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 March 31, 2022 (Unaudited) and December 31, 2021 4 Combined Schedule of Investments at March 31, 2022 (Unaudited) and December 31, 2021 5 Combined Statements of Operations (Unaudited) for the three months ended March 31, 2022 and 2021 7 Combined Statements of Changes in Net Assets (Unaudited) for the three months ended March 31, 2022 and 2021 8 Combined Statements of Cash Flows (Unaudited) for the three months ended March 31, 2022 and 2021 9 Notes to Combined Financial Statements 10 TEUCRIUM CORN FUND Statements of Assets and Liabilities at March 31, 2022 (Unaudited) and December 31, 2021 23 Schedule of Investments at March 31, 2022 (Unaudited) and December 31, 2021 24 Statements of Operations (Unaudited) for the three months ended March 31, 2022 and 2021 26 Statements of Changes in Net Assets (Unaudited) for the three months ended March 31, 2022 and 2021 27 Statements of Cash Flows (Unaudited) for the three months ended March 31, 2022 and 2021 28 Notes to Financial Statements 29 TEUCRIUM SOYBEAN FUND Statements of Assets and Liabilities at March 31, 2022 (Unaudited) and December 31, 2021 41 Schedule of Investments at March 31, 2022 (Unaudited) and December 31, 2021 42 Statements of Operations (Unaudited) for the three months ended March 31, 2022 and 2021 44 Statements of Changes in Net Assets (Unaudited) for the three months ended March 31, 2022 and 2021 45 Statements of Cash Flows (Unaudited) for the three months ended March 31, 2022 and 2021 46 Notes to Financial Statements 47 TEUCRIUM SUGAR FUND Statements of Assets and Liabilities at March 31, 2022 (Unaudited) and December 31, 2021 59 Schedule of Investments at March 31, 2022 (Unaudited) and December 31, 2021 60 Statements of Operations (Unaudited) for the three months ended March 31, 2022 and 2021 62 Statements of Changes in Net Assets (Unaudited) for the three months ended March 31, 2022 and 2021 63 Statements of Cash Flows (Unaudited) for the three months ended March 31, 2022 and 2021 64 Notes to Financial Statements 65 TEUCRIUM WHEAT FUND Statements of Assets and Liabilities at March 31, 2022 (Unaudited) and December 31, 2021 77 Schedule of Investments at March 31, 2022 (Unaudited) and December 31, 2021 78 Statements of Operations (Unaudited) for the three months ended March 31, 2022 and 2021 80 Statements of Changes in Net Assets (Unaudited) for the three months ended March 31, 2022 and 2021 81 Statements of Cash Flows (Unaudited) for the three months ended March 31, 2022 and 2021 82 Notes to Financial Statements 83 TEUCRIUM AGRICULTURAL FUND Statements of Assets and Liabilities at March 31, 2022 (Unaudited) and December 31, 2021 95 Schedule of Investments at March 31, 2022 (Unaudited) and December 31, 2021 96 Statements of Operations (Unaudited) for the three months ended March 31, 2022 and 2021 98 Statements of Changes in Net Assets (Unaudited) for the three months ended March 31, 2022 and 2021 99 Statements of Cash Flows (Unaudited) for the three months ended March 31, 2022 and 2021 100 Notes to Financial Statements 101 3 Table of Contents TEUCRIUM COMMODITY TRUST COMBINED STATEMENTS OF ASSETS AND LIABILITIES March 31, 2022 December 31, 2021 (Unaudited) Assets Cash and cash equivalents $ 751,108,567 $ 252,211,943 Interest receivable 47,117 16,982 Other assets 10,845 1,000 Receivable for securities sold 3,260,269 - Equity in trading accounts: Commodity futures contracts 31,336,911 13,415,301 Due from broker 81,975,541 613,126 Total equity in trading accounts 113,312,452 14,028,427 Total assets $ 867,739,250 $ 266,258,352 Liabilities Management fee payable to Sponsor $ 552,564 $ 227,779 Payable for purchases of commercial paper 19,985,993 - Other liabilities 211,650 129,453 Payable for Shares redeemed 3,260,840 - Equity in trading accounts: Commodity futures contracts 33,791,659 735,475 Due to broker 5,452,692 888,877 Total equity in trading accounts 39,244,351 1,624,352 Total liabilities $ 63,255,398 $ 1,981,584 Net Assets $ 804,483,852 $ 264,276,768 The accompanying notes are an integral part of these financial statements. 4 Table of Contents TEUCRIUM COMMODITY TRUST COMBINED SCHEDULE OF INVESTMENTS March 31, 2022 (Unaudited) Percentage of Description: Assets Fair Value Net Assets Shares Cash equivalents Money market funds First American Government Obligations Fund - Class X (cost: $329,275,142) $ 329,275,142 40.93 % 329,275,142 Goldman Sachs Financial Square Government Fund - Institutional Class (cost: $144,866) 144,866 0.02 144,866 Total money market funds (cost: $329,420,008) $ 329,420,008 40.95 % Principal Amount Commercial Paper Albemarle Corporation (cost: $14,992,416 due: 04/04/2022) $ 14,999,125 1.86 % 15,000,000 Albemarle Corporation (cost: $4,997,584 due: 04/07/2022) 4,999,500 0.62 5,000,000 AT&T Inc. (cost: $2,498,979 due: 04/11/2022) 2,499,757 0.31 2,500,000 AT&T Inc. (cost: $4,998,136 due: 04/13/2022) 4,999,634 0.62 5,000,000 AT&T Inc. (cost: $7,496,800 due: 04/13/2022) 7,499,400 0.93 7,500,000 AT&T Inc. (cost: $4,996,446 due: 05/02/2022) 4,998,623 0.62 5,000,000 Brookfield Infrastructure Holdings (Canada) Inc. (cost: $4,992,416 due: 05/05/2022) 4,995,042 0.62 5,000,000 Brookfield Infrastructure Holdings (Canada) Inc. (cost: $7,490,706 due: 05/03/2022) 7,493,535 0.93 7,500,000 Brookfield Infrastructure Holdings (Canada) Inc. (cost: $4,993,472 due: 05/10/2022) 4,994,584 0.62 5,000,000 Canadian Natural Resources Limited (cost: $9,994,000 due: 04/25/2022) 9,994,000 1.24 10,000,000 Cigna Corporation (cost: $9,994,030 due: 04/27/2022) 9,998,196 1.24 10,000,000 Cigna Corporation (cost: $4,994,118 due: 05/13/2022) 4,996,792 0.62 5,000,000 Cigna Corporation (cost: $4,993,334 due: 05/16/2022) 4,996,000 0.62 5,000,000 Crown Castle International Corp. (cost: $9,985,944 due: 05/12/2022) 9,986,903 1.24 10,000,000 Crown Castle International Corp. (cost: $9,995,000 due: 04/19/2022) 9,995,500 1.24 10,000,000 Enbridge (U.S.) Inc. (cost: $7,496,583 due: 04/04/2022) 7,499,874 0.93 7,500,000 Enbridge (U.S.) Inc. (cost: $4,992,922 due: 05/16/2022) 4,994,312 0.62 5,000,000 FMC Corporation (cost: $7,495,750 due: 04/11/2022) 7,498,229 0.93 10,000,000 FMC Corporation (cost: $9,992,268 due: 04/21/2022) 9,994,667 1.24 10,000,000 General Motors Financial Company, Inc. (cost: $9,991,833 due: 04/25/2022) 9,997,667 1.24 10,000,000 General Motors Financial Company, Inc. (cost: $4,997,375 due: 04/12/2022) 4,998,931 0.62 5,000,000 General Motors Financial Company, Inc. (cost: $4,988,128 due: 06/08/2022) 4,990,274 0.62 5,000,000 Glencore Funding LLC (cost: $12,494,877 due: 04/08/2022) 12,499,430 1.55 12,500,000 Harley-Davidson Financial Services, Inc. (cost: $4,997,525 due: 04/04/2022) 4,999,908 0.62 5,000,000 Harley-Davidson Financial Services, Inc. (cost: $9,991,993 due: 05/02/2022) 9,991,993 1.24 10,000,000 HP Inc. (cost: $14,993,000 due: 04/18/2022) 14,994,333 1.86 15,000,000 Humana Inc. (cost: $2,498,946 due: 04/01/2022) 2,500,000 0.31 2,500,000 Humana Inc. (cost: $9,993,779 due: 04/11/2022) 9,997,779 1.24 10,000,000 ITT Inc. (cost: $4,993,500 due: 05/17/2022) 4,996,166 0.62 5,000,000 Jabil Inc. (cost: $14,994,334 due: 04/08/2022) 14,997,667 1.86 15,000,000 Jabil Inc. (cost: $4,996,868 due: 04/18/2022) 4,998,702 0.62 5,000,000 Verizon Communications Inc. (cost: $4,992,667 due: 05/24/2022) 4,995,583 0.62 5,000,000 Verizon Communications Inc. (cost: $4,992,808 due: 05/25/2022) 4,995,432 0.62 5,000,000 Viatris Inc. (cost: $9,997,250 due: 04/01/2022) 10,000,000 1.24 10,000,000 Walgreens Boots Alliance, Inc. (cost: $4,993,048 due: 05/25/2022) 4,993,174 0.62 5,000,000 WGL Holdings, Inc. (cost: $9,993,232 due: 04/22/2022) 9,994,924 1.24 10,000,000 Total Commercial Paper (total cost: $272,292,067) $ 272,375,636 33.86 % Total Cash Equivalents $ 601,795,644 74.81 % Notional Amount (Long Exposure) Commodity futures contracts United States corn futures contracts CBOT corn futures JUL22 (2,098 contracts) $ 9,417,981 1.17 % $ 76,891,700 CBOT corn futures SEP22 (1,920 contracts) 2,195,067 0.27 66,840,000 CBOT corn futures DEC22 (2,293 contracts) 14,217,833 1.77 78,391,938 United States soybean futures contracts CBOT soybean futures JUL22 (281 contracts) 1,628,761 0.20 22,451,900 CBOT soybean futures NOV22 (270 contracts) 1,938,447 0.24 19,176,750 CBOT soybean futures NOV23 (345 contracts) 32,360 0.00 22,619,063 United States sugar futures contracts ICE sugar futures JUL22 (413 contracts) 400,836 0.05 8,936,659 ICE sugar futures OCT22 (353 contracts) 572,602 0.07 7,646,262 ICE sugar futures MAR23 (409 contracts) 933,024 0.12 8,914,237 Total commodity futures contracts $ 31,336,911 3.89 % $ 311,868,509 Percentage of Notional Amount Description: Liabilities Fair Value Net Assets (Long Exposure) Commodity futures contracts United States wheat futures contracts CBOT wheat futures JUL22 (3,442 contracts) $ 18,081,912 2.25 % $ 172,444,200 CBOT wheat futures SEP22 (2,991 contracts) 12,040,392 1.50 147,904,950 CBOT wheat futures DEC22 (3,543 contracts) 3,669,355 0.46 172,322,663 Total commodity futures contracts $ 33,791,659 4.21 % $ 492,671,813 Exchange-traded funds* Shares Teucrium Corn Fund $ 7,561,011 0.94 % 278,273 Teucrium Soybean Fund 7,138,765 0.89 266,763 Teucrium Sugar Fund 7,315,073 0.91 760,450 Teucrium Wheat Fund 7,191,736 0.89 731,745 Total exchange-traded funds (cost $4,934,589) $ 29,206,585 3.63 % *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, 2021 Percentage of Description: Assets Fair Value Net Assets Shares Cash equivalents Money market funds First American Government Obligations Fund - Class X 0.026% (cost $30,443,449) $ 30,443,449 11.52 % 30,443,449 Goldman Sachs Financial Square Government Fund - Institutional Class 0.030% (cost $2,525,384) 2,525,384 0.96 2,525,384 Total money market funds $ 32,968,833 12.48 % Principal Amount Commercial Paper Albemarle Corporation 0.181% (cost: $9,996,324 due 01/31/2022) $ 9,998,489 3.78 % 10,000,000 Albemarle Corporation 0.200% (cost: $4,998,834 due 01/11/2022) 4,999,722 1.89 5,000,000 Brookfield Infrastructure Holdings (Canada) Inc. 0.170% (cost: $2,499,021 due 01/25/2022) 2,499,717 0.95 2,500,000 Conagra Brands, Inc. 0.160% (cost: $7,497,300 due 01/05/2022) 7,499,867 2.84 7,500,000 Conagra Brands, Inc. 0.150% (cost: $4,998,710 due 01/18/2022) 4,999,646 1.89 5,000,000 General Motors Financial Company, Inc. 0.160% (cost: $4,998,000 due 01/06/2022) 4,999,889 1.89 5,000,000 General Motors Financial Company, Inc. 0.200% (cost: $9,995,111 due 01/31/2022) 9,998,333 3.78 10,000,000 General Motors Financial Company, Inc. 0.160% (cost: $4,998,800 due 01/03/2022) 4,999,956 1.89 5,000,000 Harley-Davidson Financial Services, Inc. 0.167% (cost: $9,996,061 due 01/13/2022) 9,999,444 3.78 10,000,000 Harley-Davidson Financial Services, Inc. 0.170% (cost: $4,997,876 due 02/01/2022) 4,999,268 1.89 5,000,000 Harley-Davidson Financial Services, Inc. 0.250% (cost: $4,997,328 due 03/02/2022) 4,997,918 1.89 5,000,000 Humana Inc. 0.140% (cost: $4,998,425 due 01/07/2022) 4,999,883 1.89 5,000,000 Jabil Inc. 0.250% (cost: $2,499,219 due 01/20/2022) 2,499,670 0.95 2,500,000 Jabil Inc. 0.300% (cost: $7,496,063 due 02/08/2022) 7,497,625 2.84 7,500,000 Jabil Inc. 0.310% (cost: $4,996,900 due 02/25/2022) 4,997,632 1.89 5,000,000 Viatris Inc. 0.250% (cost: $4,997,466 due 02/11/2022) 4,998,577 1.89 5,000,000 Viatris Inc. 0.300% (cost: $4,996,625 due 02/11/2022) 4,998,292 1.89 5,000,000 Viatris Inc. 0.310% (cost: $4,996,986 due 03/01/2022) 4,997,460 1.89 5,000,000 Viatris Inc. 0.200% (cost: $4,998,584 due 01/21/2022) 4,999,444 1.89 5,000,000 WGL Holdings, Inc. 0.220% (cost: $4,998,686 due 01/12/2022) 4,999,664 1.89 5,000,000 WGL Holdings, Inc. 0.187% (cost: $4,998,700 due 01/06/2022) 4,999,870 1.89 5,000,000 Total Commercial Paper (total cost: $119,951,019) $ 119,980,366 45.38 % Total Cash Equivalents $ 152,949,199 57.86 % Notional Amount (Long Exposure) Commodity futures contracts United States corn futures contracts CBOT corn futures MAY22 (1,418 contracts) $ 3,767,282 1.43 % $ 42,185,500 CBOT corn futures JUL22 (1,218 contracts) 196,244 0.07 36,144,150 CBOT corn futures DEC22 (1,558 contracts) 1,973,026 0.75 42,533,400 United States soybean futures contracts CBOT soybean futures MAR22 (234 contracts) 591,547 0.22 15,669,225 CBOT soybean futures MAY22 (199 contracts) 1,008,504 0.38 13,422,550 CBOT soybean futures NOV22 (250 contracts) 1,084,800 0.41 15,865,625 United States sugar futures contracts ICE sugar futures MAY22 (381 contracts) 225,299 0.09 7,936,992 ICE sugar futures MAR23 (392 contracts) 853,927 0.32 8,091,507 United States wheat futures contracts CBOT wheat futures MAY22 (687 contracts) 1,809,796 0.68 26,595,488 CBOT wheat futures DEC22 (686 contracts) 1,904,876 0.72 26,411,000 Total commodity futures contracts $ 13,415,301 5.07 % $ 234,855,437 Percentage of Notional Amount Description: Liabilities Fair Value Net Assets (Long Exposure) Commodity futures contracts United States sugar futures contracts ICE sugar futures JUL22 (331 contracts) $ 80,506 0.03 % $ 6,817,541 United States wheat futures contracts CBOT wheat futures JUL22 (593 contracts) 654,969 0.25 22,667,425 Total commodity futures contracts $ 735,475 0.28 % $ 29,484,966 Exchange-traded funds* Shares Teucrium Corn Fund $ 3,537,560 1.34 % 163,930 Teucrium Soybean Fund 3,538,006 1.34 155,374 Teucrium Sugar Fund 3,591,878 1.36 389,317 Teucrium Wheat Fund 3,510,575 1.33 475,836 Total exchange-traded funds (cost $12,799,498) $ 14,178,019 5.37 % *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 March 31, 2022 March 31, 2021 Income Realized and unrealized gain (loss) on trading of commodity futures contracts: Realized gain on commodity futures contracts $ 61,698,411 $ 41,123,865 Net change in unrealized depreciation on commodity futures contracts ( 15,134,574 ) ( 13,065,298 ) Interest income 219,986 166,569 Total income $ 46,783,823 $ 28,225,136 Expenses Management fees 1,005,770 863,057 Professional fees 409,853 378,608 Distribution and marketing fees 760,077 754,641 Custodian fees and expenses 31,520 101,645 Business permits and licenses fees 53,826 76,102 General and administrative expenses 58,161 58,937 Total expenses 2,319,207 2,232,990 Expenses waived by the Sponsor ( 345,518 ) ( 252,184 ) Total expenses, net $ 1,973,689 $ 1,980,806 Net income $ 44,810,134 $ 26,244,330 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) Three months ended Three months ended March 31, 2022 March 31, 2021 Operations Net income $ 44,810,134 $ 26,244,330 Capital transactions Issuance of Shares 642,775,455 77,934,020 Redemption of Shares ( 134,827,947 ) ( 55,539,708 ) Net change in the cost of the Underlying Funds ( 12,550,558 ) ( 3,396,050 ) Total capital transactions 495,396,950 18,998,262 Net change in net assets $ 540,207,084 $ 45,242,592 Net assets, beginning of period $ 264,276,768 $ 310,113,194 Net assets, end of period $ 804,483,852 $ 355,355,786 The accompanying notes are an integral part of these financial statements. 8 Table of Contents TEUCRIUM COMMODITY TRUST COMBINED STATEMENTS OF CASH FLOWS (Unaudited) Three months ended Three months ended March 31, 2022 March 31, 2021 Cash flows from operating activities: Net income $ 44,810,134 $ 26,244,330 Adjustments to reconcile net income to net cash provided by (used in) operating activities: Net change in unrealized depreciation on commodity futures contracts 15,134,574 13,065,298 Changes in operating assets and liabilities: Due from broker ( 81,362,415 ) ( 8,804,038 ) Interest receivable ( 30,135 ) ( 891 ) Net receivable for investments sold ( 3,260,269 ) - Other assets ( 9,845 ) 13 Due to broker 4,563,815 ( 27,130,293 ) Management fee payable to Sponsor 324,785 46,195 Payable for purchases of commercial paper 19,985,993 ( 9,995,298 ) Other liabilities 82,197 65,585 Net cash provided by (used in) operating activities 238,834 ( 6,509,099 ) Cash flows from financing activities: Proceeds from sale of Shares 642,775,455 78,241,850 Redemption of Shares ( 131,567,107 ) ( 59,944,623 ) Net change in cost of the Underlying Funds ( 12,550,558 ) ( 3,396,050 ) Net cash provided by financing activities 498,657,790 14,901,177 Net change in cash and cash equivalents 498,896,624 8,392,078 Cash and cash equivalents, beginning of period 252,211,943 309,378,295 Cash and cash equivalents, end of period $ 751,108,567 $ 317,770,373 The accompanying notes are an integral part of these financial statements. 9 Table of Contents NOTES TO COMBINED FINANCIAL STATEMENTS March 31, 2022 (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 April 7, 2022. This registration statement for CORN registered an indeterminate number of shares. On June 13, 2011, the initial Forms S-1 for CANE, SOYB, and WEAT were declared effective by the SEC. On September 16, 2011, two Creation Baskets were issued for each Fund, representing 100,000 shares and $ 2,500,000 , for CANE, SOYB, and WEAT. On September 19, 2011, CANE, SOYB, and WEAT started trading on the NYSE Arca. The current registration statements for CANE and SOYB were declared effective by the SEC on April 7, 2022. The registration statements for SOYB and CANE registered an indeterminate number of shares each. The current registration statement for WEAT was declared effective on March 9, 2022. This registration statement for WEAT registered an indeterminate number of shares. On February 10, 2012, the Form S-1 for TAGS was declared effective by the SEC. On March 27, 2012, six Creation Baskets for TAGS were issued representing 300,000 shares and $ 15,000,000 . TAGS began trading on the NYSE Arca on March 28, 2012. The current registration statement for TAGS was declared effective by the SEC on April 7, 2022. This registration statement for TAGS registered an indeterminate number of shares. Teucrium Trading, LLC is the sponsor (“Sponsor”) of the Trust. The Sponsor is a member of the National Futures Association (the “NFA”) and became a commodity pool operator (“CPO”) registered with the Commodity Futures Trading Commission (the “CFTC”) effective November 10, 2009. The Sponsor registered as a Commodity Trading Advisor (“CTA”) with the CFTC effective September 8, 2017. The accompanying unaudited financial statements have been prepared in accordance with Rule 10-01 of Regulation S-X promulgated by the SEC and, therefore, do not include all information and footnote disclosures required under accounting principles generally accepted in the United States of America (“GAAP”). The financial information included herein is unaudited; however, such financial information reflects all adjustments which are, in the opinion of management, necessary for the fair presentation of the Trust’s financial statements for the interim period. It is suggested that these interim financial statements be read in conjunction with the audited financial statements and related notes included in the Trust’s Annual Report on Form 10-K, as well as the most recent Form S-1 filing, as applicable. The operating results for the three months ended March 31, 2022 are not necessarily indicative of the results to be expected for the full year ending December 31, 2022. 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”) and StoneX Financial Inc. – FCM Division of INTL FCStone Financial Inc. (“StoneX”) serve as the Funds’ clearing brokers to execute and clear futures contracts and provide other brokerage-related services. E D & F Man and StoneX are each registered as futures commission merchants (“FCM”) with the U.S. CFTC and are members of the NFA. The clearing brokers are registered as a broker-dealers with the SEC and are each a member of FINRA. ED & F Man and StoneX are each clearing members of ICE Futures U.S., Inc., Chicago Board of Trade, Chicago Mercantile Exchange, New York Mercantile Exchange, and all other major United States commodity exchanges. For Corn, Soybean, Sugar and Wheat Futures Contracts, E D & F Man is paid $9.00 per round turn . Effective April 1, 2022, E D & F Man will be paid $11.00 per round turn. StoneX is paid $2.50 per round turn exclusive of pass through fees for the exchange and the NFA. Additionally, if the monthly commissions paid by each Fund does not equal or exceed 20% return on the StoneX Capital Requirement at 9.6% of the Exchange Maintenance Margin, each Fund will pay a true up to meet that return at the end of each month. Prior to August 21, 2019, these expenses were recorded in brokerage commissions on the combined statements of operations. These expenses are 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 months ended March 31, 2022 Three months ended March 31, 2021 Amount Recognized for Custody Services $ 31,520 $ 101,645 Amount of Custody Services Waived $ 193 $ 731 Amount Recognized for Distribution Services $ 38,926 $ 47,649 Amount of Distribution Services Waived $ 20,013 $ 6,204 Amount Recognized for Wilmington Trust $ - $ - Amount of Wilmington Trust Waived $ - $ - Amount Recognized for Thales $ 55,062 $ 76,720 Amount of Thales Waived $ 42,061 $ 503 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 combined statements of operations as total brokerage commissions paid inclusive of unrealized loss as of March 31, 2022 and 2021. CORN SOYB CANE WEAT TAGS TRUST Three Months Ended March 31, 2022 $ 31,239 $ 6,521 $ 6,196 $ 81,009 $ - $ 124,965 Three Months Ended March 31, 2021 $ 33,966 $ 15,192 $ 3,476 $ 11,475 $ - $ 64,109 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 2019 to 2021, the Funds remain subject to income tax examinations by major taxing authorities. The tax benefit recognized is measured as the largest amount of benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement. De-recognition of a tax benefit previously recognized results in the Funds recording a tax liability that reduces net assets. Based on their analysis, the Funds have determined that they have not incurred any liability for unrecognized tax benefits as of March 31, 2022 and for the years ended December 31, 2021, 2020 and 2019. 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 months ended March 31, 2022 and 2021. 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. March 31, 2022 December 31, 2021 Money Market Funds $ 329,420,008 $ 32,968,833 Demand Deposit Savings Accounts 149,312,923 99,262,744 Commercial Paper 272,375,636 119,980,366 Total cash and cash equivalents as presented on the combined Statement of Assets and Liabilities $ 751,108,567 $ 252,211,943 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 March 31, 2022 Three months ended March 31, 2021 Recognized Related Party Transactions $ 545,709 $ 526,219 Waived Related Party Transactions $ 121,079 $ 119,741 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 March 31, 2022 $ 124,377 $ 51,416 $ 28,866 $ 85,856 $ 55,003 $ 345,518 Three months ended March 31, 2021 $ 120,266 $ 62,577 $ 26,490 $ 28,715 $ 14,136 $ 252,184 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 March 31, 2022 and December 31, 2021, 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. 16 Table of Contents 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 below and transferred back to a Level 1 asset for the period ended September 30, 2021. 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. 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. 17 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 Funds. The FASB issued ASU 2017-13, “Revenue Recognition (Topic 605), Leases (Topic 840), and Leases (Topic 842): Amendments to SEC Paragraphs Pursuant to the Staff Announcement at the July 20, 2017 EITF Meeting and Rescission of Prior SEC Staff Announcements and Observer Comments”. The amendment amends the early adoption date option for certain companies related to adoption of ASU No. 2014-09 and ASU No. 2016-02. The SEC staff stated the SEC would not object to a public business entity that otherwise would not meet the definition of a public business entity except for a requirement to include or the inclusion of its financial statements or financial information in another entity’s filing with the SEC adopting ASC Topic 842 for fiscal years beginning after December 15, 2019, and interim periods within fiscal years beginning after December 15, 2020. 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 March 31, 2022 and December 31, 2021: March 31, 2022 Assets: Level 1 Level 2 Level 3 Balance as of March 31, 2022 Cash Equivalents $ 601,795,644 $ - $ - $ 601,795,644 Commodity Futures Contracts Corn futures contracts 25,830,881 - - 25,830,881 Soybean futures contracts 3,599,568 - - 3,599,568 Sugar futures contracts 1,906,462 - - 1,906,462 Total $ 633,132,555 $ - $ - $ 633,132,555 Liabilities: Level 1 Level 2 Level 3 Balance as of March 31, 2022 Commodity Futures Contracts Wheat futures contracts 33,791,659 - - 33,791,659 Total $ 33,791,659 $ - $ - $ 33,791,659 December 31, 2021 Assets: Level 1 Level 2 Level 3 Balance as of December 31, 2021 Cash Equivalents $ 152,949,199 $ - $ - $ 152,949,199 Commodity Futures Contracts Corn futures contracts 5,936,552 - - 5,936,552 Soybean futures contracts 2,684,851 - - 2,684,851 Sugar futures contracts 1,079,226 - - 1,079,226 Wheat futures contracts 3,714,672 - - 3,714,672 Total $ 166,364,500 $ - $ - $ 166,364,500 Liabilities: Level 1 Level 2 Level 3 Balance as of December 31, 2021 Commodity Futures Contracts Sugar futures contracts $ 80,506 $ - $ - $ 80,506 Wheat futures contracts 654,969 - - 654,969 Total $ 735,475 $ - $ - $ 735,475 18 Table of Contents For the period ended March 31, 2022 and year ended December 31, 2021, 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. 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 months ended March 31, 2022 and year ended December 31, 2021, 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.” The following table also identifies the fair value amounts of derivative instruments included in the combined statements of assets and liabilities as derivative contracts, categorized by primary underlying risk and held by the FCMs, E D & F Man and StoneX as of March 31, 2022 and December 31, 2021. *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. 19 Table of Contents Offsetting of Financial Assets and Derivative Assets as of March 31, 2022 (i) (ii) (iii) = (i-ii) (iv) (v) = (iii)-(iv) Gross Amount Not Offset in the combined Statement of Assets and Liabilities Description Gross Amount of Recognized Assets Gross Amount Offset in the combined Statement of Assets and Liabilities Net Amount Presented in the combined Statement of Assets and Liabilities Futures Contracts Available for Offset Collateral, Due to Broker Net Amount Commodity Price Corn futures contracts $ 25,830,881 $ - $ 25,830,881 $ - $ 2,987,964 $ 22,842,917 Soybean futures contracts $ 3,599,568 $ - $ 3,599,568 $ - $ 1,939,462 $ 1,660,106 Sugar futures contracts $ 1,906,462 $ - $ 1,906,462 $ - $ 525,266 $ 1,381,196 Offsetting of Financial Liabilities and Derivative Liabilities as of March 31, 2022 (i) (ii) (iii) = (i-ii) (iv) (v) = (iii)-(iv) Gross Amount Not Offset in the combined Statement of Assets and Liabilities Description Gross Amount of Recognized Liabilities Gross Amount Offset in the combined Statement of Assets and Liabilities Net Amount Presented in the combined Statement of Assets and Liabilities Futures Contracts Available for Offset Collateral, Due from Broker* Net Amount Commodity Price Wheat futures contracts $ 33,791,659 $ - $ 33,791,659 $ - $ 33,791,659 $ - Offsetting of Financial Assets and Derivative Assets as of December 31, 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 $ 5,936,552 $ - $ 5,936,552 $ - $ - $ 5,936,552 Soybean futures contracts $ 2,684,851 $ - $ 2,684,851 $ - $ 675,169 $ 2,009,682 Sugar futures contracts $ 1,079,226 $ - $ 1,079,226 $ 80,506 $ - $ 998,720 Wheat futures contracts $ 3,714,672 $ - $ 3,714,672 $ 654,969 $ 213,708 $ 2,845,995 Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2021 (i) (ii) (iii) = (i-ii) (iv) (v) = (iii)-(iv) Gross Amount Not Offset in the Statement of Assets and Liabilities Descriptionl Gross Amount of Recognized Liabilities Gross Amount Offset in the Statement of Assets and Liabilities Net Amount Presented in the Statement of Assets and Liabilities Futures Contracts Available for Offset Collateral, Due from Broker* Net Amount Commodity Price Sugar futures contracts $ 80,506 $ - $ 80,506 $ 80,506 $ - $ - Wheat futures contracts $ 654,969 $ - $ 654,969 $ 654,969 $ - $ - 20 Table of Contents The following is a summary of realized and unrealized gains (losses) of the derivative instruments utilized by the Trust: Three months ended March 31, 2022 Primary Underlying Risk Realized Gain on Commodity Futures Contracts Net Change in Unrealized Appreciation (Depreciation) on Commodity Futures Contracts Commodity Price Corn futures contracts $ 16,568,982 $ 19,894,329 Soybean futures contracts 7,052,701 914,717 Sugar futures contracts 70,161 907,742 Wheat futures contracts 38,006,567 ( 36,851,362 ) Total commodity futures contracts $ 61,698,411 $ ( 15,134,574 ) Three months ended March 31, 2021 Primary Underlying Risk Realized Gain on Commodity Futures Contracts Net Change in Unrealized Appreciation (Depreciation) on Commodity Futures Contracts Commodity Price Corn futures contracts $ 18,796,479 $ 1,321,729 Soybean futures contracts 18,154,458 ( 8,724,512 ) Sugar futures contracts 1,253,480 ( 606,842 ) Wheat futures contracts 2,919,448 ( 5,055,673 ) Total commodity futures contracts $ 41,123,865 $ ( 13,065,298 ) Volume of Derivative Activities The average notional market value categorized by primary underlying risk for the futures contracts held was $ 479.0 million and $ 354.5 million for the three months ended March 31, 2022 and 2021, 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: March 31, 2022 Outstanding Shares Net Assets Teucrium Corn Fund 8,175,004 $ 222,124,501 Teucrium Soybean Fund 2,400,004 64,225,822 Teucrium Sugar Fund 2,650,004 25,491,461 Teucrium Wheat Fund 50,125,004 492,639,237 Teucrium Agricultural Fund: Net assets including the investment in the Underlying Funds 900,002 29,209,416 Less: Investment in the Underlying Funds ( 29,206,585 ) Net for the Fund in the combined net assets of the Trust 2,831 Total $ 804,483,852 21 Table of Contents December 31, 2021 Outstanding Shares Net Assets Teucrium Corn Fund 5,600,004 $ 120,846,256 Teucrium Soybean Fund 1,975,004 44,972,625 Teucrium Sugar Fund 2,475,004 22,834,664 Teucrium Wheat Fund 10,250,004 75,621,587 Teucrium Agricultural Fund: Net assets including the investment in the Underlying Funds 525,002 14,179,655 Less: Investment in the Underlying Funds ( 14,178,019 ) Net for the Fund in the combined net assets of the Trust 1,636 Total $ 264,276,768 The detailed information for the subscriptions and redemptions, and other financial information for each Fund that is a series of the Trust are included in the accompanying financial statements of each Fund. Note 8 – Subsequent Events Management has evaluated the financial statements for the quarter-ended March 31, 2022 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: War and other geopolitical events in eastern Europe, including but not limited to Russia and Ukraine, may cause volatility in commodity prices including energy and grain prices, due to the region’s importance to these markets, potential impacts to global transportation and shipping, and other supply chain disruptions. These events are unpredictable and may lead to extended periods of price volatility. The impact of these geopolitical events to the Trust and the Funds is described in more detail in Part II of this 10Q. CORN: The total net assets of the Fund increased by $ 75,797,035 , or 34 %, for the period March 31, 2022 to May 9, 2022. This was driven by a 4 % increase in the NAV per share and a 28 % increase in the shares outstanding. A registration statement for CORN was declared effective by the SEC on April 7, 2022. This registration statement for CORN registered an indeterminate amount of shares. SOYB: The total net assets of the Fund increased by $ 14,758,922 , or 23 %, for the period March 31, 2022 to May 9, 2022. This was driven by a 2 % increase in the NAV per share and a 21 % increase in the shares outstanding. A registration statement for SOYB was declared effective by the SEC on April 7, 2022. This registration statement for SOYB registered an indeterminate amount of shares. The Sponsor opened an account with StoneX, as a new FCM and clearing broker for the Fund. The Fund transferred soybean futures contract positions from E D & F Man to StoneX on April 13, 2022. CANE: The total net assets of the Fund increased by $ 8,669,045 , or 34 %, for the period March 31, 2022 to May 9, 2022. This was driven by a 37 % increase in the shares outstanding and partially offset by a 2 % decrease in the NAV per share. A registration statement for CANE was declared effective by the SEC on April 7, 2022. This registration statement for CANE registered an indeterminate amount of shares. The Sponsor opened an account with StoneX, as a new FCM and clearing broker for the Fund. The Fund transferred sugar futures contract positions from E D & F Man to StoneX on April 13, 2022. WEAT: Nothing additional to report. TAGS: The total net assets of the Fund increased by $ 7,799,110 , or 27 %, for the period March 31, 2022 to May 9, 2022. This was driven by a 4 % increase in the NAV per share and a 22 % increase in the shares outstanding. A registration statement for TAGS was declared effective by the SEC on April 7, 2022. This registration statement for TAGS registered an indeterminate amount of shares. 22 Table of Contents TEUCRIUM CORN FUND STATEMENTS OF ASSETS AND LIABILITIES March 31, 2022 December 31, 2021 (Unaudited) Assets Cash and cash equivalents $ 202,024,855 $ 115,012,740 Interest receivable 13,878 8,614 Equity in trading accounts: Commodity futures contracts 25,830,881 5,936,552 Due from broker - 77,143 Total equity in trading accounts 25,830,881 6,013,695 Total assets 227,869,614 121,035,049 Liabilities Management fee payable to Sponsor 169,712 104,087 Payable for purchases of commercial paper 2,498,500 - Other liabilities 88,937 84,706 Equity in trading accounts: Due to broker 2,987,964 - Total liabilities 5,745,113 188,793 Net assets $ 222,124,501 $ 120,846,256 Shares outstanding 8,175,004 5,600,004 Shares authorized 19,475,000 22,425,000 Net asset value per share $ 27.17 $ 21.58 Market value per share $ 27.16 $ 21.54 The accompanying notes are an integral part of these financial statements. 23 Table of Contents TEUCRIUM CORN FUND SCHEDULE OF INVESTMENTS March 31, 2022 (Unaudited) Percentage of Description: Assets Fair Value Net Assets Shares Cash equivalents Money market funds First American Government Obligations Fund - Class X (cost: $35,886,305) $ 35,886,305 16.16 % 35,886,305 Goldman Sachs Financial Square Government Fund - Institutional Class (cost: $30,865) 30,865 0.01 30,865 Total money market funds (cost: $35,917,170) $ 35,917,170 16.17 % Principal Amount Commercial Paper Albemarle Corporation 0.601% (cost: $2,498,792 due 04/07/2022) $ 2,499,750 1.13 % 2,500,000 Albemarle Corporation 0.701% (cost: $12,493,680 due 04/04/2022) 12,499,271 5.63 12,500,000 AT&T Inc. 0.240% (cost: $4,997,867 due 04/13/2022) 4,999,600 2.25 5,000,000 AT&T Inc. 0.320% (cost: $4,996,446 due 05/02/2022) 4,998,623 2.25 5,000,000 Brookfield Infrastructure Holdings (Canada) Inc. 1.054% (cost: $2,496,208 due 05/05/2022) 2,497,521 1.12 2,500,000 Brookfield Infrastructure Holdings (Canada) Inc. 0.973% (cost: $2,496,902 due 05/03/2022) 2,497,845 1.12 2,500,000 Brookfield Infrastructure Holdings (Canada) Inc. 1.003% (cost: $2,496,736 due 05/10/2022) 2,497,292 1.12 2,500,000 Canadian Natural Resources Limited 0.902% (cost: $2,498,500 due 04/25/2022) 2,498,500 1.12 2,500,000 Cigna Corporation 0.250% (cost: $4,997,015 due 04/27/2022) 4,999,098 2.25 5,000,000 Cigna Corporation 0.551% (cost: $2,497,059 due 05/13/2022) 2,498,396 1.12 2,500,000 Cigna Corporation 0.641% (cost: $2,496,667 due 05/16/2022) 2,498,000 1.12 2,500,000 Crown Castle International Corp. 1.154% (cost: $2,496,486 due 05/12/2022) 2,496,726 1.12 2,500,000 Crown Castle International Corp. 0.902% (cost: $4,997,500 due 04/19/2022) 4,997,750 2.25 5,000,000 Enbridge (U.S.) Inc. 0.200% (cost: $2,498,861 due 04/04/2022) 2,499,958 1.13 2,500,000 Enbridge (U.S.) Inc. 0.913% (cost: $2,496,461 due 05/16/2022) 2,497,156 1.12 2,500,000 FMC Corporation 0.852% (cost: $2,498,583 due 04/11/2022) 2,499,410 1.13 2,500,000 General Motors Financial Company, Inc. 0.350% (cost: $3,497,142 due 04/25/2022) 3,499,183 1.59 3,500,000 General Motors Financial Company, Inc. 1.034% (cost: $2,494,064 due 06/08/2022) 2,495,137 1.12 2,500,000 Glencore Funding LLC 0.234% (cost: $7,496,926 due 04/08/2022) 7,499,658 3.38 7,500,000 Harley-Davidson Financial Services, Inc. 0.220% (cost: $4,997,525 due 04/04/2022) 4,999,908 2.25 5,000,000 Humana Inc. 0.330% (cost: $2,498,946 due 04/01/2022) 2,500,000 1.14 2,500,000 Humana Inc. 0.802% (cost: $2,498,445 due 04/11/2022) 2,499,445 1.13 2,500,000 ITT Inc. 0.601% (cost: $2,496,750 due 05/17/2022) 2,498,083 1.12 2,500,000 Jabil Inc. 0.802% (cost: $2,499,056 due 04/08/2022) 2,499,611 1.13 2,500,000 Verizon Communications Inc. 0.611% (cost: $2,496,404 due 05/25/2022) 2,497,716 1.12 2,500,000 Walgreens Boots Alliance, Inc. 0.913% (cost: $2,496,524 due 05/25/2022) 2,496,587 1.12 2,500,000 WGL Holdings, Inc. 0.872% (cost: $2,498,308 due 04/22/2022) 2,498,731 1.12 2,500,000 Total Commercial Paper (cost: $95,923,853) $ 95,958,955 43.20 % Total Cash Equivalents $ 131,876,125 59.37 % Notional Amount (Long Exposure) Commodity futures contracts United States corn futures contracts CBOT corn futures JUL22 (2,098 contracts) $ 9,417,981 4.24 % $ 76,891,700 CBOT corn futures SEP22 (1,920 contracts) 2,195,067 0.99 66,840,000 CBOT corn futures DEC22 (2,293 contracts) 14,217,833 6.40 78,391,938 Total commodity futures contracts $ 25,830,881 11.63 % $ 222,123,638 The accompanying notes are an integral part of these financial statements. 24 Table of Contents TEUCRIUM CORN FUND SCHEDULE OF INVESTMENTS December 31, 2021 Percentage of Description: Assets Fair Value Net Assets Shares Cash equivalents Money market funds First American Government Obligations Fund - Class X 0.026% (cost $11,397,154) $ 11,397,154 9.43 % 11,397,154 Goldman Sachs Financial Square Government Fund - Institutional Class 0.030% (cost $2,508) 2,508 0.00 2,508 Total money market funds (cost: $11,399,662) $ 11,399,662 9.43 % Principal Amount Commercial Paper Albemarle Corporation 0.181% (cost: $7,497,243 due 01/31/2022) $ 7,498,867 $ 6.20 7,500,000 Conagra Brands, Inc. 0.160% (cost: $2,499,000 due 01/05/2022) 2,499,955 2.07 2,500,000 Conagra Brands, Inc. 0.150% (cost: $2,499,355 due 01/18/2022) 2,499,823 2.07 2,500,000 General Motors Financial Company, Inc. 0.160% (cost: $2,499,000 due 01/06/2022) 2,499,944 2.07 2,500,000 General Motors Financial Company, Inc. 0.200% (cost: $3,498,289 due 01/31/2022) 3,499,417 2.89 3,500,000 General Motors Financial Company, Inc. 0.160% (cost: $2,499,400 due 01/03/2022) 2,499,978 2.07 2,500,000 Harley-Davidson Financial Services, Inc. 0.167% (cost: $7,497,046 due 01/13/2022) 7,499,583 6.20 7,500,000 Harley-Davidson Financial Services, Inc. 0.250% (cost: $2,498,664 due 03/02/2022) 2,498,959 2.07 2,500,000 Humana Inc. 0.140% (cost: $4,998,425 due 01/07/2022) 4,999,883 4.14 5,000,000 Jabil Inc. 0.300% (cost: $4,997,375 due 02/08/2022) 4,998,417 4.13 5,000,000 Jabil Inc. 0.310% (cost: $2,498,450 due 02/25/2022) 2,498,816 2.07 2,500,000 Viatris Inc. 0.250% (cost: $4,997,466 due 02/11/2022) 4,998,577 4.14 5,000,000 Viatris Inc. 0.310% (cost: $2,498,493 due 03/01/2022) 2,498,730 2.07 2,500,000 WGL Holdings, Inc. 0.220% (cost: $2,499,343 due 01/12/2022) 2,499,832 2.07 2,500,000 Total Commercial Paper (cost: $53,477,549) $ 53,490,781 44.26 % Total Cash Equivalents $ 64,890,443 53.69 % Notional Amount (Long Exposure) Commodity futures contracts United States corn futures contracts CBOT corn futures MAY22 (1,418 contracts) $ 3,767,282 3.12 % $ 42,185,500 CBOT corn futures JUL22 (1,218 contracts) 196,244 0.16 36,144,150 CBOT corn futures DEC22 (1,558 contracts) 1,973,026 1.63 42,533,400 Total commodity futures contracts $ 5,936,552 4.91 % $ 120,863,050 The accompanying notes are an integral part of these financial statements. 25 Table of Contents TEUCRIUM CORN FUND STATEMENTS OF OPERATIONS (Unaudited) Three months ended Three months ended March 31, 2022 March 31, 2021 Income Realized and unrealized gain (loss) on trading of commodity futures contracts: Realized gain on commodity futures contracts $ 16,568,982 $ 18,796,479 Net change in unrealized appreciation on commodity futures contracts 19,894,329 1,321,729 Interest income 86,625 77,560 Total income 36,549,936 20,195,768 Expenses Management fees 378,281 390,625 Professional fees 164,499 171,781 Distribution and marketing fees 295,595 350,605 Custodian fees and expenses 16,514 46,407 Business permits and licenses fees 15,994 16,674 General and administrative expenses 27,475 28,100 Total expenses 898,358 1,004,192 Expenses waived by the Sponsor ( 124,377 ) ( 120,266 ) Total expenses, net 773,981 883,926 Net income $ 35,775,955 $ 19,311,842 Net income per share $ 5.59 $ 2.07 Net income per weighted average share $ 5.62 $ 2.05 Weighted average shares outstanding 6,366,671 9,441,115 The accompanying notes are an integral part of these financial statements. 26 Table of Contents TEUCRIUM CORN FUND STATEMENTS OF CHANGES IN NET ASSETS (Unaudited) Three months ended Three months ended March 31, 2022 March 31, 2021 Operations Net income $ 35,775,955 $ 19,311,842 Capital transactions Issuance of Shares 74,547,348 35,769,660 Redemption of Shares ( 9,045,058 ) ( 25,220,068 ) Total capital transactions 65,502,290 10,549,592 Net change in net assets 101,278,245 29,861,434 Net assets, beginning of period $ 120,846,256 $ 138,289,537 Net assets, end of period $ 222,124,501 $ 168,150,971 Net asset value per share at beginning of period $ 21.58 $ 15.54 Net asset value per share at end of period $ 27.17 $ 17.61 Creation of Shares 2,950,000 2,150,000 Redemption of Shares 375,000 1,500,000 The accompanying notes are an integral part of these financial statements. 27 Table of Contents TEUCRIUM CORN FUND STATEMENTS OF CASH FLOWS (Unaudited) Three months ended Three months ended March 31, 2022 March 31, 2021 Cash flows from operating activities: Net income $ 35,775,955 $ 19,311,842 Adjustments to reconcile net income to net cash provided by operating activities: Net change in unrealized appreciation on commodity futures contracts ( 19,894,329 ) ( 1,321,729 ) Changes in operating assets and liabilities: Due from broker 77,143 - Interest receivable ( 5,264 ) ( 918 ) Due to broker 2,987,964 ( 12,825,963 ) Management fee payable to Sponsor 65,625 25,008 Payable for purchases of commercial paper 2,498,500 ( 4,997,847 ) Other liabilities 4,231 32,280 Net cash provided by operating activities 21,509,825 222,673 Cash flows from financing activities: Proceeds from sale of Shares 74,547,348 35,769,660 Redemption of Shares ( 9,045,058 ) ( 27,162,343 ) Net cash provided by financing activities 65,502,290 8,607,317 Net change in cash and cash equivalents 87,012,115 8,829,990 Cash and cash equivalents, beginning of period 115,012,740 138,181,061 Cash and cash equivalents, end of period $ 202,024,855 $ 147,011,051 The accompanying notes are an integral part of these financial statements. 28 Table of Contents NOTES TO FINANCIAL STATEMENTS March 31, 2022 (Unaudited) Note 1 – Organization and Operation Teucrium Corn Fund (referred to herein as “CORN,” or the “Fund”) is a commodity pool that is a series of Teucrium Commodity Trust (“Trust”), a Delaware statutory trust formed on September 11, 2009. The Fund issues common units, called the “Shares,” representing fractional undivided beneficial interests in the Fund. The Fund continuously offers Creation Baskets consisting of 25,000 Shares at their Net Asset Value (“NAV”) to “Authorized Purchasers” through Foreside Fund Services, LLC, which is the distributor for the Fund (the “Distributor”). Authorized Purchasers sell such Shares, which are listed on the New York Stock Exchange (“NYSE”) Arca under the symbol “CORN,” to the public at per-Share offering prices that reflect, among other factors, the trading price of the Shares on the NYSE Arca, the NAV of the Fund at the time the Authorized Purchaser purchased the Creation Baskets and the NAV at the time of the offer of the Shares to the public, the supply of and demand for Shares at the time of sale, and the liquidity of the markets for corn interests. The Fund’s Shares trade in the secondary market on the NYSE Arca at prices that are lower or higher than their NAV per Share. The investment objective of CORN is to have the daily changes in the NAV of the Fund’s Shares reflect the daily changes in the corn market for future delivery as measured by the Benchmark. The Benchmark is a weighted average of the closing settlement prices for three futures contracts for corn (“Corn Futures Contracts”) that are traded on the Chicago Board of Trade (“CBOT”): CORN Benchmark CBOT Corn Futures Contract Weighting Second to expire 35 % Third to expire 30 % December following the third to expire 35 % The Fund commenced investment operations on June 9, 2010 and has a fiscal year ending on December 31. The Fund’s sponsor is Teucrium Trading, LLC (the “Sponsor”). The Sponsor is responsible for the management of the Fund. The Sponsor is registered as a commodity pool operator (“CPO”) and a commodity trading adviser (“CTA”) with the Commodity Futures Trading Commission (“CFTC”) and is a member of the National Futures Association (“NFA”). On June 7, 2010, the initial Form S-1 for CORN was declared effective by the U.S. Securities and Exchange Commission (“SEC”). On June 8, 2010, four Creation Baskets for CORN were issued representing 200,000 shares and $ 5,000,000 . CORN began trading on the New York Stock Exchange (“NYSE”) Arca on June 9, 2010. The current registration statement for CORN was declared effective by the SEC on April 7, 2022. This registration statement for CORN registered an indeterminate amount of shares. The accompanying unaudited financial statements have been prepared in accordance with Rule 10-01 of Regulation S-X promulgated by the SEC and, therefore, do not include all information and footnote disclosures required under accounting principles generally accepted in the United States of America (“GAAP”). The financial information included herein is unaudited; however, such financial information reflects all adjustments which are, in the opinion of management, necessary for the fair presentation of the Fund’s financial statements for the interim period. It is suggested that these interim financial statements be read in conjunction with the financial statements and related notes included in the Trust’s Annual Report on Form 10-K, as well as the most recent Form S-1 filing, as applicable. The operating results for the three months ended March 31, 2022 are not necessarily indicative of the results to be expected for the full year ending December 31, 2022. 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. 29 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”) and StoneX Financial Inc. – FCM Division of INTL FCStone Financial Inc. (“StoneX”) serve as the Funds’ clearing brokers to execute and clear futures contracts and provide other brokerage-related services. E D & F Man and StoneX are each registered as futures commission merchants (“FCM”) with the U.S. CFTC and are members of the NFA. The clearing brokers are registered as a broker-dealers with the SEC and are each a member of FINRA. ED & F Man and StoneX are each clearing members of ICE Futures U.S., Inc., Chicago Board of Trade, Chicago Mercantile Exchange, New York Mercantile Exchange, and all other major United States commodity exchanges. For Corn, Soybean, Sugar and Wheat Futures Contracts, E D & F Man is paid $9.00 per round turn . Effective April 1, 2022, E D & F Man will be paid $11.00 per round turn. StoneX is paid $2.50 per round turn exclusive of pass through fees for the exchange and the NFA. Additionally, if the monthly commissions paid by each Fund does not equal or exceed 20% return on the StoneX Capital Requirement at 9.6% of the Exchange Maintenance Margin, each Fund will pay a true up to meet that return at the end of each month. These expenses are recognized on a per-trade basis. The half-turn is recognized as an unrealized loss on the statements of operations for contracts that have been purchased since the change in recognition, and a full turn is recognized as a realized loss on the statements of operations when a contract is sold. A summary of these expenses 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 months ended March 31, 2022 Three months ended March 31, 2021 Amount Recognized for Custody Services $ 16,514 $ 46,407 Amount of Custody Services Waived $ - $ - Amount Recognized for Distribution Services $ 16,739 $ 21,662 Amount of Distribution Services Waived $ 6,302 $ - Amount Recognized for Wilmington Trust $ - $ - Amount of Wilmington Trust Waived $ - $ - Amount Recognized for Thales $ 27,193 $ 34,330 Amount of Thales Waived $ 27,193 $ - 30 Table of Contents Note 3 – Summary of Significant Accounting Policies Basis of Presentation The accompanying financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) as detailed in the Financial Accounting Standards Board’s Accounting Standards Codification. Revenue Recognition Commodity futures contracts are recorded on the trade date. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized appreciation or depreciation on commodity futures contracts are reflected in the statements of operations as the difference between the original contract amount and the fair market value as of the last business day of the year or as of the last date of the financial statements. Changes in the appreciation or depreciation between periods are reflected in the statements of operations. The Fund seeks to earn interest on its assets denominated in U.S. dollars on deposits with the Futures Commission Merchant. In addition, the Fund earns interest on funds held at the custodian and at other financial institutions at prevailing market rates for such investments. The Sponsor invests a portion of cash in commercial paper, which is deemed a cash equivalent based on the rating and duration of contracts as described in the notes to the financial statements and reflected in cash and cash equivalents on the statements of assets and liabilities and statements of cash flows. Accretion on these investments is recognized using the effective interest method in U.S. dollars and included in interest income on the statements of operations. The Sponsor invests a portion of the cash held by the broker in short term Treasury Bills as collateral for open futures contracts. Accretion on these investments is recognized using the effective interest method in U.S. dollars and included in interest income on the statements of operations. 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 months ended March 31, 2022 and 2021. CORN Three Months Ended March 31, 2022 $ 31,239 Three Months Ended March 31, 2021 $ 33,966 31 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 2019 to 2021, the Fund remains subject to income tax examinations by major taxing authorities. The tax benefit recognized is measured as the largest amount of benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement. De-recognition of a tax benefit previously recognized results in the Fund recording a tax liability that reduces net assets. Based on its analysis, the Fund has determined that it has not incurred any liability for unrecognized tax benefits as of March 31, 2022 and for the years ended December 31, 2021, 2020, and 2019. However, the Fund’s conclusions regarding this policy may be subject to review and adjustment at a later date based on factors including, but not limited to, ongoing analysis of and changes to tax laws, regulations, and interpretations thereof. The Fund recognizes interest accrued related to unrecognized tax benefits and penalties related to unrecognized tax benefits in income tax fees payable, if assessed. No interest expense or penalties have been recognized as of and for the three months ended March 31, 2022 and 2021. 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 represent two Redemption Baskets for the Fund and a minimum level of shares. If the Fund experienced redemptions that caused the number of Shares outstanding to decrease to the minimum level of Shares required to be outstanding, until the minimum number of Shares is again exceeded through the purchase of a new Creation Basket, there can be no more redemptions by an Authorized Purchaser. Allocation of Shareholder Income and Losses Profit or loss is allocated among the shareholders of the Fund in proportion to the number of shares each shareholder holds as of the close of each month. 32 Table of Contents Cash and Cash Equivalents Cash equivalents are highly liquid investments with maturity dates of 90 days or less when acquired. The Fund reported its cash equivalents in the statements of assets and liabilities at market value, or at carrying amounts that approximate fair value, because of their highly liquid nature and short term maturities. Each Fund that is a series of the Trust has the balance of its cash equivalents on deposit with financial institutions. The Fund holds a balance in money market funds that is included in cash and cash equivalents on the statements of assets and liabilities. The Sponsor invests a portion of the available cash for the Funds in alternative demand deposit savings accounts, which is classified as cash and not as cash equivalents. Assets deposited with the bank may, at times, exceed federally insured limits. The Sponsor invests a portion of the available cash for the Funds in investment grade commercial paper with durations of 90 days or less, which is classified as a cash equivalent and is not FDIC insured. The Sponsor may invest a portion of the cash held by the broker in short term Treasury Bills as collateral for open futures contracts, which is classified as a cash equivalent and is not FDIC insured. March 31, 2022 December 31, 2021 Money Market Funds $ 35,917,170 $ 11,399,662 Demand Deposit Savings Accounts 70,148,730 50,122,297 Commercial Paper 95,958,955 53,490,781 Total cash and cash equivalents as presented on the Statement of Assets and Liabilities $ 202,024,855 $ 115,012,740 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. 33 Table of Contents Ongoing or “maintenance” margin requirements are computed each day by a trader’s clearing broker. When the market value of a particular open futures contract changes to a point where the margin on deposit does not satisfy maintenance margin requirements, a margin call is made by the broker. If the margin call is not met within a reasonable time, the broker may close out the trader’s position. With respect to the Fund’s trading, the Fund (and not its shareholders personally) is subject to margin calls. Finally, many major U.S. exchanges have passed certain cross margining arrangements involving procedures pursuant to which the futures and options positions held in an account would, in the case of some accounts, be aggregated and margin requirements would be assessed on a portfolio basis, measuring the total risk of the combined positions. Calculation of Net Asset Value The Fund’s NAV is calculated by: • Taking the current market value of its total assets and • Subtracting any liabilities. The administrator, Global Fund Services, calculates the NAV of the Fund once each trading day. It calculates the NAV as of the earlier of the close of the NYSE or 4:00 p.m. (EST). The NAV for a particular trading day is released after 4:15 p.m. (EST). In determining the value of Corn Futures Contracts, the administrator uses the CBOT closing price. The administrator determines the value of all other Fund investments as of the earlier of the close of the NYSE or 4:00 p.m. (EST). The value of over the counter corn interests is determined based on the value of the commodity or futures contract underlying such corn interest, except that a fair value may be determined if the Sponsor believes that the Fund is subject to significant credit risk relating to the counterparty to such corn interest. For purposes of financial statements and reports, the Sponsor will recalculate the NAV where necessary to reflect the “fair value” of a Futures Contract when the Futures Contract closes at its price fluctuation limit for the day. Short term Treasury securities held by the Fund are valued by the administrator using values received from recognized third-party vendors and dealer quotes. NAV includes any unrealized profit or loss on open corn interests and any other income or expense accruing to the Fund but unpaid or not received by the Fund. Sponsor Fee, Allocation of Expenses and Related Party Transactions The Sponsor is responsible for investing the assets of the Fund in accordance with the objectives and policies of the Fund. In addition, the Sponsor arranges for one or more third parties to provide administrative, custodial, accounting, transfer agency and other necessary services to the Trust and the Funds. In addition, the Sponsor has elected not to outsource services directly attributable to the Trust and the Funds such as accounting, financial reporting, regulatory compliance and trading activities, which the Sponsor performs itself. In addition, the Fund is contractually obligated to pay a monthly management fee to the Sponsor, based on average daily net assets, at a rate equal to 1.00% per annum. The Fund generally pays for all brokerage fees, taxes and other expenses, including licensing fees for the use of intellectual property, registration or other fees paid to the SEC, FINRA, or any other regulatory agency in connection with the offer and sale of subsequent Shares after its initial registration and all legal, accounting, printing and other expenses associated therewith. The Fund also pays its portion of the fees and expenses associated with the Trust’s tax accounting and reporting requirements. Certain aggregate expenses common to all Funds within the Trust are allocated by the Sponsor to the respective Fund based on activity drivers deemed most appropriate by the Sponsor for such expenses, including but not limited to relative assets under management and creation order activity. These aggregate common expenses include, but are not limited to, legal, auditing, accounting and financial reporting, tax-preparation, regulatory compliance, trading activities, and insurance costs, as well as fees paid to the Distributor, which are included in the related line item in the statements of operations. A portion of these aggregate common expenses are related to the Sponsor or related parties of principals of the Sponsor; these are necessary services to the Funds, which are primarily the cost of performing accounting and financial reporting, regulatory compliance, and trading activities that are directly attributable to the Fund. Such expenses are primarily recorded as distribution and marketing fees in the financial statements of each Fund. Three months ended March 31, 2022 Three months ended March 31, 2021 Recognized Related Party Transactions $ 233,497 $ 241,087 Waived Related Party Transactions $ 38,196 $ 69,894 34 Table of Contents The Sponsor has the ability to elect to pay certain expenses on behalf of the Funds or waive the management fee. This election is subject to change by the Sponsor, at its discretion. Expenses paid by the Sponsor and Management fees waived by the Sponsor are, if applicable, presented as waived expenses in the statements of operations for each Fund. The Sponsor has determined that there will be no recovery sought for the amounts below in any future period: CORN Three months ended March 31, 2022 $ 124,377 Three months ended March 31, 2021 $ 120,266 Use of Estimates The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of the revenue and expenses during the reporting period. Actual results could differ from those estimates. Fair Value - Definition and Hierarchy In accordance with U.S. GAAP, fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e., the “exit price”) in an orderly transaction between market participants at the measurement date. In determining fair value, the Fund uses various valuation approaches. In accordance with GAAP, a fair value hierarchy for inputs is used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s assumptions about the inputs market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The fair value hierarchy is categorized into three levels based on the inputs as follows: Level 1 - Valuations based on unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access. Valuation adjustments and block discounts are not applied to Level 1 financial instruments. Since valuations are based on quoted prices that are readily and regularly available in an active market, valuation of these financial instruments does not entail a significant degree of judgment. Level 2 - Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. Level 3 - Valuations based on inputs that are unobservable and significant to the overall fair value measurement. 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. 35 Table of Contents On March 31, 2022 and December 31, 2021, 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, 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 below for the period ended June 30, 2021. 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. 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. 36 Table of Contents 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 2019-04: “Codification Improvements to Topic 326, Financial Instruments Credit Losses, Topic 815, Derivatives and hedging, and Topic 825, Financial Instruments.” The amendments clarify and improve areas of guidance related to the recently issued standards on credit losses, hedging, and recognition and measurement, specifically relating to ASU 201712. The amendments were early adopted for the quarter ended June 30, 2019; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued ASU 2019-01: “Leases (Topic 842): Codification Improvements. These amendments align the guidance for fair value of underlying assets by lessors that are not manufacturers or dealers in Topic 842 with that of existing guidance. The amendments 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 March 31, 2022 and December 31, 2021: March 31, 2022 Assets: Level 1 Level 2 Level 3 Balance as of March 31, 2022 Cash Equivalents $ 131,876,125 $ - $ - $ 131,876,125 Corn Futures Contracts 25,830,881 - - 25,830,881 Total $ 157,707,006 $ - $ - $ 157,707,006 37 Table of Contents December 31, 2021 Assets: Level 1 Level 2 Level 3 Balance as of December 31, 2021 Cash Equivalents $ 64,890,443 $ - $ - $ 64,890,443 Corn Futures Contracts 5,936,552 - - 5,936,552 Total $ 70,826,995 $ - $ - $ 70,826,995 For the period ended March 31, 2022 and year ended December 31, 2021, the Fund did not have any significant transfers between any of the levels of the fair value hierarchy. See the Fair Value - Definition and Hierarchy section in Note 3 above for an explanation of the transfers into and out of each level of the fair value hierarchy. Note 5 – Derivative Instruments and Hedging Activities In the normal course of business, the Fund utilizes derivative contracts in connection with its proprietary trading activities. Investments in derivative contracts are subject to additional risks that can result in a loss of all or part of an investment. The Fund’s derivative activities and exposure to derivative contracts are classified by the following primary underlying risks: interest rate, credit, commodity price, and equity price risks. In addition to its primary underlying risks, the Fund is also subject to additional counterparty risk due to inability of its counterparties to meet the terms of their contracts. For three months ended March 31, 2022 and year ended December 31, 2021, 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 statements of assets and liabilities as derivative contracts, categorized by primary underlying risk and held by the FCMs, E D & F Man and StoneX as of March 31, 2022 and December 31, 2021. *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. 38 Table of Contents Offsetting of Financial Assets and Derivative Assets as of March 31, 2022 (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 $ 25,830,881 $ - $ 25,830,881 $ - $ 2,987,964 $ 22,842,917 Offsetting of Financial Assets and Derivative Assets as of December 31, 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 $ 5,936,552 $ - $ 5,936,552 $ - $ - $ 5,936,552 The following tables identify the net gain and loss amounts included in the statements of operations as realized and unrealized gains and losses on trading of commodity futures contracts categorized by primary underlying risk: Three months ended March 31, 2022 Primary Underlying Risk Realized Gain on Commodity Futures Contracts Net Change in Unrealized Appreciation on Commodity Futures Contracts Commodity Price Corn futures contracts $ 16,568,982 $ 19,894,329 Three months ended March 31, 2021 Primary Underlying Risk Realized Gain on Commodity Futures Contracts Net Change in Unrealized Appreciation on Commodity Futures Contracts Commodity Price Corn futures contracts $ 18,796,479 $ 1,321,729 Volume of Derivative Activities The average notional market value categorized by primary underlying risk for the futures contracts held was $ 167.5 million and $ 161.9 million for the three months ended March 31, 2022, and 2021, respectively. Note 6 – Financial Highlights The following tables present per unit performance data and other supplemental financial data for the three months ended March 31, 2022 and 2021. 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. 39 Table of Contents Three months ended Three months ended March 31, 2022 March 31, 2021 Per Share Operation Performance Net asset value at beginning of period $ 21.58 $ 15.54 Income (loss) from investment operations: Investment income 0.01 0.01 Net realized and unrealized gain on commodity futures contracts 5.70 2.15 Total expenses, net ( 0.12 ) ( 0.09 ) Net increase in net asset value 5.59 2.07 Net asset value at end of period $ 27.17 $ 17.61 Total Return 25.91 % 13.32 % Ratios to Average Net Assets (Annualized) Total expenses 2.37 % 2.57 % Total expenses, net 2.05 % 2.26 % Net investment loss ( 1.82 )% ( 2.06 )% The financial highlights per share data are calculated consistent with the methodology used to calculate asset-based fees and expenses. Note 7 – Organizational and Offering Costs Expenses incurred in organizing of the Trust and the initial offering of the Shares of the Fund, including applicable SEC registration fees were borne directly by the Sponsor. The Fund will not be obligated to reimburse the Sponsor. Note 8 – Subsequent Events Management has evaluated the financial statements for the quarter-ended March 31, 2022 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 total net assets of the Fund increased by $ 75,797,035 , or 34 %, for the period March 31, 2022 to May 9, 2022. This was driven by a 4 % increase in the NAV per share and a 28 % increase in the shares outstanding. A registration statement for CORN was declared effective by the SEC on April 7, 2022. This registration statement for CORN registered an indeterminate amount of shares. 40 Table of Contents TEUCRIUM SOYBEAN FUND STATEMENTS OF ASSETS AND LIABILITIES March 31, 2022 December 31, 2021 (Unaudited) Assets Cash and cash equivalents $ 62,678,131 $ 43,019,884 Interest receivable 3,989 1,928 Equity in trading accounts: Commodity futures contracts 3,599,568 2,684,851 Total assets 66,281,688 45,706,663 Liabilities Management fee payable to Sponsor 56,248 36,457 Other liabilities 60,156 22,412 Equity in trading accounts: Due to broker 1,939,462 675,169 Total liabilities 2,055,866 734,038 Net assets $ 64,225,822 $ 44,972,625 Shares outstanding 2,400,004 1,975,004 Shares authorized 15,350,000 15,875,000 Net asset value per share $ 26.76 $ 22.77 Market value per share $ 26.71 $ 22.75 The accompanying notes are an integral part of these financial statements. 41 Table of Contents TEUCRIUM SOYBEAN FUND SCHEDULE OF INVESTMENTS March 31, 2022 (Unaudited) Percentage of Description: Assets Fair Value Net Assets Shares Cash equivalents Money market funds First American Government Obligations Fund - Class X (cost: $18,089,635) $ 18,089,635 28.16 % 18,089,635 Goldman Sachs Financial Square Government Fund - Institutional Class (cost: $37,047) 37,047 0.06 37,047 Total money market funds (cost: $18,126,682) $ 18,126,682 28.22 % Principal Amount Commercial Paper Albemarle Corporation 0.701% (cost: $2,498,736 due 04/04/2022) $ 2,499,854 3.89 % 2,500,000 AT&T Inc. 0.220% (cost: $2,499,068 due 04/13/2022) 2,499,817 3.89 2,500,000 Brookfield Infrastructure Holdings (Canada) Inc. 0.973% (cost: $2,496,902 due 05/03/2022) 2,497,845 3.89 2,500,000 Crown Castle International Corp. 1.154% (cost: $2,496,486 due 05/12/2022) 2,496,726 3.89 2,500,000 Enbridge (U.S.) Inc. 0.200% (cost: $2,498,861 due 04/04/2022) 2,499,958 3.89 2,500,000 Enbridge (U.S.) Inc. 0.913% (cost: $2,496,461 due 05/16/2022) 2,497,156 3.89 2,500,000 General Motors Financial Company, Inc. 0.350% (cost: $3,996,733 due 04/25/2022) 3,999,067 6.23 4,000,000 Glencore Funding LLC 0.234% (cost: $2,498,975 due 04/08/2022) 2,499,886 3.89 2,500,000 Humana Inc. 0.802% (cost: $2,498,445 due 04/11/2022) 2,499,445 3.89 2,500,000 ITT Inc. 0.601% (cost: $2,496,750 due 05/17/2022) 2,498,083 3.89 2,500,000 Jabil Inc. 0.551% (cost: $2,498,434 due 04/18/2022) 2,499,351 3.89 2,500,000 WGL Holdings, Inc. 0.872% (cost: $2,498,308 due 04/22/2022) 2,498,731 3.89 2,500,000 Total Commercial Paper (cost: $31,474,159) $ 31,485,919 49.02 % Total Cash Equivalents $ 49,612,601 77.25 % Notional Amount (Long Exposure) Commodity futures contracts United States soybean futures contracts CBOT soybean futures JUL22 (281 contracts) $ 1,628,761 2.53 % $ 22,451,900 CBOT soybean futures NOV22 (270 contracts) 1,938,447 3.02 19,176,750 CBOT soybean futures NOV23 (345 contracts) 32,360 0.05 22,619,063 Total commodity futures contracts $ 3,599,568 5.60 % $ 64,247,713 The accompanying notes are an integral part of these financial statements. 42 Table of Contents TEUCRIUM SOYBEAN FUND SCHEDULE OF INVESTMENTS December 31, 2021 Percentage of Description: Assets Fair Value Net Assets Shares Cash equivalents Money market funds First American Government Obligations Fund - Class X 0.026% (cost $8,951,314) $ 8,951,314 19.91 % 8,951,314 Goldman Sachs Financial Square Government Fund - Institutional Class 0.030% (cost $2,511,180) 2,511,180 5.58 2,511,180 Total money market funds (cost: $11,462,494) 11,462,494 25.49 Principal Amount Commercial Paper Albemarle Corporation 0.200% (cost: $2,499,417 due 01/11/2022) $ 2,499,861 5.56 % 2,500,000 Conagra Brands, Inc. 0.160% (cost: $2,499,000 due 01/05/2022) 2,499,956 5.56 2,500,000 Conagra Brands, Inc. 0.150% (cost: $2,499,355 due 01/18/2022) 2,499,823 5.56 2,500,000 General Motors Financial Company, Inc. 0.200% (cost: $3,998,044 due 01/31/2022) 3,999,333 8.89 4,000,000 General Motors Financial Company, Inc. 0.160% (cost: $2,499,400 due 01/03/2022) 2,499,978 5.56 2,500,000 Harley-Davidson Financial Services, Inc. 0.170% (cost: $2,498,938 due 02/01/2022) 2,499,634 5.56 2,500,000 Viatris Inc. 0.300% (cost: $2,498,312 due 02/11/2022) 2,499,146 5.55 2,500,000 Viatris Inc. 0.200% (cost: $2,499,292 due 01/21/2022) 2,499,722 5.56 2,500,000 Total Commercial Paper (cost: $21,491,758) $ 21,497,453 47.80 % Total Cash Equivalents $ 32,959,947 73.29 % Notional Amount (Long Exposure) Commodity futures contracts United States soybean futures contracts CBOT soybean futures MAR22 (234 contracts) $ 591,547 1.32 % $ 15,669,225 CBOT soybean futures MAY22 (199 contracts) 1,008,504 2.24 13,422,550 CBOT soybean futures NOV22 (250 contracts) 1,084,800 2.41 15,865,625 Total commodity futures contracts $ 2,684,851 5.97 % $ 44,957,400 The accompanying notes are an integral part of these financial statements. 43 Table of Contents TEUCRIUM SOYBEAN FUND STATEMENTS OF OPERATIONS (Unaudited) Three months ended Three months ended March 31, 2022 March 31, 2021 Income Realized and unrealized gain (loss) on trading of commodity futures contracts: Realized gain on commodity futures contracts $ 7,052,701 $ 18,154,458 Net change in unrealized appreciation (depreciation) on commodity futures contracts 914,717 ( 8,724,512 ) Interest income 27,836 47,436 Total income 7,995,254 9,477,382 Expenses Management fees 135,715 242,109 Professional fees 63,987 109,503 Distribution and marketing fees 127,166 225,016 Custodian fees and expenses 5,542 31,474 Business permits and licenses fees 7,777 14,527 General and administrative expenses 9,598 17,114 Total expenses 349,785 639,743 Expenses waived by the Sponsor ( 51,416 ) ( 62,577 ) Total expenses, net 298,369 577,166 Net income $ 7,696,885 $ 8,900,216 Net income per share $ 3.99 $ 2.09 Net income per weighted average share $ 3.62 $ 1.87 Weighted average shares outstanding 2,128,060 4,755,560 The accompanying notes are an integral part of these financial statements. 44 Table of Contents TEUCRIUM SOYBEAN FUND STATEMENTS OF CHANGES IN NET ASSETS (Unaudited) Three months ended Three months ended March 31, 2022 March 31, 2021 Operations Net income $ 7,696,885 $ 8,900,216 Capital transactions Issuance of Shares 14,305,992 18,716,075 Redemption of Shares ( 2,749,680 ) ( 25,600,897 ) Total capital transactions 11,556,312 ( 6,884,822 ) Net change in net assets 19,253,197 2,015,394 Net assets, beginning of period $ 44,972,625 $ 89,178,862 Net assets, end of period $ 64,225,822 $ 91,194,256 Net asset value per share at beginning of period $ 22.77 $ 19.49 Net asset value per share at end of period $ 26.76 $ 21.58 Creation of Shares 525,000 900,000 Redemption of Shares 100,000 1,250,000 The accompanying notes are an integral part of these financial statements. 45 Table of Contents TEUCRIUM SOYBEAN FUND STATEMENTS OF CASH FLOWS (Unaudited) Three months ended Three months ended March 31, 2022 March 31, 2021 Cash flows from operating activities: Net income $ 7,696,885 $ 8,900,216 Adjustments to reconcile net income to net cash provided by (used in) operating activities: Net change in unrealized (appreciation) depreciation on commodity futures contracts ( 914,717 ) 8,724,512 Changes in operating assets and liabilities: Due from broker - ( 2,240,865 ) Interest receivable ( 2,061 ) 406 Other assets - 37 Due to broker 1,264,293 ( 11,257,566 ) Management fee payable to Sponsor 19,791 7,862 Payable for purchases of commercial paper - ( 4,997,451 ) Other liabilities 37,744 8,195 Net cash provided by (used in) operating activities 8,101,935 ( 854,654 ) Cash flows from financing activities: Proceeds from sale of Shares 14,305,992 18,716,075 Redemption of Shares ( 2,749,680 ) ( 25,600,897 ) Net cash provided by (used in) financing activities 11,556,312 ( 6,884,822 ) Net change in cash and cash equivalents 19,658,247 ( 7,739,476 ) Cash and cash equivalents, beginning of period 43,019,884 90,398,391 Cash and cash equivalents, end of period $ 62,678,131 $ 82,658,915 The accompanying notes are an integral part of these financial statements. 46 Table of Contents NOTES TO FINANCIAL STATEMENTS March 31, 2022 (Unaudited) Note 1 – Organization and Operation Teucrium Soybean Fund (referred to herein as “SOYB” or the “Fund”) is a commodity pool that is a series of Teucrium Commodity Trust (“Trust”), a Delaware statutory trust formed on September 11, 2009. The Fund issues common units, called the “Shares,” representing fractional undivided beneficial interests in the Fund. The Fund continuously offers Creation Baskets consisting of 25,000 Shares at their Net Asset Value (“NAV”) to “Authorized Purchasers” through Foreside Fund Services, LLC, which is the distributor for the Fund (the “Distributor”). Authorized Purchasers sell such Shares, which are listed on the New York Stock Exchange (“NYSE”) Arca under the symbol “SOYB,” to the public at per Share offering prices that reflect, among other factors, the trading price of the Shares on the NYSE Arca, the NAV of the Fund at the time the Authorized Purchaser purchased the Creation Baskets and the NAV at the time of the offer of the Shares to the public, the supply of and demand for Shares at the time of sale, and the liquidity of the markets for soybean interests. The Fund’s Shares trade in the secondary market on the NYSE Arca at prices that are lower or higher than their NAV per Share. The investment objective of SOYB is to have the daily changes in the NAV of the Fund’s Shares reflect the daily changes in the soybean market for future delivery as measured by the Benchmark. The Benchmark is a weighted average of the closing settlement prices for three futures contracts for soybeans (“Soybean Futures Contracts”) that are traded on the Chicago Board of Trade (“CBOT”): SOYB Benchmark CBOT Soybean Futures Contract Weighting Second to expire (excluding August & September) 35 % Third to expire (excluding August & September) 30 % Expiring in the November following the expiration of the third to expire contract 35 % The Fund commenced investment operations on September 19, 2011 and has a fiscal year ending December 31. The Fund’s sponsor is Teucrium Trading, LLC (the “Sponsor”). The Sponsor is responsible for the management of the Fund. The Sponsor is registered as a commodity pool operator (“CPO”) and a commodity trading adviser (“CTA”) with the Commodity Futures Trading Commission (“CFTC”) and is a member of the National Futures Association (“NFA”). On June 13, 2011, the initial Form S-1 for SOYB was declared effective by the SEC. On September 16, 2011, two Creation Baskets were issued representing 100,000 shares and $ 2,500,000 . On September 19, 2011, SOYB started trading on the NYSE Arca. The current registration statement for SOYB was declared effective by the SEC on April 7, 2022. This registration statement for SOYB registered an indeterminate number of shares. The accompanying unaudited financial statements have been prepared in accordance with Rule 10-01 of Regulation S-X promulgated by the SEC and, therefore, do not include all information and footnote disclosures required under accounting principles generally accepted in the United States of America (“GAAP”). The financial information included herein is unaudited; however, such financial information reflects all adjustments which are, in the opinion of management, necessary for the fair presentation of the Fund’s financial statements for the interim period. It is suggested that these interim financial statements be read in conjunction with the financial statements and related notes included in the Trust’s Annual Report on Form 10-K, as well as the most recent Form S-1 filing, as applicable. The operating results for the three months ended March 31, 2022 are not necessarily indicative of the results to be expected for the full year ending December 31, 2022. 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. 47 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”) and StoneX Financial Inc. – FCM Division of INTL FCStone Financial Inc. (“StoneX”) serve as the Funds’ clearing brokers to execute and clear futures contracts and provide other brokerage-related services. E D & F Man and StoneX are each registered as futures commission merchants (“FCM”) with the U.S. CFTC and are members of the NFA. The clearing brokers are registered as a broker-dealers with the SEC and are each a member of FINRA. ED & F Man and StoneX are each clearing members of ICE Futures U.S., Inc., Chicago Board of Trade, Chicago Mercantile Exchange, New York Mercantile Exchange, and all other major United States commodity exchanges. For Corn, Soybean, Sugar and Wheat Futures Contracts E D & F Man is paid $9.00 per round turn . Effective April 1, 2022, E D & F Man will be paid $11.00 per round turn. StoneX is paid $2.50 per round turn exclusive of pass through fees for the exchange and the NFA. Additionally, if the monthly commissions paid by each Fund does not equal or exceed 20% return on the StoneX Capital Requirement at 9.6% of the Exchange Maintenance Margin, each Fund will pay a true up to meet that return at the end of each month. These expenses are recognized on a per-trade basis. The half-turn is recognized as an unrealized loss on the statements of operations for contracts that have been purchased since the change in recognition, and a full turn is recognized as a realized loss on the statements of operations when a contract is sold. A summary of these expenses 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: 48 Table of Contents Three months ended March 31, 2022 Three months ended March 31, 2021 Amount Recognized for Custody Services $ 5,542 $ 31,474 Amount of Custody Services Waived $ - $ - Amount Recognized for Distribution Services $ 5,589 $ 14,613 Amount of Distribution Services Waived $ 3,962 $ 6,017 Amount Recognized for Wilmington Trust $ - $ - Amount of Wilmington Trust Waived $ - $ - Amount Recognized for Thales $ 8,729 $ 24,352 Amount of Thales Waived $ - $ - Note 3 – Summary of Significant Accounting Policies Basis of Presentation The accompanying financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) as detailed in the Financial Accounting Standards Board’s Accounting Standards Codification. Revenue Recognition Commodity futures contracts are recorded on the trade date. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized appreciation or depreciation on commodity futures contracts are reflected in the statements of operations as the difference between the original contract amount and the fair market value as of the last business day of the year or as of the last date of the financial statements. Changes in the appreciation or depreciation between periods are reflected in the statements of operations. 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 months ended March 31, 2022 and 2021. SOYB Three Months Ended March 31, 2022 $ 6,521 Three Months Ended March 31, 2021 $ 15,192 49 Table of Contents Income Taxes For federal income tax purposes, each Fund will be treated as a publicly traded partnership. A publicly traded partnership is generally treated as a corporation for federal income tax purposes unless 90% or more of the publicly traded partnership’s gross income for each taxable year of its existence consists of qualifying income as defined in section 7704(d) of the Internal Revenue Code of 1986, as amended. Qualifying income is defined as generally including, in pertinent part, interest (other than from a financial business), dividends, and gains from the sale or disposition of capital assets held for the production of interest or dividends. In the case of a partnership of which a principal activity is the buying and selling of commodities, other than as inventory, or of futures, forwards and options with respect to commodities, qualifying income also includes income and gains from commodities and from futures, forwards, options with respect to commodities and, provided the partnership is a trader or investor with respect to such assets, swaps and other notional principal contracts with respect to commodities. The Fund expects that at least 90% of the Fund’s gross income for each taxable year will consist of qualifying income and that the Fund will be taxed as a partnership for federal income tax purposes. The Fund does not record a provision for income taxes because the shareholders report their share of the Fund’s income or loss on their income tax returns. The financial statements reflect the Fund’s transactions without adjustment, if any, required for income tax purposes. The Fund is required to determine whether a tax position is more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund files an income tax return in the U.S. federal jurisdiction and may file income tax returns in various U.S. states and foreign jurisdictions. For all tax years 2019 to 2021, the Fund remains subject to income tax examinations by major taxing authorities. The tax benefit recognized is measured as the largest amount of benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement. De-recognition of a tax benefit previously recognized results in the Fund recording a tax liability that reduces net assets. Based on its analysis, the Fund has determined that it has not incurred any liability for unrecognized tax benefits as of March 31, 2022 and for the years ended December 31, 2021, 2020, and 2019. However, the Fund’s conclusions regarding this policy may be subject to review and adjustment at a later date based on factors including, but not limited to, ongoing analysis of and changes to tax laws, regulations, and interpretations thereof. The Fund recognizes interest accrued related to unrecognized tax benefits and penalties related to unrecognized tax benefits in income tax fees payable, if assessed. No interest expense or penalties have been recognized as of and for the three months ended March 31, 2022 and 2021. 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 represent two Redemption Baskets for the Fund and a minimum level of shares. If the Fund experienced redemptions that caused the number of Shares outstanding to decrease to the minimum level of Shares required to be outstanding, until the minimum number of Shares is again exceeded through the purchase of a new Creation Basket, there can be no more redemptions by an Authorized Purchaser. Allocation of Shareholder Income and Losses Profit or loss is allocated among the shareholders of the Fund in proportion to the number of shares each shareholder holds as of the close of each month. 50 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 FCM in short term Treasury Bills as collateral for open futures contracts, which is classified as a cash equivalent and is not FDIC insured. March 31, 2022 December 31, 2021 Money Market Funds $ 18,126,682 $ 11,462,494 Demand Deposit Savings Accounts 13,065,530 10,059,937 Commercial Paper 31,485,919 21,497,453 Total cash and cash equivalents as presented on the Statement of Assets and Liabilities $ 62,678,131 $ 43,019,884 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. 51 Table of Contents 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. Sponsor Fee, Allocation of Expenses and Related Party Transactions The Sponsor is responsible for investing the assets of the Fund in accordance with the objectives and policies of the Fund. In addition, the Sponsor arranges for one or more third parties to provide administrative, custodial, accounting, transfer agency and other necessary services to the Trust and the Funds. In addition, the Sponsor has elected not to outsource services directly attributable to the Trust and the Funds such as accounting, financial reporting, regulatory compliance and trading activities, which the Sponsor performs itself. In addition, the Fund is contractually obligated to pay a monthly management fee to the Sponsor, based on average daily net assets, at a rate equal to 1.00% per annum. The Fund pays for all brokerage fees, taxes and other expenses, including licensing fees for the use of intellectual property, registration or other fees paid to the SEC, FINRA, or any other regulatory agency in connection with the offer and sale of subsequent Shares after its initial registration and all legal, accounting, printing and other expenses associated therewith. The Fund also pays its portion of the fees and expenses associated with the Trust’s tax accounting and reporting requirements. Certain aggregate expenses common to all Funds within the Trust are allocated by the Sponsor to the respective Fund based on activity drivers deemed most appropriate by the Sponsor for such expenses, including but not limited to relative assets under management and creation order activity. These aggregate common expenses include, but are not limited to, legal, auditing, accounting and financial reporting, tax-preparation, regulatory compliance, trading activities, and insurance costs, as well as fees paid to the Distributor, which are included in the related line item in the statements of operations. A portion of these aggregate common expenses are related to the Sponsor or related parties of principals of the Sponsor; these are necessary services to the Funds, which are primarily the cost of performing accounting and financial reporting, regulatory compliance, and trading activities that are directly attributable to the Fund. Such expenses are primarily recorded as distribution and marketing fees in the financial statements of each Fund. Three months ended March 31, 2022 Three months ended March 31, 2021 Recognized Related Party Transactions $ 77,433 $ 160,121 Waived Related Party Transactions $ 24,967 $ 24,345 52 Table of Contents The Sponsor has the ability to elect to pay certain expenses on behalf of the Funds or waive the management fee. This election is subject to change by the Sponsor, at its discretion. Expenses paid by the Sponsor and Management fees waived by the Sponsor are, if applicable, presented as waived expenses in the statements of operations for each Fund. The Sponsor has determined that there will be no recovery sought for the amounts below in any future period: SOYB Three months ended March 31, 2022 $ 51,416 Three months ended March 31, 2021 $ 62,577 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. 53 Table of Contents On March 31, 2022 and December 31, 2021, 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. 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. 54 Table of Contents The FASB issued ASU 2019-04: “Codification Improvements to Topic 326, Financial Instruments Credit Losses, Topic 815, Derivatives and hedging, and Topic 825, Financial Instruments.” The amendments clarify and improve areas of guidance related to the recently issued standards on credit losses, hedging, and recognition and measurement, specifically relating to ASU 201712. The amendments were early adopted for the quarter ended June 30, 2019; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued ASU 2019-01: “Leases (Topic 842): Codification Improvements. These amendments align the guidance for fair value of underlying assets by lessors that are not manufacturers or dealers in Topic 842 with that of existing guidance. The amendments 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 March 31, 2022 and December 31, 2021: March 31, 2022 Assets: Level 1 Level 2 Level 3 Balance as of March 31, 2022 Cash Equivalents $ 49,612,601 $ - $ - $ 49,612,601 Soybean futures contracts 3,599,568 - - 3,599,568 Total $ 53,212,169 $ - $ - $ 53,212,169 December 31, 2021 Assets: Level 1 Level 2 Level 3 Balance as of December 31, 2021 Cash Equivalents $ 32,959,947 $ - $ - $ 32,959,947 Soybean futures contracts 2,684,851 - - 2,684,851 Total $ 35,644,798 $ - $ - $ 35,644,798 For the three months ended March 31, 2022 and year ended December 31, 2021, 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. 55 Table of Contents See the Fair Value - Definition and Hierarchy section in Note 3 above for an explanation of the transfers into and out of each level of the fair value hierarchy. Note 5 – Derivative Instruments and Hedging Activities In the normal course of business, the Fund utilizes derivative contracts in connection with its proprietary trading activities. Investments in derivative contracts are subject to additional risks that can result in a loss of all or part of an investment. The Fund’s derivative activities and exposure to derivative contracts are classified by the following primary underlying risks: interest rate, credit, commodity price, and equity price risks. In addition to its primary underlying risks, the Fund is also subject to additional counterparty risk due to inability of its counterparties to meet the terms of their contracts. For the three months ended March 31, 2022 and year ended December 31, 2021, 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 statements of assets and liabilities as derivative contracts, categorized by primary underlying risk and held by the FCM, E D & F Man as of March 31, 2022 and December 31, 2021. *The amount of collateral presented in Collateral, Due from Broker, is limited to the liability for the futures contracts and accordingly does not include the excess collateral pledged. Offsetting of Financial Assets and Derivative Assets as of March 31, 2022 (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 $ 3,599,568 $ - $ 3,599,568 $ - $ 1,939,462 $ 1,660,106 56 Table of Contents Offsetting of Financial Assets and Derivative Assets as of December 31, 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 Soybean futures contracts $ 2,684,851 $ - $ 2,684,851 $ - $ 675,169 $ 2,009,682 The following is a summary of realized and unrealized gains and losses of the derivative instruments utilized by the Fund: Three months ended March 31, 2022 Primary Underlying Risk Realized Gain on Commodity Futures Contracts Net Change in Unrealized Appreciation on Commodity Futures Contracts Commodity Price Soybean futures contracts $ 7,052,701 $ 914,717 Three months ended March 31, 2021 Primary Underlying Risk Realized Gain on Commodity Futures Contracts Net Change in Unrealized Depreciation on Commodity Futures Contracts Commodity Price Soybean futures contracts $ 18,154,458 $ ( 8,724,512 ) Volume of Derivative Activities The average notional market value categorized by primary underlying risk for all futures contracts held was $ 56.8 million and $ 97.1 million for the three months ended March 31, 2022 and 2021, respectively. Note 6 – Financial Highlights The following tables present per unit performance data and other supplemental financial data for the three months ended March 31, 2022 and 2021. This information has been derived from information presented in the financial statements and is presented with total expenses gross of expenses waived by the Sponsor and with total expenses net of expenses waived by the Sponsor, as appropriate. Three months ended Three months ended March 31, 2022 March 31, 2021 Per Share Operation Performance Net asset value at beginning of period $ 22.77 $ 19.49 Income (loss) from investment operations: Investment income 0.01 0.01 Net realized and unrealized gain on commodity futures contracts 4.12 2.20 Total expenses, net ( 0.14 ) ( 0.12 ) Net increase in net asset value 3.99 2.09 Net asset value at end of period $ 26.76 $ 21.58 Total Return 17.52 % 10.73 % Ratios to Average Net Assets (Annualized) Total expenses 2.58 % 2.64 % Total expenses, net 2.20 % 2.38 % Net investment loss ( 1.99 )% ( 2.18 )% The financial highlights per share data are calculated consistent with the methodology used to calculate asset-based fees and expenses. 57 Table of Contents Note 7 – Organizational and Offering Costs Expenses incurred in organizing of the Trust and the initial offering of the Shares of the Fund, including applicable SEC registration fees were borne directly by the Sponsor. The Fund will not be obligated to reimburse the Sponsor. Note 8 – Subsequent Events Management has evaluated the financial statements for the quarter-ended March 31, 2022 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 total net assets of the Fund increased by $ 14,758,922 , or 23 %, for the period March 31, 2022 to May 9, 2022. This was driven by a 2 % increase in the NAV per share and a 21 % increase in the shares outstanding. A registration statement for SOYB was declared effective by the SEC on April 7, 2022. This registration statement for SOYB registered an indeterminate amount of shares. The Sponsor opened an account with StoneX, as a new FCM and clearing broker for the Fund. The Fund transferred soybean futures contract positions from E D & F Man to StoneX on April 13, 2022. 58 Table of Contents TEUCRIUM SUGAR FUND STATEMENTS OF ASSETS AND LIABILITIES March 31, 2022 December 31, 2021 (Unaudited) Assets Cash and cash equivalents $ 24,140,025 $ 21,332,902 Interest receivable 1,952 1,444 Other assets 10,845 - Equity in trading accounts: Commodity futures contracts 1,906,462 1,079,226 Due from broker - 535,983 Total equity in trading accounts 1,906,462 1,615,209 Total assets 26,059,284 22,949,555 Liabilities Management fee payable to Sponsor 19,910 19,490 Other liabilities 22,647 14,895 Equity in trading accounts: Commodity futures contracts - 80,506 Due to broker 525,266 - Total equity in trading accounts 525,266 80,506 Total liabilities $ 567,823 $ 114,891 Net assets $ 25,491,461 $ 22,834,664 Shares outstanding 2,650,004 2,475,004 Shares authorized 20,750,000 21,450,000 Net asset value per share $ 9.62 $ 9.23 Market value per share $ 9.65 $ 9.20 The accompanying notes are an integral part of these financial statements. 59 Table of Contents TEUCRIUM SUGAR FUND SCHEDULE OF INVESTMENTS March 31, 2022 (Unaudited) Percentage of Description: Assets Fair Value Net Assets Shares Cash equivalents Money market funds First American Government Obligations Fund - Class X (cost $7,605,606) $ 7,605,606 29.84 % 7,605,606 Goldman Sachs Financial Square Government Fund (cost: $15,426) 15,426 0.06 15,426 Total money market funds (cost: $7,621,032) $ 7,621,032 29.90 % Principal Amount Commercial Paper Albemarle Corporation 0.601% (cost: $2,498,792 due 04/07/2022) $ 2,499,750 9.80 % 2,500,000 AT&T Inc. 0.350% (cost: $2,498,979 due 04/11/2022) 2,499,757 9.81 2,500,000 WGL Holdings, Inc. 0.872% (cost: $2,498,308 due 04/22/2022) 2,498,731 9.80 2,500,000 Total Commercial Paper (cost: $7,496,079) $ 7,498,238 29.41 % Total cash equivalents $ 15,119,270 59.31 % Notional Amount (Long Exposure) Commodity futures contracts United States sugar futures contracts ICE sugar futures JUL22 (413 contracts) $ 400,836 1.57 % $ 8,936,659 ICE sugar futures OCT22 (353 contracts) 572,602 2.25 7,646,262 ICE sugar futures MAR23 (409 contracts) 933,024 3.66 8,914,237 Total commodity futures contracts $ 1,906,462 7.48 % $ 25,497,158 The accompanying notes are an integral part of these financial statements. 60 Table of Contents TEUCRIUM SUGAR FUND SCHEDULE OF INVESTMENTS December 31, 2021 Percentage of Description: Assets Fair Value Net Assets Shares Cash equivalents Money market funds First American Government Obligations Fund - Class X 0.026% (cost $4,808,415) $ 4,808,415 21.06 % 4,808,415 Goldman Sachs Financial Square Government Fund - Institutional Class 0.030% (cost: $8,468) 8,468 0.04 8,468 Total Money Market Funds (cost: $4,816,883) 4,816,883 21.10 Principal Amount Commercial Paper Jabil Inc. 0.250% (cost: $2,499,219 due 01/20/2022) $ 2,499,670 10.95 % 2,500,000 WGL Holdings, Inc. 0.187% (cost: $4,998,700 due 01/06/2022) 4,999,870 21.89 5,000,000 Total Commercial Paper (cost: $7,497,919) 7,499,540 32.84 Total Cash Equivalents $ 12,316,423 53.94 % Notional Amount (Long Exposure) Commodity futures contracts United States sugar futures contracts ICE sugar futures MAY22 (381 contracts) $ 225,299 0.99 % $ 7,936,992 ICE sugar futures MAR23 (392 contracts) 853,927 3.74 8,091,507 Total commodity futures contracts $ 1,079,226 4.73 % $ 16,028,499 Percentage of Notional Amount Description: Liabilities Fair Value Net Assets (Long Exposure) Commodity futures contracts United States sugar futures contracts ICE sugar futures JUL22 (331 contracts) $ 80,506 0.35 $ 6,817,541 The accompanying notes are an integral part of these financial statements. 61 Table of Contents TEUCRIUM SUGAR FUND STATEMENTS OF OPERATIONS (Unaudited) Three months ended Three months ended March 31, 2022 March 31, 2021 Income Realized and unrealized gain (loss) on trading of commodity futures contracts: Realized gain on commodity futures contracts $ 70,161 $ 1,253,480 Net change in unrealized appreciation (depreciation) on commodity futures contracts 907,742 ( 606,842 ) Interest income 10,698 6,388 Total income $ 988,601 653,026 Expenses Management fees 54,606 36,015 Professional fees 32,764 18,008 Distribution and marketing fees 47,970 33,075 Custodian fees and expenses 2,275 3,657 Business permits and licenses fees 8,217 18,345 General and administrative expenses 4,208 3,601 Total expenses 150,040 112,701 Expenses waived by the Sponsor ( 28,866 ) ( 26,490 ) Total expenses, net 121,174 86,211 Net income $ 867,427 $ 566,815 Net income per share $ 0.39 $ 0.31 Net income per weighted average share $ 0.36 $ 0.28 Weighted average shares outstanding 2,421,393 2,034,171 The accompanying notes are an integral part of these financial statements. 62 Table of Contents TEUCRIUM SUGAR FUND STATEMENTS OF CHANGES IN NET ASSETS (Unaudited) Three months ended Three months ended March 31, 2022 March 31, 2021 Operations Net income $ 867,427 $ 566,815 Capital transactions Issuance of Shares 6,487,310 1,953,037 Redemption of Shares ( 4,697,940 ) - Total capital transactions 1,789,370 1,953,037 Net change in net assets 2,656,797 2,519,852 Net assets, beginning of period $ 22,834,664 $ 12,766,091 Net assets, end of period $ 25,491,461 $ 15,285,943 Net asset value per share at beginning of period $ 9.23 $ 6.72 Net asset value per share at end of period $ 9.62 $ 7.03 Creation of Shares 700,000 275,000 Redemption of Shares 525,000 - The accompanying notes are an integral part of these financial statements. 63 Table of Contents TEUCRIUM SUGAR FUND STATEMENTS OF CASH FLOWS (Unaudited) Three months ended Three months ended March 31, 2022 March 31, 2021 Cash flows from operating activities: Net income $ 867,427 $ 566,815 Adjustments to reconcile net income to net cash provided by operating activities: Net change in unrealized (appreciation) depreciation on commodity futures contracts ( 907,742 ) 606,842 Changes in operating assets and liabilities: Due from broker 535,983 ( 141,429 ) Interest receivable ( 508 ) 92 Other assets ( 10,845 ) - Due to broker 525,266 ( 475,661 ) Management fee payable to Sponsor 420 2,841 Other liabilities 7,752 9,997 Net cash provided by operating activities 1,017,753 569,497 Cash flows from financing activities: Proceeds from sale of Shares 6,487,310 1,953,037 Redemption of Shares ( 4,697,940 ) - Net cash provided by financing activities 1,789,370 1,953,037 Net change in cash and cash equivalents 2,807,123 2,522,534 Cash and cash equivalents, beginning of period 21,332,902 11,849,332 Cash and cash equivalents, end of period $ 24,140,025 $ 14,371,866 The accompanying notes are an integral part of these financial statements. 64 Table of Contents NOTES TO FINANCIAL STATEMENTS March 31, 2022 (Unaudited) Note 1 – Organization and Operation Teucrium Sugar Fund (referred to herein as “CANE” or the “Fund”) is a commodity pool that is a series of Teucrium Commodity Trust (“Trust”), a Delaware statutory trust formed on September 11, 2009. The Fund issues common units, called the “Shares,” representing fractional undivided beneficial interests in the Fund. The Fund continuously offers Creation Baskets consisting of 25,000 Shares at their Net Asset Value (“NAV”) to “Authorized Purchasers” through Foreside Fund Services, LLC, which is the distributor for the Fund (the “Distributor”). Authorized Purchasers sell such Shares, which are listed on the New York Stock Exchange (“NYSE”) Arca under the symbol “CANE,” to the public at per-Share offering prices that reflect, among other factors, the trading price of the Shares on the NYSE Arca, the NAV of the Fund at the time the Authorized Purchaser purchased the Creation Baskets and the NAV at the time of the offer of the Shares to the public, the supply of and demand for Shares at the time of sale, and the liquidity of the markets for sugar interests. The Fund’s Shares trade in the secondary market on the NYSE Arca at prices that are lower or higher than their NAV per Share. The investment objective of CANE is to have the daily changes in the NAV of the Fund’s Shares reflect the daily changes in the sugar market for future delivery as measured by the Benchmark. The Benchmark is a weighted average of the closing settlement prices for three futures contracts for No. 11 sugar (“Sugar Futures Contracts”) that are traded on the ICE Futures US (“ICE”): CANE Benchmark ICE Sugar Futures Contract Weighting Second to expire 35 % Third to expire 30 % Expiring in the March following the expiration of the third to expire contract 35 % The Fund commenced investment operations on September 19, 2011 and has a fiscal year ending December 31. The Fund’s sponsor is Teucrium Trading, LLC (the “Sponsor”). The Sponsor is responsible for the management of the Fund. The Sponsor is registered as a commodity pool operator (“CPO”) and a commodity trading adviser (“CTA”) with the Commodity Futures Trading Commission (“CFTC”) and is a member of the National Futures Association (“NFA”). On June 13, 2011, the initial Form S-1 for CANE was declared effective by the SEC. On September 16, 2011, two Creation Baskets were issued representing 100,000 shares and $ 2,500,000 . On September 19, 2011, CANE started trading on the NYSE Arca. The current registration statement for CANE was declared effective by the SEC on April 7, 2022. This registration statement for CANE registered an indeterminate number of shares. The accompanying unaudited financial statements have been prepared in accordance with Rule 10-01 of Regulation S-X promulgated by the SEC and, therefore, do not include all information and footnote disclosures required under accounting principles generally accepted in the United States of America (“GAAP”). The financial information included herein is unaudited; however, such financial information reflects all adjustments which are, in the opinion of management, necessary for the fair presentation of the Fund’s financial statements for the interim period. It is suggested that these interim financial statements be read in conjunction with the financial statements and related notes included in the Trust’s Annual Report on Form 10-K, as well as the most recent Form S-1 filing, as applicable. The operating results for the three months ended March 31, 2022 are not necessarily indicative of the results to be expected for the full year ending December 31, 2022. 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. 65 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”) and StoneX Financial Inc. – FCM Division of INTL FCStone Financial Inc. (“StoneX”) serve as the Funds’ clearing brokers to execute and clear the futures contracts and provide other brokerage-related services. E D & F Man and StoneX are each registered as futures commission merchants (“FCM”) with the U.S. CFTC and are members of the NFA. The clearing brokers are registered as a broker-dealers with the SEC and are each a member of FINRA. ED & F Man and StoneX are each clearing members of ICE Futures U.S., Inc., Chicago Board of Trade, Chicago Mercantile Exchange, New York Mercantile Exchange, and all other major United States commodity exchanges. For Corn, Soybean, Sugar and Wheat Futures Contracts E D & F Man is paid $9.00 per round turn . Effective April 1, 2022, E D & F Man will be paid $11.00 per round turn. StoneX is paid $2.50 per round turn exclusive of pass through fees for the exchange and the NFA. Additionally, if the monthly commissions paid by each Fund does not equal or exceed 20% return on the StoneX Capital Requirement at 9.6% of the Exchange Maintenance Margin, each Fund will pay a true up to meet that return at the end of each month. These expenses are recognized on a per-trade basis. The half-turn is recognized as an unrealized loss on the statements of operations for contracts that have been purchased since the change in recognition, and a full turn is recognized as a realized loss on the statements of operations when a contract is sold. A summary of these expenses 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 months ended March 31, 2022 Three months ended March 31, 2021 Amount Recognized for Custody Services $ 2,275 $ 3,657 Amount of Custody Services Waived $ - $ 55 Amount Recognized for Distribution Services $ 2,507 $ 1,853 Amount of Distribution Services Waived $ 1,852 $ - Amount Recognized for Wilmington Trust $ - $ - Amount of Wilmington Trust Waived $ - $ - Amount Recognized for Thales $ 4,272 $ 3,042 Amount of Thales Waived $ - $ - 66 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 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 months ended March 31, 2022 and 2021. CANE Three Months Ended March 31, 2022 $ 6,196 Three Months Ended March 31, 2021 $ 3,476 67 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 2019 to 2021, the Fund remains subject to income tax examinations by major taxing authorities. The tax benefit recognized is measured as the largest amount of benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement. De-recognition of a tax benefit previously recognized results in the Fund recording a tax liability that reduces net assets. Based on its analysis, the Fund has determined that it has not incurred any liability for unrecognized tax benefits as of March 31, 2022 and for the years ended December 31, 2021, 2020, and 2019. However, the Fund’s conclusions regarding this policy may be subject to review and adjustment at a later date based on factors including, but not limited to, ongoing analysis of and changes to tax laws, regulations, and interpretations thereof. The Fund recognizes interest accrued related to unrecognized tax benefits and penalties related to unrecognized tax benefits in income tax fees payable, if assessed. No interest expense or penalties have been recognized as of and for the three months ended March 31, 2022 and 2021. 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. 68 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. March 31, 2022 December 31, 2021 Money Market Funds $ 7,621,032 $ 4,816,883 Demand Deposit Savings Accounts 9,020,755 9,016,479 Commercial Paper 7,498,238 7,499,540 Total cash and cash equivalents as presented on the Statement of Assets and Liabilities $ 24,140,025 $ 21,332,902 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. 69 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 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. The Fund generally pays for all brokerage fees, taxes and other expenses, including licensing fees for the use of intellectual property, registration or other fees paid to the SEC, FINRA, or any other regulatory agency in connection with the offer and sale of subsequent Shares after its initial registration and all legal, accounting, printing and other expenses associated therewith. The Fund also pays its portion of the fees and expenses associated with the Trust’s tax accounting and reporting requirements. Certain aggregate expenses common to all Funds within the Trust are allocated by the Sponsor to the respective Fund based on activity drivers deemed most appropriate by the Sponsor for such expenses, including but not limited to relative assets under management and creation order activity. These aggregate common expenses include, but are not limited to, legal, auditing, accounting and financial reporting, tax-preparation, regulatory compliance, trading activities, and insurance costs, as well as fees paid to the Distributor, which are included in the related line item in the statements of operations. A portion of these aggregate common expenses are related to the Sponsor or related parties of principals of the Sponsor; these are necessary services to the Funds, which are primarily the cost of performing accounting and financial reporting, regulatory compliance, and trading activities that are directly attributable to the Fund. Such expenses are primarily recorded as distribution and marketing fees in the financial statements of each Fund. Three months ended March 31, 2022 Three months ended March 31, 2021 Recognized Related Party Transactions $ 36,129 $ 20,250 Waived Related Party Transactions $ 6,782 $ 8,810 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 March 31, 2022 $ 28,866 Three months ended March 31, 2021 $ 26,490 70 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. 71 Table of Contents On March 31, 2022 and December 31, 2021, in the opinion of the Trust and the Fund, the reported value of the Sugar Futures Contracts traded on the ICE fairly reflected the value of the Sugar Futures Contracts held by the Fund, and no adjustments were necessary. The determination is made as of the settlement of the futures contracts on the last day of trading for the reporting period. In making the determination of a Level 1 or Level 2 transfer, the Fund considers the average volume of the specific underlying futures contracts traded on the relevant exchange for the periods being reported. For the three months ended March 31, 2022 and year ended December 31, 2021, 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. 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 2019-04: “Codification Improvements to Topic 326, Financial Instruments Credit Losses, Topic 815, Derivatives and hedging, and Topic 825, Financial Instruments.” The amendments clarify and improve areas of guidance related to the recently issued standards on credit losses, hedging, and recognition and measurement, specifically relating to ASU 201712. The amendments were early adopted for the quarter ended June 30, 2019; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. 72 Table of Contents The FASB issued ASU 2019-01: “Leases (Topic 842): Codification Improvements. These amendments align the guidance for fair value of underlying assets by lessors that are not manufacturers or dealers in Topic 842 with that of existing guidance. The amendments 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 March 31, 2022 and December 31, 2021: March 31, 2022 Assets: Level 1 Level 2 Level 3 Balance as of March 31, 2022 Cash Equivalents $ 15,119,270 $ - $ - $ 15,119,270 Sugar Futures Contracts 1,906,462 - - 1,906,462 Total $ 17,025,732 $ - $ - $ 17,025,732 December 31, 2021 Assets: Level 1 Level 2 Level 3 Balance as of December 31, 2021 Cash Equivalents $ 12,316,423 $ - $ - $ 12,316,423 Sugar Futures Contracts 1,079,226 - - 1,079,226 Total $ 13,395,649 $ - $ - $ 13,395,649 Liabilities: Level 1 Level 2 Level 3 Balance as of December 31, 2021 Sugar Futures Contracts $ 80,506 $ - $ - $ 80,506 For the period March 31, 2022 and year ended December 31, 2021, 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. 73 Table of Contents Note 5 – Derivative Instruments and Hedging Activities In the normal course of business, the Fund utilizes derivative contracts in connection with its proprietary trading activities. Investments in derivative contracts are subject to additional risks that can result in a loss of all or part of an investment. The Fund’s derivative activities and exposure to derivative contracts are classified by the following primary underlying risks: interest rate, credit, commodity price, and equity price risks. In addition to its primary underlying risks, the Fund is also subject to additional counterparty risk due to inability of its counterparties to meet the terms of their contracts. For the three months ended March 31, 2022 and year ended December 31, 2021, 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 statements of assets and liabilities as derivative contracts, categorized by primary underlying risk and held by the FCM, E D & F Man as of March 31, 2022 and December 31, 2021. *The amount of collateral presented in Collateral, Due from Broker, is limited to the liability for the futures contracts and accordingly does not include the excess collateral pledged. Offsetting of Financial Assets and Derivative Assets as of March 31, 2022 (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 $ 1,906,462 $ - $ 1,906,462 $ - $ 525,266 $ 1,381,196 74 Table of Contents Offsetting of Financial Assets and Derivative Assets as of December 31, 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 $ 1,079,226 $ - $ 1,079,226 $ 80,506 $ - $ 998,720 Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 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 Sugar futures contracts $ 80,506 $ - $ 80,506 $ 80,506 $ - $ - The following tables identify the net gain and loss amounts included in the statements of operations as realized and unrealized gains and losses on trading of commodity futures contracts categorized by primary underlying risk: Three months ended March 31, 2022 Primary Underlying Risk Realized Gain on Commodity Futures Contracts Net Change in Unrealized Appreciation on Commodity Futures Contracts Commodity Price Sugar futures contracts $ 70,161 $ 907,742 Three months ended March 31, 2021 Primary Underlying Risk Realized Gain on Commodity Futures Contracts Net Change in Unrealized Depreciation on Commodity Futures Contracts Commodity Price Sugar futures contracts $ 1,253,480 $ ( 606,842 ) Volume of Derivative Activities The average notional market value categorized by primary underlying risk for all futures contracts held were $ 21.4 million and $ 14.9 million for the three months ended March 31, 2022 and 2021. Note 6 – Financial Highlights The following table presents per unit performance data and other supplemental financial data for the three months ended March 31, 2022 and 2021. 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. 75 Table of Contents Three months ended Three months ended March 31, 2022 March 31, 2021 Per Share Operation Performance Net asset value at beginning of period $ 9.23 $ 6.72 Income (loss) from investment operations: Net realized and unrealized gain on commodity futures contracts 0.44 0.35 Total expenses, net ( 0.05 ) ( 0.04 ) Net increase in net asset value 0.39 0.31 Net asset value at end of period $ 9.62 $ 7.03 Total Return 4.26 % 4.60 % Ratios to Average Net Assets (Annualized) Total expenses 2.75 % 3.13 % Total expenses, net 2.22 % 2.39 % Net investment loss ( 2.02 )% ( 2.21 )% The financial highlights per share data are calculated consistent with the methodology used to calculate asset-based fees and expenses. Note 7 – Organizational and Offering Costs Expenses incurred in organizing of the Trust and the initial offering of the Shares of the Fund, including applicable SEC registration fees, were borne directly by the Sponsor. The Fund will not be obligated to reimburse the Sponsor. Note 8 – Subsequent Events Management has evaluated the financial statements for the quarter-ended March 31, 2022 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 total net assets of the Fund increased by $ 8,669,045 , or 34 %, for the period March 31, 2022 to May 9, 2022. This was driven by a 37 % increase in the shares outstanding and partially offset by a 2 % decrease in the NAV per share. A registration statement for CANE was declared effective by the SEC on April 7, 2022. This registration statement for CANE registered an indeterminate amount of shares. The Sponsor opened an account with StoneX, as a new FCM and clearing broker for the Fund. The Fund transferred sugar futures contract positions from E D & F Man to StoneX on April 13, 2022. 76 Table of Contents TEUCRIUM WHEAT FUND STATEMENTS OF ASSETS AND LIABILITIES March 31, 2022 December 31, 2021 (Unaudited) Assets Cash and cash equivalents $ 462,259,066 $ 72,841,616 Interest receivable 27,280 4,993 Other assets - 970 Equity in trading accounts: Commodity futures contracts - 3,714,672 Due from broker 81,975,541 - Total equity in trading accounts 81,975,541 3,714,672 Total assets $ 544,261,887 $ 76,562,251 Liabilities Management fee payable to Sponsor 306,694 67,745 Payable for purchases of commercial paper 17,487,493 - Other liabilities 36,804 4,242 Equity in trading accounts: Commodity futures contracts 33,791,659 654,969 Due to broker - 213,708 Total equity in trading accounts 33,791,659 868,677 Total liabilities $ 51,622,650 $ 940,664 Net assets $ 492,639,237 $ 75,621,587 Shares outstanding 50,125,004 10,250,004 Shares authorized * 33,600,000 Net asset value per share $ 9.83 $ 7.38 Market value per share $ 9.86 $ 7.39 *On March 9, 2022, the Teucrium Wheat Fund registered an indeterminate number of shares of the Fund pursuant to Rule 456(d) under the Securities Act of 1933. The accompanying notes are an integral part of these financial statements. 77 Table of Contents TEUCRIUM WHEAT FUND SCHEDULE OF INVESTMENTS March 31, 2022 (Unaudited) Percentage of Description: Assets Fair Value Net Assets Shares Cash equivalents Money market funds First American Government Obligations Fund - Class X (cost: $267,687,106) $ 267,687,106 54.34 % 267,687,106 Goldman Sachs Financial Square Government Fund (cost: $61,528) 61,528 0.01 61,528 Total money market funds (cost: $267,748,634) $ 267,748,634 54.35 % Principal Amount Commercial Paper AT&T Inc. 0.240% (cost: $2,498,933 due 04/13/2022) $ 2,499,800 0.51 % 2,500,000 AT&T Inc. 0.220% (cost: $2,499,068 due 04/13/2022) 2,499,817 0.50 2,500,000 Brookfield Infrastructure Holdings (Canada) Inc. 1.054% (cost: $2,496,208 due 05/05/2022) 2,497,521 0.51 2,500,000 Brookfield Infrastructure Holdings (Canada) Inc. 0.973% (cost: $2,496,902 due 05/03/2022) 2,497,845 0.51 2,500,000 Brookfield Infrastructure Holdings (Canada) Inc. 1.003% (cost: $2,496,736 due 05/10/2022) 2,497,292 0.51 2,500,000 Canadian Natural Resources Limited 0.902% (cost: $7,495,500 due 04/25/2022) 7,495,500 1.52 7,500,000 Cigna Corporation 0.250% (cost: $4,997,015 due 04/27/2022) 4,999,098 1.01 5,000,000 Cigna Corporation 0.551% (cost: $2,497,059 due 05/13/2022) 2,498,396 0.51 2,500,000 Cigna Corporation 0.641% (cost: $2,496,667 due 05/16/2022) 2,498,000 0.51 2,500,000 Crown Castle International Corp. 1.154% (cost: $4,992,972 due 05/12/2022) 4,993,451 1.01 5,000,000 Crown Castle International Corp. 0.902% (cost: $4,997,500 due 04/19/2022) 4,997,750 1.01 5,000,000 Enbridge (U.S.) Inc. 0.200% (cost: $2,498,861 due 04/04/2022) 2,499,958 0.51 2,500,000 FMC Corporation 0.852% (cost: $4,997,167 due 04/11/2022) 4,998,819 1.01 5,000,000 FMC Corporation 0.963% (cost: $9,992,268 due 04/21/2022) 9,994,667 2.03 10,000,000 General Motors Financial Company, Inc. 0.350% (cost: $2,497,958 due 04/25/2022) 2,499,417 0.51 2,500,000 General Motors Financial Company, Inc. 0.701% (cost: $4,997,375 due 04/12/2022) 4,998,931 1.01 5,000,000 General Motors Financial Company, Inc. 1.034% (cost: $2,494,064 due 06/08/2022) 2,495,137 0.51 2,500,000 Glencore Funding LLC 0.234% (cost: $2,498,976 due 04/08/2022) 2,499,886 0.51 2,500,000 Harley-Davidson Financial Services, Inc. 0.932% (cost: $9,991,993 due 05/02/2022) 9,991,993 2.03 10,000,000 HP Inc. 0.802% (cost: $14,993,000 due 04/18/2022) 14,994,333 3.04 15,000,000 Humana Inc. 0.802% (cost: $4,996,889 due 04/11/2022) 4,998,889 1.01 5,000,000 Jabil Inc. 0.551% (cost: $2,498,434 due 04/18/2022) 2,499,351 0.51 2,500,000 Jabil Inc. 0.802% (cost: $12,495,278 due 04/08/2022) 12,498,056 2.54 12,500,000 Verizon Communications Inc. 0.601% (cost: $4,992,667 due 05/24/2022) 4,995,583 1.01 5,000,000 Verizon Communications Inc. 0.611% (cost: $2,496,404 due 05/25/2022) 2,497,716 0.51 2,500,000 Viatris Inc. 0.902% (cost: $9,997,250 due 04/01/2022) 10,000,000 2.03 10,000,000 Walgreens Boots Alliance, Inc. 0.913% (cost: $2,496,524 due 05/25/2022) 2,496,587 0.51 2,500,000 WGL Holdings, Inc. 0.872% (cost: $2,498,308 due 04/22/2022) 2,498,731 0.51 2,500,000 Total Commercial Paper (Total cost: $137,397,976) $ 137,432,524 27.90 % Total Cash Equivalents $ 405,181,158 82.25 % Percentage of Notional Amount Description: Liabilities Fair Value Net Assets (Long Exposure) Commodity futures contracts United States wheat futures contracts CBOT wheat futures JUL22 (3,442 contracts) $ 18,081,912 3.67 % $ 172,444,200 CBOT wheat futures SEP22 (2,991 contracts) 12,040,392 2.44 147,904,950 CBOT wheat futures DEC22 (3,543 contracts) 3,669,355 0.75 172,322,663 Total commodity futures contracts $ 33,791,659 6.86 % $ 492,671,813 The accompanying notes are an integral part of these financial statements. 78 Table of Contents TEUCRIUM WHEAT FUND SCHEDULE OF INVESTMENTS December 31, 2021 Percentage of Description: Assets Fair Value Net Assets Shares Cash equivalents Money market funds First American Government Obligations Fund - Class X 0.026% (cost $5,281,765) $ 5,281,765 6.99 % 5,281,765 Goldman Sachs Financial Square Government Fund - Institutional Class 0.030% (cost $3,228) 3,228 0.00 3,228 Total money market funds (cost: $5,284,993) $ 5,284,993 6.99 % Principal Amount Commercial Paper Albemarle Corporation 0.181% (cost: $2,499,081 due 01/31/2022) $ 2,499,622 3.30 % 2,500,000 Albemarle Corporation 0.200% (cost: $2,499,417 due 01/11/2022) 2,499,861 3.31 2,500,000 Brookfield Infrastructure Holdings (Canada) Inc. 0.170% (cost: $2,499,021 due 01/25/2022) 2,499,717 3.31 2,500,000 Conagra Brands, Inc. 0.160% (cost: $2,499,300 due 01/05/2022) 2,499,956 3.31 2,500,000 General Motors Financial Company, Inc. 0.160% (cost: $2,499,000 due 01/06/2022) 2,499,945 3.31 2,500,000 General Motors Financial Company, Inc. 0.200% (cost: $2,498,778 due 01/31/2022) 2,499,583 3.30 2,500,000 Harley-Davidson Financial Services, Inc. 0.167% (cost: $2,499,015 due 01/13/2022) 2,499,861 3.31 2,500,000 Harley-Davidson Financial Services, Inc. 0.170% (cost: $2,498,938 due 02/01/2022) 2,499,634 3.31 2,500,000 Harley-Davidson Financial Services, Inc. 0.250% (cost: $2,498,664 due 03/02/2022) 2,498,959 3.30 2,500,000 Jabil Inc. 0.300% (cost: $2,498,688 due 02/08/2022) 2,499,208 3.30 2,500,000 Jabil Inc. 0.310% (cost: $2,498,450 due 02/25/2022) 2,498,816 3.30 2,500,000 Viatris Inc. 0.300% (cost: $2,498,313 due 02/11/2022) 2,499,146 3.30 2,500,000 Viatris Inc. 0.200% (cost: $2,499,292 due 01/21/2022) 2,499,722 3.31 2,500,000 Viatris Inc. 0.310% (cost: $2,498,493 due 03/01/2022) 2,498,730 3.30 2,500,000 WGL Holdings, Inc. 0.220% (cost: $2,499,343 due 01/12/2022) 2,499,832 3.31 2,500,000 Total Commercial Paper (cost: $37,483,793) $ 37,492,592 49.58 % Total Cash Equivalents $ 42,777,585 56.57 % Notional Amount (Long Exposure) Commodity futures contracts United States wheat futures contracts CBOT wheat futures MAY22 (687 contracts) $ 1,809,796 2.39 % $ 26,595,488 CBOT wheat futures DEC22 (686 contracts) 1,904,876 2.52 26,411,000 Total commodity futures contracts $ 3,714,672 4.91 % $ 53,006,488 Percentage of Notional Amount Description: Liabilities Fair Value Net Assets (Long Exposure) Commodity futures contracts United States wheat futures contracts CBOT wheat futures JUL22 (593 contracts) $ 654,969 0.87 % $ 22,667,425 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 March 31, 2022 March 31, 2021 Income Realized and unrealized gain (loss) on trading of commodity futures contracts: Realized gain on commodity futures contracts $ 38,006,567 $ 2,919,448 Net change in unrealized depreciation on commodity futures contracts ( 36,851,362 ) ( 5,055,673 ) Interest income 94,809 35,181 Total loss 1,250,014 ( 2,101,044 ) Expenses Management fees 437,168 194,308 Professional fees 131,352 76,397 Distribution and marketing fees 255,429 141,041 Custodian fees and expenses 6,996 19,431 Business permits and licenses fees 12,963 19,431 General and administrative expenses 14,297 9,679 Total expenses 858,205 460,287 Expenses waived by the Sponsor ( 85,856 ) ( 28,715 ) Total expenses, net 772,349 431,572 Net income (loss) $ 477,665 $ ( 2,532,616 ) Net income (loss) per share $ 2.45 $ ( 0.17 ) Net income (loss) per weighted average share $ 0.03 $ ( 0.20 ) Weighted average shares outstanding 19,052,226 12,683,337 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) Three months ended Three months ended March 31, 2022 March 31, 2021 Operations Net income (loss) $ 477,665 $ ( 2,532,616 ) Capital transactions Issuance of Shares 528,479,185 17,528,913 Redemption of Shares ( 111,939,200 ) ( 4,150,503 ) Total capital transactions 416,539,985 13,378,410 Net change in net assets 417,017,650 10,845,794 Net assets, beginning of period $ 75,621,587 $ 69,876,578 Net assets, end of period $ 492,639,237 $ 80,722,372 Net asset value per share at beginning of period $ 7.38 $ 6.16 Net asset value per share at end of period $ 9.83 $ 5.99 Creation of Shares 51,025,000 2,800,000 Redemption of Shares 11,150,000 675,000 The accompanying notes are an integral part of these financial statements. 81 Table of Contents TEUCRIUM WHEAT FUND STATEMENTS OF CASH FLOWS (Unaudited) Three months ended Three months ended March 31, 2022 March 31, 2021 Cash flows from operating activities: Net income (loss) $ 477,665 $ ( 2,532,616 ) Adjustments to reconcile net income (loss) to net cash used in operating activities: Net change in unrealized depreciation on commodity futures contracts 36,851,362 5,055,673 Changes in operating assets and liabilities: Due from broker ( 81,975,541 ) ( 6,421,744 ) Interest receivable ( 22,287 ) ( 470 ) Other assets 970 - Due to broker ( 213,708 ) ( 2,571,103 ) Payable for purchases of commercial paper 17,487,493 - Management fee payable to Sponsor 238,949 10,484 Other liabilities 32,562 15,387 Net cash used in operating activities ( 27,122,535 ) ( 6,444,389 ) Cash flows from financing activities: Proceeds from sale of Shares 528,479,185 17,836,743 Redemption of Shares ( 111,939,200 ) ( 6,613,143 ) Net cash provided by financing activities 416,539,985 11,223,600 Net change in cash and cash equivalents 389,417,450 4,779,211 Cash and cash equivalents, beginning of period 72,841,616 68,946,725 Cash and cash equivalents, end of period $ 462,259,066 $ 73,725,936 The accompanying notes are an integral part of these financial statements. 82 Table of Contents NOTES TO FINANCIAL STATEMENTS March 31, 2022 (Unaudited) Note 1 – Organization and Operation Teucrium Wheat Fund (referred to herein as “WEAT” or the “Fund”) is a commodity pool that is a series of Teucrium Commodity Trust (“Trust”), a Delaware statutory trust formed on September 11, 2009. The Fund issues common units, called the “Shares,” representing fractional undivided beneficial interests in the Fund. The Fund continuously offers Creation Baskets consisting of 25,000 Shares at their Net Asset Value (“NAV”) to “Authorized Purchasers” through Foreside Fund Services, LLC, which is the distributor for the Fund (the “Distributor”). Authorized Purchasers sell such Shares, which are listed on the New York Stock Exchange (“NYSE”) Arca under the symbol “WEAT,” to the public at per-Share offering prices that reflect, among other factors, the trading price of the Shares on the NYSE Arca, the NAV of the Fund at the time the Authorized Purchaser purchased the Creation Baskets and the NAV at the time of the offer of the Shares to the public, the supply of and demand for Shares at the time of sale, and the liquidity of the markets for wheat interests. The Fund’s Shares trade in the secondary market on the NYSE Arca at prices that are lower or higher than their NAV per Share. The investment objective of WEAT is to have the daily changes in the NAV of the Fund’s Shares reflect the daily changes in the wheat market for future delivery as measured by the Benchmark. The Benchmark is a weighted average of the closing settlement prices for three futures contracts for wheat (“Wheat Futures Contracts”) that are traded on the Chicago Board of Trade (“CBOT”): WEAT Benchmark CBOT Wheat Futures Contract Weighting Second to expire 35 % Third to expire 30 % December following the third to expire 35 % The Fund commenced investment operations on September 19, 2011 and has a fiscal year ending December 31. The Fund’s sponsor is Teucrium Trading, LLC (the “Sponsor”). The Sponsor is responsible for the management of the Fund. The Sponsor is registered as a commodity pool operator (“CPO”) and a commodity trading adviser (“CTA”) with the Commodity Futures Trading Commission (“CFTC”) and is a member of the National Futures Association (“NFA”). On June 13, 2011, the Fund’s initial registration of 10,000,000 shares on Form S1 was declared effective by the SEC. On September 19, 2011, the Fund listed its shares on the NYSE Arca under the ticker symbol “WEAT.” On the business day prior to that, the Fund issued 100,000 shares in exchange for $ 2,500,000 at the Fund’s initial NAV of $ 25 per share. The Fund also commenced investment operations on September 19, 2011 by purchasing commodity futures contracts traded on the CBOT. On December 31, 2010, the Fund had four shares outstanding, which were owned by the Sponsor. The current registration statement for WEAT was declared effective on March 9, 2022. This registration statement for WEAT registered an indeterminate number of shares. The accompanying unaudited financial statements have been prepared in accordance with Rule 10-01 of Regulation S-X promulgated by the SEC and, therefore, do not include all information and footnote disclosures required under accounting principles generally accepted in the United States of America (“GAAP”). The financial information included herein is unaudited; however, such financial information reflects all adjustments which are, in the opinion of management, necessary for the fair presentation of the Fund’s financial statements for the interim period. It is suggested that these interim financial statements be read in conjunction with the financial statements and related notes included in the Trust’s Annual Report on Form 10-K, as well as the most recent Form S-1 filing, as applicable. The operating results for the three months ended March 31, 2022 are not necessarily indicative of the results to be expected for the full year ending December 31, 2022. 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”) and StoneX Financial Inc. – FCM Division of INTL FCStone Financial Inc. (“StoneX”) serve as the Funds’ clearing brokers to execute and clear futures contracts and provide other brokerage-related services. E D & F Man and StoneX are each registered as futures commission merchants (“FCM”) with the U.S. CFTC and are members of the NFA. The clearing brokers are registered as a broker-dealers with the SEC and are each a member of FINRA. ED & F Man and StoneX are each clearing members of ICE Futures U.S., Inc., Chicago Board of Trade, Chicago Mercantile Exchange, New York Mercantile Exchange, and all other major United States commodity exchanges. For Corn, Soybean, Sugar and Wheat Futures Contracts E D & F Man is paid $9.00 per round turn . Effective April 1, 2022, E D & F Man will be paid $11.00 per round turn. StoneX is paid $2.50 per round turn exclusive of pass through fees for the exchange and the NFA. Additionally, if the monthly commissions paid by each Fund does not equal or exceed 20% on the StoneX Capital Requirement at 9.6% of the Exchange Maintenance Margin, each Fund will pay a true up to meet that return at the end of each month. These expenses are recognized on a per-trade basis. The half-turn is recognized as an unrealized loss on the statements of operations for contracts that have been purchased since the change in recognition, and a full turn is recognized as a realized loss on the statements of operations when a contract is sold. A summary of these expenses 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 months ended March 31, 2022 Three months ended March 31, 2021 Amount Recognized for Custody Services $ 6,996 $ 19,431 Amount of Custody Services Waived $ - $ - Amount Recognized for Distribution Services $ 12,374 $ 9,176 Amount of Distribution Services Waived $ 6,180 $ - Amount Recognized for Wilmington Trust $ - $ - Amount of Wilmington Trust Waived $ - $ - Amount Recognized for Thales $ 12,178 $ 14,493 Amount of Thales Waived $ 12,178 $ - 84 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 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 months ended March 31, 2022 and 2021. WEAT Three Months Ended March 31, 2022 $ 81,009 Three Months Ended March 31, 2021 $ 11,475 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 2019 to 2021, the Fund remains subject to income tax examinations by major taxing authorities. The tax benefit recognized is measured as the largest amount of benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement. De-recognition of a tax benefit previously recognized results in the Fund recording a tax liability that reduces net assets. Based on its analysis, the Fund has determined that it has not incurred any liability for unrecognized tax benefits as of March 31, 2022 and for the years ended December 31, 2021, 2020 and 2019. However, the Fund’s conclusions regarding this policy may be subject to review and adjustment at a later date based on factors including, but not limited to, ongoing analysis of and changes to tax laws, regulations, and interpretations thereof. The Fund recognizes interest accrued related to unrecognized tax benefits and penalties related to unrecognized tax benefits in income tax fees payable, if assessed. No interest expense or penalties have been recognized as of and for the three months ended March 31, 2022 and 2021. 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 represent two Redemption Baskets for the Fund and a minimum level of shares. If the Fund experienced redemptions that caused the number of Shares outstanding to decrease to the minimum level of Shares required to be outstanding, until the minimum number of Shares is again exceeded through the purchase of a new Creation Basket, there can be no more redemptions by an Authorized Purchaser. Allocation of Shareholder Income and Losses Profit or loss is allocated among the shareholders of the Fund in proportion to the number of shares each shareholder holds as of the close of each month. 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. March 31, 2022 December 31, 2021 Money Market Funds $ 267,748,634 $ 5,284,993 Demand Deposit Savings Accounts 57,077,908 30,064,031 Commercial Paper 137,432,524 37,492,592 Total cash and cash equivalents as presented on the Statement of Assets and Liabilities $ 462,259,066 $ 72,841,616 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. 87 Table of Contents Ongoing or “maintenance” margin requirements are computed each day by a trader’s clearing broker. When the market value of a particular open futures contract changes to a point where the margin on deposit does not satisfy maintenance margin requirements, a margin call is made by the broker. If the margin call is not met within a reasonable time, the broker may close out the trader’s position. With respect to the Fund’s trading, the Fund (and not its shareholders personally) is subject to margin calls. Finally, many major U.S. exchanges have passed certain cross margining arrangements involving procedures pursuant to which the futures and options positions held in an account would, in the case of some accounts, be aggregated and margin requirements would be assessed on a portfolio basis, measuring the total risk of the combined positions. Calculation of Net Asset Value The Fund’s NAV is calculated by: • Taking the current market value of its total assets and • Subtracting any liabilities. The administrator, Global Fund Services, calculates the NAV of the Fund once each trading day. It calculates the NAV as of the earlier of the close of the NYSE or 4:00 p.m. (EST). The NAV for a particular trading day is released after 4:15 p.m. (EST). In determining the value of Wheat Futures Contracts, the administrator uses the CBOT closing price. The administrator determines the value of all other Fund investments as of the earlier of the close of the NYSE or 4:00 p.m. (EST). The value of over the counter wheat interests is determined based on the value of the commodity or futures contract underlying such wheat interest, except that a fair value may be determined if the Sponsor believes that the Fund is subject to significant credit risk relating to the counterparty to such wheat interest. For purposes of financial statements and reports, the Sponsor will recalculate the NAV where necessary to reflect the “fair value” of a Futures Contract when the Futures Contract closes at its price fluctuation limit for the day. Short term Treasury securities held by the Fund are valued by the administrator using values received from recognized third-party vendors and dealer quotes. NAV includes any unrealized profit or loss on open wheat interests and any other income or expense accruing to the Fund but unpaid or not received by the Fund. Sponsor Fee, Allocation of Expenses and Related Party Transactions The Sponsor is responsible for investing the assets of the Fund in accordance with the objectives and policies of the Fund. In addition, the Sponsor arranges for one or more third parties to provide administrative, custodial, accounting, transfer agency and other necessary services to the Trust and the Funds. In addition, the Sponsor elected not to outsource services directly attributable to the Trust and the Funds such as accounting, financial reporting, regulatory compliance and trading activities, which the Sponsor performs itself. In addition, the Fund is contractually obligated to pay a monthly management fee to the Sponsor, based on average daily net assets, at a rate equal to 1.00% per annum. The Fund generally pays for all brokerage fees, taxes and other expenses, including licensing fees for the use of intellectual property, registration or other fees paid to the SEC, FINRA, or any other regulatory agency in connection with the offer and sale of subsequent Shares after its initial registration and all legal, accounting, printing and other expenses associated therewith. The Fund also pays its portion of the fees and expenses associated with the Trust’s tax accounting and reporting requirements. Certain aggregate expenses common to all Funds within the Trust are allocated by the Sponsor to the respective Fund based on activity drivers deemed most appropriate by the Sponsor for such expenses, including but not limited to relative assets under management and creation order activity. These aggregate common expenses include, but are not limited to, legal, auditing, accounting and financial reporting, tax-preparation, regulatory compliance, trading activities, and insurance costs, as well as fees paid to the Distributor, which are included in the related line item in the statements of operations. A portion of these aggregate common expenses are related to the Sponsor or related parties of principals of the Sponsor; these are necessary services to the Funds, which are primarily the cost of performing accounting and financial reporting, regulatory compliance, and trading activities that are directly attributable to the Fund. Such expenses are primarily recorded as distribution and marketing fees in the financial statements of each Fund. Three months ended March 31, 2022 Three months ended March 31, 2021 Recognized Related Party Transactions $ 173,803 $ 100,871 Waived Related Party Transactions $ 30,000 $ 14,699 88 Table of Contents The Sponsor has the ability to elect to pay certain expenses on behalf of the Funds or waive the management fee. This election is subject to change by the Sponsor, at its discretion. Expenses paid by the Sponsor and Management fees waived by the Sponsor are, if applicable, presented as waived expenses in the statements of operations for each Fund. The Sponsor has determined that there will be no recovery sought for the amounts below in any future period: WEAT Three months ended March 31, 2022 $ 85,856 Three months ended March 31, 2021 $ 28,715 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. 89 Table of Contents On March 31, 2022 and December 31, 2021, 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. 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 2019-04: “Codification Improvements to Topic 326, Financial Instruments Credit Losses, Topic 815, Derivatives and hedging, and Topic 825, Financial Instruments.” The amendments clarify and improve areas of guidance related to the recently issued standards on credit losses, hedging, and recognition and measurement, specifically relating to ASU 201712. The amendments were early adopted for the quarter ended June 30, 2019; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. 90 Table of Contents The FASB issued ASU 2019-01: “Leases (Topic 842): Codification Improvements. These amendments align the guidance for fair value of underlying assets by lessors that are not manufacturers or dealers in Topic 842 with that of existing guidance. The amendments 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 March 31, 2022 and December 31, 2021: March 31, 2022 Assets: Level 1 Level 2 Level 3 Balance as of March 31, 2022 Cash Equivalents $ 405,181,158 $ - $ - $ 405,181,158 Liabilities: Level 1 Level 2 Level 3 Balance as of March 31, 2022 Wheat Futures contracts $ 33,791,659 $ - $ - $ 33,791,659 December 31, 2021 Assets: Level 1 Level 2 Level 3 Balance as of December 31, 2021 Cash Equivalents $ 42,777,585 $ - $ - $ 42,777,585 Wheat Futures contracts 3,714,672 - - 3,714,672 Total $ 46,492,257 $ - $ - $ 46,492,257 Liabilities: Level 1 Level 2 Level 3 Balance as of December 31, 2021 Wheat Futures contracts $ 654,969 $ - $ - $ 654,969 For the period ended March 31, 2022 and year ended December 31, 2021, the Fund did not have any significant transfers between any of the levels of the fair value hierarchy. 91 Table of Contents See the Fair Value - Definition and Hierarchy section in Note 3 above for an explanation of the transfers into and out of each level of the fair value hierarchy. Note 5 – Derivative Instruments and Hedging Activities In the normal course of business, the Fund utilizes derivative contracts in connection with its proprietary trading activities. Investments in derivative contracts are subject to additional risks that can result in a loss of all or part of an investment. The Fund’s derivative activities and exposure to derivative contracts are classified by the following primary underlying risks: interest rate, credit, commodity price, and equity price risks. In addition to its primary underlying risks, the Fund is also subject to additional counterparty risk due to inability of its counterparties to meet the terms of their contracts. For the three months ended March 31, 2022 and for the year ended December 31, 2021, the Fund invested only in commodity futures contracts. Futures Contracts The Fund is subject to commodity price risk in the normal course of pursuing its investment objectives. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date. The purchase and sale of futures contracts requires margin deposits with a Futures Commission Merchant (“FCM”). Subsequent payments (variation margin) are made or received by the Fund each day, depending on the daily fluctuations in the value of the contract, and are recorded as unrealized gains or losses by the Fund. Futures contracts may reduce the Fund’s exposure to counterparty risk since futures contracts are exchange-traded; and the exchange’s clearinghouse, as the counterparty to all exchange-traded futures, guarantees the futures against default. The Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM’s proprietary activities. A customer’s cash and other equity deposited with an FCM are considered commingled with all other customer funds subject to the FCM’s segregation requirements. In the event of an FCM’s insolvency, recovery may be limited to the Fund’s pro rata share of segregated customer funds available. It is possible that the recovery amount could be less than the total of cash and other equity deposited. The following table discloses information about offsetting assets and liabilities presented in the statements of assets and liabilities to enable users of these financial statements to evaluate the effect or potential effect of netting arrangements for recognized assets and liabilities. These recognized assets and liabilities are presented as defined in the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Update (“ASU”) No. 2011-11 “Balance Sheet (Topic 210): Disclosures about Offsetting Assets and Liabilities” and subsequently clarified in FASB ASU 2013-01 “Balance Sheet (Topic 210): Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities.” The following table also identifies the fair value amounts of derivative instruments included in the statements of assets and liabilities as derivative contracts, categorized by primary underlying risk and held by the FCMs, E D & F Man and StoneX as of March 31, 2022 and December 31, 2021. *The amount of collateral presented in Collateral, Due from Broker, is limited to the liability for the futures contracts and accordingly does not include the excess collateral pledged. Offsetting of Financial Liabilities and Derivative Liabilities as of March 31, 2022 (i) (ii) (iii) = (i-ii) (iv) (v) = (iii)-(iv) Gross Amount Not Offset in the Statement of Assets and Liabilities Description Gross Amount of Recognized Liabilities Gross Amount Offset in the Statement of Assets and Liabilities Net Amount Presented in the Statement of Assets and Liabilities Futures Contracts Available for Offset Collateral, Due from Broker* Net Amount Commodity Price Wheat futures contracts $ 33,791,659 $ - $ 33,791,659 $ - $ 33,791,659 $ - 92 Table of Contents Offsetting of Financial Assets and Derivative Assets as of December 31, 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 $ 3,714,672 $ 3,714,672 $ 654,969 $ 213,708 $ 2,845,995 Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 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 Wheat futures contracts $ 654,969 $ - $ 654,969 $ 654,969 $ - $ - The following tables identify the net gain and loss amounts included in the statements of operations as realized and unrealized gains and losses on trading of commodity futures contracts categorized by primary underlying risk: Three months ended March 31, 2022 Primary Underlying Risk Realized Gain on Commodity Futures Contracts Net Change in Unrealized Depreciation on Commodity Futures Contracts Commodity Price Wheat futures contracts $ 38,006,567 $ ( 36,851,362 ) Three months ended March 31, 2021 Primary Underlying Risk Realized Gain on Commodity Futures Contracts Net Change in Unrealized Depreciation on Commodity Futures Contracts Commodity Price Wheat futures contracts $ 2,919,448 $ ( 5,055,673 ) Volume of Derivative Activities The average notional market value categorized by primary underlying risk for all futures contracts held was $ 233.4 million and $ 80.6 million, respectively, for the three months ended March 31, 2022 and March 31, 2021. Note 6 – Financial Highlights The following tables present per unit performance data and other supplemental financial data for the three months ended March 31, 2022 and 2021. 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. 93 Table of Contents Three months ended Three months ended March 31, 2022 March 31, 2021 Per Share Operation Performance Net asset value at beginning of period $ 7.38 $ 6.16 Income (loss) from investment operations: Net realized and unrealized gain (loss) on commodity futures contracts 2.49 ( 0.14 ) Total expenses, net ( 0.04 ) ( 0.03 ) Net increase (decrease) in net asset value 2.45 ( 0.17 ) Net asset value at end of period $ 9.83 $ 5.99 Total Return 33.21 % ( 2.70 )% Ratios to Average Net Assets (Annualized) Total expenses 1.96 % 2.37 % Total expenses, net 1.77 % 2.22 % Net investment loss ( 1.55 )% ( 2.04 )% The financial highlights per share data are calculated consistent with the methodology used to calculate asset-based fees and expenses. Note 7 – Organizational and Offering Costs Expenses incurred in organizing of the Trust and the initial offering of the Shares of the Fund, including applicable SEC registration fees, were borne directly by the Sponsor. The Fund will not be obligated to reimburse the Sponsor. Note 8 – Subsequent Events Management has evaluated the financial statements for the quarter-ended March 31, 2022 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: Nothing additional to report. 94 Table of Contents TEUCRIUM AGRICULTURAL FUND STATEMENTS OF ASSETS AND LIABILITIES March 31, 2022 December 31, 2021 (Unaudited) Assets Cash equivalents $ 6,490 $ 4,801 Receivable for securities sold 3,260,269 - Interest receivable 18 3 Other assets - 30 Equity in trading accounts: Investments in securities, at fair value (cost $26,068,679 and $12,799,498 as of March 31, 2022 and December 31, 2021, respectively) 29,206,585 14,178,019 Total assets 32,473,362 14,182,853 Liabilities Payable for shares redeemed 3,260,840 - Other liabilities 3,106 3,198 Total liabilities 3,263,946 1,393 Net assets $ 29,209,416 $ 14,179,655 Shares outstanding 900,002 525,002 Shares authorized 3,487,500 4,075,000 Net asset value per share $ 32.45 $ 27.01 Market value per share $ 32.52 $ 26.94 The accompanying notes are an integral part of these financial statements. 95 Table of Contents TEUCRIUM AGRICULTURAL FUND SCHEDULE OF INVESTMENTS March 31, 2022 (Unaudited) Percentage of Description: Assets Fair Value Net Assets Shares Exchange-traded funds Teucrium Corn Fund $ 7,561,011 25.88 % 278,273 Teucrium Soybean Fund 7,138,765 24.44 266,763 Teucrium Sugar Fund 7,315,073 25.04 760,450 Teucrium Wheat Fund 7,191,736 24.62 731,745 Total exchange-traded funds (cost $26,068,679) $ 29,206,585 99.98 % Cash equivalents Money market funds First American Government Obligations Fund - Class X (cost $6,490) $ 6,490 0.02 % 6,490 The accompanying notes are an integral part of these financial statements. 96 Table of Contents TEUCRIUM AGRICULTURAL FUND SCHEDULE OF INVESTMENTS December 31, 2021 Percentage of Description: Assets Fair Value Net Assets Shares Exchange-traded funds Teucrium Corn Fund $ 3,537,560 24.95 % 163,930 Teucrium Soybean Fund 3,538,006 24.96 155,374 Teucrium Sugar Fund 3,591,878 25.33 389,317 Teucrium Wheat Fund 3,510,575 24.76 475,836 Total exchange-traded funds (cost: $12,799,498) $ 14,178,019 100.00 % Cash equivalents Money market funds First American Government Obligations Fund - Class X 0.026% (cost: $4,801) $ 4,801 0.03 % 4,801 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 March 31, 2022 March 31, 2021 Income Realized and unrealized gain (loss) on trading of securities: Realized gain (loss) on securities $ 718,623 $ ( 48,360 ) Net change in unrealized appreciation on securities 1,759,385 112,849 Interest income 18 4 Total income 2,478,026 64,493 Expenses Professional fees 17,251 2,919 Distribution and marketing fees 33,917 4,904 Custodian fees and expenses 193 676 Business permits and licenses fees 8,875 7,125 General and administrative expenses 2,583 443 Total expenses 62,819 16,067 Expenses waived by the Sponsor ( 55,003 ) ( 14,136 ) Total expenses, net 7,816 1,931 Net income $ 2,470,210 $ 62,562 Net income per share $ 5.44 $ 1.30 Net income per weighted average share $ 4.23 $ 0.37 Weighted average shares outstanding 584,585 166,946 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) Three months ended Three months ended March 31, 2022 March 31, 2021 Operations Net income $ 2,470,210 $ 62,562 Capital transactions Issuance of Shares 18,955,620 3,966,335 Redemption of Shares ( 6,396,069 ) ( 568,240 ) Total capital transactions 12,559,551 3,398,095 Net change in net assets 15,029,761 3,460,657 Net assets, beginning of period $ 14,179,655 $ 1,584,388 Net assets, end of period $ 29,209,416 $ 5,045,045 Net asset value per share at beginning of period $ 27.01 $ 21.12 Net asset value per share at end of period $ 32.45 $ 22.42 Creation of Shares 587,500 175,000 Redemption of Shares 212,500 25,000 The accompanying notes are an integral part of these financial statements. 99 Table of Contents TEUCRIUM AGRICULTURAL FUND STATEMENTS OF CASH FLOWS (Unaudited) Three months ended Three months ended March 31, 2022 March 31, 2021 Cash flows from operating activities: Net income 2,470,210 $ 62,562 Adjustments to reconcile net income to net cash used in operating activities: Net change in unrealized appreciation on securities ( 1,759,385 ) ( 112,849 ) Changes in operating assets and liabilities: Net sale of investments in securities ( 13,269,181 ) ( 3,347,690 ) Net receivable for securities sold ( 3,260,269 ) - Interest receivable ( 15 ) ( 1 ) Other assets 30 ( 24 ) Other liabilities ( 92 ) ( 274 ) Net cash used in operating activities ( 15,818,702 ) ( 3,398,276 ) Cash flows from financing activities: Proceeds from sale of Shares 18,955,620 3,966,335 Redemption of Shares ( 3,135,229 ) ( 568,240 ) Net cash provided by financing activities 15,820,391 3,398,095 Net change in cash equivalents 1,689 ( 181 ) Cash equivalents, beginning of period 4,801 2,786 Cash equivalents, end of period $ 6,490 $ 2,605 The accompanying notes are an integral part of these financial statements. 100 Table of Contents NOTES TO FINANCIAL STATEMENTS March 31, 2022 (Unaudited) Note 1 – Organization and Operation Teucrium Agricultural Fund (referred to herein as “TAGS” or the “Fund”) is a series of Teucrium Commodity Trust (“Trust”), a Delaware statutory trust organized on September 11, 2009. The Fund operates pursuant to the Trust’s Fifth Amended and Restated Declaration of Trust and Trust Agreement (the “Trust Agreement”). The Fund was formed on March 29, 2011 and is managed and controlled by Teucrium Trading, LLC (the “Sponsor”). The Sponsor is a limited liability company formed in Delaware on July 28, 2009. The Sponsor is registered as a commodity pool operator (“CPO”) and a commodity trading adviser (“CTA”) with the Commodity Futures Trading Commission (“CFTC”) and is a member of the National Futures Association (“NFA”). On April 22, 2011, a registration statement was filed with the Securities and Exchange Commission (“SEC”). On February 10, 2012, the Fund’s initial registration of 5,000,000 shares on Form S-1 was declared effective by the SEC. On March 28, 2012, the Fund listed its shares on the NYSE Arca under the ticker symbol “TAGS.” On the business day prior to that, the Fund issued 300,000 shares in exchange for $ 15,000,000 at the Fund’s initial NAV of $50 per share. The Fund also commenced investment operations on March 28, 2012 by purchasing shares of the Underlying Funds. On December 31, 2011, the Fund had two shares outstanding, which were owned by the Sponsor. The current registration statement for TAGS was declared effective on April 7, 2022. This registration statement for TAGS registered an indeterminate number of shares. The investment objective of the TAGS is to have the daily changes in percentage terms of the NAV of its Shares reflect the daily changes in percentage terms of a weighted average (the “Underlying Fund Average”) of the NAVs per share of four other commodity pools that are series of the Trust and are sponsored by the Sponsor: the Teucrium Corn Fund, the Teucrium Wheat Fund, the Teucrium Soybean Fund and the Teucrium Sugar Fund (collectively, the “Underlying Funds”). The Underlying Fund Average will have a weighting of 25% to each Underlying Fund, and the Fund’s assets will be rebalanced, generally on a daily basis, to maintain the approximate 25% allocation to each Underlying Fund: TAGS Benchmark Underlying Fund Weighting CORN 25 % SOYB 25 % CANE 25 % WEAT 25 % The Fund seeks to provide daily investment results that reflect the combined daily performance of the Underlying Funds. Under normal market conditions, the Fund seeks to achieve its investment objective generally by investing equally in shares of each Underlying Fund and, to a lesser extent, cash equivalents. The Fund’s investments in shares of the Underlying Funds is rebalanced, generally on a daily basis, in order to maintain approximately a 25% allocation of the Fund’s assets to each Underlying Fund. (This weighted average is referred to herein as the Underlying Fund’s “Benchmark,” the Futures Contracts that at any given time make up an Underlying Fund’s Benchmark are referred to herein as the Underlying Fund’s “Benchmark Component Futures Contracts,” and the commodity specified in the Underlying Fund’s name is referred to herein as its “Specified Commodity.”) Specifically, the Teucrium Corn Fund’s Benchmark is: (1) the second to expire Futures Contract for corn traded on the Chicago Board of Trade (“CBOT”), weighted 35%, (2) the third to expire CBOT corn Futures Contract, weighted 30%, and (3) the CBOT corn Futures Contract expiring in the December following the expiration month of the third to expire contract, weighted 35%. The Teucrium Wheat Fund’s Benchmark is: (1) the second to expire CBOT wheat Futures Contract, weighted 35%, (2) the third to expire CBOT wheat Futures Contract, weighted 30%, and (3) the CBOT wheat Futures Contract expiring in the December following the expiration month of the third to expire contract, weighted 35%. The Teucrium Soybean Fund’s Benchmark is: (1) the second to expire CBOT soybean Futures Contract, weighted 35%, (2) the third to expire CBOT soybean Futures Contract, weighted 30%, and (3) the CBOT soybean Futures Contract expiring in the November following the expiration month of the third to expire contract, weighted 35%, except that CBOT soybean Futures Contracts expiring in August and September will not be part of the Teucrium Soybean Fund’s Benchmark because of the less liquid market for these Futures Contracts. The Teucrium Sugar Fund’s Benchmark is: (1) the second to expire Sugar No. 11 Futures Contract traded on ICE Futures US (“ICE Futures”), weighted 35%, (2) the third to expire ICE Futures Sugar No. 11 Futures Contract, weighted 30%, and (3) the ICE Futures Sugar No. 11 Futures Contract expiring in the March following the expiration month of the third to expire contract, weighted 35%. 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 months ended March 31, 2022 are not necessarily indicative of the results to be expected for the full year ending December 31, 2022. 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. 102 Table of Contents E D & F Man Capital Markets, Inc. (“E D & F Man”) and StoneX Financial Inc. – FCM Division of INTL FCStone Financial Inc. (“StoneX”) serve as the Underlying Funds’ clearing brokers to execute and clear the Underlying Funds’ futures and provide other brokerage-related services. E D & F Man and StoneX are each registered as futures commission merchants (“FCM”) with the U.S. CFTC and are members of the NFA. The clearing brokers are registered as a broker-dealers with the SEC and are each a member of FINRA. ED & F Man and StoneX are each clearing members of ICE Futures U.S., Inc., Chicago Board of Trade, Chicago Mercantile Exchange, New York Mercantile Exchange, and all other major United States commodity exchanges. For Corn, Soybean, Sugar and Wheat Futures Contracts E D & F Man is paid $9.00 per round turn . Effective April 1, 2022, E D & F Man will be paid $11.00 per round turn. StoneX is paid $2.50 per round turn exclusive of pass through fees for the exchange and the NFA. Additionally, if the monthly commissions paid by each Fund does not equal or exceed 20% return on the StoneX Capital Requirement at 9.6% of the Exchange Maintenance Margin, each Fund will pay a true up to meet that return at the end of each month. These expenses are recognized on a per-trade basis. The half-turn is recognized as an unrealized loss on the statements of operations for contracts that have been purchased since the change in recognition, and a full turn is recognized as a realized loss on the statements of operations when a contract is sold. A summary of these expenses 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 months ended March 31, 2022 Three months ended March 31, 2021 Amount Recognized for Custody Services $ 193 $ 676 Amount of Custody Services Waived $ 193 $ 676 Amount Recognized for Distribution Services $ 1,717 $ 345 Amount of Distribution Services Waived $ 1,717 $ 187 Amount Recognized for Wilmington Trust $ - $ - Amount of Wilmington Trust Waived $ - $ - Amount Recognized for Thales $ 2,690 $ 503 Amount of Thales Waived $ 2,690 $ 503 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. 103 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 2019 to 2021, the Fund remains subject to income tax examinations by major taxing authorities. The tax benefit recognized is measured as the largest amount of benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement. De-recognition of a tax benefit previously recognized results in the Fund recording a tax liability that reduces net assets. This policy has been applied to all existing tax positions upon the Fund’s initial adoption. Based on its analysis, the Fund has determined that it has not incurred any liability for unrecognized tax benefits as of March 31, 2022 and for the years ended December 31, 2021, 2020 and 2019. However, the Fund’s conclusions regarding this policy may be subject to review and adjustment at a later date based on factors including, but not limited to, ongoing analysis of and changes to tax laws, regulations, and interpretations thereof. The Fund recognizes interest accrued related to unrecognized tax benefits and penalties related to unrecognized tax benefits in income tax fees payable, if assessed. No interest expense or penalties have been recognized as of and for the three months ended March 31, 2022 and 2021. 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 represent four Redemption Baskets for the Fund and a minimum level of shares. If the Fund experienced redemptions that caused the number of Shares outstanding to decrease to the minimum level of Shares required to be outstanding, until the minimum number of Shares is again exceeded through the purchase of a new Creation Basket, there can be no more redemptions by an Authorized Purchaser. 104 Table of Contents Allocation of Shareholder Income and Losses Profit or loss is allocated among the shareholders of the Fund in proportion to the number of shares each shareholder holds as of the close of each month. Cash Equivalents Cash equivalents are highly liquid investments with maturity dates of 90 days or less when acquired. The Fund reported its cash equivalents in the statements of assets and liabilities at market value, or at carrying amounts that approximate fair value, because of their highly-liquid nature and short term maturities. The Fund has these balances of its assets on deposit with banks. Assets deposited with a financial institution may, at times, exceed federally insured limits. TAGS had a balance of $6,490 and $2,605 in money market funds at March 31, 2022 and December 31, 2021, 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. The Sponsor does not receive a management fee from the Fund. The Sponsor receives a management fee from each Underlying Fund at the annual rate of 1.00% of such Underlying Fund’s average daily net assets, payable monthly. The Sponsor can elect to waive the payment of this fee for any Underlying Fund in any amount at its sole discretion, at any time and from time to time, in order to reduce the Fund’s expenses or for any other purpose. 105 Table of Contents The Fund generally pays for all brokerage fees, taxes and other expenses, including licensing fees for the use of intellectual property, registration or other fees paid to the SEC, FINRA, formerly the National Association of Securities Dealers, or any other regulatory agency in connection with the offer and sale of subsequent Shares after its initial registration and all legal, accounting, printing and other expenses associated therewith. The Fund also pays its portion of the fees and expenses associated with the Trust’s tax accounting and reporting requirements. Certain aggregate expenses common to all Funds within the Trust are allocated by the Sponsor to the respective funds based on activity drivers deemed most appropriate by the Sponsor for such expenses, including but not limited to relative assets under management and creation order activity. These aggregate common expenses include, but are not limited to, legal, auditing, accounting and financial reporting, tax-preparation, regulatory compliance, trading activities, and insurance costs, as well as fees paid to the Distributor, which are included in the related line item in the statements of operations. A portion of these aggregate common expenses are related to the Sponsor or related parties of principals of the Sponsor; these are necessary services to the Funds, which are primarily the cost of performing accounting and financial reporting, regulatory compliance, and trading activities that are directly attributable to the Fund. Such expenses are primarily recorded as distribution and marketing fees on the statement of operations. All asset-based fees and expenses for the Funds are calculated on the prior day’s net assets. Three months ended March 31, 2022 Three months ended March 31, 2021 Recognized Related Party Transactions $ 24,847 $ 3,890 Waived Related Party Transactions $ 21,134 $ 1,993 The Sponsor has the ability to elect to pay certain expenses on behalf of the Funds or waive the management fee. This election is subject to change by the Sponsor, at its discretion. Expenses paid by the Sponsor and Management fees waived by the Sponsor are, if applicable, presented as waived expenses in the statements of operations for each Fund. The Sponsor has determined that there will be no recovery sought for the amounts below in any future period: TAGS Three months ended March 31, 2022 $ 55,003 Three months ended March 31, 2021 $ 14,136 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. 106 Table of Contents 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 2019-04: “Codification Improvements to Topic 326, Financial Instruments Credit Losses, Topic 815, Derivatives and hedging, and Topic 825, Financial Instruments.” The amendments clarify and improve areas of guidance related to the recently issued standards on credit losses, hedging, and recognition and measurement, specifically relating to ASU 201712. The amendments were early adopted for the quarter ended June 30, 2019; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued ASU 2019-01: “Leases (Topic 842): Codification Improvements. These amendments align the guidance for fair value of underlying assets by lessors that are not manufacturers or dealers in Topic 842 with that of existing guidance. The amendments 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. 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: 107 Table of Contents 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 March 31, 2022 and December 31, 2021, 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 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. 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. Net Income (Loss) per Share Net income (loss) per share is the difference between the NAV per unit at the beginning of each period and at the end of each period. The weighted average number of units outstanding was computed for purposes of disclosing net income (loss) per weighted average unit. The weighted average units are equal to the number of units outstanding at the end of the period, adjusted proportionately for units created or redeemed based on the amount of time the units were outstanding during such period. Note 4 – Fair Value Measurements The Fund’s assets and liabilities recorded at fair value have been categorized based upon a fair value hierarchy as described in the Fund’s significant accounting policies in Note 3. The following table presents information about the Fund’s assets and liabilities measured at fair value as of March 31, 2022 and December 31, 2021: 108 Table of Contents March 31, 2022 Assets: Level 1 Level 2 Level 3 Balance as of March 31, 2022 Exchange Traded Funds $ 29,206,585 $ - $ - $ 29,206,585 Cash Equivalents 6,490 - - 6,490 Total $ 29,213,075 $ - $ - $ 29,213,075 December 31, 2021 Assets: Level 1 Level 2 Level 3 Balance as of December 31, 2021 Exchange Traded Funds $ 14,178,019 $ - $ - $ 14,178,019 Cash Equivalents 4,801 - - 4,801 Total $ 14,182,820 $ - $ - $ 14,182,820 On March 31, 2022 and December 31, 2021, 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. 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 months ended March 31, 2022 and 2021. This information has been derived from information presented in the financial statements and is presented with total expenses gross of expenses waived by the Sponsor and with total expenses net of expenses waived by the Sponsor, as appropriate. Three months ended Three months ended March 31, 2022 March 31, 2021 Per Share Operation Performance Net asset value at beginning of period $ 27.01 $ 21.12 Income (loss) from investment operations: Net realized and unrealized gain on investment transactions 5.45 1.31 Total expenses, net ( 0.01 ) ( 0.01 ) Net increase in net asset value 5.44 1.30 Net asset value at end of period $ 32.45 $ 22.42 Total Return 20.16 % 6.14 % Ratios to Average Net Assets (Annualized) Total expenses 1.45 % 1.75 % Total expenses, net 0.18 % 0.21 % Net investment loss ( 0.18 )% ( 0.21 )% The financial highlights per share data are calculated consistent with the methodology used to calculate asset-based fees and expenses. Note 6 – Organizational and Offering Costs Expenses incurred in organizing of the Trust and the initial offering of the Shares of the Fund, including applicable SEC registration fees, were borne directly by the Sponsor. The Fund will not be obligated to reimburse the Sponsor. Note 7 – Subsequent Events Management has evaluated the financial statements for the quarter-ended March 31, 2022 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 total net assets of the Fund increased by $ 7,799,110 , or 27 %, for the period March 31, 2022 to May 9, 2022. This was driven by a 4 % increase in the NAV per share and a 22 % increase in the shares outstanding. A registration statement for TAGS was declared effective by the SEC on April 7, 2022. This registration statement for TAGS registered an indeterminate amount of shares. 109 Table of Contents