What changed in this filing

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Item 2. Management’s Discussion and Analysis

2022-08-09 compared with 2022-05-10 · 270 added, 148 removed, 1246 unchanged (25% of the section changed)

8 unchanged sentences

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”).

Teucrium Corn Fund (“CORN”), Teucrium Sugar Fund (“CANE”), Teucrium Soybean Fund (“SOYB”), Teucrium Wheat Fund (“WEAT”), Teucrium Agricultural Fund (“TAGS”) and Hashdex Bitcoin Futures ETF (“DEFI”).

All of the series of the Trust are collectively referred to as the “Funds” and singularly as the “Fund.” Each Fund is a commodity pool that is a series of the Trust.

1 unchanged sentence

Effective as of April 26, 2019, the Trust and the Funds operate pursuant to the Trust’s Fifth Amended and Restated Declaration of Trust and Trust Agreement (the “Trust Agreement”).

Hashdex Bitcoin Futures ETF is a new series of the Teucrium Commodity Trust, and has not yet been declared effective by the SEC.

On May 20, 2021, an initial registration statement for DEFI was filed with the Securities and Exchange Commission (“SEC”).

As of June 30, 2022, the registration statement for DEFI had not yet been declared effective by the SEC.

As of May 31, 2022, the Sponsor has contributed $100 to the Fund.

On June 7, 2010, the initial Form S-1 for CORN was declared effective by the U.S.

72 unchanged sentences

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

The following tables reflect the March 31, 2022, Benchmark Component Futures Contracts weights for each of the Funds, the contract held is identified by the generally accepted nomenclature of contract month and year, which may differ from the month in which the contract expires:

The following tables reflect the June 30, 2022, Benchmark Component Futures Contracts weights for each of the Funds, the contract held is identified by the generally accepted nomenclature of contract month and year, which may differ from the month in which the contract expires:

CORN Benchmark Component Futures Contracts

3 unchanged sentences

CBOT Corn Futures (2,900 contracts, DEC22)

Total at March 31, 2022

Total at June 30, 2022

$ 238,727,538

1 unchanged sentence

Notional Value

CBOT Soybean Futures (281 contracts, JUL22)

CBOT Soybean Futures (360 contracts, NOV22)

CBOT Soybean Futures (308 contracts, JAN23)

CBOT Soybean Futures (394 contracts, NOV23)

Total at March 31, 2022

Total at June 30, 2022

CANE Benchmark Component Futures Contracts

Notional Value

ICE Sugar Futures (413 contracts, JUL22)

ICE Sugar Futures (353 contracts, OCT22)

ICE Sugar Futures (538 contracts, MAR23)

Total at March 31, 2022

ICE Sugar Futures (477 contracts, MAY23)

ICE Sugar Futures (562 contracts, MAR24)

Total at June 30, 2022

WEAT Benchmark Component Futures Contracts

Notional Value

CBOT Wheat Futures (3,442 contracts, JUL22)

$ 172,444,200

CBOT Wheat Futures (3,563 contracts, SEP22)

CBOT Wheat Futures (3,002 contracts, DEC22)

Total at March 31, 2022

$ 492,671,813

CBOT Wheat Futures (3,557 contracts, DEC23)

Total at June 30, 2022

TAGS Benchmark Component Futures Contracts

3 unchanged sentences

Shares of Teucrium Sugar Fund (1,313,355 shares)

Total at March 31, 2022

Total at June 30, 2022

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

23 unchanged sentences

If the Fund reinvests the earned interest income, it makes investments that are consistent with its investment objectives as disclosed.

Any cash equivalent invested by a Fund will have original maturity dates of three months or less at inception.

Any cash equivalent invested by a Fund will have original maturity dates of three and six months or less at inception.

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

As of March 31, 2022, available cash balances in each of the Funds were invested in the First American Government Obligations Fund – Class X, Goldman Sachs Financial Square Government Fund, in demand deposits at Capital One, and in commercial paper with maturities of ninety days or less.

As of June 30, 2022, available cash balances in each of the Funds were invested in the First American Government Obligations Fund – Class X, Goldman Sachs Financial Square Government Fund, in demand deposits at Capital One, and in commercial paper with maturities of ninety days or less.

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

17 unchanged sentences

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”).

Teucrium Investment Advisors, LLC, a wholly owned subsidiary of Teucrium Trading, LLC, is a Delaware limited liability company, which was formed on January 4, 2022.

Teucrium Investment Advisors, LLC is a U.S.

SEC registered investment advisor.

Teucrium Investment Advisors, LLC was registered with the CFTC as a CPO on May 2, 2022, a CTA on May 2, 2022, and a Swap Firm on May 9, 2022.

Teucrium Investment Advisors, LLC became a member of the NFA on May 9, 2022.

The Trust and the Funds operate pursuant to the Trust Agreement.

10 unchanged sentences

Performance Summary

This report covers the periods from January 1 to March 31, 2022 for each Fund.

This report covers the periods from January 1 to June 30, 2022 for each Fund.

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

61 unchanged sentences

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

The discussion below addresses the material changes in the results of operations for the three months ended March 31, 2022 compared to the same period in 2021.

The discussion below addresses the material changes in the results of operations for the three and six months ended June 30, 2022 compared to the same period in 2021.

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

22 unchanged sentences

The Fund does not track the spot price of corn.

On March 31, 2022, the Corn Fund held a total of CBOT Corn Futures contracts with a notional value of $222,123,638.

The contracts had an asset fair value of $25,830,881.

On June 30, 2022, the Corn Fund held a total of CBOT Corn Futures contracts with a notional value of $238,727,538.

The contracts had a liability fair value of $21,618,156.

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

(1) 35% to the JUL22 contracts, the second to expire CBOT Corn Futures Contract, (2) 30% to SEP22 CBOT contracts, the third to expire CBOT Corn Futures Contract, and (3) 35% to DEC22 CBOT contracts, the CBOT Corn Futures Contract expiring in the December following the expiration month of the third to expire contract.

(1) 35% to the SEP22 contracts, the second to expire CBOT Corn Futures Contract, (2) 30% to DEC22 CBOT contracts, the third to expire CBOT Corn Futures Contract, and (3) 35% to DEC23 CBOT contracts, the CBOT Corn Futures Contract expiring in the December following the expiration month of the third to expire contract.

Quarter Ending

1 unchanged sentence

Quarter Ending

March 31, 2022

June 30, 2022

June 30, 2021

March 31, 2022

December 31, 2021

Total Net Assets

5 unchanged sentences

Closing Price

Total net assets for the Fund increased year over year by 32%, driven by a combination of a decrease in total shares outstanding of 1,375,000 shares or 14% and an increase in the NAV per share of $9.56 or 54%.

The net assets for the Fund increased by 84% when comparing March 31, 2022 to December 31, 2021.

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

For the Three Months Ended March 31, 2022 Compared to the Three Months Ended March 31, 2021

Total net assets for the Fund increased year over year by 35%, driven by a combination of an increase in total shares outstanding of 1,250,000 shares or 15% and an increase in the NAV per share of $3.62 or 17%.

The net assets for the Fund increased by 7% when comparing June 30, 2022 to March 31, 2022.

The change in total net assets year over year, in the opinion of management, was generally due to a combination of appreciation of commodity prices and investor in-flows which was driven by the war in Ukraine, supply disruptions and rising crop input costs.

For the Three Months Ended June 30, 2022 Compared to the Three Months Ended June 30, 2021

Three Months Ended

March 31, 2022

March 31, 2021

June 30, 2022

June 30, 2021

Average daily total net assets

1 unchanged sentence

$ 182,460,350

Net realized and unrealized (loss) gain on futures contracts

$ (24,994,954 )

Interest income earned on cash equivalents

Annualized interest yield based on average daily total net assets

Net (Loss) Income

$ (25,497,060 )

Weighted average share outstanding

Management Fees

Total gross fees and other expenses excluding management fees

Brokerage Commissions

Expenses waived by the Sponsor

Total gross expense ratio

Total expense ratio net of expenses waived by the Sponsor

Net investment loss

Creation of Shares

Redemption of Shares

For the Six Months Ended June 30, 2022 Compared to the Six Months Ended June 30, 2021

Six Months Ended

June 30, 2022

June 30, 2021

Average daily total net assets

$ 222,388,195

$ 170,506,613

Net realized and unrealized gain on futures contracts

Interest income earned on cash and cash equivalents

Interest income earned on cash equivalents

Annualized interest yield based on average daily total net assets

15 unchanged sentences

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

The increase in interest and other income year over year was due to an increase in inflation from the second half of 2021 and strong economic activity and employment levels.

As a result, the amount of interest income earned as a percentage of average daily total net assets was higher in the three months ended March 31, 2022, compared to the three months ended March 31, 2021.

The increase in interest and other income year over year was due to an increase in net assets from the second half of 2021 and strong economic activity and employment levels.

As a result, the amount of interest income earned as a percentage of average daily total net assets was higher in the three and six months ended June 30, 2022, compared to the three and six months ended June 30, 2021.

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

1 unchanged sentence

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

The decrease in management fee paid to the Sponsor for the three months ended March 31, 2022 compared to the three months ended March 31, 2021 was a result of lower average net assets.

The increase in management fee paid to the Sponsor for the three and six months ended June 30, 2022 compared to the three and six months ended June 30, 2021 was a result of higher average net assets.

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

4 unchanged sentences

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

The decrease in total gross fees and other expenses excluding management fees for the three months ended March 31, 2022 compared to the three months ended March 31, 2021 was generally due to the decrease in average net assets in the period.

The decrease in total gross fees and other expenses excluding management fees for the three and six months ended June 30, 2022 compared to the three and six months ended June 30, 2021 was generally due to the decrease in average net assets relative to the other Funds.

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

1 unchanged sentence

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

The decrease in total brokerage commissions for the three months ended March 31, 2022 compared to the three months ended March 31, 2021, was primarily due to a decrease in contracts purchased, liquidated, and rolled.

For the three months ended March 31, 2022, the Fund issued 2,950,000 shares as part of creation baskets and purchased 375,000 shares as part of redemption baskets.

Shares outstanding decreased by 1,375,000 shares or 14% for three months ended March 31, 2022 when compared to the same period in 2021.

In total, the Fund issued 2,150,000 shares and purchased 1,500,000 shares for the three months ended March 31, 2021.

The graph below shows the actual shares outstanding, total net assets (or AUM) and net asset value per share (NAV per share) for the Fund from inception to March 31, 2022 and serves to illustrate the relative changes of these components.

The increase in total brokerage commissions for the three and six months ended June 30, 2022 compared to the three and six months ended June 30, 2021, was primarily due to an increase in contracts purchased, liquidated, and rolled.

Additionally, fees were paid to StoneX Financial Inc.

for FCM Capital Requirements at 9.6% of Exchange Maintenance Margin in 2022.

The graph below shows the actual shares outstanding, total net assets (or AUM) and net asset value per share (NAV per share) for the Fund from inception to June 30, 2022 and serves to illustrate the relative changes of these components.

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

14 unchanged sentences

(1) second to expire CBOT Soybean Futures Contract, weighted 35%, (2) the third to expire CBOT Soybean Futures Contract, weighted 30%, and (3) the CBOT Soybean Futures Contract expiring in the November following the expiration month of the third to expire contract, weighted 35%.

On March 31, 2022, the Fund held a total of CBOT soybean futures contracts with a notional value of $64,247,713.

The contracts had an asset fair value of $3,599,568.

On June 30, 2022, the Fund held a total of CBOT soybean futures contracts with a notional value of $75,091,700.

The contracts had an asset fair value of $1,149,852 and a liability fair value of $378,260.

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

(1) 35% to JUL22 CBOT contracts, (2) 30% to NOV22 CBOT contracts, and (3) 35% to NOV23 CBOT contracts.

March 31, 2022

(1) 35% to NOV22 CBOT contracts, (2) 30% to JAN23 CBOT contracts, and (3) 35% to NOV23 CBOT contracts.

Quarter Ending

June 30, 2022

June 30, 2021

March 31, 2022

December 31, 2021

Total Net Assets

2 unchanged sentences

Closing Price

Total net assets for the Fund decreased year over year by 30%, driven by a combination of a decrease in total shares outstanding of 1,825,000 shares or 43% and partially offset by an increase in the NAV per share of $5.18 or 24%.

The net assets for the Fund increased by 43% when comparing March 31, 2022 to December 31, 2021.

This change year over year, in the opinion of management, was due to investors liquidating shares purchased at depressed values in mid-2020, which appreciated in value due to record large soybean purchased by China as well as increased investments in commodities as an inflation hedge.

For the Three Months Ended March 31, 2022 Compared to the Three Months Ended March 31, 2021

Total net assets for the Fund increased year over year by 6%, driven by a combination of a decrease in total shares outstanding of 200,000 shares or -7% and partially offset by an increase in the NAV per share of $3.28 or 14%.

The net assets for the Fund increased by 17% when comparing June 30, 2022 to March 31, 2022.

For the Three Months Ended June 30, 2022 Compared to the Three Months Ended June 30, 2021

Three Months Ended

March 31, 2022

March 31, 2021

June 30, 2022

June 30, 2021

Average daily total net assets

Net realized and unrealized gain on futures contracts

Net realized and unrealized gain (loss) on futures contracts

Interest income earned on cash and cash equivalents

Annualized interest yield based on average daily total net assets

Net Income (Loss)

Weighted average share outstanding

8 unchanged sentences

Redemption of Shares

For the Six Months Ended June 30, 2022 Compared to the Six Months Ended June 30, 2021

Six Months Ended

June 30, 2022

June 30, 2021

Average daily total net assets

Net realized and unrealized gain (loss) on futures contracts

Interest income earned on cash and cash equivalents

Annualized interest yield based on average daily total net assets

Net Income (Loss)

Weighted average share outstanding

Management Fees

Total gross fees and other expenses excluding management fees

Brokerage Commissions

Expenses waived by the Sponsor

Total gross expense ratio

Total expense ratio net of expenses waived by the Sponsor

Net investment loss

Creation of Shares

Redemption of Shares

Realized gain or loss on trading of commodity futures contracts is a function of:

4 unchanged sentences

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

The decrease in interest and other income year over year was due to lower net assets for the year, and was partially offset due to an increase in inflation from the second half of 2021 and strong economic activity and employment levels.

The increase in interest and other income year over year was due to higher interest rates for the year and was partially offset due to an increase in inflation from the second half of 2021 and strong economic activity and employment levels.

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

1 unchanged sentence

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

The decrease in management fee paid to the Sponsor for the three months ended March 31, 2022 compared to the three months ended March 31, 2021 was a result of lower average net assets.

The decrease in management fee paid to the Sponsor for the six months ended June 30, 2022 compared to the six months ended June 30, 2021 was a result of lower average net assets.

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

4 unchanged sentences

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

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

1 unchanged sentence

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

The increase in total brokerage commissions for the three months ended March 31, 2022 compared to the three months ended March 31, 2021, was primarily due to an increase in contracts purchased, liquidated, and rolled.

For the three months ended March 31, 2022, the Fund issued 525,000 shares as part of creation baskets and purchased 100,000 shares as part of redemption baskets.

Shares outstanding decreased by 1,825,000 shares or 43% for three months ended March 31, 2022 when compared to the same period in 2021.

In total, the Fund issued 900,000 shares and purchased 125,000 shares for the three months ended March 31, 2021.

The increase/decrease in total brokerage commissions for the three and six months ended June 30, 2022 compared to the three and six months ended June 30, 2021, was primarily due to an increase in contracts purchased, liquidated, and rolled.

Additionally, fees were paid to StoneX Financial Inc.

for FCM Capital Requirements at 9.6% of Exchange Maintenance Margin in 2022.

17 unchanged sentences

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

On March 31, 2022, the Fund held a total of ICE sugar futures contracts with a notional value of $25,497,158.

The contracts had an asset fair value of $1,906,462.

On June 30, 2022, the Fund held a total of ICE sugar futures contracts with a notional value of $32,387,364.

The contracts had an asset fair value of $10,878 and a liability fair value of $279,100.

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

(1) 35% to the JUL22 ICE No 11 contracts, (2) 30% to the OCT22 ICE No 11 contracts, and (3) 35% to the MAR23 ICE No 11 contracts.

(1) 35% to the MAR23 ICE No 11 contracts, (2) 30% to the MAY23 ICE No 11 contracts, and (3) 35% to the MAR24 ICE No 11 contracts.

Quarter Ending

March 31, 2022

Quarter Ending

June 30, 2022

June 30, 2021

March 31, 2022

December 31, 2021

Total Net Assets

3 unchanged sentences

Total net assets for the Fund increased year over year by 47%, driven by a combination of an increase in total shares outstanding of 875,000 or 34% and an increase in the NAV per share of $0.84 or 10%.

The net assets for the Fund increased by 12% when comparing March 31, 2022 to December 31, 2021.

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

For the Three Months Ended March 31, 2022 Compared to the Three Months Ended March 31, 2021

The net assets for the Fund increased by 27% when comparing June 30, 2022 to March 31, 2022.

This change was, in the opinion of management, due to the stabilization of prices worldwide, strong demand and with modestly higher production which accelerated investor interest.

For the Three Months Ended June 30, 2022 Compared to the Three Months Ended June 30, 2021

Three Months Ended

March 31, 2022

March 31, 2021

June 30, 2022

June 30, 2021

Average daily total net assets

Net realized and unrealized gain on futures contracts

Net realized and unrealized gain (loss) on futures contracts

$ (1,773,422 )

Interest income earned on cash and cash equivalents

Annualized interest yield based on average daily total net assets

Net Income (Loss)

$ (1,835,263 )

Weighted average share outstanding

8 unchanged sentences

Redemption of Shares

For the Six Months Ended June 30, 2022 Compared to the Six Months Ended June 30, 2021

Six Months Ended

June 30, 2022

June 30, 2021

Average daily total net assets

Net realized and unrealized gain (loss) on futures contracts

Interest income earned on cash and cash equivalents

Annualized interest yield based on average daily total net assets

Net Income (Loss)

Weighted average share outstanding

Management Fees

Total gross fees and other expenses excluding management fees

Brokerage Commissions

Expenses waived by the Sponsor

Total gross expense ratio

Total expense ratio net of expenses waived by the Sponsor

Net investment loss

Creation of Shares

Redemption of Shares

Realized gain or loss on trading of commodity futures contracts is a function of:

4 unchanged sentences

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

The increase in interest and other income year over year was due to an increase in inflation from the second half of 2021 and strong economic activity and employment levels.

The increase in interest and other income year over year was due to an increase in net assets and interest rates from the second half of 2021 and strong economic activity and employment levels.

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

1 unchanged sentence

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

The increase in management fee paid to the Sponsor for the three months ended March 31, 2022 compared to the three months ended March 31, 2021 was a result of higher average net assets.

The increase in management fee paid to the Sponsor for the three and six months ended June 30, 2022 compared to the three and six months ended June 30, 2021 was a result of higher average net assets.

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

4 unchanged sentences

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

The increase in total gross fees and other expenses excluding management fees for the three months ended March 31, 2022 compared to the three months ended March 31, 2021 was generally due to the increase in average net assets in the period.

The increase in total gross fees and other expenses excluding management fees for the three and six months ended June 30, 2022 compared to the three and six months ended June 30, 2021 was generally due to the increase in average net assets in the period.

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

1 unchanged sentence

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

For the three months ended March 31, 2022, the Fund issued 700,000 shares as part of creation baskets and purchased 525,000 shares as part of redemption baskets.

Shares outstanding increased by 475,000 shares or 22% for three months ended March 31, 2022 when compared to the same period in 2021.

In total, the Fund issued 275,000 shares for the three months ended March 31, 2021.

Additionally, fees were paid to StoneX Financial Inc.

for FCM Capital Requirements at 9.6% of Exchange Maintenance Margin in 2022.

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

14 unchanged sentences

(1) the second to expire CBOT Wheat Futures Contract, weighted 35%, (2) the third to expire CBOT Wheat Futures Contract, weighted 30%, and (3) the CBOT Wheat Futures Contract expiring in the December following the expiration month of the third to expire contract, weighted 35%.

On March 31, 2022, the Fund held a total of CBOT wheat futures contracts with a notional value of $492,671,813.

On June 30, 2022, the Fund held a total of CBOT wheat futures contracts with a notional value of $450,535,988.

The contracts had a liability fair value of $94,000,821.

The weighting of the notional value contracts is as follows:

(1) 35% to JUL22 CBOT contracts, (2) 30% to SEP22 CBOT contracts, and (3) 35% to DEC22 CBOT contracts.

(1) 35% to SEP22 CBOT contracts, (2) 30% to DEC22 CBOT contracts, and (3) 35% to DEC23 CBOT contracts.

Quarter Ending

1 unchanged sentence

Quarter Ending

March 31, 2022

June 30, 2022

June 30, 2021

March 31, 2022

December 31, 2021

Total Net Assets

$ 450,519,572

$ 492,639,237

Shares Outstanding

2 unchanged sentences

Total net assets for the Fund increased year over year by 424%, driven by a combination of an increase in total shares outstanding of 37,125,000 or 291% and an increase in the NAV per share of $2.29 or 34%.

The net assets for the Fund increased by 551% when comparing March 31, 2022 to December 31, 2021.

This change year over year, in the opinion of management, was due to elevated prices, influenced by relatively tight supplies in key exporting countries and the concerns over the conflict between Russia and Ukraine.

Prices have been rising as the conflict is raising significant questions about the ability of Russia and Ukraine to continue exporting.

For the Three Months Ended March 31, 2022 Compared to the Three Months Ended March 31, 2021

The net assets for the Fund decreased by -9% when comparing June 30, 2022 to March 31, 2022.

For the Three Months Ended June 30, 2022 Compared to the Three Months Ended June 30, 2021

Three Months Ended

March 31, 2022

March 31, 2021

June 30, 2022

June 30, 2021

Average daily total net assets

16 unchanged sentences

Redemption of Shares

For the Six Months Ended June 30, 2022 Compared to the Six Months Ended June 30, 2021

Six Months Ended

June 30, 2022

June 30, 2021

Average daily total net assets

$ 377,414,693

Net realized and unrealized gain (loss) on futures contracts

$ (57,641,019 )

Interest income earned on cash and cash equivalents

Annualized interest yield based on average daily total net assets

Net Income (Loss)

$ (59,383,897 )

Weighted average share outstanding

Management Fees

Total gross fees and other expenses excluding management fees

Brokerage Commissions

Expenses waived by the Sponsor

Total gross expense ratio

Total expense ratio net of expenses waived by the Sponsor

Net investment loss

Creation of Shares

Redemption of Shares

Realized gain or loss on trading of commodity futures contracts is a function of:

4 unchanged sentences

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

The increase in interest and other income year over year was due to an increase in inflation from the second half of 2021 and strong economic activity and employment levels.

The increase in interest and other income year over year was due to an increase in net assets and interest rates from the second half of 2021 and strong economic activity and employment levels.

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

1 unchanged sentence

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

The increase in management fee paid to the Sponsor for the three months ended March 31, 2022 compared to the three months ended March 31, 2021 was a result of higher average net assets.

The increase in management fee paid to the Sponsor for the three and six months ended June 30, 2022 compared to the three and six months ended June 30, 2021 was a result of higher average net assets.

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

4 unchanged sentences

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

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

1 unchanged sentence

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

For the three months ended March 31, 2022, the Fund issued 51,025,000 shares as part of creation baskets and purchased 11,150,000 shares as part of redemption baskets.

Shares outstanding increased by 36,650,000 shares or 272% for three months ended March 31, 2022 when compared to the same period in 2021.

In total, the Fund issued 2,800,000 shares and purchased 675,000 shares for the three months ended March 31, 2021.

Additionally, fees were paid to StoneX Financial Inc.

for FCM Capital Requirements at 9.6% of Exchange Maintenance Margin in 2022.

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

27 unchanged sentences

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

On March 31, 2022, the Fund held:

On June 30, 2022, the Fund held:

1) 451,890 shares of CORN with a fair value of $11,326,035;

2 unchanged sentences

and 4) 1,313,355 shares of CANE with a fair value of $12,239,024.

The weighting on March 31, 2022 was 26% to CORN, 25% to WEAT, 24% to SOYB and 25% to CANE.

The weighting on June 30, 2022 was 24% to CORN, 24% to WEAT, 26% to SOYB and 26% to CANE.

Quarter Ending

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Quarter Ending

March 31, 2022

June 30, 2022

June 30, 2021

March 31, 2022

December 31, 2021

Total Net Assets

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Total net assets for the Fund increased year over year by 369%, driven by a combination of an increase in shares outstanding of 1,137,500 shares or 294% and an increase in the NAV per share of $5.03 or 19%.

The net assets for the Fund increased by 106% when comparing March 31, 2022 to December 31, 2021.

The net assets for the Fund increased by 62% when comparing June 30, 2022 to March 31, 2022.

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

For the Three Months Ended March 31, 2022 Compared to the Three Months Ended March 31, 2021

For the Three Months Ended June 30, 2022 Compared to the Three Months Ended June 30, 2021

Three Months Ended

March 31, 2022

March 31, 2021

June 30, 2022

June 30, 2021

Average daily total net assets

Net realized and unrealized gain on securities

Net realized and unrealized gain (loss) on securities

$ (3,782,071 )

Interest income earned on cash equivalents

Annualized interest yield based on average daily total net assets

Net Income (Loss)

$ (3,795,658 )

Weighted average share outstanding

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Redemption of Shares

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

Six Months Ended

June 30, 2022

June 30, 2021

Average daily total net assets

Net realized and unrealized gain (loss) on securities

$ (1,304,063 )

Interest income earned on cash equivalents

Annualized interest yield based on average daily total net assets

Net Income (Loss)

$ (1,325,448 )

Weighted average share outstanding

Total gross fees and other expenses

Brokerage Commissions

Expenses waived by the Sponsor

Total gross expense ratio

Total expense ratio net of expenses waived by the Sponsor

Net investment loss

Creation of Shares

Redemption of Shares

Realized gain or loss on the securities of the Underlying Funds is a function of 1) the change in the price of particular contracts sold in relation to redemption of shares, 2) the gain or loss associated with rebalancing trades which are made to ensure conformance to the benchmark and 3) the full-turn brokerage commission fee recognized on a per trade basis.

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

The increase in total gross fees and other expenses for the three months ended March 31, 2022 compared to the three months ended March 31, 2021 was generally due to the increase in average net assets in the period.

The increase in total gross fees and other expenses for the three and six months ended June 30, 2022 compared to the three and six months ended June 30, 2021 was generally due to the increase in average net assets in the period.

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

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

Unrealized gain or loss on the securities of the Underlying Funds is a function of the change in the price of shares held on the final date of the period versus the purchase price for each and the number held.

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

Market Outlook

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

The outlook provided below is from the April 8, 2022 USDA report.

The outlook provided below is from the July 12, 2022 USDA report.

However, as discussed immediately below, there have been significant geopolitical developments since the issuance of the February 8th USDA Report that may significantly alter assumptions and expectations and the potential for resulting volatility and losses.

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Given all of the above factors, the Sponsor has no ability to discern when current high levels of volatility will subside.

To place the impacts of the geopolitical events described above in context, the following table compares the percentage change in corn prices, the price of corn futures contracts, the price of the Fund’s shares, and the increased trading volume of corn futures in the twenty trading days prior to the date of the Russian invasion of Ukraine (January 27, 2022 to February 23, 2022), compared to the twenty trading days following (February 24, 2022 to March 23, 2022).

To place the impacts of the geopolitical events described above in context, the following table compares the percentage change in corn prices, the price of corn futures contracts, the price of the Fund’s shares, and the increased trading volume of corn futures in the 87 trading days prior to the date of the Russian invasion of Ukraine (October 18, 2021 to February 23, 2022), compared to the 87 trading days following (February 24, 2022 to June 30, 2022).

Recent geopolitical events have also impacted the level of “backwardation” experienced by the Fund.

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If the prices of corn and corn futures were to decline, for example, because of a resolution of the Russia-Ukraine conflict, the Fund would experience the negative impact of contango.

JANUARY 27, 2022 TO FEBRUARY 23, 2022

(20 TRADING DAYS BEFORE THE RUSSIAN INVASION)

FEBRUARY 24, 2022 TO MARCH 23, 2022

(20 TRADING DAYS AFTER THE RUSSIAN INVASION)

OCTOBER 18, 2021 TO FEBRUARY 23, 2022 (87 TRADING DAYS BEFORE THE RUSSIAN INVASION)

FEBRUARY 24, 2022 TO JUNE 30, 2022 (87 TRADING DAYS AFTER THE RUSSIAN INVASION)

Average SPOT Corn Price = $5.9549

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will produce approximately 31% of all the corn globally, of which about 17% will be exported.

For 2021-2022, based on the April 8, 2022 USDA reports, global consumption of 1,197 Million Metric Tons (MMT) is expected to be slightly lower than global production of 1,210 MMT.

For 2022-2023, based on the July 12, 2022 USDA reports, global consumption of 1,186.28 Million Metric Tons (MMT) is expected to be slightly higher than global production of 1,185.90 MMT.

If the global demand for corn is not equal to global supply, this may have an impact on the price of corn.

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and global demand.

The graph below shows the USDA published price per bushel by month for the period January 2007 to February 2022.

On April 8, 2022, the USDA released its monthly World Agricultural Supply and Demand Estimates (WASDE) for the Crop Year 2021-22.

The graph below shows the USDA published price per bushel by month for the period January 2007 to May 2022.

On July 12, 2022, the USDA released its monthly World Agricultural Supply and Demand Estimates (WASDE) for the Crop Year 2022-23.

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

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Argentina is projected to produce about 51 MMT.

For 2021-22, based on the April 8, 2022 USDA report, global consumption of 362 MMT is estimated slightly higher than global production of 351 MMT.

For 2022-23, based on the July 12, 2022 USDA report, global consumption of 378 MMT is estimated slightly lower than global production of 391 MMT.

If the global demand for soybeans is not equal to global supply, this may have an impact on the price of soybeans.

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

The outlook provided below is from the April 8, 2022 USDA report.

The outlook provided below is from the July 12, 2022 USDA report.

As a general matter, the occurrence of a severe weather event, natural disaster, terrorist attack, geopolitical events, outbreak, or public health emergency as declared by the World Health Organization, the continuation or expansion of war or other hostilities, or a prolonged government shutdown may have significant adverse effects on the Fund and its investments and alter current assumptions and expectations.

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Given all of the above factors, the Sponsor has no ability to discern when current high levels of volatility will subside.

To place the impacts of the geopolitical events described above in context, the following table compares the percentage change in soybean prices, the price of soybean futures contracts, the price of the Fund’s shares, and the increased trading volume of soybean futures in the twenty trading days prior to the date of the Russian invasion of Ukraine (January 27, 2022 to February 23, 2022), compared to the twenty trading days following (February 24, 2022 to March 23, 2022).

To place the impacts of the geopolitical events described above in context, the following table compares the percentage change in soybean prices, the price of soybean futures contracts, the price of the Fund’s shares, and the increased trading volume of soybean futures in the 87 trading days prior to the date of the Russian invasion of Ukraine (October 18, 2021 to February 23, 2022), compared to the 87 trading days following (February 24, 2022 to June 30, 2022).

Recent geopolitical events also impacted the level of “backwardation” experienced by the Fund.

5 unchanged sentences

If the prices of soybean and soybean futures were to decline, for example, because of a resolution of the Russia-Ukraine conflict, the Fund would experience the negative impact of contango.

JANUARY 27, 2022 TO FEBRUARY 23, 2022

(20 TRADING DAYS BEFORE THE RUSSIAN INVASION)

FEBRUARY 24, 2022 TO MARCH 23, 2022

(20 TRADING DAYS AFTER THE RUSSIAN INVASION)

OCTOBER 18, 2021 TO FEBRUARY 23, 2022 (87 TRADING DAYS BEFORE THE RUSSIAN INVASION)

FEBRUARY 24, 2022 TO JUNE 30, 2022 (87 TRADING DAYS AFTER THE RUSSIAN INVASION)

Soybean prices

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and global demand.

The graph below shows the USDA published price per bushel by month for the period January 2007 to February 2022.

On April 8, 2022, the USDA released its monthly World Agricultural Supply and Demand Estimates (WASDE) for the Crop Year 2022-23.

The graph below shows the USDA published price per bushel by month for the period January 2007 to May 2022.

On July 12, 2022, the USDA released its monthly World Agricultural Supply and Demand Estimates (WASDE) for the Crop Year 2022-23.

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

19 unchanged sentences

Given all of the above factors, the Sponsor has no ability to discern when current high levels of volatility will subside.

To place the impacts of the geopolitical events described above in context, the following table compares the percentage change in sugar prices, the price of sugar futures contracts, the price of the Fund’s shares, and the increased trading volume of sugar futures in the twenty trading days prior to the date of the Russian invasion of Ukraine (January 27, 2022 to February 23, 2022), compared to the twenty trading days following (February 24, 2022 to March 23, 2022).

To place the impacts of the geopolitical events described above in context, the following table compares the percentage change in sugar prices, the price of sugar futures contracts, the price of the Fund’s shares, and the increased trading volume of sugar futures in the 87 trading days prior to the date of the Russian invasion of Ukraine (October 18, 2021 to February 23, 2022), compared to the 87 trading days following (February 24, 2022 to June 30, 2022).

Recent geopolitical events have also impacted the level of “backwardation” experienced by the Fund.

5 unchanged sentences

If the prices of sugar and sugar futures were to decline, for example, because of a resolution of the Russia-Ukraine conflict, the Fund would experience the negative impact of contango.

JANUARY 27, 2022 TO FEBRUARY 23, 2022 (20 TRADING DAYS BEFORE THE RUSSIAN INVASION)

FEBRUARY 24, 2022 TO MARCH 23, 2022 (20 TRADING DAYS AFTER THE RUSSIAN INVASION)

OCTOBER 18, 2021 TO FEBRUARY 23, 2022 (87 TRADING DAYS BEFORE THE RUSSIAN INVASION)

FEBRUARY 24, 2022 TO JUNE 30, 2022 (87 TRADING DAYS AFTER THE RUSSIAN INVASION)

Average SPOT Sugar Price = $0.1899

25 unchanged sentences

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

The USDA’s November 2021 report for the 2021/22 Marketing year estimated global production of 181 MMT, with the drop in Brazil expected to be offset by gains in European Union, India, Russia, and Thailand.

The USDA’s May 2022 report for the 2022-23 Marketing year estimated global production of 182.9 MMT as higher production in Brazil, China, and Russia is expected to more than offset declines in India and Ukraine.

Consumption is expected to rise due to growth in markets including China, India, and Russia.

Stocks are lowered due to a drop in China, Indonesia, and Thailand.

Exports are expected to be flat as the steep rise in Thailand trade is offset by lower shipments from Brazil.

Stocks are forecast lower as the drop in India more than offsets higher exports from Brazil and Thailand.

Exports are projected down as the drop in India more than offsets higher exports from Brazil and Thailand.

Global sugar consumption may fluctuate year over year due to any number of reasons which may include, but is not limited to, economic conditions, global health concerns, international trade policy.

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generates approximately 6% of global production, with approximately 45% of that being exported.

For 2021-22, based on the April 8, 2022 USDA report, global consumption of 791 MMT is estimated to be slightly higher than production of 779 MMT.

For 2022-23, based on the July 12, 2022 USDA report, global consumption of 784 MMT is estimated to be slightly higher than production of 772 MMT.

If the global demand of wheat is not equal to global supply, this may have an impact on the price of wheat.

4 unchanged sentences

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

The outlook provided herein is from the April 8, 2022 USDA report.

However, as discussed immediately below, there have been significant geopolitical developments since the issuance of the April 8th USDA Report that may significantly alter assumptions and expectations and the potential for resulting volatility and losses.

The outlook provided herein is from the July 12, 2022 USDA report.

However, as discussed immediately below, there have been significant geopolitical developments since the issuance of the July 12th USDA Report that may significantly alter assumptions and expectations and the potential for resulting volatility and losses.

9 unchanged sentences

Given all of the above factors, the Sponsor has no ability to discern when current high levels of volatility will subside.

To place the impacts of the geopolitical events described above in context, the following table compares the percentage change in wheat prices, the price of wheat futures contracts, the price of the Fund’s shares, and the increased trading volume of wheat futures in the twenty trading days prior to the date of the Russian invasion of Ukraine (January 27, 2022 to February 23, 2022), compared to the twenty trading days following (February 24, 2022 to March 23, 2022).

To place the impacts of the geopolitical events described above in context, the following table compares the percentage change in wheat prices, the price of wheat futures contracts, the price of the Fund’s shares, and the increased trading volume of wheat futures in the 87 trading days prior to the date of the Russian invasion of Ukraine (October 18, 2022 to February 23, 2022), compared to the 87 trading days following (February 24, 2022 to June 30, 2022).

Recent geopolitical events have also impacted the level of “backwardation” experienced by the Fund.

5 unchanged sentences

If the prices of wheat and wheat futures were to decline, for example, because of a resolution of the Russia-Ukraine conflict, the Fund would experience the negative impact of contango.

JANUARY 27, 2022 TO FEBRUARY 23, 2022 (20 TRADING DAYS BEFORE THE RUSSIAN INVASION)

FEBRUARY 24, 2022 TO MARCH 23, 2022 (20 TRADING DAYS AFTER THE RUSSIAN INVASION)

OCTOBER 18, 2021 TO FEBRUARY 23, 2022 (87 TRADING DAYS BEFORE THE RUSSIAN INVASION)

FEBRUARY 24, 2022 TO JUNE 30, 2022 (87 TRADING DAYS AFTER THE RUSSIAN INVASION)

Average SPOT Wheat Price = $7.8547

35 unchanged sentences

and global demand.

The graph below shows the USDA published price per bushel by month for the period January 2007 to February 2022.

On April 8, 2022, the USDA released its monthly World Agricultural Supply and Demand Estimates (WASDE) for the Crop Year 2021-22.

The graph below shows the USDA published price per bushel by month for the period January 2007 to May 2022.

On July 12, 2022, the USDA released its monthly World Agricultural Supply and Demand Estimates (WASDE) for the Crop Year 2022-23.

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

11 unchanged sentences

2) for ICE (CANE) http://www.theice.com/productguide/Search.shtml?tradingHours=.

The Administrator determines the value of all other investments for each Fund 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 Administrator determines the value of all other investments for each Fund as of the earlier of the close of the New York Stock Exchange or 4:00 p.m., (ET), in accordance with the current Services Agreement between the Administrator and the Trust.

The value of over-the-counter Commodity Interests will be determined based on the value of the commodity or Futures Contract underlying such Commodity Interest, except that a fair value may be determined if the Sponsor believes that a Fund is subject to significant credit risk relating to the counterparty to such Commodity Interest.

7 unchanged sentences

The NAV is calculated only once at the end of each trading day.

The indicative fund value is disseminated on a per Share basis every 15 seconds during regular NYSE Arca trading hours of 9:30 a.m., (EST), to 4:00 p.m., (EST).

The indicative fund value is disseminated on a per Share basis every 15 seconds during regular NYSE Arca trading hours of 9:30 a.m., (ET), to 4:00 p.m., (ET).

The CBOT and the ICE are generally open for trading only during specified hours which vary by exchange and may be adjusted by the exchange.

4 unchanged sentences

The most current trading hours for each exchange may be found on the website of that exchange as listed above.

ICE Data Indices, LLC disseminates the indicative fund value through the facilities of CTA/CQ High Speed Lines.

In addition, the indicative fund value is published on the NYSE Arca’s website and is available through on-line information services such as Bloomberg and Reuters.

ICE Data Indices, LLC disseminates the intraday indicative value (also referred to in this prospectus as "approximate net asset value") of the Fund's Shares through the facilities of Consolidated Tape Association's Consolidated Quotation High Speed Lines (also known as the "CTA/QC High Speed Lines").

ICE Data Indices, LLC will make the Benchmark information available through online information services, such as Yahoo Finance, Bloomberg and Reuters.

Dissemination of the indicative fund value provides additional information that is not otherwise available to the public and is useful to investors and market professionals in connection with the trading of Fund Shares on the NYSE Arca.

262 unchanged sentences

Off Balance Sheet Financing

As of March 31, 2022, neither the Trust nor any of the Funds has any loan guarantees, credit support or other off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions relating to certain risks service providers undertake in performing services which are in the best interests of the Funds.

As of June 30, 2022, neither the Trust nor any of the Funds has any loan guarantees, credit support or other off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions relating to certain risks service providers undertake in performing services which are in the best interests of the Funds.

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

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

During the period from January 1, 2021 through March 31, 2022 the average daily change in the NAV of each Fund was within plus/minus 10 percent of the average daily change in the Benchmark of each Fund, as stated in the applicable prospectus for each Fund.

During the period from January 1, 2021 through June 30, 2022 the average daily change in the NAV of each Fund was within plus/minus 10 percent of the average daily change in the Benchmark of each Fund, as stated in the applicable prospectus for each Fund.

Frequency Distribution of Premiums and Discounts:

67 unchanged sentences

The amount that a Fund’s market price is below the reported NAV is called the discount.

The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that a Fund’s NAV is calculated (usually 4:00 p.m., (EST)).

The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that a Fund’s NAV is calculated (usually 4:00 p.m., (ET)).

Each value in the tables represents the number of trading days in which a Fund traded within the premium/discount range indicated.

3 unchanged sentences

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

What changed 10-Q

Item 2. Management’s Discussion and Analysis