major U.S. exchanges have passed certain cross margining arrangements involving procedures pursuant to which the futures and options positions held in an account would, in the case of some accounts, be aggregated and margin requirements would be assessed on a portfolio basis, measuring the total risk of the combined positions. Calculation of Net Asset Value The Fund’s NAV is calculated by: • Taking the current market value of its total assets and • Subtracting any liabilities. The administrator, Global Fund Services, calculates the NAV of the Fund once each trading day. It calculates the NAV as of the earlier of the close of the NYSE or 4:00 p.m. (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. 52 Table of Contents Sponsor Fee, Allocation of Expenses and Related Party Transactions The Sponsor is responsible for investing the assets of the Fund in accordance with the objectives and policies of the Fund. In addition, the Sponsor arranges for one or more third parties to provide administrative, custodial, accounting, transfer agency and other necessary services to the Trust and the Funds. In addition, the Sponsor has elected not to outsource services directly attributable to the Trust and the Funds such as accounting, financial reporting, regulatory compliance and trading activities, which the Sponsor performs itself. In addition, the Fund is contractually obligated to pay a monthly management fee to the Sponsor, based on average daily net assets, at a rate equal to 1.00 % per annum. The Fund pays for all brokerage fees, taxes and other expenses, including licensing fees for the use of intellectual property, registration or other fees paid to the SEC, FINRA, or any other regulatory agency in connection with the offer and sale of subsequent Shares after its initial registration and all legal, accounting, printing and other expenses associated therewith. The Fund also pays its portion of the fees and expenses associated with the Trust’s tax accounting and reporting requirements. Certain aggregate expenses common to all Funds within the Trust are allocated by the Sponsor to the respective Fund based on activity drivers deemed most appropriate by the Sponsor for such expenses, including but not limited to relative assets under management and creation order activity. These aggregate common expenses include, but are not limited to, legal, auditing, accounting and financial reporting, tax-preparation, regulatory compliance, trading activities, and insurance costs, as well as fees paid to the Distributor, which are included in the related line item in the statements of operations. A portion of these aggregate common expenses are related to the Sponsor or related parties of principals of the Sponsor; these are necessary services to the Funds, which are primarily the cost of performing accounting and financial reporting, regulatory compliance, and trading activities that are directly attributable to the Fund. Such expenses are primarily recorded as distribution and marketing fees in the financial statements of each Fund. Three months ended Three months ended Nine months ended Nine months ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 Recognized Related Party Transactions $ 122,021 $ 136,556 $ 461,318 $ 323,385 Waived Related Party Transactions $ 93,643 $ 90,565 $ 231,207 $ 122,612 The Sponsor has the ability to elect to pay certain expenses on behalf of the Funds or waive the management fee. This election is subject to change by the Sponsor, at its discretion. Expenses paid by the Sponsor and Management fees waived by the Sponsor are, if applicable, presented as waived expenses in the statements of operations for each Fund. The Sponsor has determined that there will be no recovery sought for the amounts below in any future period: SOYB Three months ended September 30, 2021 $ 173,635 Three months ended September 30, 2020 $ 159,329 Nine months ended September 30, 2021 $ 479,631 Nine months ended September 30, 2020 $ 236,376 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. 53 Table of Contents Fair Value - Definition and Hierarchy In accordance with U.S. GAAP, fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e., the “exit price”) in an orderly transaction between market participants at the measurement date. In determining fair value, the Fund uses various valuation approaches. In accordance with U.S. GAAP, a fair value hierarchy for inputs is used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s assumptions about the inputs market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The fair value hierarchy is categorized into three levels based on the inputs as follows: Level 1 - Valuations based on unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access. Valuation adjustments and block discounts are not applied to Level 1 financial instruments. Since valuations are based on quoted prices that are readily and regularly available in an active market, valuation of these financial instruments does not entail a significant degree of judgment. Level 2 - Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. Level 3 - Valuations based on inputs that are unobservable and significant to the overall fair value measurement. The availability of valuation techniques and observable inputs can vary from financial instrument to financial instrument and is affected by a wide variety of factors including, the type of financial instrument, whether the financial instrument is new and not yet established in the marketplace, and other characteristics particular to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Those estimated values do not necessarily represent the amounts that may be ultimately realized due to the occurrence of future circumstances that cannot be reasonably determined. Because of the inherent uncertainty of valuation, those estimated values may be materially higher or lower than the values that would have been used had a ready market for the financial instruments existed. Accordingly, the degree of judgment exercised by the Fund in determining fair value is greatest for financial instruments categorized in Level 3. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy, within which the fair value measurement in its entirety falls, is determined based on the lowest level input that is significant to the fair value measurement. Fair value is a market-based measure considered from the perspective of a market participant rather than an entity-specific measure. Therefore, even when market assumptions are not readily available, the Fund’s own assumptions are set to reflect those that market participants would use in pricing the asset or liability at the measurement date. The Fund uses prices and inputs that are current as of the measurement date, including periods of market dislocation. In periods of market dislocation, the observability of prices and inputs may be reduced for many financial instruments. This condition could cause a financial instrument to be reclassified to a lower level within the fair value hierarchy. When such a situation exists on a quarter close, the Sponsor will calculate the NAV on a particular day using the Level 1 valuation but will later recalculate the NAV for the impacted Fund based upon the valuation inputs from these alternative verifiable sources (Level 2 or Level 3) and will report such NAV in its applicable financial statements and reports. On September 30, 2021 and December 31, 2020, in the opinion of the Trust and the Fund, the reported value at the close of the market for each commodity contract fairly reflected the value of the futures and no alternative valuations were required. The determination is made as of the settlement of the futures contracts on the last day of trading for the reporting period. In making the determination of a Level 1 or Level 2 transfer, the Fund considers the average volume of the specific underlying futures contracts traded on the relevant exchange for the periods being reported. For the quarter ended March 31, 2021, Soybean Futures Contracts for Jul21 CBOT soybean futures, and the Nov21 CBOT soybean futures settled in a “limit up” condition. Accordingly, the Trust and SOYB classified these as Level 2 assets. The adjustment in SOYB resulted in a $279,750 increase in the unrealized change in commodity futures contracts in excess of reported CBOT values. These contracts transferred back to a Level 1 asset for the quarter ended June 30, 2021. 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. 54 Table of Contents New Accounting Pronouncements The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2021-05: “Leases (Topic 842).” Under the amended guidance, a lessor should classify and account for a lease with variable lease payments that don’t depend on an index or a rate as an operating lease if the lease would’ve been classified as a sales-type lease or a direct financing lease in accordance with the lease classification guidance in Topic 842 and the lessor would’ve otherwise recognized a day-one loss. The amendment was adopted early for the quarter ended September 30, 2021; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued ASU 2020-10: “Codification Improvements.” The amendment improves the disclosure guidance in appropriate Disclosure Sections, without resulting in changes to current GAAP. The amendment is effective for annual periods beginning after December 15, 2020. The amendment was adopted for the quarter ended March 31, 2021; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued 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 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 were adopted for the quarter ended September 30, 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 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 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 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. The amendments were adopted for the quarter ended September 30, 2020; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. 55 Table of Contents Note 4 – Fair Value Measurements The Fund’s assets and liabilities recorded at fair value have been categorized based upon a fair value hierarchy as described in the Fund’s significant accounting policies in Note 3. The following table presents information about the Fund’s assets and liabilities measured at fair value as of September 30, 2021 and December 31, 2020: September 30, 2021 Assets: Level 1 Level 2 Level 3 Balance as of September 30, 2021 Cash Equivalents $ 26,546,635 $ - $ - $ 26,546,635 Commodity Futures Contracts Soybean futures contracts 1,045,744 - - 1,045,744 Total $ 27,592,379 $ - $ - $ 27,592,379 Liabilities: Level 1 Level 2 Level 3 Balance as of September 30, 2021 Commodity Futures Contracts Soybean futures contracts $ 1,715,999 $ - $ - $ 1,715,999 December 31, 2020 Assets: Level 1 Level 2 Level 3 Balance as of December 31, 2020 Cash Equivalents $ 57,726,894 $ - $ - $ 57,726,894 Commodity Futures Contracts Soybean futures contracts 15,124,226 - - 15,124,226 Total $ 72,851,120 $ - $ - $ 72,851,120 For the three months ended September 30, 2021 and year ended December 31, 2020, the Fund did not have any significant transfers between any of the levels of the fair value hierarchy, except for the Jul21 CBOT soybean futures, and the Nov21 CBOT soybean futures, were reflected as a Level 2 asset for the period ended March 31, 2021 due to a “limit up” condition. These Soybean contracts transferred back to a Level 1 asset for the period ended June 30, 2021. See the Fair Value - Definition and Hierarchy section in Note 3 above for an explanation of the transfers into and out of each level of the fair value hierarchy. Note 5 – Derivative Instruments and Hedging Activities In the normal course of business, the Fund utilizes derivative contracts in connection with its proprietary trading activities. Investments in derivative contracts are subject to additional risks that can result in a loss of all or part of an investment. The Fund’s derivative activities and exposure to derivative contracts are classified by the following primary underlying risks: interest rate, credit, commodity price, and equity price risks. In addition to its primary underlying risks, the Fund is also subject to additional counterparty risk due to inability of its counterparties to meet the terms of their contracts. For the three and nine months ended September 30, 2021 and year ended December 31, 2020, 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 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. 56 Table of Contents 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 combined statements of assets and liabilities as derivative contracts, categorized by primary underlying risk and held by the FCM, E D & F Man as of September 30, 2021 and December 31, 2020. *The amount of collateral presented in Collateral, Due from Broker, is limited to the liability for the futures contracts and accordingly does not include the excess collateral pledged. Offsetting of Financial Assets and Derivative Assets as of September 30, 2021 Assets (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 $ 1,045,744 $ - $ 1,045,744 $ 1,045,744 $ - $ - Offsetting of Financial Liabilities and Derivative Liabilities as of September 30, 2021 Liabilities (i) (ii) (iii) = (i)-(ii) (iv) (v)=(iii)-(iv) Gross Amount Not Offset in the Statement of Assets and Liabilities Description Gross Amount of Recognized Liabilities Gross Amount Offset in the Statement of Assets and Liabilities Net Amount Presented in the Statement of Assets and Liabilities Futures Contracts Available for Offset Collateral, Due from Broker* Net Amount Commodity Price Soybean futures contracts $ 1,715,999 $ - $ 1,715,999 $ 1,045,744 $ 670,255 $ - 57 Table of Contents Offsetting of Financial Assets and Derivative Assets as of December 31, 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 $ 15,124,226 $ - $ 15,124,226 $ - $ 11,257,566 $ 3,866,660 The following is a summary of realized and unrealized gains and losses of the derivative instruments utilized by the Fund: Three months ended September 30, 2021 Realized Gain on Commodity Futures Contracts Net Change in Unrealized Depreciation on Commodity Futures Contracts Commodity Price Soybean futures contracts $ 3,421,173 $ ( 7,754,543 ) Three months ended September 30, 2020 Realized Gain on Commodity Futures Contracts Net Change in Unrealized Appreciation on Commodity Futures Contracts Commodity Price Soybean futures contracts $ 2,919,491 $ 8,101,755 Nine months ended September 30, 2021 Realized Gain on Commodity Futures Contracts Net Change in Unrealized Depreciation on Commodity Futures Contracts Commodity Price Soybean futures contracts $ 29,238,888 $ ( 15,794,481 ) 58 Table of Contents Nine months ended September 30, 2020 Realized Gain on Commodity Futures Contracts Net Change in Unrealized Appreciation on Commodity Futures Contracts Commodity Price Soybean futures contracts $ 1,201,373 $ 7,292,203 Volume of Derivative Activities The average notional market value categorized by primary underlying risk for all futures contracts held was $ 54.6 million and $ 80.7 million, respectively for the three and nine months ended September 30, 2021 and, and $ 89.2 million and $ 48.1 million for the three and nine months ended September 30, 2020, respectively. Note 6 – Financial Highlights The following tables present per unit performance data and other supplemental financial data for the three and nine months ended September 30, 2021 and 2020. 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 Nine months ended Nine months ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 Per Share Operation Performance Net asset value at beginning of period $ 23.79 $ 13.98 $ 19.49 $ 15.85 Income from investment operations: Investment income 0.01 0.01 0.03 0.07 Net realized and unrealized (loss) gain on commodity futures contracts ( 1.71 ) 1.96 2.80 0.26 Total expenses, net ( 0.10 ) ( 0.08 ) ( 0.33 ) ( 0.31 ) Net (decrease) increase in net asset value ( 1.80 ) 1.89 2.50 0.02 Net asset value at end of period $ 21.99 $ 15.87 $ 21.99 $ 15.87 Total Return ( 7.56 )% 13.45 % 12.83 % 0.09 % Ratios to Average Net Assets (Annualized) Total expenses 2.90 % 2.90 % 2.78 % 3.53 % Total expenses, net 1.74 % 2.07 % 1.99 % 2.80 % Net investment loss ( 1.60 )% ( 1.81 )% ( 1.82 )% ( 2.15 )% 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 September 30, 2021 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 continued uncertainty of COVID-19 may continue to 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. 59 Table of Contents TEUCRIUM SUGAR FUND STATEMENTS OF ASSETS AND LIABILITIES September 30, 2021 December 31, 2020 (Unaudited) Assets Cash and cash equivalents $ 24,201,530 $ 11,849,332 Interest receivable 1,450 904 Other assets 30 - Equity in trading accounts: Commodity futures contracts 2,254,654 1,407,703 Total assets 26,457,664 13,257,939 Liabilities Management fee payable to Sponsor 21,374 10,292 Other liabilities 21,614 5,895 Equity in trading accounts: Due to broker 346,666 475,661 Total liabilities 389,654 491,848 Net assets $ 26,068,010 $ 12,766,091 Shares outstanding 2,725,004 1,900,004 Shares authorized 21,700,000 23,150,000 Net asset value per share $ 9.57 $ 6.72 Market value per share $ 9.55 $ 6.75 The accompanying notes are an integral part of these financial statements. 60 Table of Contents TEUCRIUM SUGAR FUND SCHEDULE OF INVESTMENTS September 30, 2021 (Unaudited) Percentage of Description: Assets Fair Value Net Assets Shares Cash equivalents Money market funds First American Government Obligations Fund - Class X (cost $7,684,840) $ 7,684,840 29.48 % 7,684,840 Goldman Sachs Financial Square Government Fund - Institutional Class (cost $5,161) 5,161 0.02 5,161 Total money market funds (cost: $7,690,001) $ 7,690,001 29.50 % Principal Amount Commercial Paper Jabil Inc. 0.262% (cost: $4,998,584 due 10/19/2021) $ 4,999,346 19.18 % 5,000,000 National Fuel Gas Company 0.200% (cost: $2,499,708 due 10/08/2021) 2,499,903 9.59 2,500,000 Total Commercial Paper (cost: $7,498,292) $ 7,499,249 28.77 % Total Cash Equivalents $ 15,189,250 58.27 % Notional Amount (Long Exposure) Commodity futures contracts United States sugar futures contracts ICE sugar futures MAY22 (414 contracts) $ 909,895 3.49 % $ 9,162,317 ICE sugar futures JUL22 (368 contracts) 183,614 0.71 7,859,891 ICE sugar futures MAR23 (439 contracts) 1,161,145 4.45 9,066,579 Total commodity futures contracts $ 2,254,654 8.65 % $ 26,088,787 The accompanying notes are an integral part of these financial statements. 61 Table of Contents TEUCRIUM SUGAR FUND SCHEDULE OF INVESTMENTS December 31, 2020 Percentage of Description: Assets Fair Value Net Assets Shares Cash equivalents Money market funds First American Government Obligations Fund - Class X (cost $4,134,293) $ 4,134,293 32.38 % 4,134,293 Blackrock Liquidity FedFund - Institutional Class (cost: $18,871) 18,871 0.15 18,871 Total money market funds (cost: $4,153,164) 4,153,164 32.53 Principal Amount Commercial Paper Energy Transfer Operating, L.P. 0.501% (cost: $2,498,889 due 1/29/2021) 2,499,028 19.58 2,500,000 Total cash equivalents $ 6,652,192 52.11 % Notional Amount (Long Exposure) Commodity futures contracts United States sugar futures contracts ICE sugar futures MAY21 (272 contracts) $ 550,868 4.32 % $ 4,472,115 ICE sugar futures JUL21 (241 contracts) 345,612 2.71 3,830,165 ICE sugar futures MAR22 (279 contracts) 511,223 4.00 4,459,090 Total commodity futures contracts $ 1,407,703 11.03 % $ 12,761,370 The accompanying notes are an integral part of these financial statements. 62 Table of Contents TEUCRIUM SUGAR FUND STATEMENTS OF OPERATIONS (Unaudited) Three months ended Three months ended Nine months ended Nine months ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 Income Realized and unrealized gain (loss) on trading of commodity futures contracts: Realized gain (loss) on commodity futures contracts $ 2,536,459 $ 184,149 $ 5,802,090 $ ( 763,390 ) Net change in unrealized appreciation on commodity futures contracts 289,834 484,253 846,951 17,344 Interest income 7,425 5,633 19,515 63,740 Total income (loss) 2,833,718 674,035 6,668,556 ( 682,306 ) Expenses Management fees 59,875 28,558 142,487 73,687 Professional fees 15,069 10,999 47,381 99,591 Distribution and marketing fees 52,768 46,926 115,107 137,431 Custodian fees and expenses 3,407 7,156 11,673 19,555 Business permits and licenses fees 1,449 2,856 22,646 31,520 General and administrative expenses 3,917 5,618 19,913 19,743 Other expenses 8 - 8 15 Total expenses 136,493 102,113 359,215 381,542 Expenses waived by the Sponsor ( 29,699 ) ( 32,961 ) ( 87,738 ) ( 146,853 ) Total expenses, net 106,794 69,152 271,477 234,689 Net income (loss) $ 2,726,924 $ 604,883 $ 6,397,079 $ ( 916,995 ) Net income (loss) per share $ 1.09 $ 0.39 $ 2.85 $ ( 0.93 ) Net income (loss) per weighted average share $ 1.04 $ 0.32 $ 2.75 $ ( 0.57 ) Weighted average shares outstanding 2,618,482 1,913,319 2,329,583 1,600,916 The accompanying notes are an integral part of these financial statements. 63 Table of Contents TEUCRIUM SUGAR FUND STATEMENTS OF CHANGES IN NET ASSETS (Unaudited) Nine months ended Nine months ended September 30, 2021 September 30, 2020 Operations Net income (loss) $ 6,397,079 $ ( 916,995 ) Capital transactions Issuance of Shares 12,364,868 7,856,851 Redemption of Shares ( 5,460,028 ) ( 7,805,796 ) Total capital transactions 6,904,840 51,055 Net change in net assets 13,301,919 ( 865,940 ) Net assets, beginning of period $ 12,766,091 $ 12,313,180 Net assets, end of period $ 26,068,010 $ 11,447,240 Net asset value per share at beginning of period $ 6.72 $ 7.04 Net asset value per share at end of period $ 9.57 $ 6.11 Creation of Shares 1,450,000 1,350,000 Redemption of Shares 625,000 1,225,000 The accompanying notes are an integral part of these financial statements. 64 Table of Contents TEUCRIUM SUGAR FUND STATEMENTS OF CASH FLOWS (Unaudited) Nine months ended Nine months ended September 30, 2021 September 30, 2020 Cash flows from operating activities: Net income (loss) $ 6,397,079 $ ( 916,995 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Net change in unrealized appreciation on commodity futures contracts ( 846,951 ) ( 17,344 ) Changes in operating assets and liabilities: Due from broker - ( 517,698 ) Interest receivable ( 546 ) ( 1,228 ) Other assets ( 30 ) ( 8,003 ) Due to broker ( 128,995 ) ( 237,908 ) Management fee payable to Sponsor 11,082 177 Other liabilities 15,719 27,374 Net cash provided by (used in) operating activities 5,447,358 ( 1,671,625 ) Cash flows from financing activities: Proceeds from sale of Shares 12,364,868 7,856,851 Redemption of Shares ( 5,460,028 ) ( 7,805,796 ) Net cash provided by financing activities 6,904,840 51,055 Net change in cash and cash equivalents 12,352,198 ( 1,620,570 ) Cash and cash equivalents beginning of period 11,849,332 12,215,795 Cash and cash equivalents end of period $ 24,201,530 $ 10,595,225 The accompanying notes are an integral part of these financial statements. 65 Table of Contents NOTES TO FINANCIAL STATEMENTS September 30, 2021 (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 October 2, 2020. This registration statement for CANE registered an additional 15,000,000 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 nine months ended September 30, 2021 are not necessarily indicative of the results to be expected for the full year ending December 31, 2021. Subject to the terms of the Trust Agreement, Teucrium Trading, LLC, in its capacity as the Sponsor (“Sponsor”), may terminate a Fund at any time, regardless of whether the Fund has incurred losses, including, for instance, if it determines that the Fund’s aggregate net assets in relation to its operating expenses make the continued operation of the Fund unreasonable or imprudent. However, no level of losses will require the Sponsor to terminate a Fund. Note 2 – Principal Contracts and Agreements The Sponsor employs U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Global Fund Services”), for Transfer Agency, Fund Accounting and Fund Administration services. The principal address for Global Fund Services is 615 E. Michigan Street, Milwaukee, WI 53202. 66 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 0.05% of average gross assets on the first $500 million, 0.04% on the next $500 million, 0.03% on the next $2 billion and 0.02% on the balance over $3 billion annually. A combined minimum annual fee of up to $47,000 for custody, transfer agency, accounting and administrative services is assessed per Fund. These services are recorded as custodian fees and expenses on the statements of operations. A summary of these expenses is included below. The Sponsor employs Foreside Fund Services, LLC (“Foreside” or the “Distributor”) as the Distributor for the Funds. The Distribution Services Agreement among the Distributor and the Sponsor calls for the Distributor to work with the Custodian in connection with the receipt and processing of orders for Creation Baskets and Redemption Baskets and the review and approval of all Fund sales literature and advertising materials. The Distributor and the Sponsor have also entered into a Securities Activities and Service Agreement (the “SASA”) under which certain employees and officers of the Sponsor are licensed as registered representatives or registered principals of the Distributor, under Financial Industry Regulatory Authority (“FINRA”) rules. For its services as the Distributor, Foreside receives a fee of 0.01% of each Fund’s average daily net assets and an aggregate annual fee of $100,000 for all Funds, along with certain expense reimbursements. For its services under the SASA, Foreside receives a fee of $5,000 per registered representative and $1,000 per registered location. These services are recorded as distribution and marketing fees on the statements of operations. A summary of these expenses is included below. Pursuant to a Consulting Services Agreement, Foreside Consulting Services, LLC, performs certain consulting support services for the Trust’s Sponsor. Additionally, Foreside Distributors, LLC performs certain distribution consulting services pursuant to a Distribution Consulting Agreement with the Sponsor. E D & F Man Capital Markets, Inc. (“E D & F Man”) serves as the Underlying Funds’ clearing broker to execute and clear the Underlying Funds’ futures and provide other brokerage-related services. E D & F Man is registered as a futures commission merchant (“FCM”) with the U.S. CFTC and is a member of the NFA. E D & F Man is also registered as a broker/dealer with the SEC and is a member of FINRA. E D & 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 E D & 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 (“Thales”) for distribution and solicitation-related services. Thales is registered as a Broker-Dealer with the SEC and a member of FINRA and the Securities Investor Protection Corporation (“SIPC”). Thales receives a quarterly fee of the higher of $18,750 or 0.10% of new assets raised in referred accounts for distribution and solicitation-related services. This fee based on new assets raised 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 month ended Three month ended Nine month ended Nine month ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 Amount Recognized for Custody Services $ 3,407 $ 7,156 $ 11,673 $ 19,555 Amount of Custody Services Waived $ 2,209 $ 3,418 $ 4,544 $ 7,694 Amount Recognized for Distribution Services $ 2,359 $ 1,916 $ 5,967 $ 7,442 Amount of Distribution Services Waived $ 742 $ 1,795 $ 1,958 $ 3,806 Amount Recognized for Wilmington Trust $ 252 $ - $ 252 $ - Amount of Wilmington Trust Waived $ 252 $ - $ 252 $ - Amount Recognized for Thales $ 4,991 $ 1,176 $ 11,299 $ 4,283 Amount of Thales Waived $ 4,991 $ 1,176 $ 5,859 $ 2,688 67 Table of Contents Note 3 – Summary of Significant Accounting Policies Basis of Presentation The accompanying financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) as detailed in the Financial Accounting Standards Board’s Accounting Standards Codification. Revenue Recognition Commodity futures contracts are recorded on the trade date. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized appreciation or depreciation on commodity futures contracts are reflected in the statements of operations as the difference between the original contract amount and the fair market value as of the last business day of the year or as of the last date of the financial statements. Changes in the appreciation or depreciation between periods are reflected in the statements of operations. Interest on cash equivalents with financial institutions are recognized on the accrual basis. The Fund seeks to earn interest on funds held at the custodian and other financial institutions at prevailing market rates for such investments. The Sponsor invests a portion of cash in commercial paper, which is deemed a cash equivalent based on the rating and duration of contracts as described in the notes to the financial statements and reflected in cash and cash equivalents on the statements of assets and liabilities and on the statements of cash flows. Accretion on these investments 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 statements of operations. 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 total brokerage commissions paid inclusive of unrealized loss for the three and nine months ended September 30, 2021. CANE Three months ended September 30, 2021 $ 6,613 Three months ended September 30, 2020 $ 5,311 Nine months ended September 30, 2021 $ 19,047 Nine months ended September 30, 2020 $ 13,554 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 2018 to 2020, 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 September 30, 2021 and for the years ended December 31, 2020, 2019, and 2018. 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 nine months ended September 30, 2021 and 2020. 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. 68 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 received in good order. Authorized Purchasers may redeem shares from the Fund only in blocks of 25,000 shares called “Redemption Baskets.” The amount of the redemption proceeds for a Redemption Basket will be equal to the NAV of the shares in the Redemption Basket determined as of 4:00 p.m. (EST) on the day the order to redeem the basket is received in good order. The Fund receives or pays the proceeds from shares sold or redeemed within three business days after the trade date of the purchase or redemption. The amounts due from Authorized Purchasers are reflected in the Fund’s statements of assets and liabilities as capital shares receivable. Amounts payable to Authorized Purchasers upon redemption are reflected in the Fund’s statements of assets and liabilities as payable for shares redeemed. As outlined in the most recent Form S-1 filing, 50,000 shares represents two Redemption Baskets for the Fund and a minimum level of shares. If the Fund experienced redemptions that caused the number of Shares outstanding to decrease to the minimum level of Shares required to be outstanding, until the minimum number of Shares is again exceeded through the purchase of a new Creation Basket, there can be no more redemptions by an Authorized Purchaser. Allocation of Shareholder Income and Losses Profit or loss is allocated among the shareholders of the Fund in proportion to the number of shares each shareholder holds as of the close of each month. Cash and Cash Equivalents Cash equivalents are highly liquid investments with maturity dates of 90 days or less when acquired. The Trust reported its cash equivalents in the statements of assets and liabilities at market value, or at carrying amounts that approximate fair value, because of their highly liquid nature and short term maturities. Each Fund that is a series of the Trust has the balance of its cash equivalents on deposit with financial institutions. The Fund holds a balance in money market funds that is included in cash and cash equivalents on the statements of assets and liabilities. The Sponsor invests a portion of the available cash for the Funds in alternative demand deposit savings accounts, which is classified as cash and not as cash equivalents. Assets deposited with the bank may, at times, exceed federally insured limits. The Sponsor invests a portion of the available cash for the Funds in investment grade commercial paper with durations of 90 days or less, which is classified as a cash equivalent and is not FDIC insured. The Sponsor may invest a portion of the cash held by the broker in short term Treasury Bills as collateral for open futures contracts, which is classified as a cash equivalent and is not FDIC insured. September 30, 2021 December 31, 2020 Money Market Funds $ 7,690,001 $ 4,153,164 Demand Deposit Savings Accounts 9,012,280 5,197,140 Commercial Paper 7,499,249 2,499,028 Total cash and cash equivalents as presented on the Statement of Assets and Liabilities $ 24,201,530 $ 11,849,332 Due from/to Broker The amount recorded by the Fund for the amount due from and to the clearing broker includes, but is not limited to, cash held by the broker, amounts payable to the clearing broker related to open transactions, payables for commodities futures accounts liquidating to an equity balance on the clearing broker’s records, and amounts of brokerage commissions paid and recognized as unrealized losses. Margin is the minimum amount of funds that must be deposited by a commodity interest trader with the trader’s broker to initiate and maintain an open position in futures contracts. A margin deposit acts to assure the trader’s performance of the futures contracts purchased or sold. Futures contracts are customarily bought and sold on initial margin that represents a very small percentage of the aggregate purchase or sales price of the contract. Because of such low margin requirements, price fluctuations occurring in the futures markets may create profits and losses that, in relation to the amount invested, are greater than customary in other forms of investment or speculation. As discussed below, adverse price changes in the futures contract may result in margin requirements that greatly exceed the initial margin. In addition, the amount of margin required in connection with a particular futures contract is set from time to time by the exchange on which the contract is traded and may be modified from time to time by the exchange during the term of the contract. Brokerage firms, such as the Fund’s clearing brokers, carrying accounts for traders in commodity interest contracts generally require higher amounts of margin as a matter of policy to further protect themselves. Over the counter trading generally involves the extension of credit between counterparties, so the counterparties may agree to require the posting of collateral by one or both parties to address credit exposure. 69 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 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 has elected not to outsource services directly attributable to the Trust and the Funds such as accounting, financial reporting, regulatory compliance and trading activities, which the Sponsor performs itself. In addition, the Fund is contractually obligated to pay a monthly management fee to the Sponsor, based on average daily net assets, at a rate equal to 1.00 % per annum. 70 Table of Contents The Fund generally pays for all brokerage fees, taxes and other expenses, including licensing fees for the use of intellectual property, registration or other fees paid to the SEC, FINRA, or any other regulatory agency in connection with the offer and sale of subsequent Shares after its initial registration and all legal, accounting, printing and other expenses associated therewith. The Fund also pays its portion of the fees and expenses associated with the Trust’s tax accounting and reporting requirements. Certain aggregate expenses common to all Funds within the Trust are allocated by the Sponsor to the respective Fund based on activity drivers deemed most appropriate by the Sponsor for such expenses, including but not limited to relative assets under management and creation order activity. These aggregate common expenses include, but are not limited to, legal, auditing, accounting and financial reporting, tax-preparation, regulatory compliance, trading activities, and insurance costs, as well as fees paid to the Distributor, which are included in the related line item in the statements of operations. A portion of these aggregate common expenses are related to the Sponsor or related parties of principals of the Sponsor; these are necessary services to the Funds, which are primarily the cost of performing accounting and financial reporting, regulatory compliance, and trading activities that are directly attributable to the Fund. Such expenses are primarily recorded as distribution and marketing fees in the financial statements of each Fund. Three months ended Three months ended Nine months ended Nine months ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 Recognized Related Party Transactions $ 30,226 $ 24,803 $ 77,995 $ 97,714 Waived Related Party Transactions $ 10,632 $ 16,107 $ 29,830 $ 36,080 The Sponsor has the ability to elect to pay certain expenses on behalf of the Funds or waive the management fee. This election is subject to change by the Sponsor, at its discretion. Expenses paid by the Sponsor and Management fees waived by the Sponsor are, if applicable, presented as waived expenses in the statements of operations for each Fund. The Sponsor has determined that there will be no recovery sought for the amounts below in any future period: CANE Three months ended September 30, 2021 $ 29,699 Three months ended September 30, 2020 $ 32,961 Nine months ended September 30, 2021 $ 87,738 Nine months ended September 30, 2020 $ 146,853 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. 71 Table of Contents Fair value is a market-based measure considered from the perspective of a market participant rather than an entity-specific measure. Therefore, even when market assumptions are not readily available, the Fund’s own assumptions are set to reflect those that market participants would use in pricing the asset or liability at the measurement date. The Fund uses prices and inputs that are current as of the measurement date, including periods of market dislocation. In periods of market dislocation, the observability of prices and inputs may be reduced for many financial instruments. This condition could cause a financial instrument to be reclassified to a lower level within the fair value hierarchy. When such a situation exists on a quarter close, the Sponsor will calculate the NAV on a particular day using the Level 1 valuation but will later recalculate the NAV for the impacted Fund based upon the valuation inputs from these alternative verifiable sources (Level 2 or Level 3) and will report such NAV in its applicable financial statements and reports. On September 30, 2021 and December 31, 2020, 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 nine months ended September 30, 2021 and year ended December 31, 2020, 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”) 2021-05: “Leases (Topic 842).” Under the amended guidance, a lessor should classify and account for a lease with variable lease payments that don’t depend on an index or a rate as an operating lease if the lease would’ve been classified as a sales-type lease or a direct financing lease in accordance with the lease classification guidance in Topic 842 and the lessor would’ve otherwise recognized a day-one loss. The amendment was adopted early for the quarter ended September 30, 2021; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued ASU 2020-10: “Codification Improvements.” The amendment improves the disclosure guidance in appropriate Disclosure Sections, without resulting in changes to current GAAP. The amendment is effective for annual periods beginning after December 15, 2020. The amendment was adopted for the quarter ended March 31, 2021; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued 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. 72 Table of Contents 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 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 were adopted for the quarter ended September 30, 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 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 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 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. The amendments were adopted for the quarter ended September 30, 2020; 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 September 30, 2021 and December 31, 2020: September 30, 2021 Assets: Level 1 Level 2 Level 3 Balance as of September 30, 2021 Cash Equivalents $ 15,189,250 $ - $ - $ 15,189,250 Commodity Futures Contracts Sugar futures contracts 2,254,654 - - 2,254,654 Total $ 17,443,904 $ - $ - $ 17,443,904 December 31, 2020 Assets: Level 1 Level 2 Level 3 Balance as of December 31, 2020 Cash Equivalents $ 6,652,192 $ - $ - $ 6,652,192 Commodity Futures Contracts Sugar futures contracts 1,407,703 - - 1,407,703 Total $ 8,059,895 $ - $ - $ 8,059,895 73 Table of Contents For the period September 30, 2021 and year ended December 31, 2020, the Fund did not have any significant transfers between any of the levels of the fair value hierarchy. See the Fair Value – Definition and Hierarchy section in Note 3 above for an explanation of the transfers into and out of each level of the fair value hierarchy. Note 5 – Derivative Instruments and Hedging Activities In the normal course of business, the Fund utilizes derivative contracts in connection with its proprietary trading activities. Investments in derivative contracts are subject to additional risks that can result in a loss of all or part of an investment. The Fund’s derivative activities and exposure to derivative contracts are classified by the following primary underlying risks: interest rate, credit, commodity price, and equity price risks. In addition to its primary underlying risks, the Fund is also subject to additional counterparty risk due to inability of its counterparties to meet the terms of their contracts. For the three and nine months ended September 30, 2021 and year ended December 31, 2020, 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 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 combined statements of assets and liabilities as derivative contracts, categorized by primary underlying risk and held by the FCM, E D & F Man as of September 30, 2021 and December 31, 2020. *The amount of collateral presented in Collateral, Due from Broker, is limited to the liability for the futures contracts and accordingly does not include the excess collateral pledged. Offsetting of Financial Assets and Derivative Assets as of September 30, 2021 (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 $ 2,254,654 $ - $ 2,254,654 $ - $ 346,666 $ 1,907,988 74 Table of Contents Offsetting of Financial Assets and Derivative Assets as of December 31, 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 $ 1,407,703 $ - $ 1,407,703 $ - $ 475,661 $ 932,042 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 September 30, 2021 Realized Gain on Commodity Futures Contracts Net Change in Unrealized Appreciation on Commodity Futures Contracts Commodity Price Sugar futures contracts $ 2,536,459 $ 289,834 Three months ended September 30, 2020 Realized Gain on Commodity Futures Contracts Net Change in Unrealized Appreciation on Commodity Futures Contracts Commodity Price Sugar futures contracts $ 184,149 $ 484,253 75 Table of Contents Nine months ended September 30, 2021 Realized Gain on Commodity Futures Contracts Net Change in Unrealized Appreciation on Commodity Futures Contracts Commodity Price Sugar futures contracts $ 5,802,090 $ 846,951 Nine months ended September 30, 2020 Realized Loss on Commodity Futures Contracts Net Change in Unrealized Appreciation on Commodity Futures Contracts Commodity Price Sugar futures contracts $ ( 763,390 ) $ 17,344 Volume of Derivative Activities The average notional market value categorized by primary underlying risk for all futures contracts held were $ 24.4 million and $ 18.9 million, respectively, for the three and nine months ended September 30, 2021, and $ 11.9 million and $ 10.1 million, respectively, for the three and nine months ended September 30, 2020. Note 6 – Financial Highlights The following table presents per unit performance data and other supplemental financial data for the three and nine months ended September 30, 2021 and 2020. 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 Nine months ended Nine months ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 Per Share Operation Performance Net asset value at beginning of period $ 8.48 $ 5.72 $ 6.72 $ 7.04 Income (loss) from investment operations: Investment income - - 0.01 0.04 Net realized and unrealized gain (loss) on commodity futures contracts 1.13 0.42 2.96 ( 0.82 ) Total expenses, net ( 0.04 ) ( 0.03 ) ( 0.12 ) ( 0.15 ) Net increase (decrease) in net asset value 1.09 0.39 2.85 ( 0.93 ) Net asset value at end of period $ 9.57 $ 6.11 $ 9.57 $ 6.11 Total Return 12.80 % 6.65 % 42.38 % ( 13.23 )% Ratios to Average Net Assets (Annualized) Total expenses 2.28 % 3.58 % 2.52 % 5.18 % Total expenses, net 1.78 % 2.42 % 1.91 % 3.18 % Net investment loss ( 1.66 )% ( 2.22 )% ( 1.77 )% ( 2.32 )% 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 September 30, 2021 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 continued uncertainty of COVID-19 may continue to 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. 76 Table of Contents TEUCRIUM WHEAT FUND STATEMENTS OF ASSETS AND LIABILITIES September 30, 2021 December 31, 2020 (Unaudited) Assets Cash and cash equivalents $ 70,448,215 $ 68,946,725 Interest receivable 5,046 3,257 Capital shares receivable - 307,830 Equity in trading accounts: Commodity futures contracts 4,538,406 5,738,162 Due from broker 919,985 - Total equity in trading accounts 5,458,391 5,738,162 Total assets 75,911,652 74,995,974 Liabilities Payable for shares redeemed - 2,462,640 Management fee payable to Sponsor 60,225 60,902 Payable for purchases of commercial paper 2,498,755 - Other liabilities 56,593 24,751 Equity in trading accounts: Due to broker - 2,571,103 Total liabilities 2,615,573 5,119,396 Net assets $ 73,296,079 $ 69,876,578 Shares outstanding 10,375,004 11,350,004 Shares authorized 34,150,000 37,650,000 Net asset value per share $ 7.06 $ 6.16 Market value per share $ 7.08 $ 6.19 The accompanying notes are an integral part of these financial statements. 77 Table of Contents TEUCRIUM WHEAT FUND SCHEDULE OF INVESTMENTS September 30, 2021 (Unaudited) Percentage of Description: Assets Fair Value Net Assets Shares Cash equivalents Money market funds First American Government Obligations Fund - Class X (cost $2,869,825) $ 2,869,825 3.92 % 2,869,825 Goldman Sachs Financial Square Government Fund - Institutional Class (cost: $3,535,132) 3,535,132 4.82 3,535,132 Total money market funds (cost: $6,404,957) $ 6,404,957 8.74 % Principal Amount Commercial Paper Brookfield Infrastructure Holdings (Canada) Inc. 0.178% (cost: $7,498,107 due 11/03/2021) $ 7,498,775 10.23 % 7,500,000 General Motors Financial Company, Inc. 0.150% (cost: $2,499,083 due 10/04/2021) 2,499,969 3.41 2,500,000 General Motors Financial Company, Inc. 0.172% (cost: $2,499,245 due 11/04/2021) 2,499,599 3.41 2,500,000 Harley-Davidson Financial Services, Inc. 0.150% (cost: $3,998,800 due 10/14/2021) 3,999,783 5.46 4,000,000 Harley-Davidson Financial Services, Inc. 0.160% (cost: $2,499,011 due 11/03/2021) 2,499,633 3.41 2,500,000 Jabil Inc. 0.260% (cost: $2,499,170 due 10/29/2021) 2,499,495 3.41 2,500,000 National Fuel Gas Company 0.200% (cost: $2,499,708 due 10/08/2021) 2,499,903 3.41 2,500,000 Viatris Inc. 0.274% (cost: $2,498,288 due 10/18/2021) 2,499,676 3.41 2,500,000 Viatris Inc. 0.230% (cost: $2,498,755 due 12/21/2021) 2,498,755 3.41 2,500,000 Total Commercial Paper (cost: 28,990,167) $ 28,995,588 39.56 % Total Cash Equivalents $ 35,400,545 48.30 % Notional Amount (Long Exposure) Commodity futures contracts United States wheat futures contracts CBOT wheat futures MAR22 (695 contracts) $ 2,691,398 3.67 % $ 25,593,375 CBOT wheat futures MAY22 (593 contracts) 1,097,519 1.50 21,926,175 CBOT wheat futures DEC22 (708 contracts) 749,489 1.02 25,788,900 Total commodity futures contracts $ 4,538,406 6.19 % $ 73,308,450 The accompanying notes are an integral part of these financial statements. 78 Table of Contents TEUCRIUM WHEAT FUND SCHEDULE OF INVESTMENTS December 31, 2020 Percentage of Description: Assets Fair Value Net Assets Shares Cash equivalents Money market funds First American Government Obligations Fund - Class X (cost $16,214,175) $ 16,214,175 23.20 % 16,214,175 Blackrock Liquidity FedFund - Institutional Class (cost $13,227) 13,227 0.02 13,227 Total money market funds (cost: $16,227,402) $ 16,227,402 23.22 % Principal Amount Commercial Paper Energy Transfer Operating, L.P. 0.421% (cost: $2,498,863 due 01/29/2021) $ 2,499,183 3.58 % 2,500,000 Energy Transfer Operating, L.P. 0.501% (cost: $2,498,889 due 01/29/2021) 2,499,028 3.57 2,500,000 General Motors Financial Company, Inc. 0.400% (cost: $2,497,945 due 01/04/2021) 2,499,917 3.58 2,500,000 General Motors Financial Company, Inc. 0.411% (cost: $2,498,178 due 01/08/2021) 2,499,801 3.58 2,500,000 Harley-Davidson Financial Services, Inc. 0.250% (cost: $2,498,437 due 01/11/2021) 2,499,826 3.58 2,500,000 Hyundai Capital America, Inc. 0.170% (cost: $2,499,245 due 02/03/2021) 2,499,611 3.58 2,500,000 Jabil Inc. 0.430% (cost: $2,498,627 due 01/29/2021) 2,499,164 3.58 2,500,000 Jabil Inc. 0.501% (cost: $2,497,153 due 02/24/2021) 2,498,125 3.57 2,500,000 Marathon Petroleum Corporation 0.350% (cost: $4,997,375 due 02/01/2021) 4,998,493 7.15 5,000,000 Marathon Petroleum Corporation 0.381% (cost: $4,996,147 due 02/26/2021) 4,997,044 7.15 5,000,000 WGL Holdings, Inc. 0.200% (cost: $2,499,417 due 01/27/2021) 2,499,639 3.58 2,500,000 Walgreens Boots Alliance, Inc. 0.246% (cost: $2,498,857 due 03/05/2021) 2,498,926 3.58 2,500,000 Total commercial paper (cost: $34,979,133) $ 34,988,757 50.08 % Total cash equivalents $ 51,216,159 73.30 % Notional Amount (Long Exposure) Commodity futures contracts United States wheat futures contracts CBOT wheat futures MAY21 (765 contracts) $ 2,297,658 3.29 % $ 24,460,875 CBOT wheat futures JUL21 (668 contracts) 687,506 0.98 20,983,550 CBOT wheat futures DEC21 (767 contracts) 2,752,998 3.94 24,419,363 Total commodity futures contracts $ 5,738,162 8.21 % $ 69,863,788 The accompanying notes are an integral part of these financial statements. 79 Table of Contents TEUCRIUM WHEAT FUND STATEMENTS OF OPERATIONS (Unaudited) Three months ended Three months ended Nine months ended Nine months ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 Income Realized and unrealized gain (loss) on trading of commodity futures contracts: Realized gain on commodity futures contracts $ 3,422,476 $ 1,631,368 $ 13,502,592 $ 1,798,882 Net change in unrealized appreciation/(depreciation) on commodity futures contracts 605,294 5,927,145 ( 1,199,756 ) ( 957,071 ) Interest income 29,826 51,225 99,342 378,205 Total income 4,057,596 7,609,738 12,402,178 1,220,016 Expenses Management fees 197,683 137,207 609,012 378,768 Professional fees 46,025 21,897 176,099 185,090 Distribution and marketing fees 191,833 154,909 490,513 487,090 Custodian fees and expenses 19,798 19,594 54,420 67,842 Business permits and licenses fees 1,977 3,312 23,578 24,026 General and administrative expenses 13,088 11,570 50,730 58,996 Total expenses 470,404 348,489 1,404,352 1,201,812 Expenses waived by the Sponsor ( 104,989 ) ( 16,384 ) ( 229,640 ) ( 16,384 ) Total expenses, net 365,415 332,105 1,174,712 1,185,428 Net income $ 3,692,181 $ 7,277,633 $ 11,227,466 $ 34,588 Net income (loss) per share $ 0.32 $ 0.68 $ 0.91 $ ( 0.12 ) Net income per weighted average share $ 0.32 $ 0.71 $ 0.91 $ 0.00 Weighted average shares outstanding 11,380,982 10,180,982 12,387,275 9,284,949 The accompanying notes are an integral part of these financial statements. 80 Table of Contents TEUCRIUM WHEAT FUND STATEMENTS OF CHANGES IN NET ASSETS (Unaudited) Nine months ended Nine months ended September 30, 2021 September 30, 2020 Operations Net income $ 11,227,466 $ 34,588 Capital transactions Issuance of Shares 22,187,673 16,405,790 Redemption of Shares ( 29,995,638 ) ( 5,089,221 ) Total capital transactions ( 7,807,965 ) 11,316,569 Net change in net assets 3,419,501 11,351,157 Net assets, beginning of period $ 69,876,578 $ 52,236,196 Net assets, end of period $ 73,296,079 $ 63,587,353 Net asset value per share at beginning of period $ 6.16 $ 5.84 Net asset value per share at end of period $ 7.06 $ 5.72 Creation of Shares 3,500,000 3,100,000 Redemption of Shares 4,475,000 925,000 The accompanying notes are an integral part of these financial statements. 81 Table of Contents TEUCRIUM WHEAT FUND STATEMENTS OF CASH FLOWS (Unaudited) Nine months ended Nine months ended September 30, 2021 September 30, 2020 Cash flows from operating activities: Net income $ 11,227,466 $ 34,588 Adjustments to reconcile net income to net cash provided by (used in) operating activities: Net change in unrealized depreciation on commodity futures contracts 1,199,756 957,071 Changes in operating assets and liabilities: Due from broker ( 919,985 ) ( 888,861 ) Interest receivable ( 1,789 ) ( 3,592 ) Other assets - 4,209 Due to broker ( 2,571,103 ) ( 4,258,410 ) Payable for purchases of commercial paper 2,498,755 - Management fee payable to Sponsor ( 677 ) 7,099 Other liabilities 31,842 49,048 Net cash provided by (used in) operating activities 11,464,265 ( 4,098,848 ) Cash flows from financing activities: Proceeds from sale of Shares 22,495,503 16,405,790 Redemption of Shares ( 32,458,278 ) ( 5,089,221 ) Net cash (used in) provided by financing activities ( 9,962,775 ) 11,316,569 Net change in cash and cash equivalents 1,501,490 7,217,721 Cash and cash equivalents, beginning of period 68,946,725 51,467,643 Cash and cash equivalents, end of period $ 70,448,215 $ 58,685,364 The accompanying notes are an integral part of these financial statements. 82 Table of Contents NOTES TO FINANCIAL STATEMENTS September 30, 2021 (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 nine months ended September 30, 2021 are not necessarily indicative of the results to be expected for the full year ending December 31, 2021. 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. 83 Table of Contents Note 2 – Principal Contracts and Agreements The Sponsor employs U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services ("Global Fund Services"), for Transfer Agency, Fund Accounting and Fund Administration services. The principal address for Global Fund Services is 615 E. Michigan Street, Milwaukee, WI 53202. For custody services, the Funds will pay to U.S. Bank N.A. 0.0075% of average gross assets up to $1 billion, and .0050% of average gross assets over $1 billion, annually, plus certain per-transaction charges. For Transfer Agency, Fund Accounting and Fund Administration services, which are based on the total assets for all the Funds in the Trust, the Funds will pay to Global Fund Services 0.05% of average gross assets on the first $500 million, 0.04% on the next $500 million, 0.03% on the next $2 billion and 0.02% on the balance over $3 billion annually. A combined minimum annual fee of up to $64,500 for custody, transfer agency, accounting and administrative services is assessed per Fund. These services are recorded as custodian fees and expenses on the statements of operations. A summary of these expenses is included below. The Sponsor employs Foreside Fund Services, LLC (“Foreside” or the “Distributor”) as the Distributor for the Funds. The Distribution Services Agreement among the Distributor and the Sponsor calls for the Distributor to work with the Custodian in connection with the receipt and processing of orders for Creation Baskets and Redemption Baskets and the review and approval of all Fund sales literature and advertising materials. The Distributor and the Sponsor have also entered into a Securities Activities and Service Agreement (the “SASA”) under which certain employees and officers of the Sponsor are licensed as registered representatives or registered principals of the Distributor, under Financial Industry Regulatory Authority (“FINRA”) rules. For its services as the Distributor, Foreside receives a fee of 0.01% of each Fund’s average daily net assets and an aggregate annual fee of $100,000 for all Funds, along with certain expense reimbursements. For its services under the SASA, Foreside receives a fee of $5,000 per registered representative and $1,000 per registered location. These services are recorded as distribution and marketing fees on the statements of operations. A summary of these expenses is included below. Pursuant to a Consulting Services Agreement, Foreside Consulting Services, LLC, performs certain consulting support services for the Trust's Sponsor. Additionally, Foreside Distributors, LLC performs certain distribution consulting services pursuant to a Distribution Consulting Agreement with the Sponsor. E D & F Man Capital Markets, Inc. (“E D & F Man”) serves as the Underlying Funds’ clearing broker to execute and clear the Underlying Funds’ futures and provide other brokerage-related services. E D & F Man is registered as a futures commission merchant (“FCM”) with the U.S. CFTC and is a member of the NFA. E D & F Man is also registered as a broker/dealer with the SEC and is a member of FINRA. E D & 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 E D & 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. 84 Table of Contents The Sponsor employs Thales Capital Partners LLC (“Thales”) for distribution and solicitation-related services. Thales is registered as a Broker-Dealer with the SEC and a member of FINRA and the Securities Investor Protection Corporation (“SIPC”). Thales receives a quarterly fee of the higher of $18,750 or 0.10% of new assets raised in referred accounts for distribution and solicitation-related services. This fee based on new assets raised 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 month ended Three month ended Nine month ended Nine month ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 Amount Recognized for Custody Services $ 19,798 $ 19,594 $ 54,420 $ 67,842 Amount of Custody Services Waived $ 5,960 $ - $ 5,960 $ - Amount Recognized for Distribution Services $ 8,584 $ 7,460 $ 26,000 $ 27,860 Amount of Distribution Services Waived $ 8,584 $ 2,002 $ 16,804 $ 2,002 Amount Recognized for Wilmington Trust $ 789 $ - $ 789 $ - Amount of Wilmington Trust Waived $ - $ - $ - $ - Amount Recognized for Thales $ 19,008 $ 4,611 $ 49,674 $ 16,380 Amount of Thales Waived $ 19,008 $ - $ 22,741 $ - Note 3 – Summary of Significant Accounting Policies Basis of Presentation The accompanying financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) as detailed in the Financial Accounting Standards Board’s Accounting Standards Codification. Revenue Recognition Commodity futures contracts are recorded on the trade date. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized appreciation or depreciation on commodity futures contracts are reflected in the statements of operations as the difference between the original contract amount and the fair market value as of the last business day of the year or as of the last date of the financial statements. Changes in the appreciation or depreciation between periods are reflected in the statements of operations. Interest on cash equivalents with financial institutions are recognized on the accrual basis. The Fund seeks to earn interest on funds held at the custodian and other financial institutions at prevailing market rates for such investments. The Sponsor invests a portion of cash in commercial paper, which is deemed a cash equivalent based on the rating and duration of contracts as described in the notes to the financial statements and reflected in cash and cash equivalents on the statements of assets and liabilities and on the statements of cash flows. Accretion on these investments 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. 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 total brokerage commissions paid inclusive of unrealized loss for the three and nine months ended September 30, 2021 and 2020. WEAT Three months ended September 30, 2021 $ 17,330 Three months ended September 30, 2020 $ 14,900 Nine months ended September 30, 2021 $ 39,852 Nine months ended September 30, 2020 $ 29,059 85 Table of Contents Income Taxes For federal income tax purposes, the Fund will be treated as a publicly traded partnership. A publicly traded partnership is generally treated as a corporation for federal income tax purposes unless 90% or more of the publicly traded partnership’s gross income for each taxable year of its existence consists of qualifying income as defined in section 7704(d) of the Internal Revenue Code of 1986, as amended. Qualifying income is defined as generally including, in pertinent part, interest (other than from a financial business), dividends, and gains from the sale or disposition of capital assets held for the production of interest or dividends. In the case of a partnership of which a principal activity is the buying and selling of commodities, other than as inventory, or of futures, forwards and options with respect to commodities, qualifying income also includes income and gains from commodities and from futures, forwards, options with respect to commodities and, provided the partnership is a trader or investor with respect to such assets, swaps and other notional principal contracts with respect to commodities. The Fund expects that at least 90% of the Fund’s gross income for each taxable year will consist of qualifying income and that the Fund will be taxed as a partnership for federal income tax purposes. The Fund does not record a provision for income taxes because the shareholders report their share of the Fund’s income or loss on their income tax returns. The financial statements reflect the Fund’s transactions without adjustment, if any, required for income tax purposes. The Fund is required to determine whether a tax position is more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund files an income tax return in the U.S. federal jurisdiction and may file income tax returns in various U.S. states and foreign jurisdictions. For all tax years 2018 to 2020, 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 September 30, 2021 and for the years ended December 31, 2020, 2019 and 2018. 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 nine months ended September 30, 2021 and 2020. The Fund may be subject to potential examination by U.S. federal, U.S. state, or foreign jurisdictional authorities in the area of income taxes. These potential examinations may include questioning the timing and amount of deductions, the nexus of income among various tax jurisdictions, and compliance with U.S. federal, U.S. state and foreign tax laws. Creations and Redemptions Authorized Purchasers may purchase Creation Baskets consisting of 25,000 shares from the Fund. The amount of the proceeds required to purchase a Creation Basket will be equal to the NAV of the shares in the Creation Basket determined as of 4:00 p.m.(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 capital shares receivable. Amounts payable to Authorized Purchasers upon redemption are reflected in the Fund’s statements of assets and liabilities as payable for shares redeemed. As outlined in the most recent Form S-1 filing, 50,000 shares represents two Redemption Baskets for the Fund and a minimum level of shares. If the Fund experienced redemptions that caused the number of Shares outstanding to decrease to the minimum level of Shares required to be outstanding, until the minimum number of Shares is again exceeded through the purchase of a new Creation Basket, there can be no more redemptions by an Authorized Purchaser. Allocation of Shareholder Income and Losses Profit or loss is allocated among the shareholders of the Fund in proportion to the number of shares each shareholder holds as of the close of each month. 86 Table of Contents Cash and Cash Equivalents Cash equivalents are highly liquid investments with maturity dates of 90 days or less when acquired. The Trust reported its cash equivalents in the statements of assets and liabilities at market value, or at carrying amounts that approximate fair value, because of their highly liquid nature and short term maturities. Each Fund that is a series of the Trust has the balance of its cash equivalents on deposit with financial institutions. The Fund holds a balance in money market funds that is included in cash and cash equivalents on the statements of assets and liabilities. The Sponsor invests a portion of the available cash for the Funds in alternative demand deposit savings accounts, which is classified as cash and not as cash equivalents. Assets deposited with the bank may, at times, exceed federally insured limits. The Sponsor invests a portion of the available cash for the Funds in investment grade commercial paper with durations of 90 days or less, which is classified as a cash equivalent and is not FDIC insured. The Sponsor may invest a portion of the cash held by the broker in short term Treasury Bills as collateral for open futures contracts, which is classified as a cash equivalent and is not FDIC insured. September 30, 2021 December 31, 2020 Money Market Funds $ 6,404,957 $ 16,227,402 Demand Deposit Savings Accounts 35,047,670 17,730,566 Commercial Paper 28,995,588 34,988,757 Total cash and cash equivalents as presented on the Statement of Assets and Liabilities $ 70,448,215 $ 68,946,725 Payable for Purchases of Commercial Paper The amount recorded by the Fund for commercial paper transactions awaiting settlement, represents the amount payable for contracts purchased but not yet settled as of the reporting date. The value of the contract is included in cash and cash equivalents, and the payable amount is included as a liability. Due from/to Broker The amount recorded by the Fund for the amount due from and to the clearing broker includes, but is not limited to, cash held by the broker, amounts payable to the clearing broker related to open transactions, payables for commodities futures accounts liquidating to an equity balance on the clearing broker’s records and amounts of brokerage commissions paid and recognized as unrealized losses. Margin is the minimum amount of funds that must be deposited by a commodity interest trader with the trader’s broker to initiate and maintain an open position in futures contracts. A margin deposit acts to assure the trader’s performance of the futures contracts purchased or sold. Futures contracts are customarily bought and sold on initial margin that represents a very small percentage of the aggregate purchase or sales price of the contract. Because of such low margin requirements, price fluctuations occurring in the futures markets may create profits and losses that, in relation to the amount invested, are greater than customary in other forms of investment or speculation. As discussed below, adverse price changes in the futures contract may result in margin requirements that greatly exceed the initial margin. In addition, the amount of margin required in connection with a particular futures contract is set from time to time by the exchange on which the contract is traded and may be modified from time to time by the exchange during the term of the contract. Brokerage firms, such as the Fund’s clearing brokers, carrying accounts for traders in commodity interest contracts generally require higher amounts of margin as a matter of policy to further protect themselves. Over the counter trading generally involves the extension of credit between counterparties, so the counterparties may agree to require the posting of collateral by one or both parties to address credit exposure. When a trader purchases an option, there is no margin requirement; however, the option premium must be paid in full. When a trader sells an option, on the other hand, he or she is required to deposit margin in an amount determined by the margin requirements established for the underlying interest and, in addition, an amount substantially equal to the current premium for the option. The margin requirements imposed on the selling of options, although adjusted to reflect the probability that out-of-the-money options will not be exercised, can in fact be higher than those imposed in dealing in the futures markets directly. Complicated margin requirements apply to spreads and conversions, which are complex trading strategies in which a trader acquires a mixture of options positions and positions in the underlying interest. Ongoing or “maintenance” margin requirements are computed each day by a trader’s clearing broker. When the market value of a particular open futures contract changes to a point where the margin on deposit does not satisfy maintenance margin requirements, a margin call is made by the broker. If the margin call is not met within a reasonable time, the broker may close out the trader’s position. With respect to the Fund’s trading, the Fund (and not its shareholders personally) is subject to margin calls. Finally, many major U.S. exchanges have passed certain cross margining arrangements involving procedures pursuant to which the futures and options positions held in an account would, in the case of some accounts, be aggregated and margin requirements would be assessed on a portfolio basis, measuring the total risk of the combined positions. 87 Table of Contents Calculation of Net Asset Value The Fund’s NAV is calculated by: • Taking the current market value of its total assets and • Subtracting any liabilities. The administrator, Global Fund Services, calculates the NAV of the Fund once each trading day. It calculates the NAV as of the earlier of the close of the NYSE or 4:00 p.m. (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, which the Sponsor performs itself. In addition, the Fund is contractually obligated to pay a monthly management fee to the Sponsor, based on average daily net assets, at a rate equal to 1.00 % per annum. The Fund generally pays for all brokerage fees, taxes and other expenses, including licensing fees for the use of intellectual property, registration or other fees paid to the SEC, FINRA, or any other regulatory agency in connection with the offer and sale of subsequent Shares after its initial registration and all legal, accounting, printing and other expenses associated therewith. The Fund also pays its portion of the fees and expenses associated with the Trust’s tax accounting and reporting requirements. Certain aggregate expenses common to all Funds within the Trust are allocated by the Sponsor to the respective Fund based on activity drivers deemed most appropriate by the Sponsor for such expenses, including but not limited to relative assets under management and creation order activity. These aggregate common expenses include, but are not limited to, legal, auditing, accounting and financial reporting, tax-preparation, regulatory compliance, trading activities, and insurance costs, as well as fees paid to the Distributor, which are included in the related line item in the statements of operations. A portion of these aggregate common expenses are related to the Sponsor or related parties of principals of the Sponsor; these are necessary services to the Funds, which are primarily the cost of performing accounting and financial reporting, regulatory compliance, and trading activities that are directly attributable to the Fund. Such expenses are primarily recorded as distribution and marketing fees in the financial statements of each Fund. Three months ended Three months ended Nine months ended Nine months ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 Recognized Related Party Transactions $ 110,381 $ 94,344 $ 336,850 $ 365,704 Waived Related Party Transactions $ 15,941 $ 13,630 $ 79,800 $ 13,630 The Sponsor has the ability to elect to pay certain expenses on behalf of the Funds or waive the management fee. This election is subject to change by the Sponsor, at its discretion. Expenses paid by the Sponsor and Management fees waived by the Sponsor are, if applicable, presented as waived expenses in the statements of operations for each Fund. The Sponsor has determined that there will be no recovery sought for the amounts below in any future period: WEAT Three months ended September 30, 2021 $ 104,989 Three months ended September 30, 2020 $ 16,384 Nine months ended September 30, 2021 $ 229,640 Nine months ended September 30, 2020 $ 16,384 88 Table of Contents Use of Estimates The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of the revenue and expenses during the reporting period. Actual results could differ from those estimates. Fair Value - Definition and Hierarchy In accordance with U.S. GAAP, fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e., the “exit price”) in an orderly transaction between market participants at the measurement date. In determining fair value, the Fund uses various valuation approaches. In accordance with U.S. GAAP, a fair value hierarchy for inputs is used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s assumptions about the inputs market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The fair value hierarchy is categorized into three levels based on the inputs as follows: Level 1 - Valuations based on unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access. Valuation adjustments and block discounts are not applied to Level 1 financial instruments. Since valuations are based on quoted prices that are readily and regularly available in an active market, valuation of these financial instruments does not entail a significant degree of judgment. Level 2 - Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. Level 3 - Valuations based on inputs that are unobservable and significant to the overall fair value measurement. The availability of valuation techniques and observable inputs can vary from financial instrument to financial instrument and is affected by a wide variety of factors including, the type of financial instrument, whether the financial instrument is new and not yet established in the marketplace, and other characteristics particular to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Those estimated values do not necessarily represent the amounts that may be ultimately realized due to the occurrence of future circumstances that cannot be reasonably determined. Because of the inherent uncertainty of valuation, those estimated values may be materially higher or lower than the values that would have been used had a ready market for the financial instruments existed. Accordingly, the degree of judgment exercised by the Fund in determining fair value is greatest for financial instruments categorized in Level 3. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy, within which the fair value measurement in its entirety falls, is determined based on the lowest level input that is significant to the fair value measurement. Fair value is a market-based measure considered from the perspective of a market participant rather than an entity-specific measure. Therefore, even when market assumptions are not readily available, the Fund’s own assumptions are set to reflect those that market participants would use in pricing the asset or liability at the measurement date. The Fund uses prices and inputs that are current as of the measurement date, including periods of market dislocation. In periods of market dislocation, the observability of prices and inputs may be reduced for many financial instruments. This condition could cause a financial instrument to be reclassified to a lower level within the fair value hierarchy. When such a situation exists on a quarter close, the Sponsor will calculate the NAV on a particular day using the Level 1 valuation but will later recalculate the NAV for the impacted Fund based upon the valuation inputs from these alternative verifiable sources (Level 2 or Level 3) and will report such NAV in its applicable financial statements and reports. On September 30, 2021 and December 31, 2020, 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. 89 Table of Contents For the period ended June 30, 2020, the Dec21 CBOT Wheat Futures Contracts traded on the CBOT did not, in the opinion of the Trust and WEAT, trade in an actively traded futures market as defined in the policy of the Trust and WEAT for the entire period during which they were held. Accordingly, the Trust and WEAT classified these as a Level 2 asset for the period ended June 30, 2020 due to the quarterly average daily volume for the contract. These Wheat contracts transferred back to a Level 1 asset for the period ended September 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”) 2021-05: “Leases (Topic 842).” Under the amended guidance, a lessor should classify and account for a lease with variable lease payments that don’t depend on an index or a rate as an operating lease if the lease would’ve been classified as a sales-type lease or a direct financing lease in accordance with the lease classification guidance in Topic 842 and the lessor would’ve otherwise recognized a day-one loss. The amendment was adopted early for the quarter ended September 30, 2021; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued ASU 2020-10: “Codification Improvements.” The amendment improves the disclosure guidance in appropriate Disclosure Sections, without resulting in changes to current GAAP. The amendment is effective for annual periods beginning after December 15, 2020. The amendment was adopted for the quarter ended March 31, 2021; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued 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 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 were adopted for the quarter ended September 30, 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 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 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. 90 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. The amendments were adopted for the quarter ended September 30, 2020; 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 September 30, 2021 and December 31, 2020: September 30, 2021 Assets: Level 1 Level 2 Level 3 Balance as of September 30, 2021 Cash Equivalents $ 35,400,545 $ - $ - $ 35,400,545 Commodity Futures Contracts Wheat futures contracts 4,538,406 - - 4,538,406 Total $ 39,938,951 $ - $ - $ 39,938,951 December 31, 2020 Assets: Level 1 Level 2 Level 3 Balance as of December 31, 2020 Cash Equivalents $ 51,216,159 $ - $ - $ 51,216,159 Commodity Futures Contracts Wheat futures contracts 5,738,162 - - 5,738,162 Total $ 56,954,321 $ - $ - $ 56,954,321 For the period ended September 30, 2021 and year ended December 31, 2020, 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 held by WEAT, which were reflected as a Level 2 asset for the period ended June 30, 2020 due to the quarterly average daily volume for the contract. These transferred back to a Level 1 asset for the period ended September 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. 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 nine months ended September 30, 2021 and for the year ended December 31, 2020, the Fund invested only in commodity futures contracts. 91 Table of Contents Futures Contracts The Fund is subject to commodity price risk in the normal course of pursuing its investment objectives. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date. The purchase and sale of futures contracts requires margin deposits with 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 combined statements of assets and liabilities as derivative contracts, categorized by primary underlying risk and held by the FCM, E D & F Man as of September 30, 2021 and December 31, 2020. *The amount of collateral presented in Collateral, Due from Broker, is limited to the liability for the futures contracts and accordingly does not include the excess collateral pledged. Offsetting of Financial Assets and Derivative Assets as of September 30, 2021 (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 $ 4,538,406 $ - $ 4,538,406 $ - $ - $ 4,538,406 Offsetting of Financial Assets and Derivative Assets as of December 31, 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 Wheat futures contracts $ 5,738,162 $ - $ 5,738,162 $ - $ 2,571,103 $ 3,167,059 92 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 September 30, 2021 Realized Gain on Commodity Futures Contracts Net Change in Unrealized Appreciation on Commodity Futures Contracts Commodity Price Wheat futures contracts $ 3,422,476 $ 605,294 Three months ended September 30, 2020 Realized Gain on Commodity Futures Contracts Net Change in Unrealized Appreciation on Commodity Futures Contracts Commodity Price Wheat futures contracts $ 1,631,368 $ 5,927,145 Nine months ended September 30, 2021 Realized Gain on Commodity Futures Contracts Net Change in Unrealized Depreciation on Commodity Futures Contracts Commodity Price Wheat futures contracts $ 13,502,592 $ ( 1,199,756 ) Nine months ended September 30, 2020 Realized Gain on Commodity Futures Contracts Net Change in Unrealized Depreciation on Commodity Futures Contracts Commodity Price Wheat futures contracts $ 1,798,882 $ ( 957,071 ) 93 Table of Contents Volume of Derivative Activities The average notional market value categorized by primary underlying risk for all futures contracts held was $ 76.0 million and $ 80.3 million, respectively, for the three and nine months ended September 30, 2021, and $ 58.3 million and $ 51.9 million, respectively, for the three and nine months ended and September 30, 2020. Note 6 – Financial Highlights The following tables present per unit performance data and other supplemental financial data for the three and nine months ended September 30, 2021 and 2020. 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 Nine months ended Nine months ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 Per Share Operation Performance Net asset value at beginning of period $ 6.75 $ 5.04 $ 6.16 $ 5.84 Income (loss) from investment operations: Investment income - 0.01 0.01 0.04 Net realized and unrealized gain (loss) on commodity futures contracts 0.35 0.70 1.00 ( 0.03 ) Total expenses, net ( 0.03 ) ( 0.03 ) ( 0.10 ) ( 0.13 ) Net increase (decrease) in net asset value 0.32 0.68 0.91 ( 0.12 ) Net asset value at end of period $ 7.06 $ 5.72 $ 7.06 $ 5.72 Total Return 4.72 % 13.51 % 14.75 % ( 2.07 )% Ratios to Average Net Assets (Annualized) Total expenses 2.38 % 2.54 % 2.31 % 3.17 % Total expenses, net 1.85 % 2.42 % 1.93 % 3.13 % Net investment loss ( 1.70 )% ( 2.05 )% ( 1.77 )% ( 2.13 )% 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 September 30, 2021 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 continued uncertainty of COVID-19 may continue to 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. 94 Table of Contents TEUCRIUM AGRICULTURAL FUND STATEMENTS OF ASSETS AND LIABILITIES September 30, 2020 December 31, 2020 (Unaudited) Assets Cash equivalents $ 4,754 $ 2,786 Other assets - 1 Equity in trading accounts: Investments in securities, at fair value (cost $ 7,335,496 and $ 1,586,899 as of September 30, 2021 and December 31, 2020, respectively) 8,541,105 1,582,262 Total assets 8,545,859 1,585,049 Liabilities Other liabilities 5,196 661 Net assets $ 8,540,663 $ 1,584,388 Shares outstanding 325,002 75,002 Shares authorized 4,275,000 4,612,500 Net asset value per share $ 26.28 $ 21.12 Market value per share $ 26.32 $ 21.21 The accompanying notes are an integral part of these financial statements. 95 Table of Contents TEUCRIUM AGRICULTURAL FUND SCHEDULE OF INVESTMENTS September 30, 2021 (Unaudited) Percentage of Description: Assets Fair Value Net Assets Shares Exchange-traded funds Teucrium Corn Fund $ 2,191,357 25.66 % 108,297 Teucrium Soybean Fund 2,070,600 24.24 94,149 Teucrium Sugar Fund 2,095,400 24.53 219,042 Teucrium Wheat Fund 2,183,748 25.57 309,107 Total exchange-traded funds (cost $7,335,496) $ 8,541,105 100.00 % Cash equivalents Money market funds First American Government Obligations Fund - Class X (cost $4,754) $ 4,754 0.06 % 4,754 The accompanying notes are an integral part of these financial statements. 96 Table of Contents TEUCRIUM AGRICULTURAL FUND SCHEDULE OF INVESTMENTS December 31, 2020 Percentage of Description: Assets Fair Value Net Assets Shares Exchange-traded funds Teucrium Corn Fund $ 401,787 25.36 % 25,858 Teucrium Soybean Fund 401,177 25.32 20,581 Teucrium Sugar Fund 383,816 24.23 57,124 Teucrium Wheat Fund 395,482 24.96 64,237 Total exchange-traded funds (cost: $1,586,899) $ 1,582,262 99.87 % Cash equivalents Money market funds First American Government Obligations Fund - Class X (cost: $2,786) $ 2,786 0.18 % 2,786 The accompanying notes are an integral part of these financial statements. 97 Table of Contents TEUCRIUM AGRICULTURAL FUND STATEMENTS OF OPERATIONS (Unaudited) Three months ended Three months ended Nine months ended Nine months ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 Income Realized and unrealized gain (loss) on trading of securities: Realized gain (loss) on securities $ 76,653 $ ( 20,614 ) $ 16,223 $ ( 332,299 ) Net change in unrealized appreciation on securities 69,472 126,299 1,210,246 218,253 Interest income - - 5 11 Total income (loss) 146,125 105,685 1,226,474 ( 114,035 ) Expenses Professional fees 6,870 288 15,573 7,471 Distribution and marketing fees 19,254 2,503 39,339 10,900 Custodian fees and expenses 2,533 395 4,258 1,461 Business permits and licenses fees 3,309 - 12,228 14,129 General and administrative expenses 1,181 155 3,241 1,156 Other expenses 9 - 9 10 Total expenses 33,156 3,341 74,648 35,127 Expenses waived by the Sponsor ( 28,946 ) ( 2,784 ) ( 64,541 ) ( 33,287 ) Total expenses, net 4,210 557 10,107 1,840 Net income (loss) $ 141,915 $ 105,128 $ 1,216,367 $ ( 115,875 ) Net income (loss) per share $ 0.22 $ 1.68 $ 5.16 $ ( 1.27 ) Net income (loss) per weighted average share $ 0.40 $ 1.68 $ 4.22 $ ( 1.64 ) Weighted average shares outstanding 356,931 62,638 288,326 70,851 The accompanying notes are an integral part of these financial statements. 98 Table of Contents TEUCRIUM AGRICULTURAL FUND STATEMENTS OF CHANGES IN NET ASSETS (Unaudited) Nine months ended Nine months ended September 30, 2021 September 30, 2020 Operations Net income (loss) $ 1,216,367 $ ( 115,875 ) Capital transactions Issuance of Shares 8,007,179 - Redemption of Shares ( 2,267,271 ) ( 209,801 ) Total capital transactions 5,739,908 ( 209,801 ) Net change in net assets 6,956,275 ( 325,676 ) Net assets, beginning of period $ 1,584,388 $ 1,478,780 Net assets, end of period $ 8,540,663 $ 1,153,104 Net asset value per share at beginning of period $ 21.12 $ 19.72 Net asset value per share at end of period $ 26.28 $ 18.45 Creation of Shares 337,500 - Redemption of Shares 87,500 12,500 The accompanying notes are an integral part of these financial statements. 99 Table of Contents TEUCRIUM AGRICULTURAL FUND STATEMENTS OF CASH FLOWS (Unaudited) Nine months ended Nine months ended September 30, 2021 September 30, 2020 Cash flows from operating activities: Net income (loss) $ 1,216,367 $ ( 115,875 ) Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities: Net change in unrealized appreciation on securities ( 1,210,246 ) ( 218,253 ) Changes in operating assets and liabilities: Net (purchase) sale of investments in securities ( 5,748,597 ) 544,195 Interest receivable - 3 Other assets 1 ( 172 ) Other liabilities 4,535 437 Net cash (used in) provided by operating activities ( 5,737,940 ) 210,335 Cash flows from financing activities: Proceeds from sale of Shares 8,007,179 - Redemption of Shares ( 2,267,271 ) ( 209,801 ) Net cash provided by (used in) financing activities 5,739,908 ( 209,801 ) Net change in cash equivalents 1,968 534 Cash equivalents, beginning of period 2,786 2,633 Cash equivalents, end of period $ 4,754 $ 3,167 The accompanying notes are an integral part of these financial statements. 100 Table of Contents NOTES TO FINANCIAL STATEMENTS September 30, 2021 (Unaudited) Note 1 – Organization and Operation Teucrium Agricultural Fund (referred to herein as “TAGS” or the “Fund”) is a series of Teucrium Commodity Trust (“Trust”), a Delaware statutory trust organized on September 11, 2009. The Fund operates pursuant to the Trust’s Fifth Amended and Restated Declaration of Trust and Trust Agreement (the “Trust Agreement”). The Fund was formed on March 29, 2011 and is managed and controlled by Teucrium Trading, LLC (the “Sponsor”). The Sponsor is a limited liability company formed in Delaware on July 28, 2009. The Sponsor is registered as a commodity pool operator (“CPO”) and a commodity trading adviser (“CTA”) with the Commodity Futures Trading Commission (“CFTC”) and is a member of the National Futures Association (“NFA”). On April 22, 2011, a registration statement was filed with the Securities and Exchange Commission (“SEC”). On February 10, 2012, the Fund’s initial registration of 5,000,000 shares on Form S-1 was declared effective by the SEC. On March 28, 2012, the Fund listed its shares on the NYSE Arca under the ticker symbol “TAGS.” On the business day prior to that, the Fund issued 300,000 shares in exchange for $ 15,000,000 at the Fund’s initial NAV of $ 50 per share. The Fund also commenced investment operations on March 28, 2012 by purchasing shares of the Underlying Funds. On December 31, 2011, the Fund had two shares outstanding, which were owned by the Sponsor. The current registration statement for TAGS was declared effective on April 30, 2021. The investment objective of the TAGS is to have the daily changes in percentage terms of the NAV of its Shares reflect the daily changes in percentage terms of a weighted average (the “Underlying Fund Average”) of the NAVs per share of four other commodity pools that are series of the Trust and are sponsored by the Sponsor: the Teucrium Corn Fund, the Teucrium Wheat Fund, the Teucrium Soybean Fund and the Teucrium Sugar Fund (collectively, the “Underlying Funds”). The Underlying Fund Average will have a weighting of 25% to each Underlying Fund, and the Fund’s assets will be rebalanced, generally on a daily basis, to maintain the approximate 25% allocation to each Underlying Fund: TAGS Benchmark Underlying Fund Weighting CORN 25 % SOYB 25 % CANE 25 % WEAT 25 % The Fund seeks to provide daily investment results that reflect the combined daily performance of the Underlying Funds. Under normal market conditions, the Fund seeks to achieve its investment objective generally by investing equally in shares of each Underlying Fund and, to a lesser extent, cash equivalents. The Fund’s investments in shares of the Underlying Funds is rebalanced, generally on a daily basis, in order to maintain approximately a 25% allocation of the Fund’s assets to each Underlying Fund. (This weighted average is referred to herein as the Underlying Fund’s “Benchmark,” the Futures Contracts that at any given time make up an Underlying Fund’s Benchmark are referred to herein as the Underlying Fund’s “Benchmark Component Futures Contracts,” and the commodity specified in the Underlying Fund’s name is referred to herein as its “Specified Commodity.”) Specifically, the Teucrium Corn Fund’s Benchmark is: (1) the second to expire Futures Contract for corn traded on the Chicago Board of Trade (“CBOT”), weighted 35%, (2) the third to expire CBOT corn Futures Contract, weighted 30%, and (3) the CBOT corn Futures Contract expiring in the December following the expiration month of the third to expire contract, weighted 35%. The Teucrium Wheat Fund’s Benchmark is: (1) the second to expire CBOT wheat Futures Contract, weighted 35%, (2) the third to expire CBOT wheat Futures Contract, weighted 30%, and (3) the CBOT wheat Futures Contract expiring in the December following the expiration month of the third to expire contract, weighted 35%. The Teucrium Soybean Fund’s Benchmark is: (1) the second to expire CBOT soybean Futures Contract, weighted 35%, (2) the third to expire CBOT soybean Futures Contract, weighted 30%, and (3) the CBOT soybean Futures Contract expiring in the November following the expiration month of the third to expire contract, weighted 35%, except that CBOT soybean Futures Contracts expiring in August and September will not be part of the Teucrium Soybean Fund’s Benchmark because of the less liquid market for these Futures Contracts. The Teucrium Sugar Fund’s Benchmark is: (1) the second to expire Sugar No. 11 Futures Contract traded on ICE Futures US (“ICE Futures”), weighted 35%, (2) the third to expire ICE Futures Sugar No. 11 Futures Contract, weighted 30%, and (3) the ICE Futures Sugar No. 11 Futures Contract expiring in the March following the expiration month of the third to expire contract, weighted 35% . 101 Table of Contents While the Fund expects to maintain substantially all of its assets in shares of the Underlying Funds at all times, the Fund may hold some residual amount of assets in obligations of the United States government (“Treasury Securities”) or cash equivalents, and/or merely hold such assets in cash (generally in interest-bearing accounts). The Underlying Funds invest in Commodity Interests to the fullest extent possible without being leveraged or unable to satisfy their expected current or potential margin or collateral obligations with respect to their investments in Commodity Interests. After fulfilling such margin and collateral requirements, the Underlying Funds will invest the remainder of the proceeds from the sale of baskets in short term Treasury Securities or cash equivalents, and/or merely hold such assets in cash. Therefore, the focus of the Sponsor in managing the Underlying Funds is investing in Commodity Interests and in cash and/or cash equivalents. The Fund and Underlying Funds will seek to earn interest income from the short term Treasury Securities and/or cash equivalents that it purchases and on the cash, it holds through the Fund’s custodian. The accompanying unaudited financial statements have been prepared in accordance with Rule 10-01 of Regulation S-X promulgated by the SEC and, therefore, do not include all information and footnote disclosures required under accounting principles generally accepted in the United States of America (“GAAP”). The financial information included herein is unaudited; however, such financial information reflects all adjustments which are, in the opinion of management, necessary for the fair presentation of the Fund’s financial statements for the interim period. It is suggested that these interim financial statements be read in conjunction with the financial statements and related notes included in the Trust’s Annual Report on Form 10-K, as well as the most recent Form S-1 filing, as applicable. The operating results for the three and nine months ended September 30, 2021 are not necessarily indicative of the results to be expected for the full year ending December 31, 2021. Subject to the terms of the Trust Agreement, Teucrium Trading, LLC, in its capacity as the Sponsor (“Sponsor”), may terminate a Fund at any time, regardless of whether the Fund has incurred losses, including, for instance, if it determines that the Fund’s aggregate net assets in relation to its operating expenses make the continued operation of the Fund unreasonable or imprudent. However, no level of losses will require the Sponsor to terminate a Fund. Note 2 – Principal Contracts and Agreements The Sponsor employs U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services ("Global Fund Services"), for Transfer Agency, Fund Accounting and Fund Administration services. The principal address for Global Fund Services is 615 E. Michigan Street, Milwaukee, WI 53202. For custody services, the Funds will pay to U.S. Bank N.A. 0.0075% of average gross assets up to $1 billion, and .0050% of average gross assets over $1 billion, annually, plus certain per-transaction charges. For Transfer Agency, Fund Accounting and Fund Administration services, which are based on the total assets for all the Funds in the Trust, the Funds will pay to Global Fund Services 0.05% of average gross assets on the first $500 million, 0.04% on the next $500 million, 0.03% on the next $2 billion and 0.02% on the balance over $3 billion annually. A combined minimum annual fee of up to $47,000 for custody, transfer agency, accounting and administrative services is assessed per Fund. These services are recorded as custodian fees and expenses on the statements of operations. A summary of these expenses is included below. The Sponsor employs Foreside Fund Services, LLC (“Foreside” or the “Distributor”) as the Distributor for the Funds. The Distribution Services Agreement among the Distributor and the Sponsor calls for the Distributor to work with the Custodian in connection with the receipt and processing of orders for Creation Baskets and Redemption Baskets and the review and approval of all Fund sales literature and advertising materials. The Distributor and the Sponsor have also entered into a Securities Activities and Service Agreement (the “SASA”) under which certain employees and officers of the Sponsor are licensed as registered representatives or registered principals of the Distributor, under Financial Industry Regulatory Authority (“FINRA”) rules. For its services as the Distributor, Foreside receives a fee of 0.01% of each Fund’s average daily net assets and an aggregate annual fee of $100,000 for all Funds, along with certain expense reimbursements. For its services under the SASA, Foreside receives a fee of $5,000 per registered representative and $1,000 per registered location. These services are recorded as distribution and marketing fees on the statements of operations. A summary of these expenses is included below. Pursuant to a Consulting Services Agreement, Foreside Consulting Services, LLC, performs certain consulting support services for the Trust's Sponsor. Additionally, Foreside Distributors, LLC performs certain distribution consulting services pursuant to a Distribution Consulting Agreement with the Sponsor. E D & F Man Capital Markets, Inc. (“E D & F Man”) serves as the Underlying Funds’ clearing broker to execute and clear the Underlying Funds’ futures and provide other brokerage-related services. E D & F Man is registered as a futures commission merchant (“FCM”) with the U.S. CFTC and is a member of the NFA. E D & F Man is also registered as a broker/dealer with the SEC and is a member of FNRA. E D & 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 E D & 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. 102 Table of Contents The sole Trustee of the Trust is Wilmington Trust Company, a Delaware banking corporation. The Trustee will accept service of legal process on the Trust in the State of Delaware and will make certain filings under the Delaware Statutory Trust Act. For its services, the Trustee receives an annual fee of $ 3,300 from the Trust. These services are recorded in business permits and licenses fees on the statements of operations. A summary of these expenses is included below. The Sponsor employs Thales Capital Partners LLC (“Thales”) for distribution and solicitation-related services. Thales is registered as a Broker-Dealer with the SEC and a member of FINRA and the Securities Investor Protection Corporation (“SIPC”). Thales receives a quarterly fee of the higher of $18,750 or 0.10% of new assets raised in referred accounts for distribution and solicitation-related services. This fee based on new assets raised 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 month ended Three month ended Nine month ended Nine month ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 Amount Recognized for Custody Services $ 2,533 $ 395 $ 4,258 $ 1,461 Amount of Custody Services Waived $ 2,299 $ 395 $ 4,024 $ 1,461 Amount Recognized for Distribution Services $ 1,016 $ 155 $ 2,043 $ 618 Amount of Distribution Services Waived $ 1,016 $ 155 $ 1,885 $ 618 Amount Recognized for Wilmington Trust $ 108 $ - $ 108 $ - Amount of Wilmington Trust Waived $ 108 $ - $ 108 $ - Amount Recognized for Thales $ 2,196 $ 101 $ 3,954 $ 365 Amount of Thales Waived $ 2,196 $ 101 $ 3,954 $ 365 Note 3 – Summary of Significant Accounting Policies Basis of Presentation The accompanying financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) as detailed in the Financial Accounting Standards Board’s Accounting Standards Codification. Revenue Recognition Investment transactions are accounted for on a trade-date basis. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized appreciation or depreciation on investments are reflected in the statements of operations as the difference between the original amount and the fair market value as of the last business day of the year or as of the last date of the financial statements. Changes in the appreciation or depreciation between periods are reflected in the statements of operations. Brokerage Commissions 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. 103 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 2018 to 2020, 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 September 30, 2021 and for the years ended December 31, 2020, 2019 and 2018. 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 nine months ended September 30, 2021 and 2020. 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 received in good order. Authorized Purchasers may redeem shares from the Fund only in blocks of 12,500 shares called “Redemption Baskets.” The amount of the redemption proceeds for a Redemption Basket will be equal to the NAV of the shares in the Redemption Basket determined as of 4:00 p.m. (EST) on the day the order to redeem the basket is received in good order. The Fund will receive the proceeds from shares sold or will pay for redeemed shares within three business days after the trade date of the purchase or redemption, respectively. The amounts due from Authorized Purchasers will be reflected in the Fund’s statements of assets and liabilities as capital shares receivable. Amounts payable to Authorized Purchasers upon redemption will be reflected in the Fund’s statements of assets and liabilities as payable for shares redeemed. As outlined in the most recent Form S-1 filing, 50,000 shares 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. 104 Table of Contents Cash Equivalents Cash equivalents are highly liquid investments with maturity dates of 90 days or less when acquired. The Fund reported its cash equivalents in the statements of assets and liabilities at market value, or at carrying amounts that approximate fair value, because of their highly-liquid nature and short term maturities. The Fund has these balances of its assets on deposit with banks. Assets deposited with a financial institution may, at times, exceed federally insured limits. TAGS had a balance of $ 4,754 and $ 2,786 in money market funds at September 30, 2021 and December 31, 2020, respectively; these balances are included in cash equivalents on the statements of assets and liabilities. Payable/Receivable for Securities Purchased/Sold Due from/to broker for investments in securities are securities transactions pending settlement. The Fund is subject to credit risk to the extent any broker with whom it conducts business is unable to fulfill contractual obligations on its behalf. The management of the Fund monitors the financial condition of such brokers and does not anticipate any losses from these counterparties. Calculation of Net Asset Value The Fund’s NAV is calculated by: • Taking the current market value of its total assets and • Subtracting any liabilities. The administrator, Global Fund Services, will calculate the NAV of the Fund once each trading day. It will calculate the NAV as of the earlier of the close of the New York Stock Exchange or 4:00 p.m. (EST). The NAV for a particular trading day will be released after 4:15 p.m. (EST). For purposes of determining the Fund’s NAV, the Fund’s investments in the Underlying Funds will be valued based on the Underlying Funds’ NAVs. In turn, in determining the value of the Futures Contracts held by the Underlying Funds, the Administrator will use the closing price on the exchange on which they are traded. The Administrator will determine the value of all other Funds and Underlying Fund investments as of the earlier of the close of the New York Stock Exchange or 4:00 p.m. (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. 105 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 Three months ended Nine months ended Nine months ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 Recognized Related Party Transactions $ 13,353 $ 1,973 $ 28,460 $ 8,174 Waived Related Party Transactions $ 13,353 $ 1,594 $ 24,406 $ 7,374 The Sponsor has the ability to elect to pay certain expenses on behalf of the Funds or waive the management fee. This election is subject to change by the Sponsor, at its discretion. Expenses paid by the Sponsor and Management fees waived by the Sponsor are, if applicable, presented as waived expenses in the statements of operations for each Fund. The Sponsor has determined that there will be no recovery sought for the amounts below in any future period: TAGS Three months ended September 30, 2021 $ 28,946 Three months ended September 30, 2020 $ 2,784 Nine months ended September 30, 2021 $ 64,541 Nine months ended September 30, 2020 $ 33,287 Expenses Expenses are recorded using the accrual method of accounting. Use of Estimates The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of the revenue and expenses during the reporting period. Actual results could differ from those estimates. New Accounting Pronouncements The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2021-05: “Leases (Topic 842).” Under the amended guidance, a lessor should classify and account for a lease with variable lease payments that don’t depend on an index or a rate as an operating lease if the lease would’ve been classified as a sales-type lease or a direct financing lease in accordance with the lease classification guidance in Topic 842 and the lessor would’ve otherwise recognized a day-one loss. The amendment was adopted early for the quarter ended September 30, 2021; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued ASU 2020-10: “Codification Improvements.” The amendment improves the disclosure guidance in appropriate Disclosure Sections, without resulting in changes to current GAAP. The amendment is effective for annual periods beginning after December 15, 2020. The amendment was adopted for the quarter ended March 31, 2021; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued 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 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 were adopted for the quarter ended September 30, 2020; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. 106 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 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 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. The amendments were adopted for the quarter ended September 30, 2020; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. Fair Value - Definition and Hierarchy In accordance with GAAP, fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e., the “exit price”) in an orderly transaction between market participants at the measurement date. In determining fair value, the Fund uses various valuation approaches. In accordance with GAAP, a fair value hierarchy for inputs is used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s assumptions about the inputs market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The fair value hierarchy is categorized into three levels based on the inputs as follows: Level 1 - Valuations based on unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access. Valuation adjustments and block discounts are not applied to Level 1 financial instruments of the Underlying Funds and securities of the Fund, together the “financial instruments”. Since valuations are based on quoted prices that are readily and regularly available in an active market, valuation of these financial instruments does not entail a significant degree of judgment. Level 2 - Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. Level 3 - Valuations based on inputs that are unobservable and significant to the overall fair value measurement. The availability of valuation techniques and observable inputs can vary from financial instrument to financial instrument and is affected by a wide variety of factors including, the type of financial instrument, whether the financial instrument is new and not yet established in the marketplace, and other characteristics particular to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Those estimated values do not necessarily represent the amounts that may be ultimately realized due to the occurrence of future circumstances that cannot be reasonably determined. Because of the inherent uncertainty of valuation, those estimated values may be materially higher or lower than the values that would have been used had a ready market for the financial instruments existed. Accordingly, the degree of judgment exercised by the Fund in determining fair value is greatest for financial instruments categorized in Level 3. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy, within which the fair value measurement in its entirety falls, is determined based on the lowest level input that is significant to the fair value measurement. On September 30, 2021 and December 32, 2020, 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. 107 Table of Contents For the quarter ended June 30, 2021, Corn Futures Contracts for the Sep21 and Dec21 CBOT corn futures contracts, settled in a “limit up” condition on June 30, 2021. Therefore, the Trust and CORN have used alternative verifiable sources to value these contracts on June 30, 2021, and the financial statements of these funds including TAGS, due to the NAV adjustments for the Underlying Fund, were adjusted accordingly. The adjustment in CORN resulted in a $ 10,393 increase in the investment in the Underlying Funds which were classified as a Level 2 asset for the period ended June 30, 2021. For the period ended September 30, 2021, the CORN shares were classified as a Level 1 asset. For the quarter ended March 31, 2021 Corn Futures Contracts for Jul21 CBOT corn futures, Sep21 CBOT corn futures, Dec21 CBOT corn futures, and Soybean Futures Contracts for Jul21 CBOT soybean futures, and the Nov21 CBOT soybean futures, settled in a “limit up” condition. Accordingly, the Trust, CORN, and SOYB classified these as Level 2 assets. The financial statements of these funds including TAGS, due to the NAV adjustment for each of these Underlying Funds, were adjusted accordingly. The adjustment in CORN and SOYB resulted in a $ 30,191 increase in the investment in the Underlying Funds, which were classified as a Level 2 asset for the period ended March 31, 2021. For the period ended June 30, 2021, the SOYB shares were classified as a Level 1 asset. Net Income (Loss) per Share Net income (loss) per share is the difference between the NAV per unit at the beginning of each period and at the end of each period. The weighted average number of units outstanding was computed for purposes of disclosing net income (loss) per weighted average unit. The weighted average units are equal to the number of units outstanding at the end of the period, adjusted proportionately for units created or redeemed based on the amount of time the units were outstanding during such period. Note 4 – Fair Value Measurements The Fund’s assets and liabilities recorded at fair value have been categorized based upon a fair value hierarchy as described in the Fund’s significant accounting policies in Note 3. The following table presents information about the Fund’s assets and liabilities measured at fair value as of September 30, 2021 and December 31, 2020: September 30, 2021 Assets: Level 1 Level 2 Level 3 Balance as of September 30, 2021 Exchange Traded Funds $ 8,541,105 $ - $ - $ 8,541,105 Cash Equivalents 4,754 - - 4,754 Total $ 8,545,859 $ - $ - $ 8,545,859 December 31, 2020 Assets: Level 1 Level 2 Level 3 Balance as of December 31, 2020 Exchange Traded Funds $ 1,582,262 $ - $ - $ 1,582,262 Cash Equivalents 2,786 - - 2,786 Total $ 1,585,048 $ - $ - $ 1,585,048 On September 30, 2021 and December 31, 2020, 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. For the quarter ended June 30, 2021, Corn Futures Contracts for the Sep21 and Dec21 CBOT corn futures contracts settled in a “limit up” condition. Accordingly, the Trust and CORN classified these as Level 2 assets. The financial statements of these funds including TAGS, due to the NAV adjustments for each of the impacted Underlying Funds were adjusted accordingly. The adjustment in CORN resulted in a $10,383 increase in the investment of the Underlying Funds due to the increase in unrealized gain in the Corn Fund, and classified these Corn Fund shares as a Level 2 asset for the period ended June 30, 2021 . For the period ended September 30, 2021, the CORN shares were classified as a Level 1 asset. 108 Table of Contents For the quarter ended March 31, 2021 Corn Futures Contracts for Jul21 CBOT corn futures, Sep21 CBOT corn futures, Dec21 CBOT corn futures, and Soybean Futures Contracts for Jul21 CBOT soybean futures, and the Nov21 CBOT soybean futures, settled in a “limit up” condition. Accordingly, the Trust, CORN, and SOYB classified these as Level 2 assets. The financial statements of these funds including TAGS, due to the NAV adjustment for each of these Underlying Funds, were adjusted accordingly. The adjustment in CORN and SOYB resulted in a $ 30,191 increase in the investment in the Underlying Funds, which were classified as a Level 2 asset for the period ended March 31, 2021. For the period ended June 30, 2021, the SOYB shares were classified as a Level 1 asset. The CORN shares remained a Level 2 asset as described above. For the year ended December 31, 2020, the Fund did not have any transfers between any of the level 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 – Financial Highlights The following table presents per unit performance data and other supplemental financial data for the three and nine months ended September 30, 2021 and 2020. 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 Nine months ended Nine months ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 Per Share Operation Performance Net asset value at beginning of period $ 26.06 $ 16.77 $ 21.12 $ 19.72 Income (loss) from investment operations: Net realized and unrealized gain (loss) on investment transactions 0.23 1.69 5.19 ( 1.24 ) Total expenses, net ( 0.01 ) ( 0.01 ) ( 0.03 ) ( 0.03 ) Net increase (decrease) in net asset value 0.22 1.68 5.16 ( 1.27 ) Net asset value at end of period $ 26.28 $ 18.45 $ 26.28 $ 18.45 Total Return 0.84 % 10.03 % 24.40 % ( 6.43 )% Ratios to Average Net Assets (Annualized) Total expenses 1.42 % 1.22 % 1.39 % 3.74 % Total expenses, net 0.18 % 0.20 % 0.19 % 0.20 % Net investment loss ( 0.18 )% ( 0.20 )% ( 0.19 )% ( 0.20 )% The financial highlights per share data are calculated consistent with the methodology used to calculate asset-based fees and expenses. Note 6 – Organizational and Offering Costs Expenses incurred in organizing of the Trust and the initial offering of the Shares of the Fund, including applicable SEC registration fees, were borne directly by the Sponsor. The Fund will not be obligated to reimburse the Sponsor. Note 7 – Subsequent Events Management has evaluated the financial statements for the quarter-ended September 30, 2021 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 continued uncertainty of COVID-19 may continue to 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. 109 Table of Contents