Teucrium Commodity Trust 10-Q

tct_10q.htm UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-Q ☒ Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the quarterly period ended September 30, 2022 . OR ☐ Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the transition period from _________ to _________ . Commission File Number: 001-34765 Teucrium Commodity Trust (Exact name of registrant as specified in its charter) Delaware 27-0724963 (State or other jurisdiction of (I.R.S. Employer incorporation or organization) Identification No.) Three Main Street , Suite 215 Burlington , VT 05401 (Address of principal executive offices) (Zip code) ( 802 ) 540-0019 (Registrant’s telephone number, including area code) Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. ☒ Yes ☐ No Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). ☒ Yes ☐ No Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, smaller reporting company or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act. Large accelerated filer ☐ Accelerated filer ☐ Non-accelerated Filer ☒ Smaller reporting company ☒ Emerging growth company ☐ If an emerging growth company, indicate by a check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐ Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). ☐ Yes ☒ No Indicate the number of shares outstanding of each of the issuer’s classes of common stock, as of the last practicable date. Total Number of Outstanding Shares as of November 8, 2022 Teucrium Corn Fund 7,800,004 Teucrium Sugar Fund 2,875,004 Teucrium Soybean Fund 2,475,004 Teucrium Wheat Fund 39,775,004 Teucrium Agricultural Fund 1,425,502 Hashdex Bitcoin Futures ETF 100,004 TEUCRIUM COMMODITY TRUST Table of Contents Page Part I. FINANCIAL INFORMATION Item 1. Financial Statements 3 Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations 4 Item 3. Quantitative and Qualitative Disclosures About Market Risk 50 Item 4. Controls and Procedures 54 Part II. OTHER INFORMATION Item 1. Legal Proceedings 55 Item 1A. Risk Factors 55 Item 2. Unregistered Sales of Equity Securities and Use of Proceeds 92 Item 3. Defaults Upon Senior Securities 95 Item 4. Mine Safety Disclosures 95 Item 5. Other Information 95 Item 6. Exhibits 96 2 Table of Contents Part I. FINANCIAL INFORMATION Item 1. Financial Statements. Index to Financial Statements Documents Page TEUCRIUM COMMODITY TRUST Combined Statements of Assets and Liabilities at September 30, 2022 (Unaudited) and December 31, 2021 F-1 Combined Schedule of Investments at September 30, 2022 (Unaudited) and December 31, 2021 F-2 Combined Statements of Operations (Unaudited) for the three and nine months ended September 30, 2022 and 2021 F-4 Combined Statements of Changes in Net Assets (Unaudited) for the nine months ended September 30, 2022 and 2021 F-5 Combined Statements of Cash Flows (Unaudited) for the nine months ended September 30, 2022 and 2021 F-6 Notes to Combined Financial Statements F-7 TEUCRIUM CORN FUND Statements of Assets and Liabilities at September 30, 2022 (Unaudited) and December 31, 2021 F-24 Schedule of Investments at September 30, 2022 (Unaudited) and December 31, 2021 F-25 Statements of Operations (Unaudited) for the three and nine months ended September 30, 2022 and 2021 F-27 Statements of Changes in Net Assets (Unaudited) for the nine months ended September 30, 2022 and 2021 F-28 Statements of Cash Flows (Unaudited) for the nine months ended September 30, 2022 and 2021 F-29 Notes to Financial Statements F-30 TEUCRIUM SOYBEAN FUND Statements of Assets and Liabilities at September 30, 2022 (Unaudited) and December 31, 2021 F-44 Schedule of Investments at September 30, 2022 (Unaudited) and December 31, 2021 F-45 Statements of Operations (Unaudited) for the three and nine months ended September 30, 2022 and 2021 F-47 Statements of Changes in Net Assets (Unaudited) for the nine months ended September 30, 2022 and 2021 F-48 Statements of Cash Flows (Unaudited) for the nine months ended September 30, 2022 and 2021 F-49 Notes to Financial Statements F-50 TEUCRIUM SUGAR FUND Statements of Assets and Liabilities at September 30, 2022 (Unaudited) and December 31, 2021 F-64 Schedule of Investments at September 30, 2022 (Unaudited) and December 31, 2021 F-65 Statements of Operations (Unaudited) for the three and nine months ended September 30, 2022 and 2021 F-67 Statements of Changes in Net Assets (Unaudited) for the nine months ended September 30, 2022 and 2021 F-68 Statements of Cash Flows (Unaudited) for the nine months ended September 30, 2022 and 2021 F-69 Notes to Financial Statements F-70 TEUCRIUM WHEAT FUND Statements of Assets and Liabilities at September 30, 2022 (Unaudited) and December 31, 2021 F-84 Schedule of Investments at September 30, 2022 (Unaudited) and December 31, 2021 F-85 Statements of Operations (Unaudited) for the three and nine months ended September 30, 2022 and 2021 F-87 Statements of Changes in Net Assets (Unaudited) for the nine months ended September 30, 2022 and 2021 F-88 Statements of Cash Flows (Unaudited) for the nine months ended September 30, 2022 and 2021 F-89 Notes to Financial Statements F-90 TEUCRIUM AGRICULTURAL FUND Statements of Assets and Liabilities at September 30, 2022 (Unaudited) and December 31, 2021 F-104 Schedule of Investments at September 30, 2022 (Unaudited) and December 31, 2021 F-105 Statements of Operations (Unaudited) for the three and nine months ended September 30, 2022 and 2021 F-107 Statements of Changes in Net Assets (Unaudited) for the nine months ended September 30, 2022 and 2021 F-108 Statements of Cash Flows (Unaudited) for the nine months ended September 30, 2022 and 2021 F-109 Notes to Financial Statements F-110 HASHDEX BITCOIN FUTURES ETF Statements of Assets and Liabilities at September 30, 2022 (Unaudited) F-121 Schedule of Investments at September 30, 2022 (Unaudited) F-122 Statements of Operations (Unaudited) from the commencement of operations (September 15, 2022) through September 30, 2022 F-123 Statements of Changes in Net Assets (Unaudited) from the commencement of operations (September 15, 2022) through September 30, 2022 F-124 Statements of Cash Flows (Unaudited) from the commencement of operations (September 15, 2022) through September 30, 2022 F-125 Notes to Financial Statements F-126 3 TEUCRIUM COMMODITY TRUST COMBINED STATEMENTS OF ASSETS AND LIABILITIES September 30, 2022 December 31, 2021 (Unaudited) Assets Cash and cash equivalents $ 629,514,898 $ 252,211,943 Interest receivable 418,273 16,982 Other assets 2,568 1,000 Equity in trading accounts: Commodity and cryptocurrency futures contracts 24,791,493 13,415,301 Due from broker 60,590,852 613,126 Total equity in trading accounts 85,382,345 14,028,427 Total assets $ 715,318,084 $ 266,258,352 Liabilities Management fee payable to Sponsor 562,179 227,779 Other liabilities 116,369 129,453 Equity in trading accounts: Commodity and cryptocurrency futures contracts 27,665,254 735,475 Due to broker - 888,877 Total equity in trading accounts 27,665,254 1,624,352 Total liabilities 28,343,802 1,981,584 Net Assets $ 686,974,282 $ 264,276,768 The accompanying notes are an integral part of these financial statements. F-1 Table of Contents TEUCRIUM COMMODITY TRUST COMBINED SCHEDULE OF INVESTMENTS September 30, 2022 (Unaudited) Percentage of Description: Assets Fair Value Net Assets Shares Cash equivalents Money market funds First American Government Obligations Fund - Class X (cost $148,187,971) $ 148,187,971 21.57 % 148,187,971 Goldman Sachs Financial Square Government Fund - Institutional Class (cost: $153,812,157) 153,812,157 22.39 153,812,157 Total money market funds (cost $302,000,128) $ 302,000,128 43.96 % Principal Amount Commercial Paper American Electric Power Company, Inc. 3.465% (cost: $12,458,317 due: 11/03/2022) $ 12,460,700 1.81 % 12,500,000 AT&T Inc. 3.277% (cost: $14,906,850 due: 11/28/2022) 14,921,700 2.17 15,000,000 Brookfield Infrastructure Holdings (Canada) Inc. 3.540% (cost: $19,895,000 due: 11/15/2022) 19,912,501 2.90 20,000,000 Crown Castle Inc. 3.234% (cost: $7,462,667 due: 11/10/2022) 7,473,333 1.09 7,500,000 Crown Castle Inc. 3.806% (cost: $4,504,451 due: 11/23/2022) 4,504,924 0.66 4,530,000 E. I. du Pont de Nemours and Company 3.336% (cost: $14,923,002 due: 11/21/2022) 14,929,877 2.17 15,000,000 Entergy Corporation 3.030% (cost: $7,462,500 due: 11/14/2022) 7,472,499 1.09 7,500,000 Entergy Corporation 3.163% (cost: $12,403,391 due: 11/28/2022) 12,437,041 1.81 12,500,000 Fortune Brands Home & Security, Inc. 3.040% (cost: $4,977,844 due: 10/21/2022) 4,991,638 0.73 5,000,000 Fortune Brands Home & Security, Inc. 3.754% (cost: $2,984,851 due: 11/18/2022) 2,985,160 0.43 3,000,000 General Motors Financial Company, Inc. 2.929% (cost: $7,457,709 due: 10/14/2022) 7,492,146 1.09 7,500,000 General Motors Financial Company, Inc. 2.878% (cost: $4,975,062 due: 10/17/2022) 4,993,666 0.73 5,000,000 General Motors Financial Company, Inc. 3.042% (cost: $7,456,731 due: 11/08/2022) 7,476,171 1.09 7,500,000 Glencore Funding LLC 2.856% (cost: $4,978,775 due: 10/03/2022) 4,999,214 0.73 5,000,000 Glencore Funding LLC 2.898% (cost: $14,924,663 due: 10/18/2022) 14,979,671 2.18 15,000,000 Harley-Davidson Financial Services, Inc. 3.029% (cost: $6,671,525 due: 10/05/2022) 6,697,767 0.97 6,700,000 Harley-Davidson Financial Services, Inc. 2.824% (cost: $3,488,566 due: 10/18/2022) 3,495,372 0.51 3,500,000 Harley-Davidson Financial Services, Inc. 3.487% (cost: $9,759,616 due: 11/03/2022) 9,769,008 1.42 9,800,000 Humana Inc. 2.518% (cost: $7,483,854 due: 10/03/2022) 7,498,959 1.09 7,500,000 ITT Inc. 2.795% (cost: $14,935,367 due: 10/11/2022) 14,988,459 2.18 15,000,000 ITT Inc. 2.683% (cost: $4,982,266 due: 10/24/2022) 4,991,502 0.73 5,000,000 Jabil Inc. 3.079% (cost: $7,475,219 due: 10/17/2022) 7,489,833 1.09 7,500,000 Jabil Inc. 3.129% (cost: $12,461,250 due: 10/21/2022) 12,478,471 1.82 12,500,000 ONEOK, Inc. 3.159% (cost: $9,975,439 due: 10/14/2022) 7,491,523 1.09 7,500,000 ONEOK, Inc. 3.158% (cost: $9,975,221 due: 10/14/2022) 12,485,872 1.82 12,500,000 PVH Corp. 3.535% (cost: $7,481,043 due: 10/19/2022) 7,486,875 1.09 7,500,000 PVH Corp. 3.434% (cost: $12,465,764 due: 10/21/2022) 12,476,389 1.82 12,500,000 V.F. Corporation 2.539% (cost: $7,479,525 due: 10/11/2022) 7,494,750 1.09 7,500,000 V.F. Corporation 3.282% (cost: $9,964,793 due: 11/01/2022) 9,972,015 1.45 10,000,000 V.F. Corporation 3.759% (cost: $2,480,935 due: 12/09/2022) 2,482,223 0.36 2,500,000 Viatris Inc. 3.473% (cost: $12,478,500 due: 10/14/2022) 12,484,472 1.82 12,500,000 Total Commercial Paper (cost: $281,330,696) $ 281,813,731 41.03 % Total Cash Equivalents $ 583,813,859 84.99 % Notional Amount (Long Exposure) Commodity futures contracts United States corn futures contracts CBOT corn futures MAR23 (2,207 contracts) $ 6,573,943 0.96 % $ 75,479,400 United States wheat futures contracts CBOT wheat futures MAR23 (2,854 contracts) 12,115,954 1.76 132,996,400 CBOT wheat futures MAY23 (2,430 contracts) 6,101,596 0.89 113,815,125 Total commodity futures contracts $ 24,791,493 3.61 % $ 322,290,925 Percentage of Notional Amount Description: Liabilities Fair Value Net Assets (Long Exposure) Commodity and Cryptocurrency futures contracts United States corn futures contracts CBOT corn futures MAY23 (1,889 contracts) $ 1,236,813 0.18 % $ 64,651,025 CBOT corn futures DEC23 (2,426 contracts) 3,099,010 0.45 74,811,775 United States soybean futures contracts CBOT soybean futures JAN23 (339 contracts) 1,626,608 0.24 23,314,725 CBOT soybean futures MAR23 (290 contracts) 1,453,840 0.21 20,057,125 CBOT soybean futures NOV23 (356 contracts) 3,401 0.00 23,869,800 United States sugar futures contracts ICE sugar futures MAY23 (471 contracts) 560,518 0.08 8,936,189 ICE sugar futures JUL23 (414 contracts) 17,706 0.00 7,669,267 ICE sugar futures MAR24 (475 contracts) 704,427 0.10 8,942,920 United States wheat futures contracts CBOT wheat futures DEC23 (2,899 contracts) 18,948,559 2.76 131,179,750 United States CME Bitcoin futures contracts CME Bitcoin futures Oct22 (6 contracts) 9,576 0.00 582,750 CME Bitcoin futures Nov22 (6 contracts) 4,796 0.00 583,050 Total commodity futures contracts $ 27,665,254 4.03 % $ 364,598,376 Exchange-traded funds* Shares Teucrium Corn Fund $ 11,605,566 1.69 % 429,192 Teucrium Soybean Fund 11,158,920 1.62 427,314 Teucrium Sugar Fund 11,589,798 1.69 1,327,598 Teucrium Wheat Fund 11,861,985 1.73 1,294,496 Total exchange-traded funds (cost $46,624,323) $ 46,216,269 6.73 % *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. F-2 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 (cost $32,968,833) $ 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. F-3 Table of Contents TEUCRIUM COMMODITY TRUST COMBINED STATEMENTS OF OPERATIONS (Unaudited) Three months ended Three months ended Nine months ended Nine months ended September 30, 2022(1) September 30, 2021 September 30, 2022(1) September 30, 2021 Income Realized and unrealized gain (loss) on trading of commodity futures contracts: Realized (loss) gain on commodity and cryptocurrency futures contracts $ ( 103,278,313 ) $ 15,419,113 $ ( 14,666,473 ) $ 109,828,706 Net change in unrealized (depreciation)/appreciation on commodity and cryptocurrency futures contracts 112,241,847 ( 23,501,922 ) $ ( 15,553,587 ) ( 34,410,727 ) Interest income 3,411,665 113,104 $ 5,411,206 430,283 Total income (loss) 12,375,199 ( 7,969,705 ) ( 24,808,854 ) 75,848,262 Expenses Management fees 1,666,788 749,229 5,121,250 2,549,948 Professional fees 202,539 219,475 1,012,066 928,149 Distribution and marketing fees 1,170,838 920,861 3,058,779 2,509,136 Custodian fees and expenses 151,161 99,410 280,651 280,651 Business permits and licenses fees 17,473 11,051 114,848 107,406 General and administrative expenses 46,910 58,673 257,025 263,366 Other expenses 21 17 26 17 Total expenses 3,255,730 2,058,716 9,844,645 6,638,673 Expenses waived by the Sponsor ( 62,609 ) ( 684,792 ) ( 1,115,590 ) ( 1,650,854 ) Total expenses, net 3,193,121 1,373,924 8,729,055 4,987,819 Net income (loss) $ 9,182,078 $ ( 9,343,629 ) $ ( 33,537,909 ) $ 70,860,443 (1) The Hashdex Bitcoin Futures ETF commenced operations on September 15, 2022. The accompanying notes are an integral part of these financial statements. F-4 Table of Contents TEUCRIUM COMMODITY TRUST COMBINED STATEMENTS OF CHANGES IN NET ASSETS (Unaudited) Nine months ended Nine months ended September 30, 2022(1) September 30, 2021 Operations Net (loss) income $ ( 33,537,909 ) $ 70,860,443 Capital transactions Issuance of Shares 1,216,204,797 134,705,493 Redemption of Shares ( 726,634,292 ) ( 242,902,007 ) Net change in the cost of the Underlying Funds ( 33,335,082 ) ( 5,732,374 ) Total capital transactions 456,235,423 ( 113,928,888 ) Net change in net assets 422,697,514 ( 43,068,445 ) Net assets, beginning of period 264,276,768 310,113,194 Net assets, end of period $ 686,974,282 $ 267,044,749 (1) The Hashdex Bitcoin Futures ETF commenced operations on September 15, 2022. The accompanying notes are an integral part of these financial statements. F-5 Table of Contents TEUCRIUM COMMODITY TRUST COMBINED STATEMENTS OF CASH FLOWS (Unaudited) Nine months ended Nine months ended September 30, 2022(1) September 30, 2021 Cash flows from operating activities: Net (loss) income $ ( 33,537,909 ) $ 70,860,443 Adjustments to reconcile net (loss) income to net cash (used in) provided by operating activities: Net change in unrealized appreciation on commodity and cryptocurrency futures contracts $ 15,553,587 34,410,727 Changes in operating assets and liabilities: Due from broker $ ( 59,977,726 ) ( 10,577,745 ) Interest receivable ( 401,291 ) ( 1,602 ) Other assets ( 1,568 ) 8 Due to broker ( 888,877 ) ( 26,931,492 ) Management fee payable to Sponsor 334,400 ( 39,199 ) Payable for purchases of commercial paper - ( 4,997,788 ) Other liabilities ( 13,084 ) 224,500 Net cash (used in) provided by operating activities ( 78,932,468 ) 62,947,852 Cash flows from financing activities: Proceeds from sale of Shares 1,216,204,797 135,013,323 Redemption of Shares ( 726,634,292 ) ( 247,306,922 ) Net change in cost of the Underlying Funds ( 33,335,082 ) ( 5,732,374 ) Net cash provided by (used in) financing activities 456,235,423 ( 118,025,973 ) Net change in cash and cash equivalents 377,302,955 ( 55,078,121 ) Cash and cash equivalents beginning of period 252,211,943 309,378,295 Cash and cash equivalents end of period $ 629,514,898 $ 254,300,174 (1) The Hashdex Bitcoin Futures ETF commenced operations on September 15, 2022. The accompanying notes are an integral part of these financial statements. F-6 Table of Contents NOTES TO COMBINED FINANCIAL STATEMENTS September 30, 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 six series: 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 these series of the Trust are collectively referred to as the “Funds” and singularly as the “Fund.” Collectively, CORN, CANE, SOYB, and WEAT are referred to as the “Agricultural Funds”. 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. On September 14, 2022, the Form S-1 for DEFI was declared effective by the SEC. This registration statement for DEFI registered an indeterminate number of shares. On September 15, 2022, five Creation Baskets for DEFI were issued representing 50,000 shares and $ 1,250,000 . DEFI began trading on the NYSE Arca on September 16, 2022. Teucrium Trading, LLC is the sponsor (“Sponsor”) of the Trust. The Sponsor is a member of the National Futures Association (the “NFA”) and became a commodity pool operator (“CPO”) registered with the Commodity Futures Trading Commission (the “CFTC”) effective November 10, 2009. The Sponsor registered as a Commodity Trading Advisor (“CTA”) with the CFTC effective September 8, 2017. The accompanying unaudited financial statements have been prepared in accordance with Rule 10-01 of Regulation S-X promulgated by the SEC and, therefore, do not include all information and footnote disclosures required under accounting principles generally accepted in the United States of America (“GAAP”). The financial information included herein is unaudited; however, such financial information reflects all adjustments which are, in the opinion of management, necessary for the fair presentation of the Trust’s financial statements for the interim period. It is suggested that these interim financial statements be read in conjunction with the audited financial statements and related notes included in the Trust’s Annual Report on Form 10-K, as well as the most recent Form S-1 filing, as applicable. The operating results for the three and nine months ended September 30, 2022, are not necessarily indicative of the results to be expected for the full year ending December 31, 2022. F-7 Table of Contents 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. 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”), StoneX Financial Inc. (“StoneX”) and Phillip Capital Inc. (“Phillip Capital”) serve as the Funds’ clearing brokers to execute and clear futures contracts and provide other brokerage-related services. E D & F Man, StoneX and Phillip Capital 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 broker-dealers with the SEC and are each a member of FINRA. E D & F Man, StoneX and Phillip Capital 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 $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 combined statements of operations, and a full turn is recognized as a realized loss on the combined statements of operations when a contract is sold. For Bitcoin futures contracts, StoneX is paid $10.00 - $25.00 per half-turn exclusive of pass through fees for the exchange and NFA. Phillip Capital is paid $35.00 - $45.00 per half-turn exclusive of pass through fees for the exchange, NFA, execution fees and platform and exchange data fees. A summary of these expenses is included below. F-8 Table of Contents The sole Trustee of the Trust is Wilmington Trust Company, a Delaware banking corporation. The Trustee will accept service of legal process on the Trust in the State of Delaware and will make certain filings under the Delaware Statutory Trust Act. For its services, the Trustee receives an annual fee of $3,300 from the Trust. These services are recorded in business permits and licenses fees on the 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 combined statements of operations. A summary of these expenses is included below: Three months ended September 30, 2022 (1) Three months ended September 30, 2021 Nine months ended September 30, 2022 (1) Nine months ended September 30, 2021 Amount Recognized for Custody Services $ 151,161 $ 99,410 $ 280,651 $ 280,651 Amount of Custody Services Waived $ 7,455 $ 53,146 $ 35,556 $ 79,955 Amount Recognized for Distribution Services $ 53,835 $ 41,306 147,890 $ 132,621 Amount of Distribution Services Waived $ 2,739 $ 36,153 45,733 $ 60,354 Amount Recognized for Wilmington Trust $ 3,300 $ 3,300 $ 3,300 $ 3,300 Amount of Wilmington Trust Waived $ 550 $ 991 $ 550 $ 991 Amount Recognized for Thales $ 54,755 $ 92,386 $ 212,879 $ 253,154 Amount of Thales Waived $ 2,605 $ 92,386 $ 103,396 $ 134,064 (1) The Hashdex Bitcoin Futures ETF commenced operations on September 15, 2022. 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, TAGS and DEFI. 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, TAGS and DEFI 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 Agricultural 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. F-9 Table of Contents Revenue Recognition Commodity and cryptocurrency 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 and cryptocurrency 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 The Sponsor recognizes the expense for brokerage commissions for futures contract trades on a per-trade basis. The below table shows the amounts included on the combined statements of operations as total brokerage commissions paid inclusive of unrealized loss for the three and nine months ended September 30, 2022. CORN SOYB CANE WEAT TAGS DEFI TRUST Three Months Ended September 30, 2022 (1) $ 54,746 $ 6,432 $ 5,436 $ 75,136 $ - $ 949 $ 142,699 Three Months Ended September 30, 2021 $ 43,677 $ 4,833 $ 6,613 $ 17,330 $ - $ - $ 72,453 Nine Months Ended September 30, 2022 (1) $ 188,321 $ 21,638 $ 31,972 $ 354,679 $ - $ 949 $ 597,559 Nine Months Ended September 30, 2021 $ 118,868 $ 26,568 $ 19,047 $ 39,852 $ - $ - $ 204,335 (1) The Hashdex Bitcoin Futures ETF commenced operations on September 15, 2022. 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. F-10 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 September 30, 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. There is very limited authority on the U.S. federal income tax treatment of bitcoin and no direct authority on bitcoin derivatives, such as Bitcoin Futures Contracts. Bitcoin Futures Contracts more likely than not will be considered futures with respect to commodities for purposes of the qualifying income exception under section 7704 of the Code. Based on a CFTC determination that treats bitcoin as a commodity under the CEA, the Fund intends to take the position that Bitcoin Futures Contracts consist of futures on commodities for purposes of the qualifying income exception under section 7704 of the Code. Shareholders should be aware that the Fund’s position is not binding on the IRS, and no assurance can be given that the IRS will not challenge the Fund’s position, or that the IRS or a court will not ultimately reach a contrary conclusion, which would result in the material adverse consequences to Shareholders and the Fund. The Funds recognize interest accrued related to unrecognized tax benefits and penalties related to unrecognized tax benefits in income tax fees payable, if assessed. No interest expense or penalties have been recognized as of and for the three and nine months ended September 30, 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. (ET) 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. (ET) 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 DEFI: 50,000 shares representing 5 baskets F-11 Table of Contents Cash and Cash Equivalents Cash equivalents are highly liquid investments with original maturity dates of 90 days or less when acquired. The Trust reported its cash equivalents in the combined statements of assets and liabilities at market value, or at carrying amounts that approximate fair value, because of their highly liquid nature and short-term maturities. Each Fund that is a series of the Trust has the balance of its cash equivalents on deposit with financial institutions. The Trust holds a balance in money market funds that is included in cash and cash equivalents on the combined statements of assets and liabilities. The Sponsor invests a portion of the available cash for the Funds in alternative demand deposit savings accounts, which are classified as cash and not as cash equivalents. Assets deposited with the bank may, at times, exceed federally insured limits. The Sponsor invests a portion of the available cash for the Funds in investment grade commercial paper with durations of 90 days or less, which is classified as a cash equivalent and is not FDIC insured. The Sponsor may invest a portion of the cash held by the broker in short term Treasury Bills as collateral for open futures contracts, which is classified as a cash equivalent and is not FDIC insured. September 30, 2022 December 31, 2021 Money Market Funds $ 302,000,128 $ 32,968,833 Demand Deposit Savings Accounts 45,701,039 99,262,744 Commercial Paper 281,813,731 119,980,366 Total cash and cash equivalents as presented on the combined Statement of Assets and Liabilities $ 629,514,898 $ 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. F-12 Table of Contents When a trader purchases an option, there is no margin requirement; however, the option premium must be paid in full. When a trader sells an option, on the other hand, he or she is required to deposit margin in an amount determined by the margin requirements established for the underlying interest and, in addition, an amount substantially equal to the current premium for the option. The margin requirements imposed on the selling of options, although adjusted to reflect the probability that out-of-the-money options will not be exercised, can in fact be higher than those imposed in dealing in the futures markets directly. Complicated margin requirements apply to spreads and conversions, which are complex trading strategies in which a trader acquires a mixture of options positions and positions in the underlying interest. Ongoing or “maintenance” margin requirements are computed each day by a trader’s clearing broker. When the market value of a particular open futures contract changes to a point where the margin on deposit does not satisfy maintenance margin requirements, a margin call is made by the broker. If the margin call is not met within a reasonable time, the broker may close out the trader’s position. With respect to the Funds’ trading, the Funds (and not their shareholders personally) are subject to margin calls. Finally, many major U.S. exchanges have passed certain cross margining arrangements involving procedures pursuant to which the futures and options positions held in an account would, in the case of some accounts, be aggregated, and margin requirements would be assessed on a portfolio basis, measuring the total risk of the combined positions. Payable/Receivable for Securities Purchased/Sold Due from/to broker for investments in securities are securities transactions pending settlement. The Trust and the Funds are subject to credit risk to the extent any broker with whom it conducts business is unable to fulfill contractual obligations on its behalf. The management of the Trust and the Funds monitors the financial condition of such brokers and does not anticipate any losses from these counterparties. 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 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, compliance, and other necessary services to the Fund, including services directly attributable to the Fund such as accounting, financial reporting, regulatory compliance, and trading activities. In some cases, at its discretion, the Sponsor may elect not to outsource certain of these expenses. In addition, the Agricultural 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 Agricultural Funds generally 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, the Financial Industry Regulatory Authority (“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. Each 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 services provided by 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 Funds and are, primarily, included as distribution and marketing fees on the statements of operations. These amounts, for the Trust and for each Fund, are detailed in the notes to the financial statements included in Part I of this filing. F-13 Table of Contents DEFI is contractually obligated to pay a monthly management fee to the Sponsor, based on average daily net assets, at a rate equal to 0.94% per annum. From the Management Fee, the Sponsor pays all of the routine operational, administrative and other ordinary expenses of the Fund, generally as determined by the Sponsor, including but not limited to, fees and expenses of the Administrator, Custodian, Distributor, Transfer Agent, licensors, accounting and audit fees expenses, tax preparation expenses, legal fees, ongoing SEC registration fees, individual Schedule K-1 preparation and mailing fees, and report preparation and mailing expenses. These fees and expenses are not included in the breakeven table because they are paid for by the Sponsor through the proceeds from the Management Fee. The Fund pays all of its non-recurring and unusual fees and expenses, if any, as determined by the Sponsor. Non-recurring and unusual fees and expenses are unexpected or unusual in nature, such as legal claims and liabilities and litigation costs or indemnification or other unanticipated expenses. Extraordinary fees and expenses also include material expenses which are not currently anticipated obligations of the Fund. Routine operational, administrative, and other ordinary expenses are not deemed extraordinary expenses. Three months ended September 30, 2022 (1) Three months ended September 30, 2021 Nine months ended September 30, 2022 (1) Nine months ended September 30, 2021 Recognized Related Party Transactions $ 638,361 $ 518,894 $ 2,055,991 $ 1,702,621 Waived Related Party Transactions $ 19,090 $ 284,739 $ 498,171 $ 735,851 (1) The Hashdex Bitcoin Futures ETF commenced operations on September 15, 2022. 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 DEFI TRUST Three months ended September 30, 2022 (1) $ - $ - $ - $ - $ 62,059 $ 550 $ 62,609 Three months ended September 30, 2021 $ 347,523 $ 173,635 $ 29,699 $ 104,989 $ 28,946 $ - $ 684,792 Nine months ended September 30, 2022 (1) $ 345,855 $ 89,562 $ 78,237 $ 425,164 $ 176,222 $ 550 $ 1,115,590 Nine months ended September 30, 2021 $ 789,304 $ 479,631 $ 87,738 $ 229,640 $ 64,541 $ - $ 1,650,854 (1) The Hashdex Bitcoin Futures ETF commenced operations on September 15, 2022. 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. F-14 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, WEAT and DEFI, 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. F-15 Table of Contents On September 30, 2022 and December 31, 2021, in the opinion of the Trust, the reported value at the close of the market for each commodity and cryptocurrency 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 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”) 2022-03, related to fair value measurement (Topic 820) of equity securities subject to contractual sale restrictions. Under the clarified guidance, contractual restrictions on the sale of an equity security are not considered part of the unit of account of the equity security and, therefore, are not considered in measuring fair value, however they do require disclosures. The amendment was early adopted for the quarter ended June 30, 2022; the early adoption did not have a material impact on the financial statements and disclosures of the Trust or the Funds. The FASB issued 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. F-16 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 was adopted for the quarter ended March 31, 2021; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Funds. The FASB issued ASU 2020-02: “Financial Instruments Credit Losses (Topic 326) and Leases (Topic 842): Amendments to SEC Paragraphs Pursuant to SEC Staff Accounting Bulletin No. 119 and Update to SEC Section on Effective Date Related to Accounting Standards Update No. 2016-02, Leases (Topic 842). The amendment updates and adds language to ASU 2016-02. The amendments were adopted for the quarter ended March 31, 2020; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Funds. The FASB issued ASU 2020-01: Investments Equity Securities (Topic 321), Investments Equity Method and Joint Ventures (Topic 323), and Derivatives and Hedging (Topic 815) Clarifying the Interactions between Topic 321, Topic 323, and Topic 815. The amendments clarify the treatment of transactions that require a company to apply or discontinue the equity method of accounting. The amendments were adopted early for the quarter ended March 31, 2020; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Funds. The FASB issued ASU 2019-01: "Leases (Topic 842): Codification Improvements. These amendments align the guidance for fair value of underlying assets by lessors that are not manufacturers or dealers in Topic 842 with that of existing guidance. The amendments were adopted for the quarter ended September 30, 2020; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Funds. The FASB issued ASU 2018-13: “Fair Value Measurement (Topic 820): Disclosure Framework Changes to the Disclosure Requirements for Fair Value Measurement. These amendments modify public and private company fair value disclosure requirements. While some disclosures were removed or modified, others were added. The guidance is a result of the FASB’s test of the principals developed to improve the effectiveness of disclosures in the notes to the financial statements. The amendments were adopted for the quarter ended March 31, 2020; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Funds. 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. F-17 Table of Contents Note 4 – Fair Value Measurements The Trust’s assets and liabilities recorded at fair value have been categorized based upon a fair value hierarchy as described in the Trust’s significant accounting policies in Note 3. The following table presents information about the Trust’s assets and liabilities measured at fair value as of September 30, 2022 and December 31, 2021: Assets: Level 1 Level 2 Level 3 Balance as of September 30, 2022 Cash Equivalents $ 583,813,859 $ - $ - $ 583,813,859 Commodity and Cryptocurrency Futures Contracts Corn futures contracts 6,573,943 - - 6,573,943 Wheat futures contracts 18,217,550 - - 18,217,550 Total $ 608,605,352 $ - $ - $ 608,605,352 Liabilities Level 1 Level 2 Level 3 Balance as of September 30, 2022 Commodity and Cryptocurrency Futures Contracts Corn futures contracts $ 4,335,823 $ - $ - $ 4,335,823 Soybean futures contracts 3,083,849 - - 3,083,849 Sugar futures contracts 1,282,651 - - 1,282,651 Wheat futures contracts 18,948,559 - - 18,948,559 Bitcoin futures contracts 14,372 14,372 Total $ 27,665,254 $ - $ - $ 27,665,254 Assets: Level 1 Level 2 Level 3 Balance as of December 31, 2021 Cash Equivalents $ 152,949,199 $ - $ - $ 152,949,199 Commodity and Cryptocurrency 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 and Cryptocurrency Futures Contracts Sugar futures contracts 80,506 - - $ 80,506 Wheat futures contracts 654,969 - - 654,969 Total $ 735,475 $ - $ - $ 735,475 For the three and nine months ended September 30, 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 and nine months ended September 30, 2022 and year ended December 31, 2021, the Funds invested only in commodity and cryptocurrency futures contracts specifically related to each Fund. F-18 Table of Contents Futures Contracts The Funds are subject to commodity and cryptocurrency price risk in the normal course of pursuing their investment objectives. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date. The purchase and sale of futures contracts requires margin deposits with an FCM. Subsequent payments (variation margin) are made or received by each Fund each day, depending on the daily fluctuations in the value of the contract, and are recorded as unrealized gains or losses by each Fund. Futures contracts may reduce the Funds’ exposure to 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 September 30, 2022, and December 31, 2021. The DEFI Fund has an account open at Phillip Capital with no contracts held as of September 30, 2022. *The amount of collateral presented in Collateral, Due from Broker, is limited to the liability for the futures contracts and accordingly does not include the excess collateral pledged. Offsetting of Financial Assets and Derivative Assets as of September 30, 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 and Cryptocurrency Price Corn futures contracts $ 6,573,943 $ - $ 6,573,943 $ 4,335,823 $ - $ 2,238,120 Wheat futures contracts $ 18,217,550 $ - $ 18,217,550 $ 18,217,550 $ - $ - F-19 Table of Contents Offsetting of Financial Liabilities and Derivative Liabilities as of September 30, 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 and Cryptocurrency Price Corn futures contracts $ 4,335,823 $ - $ 4,335,823 $ 4,335,823 $ - $ - Soybean futures contracts $ 3,083,849 $ - $ 3,083,849 $ - $ 3,083,849 $ - Sugar futures contracts $ 1,282,651 $ - $ 1,282,651 $ - $ 1,282,651 $ - Wheat futures contracts $ 18,948,559 $ - $ 18,948,559 $ 18,217,550 $ 731,009 $ - Bitcoin futures contracts $ 14,372 $ - $ 14,372 $ - $ 14,372 $ - 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 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 $ 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 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 Sugar futures contracts $ 80,506 $ - $ 80,506 $ 80,506 $ - $ - Wheat futures contracts $ 654,969 $ - $ 654,969 $ 654,969 $ - $ - The following is a summary of realized and unrealized gains (losses) of the derivative instruments utilized by the Trust: Three months ended September 30, 2022 (1) Realized (Loss) Gain on Commodity and Cryptocurrency Futures Contracts Net Change in Unrealized Appreciation (Depreciation) on Commodity and Cryptocurrency Futures Contracts Commodity Price Corn futures contracts $ ( 10,344,285 ) $ 23,856,276 Soybean futures contracts 977,658 ( 3,855,440 ) Sugar futures contracts ( 948,329 ) ( 1,014,429 ) Wheat futures contracts ( 92,957,415 ) 93,269,812 Bitcoin futures Contracts ( 5,942 ) ( 14,372 ) Total commodity and cryptocurrency futures contracts $ ( 103,278,313 ) $ 112,241,847 F-20 Table of Contents Three months ended September 30, 2021 Realized Gain on Commodity Futures Contracts Net Change in Unrealized (Depreciation) Appreciation on Commodity Futures Contracts Commodity Price Corn futures contracts $ 6,039,005 $ ( 16,642,507 ) Soybean futures contracts 3,421,173 ( 7,754,543 ) Sugar futures contracts 2,536,459 289,834 Wheat futures contracts 3,422,476 605,294 Total commodity and cryptocurrency futures contracts $ 15,419,113 $ ( 23,501,922 ) Nine months ended September 30, 2022 (1) Realized Gain (Loss) on Commodity and Cryptocurrency Futures Contracts Net Change in Unrealized Depreciation on Commodity and Cryptocurrency Futures Contracts Commodity Price Corn futures contracts $ 28,678,780 $ ( 3,698,432 ) Soybean futures contracts 10,675,505 ( 5,768,700 ) Sugar futures contracts ( 476,906 ) ( 2,281,371 ) Wheat futures contracts ( 53,537,910 ) ( 3,790,712 ) Bitcoin futures Contracts ( 5,942 ) ( 14,372 ) Total commodity and cryptocurrency futures contracts $ ( 14,666,473 ) $ ( 15,553,587 ) Nine months ended September 30, 2021 Realized Gain on Commodity Futures Contracts Net Change in Unrealized (Depreciation) Appreciation on Commodity Futures Contracts Commodity Price Corn futures contracts $ 61,285,136 $ ( 18,263,441 ) Soybean futures contracts 29,238,888 ( 15,794,481 ) Sugar futures contracts 5,802,090 846,951 Wheat futures contracts 13,502,592 ( 1,199,756 ) Total commodity and cryptocurrency futures contracts $ 109,828,706 $ ( 34,410,727 ) (1) The Hashdex Bitcoin Futures ETF commenced operations on September 15, 2022. F-21 Table of Contents Volume of Derivative Activities The average notional market value categorized by primary underlying risk for the futures contracts held was $ 662.8 million and $ 611.7 million respectively for the three and nine months ended September 30, 2022 and $ 281.7 million and $ 334.0 million for the three and nine months ended September 30, 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: September 30, 2022 Outstanding Shares Net Assets Teucrium Corn Fund 7,950,004 $ 214,972,436 Teucrium Soybean Fund 2,575,004 67,243,978 Teucrium Sugar Fund 2,925,004 25,534,967 Teucrium Wheat Fund 41,250,004 377,988,971 Hashdex Bitcoin Futures ETF 50,004 1,230,482 Teucrium Agricultural Fund: Net assets including the investment in the Underlying Funds 1,487,502 46,219,717 Less: Investment in the Underlying Funds ( 46,216,269 ) Net for the Fund in the combined net assets of the Trust 3,448 Total $ 686,974,282 F-22 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 September 30, 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: Trust: Nothing to report. CORN: Nothing to report. SOYB: Nothing to report. CANE: Nothing to report. WEAT: Nothing to report. TAGS: Nothing to report. DEFI: The total net assets of the Fund increased by $ 1,058,752 , or 86 %, for the period September 30, 2022 to November 8, 2022. This was driven by a 100 % increase in the shares outstanding and partially offset by a 7 % decrease in the NAV/share. F-23 Table of Contents TEUCRIUM CORN FUND STATEMENTS OF ASSETS AND LIABILITIES September 30, 2022 December 31, 2021 (Unaudited) Assets Cash and cash equivalents $ 197,381,777 $ 115,012,740 Interest receivable 134,080 8,614 Equity in trading accounts: Commodity futures contracts 6,573,943 5,936,552 Due from broker 15,440,025 77,143 Total equity in trading accounts 22,013,968 6,013,695 Total assets 219,529,825 121,035,049 Liabilities Management fee payable to Sponsor 179,005 104,087 Other liabilities 42,561 84,706 Equity in trading accounts: Commodity futures contracts 4,335,823 - Total liabilities 4,557,389 188,793 Net assets $ 214,972,436 $ 120,846,256 Shares outstanding 7,950,004 5,600,004 Shares Authorized * 22,425,000 Net asset value per share $ 27.04 $ 21.58 Market value per share $ 27.04 $ 21.54 * On April 7, 2022, the Teucrium Corn 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. F-24 Table of Contents TEUCRIUM CORN FUND SCHEDULE OF INVESTMENTS September 30, 2022 (Unaudited) Percentage of Description: Assets Fair Value Net Assets Shares Cash equivalents Money market funds First American Governemnt Obligations Fund - Class X (cost $32,434,029) $ 32,434,029 15.09 % 32,434,029 Goldman Sachs Financial Square Government Fund - Institutional Class (cost: $41,373,165) 41,373,165 19.24 41,373,165 Total money market funds (cost: $73,807,194) $ 73,807,194 34.33 % Commercial Paper American Electric Power Company, Inc. 3.465% (cost: $4,983,327 due 11/03/2022) $ 4,984,280 2.32 % 5,000,000 AT&T Inc. 3.277% (cost: $7,453,425 due 11/28/2022) 7,460,850 3.47 7,500,000 Brookfield Infrastructure Holdings (Canada) Inc. 3.540% (cost: $7,460,625 due 11/15/2022) 7,467,188 3.47 7,500,000 Crown Castle Inc. 3.234% (cost: $2,487,556 due 11/10/2022) 2,491,111 1.16 2,500,000 Crown Castle Inc. 3.806% (cost: $2,485,900 due 11/23/2022) 2,486,161 1.16 2,500,000 E. I. du Pont de Nemours and Company 3.336% (cost: $2,487,167 due 11/21/2022) 2,488,313 1.16 2,500,000 Entergy Corporation 3.030% (cost: $2,487,500 due 11/14/2022) 2,490,833 1.16 2,500,000 Entergy Corporation 3.163% (cost: $2,480,678 due 11/28/2022) 2,487,408 1.16 2,500,000 Fortune Brands Home & Security, Inc. 3.040% (cost: $2,488,922 due 10/21/2022) 2,495,819 1.16 2,500,000 General Motors Financial Company, Inc. 2.878% (cost: $2,487,531 due 10/17/2022) 2,496,833 1.16 2,500,000 General Motors Financial Company, Inc. 3.042% (cost: $2,485,577 due 11/08/2022) 2,492,057 1.16 2,500,000 Glencore Funding LLC 2.898% (cost: $9,949,775 due 10/18/2022) 9,986,447 4.65 10,000,000 Harley-Davidson Financial Services, Inc. 2.824% (cost: $996,733 due 10/18/2022) 998,678 0.47 1,000,000 Harley-Davidson Financial Services, Inc. 3.487% (cost: $2,489,698 due 11/03/2022) 2,492,094 1.16 2,500,000 Humana Inc. 2.518% (cost: $2,494,618 due 10/03/2022) 2,499,653 1.16 2,500,000 ITT Inc. 2.795% (cost: $4,978,456 due 10/11/2022) 4,996,153 2.32 5,000,000 ITT Inc. 2.683% (cost: $2,491,133 due 10/24/2022) 2,495,751 1.16 2,500,000 Jabil Inc. 3.129% (cost: $2,492,250 due 10/21/2022) 2,495,694 1.16 2,500,000 ONEOK, Inc. 3.159% (cost: $2,493,697 due 10/14/2022) 2,497,174 1.16 2,500,000 ONEOK, Inc. 3.158% (cost: $4,987,828 due 10/14/2022) 4,994,349 2.32 5,000,000 PVH Corp. 3.434% (cost: $7,479,458 due 10/21/2022) 7,485,833 3.49 7,500,000 V.F. Corporation 2.539% (cost: $2,493,175 due 10/11/2022) 2,498,250 1.16 2,500,000 V.F. Corporation 3.282% (cost: $7,473,595 due 11/01/2022) 7,479,011 3.48 7,500,000 V.F. Corporation 3.759% (cost: $2,480,935 due 12/09/2022) 2,482,223 1.15 2,500,000 Viatris Inc. 3.473% (cost: $4,991,400 due 10/14/2022) 4,993,789 2.32 5,000,000 Total Commercial Paper (cost: $98,080,959) $ 98,235,952 45.70 % Total Cash Equivalents $ 172,043,146 80.03 % Notional Amount (Long Exposure) Commodity futures contracts United States corn futures contracts CBOT corn futures MAR23 (2,207 contracts) $ 6,573,943 3.06 % $ 75,479,400 Percentage of Notional Amount Description: Liabilities Fair Value Net Assets (Long Exposure) Commodity futures contracts United States corn futures contracts CBOT corn futures MAY23 (1,889 contracts) $ 1,236,813 0.58 % $ 64,651,025 CBOT corn futures DEC23 (2,426 contracts) 3,099,010 1.44 74,811,775 Total commodity futures contracts $ 4,335,823 2.02 % $ 139,462,800 The accompanying notes are an integral part of these financial statements. F-25 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. F-26 Table of Contents TEUCRIUM CORN FUND STATEMENTS OF OPERATIONS (Unaudited) Three months ended Three months ended Nine months ended Nine months ended September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021 Income Realized and unrealized gain (loss) on trading of commodity futures contracts: Realized (loss) gain on commodity futures contracts $ ( 10,344,285 ) $ 6,039,005 $ 28,678,780 $ 61,285,136 Net change in unrealized appreciation/(depreciation) on commodity futures contracts 23,856,276 ( 16,642,507 ) ( 3,698,432 ) ( 18,263,441 ) Interest income 1,087,852 55,229 1,706,156 206,168 Total income (loss) 14,599,843 ( 10,548,273 ) 26,686,504 43,227,863 Expenses Management fees 525,893 342,207 1,628,695 1,187,734 Professional fees 48,270 117,055 330,357 447,879 Distribution and marketing fees 307,484 444,526 934,170 1,191,750 Custodian fees and expenses 42,405 48,716 77,409 132,904 Business permits and licenses fees 7,049 3,685 27,907 27,959 General and administrative expenses 12,197 28,376 98,381 117,321 Total expenses 943,298 984,565 3,096,919 3,105,547 Expenses waived by the Sponsor - ( 347,523 ) ( 345,855 ) ( 789,304 ) Total expenses, net 943,298 637,042 2,751,064 2,316,243 Net income (loss) $ 13,656,545 $ ( 11,185,315 ) $ 23,935,440 $ 40,911,620 Net gain (loss) per share $ 1.98 $ ( 1.12 ) $ 5.46 $ 4.69 Net income (loss) per weighted average share $ 1.67 $ ( 1.67 ) $ 2.90 $ 4.87 Weighted average shares outstanding 8,188,863 6,704,352 8,240,663 8,402,293 The accompanying notes are an integral part of these financial statements. F-27 Table of Contents TEUCRIUM CORN FUND STATEMENTS OF CHANGES IN NET ASSETS (Unaudited) Nine months ended Nine months ended September 30, 2022 September 30, 2021 Operations Net income $ 23,935,440 $ 40,911,620 Capital transactions Issuance of Shares 204,322,783 69,950,418 Redemption of Shares ( 134,132,043 ) ( 128,755,180 ) Total capital transactions 70,190,740 ( 58,804,762 ) Net change in net assets 94,126,180 ( 17,893,142 ) Net assets, beginning of period $ 120,846,256 $ 138,289,537 Net assets, end of period $ 214,972,436 $ 120,396,395 Net asset value per share at beginning of period $ 21.58 $ 15.54 Net asset value per share at end of period $ 27.04 $ 20.23 Creation of Shares 7,500,000 3,775,000 Redemption of Shares 5,150,000 6,725,000 The accompanying notes are an integral part of these financial statements. F-28 Table of Contents TEUCRIUM CORN FUND STATEMENTS OF CASH FLOWS (Unaudited) Nine months ended Nine months ended September 30, 2022 September 30, 2021 Cash flows from operating activities: Net income $ 23,935,440 $ 40,911,620 Adjustments to reconcile net income to net cash provided by operating activities: Net change in unrealized depreciation on commodity futures contracts 3,698,432 18,263,441 Changes in operating assets and liabilities: Due from broker ( 15,362,882 ) ( 6,206,315 ) Interest receivable ( 125,466 ) ( 1,510 ) Due to broker - ( 12,973,828 ) Management fee payable to Sponsor 74,918 ( 19,374 ) Payable for purchases of commercial paper - ( 2,499,092 ) Other liabilities ( 42,145 ) 139,564 Net cash provided by operating activities 12,178,297 37,614,506 Cash flows from financing activities: Proceeds from sale of Shares 204,322,783 69,950,418 Redemption of Shares ( 134,132,043 ) ( 130,697,455 ) Net cash provided by (used in) financing activities 70,190,740 ( 60,747,037 ) Net change in cash and cash equivalents 82,369,037 ( 23,132,531 ) Cash and cash equivalents, beginning of period 115,012,740 138,181,061 Cash and cash equivalents, end of period $ 197,381,777 $ 115,048,530 The accompanying notes are an integral part of these financial statements. F-29 Table of Contents NOTES TO FINANCIAL STATEMENTS September 30, 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 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 and nine months ended September 30, 2022 are not necessarily indicative of the results to be expected for the full year ending December 31, 2022. F-30 Table of Contents Subject to the terms of the Trust Agreement, Teucrium Trading, LLC, in its capacity as the Sponsor (“Sponsor”), may terminate a Fund at any time, regardless of whether the Fund has incurred losses, including, for instance, if it determines that the Fund’s aggregate net assets in relation to its operating expenses make the continued operation of the Fund unreasonable or imprudent. However, no level of losses will require the Sponsor to terminate a Fund. Note 2 – Principal Contracts and Agreements The Sponsor employs U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Global Fund Services”), for Transfer Agency, Fund Accounting and Fund Administration services. The principal address for Global Fund Services is 615 E. Michigan Street, Milwaukee, WI 53202. For custody services, the Funds will pay to U.S. Bank N.A. 0.0075% of average gross assets up to $1 billion, and .0050% of average gross assets over $1 billion, annually, plus certain per-transaction charges. For Transfer Agency, Fund Accounting and Fund Administration services, which are based on the total assets for all the Funds in the Trust, the Funds will pay to Global Fund Services 0.05% of average gross assets on the first $500 million, 0.04% on the next $500 million, 0.03% on the next $2 billion and 0.02% on the balance over $3 billion annually. A combined minimum annual fee of up to $47,000 for custody, transfer agency, accounting and administrative services is assessed per Fund. These services are recorded as custodian fees and expenses on the statements of operations. A summary of these expenses is included below. The Sponsor employs Foreside Fund Services, LLC (“Foreside” or the “Distributor”) as the Distributor for the Funds. The Distribution Services Agreement among the Distributor and the Sponsor calls for the Distributor to work with the Custodian in connection with the receipt and processing of orders for Creation Baskets and Redemption Baskets and the review and approval of all Fund sales literature and advertising materials. The Distributor and the Sponsor have also entered into a Securities Activities and Service Agreement (the “SASA”) under which certain employees and officers of the Sponsor are licensed as registered representatives or registered principals of the Distributor, under Financial Industry Regulatory Authority (“FINRA”) rules. For its services as the Distributor, Foreside receives a fee of 0.01% of each Fund’s average daily net assets and an aggregate annual fee of $100,000 for all Funds, along with certain expense reimbursements. For its services under the SASA, Foreside receives a fee of $5,000 per registered representative and $1,000 per registered location. These services are recorded as distribution and marketing fees on the statements of operations. A summary of these expenses is included below. Pursuant to a Consulting Services Agreement, Foreside Consulting Services, LLC, performs certain consulting support services for the Trust’s Sponsor. Additionally, Foreside Distributors, LLC performs certain distribution consulting services pursuant to a Distribution Consulting Agreement with the Sponsor. E D & F Man Capital Markets, Inc. (“E D & F Man”) and StoneX 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 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 $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. F-31 Table of Contents The sole Trustee of the Trust is Wilmington Trust Company, a Delaware banking corporation. The Trustee will accept service of legal process on the Trust in the State of Delaware and will make certain filings under the Delaware Statutory Trust Act. For its services, the Trustee receives an annual fee of $3,300 from the Trust. These services are recorded in business permits and licenses fees on the statements of operations. A summary of these expenses is included below. The Sponsor employs Thales Capital Partners LLC (“Thales”) for distribution and solicitation-related services. Thales is registered as a Broker-Dealer with the SEC and a member of FINRA and the Securities Investor Protection Corporation (“SIPC”). Thales receives a quarterly fee of the higher of $18,750 or 0.10% of new assets raised in referred accounts for distribution and solicitation-related services. This fee based on new assets raised is determined by an agreed upon level of assets at the time of signing the contract. These services are recorded in distribution and marketing fees on the statements of operations. A summary of these expenses is included below: Three months ended September 30, 2022 Three months ended September 30, 2021 Nine months ended September 30, 2022 Nine months ended September 30, 2021 Amount Recognized for Custody Services $ 42,405 $ 48,716 $ 77,409 $ 132,904 Amount of Custody Services Waived $ - $ 28,184 $ 4,000 $ 43,116 Amount Recognized for Distribution Services $ 14,345 $ 19,543 $ 46,974 $ 62,120 Amount of Distribution Services Waived $ - $ 19,543 $ 17,010 $ 19,543 Amount Recognized for Wilmington Trust $ 550 $ 1,520 $ 550 $ 1,520 Amount of Wilmington Trust Waived $ - $ - $ - $ - Amount Recognized for Thales $ 14,487 $ 43,254 $ 73,405 $ 117,331 Amount of Thales Waived $ - $ 43,254 $ 27,193 $ 73,274 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. F-32 Table of Contents Brokerage Commissions The Sponsor recognizes the expense for brokerage commissions for futures contract trades on a per-trade basis. The below table shows the amounts included on the statements of operations as total brokerage commissions paid inclusive of unrealized loss for the three and nine months ended September 30, 2022. CORN Three Months Ended September 30, 2022 $ 54,746 Three Months Ended September 30, 2021 $ 43,677 Nine Months Ended September 30, 2022 $ 188,321 Nine Months Ended September 30, 2021 $ 118,868 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 September 30, 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. F-33 Table of Contents The Fund recognizes interest accrued related to unrecognized tax benefits and penalties related to unrecognized tax benefits in income tax fees payable, if assessed. No interest expense or penalties have been recognized as of and for the three and nine months ended September 30, 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. (ET) 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. (ET) 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. 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. F-34 Table of Contents September 30, 2022 December 31, 2021 Money Market Funds $ 73,807,194 $ 11,399,662 Demand Deposit Savings Accounts 25,338,631 50,122,297 Commercial Paper 98,235,952 53,490,781 Total cash and cash equivalents as presented on the Statement of Assets and Liabilities $ 197,381,777 $ 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. 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. F-35 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. (ET). The NAV for a particular trading day is released after 4:15 p.m. (ET). 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. (ET). 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. F-36 Table of Contents Three months ended September 30, 2022 Three months ended September 30, 2021 Nine months ended September 30, 2022 Nine months ended September 30, 2021 Recognized Related Party Transactions $ 170,070 $ 242,913 $ 652,887 $ 797,998 Waived Related Party Transactions $ - $ 151,170 $ 149,721 $ 370,338 The Sponsor has the ability to elect to pay certain expenses on behalf of the Funds or waive the management fee. This election is subject to change by the Sponsor, at its discretion. Expenses paid by the Sponsor and Management fees waived by the Sponsor are, if applicable, presented as waived expenses in the statements of operations for each Fund. The Sponsor has determined that there will be no recovery sought for the amounts below in any future period: CORN Three months ended September 30, 2022 $ - Three months ended September 30, 2021 $ 347,523 Nine months ended September 30, 2022 $ 345,855 Nine months ended September 30, 2021 $ 789,304 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. F-37 Table of Contents The availability of valuation techniques and observable inputs can vary from financial instrument to financial instrument and is affected by a wide variety of factors including, the type of financial instrument, whether the financial instrument is new and not yet established in the marketplace, and other characteristics particular to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Those estimated values do not necessarily represent the amounts that may be ultimately realized due to the occurrence of future circumstances that cannot be reasonably determined. Because of the inherent uncertainty of valuation, those estimated values may be materially higher or lower than the values that would have been used had a ready market for the financial instruments existed. Accordingly, the degree of judgment exercised by the Fund in determining fair value is greatest for financial instruments categorized in Level 3. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy, within which the fair value measurement in its entirety falls, is determined based on the lowest level input that is significant to the fair value measurement. Fair value is a market-based measure considered from the perspective of a market participant rather than an entity-specific measure. Therefore, even when market assumptions are not readily available, the Fund’s own assumptions are set to reflect those that market participants would use in pricing the asset or liability at the measurement date. The Fund uses prices and inputs that are current as of the measurement date, including during periods of market dislocation. In periods of market dislocation, the observability of prices and inputs may be reduced for many securities. This condition could cause a financial instrument to be reclassified to a lower level within the fair value hierarchy. For instance, when Corn Futures Contracts on the CBOT are not actively trading due to a “limit-up” or limit-down” condition, meaning that the daily change in the Corn Futures Contracts has exceeded the limits established, the Trust and the Fund will revert to alternative verifiable sources of valuation of its assets. When such a situation exists on a quarter close, the Sponsor will calculate the Net Asset Value (“NAV”) on a particular day using the Level 1 valuation but will later recalculate the NAV for the impacted Fund based upon the valuation inputs from these alternative verifiable sources (Level 2 or Level 3) and will report such NAV in its applicable financial statements and reports. On September 30, 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. F-38 Table of Contents Expenses Expenses are recorded using the accrual method of accounting. Net Income (Loss) per Share Net income (loss) per share is the difference between the NAV per unit at the beginning of each period and at the end of each period. The weighted average number of units outstanding was computed for purposes of disclosing net income (loss) per weighted average unit. The weighted average units are equal to the number of units outstanding at the end of the period, adjusted proportionately for units created or redeemed based on the amount of time the units were outstanding during such period. New Accounting Pronouncements The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2022-03, related to fair value measurement (Topic 820) of equity securities subject to contractual sale restrictions. Under the clarified guidance, contractual restrictions on the sale of an equity security are not considered part of the unit of account of the equity security and, therefore, are not considered in measuring fair value, however they do require disclosures. The amendment was early adopted for the quarter ended June 30, 2022; the early adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued 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. F-39 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 September 30, 2022 and December 31, 2021: September 30, 2022 Assets: Level 1 Level 2 Level 3 Balance as of September 30, 2022 Cash Equivalents $ 172,043,146 $ - $ - $ 172,043,146 Commodity Futures Contracts Corn futures contracts 6,573,943 - - $ 6,573,943 Total $ 178,617,089 $ - $ - $ 178,617,089 Liabilities Level 1 Level 2 Level 3 Balance as of September 30, 2020 Commodity Futures Contracts Corn futures contracts $ 4,335,823 $ - $ - $ 4,335,823 F-40 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 Commodity Futures Contracts Corn futures contracts 5,936,552 - - $ 5,936,552 Total $ 70,826,995 $ - $ - $ 70,826,995 For the three and nine months ended September 30, 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 the three and nine months ended September 30, 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 an FCM. Subsequent payments (variation margin) are made or received by the Fund each day, depending on the daily fluctuations in the value of the contract, and are recorded as unrealized gains or losses by the Fund. Futures contracts may reduce the Fund’s exposure to counterparty risk since futures contracts are exchange-traded; and the exchange’s clearinghouse, as the counterparty to all exchange-traded futures, guarantees the futures against default. The Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM’s proprietary activities. A customer’s cash and other equity deposited with an FCM are considered commingled with all other customer funds subject to the FCM’s segregation requirements. In the event of an FCM’s insolvency, recovery may be limited to the Fund’s pro rata share of segregated customer funds available. It is possible that the recovery amount could be less than the total of cash and other equity deposited. The following table discloses information about offsetting assets and liabilities presented in the statements of assets and liabilities to enable users of these financial statements to evaluate the effect or potential effect of netting arrangements for recognized assets and liabilities. These recognized assets and liabilities are presented as defined in FASB ASU No. 2011-11 “Balance Sheet (Topic 210): Disclosures about Offsetting Assets and Liabilities” and subsequently clarified in FASB ASU 2013-01 “Balance Sheet (Topic 210): Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities.” The following table also identifies the fair value amounts of derivative instruments included in the statements of assets and liabilities as derivative contracts, categorized by primary underlying risk, and held by the FCMs, E D & F Man and StoneX as of September 30, 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. F-41 Table of Contents Offsetting of Financial Assets and Derivative Assets as of September 30, 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 $ 6,573,943 $ - $ 6,573,943 $ 4,335,823 $ - $ 2,238,120 Offsetting of Financial Liabilities and Derivative Liabilities as of September 30, 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 Corn futures contracts $ 4,335,823 $ - $ 4,335,823 $ 4,335,823 $ - $ - 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 September 30, 2022 Realized Loss on Commodity Futures Contracts Net Change in Unrealized Appreciation on Commodity Futures Contracts Commodity Price Corn futures contracts $ ( 10,344,285 ) $ 23,856,276 Three months ended September 30, 2021 Realized Gain on Commodity Futures Contracts Net Change in Unrealized Depreciation on Commodity Futures Contracts Commodity Price Corn futures contracts $ 6,039,005 $ ( 16,642,507 ) F-42 Table of Contents Nine months ended September 30, 2022 Realized Gain on Commodity Futures Contracts Net Change in Unrealized Depreciation on Commodity Futures Contracts Commodity Price Corn futures contracts $ 28,678,780 $ ( 3,698,432 ) Nine months ended September 30, 2021 Realized Gain on Commodity Futures Contracts Net Change in Unrealized Depreciation on Commodity Futures Contracts Commodity Price Corn futures contracts $ 61,285,136 $ ( 18,263,441 ) Volume of Derivative Activities The average notional market value categorized by primary underlying risk for the futures contracts held was $ 209.7 million and $ 201.4 million respectively for the three and nine months ended September 30, 2022 and $ 126.7 million and $ 154.1 million for the three and nine months ended September 30, 2021, respectively. Note 6 – Financial Highlights The following tables present per unit performance data and other supplemental financial data for the three and nine months ended September 30, 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 Nine months ended Nine months ended September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021 Per Share Operation Performance Net asset value at beginning of period $ 25.06 $ 21.44 $ 21.58 $ 15.54 Income from investment operations: Investment income 0.13 0.01 0.21 0.02 Net realized and unrealized gain on commodity futures contracts 1.96 1.12 5.58 4.94 Total expenses, net ( 0.11 ) ( 0.10 ) ( 0.33 ) ( 0.27 ) Net increase (decrease) in net asset value 1.98 ( 1.21 ) 5.46 4.69 Net asset value at end of period $ 27.04 $ 20.23 $ 27.04 $ 20.23 Total Return 7.89 % ( 5.62 )% 25.30 % 30.23 % Ratios to Average Net Assets (Annualized) Total expenses 1.79 % 2.88 % 1.90 % 2.61 % Total expenses, net 1.79 % 1.86 % 1.69 % 1.95 % Net investment income (loss) 0.27 % ( 1.70 )% ( 0.64 )% ( 1.78 )% The financial highlights per share data are calculated consistent with the methodology used to calculate asset-based fees and expenses. Note 7 – Organizational and Offering Costs Expenses incurred in organizing of the Trust and the initial offering of the Shares of the Fund, including applicable SEC registration fees were borne directly by the Sponsor. The Fund will not be obligated to reimburse the Sponsor. Note 8 – Subsequent Events Management has evaluated the financial statements for the quarter-ended September 30, 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. F-43 Table of Contents TEUCRIUM SOYBEAN FUND STATEMENTS OF ASSETS AND LIABILITIES September 30, 2022 December 31, 2021 (Unaudited) Assets Cash and cash equivalents $ 64,901,730 $ 43,019,884 Interest receivable 52,268 1,928 Equity in trading accounts: Commodity futures contracts - 2,684,851 Due from broker 5,445,820 - Total equity in trading accounts 5,445,820 2,684,851 Total assets 70,399,818 45,706,663 Liabilities Management fee payable to Sponsor 59,840 36,457 Other liabilities 12,151 22,412 Equity in trading accounts: Commodity futures contracts 3,083,849 - Due to broker - 675,169 Total equity in trading accounts 3,083,849 675,169 Total liabilities 3,155,840 734,038 Net assets $ 67,243,978 $ 44,972,625 Shares outstanding 2,575,004 1,975,004 Shares authorized * 15,875,000 Net asset value per share $ 26.11 $ 22.77 Market value per share $ 26.11 $ 22.75 * On April 7, 2022, the Teucrium Soybean 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. F-44 Table of Contents TEUCRIUM SOYBEAN FUND SCHEDULE OF INVESTMENTS September 30, 2022 (Unaudited) Percentage of Description: Assets Fair Value Net Assets Shares Cash equivalents Money market funds First American Funds - Government Obligations Fund - Class X (cost $17,432,839) $ 17,432,839 25.92 % 17,432,839 Goldman Sachs Financial Square Government Fund - Institutional Class (cost: $10,736,820) 10,736,820 15.97 10,736,820 Total money market funds (cost: $28,169,659) $ 28,169,659 41.89 % Principal Amount Commercial Paper American Electric Power Company, Inc. 3.465% (cost: $2,491,663 due 11/03/2022) $ 2,492,140 3.71 % 2,500,000 Brookfield Infrastructure Holdings (Canada) Inc. 3.540% (cost: $4,973,750 due 11/15/2022) 4,978,125 7.40 5,000,000 Crown Castle Inc. 3.234% (cost: $2,487,555 due 11/10/2022) 2,491,111 3.71 2,500,000 Entergy Corporation 3.030% (cost: $2,487,500 due 11/14/2022) 2,490,833 3.71 2,500,000 General Motors Financial Company, Inc. 2.929% (cost: $2,485,903 due 10/14/2022) 2,497,382 3.71 2,500,000 Glencore Funding LLC 2.898% (cost: $2,487,444 due 10/18/2022) 2,496,612 3.71 2,500,000 Harley-Davidson Financial Services, Inc. 3.029% (cost: $6,671,525 due 10/05/2022) 6,697,767 9.96 6,700,000 Harley-Davidson Financial Services, Inc. 3.487% (cost: $2,489,698 due 11/03/2022) 2,492,094 3.71 2,500,000 ONEOK, Inc. 3.158% (cost: $2,493,914 due 10/14/2022) 2,497,174 3.71 2,500,000 PVH Corp. 3.535% (cost: $2,493,681 due 10/19/2022) 2,495,625 3.71 2,500,000 Total Commercial Paper (cost: $31,562,633) $ 31,628,863 47.04 % Total Cash Equivalents $ 59,798,522 88.93 % Percentage of Notional Amount Description: Liabilities Fair Value Net Assets (Long Exposure) Commodity futures contracts United States soybean futures contracts CBOT soybean futures JAN23 (339 contracts) $ 1,626,608 2.42 % $ 23,314,725 CBOT soybean futures MAR23 (290 contracts) 1,453,840 2.16 20,057,125 CBOT soybean futures NOV23 (356 contracts) 3,401 0.01 23,869,800 Total commodity futures contracts $ 3,083,849 4.59 % $ 67,241,650 The accompanying notes are an integral part of these financial statements. F-45 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. F-46 Table of Contents TEUCRIUM SOYBEAN FUND STATEMENTS OF OPERATIONS (Unaudited) Three months ended Three months ended Nine months ended Nine months ended September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021 Income Realized and unrealized gain (loss) on trading of commodity futures contracts: Realized gain on commodity futures contracts $ 977,658 $ 3,421,173 $ 10,675,505 $ 29,238,888 Net change in unrealized depreciation on commodity futures contracts ( 3,855,440 ) ( 7,754,543 ) ( 5,768,700 ) ( 15,794,481 ) Interest income 365,454 20,624 549,818 105,253 Total (loss) income ( 2,512,328 ) ( 4,312,746 ) 5,456,623 13,549,660 Expenses Management fees 176,250 149,464 513,916 610,715 Professional fees 14,623 34,456 100,174 241,217 Distribution and marketing fees 94,938 212,480 294,524 672,427 Custodian fees and expenses 13,002 24,956 24,008 77,396 Business permits and licenses fees 1,762 631 15,833 20,995 General and administrative expenses 3,525 12,111 39,922 72,161 Total expenses 304,100 434,098 988,377 1,694,911 Expenses waived by the Sponsor - ( 173,635 ) ( 89,562 ) ( 479,631 ) Total expenses, net 304,100 260,463 898,815 1,215,280 Net (loss) income $ ( 2,816,428 ) $ ( 4,573,209 ) $ 4,557,808 $ 12,334,380 Net (loss) gain per share $ ( 0.96 ) $ ( 1.80 ) $ 3.34 $ 2.50 Net (loss) income per weighted average share $ ( 1.06 ) $ ( 1.77 ) $ 1.78 $ 3.31 Weighted average shares outstanding 2,646,471 2,590,221 2,553,850 3,724,546 The accompanying notes are an integral part of these financial statements. F-47 Table of Contents TEUCRIUM SOYBEAN FUND STATEMENTS OF CHANGES IN NET ASSETS (Unaudited) Nine months ended Nine months ended September 30, 2022 September 30, 2021 Operations Net income $ 4,557,808 $ 12,334,380 Capital transactions Issuance of Shares 53,625,065 22,195,355 Redemption of Shares ( 35,911,520 ) ( 76,423,890 ) Total capital transactions 17,713,545 ( 54,228,535 ) Net change in net assets 22,271,353 ( 41,894,155 ) Net assets, beginning of period $ 44,972,625 $ 89,178,862 Net assets, end of period $ 67,243,978 $ 47,284,707 Net asset value per share at beginning of period $ 22.77 $ 19.49 Net asset value per share at end of period $ 26.11 $ 21.99 Creation of Shares 1,950,000 1,050,000 Redemption of Shares 1,350,000 3,475,000 The accompanying notes are an integral part of these financial statements. F-48 Table of Contents TEUCRIUM SOYBEAN FUND STATEMENTS OF CASH FLOWS (Unaudited) Nine months ended Nine months ended September 30, 2022 September 30, 2021 Cash flows from operating activities: Net income $ 4,557,808 $ 12,334,380 Adjustments to reconcile net income to net cash provided by operating activities: Net change in unrealized depreciation on commodity futures contracts 5,768,700 15,794,481 Changes in operating assets and liabilities: Due from broker ( 5,445,820 ) ( 3,451,445 ) Interest receivable ( 50,340 ) 2,243 Other assets - 37 Payable for purchases of commercial paper - ( 4,997,451 ) Due to broker ( 675,169 ) ( 11,257,566 ) Management fee payable to Sponsor 23,383 ( 30,230 ) Other liabilities ( 10,261 ) 32,840 Net cash provided by operating activities 4,168,301 8,427,289 Cash flows from financing activities: Proceeds from sale of Shares 53,625,065 22,195,355 Redemption of Shares ( 35,911,520 ) ( 76,423,890 ) Net cash provided by (used in) financing activities 17,713,545 ( 54,228,535 ) Net change in cash and cash equivalents 21,881,846 ( 45,801,246 ) Cash and cash equivalents beginning of period 43,019,884 90,398,391 Cash and cash equivalents end of period $ 64,901,730 $ 44,597,145 The accompanying notes are an integral part of these financial statements. F-49 Table of Contents NOTES TO FINANCIAL STATEMENTS September 30, 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 and nine months ended September 30, 2022 are not necessarily indicative of the results to be expected for the full year ending December 31, 2022. F-50 Table of Contents Subject to the terms of the Trust Agreement, Teucrium Trading, LLC, in its capacity as the Sponsor (“Sponsor”), may terminate a Fund at any time, regardless of whether the Fund has incurred losses, including, for instance, if it determines that the Fund’s aggregate net assets in relation to its operating expenses make the continued operation of the Fund unreasonable or imprudent. However, no level of losses will require the Sponsor to terminate a Fund. Note 2 – Principal Contracts and Agreements The Sponsor employs U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Global Fund Services”), for Transfer Agency, Fund Accounting and Fund Administration services. The principal address for Global Fund Services is 615 E. Michigan Street, Milwaukee, WI 53202. For custody services, the Funds will pay to U.S. Bank N.A. 0.0075% of average gross assets up to $1 billion, and .0050% of average gross assets over $1 billion, annually, plus certain per-transaction charges. For Transfer Agency, Fund Accounting and Fund Administration services, which are based on the total assets for all the Funds in the Trust, the Funds will pay to Global Fund Services 0.05% of average gross assets on the first $500 million, 0.04% on the next $500 million, 0.03% on the next $2 billion and 0.02% on the balance over $3 billion annually. A combined minimum annual fee of up to $47,000 for custody, transfer agency, accounting and administrative services is assessed per Fund. These services are recorded as custodian fees and expenses on the statements of operations. A summary of these expenses is included below. The Sponsor employs Foreside Fund Services, LLC (“Foreside” or the “Distributor”) as the Distributor for the Funds. The Distribution Services Agreement among the Distributor and the Sponsor calls for the Distributor to work with the Custodian in connection with the receipt and processing of orders for Creation Baskets and Redemption Baskets and the review and approval of all Fund sales literature and advertising materials. The Distributor and the Sponsor have also entered into a Securities Activities and Service Agreement (the “SASA”) under which certain employees and officers of the Sponsor are licensed as registered representatives or registered principals of the Distributor, under Financial Industry Regulatory Authority (“FINRA”) rules. For its services as the Distributor, Foreside receives a fee of 0.01% of each Fund’s average daily net assets and an aggregate annual fee of $100,000 for all Funds, along with certain expense reimbursements. For its services under the SASA, Foreside receives a fee of $5,000 per registered representative and $1,000 per registered location. These services are recorded as distribution and marketing fees on the statements of operations. A summary of these expenses is included below. Pursuant to a Consulting Services Agreement, Foreside Consulting Services, LLC, performs certain consulting support services for the Trust’s Sponsor. Additionally, Foreside Distributors, LLC performs certain distribution consulting services pursuant to a Distribution Consulting Agreement with the Sponsor. E D & F Man Capital Markets, Inc. (“E D & F Man”) and StoneX 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 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 $11.00 per round turn . StoneX is paid $2.50 per round turn exclusive of pass-through fees for the exchange and the NFA. 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. F-51 Table of Contents The Sponsor employs Thales Capital Partners LLC (“Thales”) for distribution and solicitation-related services. Thales is registered as a Broker-Dealer with the SEC and a member of FINRA and the Securities Investor Protection Corporation (“SIPC”). Thales receives a quarterly fee of the higher of $18,750 or 0.10% of new assets raised in referred accounts for distribution and solicitation-related services. This fee based on new assets raised is determined by an agreed upon level of assets at the time of signing the contract. These services are recorded in distribution and marketing fees on the statements of operations. A summary of these expenses is included below: Three months ended September 30, 2022 Three months ended September 30, 2021 Nine months ended September 30, 2022 Nine months ended September 30, 2021 Amount Recognized for Custody Services $ 13,002 $ 24,956 $ 24,008 $ 77,396 Amount of Custody Services Waived $ - $ 14,494 $ 4,000 $ 22,311 Amount Recognized for Distribution Services $ 4,476 $ 9,804 $ 14,860 $ 36,491 Amount of Distribution Services Waived $ - $ 6,268 $ 3,962 $ 20,164 Amount Recognized for Wilmington Trust $ 550 $ 631 $ 550 $ 631 Amount of Wilmington Trust Waived $ - $ 631 $ - $ 631 Amount Recognized for Thales $ 4,543 $ 22,937 $ 22,314 $ 70,896 Amount of Thales Waived $ - $ 22,937 $ - $ 28,236 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. F-52 Table of Contents Brokerage Commissions the Sponsor recognizes the expense for brokerage commissions for futures contract trades on a per-trade basis. The below table shows the amounts included on the statements of operations as total brokerage commissions paid inclusive of unrealized loss for the three and nine months ended September 30, 2022. SOYB Three Months Ended September 30, 2022 $ 6,432 Three Months Ended September 30, 2021 $ 4,833 Nine Months Ended September 30, 2022 $ 21,638 Nine Months Ended September 30, 2021 $ 26,568 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 September 30, 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 and nine months ended September 30, 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. F-53 Table of Contents Creations and Redemptions Authorized Purchasers may purchase Creation Baskets consisting of 25,000 shares from the Fund. The amount of the proceeds required to purchase a Creation Basket will be equal to the NAV of the shares in the Creation Basket determined as of 4:00 p.m. (ET) 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. (ET) 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. Cash and Cash Equivalents Cash equivalents are highly liquid investments with maturity dates of 90 days or less when acquired. The Trust reported its cash equivalents in the statements of assets and liabilities at market value, or at carrying amounts that approximate fair value, because of their highly liquid nature and short-term maturities. Each Fund that is a series of the Trust has the balance of its cash equivalents on deposit with financial institutions. The Fund holds a balance in money market funds that is included in cash and cash equivalents on the statements of assets and liabilities. The Sponsor invests a portion of the available cash for the Funds in alternative demand deposit savings accounts, which is classified as cash and not as cash equivalents. Assets deposited with the bank may, at times, exceed federally insured limits. The Sponsor invests a portion of the available cash for the Funds in investment grade commercial paper with durations of 90 days or less, which is classified as a cash equivalent and is not FDIC insured. The Sponsor may invest a portion of the cash held by the FCM in short term Treasury Bills as collateral for open futures contracts, which is classified as a cash equivalent and is not FDIC insured. September 30, 2022 December 31, 2021 Money Market Funds $ 28,169,659 $ 11,462,494 Demand Deposit Savings Accounts 5,103,208 10,059,937 Commercial Paper 31,628,863 21,497,453 Total cash and cash equivalents as presented on the Statement of Assets and Liabilities $ 64,901,730 $ 43,019,884 F-54 Table of Contents Payable for Purchases of Commercial Paper The amount recorded by the Fund for commercial paper transactions awaiting settlement, represents the amount payable for contracts purchased but not yet settled as of the reporting date. The value of the contract is included in cash and cash equivalents, and the payable amount is included as a liability. Due from/to Broker The amount recorded by the Fund for the amount due from and to the clearing broker includes, but is not limited to, cash held by the broker, amounts payable to the clearing broker related to open transactions, payables for commodities futures accounts liquidating to an equity balance on the clearing broker’s records and amounts of brokerage commissions paid and recognized as unrealized losses. Margin is the minimum amount of funds that must be deposited by a commodity interest trader with the trader’s broker to initiate and maintain an open position in futures contracts. A margin deposit acts to assure the trader’s performance of the futures contracts purchased or sold. Futures contracts are customarily bought and sold on initial margin that represents a very small percentage of the aggregate purchase or sales price of the contract. Because of such low margin requirements, price fluctuations occurring in the futures markets may create profits and losses that, in relation to the amount invested, are greater than customary in other forms of investment or speculation. As discussed below, adverse price changes in the futures contract may result in margin requirements that greatly exceed the initial margin. In addition, the amount of margin required in connection with a particular futures contract is set from time to time by the exchange on which the contract is traded and may be modified from time to time by the exchange during the term of the contract. Brokerage firms, such as the Fund’s clearing brokers, carrying accounts for traders in commodity interest contracts generally require higher amounts of margin as a matter of policy to further protect themselves. Over the counter trading generally involves the extension of credit between counterparties, so the counterparties may agree to require the posting of collateral by one or both parties to address credit exposure. When a trader purchases an option, there is no margin requirement; however, the option premium must be paid in full. When a trader sells an option, on the other hand, he or she is required to deposit margin in an amount determined by the margin requirements established for the underlying interest and, in addition, an amount substantially equal to the current premium for the option. The margin requirements imposed on the selling of options, although adjusted to reflect the probability that out-of-the-money options will not be exercised, can in fact be higher than those imposed in dealing in the futures markets directly. Complicated margin requirements apply to spreads and conversions, which are complex trading strategies in which a trader acquires a mixture of options positions and positions in the underlying interest. Ongoing or “maintenance” margin requirements are computed each day by a trader’s clearing broker. When the market value of a particular open futures contract changes to a point where the margin on deposit does not satisfy maintenance margin requirements, a margin call is made by the broker. If the margin call is not met within a reasonable time, the broker may close out the trader’s position. With respect to the Fund’s trading, the Fund (and not its shareholders personally) is subject to margin calls. Finally, many major U.S. exchanges have passed certain cross margining arrangements involving procedures pursuant to which the futures and options positions held in an account would, in the case of some accounts, be aggregated and margin requirements would be assessed on a portfolio basis, measuring the total risk of the combined positions. Calculation of Net Asset Value The Fund’s NAV is calculated by: • Taking the current market value of its total assets and • Subtracting any liabilities. F-55 Table of Contents The administrator, Global Fund Services, calculates the NAV of the Fund once each trading day. It calculates the NAV as of the earlier of the close of the NYSE or 4:00 p.m. (ET). The NAV for a particular trading day is released after 4:15 p.m. (ET). 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. (ET). 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 September 30, 2022 Three months ended September 30, 2021 Nine months ended September 30, 2022 Nine months ended September 30, 2021 Recognized Related Party Transactions $ 53,104 $ 122,021 $ 205,250 $ 461,318 Waived Related Party Transactions $ - $ 93,643 $ 32,056 $ 231,207 F-56 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 September 30, 2022 $ - Three months ended September 30, 2021 $ 173,635 Nine months ended September 30, 2022 $ 89,562 Nine months ended September 30, 2021 $ 479,631 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. F-57 Table of Contents Fair value is a market-based measure considered from the perspective of a market participant rather than an entity-specific measure. Therefore, even when market assumptions are not readily available, the Fund’s own assumptions are set to reflect those that market participants would use in pricing the asset or liability at the measurement date. The Fund uses prices and inputs that are current as of the measurement date, including periods of market dislocation. In periods of market dislocation, the observability of prices and inputs may be reduced for many financial instruments. This condition could cause a financial instrument to be reclassified to a lower level within the fair value hierarchy. When such a situation exists on a quarter close, the Sponsor will calculate the NAV on a particular day using the Level 1 valuation but will later recalculate the NAV for the impacted Fund based upon the valuation inputs from these alternative verifiable sources (Level 2 or Level 3) and will report such NAV in its applicable financial statements and reports. On September 30, 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”) 2022-03, related to fair value measurement (Topic 820) of equity securities subject to contractual sale restrictions. Under the clarified guidance, contractual restrictions on the sale of an equity security are not considered part of the unit of account of the equity security and, therefore, are not considered in measuring fair value, however they do require disclosures. The amendment was early adopted for the quarter ended June 30, 2022; the early adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. F-58 Table of Contents The FASB issued 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. 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. F-59 Table of Contents Note 4 – Fair Value Measurements The Fund’s assets and liabilities recorded at fair value have been categorized based upon a fair value hierarchy as described in the Fund’s significant accounting policies in Note 3. The following table presents information about the Fund’s assets and liabilities measured at fair value as of September 30, 2022 and December 31, 2021: September 30, 2022 Assets: Level 1 Level 2 Level 3 Balance as of September 30, 2022 Cash Equivalents $ 59,798,522 $ - $ - $ 59,798,522 Liabilities Level 1 Level 2 Level 3 Balance as of September 30, 2022 Commodity Futures Contracts Soybean futures contracts $ 3,083,849 $ - $ - $ 3,083,849 December 31, 2021 Assets: Level 1 Level 2 Level 3 Balance as of December 31, 2021 Cash Equivalents $ 32,959,947 $ - $ - $ 32,959,947 Commodity Futures Contracts Soybean futures contracts 2,684,851 - - 2,684,851 Total $ 35,644,798 $ - $ - $ 35,644,798 For the three and nine months ended September 30, 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. See the Fair Value - Definition and Hierarchy section in Note 3 above for an explanation of the transfers into and out of each level of the fair value hierarchy. Note 5 – Derivative Instruments and Hedging Activities In the normal course of business, the Fund utilizes derivative contracts in connection with its proprietary trading activities. Investments in derivative contracts are subject to additional risks that can result in a loss of all or part of an investment. The Fund’s derivative activities and exposure to derivative contracts are classified by the following primary underlying risks: interest rate, credit, commodity price, and equity price risks. In addition to its primary underlying risks, the Fund is also subject to additional counterparty risk due to inability of its counterparties to meet the terms of their contracts. For the three and nine months ended September 30, 2022 and year ended December 31, 2021, the Fund invested only in commodity futures contracts. F-60 Table of Contents Futures Contracts The Fund is subject to commodity price risk in the normal course of pursuing its investment objectives. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date. The purchase and sale of futures contracts requires margin deposits with an FCM. Subsequent payments (variation margin) are made or received by the Fund each day, depending on the daily fluctuations in the value of the contract, and are recorded as unrealized gains or losses by the Fund. Futures contracts may reduce the Fund’s exposure to counterparty risk since futures contracts are exchange-traded; and the exchange’s clearinghouse, as the counterparty to all exchange-traded futures, guarantees the futures against default. The Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM’s proprietary activities. A customer’s cash and other equity deposited with an FCM are considered commingled with all other customer funds subject to the FCM’s segregation requirements. In the event of an FCM’s insolvency, recovery may be limited to the Fund’s pro rata share of segregated customer funds available. It is possible that the recovery amount could be less than the total of cash and other equity deposited. The following table discloses information about offsetting assets and liabilities presented in the statements of assets and liabilities to enable users of these financial statements to evaluate the effect or potential effect of netting arrangements for recognized assets and liabilities. These recognized assets and liabilities are presented as defined in FASB ASU No. 2011-11 “Balance Sheet (Topic 210): Disclosures about Offsetting Assets and Liabilities” and subsequently clarified in FASB ASU 2013-01 “Balance Sheet (Topic 210): Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities.” The following table also identifies the fair value amounts of derivative instruments included in the statements of assets and liabilities as derivative contracts, categorized by primary underlying risk, and held by the FCMs, E D & F Man and StoneX as of September 30, 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 September 30, 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 Soybean futures contracts $ 3,083,849 $ - $ 3,083,849 $ - $ 3,083,849 $ - 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 F-61 Table of Contents The following is a summary of realized and unrealized gains and losses of the derivative instruments utilized by the Fund: Three months ended September 30, 2022 Realized Gain on Commodity Futures Contracts Net Change in Unrealized Depreciation on Commodity Futures Contracts Commodity Price Soybean futures contracts $ 977,658 $ ( 3,855,440 ) Three months ended September 30, 2021 Realized Gain on Commodity Futures Contracts Net Change in Unrealized Depreciation on Commodity Futures Contracts Commodity Price Soybean futures contracts $ 3,421,173 $ ( 7,754,543 ) Nine months ended September 30, 2022 Realized Gain on Commodity Futures Contracts Net Change in Unrealized Depreciation on Commodity Futures Contracts Commodity Price Soybean futures contracts $ 10,675,505 $ ( 5,768,700 ) Nine months ended September 30, 2021 Realized Gain on Commodity Futures Contracts Net Change in Unrealized Depreciation on Commodity Futures Contracts Commodity Price Soybean futures contracts $ 29,238,888 $ ( 15,794,481 ) Volume of Derivative Activities The average notional market value categorized by primary underlying risk for all futures contracts held was $ 68.6 million and $ 64.6 million respectively for the three and nine months ended September 30, 2022 and $ 54.6 million and $ 80.7 million for the three and nine months ended September 30, 2021, respectively. F-62 Table of Contents Note 6 – Financial Highlights The following tables present per unit performance data and other supplemental financial data for the three and nine months ended September 30, 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 Nine months ended Nine months ended September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021 Per Share Operation Performance Net asset value at beginning of period $ 27.07 $ 23.79 $ 22.77 $ 19.49 Income from investment operations: Investment income 0.13 0.01 0.21 0.03 Net realized and unrealized (loss) gain on commodity futures contracts - 0.98 - 1.71 3.48 2.80 Total expenses, net - 0.11 - 0.10 - 0.35 - 0.33 Net (decrease) increase in net asset value ( 0.96 ) ( 1.80 ) 3.34 2.50 Net asset value at end of period $ 26.11 $ 21.99 $ 26.11 $ 21.99 Total Return - 3.52 % - 7.56 % 14.68 % 12.83 % Ratios to Average Net Assets (Annualized) Total expenses 1.73 % 2.90 % 1.92 % 2.78 % Total expenses, net 1.73 % 1.74 % 1.75 % 1.99 % Net investment income (loss) 0.34 % ( 1.60 )% ( 0.68 )% ( 1.82 )% The financial highlights per share data are calculated consistent with the methodology used to calculate asset-based fees and expenses. Note 7 – Organizational and Offering Costs Expenses incurred in organizing of the Trust and the initial offering of the Shares of the Fund, including applicable SEC registration fees were borne directly by the Sponsor. The Fund will not be obligated to reimburse the Sponsor. Note 8 – Subsequent Events Management has evaluated the financial statements for the quarter-ended September 30, 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. F-63 Table of Contents TEUCRIUM SUGAR FUND STATEMENTS OF ASSETS AND LIABILITIES September 30, 2022 December 31, 2021 (Unaudited) Assets Cash and cash equivalents $ 24,085,192 $ 21,332,902 Interest receivable 21,528 1,444 Other assets 396 - Equity in trading accounts: Commodity futures contracts - 1,079,226 Due from broker 2,739,693 535,983 Total equity in trading accounts 2,739,693 1,615,209 Total assets 26,846,809 22,949,555 Liabilities Management fee payable to Sponsor 21,766 19,490 Other liabilities 7,425 14,895 Equity in trading accounts: Commodity futures contracts 1,282,651 80,506 Total liabilities 1,311,842 114,891 Net assets $ 25,534,967 $ 22,834,664 Shares outstanding 2,925,004 2,475,004 Shares authorized * 21,450,000 Net asset value per share $ 8.73 $ 9.23 Market value per share $ 8.68 $ 9.20 * On April 7, 2022, the Teucrium Sugar 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. F-64 Table of Contents TEUCRIUM SUGAR FUND SCHEDULE OF INVESTMENTS September 30, 2022 (Unaudited) Percentage of Description: Assets Fair Value Net Assets Shares Cash equivalents Money market funds First American Government Obligations Fund - Class X (cost $6,907,992) $ 6,907,992 27.05 % 6,907,992 Goldman Sachs Financial Square Government Fund - Institutional Class (cost $1,857,906) 1,857,906 7.28 1,857,906 Total money market funds (cost: $8,765,989) $ 8,765,898 34.33 % Principal Amount Commercial Paper Harley-Davidson Financial Services, Inc. 3.487% (cost: $2,290,522 due 11/03/2022) $ 2,292,726 8.98 % 2,300,000 Jabil Inc. 3.079% (cost: $2,491,740 due 10/17/2022) 2,496,611 9.78 2,500,000 Jabil Inc. 3.129% (cost: $2,492,250 due 10/21/2022) 2,495,694 9.77 2,500,000 PVH Corp. 3.535% (cost: $2,493,681 due 10/19/2022) 2,495,625 9.77 2,500,000 V.F. Corporation 3.282% (cost: $2,491,198 due 11/01/2022) 2,493,004 9.77 2,500,000 Total Commercial Paper (cost: $12,259,391) $ 12,273,660 48.07 % Total Cash Equivalents $ 21,039,558 82.40 % Percentage of Notional Amount Description: Liabilities Fair Value Net Assets (Long Exposure) Commodity futures contracts United States sugar futures contracts ICE sugar futures MAY23 (471 contracts) $ 560,518 2.20 % $ 8,936,189 ICE sugar futures JUL23 (414 contracts) 17,706 0.07 7,669,267 ICE sugar futures MAR24 (475 contracts) 704,427 2.75 8,942,920 Total commodity futures contracts $ 1,282,651 5.02 % $ 25,548,376 The accompanying notes are an integral part of these financial statements. F-65 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. F-66 Table of Contents TEUCRIUM SUGAR FUND STATEMENTS OF OPERATIONS (Unaudited) Three months ended Three months ended Nine months ended Nine months ended September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021 Income Realized and unrealized gain (loss) on trading of commodity futures contracts: Realized (loss) gain on commodity futures contracts $ ( 948,329 ) $ 2,536,459 $ ( 476,906 ) $ 5,802,090 Net change in unrealized (depreciation) appreciation on commodity futures contracts ( 1,014,429 ) 289,834 ( 2,281,371 ) 846,951 Interest income 149,944 7,425 222,434 19,515 Total income (loss) ( 1,812,814 ) 2,833,718 ( 2,535,843 ) 6,668,556 Expenses Management fees 71,572 59,875 214,003 142,487 Professional fees 8,123 15,069 49,908 47,381 Distribution and marketing fees 41,123 52,768 133,178 115,107 Custodian fees and expenses 5,101 3,407 10,335 11,673 Business permits and licenses fees 1,088 1,449 26,099 22,646 General and administrative expenses 2,863 3,917 19,391 19,913 Other expenses - 8 - 8 Total expenses 129,870 136,493 452,914 359,215 Expenses waived by the Sponsor - ( 29,699 ) ( 78,237 ) ( 87,738 ) Total expenses, net 129,870 106,794 374,677 271,477 Net (loss) income $ ( 1,942,684 ) $ 2,726,924 $ ( 2,910,520 ) $ 6,397,079 Net (loss) gain per share $ ( 0.59 ) $ 1.09 $ ( 0.50 ) $ 2.85 Net (loss) income per weighted average share $ ( 0.61 ) $ 1.04 $ ( 0.95 ) $ 2.75 Weighted average shares outstanding 3,159,243 2,618,482 3,077,751 2,329,583 The accompanying notes are an integral part of these financial statements. F-67 Table of Contents TEUCRIUM SUGAR FUND STATEMENTS OF CHANGES IN NET ASSETS (Unaudited) Nine months ended Nine months ended September 30, 2022 September 30, 2021 Operations Net (loss) income $ ( 2,910,520 ) $ 6,397,079 Capital transactions Issuance of Shares 26,012,883 12,364,868 Redemption of Shares ( 20,402,060 ) ( 5,460,028 ) Total capital transactions 5,610,823 6,904,840 Net change in net assets 2,700,303 13,301,919 Net assets, beginning of period $ 22,834,664 $ 12,766,091 Net assets, end of period $ 25,534,967 $ 26,068,010 Net asset value per share at beginning of period $ 9.23 $ 6.72 Net asset value per share at end of period $ 8.73 $ 9.57 Creation of Shares 2,675,000 1,450,000 Redemption of Shares 2,225,000 625,000 The accompanying notes are an integral part of these financial statements. F-68 Table of Contents TEUCRIUM SUGAR FUND STATEMENTS OF CASH FLOWS (Unaudited) Nine months ended Nine months ended September 30, 2022 September 30, 2021 Cash flows from operating activities: Net (loss) income $ ( 2,910,520 ) $ 6,397,079 Adjustments to reconcile net (loss) income to net cash (used in) provided by operating activities: Net change in unrealized depreciation (appreciation) on commodity futures contracts 2,281,371 ( 846,951 ) Changes in operating assets and liabilities: Due from broker ( 2,203,710 ) - Interest receivable ( 20,084 ) ( 546 ) Other assets ( 396 ) ( 30 ) Due to broker - ( 128,995 ) Management fee payable to Sponsor 2,276 11,082 Other liabilities ( 7,470 ) 15,719 Net cash (used in) provided by operating activities ( 2,858,533 ) 5,447,358 Cash flows from financing activities: Proceeds from sale of Shares 26,012,883 12,364,868 Redemption of Shares ( 20,402,060 ) ( 5,460,028 ) Net cash provided by financing activities 5,610,823 6,904,840 Net change in cash and cash equivalents 2,752,290 12,352,198 Cash and cash equivalents beginning of period 21,332,902 11,849,332 Cash and cash equivalents end of period $ 24,085,192 $ 24,201,530 The accompanying notes are an integral part of these financial statements. F-69 Table of Contents NOTES TO FINANCIAL STATEMENTS September 30, 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 and nine months ended September 30, 2022 are not necessarily indicative of the results to be expected for the full year ending December 31, 2022. F-70 Table of Contents Subject to the terms of the Trust Agreement, Teucrium Trading, LLC, in its capacity as the Sponsor (“Sponsor”), may terminate a Fund at any time, regardless of whether the Fund has incurred losses, including, for instance, if it determines that the Fund’s aggregate net assets in relation to its operating expenses make the continued operation of the Fund unreasonable or imprudent. However, no level of losses will require the Sponsor to terminate a Fund. Note 2 – Principal Contracts and Agreements The Sponsor employs U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Global Fund Services”), for Transfer Agency, Fund Accounting and Fund Administration services. The principal address for Global Fund Services is 615 E. Michigan Street, Milwaukee, WI 53202. For custody services, the Funds will pay to U.S. Bank N.A. 0.0075% of average gross assets up to $1 billion, and .0050% of average gross assets over $1 billion, annually, plus certain per-transaction charges. For Transfer Agency, Fund Accounting and Fund Administration services, which are based on the total assets for all the Funds in the Trust, the Funds will pay to Global Fund Services 0.05% of average gross assets on the first $500 million, 0.04% on the next $500 million, 0.03% on the next $2 billion and 0.02% on the balance over $3 billion annually. A combined minimum annual fee of up to $47,000 for custody, transfer agency, accounting and administrative services is assessed per Fund. These services are recorded as custodian fees and expenses on the statements of operations. A summary of these expenses is included below. The Sponsor employs Foreside Fund Services, LLC (“Foreside” or the “Distributor”) as the Distributor for the Funds. The Distribution Services Agreement among the Distributor and the Sponsor calls for the Distributor to work with the Custodian in connection with the receipt and processing of orders for Creation Baskets and Redemption Baskets and the review and approval of all Fund sales literature and advertising materials. The Distributor and the Sponsor have also entered into a Securities Activities and Service Agreement (the “SASA”) under which certain employees and officers of the Sponsor are licensed as registered representatives or registered principals of the Distributor, under Financial Industry Regulatory Authority (“FINRA”) rules. For its services as the Distributor, Foreside receives a fee of 0.01% of each Fund’s average daily net assets and an aggregate annual fee of $100,000 for all Funds, along with certain expense reimbursements. For its services under the SASA, Foreside receives a fee of $5,000 per registered representative and $1,000 per registered location. These services are recorded as distribution and marketing fees on the statements of operations. A summary of these expenses is included below. Pursuant to a Consulting Services Agreement, Foreside Consulting Services, LLC, performs certain consulting support services for the Trust’s Sponsor. Additionally, Foreside Distributors, LLC performs certain distribution consulting services pursuant to a Distribution Consulting Agreement with the Sponsor. E D & F Man Capital Markets, Inc. (“E D & F Man”) and StoneX 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 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 $11.00 per round turn . StoneX is paid $2.50 per round turn exclusive of pass-through fees for the exchange and the NFA. 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. F-71 Table of Contents The Sponsor employs Thales Capital Partners LLC (“Thales”) for distribution and solicitation-related services. Thales is registered as a Broker-Dealer with the SEC and a member of FINRA and the Securities Investor Protection Corporation (“SIPC”). Thales receives a quarterly fee of the higher of $18,750 or 0.10% of new assets raised in referred accounts for distribution and solicitation-related services. This fee based on new assets raised is determined by an agreed upon level of assets at the time of signing the contract. These services are recorded in distribution and marketing fees on the statements of operations. A summary of these expenses is included below: Three months ended September 30, 2022 Three months ended September 30, 2021 Nine months ended September 30, 2022 Nine months ended September 30, 2021 Amount Recognized for Custody Services $ 5,101 $ 3,407 $ 10,335 $ 11,673 Amount of Custody Services Waived $ - $ 2,209 $ 1,068 $ 4,544 Amount Recognized for Distribution Services $ 2,098 $ 2,359 $ 6,834 $ 5,967 Amount of Distribution Services Waived $ - $ 742 $ 3,331 $ 1,958 Amount Recognized for Wilmington Trust $ 550 $ 252 $ 550 $ 252 Amount of Wilmington Trust Waived $ - $ 252 $ - $ 252 Amount Recognized for Thales $ 1,943 $ 4,991 $ 10,642 $ 11,299 Amount of Thales Waived $ - $ 4,991 $ 4,427 $ 5,859 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. F-72 Table of Contents Brokerage Commissions The Sponsor recognizes the expense for brokerage commissions for futures contract trades on a per-trade basis. The below table shows the amounts included on the statements of operations as total brokerage commissions paid inclusive of unrealized loss for the three and nine months ended September 30, 2022. CANE Three Months Ended September 30, 2022 $ 5,436 Three Months Ended September 30, 2021 $ 6,613 Nine Months Ended September 30, 2022 $ 31,972 Nine Months Ended September 30, 2021 $ 19,047 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 September 30, 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 and nine months ended September 30, 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. F-73 Table of Contents Creations and Redemptions Authorized Purchasers may purchase Creation Baskets consisting of 25,000 shares from the Fund. The amount of the proceeds required to purchase a Creation Basket will be equal to the NAV of the shares in the Creation Basket determined as of 4:00 p.m. (ET) 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. (ET) on the day the order to redeem the basket is received in good order. The Fund receives or pays the proceeds from shares sold or redeemed within three business days after the trade date of the purchase or redemption. The amounts due from Authorized Purchasers are reflected in the Fund’s statements of assets and liabilities as capital shares receivable. Amounts payable to Authorized Purchasers upon redemption are reflected in the Fund’s statements of assets and liabilities as payable for shares redeemed. As outlined in the most recent Form S-1 filing, 50,000 shares represents two Redemption Baskets for the Fund and a minimum level of shares. If the Fund experienced redemptions that caused the number of Shares outstanding to decrease to the minimum level of Shares required to be outstanding, until the minimum number of Shares is again exceeded through the purchase of a new Creation Basket, there can be no more redemptions by an Authorized Purchaser. Allocation of Shareholder Income and Losses Profit or loss is allocated among the shareholders of the Fund in proportion to the number of shares each shareholder holds as of the close of each month. Cash and Cash Equivalents Cash equivalents are highly liquid investments with maturity dates of 90 days or less when acquired. The Trust reported its cash equivalents in the statements of assets and liabilities at market value, or at carrying amounts that approximate fair value, because of their highly liquid nature and short-term maturities. Each Fund that is a series of the Trust has the balance of its cash equivalents on deposit with financial institutions. The Fund holds a balance in money market funds that is included in cash and cash equivalents on the statements of assets and liabilities. The Sponsor invests a portion of the available cash for the Funds in alternative demand deposit savings accounts, which is classified as cash and not as cash equivalents. Assets deposited with the bank may, at times, exceed federally insured limits. The Sponsor invests a portion of the available cash for the Funds in investment grade commercial paper with durations of 90 days or less, which is classified as a cash equivalent and is not FDIC insured. The Sponsor may invest a portion of the cash held by the broker in short term Treasury Bills as collateral for open futures contracts, which is classified as a cash equivalent and is not FDIC insured. September 30, 2022 December 31, 2021 Money Market Funds $ 8,765,898 $ 4,816,883 Demand Deposit Savings Accounts 3,045,634 9,016,479 Commercial Paper 12,273,660 7,499,540 Total cash and cash equivalents as presented on the Statement of Assets and Liabilities $ 24,085,192 $ 21,332,902 F-74 Table of Contents Due from/to Broker The amount recorded by the Fund for the amount due from and to the clearing broker includes, but is not limited to, cash held by the broker, amounts payable to the clearing broker related to open transactions, payables for commodities futures accounts liquidating to an equity balance on the clearing broker’s records, and amounts of brokerage commissions paid and recognized as unrealized losses. Margin is the minimum amount of funds that must be deposited by a commodity interest trader with the trader’s broker to initiate and maintain an open position in futures contracts. A margin deposit acts to assure the trader’s performance of the futures contracts purchased or sold. Futures contracts are customarily bought and sold on initial margin that represents a very small percentage of the aggregate purchase or sales price of the contract. Because of such low margin requirements, price fluctuations occurring in the futures markets may create profits and losses that, in relation to the amount invested, are greater than customary in other forms of investment or speculation. As discussed below, adverse price changes in the futures contract may result in margin requirements that greatly exceed the initial margin. In addition, the amount of margin required in connection with a particular futures contract is set from time to time by the exchange on which the contract is traded and may be modified from time to time by the exchange during the term of the contract. Brokerage firms, such as the Fund’s clearing brokers, carrying accounts for traders in commodity interest contracts generally require higher amounts of margin as a matter of policy to further protect themselves. Over the counter trading generally involves the extension of credit between counterparties, so the counterparties may agree to require the posting of collateral by one or both parties to address credit exposure. When a trader purchases an option, there is no margin requirement; however, the option premium must be paid in full. When a trader sells an option, on the other hand, he or she is required to deposit margin in an amount determined by the margin requirements established for the underlying interest and, in addition, an amount substantially equal to the current premium for the option. The margin requirements imposed on the selling of options, although adjusted to reflect the probability that out-of-the-money options will not be exercised, can in fact be higher than those imposed in dealing in the futures markets directly. Complicated margin requirements apply to spreads and conversions, which are complex trading strategies in which a trader acquires a mixture of options positions and positions in the underlying interest. Ongoing or “maintenance” margin requirements are computed each day by a trader’s clearing broker. When the market value of a particular open futures contract changes to a point where the margin on deposit does not satisfy maintenance margin requirements, a margin call is made by the broker. If the margin call is not met within a reasonable time, the broker may close out the trader’s position. With respect to the Fund’s trading, the Fund (and not its shareholders personally) is subject to margin calls. Finally, many major U.S. exchanges have passed certain cross margining arrangements involving procedures pursuant to which the futures and options positions held in an account would, in the case of some accounts, be aggregated and margin requirements would be assessed on a portfolio basis, measuring the total risk of the combined positions. Calculation of Net Asset Value The Fund’s NAV is calculated by: • Taking the current market value of its total assets and • Subtracting any liabilities. The administrator, Global Fund Services, calculates the NAV of the Fund once each trading day. It calculates the NAV as of the earlier of the close of the NYSE or 4:00 p.m. (ET). The NAV for a particular trading day is released after 4:15 p.m. (ET). 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. (ET). 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. F-75 Table of Contents Sponsor Fee, Allocation of Expenses and Related Party Transactions The Sponsor is responsible for investing the assets of the Fund in accordance with the objectives and policies of the Fund. In addition, the Sponsor arranges for one or more third parties to provide administrative, custodial, accounting, transfer agency and other necessary services to the Trust and the Funds. In addition, the Sponsor has elected not to outsource services directly attributable to the Trust and the Funds such as accounting, financial reporting, regulatory compliance, and trading activities, which the Sponsor performs itself. In addition, the Fund is contractually obligated to pay a monthly management fee to the Sponsor, based on average daily net assets, at a rate equal to 1.00% per annum. The Fund 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 September 30, 2022 Three months ended September 30, 2021 Nine months ended September 30, 2022 Nine months ended September 30, 2021 Recognized Related Party Transactions $ 24,638 $ 30,226 $ 96,060 $ 77,995 Waived Related Party Transactions $ - $ 10,632 $ 25,739 $ 29,830 The Sponsor has the ability to elect to pay certain expenses on behalf of the Funds or waive the management fee. This election is subject to change by the Sponsor, at its discretion. Expenses paid by the Sponsor and Management fees waived by the Sponsor are, if applicable, presented as waived expenses in the statements of operations for each Fund. The Sponsor has determined that there will be no recovery sought for the amounts below in any future period: CANE Three months ended September 30, 2022 $ - Three months ended September 30, 2021 $ 29,699 Nine months ended September 30, 2022 $ 78,237 Nine months ended September 30, 2021 $ 87,738 F-76 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. F-77 Table of Contents On September 30, 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 and nine months ended September 30, 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”) 2022-03, related to fair value measurement (Topic 820) of equity securities subject to contractual sale restrictions. Under the clarified guidance, contractual restrictions on the sale of an equity security are not considered part of the unit of account of the equity security and, therefore, are not considered in measuring fair value, however they do require disclosures. The amendment was early adopted for the quarter ended June 30, 2022; the early adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued 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. F-78 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. F-79 Table of Contents Note 4 – Fair Value Measurements The Fund’s assets and liabilities recorded at fair value have been categorized based upon a fair value hierarchy as described in the Fund’s significant accounting policies in Note 3. The following table presents information about the Fund’s assets and liabilities measured at fair value as of September 30, 2022 and December 31, 2021: September 30, 2022 Assets: Level 1 Level 2 Level 3 Balance as of September 30, 2022 Cash Equivalents $ 21,039,558 $ - $ - $ 21,039,558 Liabilities Level 1 Level 2 Level 3 Balance as of September 30, 2022 Commodity Futures Contracts Sugar futures contracts $ 1,282,651 $ - $ - $ 1,282,651 December 31, 2021 Assets: Level 1 Level 2 Level 3 Balance as of December 31, 2021 Cash Equivalents $ 12,316,423 $ - $ - $ 12,316,423 Commodity Futures Contracts 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 three and nine months ended September 30, 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 the three and nine months ended September 30, 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 an FCM. Subsequent payments (variation margin) are made or received by the Fund each day, depending on the daily fluctuations in the value of the contract, and are recorded as unrealized gains or losses by the Fund. Futures contracts may reduce the Fund’s exposure to counterparty risk since futures contracts are exchange-traded; and the exchange’s clearinghouse, as the counterparty to all exchange-traded futures, guarantees the futures against default. F-80 Table of Contents 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 September 30, 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 September 30, 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 Sugar futures contracts $ 1,282,651 $ - $ 1,282,651 $ - $ 1,282,651 $ - 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: F-81 Table of Contents Three months ended September 30, 2022 Realized Loss on Commodity Futures Contracts Net Change in Unrealized Depreciation on Commodity Futures Contracts Commodity Price Sugar futures contracts $ ( 948,329 ) $ ( 1,014,429 ) Three months ended September 30, 2021 Realized Gain on Commodity Futures Contracts Net Change in Unrealized Appreciation on Commodity Futures Contracts Commodity Price Sugar futures contracts $ 2,536,459 $ 289,834 Nine months ended September 30, 2022 Realized Loss on Commodity Futures Contracts Net Change in Unrealized Depreciation on Commodity Futures Contracts Commodity Price Sugar futures contracts $ ( 476,906 ) $ ( 2,281,371 ) Nine months ended September 30, 2021 Realized Gain on Commodity Futures Contracts Net Change in Unrealized Appreciation on Commodity Futures Contracts Commodity Price Sugar futures contracts $ 5,802,090 $ 846,951 Volume of Derivative Activities The average notional market value categorized by primary underlying risk for all futures contracts held were $ 27.2 million and $ 25.6 million respectively for the three and nine months ended September 30, 2022 and $ 24.4 million and $ 18.9 million for the three and nine months ended September 30, 2021, respectively. F-82 Table of Contents Note 6 – Financial Highlights The following table presents per unit performance data and other supplemental financial data for the three and nine months ended September 30, 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 Nine months ended Nine months ended September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021 Per Share Operation Performance Net asset value at beginning of period $ 9.32 $ 8.48 $ 9.23 $ 6.72 Income (loss) from investment operations: Investment income 0.05 - 0.07 0.01 Net realized and unrealized (loss) gain on commodity futures contracts ( 0.60 ) 1.13 ( 0.45 ) 2.96 Total expenses, net ( 0.04 ) ( 0.04 ) ( 0.12 ) ( 0.12 ) Net (decrease) increase in net asset value ( 0.59 ) 1.09 ( 0.50 ) 2.85 Net asset value at end of period $ 8.73 $ 9.57 $ 8.73 $ 9.57 Total Return ( 6.34 )% 12.80 % ( 5.38 )% 42.38 % Ratios to Average Net Assets (Annualized) Total expenses 1.81 % 2.28 % 2.12 % 2.52 % Total expenses, net 1.81 % 1.78 % 1.75 % 1.91 % Net investment income (loss) 0.28 % ( 1.66 )% ( 0.71 )% ( 1.77 )% The financial highlights per share data are calculated consistent with the methodology used to calculate asset-based fees and expenses. Note 7 – Organizational and Offering Costs Expenses incurred in organizing of the Trust and the initial offering of the Shares of the Fund, including applicable SEC registration fees, were borne directly by the Sponsor. The Fund will not be obligated to reimburse the Sponsor. Note 8 – Subsequent Events Management has evaluated the financial statements for the quarter-ended September 30, 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. F-83 Table of Contents TEUCRIUM WHEAT FUND STATEMENTS OF ASSETS AND LIABILITIES September 30, 2022 December 31, 2021 (Unaudited) Assets Cash and cash equivalents $ 342,244,784 $ 72,841,616 Interest receivable 209,304 4,993 Other assets 1,550 970 Equity in trading accounts: Commodity futures contracts 18,217,550 3,714,672 Due from broker 36,616,154 - Total equity in trading accounts 54,833,704 3,714,672 Total assets 397,289,342 76,562,251 Liabilities Management fee payable to Sponsor 301,191 67,745 Other liabilities 50,621 4,242 Equity in trading accounts: Commodity futures contracts 18,948,559 654,969 Due to broker - 213,708 Total equity in trading accounts 18,948,559 868,677 Total liabilities 19,300,371 940,664 Net assets $ 377,988,971 $ 75,621,587 Shares outstanding 41,250,004 10,250,004 Shares authorized * 33,600,000 Net asset value per share $ 9.16 $ 7.38 Market value per share $ 9.15 $ 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. F-84 Table of Contents TEUCRIUM WHEAT FUND SCHEDULE OF INVESTMENTS September 30, 2022 (Unaudited) Percentage of Description: Assets Fair Value Net Assets Shares Cash equivalents Money market funds First American Government Obligations Fund - Class X (cost $90,511,696) $ 90,511,696 23.95 % 90,511,696 Goldman Sachs Financial Square Government Fund - Institutional Class (cost: $99,844,266) 99,844,266 26.41 99,844,266 Total money market funds (cost: $191,355,962) $ 190,355,962 50.36 % Principal Amount Commercial Paper American Electric Power Company, Inc. 3.465% (cost: $4,983,327 due 11/03/2022) $ 4,984,280 1.32 % 5,000,000 AT&T Inc. 3.277% (cost: $7,453,425 due 11/28/2022) 7,460,850 1.97 7,500,000 Brookfield Infrastructure Holdings (Canada) Inc. 3.540% (cost: $7,460,625 due 11/15/2022) 7,467,188 1.98 7,500,000 Crown Castle Inc. 3.234% (cost: $2,487,556 due 11/10/2022) 2,491,111 0.67 2,500,000 Crown Castle Inc. 3.806% (cost: $2,018,551 due 11/23/2022) 2,018,763 0.53 2,030,000 E. I. du Pont de Nemours and Company 3.336% (cost: $12,435,835 due 11/21/2022) 12,441,564 3.30 12,500,000 Entergy Corporation 3.030% (cost: $2,487,500 due 11/14/2022) 2,490,833 0.66 2,500,000 Entergy Corporation 3.163% (cost: $9,922,713 due 11/28/2022) 9,949,633 2.63 10,000,000 Fortune Brands Home & Security, Inc. 3.040% (cost: $2,488,922 due 10/21/2022) 2,495,819 0.66 2,500,000 Fortune Brands Home & Security, Inc. 3.754% (cost: $2,984,851 due 11/18/2022) 2,985,160 0.79 3,000,000 General Motors Financial Company, Inc. 2.929% (cost: $4,971,806 due 10/14/2022) 4,994,764 1.32 5,000,000 General Motors Financial Company, Inc. 2.878% (cost: $2,487,531 due 10/17/2022) 2,496,833 0.66 2,500,000 General Motors Financial Company, Inc. 3.042% (cost: $4,971,154 due 11/08/2022) 4,984,114 1.32 5,000,000 Glencore Funding LLC 2.856% (cost: $4,978,775 due 10/03/2022) 4,999,214 1.32 5,000,000 Glencore Funding LLC 2.898% (cost: $2,487,444 due 10/18/2022) 2,496,612 0.66 2,500,000 Harley-Davidson Financial Services, Inc. 2.824% (cost: $2,491,833 due 10/18/2022) 2,496,694 0.66 2,500,000 Harley-Davidson Financial Services, Inc. 3.487% (cost: $2,489,698 due 11/03/2022) 2,492,094 0.66 2,500,000 Humana Inc. 2.518% (cost: $4,989,236 due 10/03/2022) 4,999,306 1.32 5,000,000 ITT Inc. 2.795% (cost: $9,956,911 due 10/11/2022) 9,992,306 2.64 10,000,000 ITT Inc. 2.683% (cost: $2,491,133 due 10/24/2022) 2,495,751 0.66 2,500,000 Jabil Inc. 3.079% (cost: $4,983,479 due 10/17/2022) 4,993,222 1.32 5,000,000 Jabil Inc. 3.129% (cost: $7,476,750 due 10/21/2022) 7,487,083 1.98 7,500,000 ONEOK, Inc. 3.158% (cost: $4,987,828 due 10/14/2022) 4,994,349 1.32 5,000,000 ONEOK, Inc. 3.159% (cost: $4,987,393 due 10/14/2022) 4,994,349 1.32 5,000,000 PVH Corp. 3.535% (cost: $2,493,681 due 10/19/2022) 2,495,625 0.66 2,500,000 PVH Corp. 3.434% (cost: $4,986,306 due 10/21/2022) 4,990,556 1.32 5,000,000 V.F. Corporation 2.539% (cost: $4,986,350 due 10/11/2022) 4,996,500 1.32 5,000,000 Viatris Inc. 3.473% (cost: $7,487,100 due 10/14/2022) 7,490,683 1.98 7,500,000 Total Commercial Paper (cost: $139,427,713) $ 139,675,256 36.95 % Total Cash Equivalents $ 330,031,218 87.31 % Notional Amount (Long Exposure) Commodity futures contracts United States wheat futures contracts CBOT wheat futures MAR23 (2,854 contracts) $ 12,115,954 3.21 % $ 132,996,400 CBOT wheat futures MAY23 (2,430 contracts) 6,101,596 1.61 113,815,125 Total commodity futures contracts $ 18,217,550 4.82 % $ 246,811,525 Percentage of Notional Amount Description: Liabilities Fair Value Net Assets (Long Exposure) Commodity futures contracts United States wheat futures contracts CBOT wheat futures DEC23 (2,899 contracts) $ 18,948,559 5.01 % $ 131,179,750 The accompanying notes are an integral part of these financial statements. F-85 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. F-86 Table of Contents TEUCRIUM WHEAT FUND STATEMENTS OF OPERATIONS (Unaudited) Three months ended Three months ended Nine months ended Nine months ended September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021 Income Realized and unrealized gain (loss) on trading of commodity futures contracts: Realized (loss) gain on commodity futures contracts $ ( 92,957,415 ) $ 3,422,476 $ ( 53,537,910 ) $ 13,502,592 Net change in unrealized appreciation/(depreciation) on commodity futures contracts 93,269,812 605,294 ( 3,790,712 ) ( 1,199,756 ) Interest income 1,807,040 29,826 2,931,373 99,342 Total income (loss) 2,119,437 4,057,596 ( 54,397,249 ) 12,402,178 Expenses Management fees 892,696 197,683 2,764,259 609,012 Professional fees 116,706 46,025 486,917 176,099 Distribution and marketing fees 675,323 191,833 1,562,788 490,513 Custodian fees and expenses 83,198 19,798 156,575 54,420 Business permits and licenses fees 6,024 1,977 32,738 23,578 General and administrative expenses 26,299 13,088 89,344 50,730 Total expenses 1,800,246 470,404 5,092,621 1,404,352 Expenses waived by the Sponsor - ( 104,989 ) ( 425,164 ) ( 229,640 ) Total expenses, net 1,800,246 365,415 4,667,457 1,174,712 Net income (loss) $ 319,191 $ 3,692,181 $ ( 59,064,706 ) $ 11,227,466 Net gain per share $ 0.13 $ 0.32 $ 1.78 $ 0.91 Net income (loss) per weighted average share $ 0.01 $ 0.32 $ ( 1.55 ) $ 0.91 Weighted average shares outstanding 41,945,384 11,380,982 38,111,726 12,387,275 The accompanying notes are an integral part of these financial statements. F-87 Table of Contents TEUCRIUM WHEAT FUND STATEMENTS OF CHANGES IN NET ASSETS (Unaudited) Nine months ended Nine months ended September 30, 2022 September 30, 2021 Operations Net (loss) income $ ( 59,064,706 ) $ 11,227,466 Capital transactions Issuance of Shares 885,427,575 22,187,673 Redemption of Shares ( 523,995,485 ) ( 29,995,638 ) Total capital transactions 361,432,090 ( 7,807,965 ) Net change in net assets 302,367,384 3,419,501 Net assets, beginning of period $ 75,621,587 $ 69,876,578 Net assets, end of period $ 377,988,971 $ 73,296,079 Net asset value per share at beginning of period $ 7.38 $ 6.16 Net asset value per share at end of period $ 9.16 $ 7.06 Creation of Shares 84,050,000 3,500,000 Redemption of Shares 53,050,000 4,475,000 The accompanying notes are an integral part of these financial statements. F-88 Table of Contents TEUCRIUM WHEAT FUND STATEMENTS OF CASH FLOWS (Unaudited) Nine months ended Nine months ended September 30, 2022 September 30, 2021 Cash flows from operating activities: Net (loss) income $ ( 59,064,706 ) $ 11,227,466 Adjustments to reconcile net (loss) income to net cash (used in) provided by operating activities: Net change in unrealized depreciation on commodity futures contracts 3,790,712 1,199,756 Changes in operating assets and liabilities: Due from broker ( 36,616,154 ) ( 919,985 ) Interest receivable ( 204,311 ) ( 1,789 ) Other assets ( 580 ) - Due to broker ( 213,708 ) ( 2,571,103 ) Payable for purchases of commercial paper - 2,498,755 Management fee payable to Sponsor 233,446 ( 677 ) Other liabilities 46,379 31,842 Net cash (used in) provided by operating activities ( 92,028,922 ) 11,464,265 Cash flows from financing activities: Proceeds from sale of Shares 885,427,575 22,495,503 Redemption of Shares ( 523,995,485 ) ( 32,458,278 ) Net cash provided by (used in) financing activities 361,432,090 ( 9,962,775 ) Net change in cash and cash equivalents 269,403,168 1,501,490 Cash and cash equivalents, beginning of period 72,841,616 68,946,725 Cash and cash equivalents, end of period $ 342,244,784 $ 70,448,215 The accompanying notes are an integral part of these financial statements. F-89 Table of Contents NOTES TO FINANCIAL STATEMENTS September 30, 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 and nine months ended September 30, 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 $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. F-90 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 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. (“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 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 $11.00 per round turn . StoneX is paid $2.50 per round turn exclusive of pass-through fees for the exchange and the NFA. 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 September 30, 2022 Three months ended September 30, 2021 Nine months ended September 30, 2022 Nine months ended September 30, 2021 Amount Recognized for Custody Services $ 83,198 $ 19,798 $ 156,575 $ 54,420 Amount of Custody Services Waived $ - $ 5,960 $ 14,164 $ 5,960 Amount Recognized for Distribution Services $ 30,177 $ 8,584 $ 72,723 $ 26,000 Amount of Distribution Services Waived $ - $ 8,584 $ 14,931 $ 16,804 Amount Recognized for Wilmington Trust $ 550 $ 789 $ 550 $ 789 Amount of Wilmington Trust Waived $ - $ - $ - $ - Amount Recognized for Thales $ 31,037 $ 19,008 $ 97,518 $ 49,674 Amount of Thales Waived $ - $ 19,008 $ 66,481 $ 22,741 F-91 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 The Sponsor recognizes the expense for brokerage commissions for futures contract trades on a per-trade basis. The below table shows the amounts included on the statements of operations as total brokerage commissions paid inclusive of unrealized loss for the three and nine months ended September 30, 2022. WEAT Three Months Ended September 30, 2022 $ 75,136 Three Months Ended September 30, 2021 $ 17,330 Nine Months Ended September 30, 2022 $ 354,679 Nine Months Ended September 30, 2021 $ 39,852 F-92 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 September 30, 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 and nine months ended September 30, 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. F-93 Table of Contents Creations and Redemptions Authorized Purchasers may purchase Creation Baskets consisting of 25,000 shares from the Fund. The amount of the proceeds required to purchase a Creation Basket will be equal to the NAV of the shares in the Creation Basket determined as of 4:00 p.m.(ET) 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. (ET) 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. Cash and Cash Equivalents Cash equivalents are highly liquid investments with maturity dates of 90 days or less when acquired. The Trust reported its cash equivalents in the statements of assets and liabilities at market value, or at carrying amounts that approximate fair value, because of their highly liquid nature and short-term maturities. Each Fund that is a series of the Trust has the balance of its cash equivalents on deposit with financial institutions. The Fund holds a balance in money market funds that is included in cash and cash equivalents on the statements of assets and liabilities. The Sponsor invests a portion of the available cash for the Funds in alternative demand deposit savings accounts, which is classified as cash and not as cash equivalents. Assets deposited with the bank may, at times, exceed federally insured limits. The Sponsor invests a portion of the available cash for the Funds in investment grade commercial paper with durations of 90 days or less, which is classified as a cash equivalent and is not FDIC insured. The Sponsor may invest a portion of the cash held by the broker in short term Treasury Bills as collateral for open futures contracts, which is classified as a cash equivalent and is not FDIC insured. September 30, 2022 December 31, 2021 Money Market Funds $ 190,355,962 $ 5,284,993 Demand Deposit Savings Accounts 12,213,566 30,064,031 Commercial Paper 139,675,256 37,492,592 Total cash and cash equivalents as presented on the Statement of Assets and Liabilities $ 342,244,784 $ 72,841,616 F-94 Table of Contents Payable for Purchases of Commercial Paper The amount recorded by the Fund for commercial paper transactions awaiting settlement, represents the amount payable for contracts purchased but not yet settled as of the reporting date. The value of the contract is included in cash and cash equivalents, and the payable amount is included as a liability. Due from/to Broker The amount recorded by the Fund for the amount due from and to the clearing broker includes, but is not limited to, cash held by the broker, amounts payable to the clearing broker related to open transactions, payables for commodities futures accounts liquidating to an equity balance on the clearing broker’s records and amounts of brokerage commissions paid and recognized as unrealized losses. Margin is the minimum amount of funds that must be deposited by a commodity interest trader with the trader’s broker to initiate and maintain an open position in futures contracts. A margin deposit acts to assure the trader’s performance of the futures contracts purchased or sold. Futures contracts are customarily bought and sold on initial margin that represents a very small percentage of the aggregate purchase or sales price of the contract. Because of such low margin requirements, price fluctuations occurring in the futures markets may create profits and losses that, in relation to the amount invested, are greater than customary in other forms of investment or speculation. As discussed below, adverse price changes in the futures contract may result in margin requirements that greatly exceed the initial margin. In addition, the amount of margin required in connection with a particular futures contract is set from time to time by the exchange on which the contract is traded and may be modified from time to time by the exchange during the term of the contract. Brokerage firms, such as the Fund’s clearing brokers, carrying accounts for traders in commodity interest contracts generally require higher amounts of margin as a matter of policy to further protect themselves. Over the counter trading generally involves the extension of credit between counterparties, so the counterparties may agree to require the posting of collateral by one or both parties to address credit exposure. When a trader purchases an option, there is no margin requirement; however, the option premium must be paid in full. When a trader sells an option, on the other hand, he or she is required to deposit margin in an amount determined by the margin requirements established for the underlying interest and, in addition, an amount substantially equal to the current premium for the option. The margin requirements imposed on the selling of options, although adjusted to reflect the probability that out-of-the-money options will not be exercised, can in fact be higher than those imposed in dealing in the futures markets directly. Complicated margin requirements apply to spreads and conversions, which are complex trading strategies in which a trader acquires a mixture of options positions and positions in the underlying interest. Ongoing or “maintenance” margin requirements are computed each day by a trader’s clearing broker. When the market value of a particular open futures contract changes to a point where the margin on deposit does not satisfy maintenance margin requirements, a margin call is made by the broker. If the margin call is not met within a reasonable time, the broker may close out the trader’s position. With respect to the Fund’s trading, the Fund (and not its shareholders personally) is subject to margin calls. Finally, many major U.S. exchanges have passed certain cross margining arrangements involving procedures pursuant to which the futures and options positions held in an account would, in the case of some accounts, be aggregated and margin requirements would be assessed on a portfolio basis, measuring the total risk of the combined positions. Calculation of Net Asset Value The Fund’s NAV is calculated by: • Taking the current market value of its total assets and • Subtracting any liabilities. F-95 Table of Contents The administrator, Global Fund Services, calculates the NAV of the Fund once each trading day. It calculates the NAV as of the earlier of the close of the NYSE or 4:00 p.m. (ET). The NAV for a particular trading day is released after 4:15 p.m. (ET). 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. (ET). 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 September 30, 2022 Three months ended September 30, 2021 Nine months ended September 30, 2022 Nine months ended September 30, 2021 Recognized Related Party Transactions $ 358,130 $ 110,381 $ 1,011,184 $ 336,850 Waived Related Party Transactions $ - $ 15,941 $ 224,587 $ 79,800 The Sponsor has the ability to elect to pay certain expenses on behalf of the Funds or waive the management fee. This election is subject to change by the Sponsor, at its discretion. Expenses paid by the Sponsor and Management fees waived by the Sponsor are, if applicable, presented as waived expenses in the statements of operations for each Fund. The Sponsor has determined that there will be no recovery sought for the amounts below in any future period: WEAT Three months ended September 30, 2022 $ - Three months ended September 30, 2021 $ 104,989 Nine months ended September 30, 2022 $ 425,164 Nine months ended September 30, 2021 $ 229,640 F-96 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. F-97 Table of Contents Fair value is a market-based measure considered from the perspective of a market participant rather than an entity-specific measure. Therefore, even when market assumptions are not readily available, the Fund’s own assumptions are set to reflect those that market participants would use in pricing the asset or liability at the measurement date. The Fund uses prices and inputs that are current as of the measurement date, including periods of market dislocation. In periods of market dislocation, the observability of prices and inputs may be reduced for many financial instruments. This condition could cause a financial instrument to be reclassified to a lower level within the fair value hierarchy. When such a situation exists on a quarter close, the Sponsor will calculate the NAV on a particular day using the Level 1 valuation but will later recalculate the NAV for the impacted Fund based upon the valuation inputs from these alternative verifiable sources (Level 2 or Level 3) and will report such NAV in its applicable financial statements and reports. On September 30, 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”) 2022-03, related to fair value measurement (Topic 820) of equity securities subject to contractual sale restrictions. Under the clarified guidance, contractual restrictions on the sale of an equity security are not considered part of the unit of account of the equity security and, therefore, are not considered in measuring fair value, however they do require disclosures. The amendment was early adopted for the quarter ended June 30, 2022; the early adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued 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. F-98 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. F-99 Table of Contents Note 4 – Fair Value Measurements The Fund’s assets and liabilities recorded at fair value have been categorized based upon a fair value hierarchy as described in the Fund’s significant accounting policies in Note 3. The following table presents information about the Fund’s assets and liabilities measured at fair value as of September 30, 2022 and December 31, 2021: September 30, 2022 Assets: Level 1 Level 2 Level 3 Balance as of September 30, 2022 Cash Equivalents $ 330,031,218 $ - $ - $ 330,031,218 Commodity Futures Contracts Wheat futures contracts 18,217,550 - - 18,217,550 Total $ 348,248,768 $ - $ - $ 348,248,768 Liabilities Level 1 Level 2 Level 3 Balance as of September 30, 2022 Commodity Futures Contracts Wheat futures contracts $ 18,948,559 $ - $ - $ 18,948,559 December 31, 2021 Assets: Level 1 Level 2 Level 3 Balance as of December 31, 2021 Cash Equivalents $ 42,777,585 $ - $ - $ 42,777,585 Commodity Futures Contracts 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 $ 654,955 $ - $ - $ 654,955 For the three and nine months ended September 30, 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 the three and nine months ended September 30, 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. F-100 Table of Contents 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 September 30, 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 September 30, 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 Wheat futures contracts $ 18,217,550 $ - $ 18,217,550 $ 18,217,550 $ - $ - Offsetting of Financial Liabilities and Derivative Liabilities as of September 30, 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 $ 18,948,559 $ - $ 18,948,559 $ 18,217,550 $ 731,009 $ - F-101 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 September 30, 2022 Realized Loss on Commodity Futures Contracts Net Change in Unrealized Appreciation on Commodity Futures Contracts Commodity Price Wheat futures contracts $ ( 92,957,415 ) $ 93,269,812 Three months ended September 30, 2021 Realized Gain on Commodity Futures Contracts Net Change in Unrealized Appreciation on Commodity Futures Contracts Commodity Price Wheat futures contracts $ 3,422,476 $ 605,294 Nine months ended September 30, 2022 Realized Loss on Commodity Futures Contracts Net Change in Unrealized Depreciation on Commodity Futures Contracts Commodity Price Wheat futures contracts $ ( 53,537,910 ) $ ( 3,790,712 ) F-102 Table of Contents Nine months ended September 30, 2021 Realized Gain on Commodity Futures Contracts Net Change in Unrealized Depreciation on Commodity Futures Contracts Commodity Price Wheat futures contracts $ 13,502,592 $ ( 1,199,756 ) Volume of Derivative Activities The average notional market value categorized by primary underlying risk for all futures contracts held was $ 356.1 million and $ 318.9 million respectively, for the three and nine months ended September 30, 2022 and $ 76.0 million and $ 80.3 million for the three and nine months ended September 30, 2021. Note 6 – Financial Highlights The following tables present per unit performance data and other supplemental financial data for the three and nine months ended September 30, 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 Nine months ended Nine months ended September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021 Per Share Operation Performance Net asset value at beginning of period $ 9.03 $ 6.75 $ 7.38 $ 6.16 Income (loss) from investment operations: Investment income 0.04 - 0.07 0.01 Net realized and unrealized gain on commodity futures contracts 0.13 0.35 1.83 1.00 Total expenses, net ( 0.04 ) ( 0.03 ) ( 0.12 ) ( 0.10 ) Net increase in net asset value 0.13 0.32 1.78 0.91 Net asset value at end of period $ 9.16 $ 7.06 $ 9.16 $ 7.06 Total Return 1.44 % 4.72 % 24.20 % 14.75 % Ratios to Average Net Assets (Annualized) Total expenses 2.02 % 2.38 % 1.84 % 2.31 % Total expenses, net 2.02 % 1.85 % 1.69 % 1.93 % Net investment income (loss) 0.01 % ( 1.70 )% ( 0.63 )% ( 1.77 )% The financial highlights per share data are calculated consistent with the methodology used to calculate asset-based fees and expenses. Note 7 – Organizational and Offering Costs Expenses incurred in organizing of the Trust and the initial offering of the Shares of the Fund, including applicable SEC registration fees, were borne directly by the Sponsor. The Fund will not be obligated to reimburse the Sponsor. Note 8 – Subsequent Events Management has evaluated the financial statements for the quarter-ended September 30, 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 F-103 Table of Contents TEUCRIUM AGRICULTURAL FUND STATEMENTS OF ASSETS AND LIABILITIES September 30, 2022 December 31, 2021 (Unaudited) Assets Cash equivalents $ 6,417 $ 4,801 Interest receivable 20 3 Other assets 622 30 Equity in trading accounts: Investments in securities, at fair value (cost $ 46,624,323 and $ 12,799,498 as of September 30, 2022 and December 31, 2021, respectively) 46,216,269 14,178,019 Total assets 46,223,328 14,182,853 Liabilities Other liabilities 3,611 3,198 Net assets $ 46,219,717 $ 14,179,655 Shares outstanding 1,487,502 525,002 Shares authorized * 4,075,000 Net asset value per share $ 31.07 $ 27.01 Market value per share $ 31.09 $ 26.94 * On April 7, 2022, the Teucrium Agricultural 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. F-104 Table of Contents TEUCRIUM AGRICULTURAL FUND SCHEDULE OF INVESTMENTS September 30, 2022 (Unaudited) Percentage of Description: Assets Fair Value Net Assets Shares Exchange-traded funds Teucrium Corn Fund $ 11,605,566 25.11 % 429,192 Teucrium Soybean Fund 11,158,920 24.14 427,314 Teucrium Sugar Fund 11,589,798 25.08 1,327,598 Teucrium Wheat Fund 11,861,985 25.66 1,294,496 Total exchange-traded funds (cost $46,624,323) $ 46,216,269 99.99 % Cash equivalents Money market funds First American Government Obligations Fund - Class X (cost $6,417) $ 6,417 0.01 % 6,417 The accompanying notes are an integral part of these financial statements. F-105 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. F-106 Table of Contents TEUCRIUM AGRICULTURAL FUND STATEMENTS OF OPERATIONS (Unaudited) Three months ended Three months ended Nine months ended Nine months ended September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021 Income Realized and unrealized gain (loss) on trading of securities: Realized (loss) gain on securities $ ( 172,369 ) $ 76,653 $ 489,743 $ 16,223 Net change in unrealized appreciation on securities 179,600 69,472 ( 1,786,575 ) 1,210,246 Interest income 302 - 352 5 Total income (loss) 7,533 146,125 ( 1,296,480 ) 1,226,474 Expenses Professional fees 14,817 6,870 44,710 15,573 Distribution and marketing fees 51,970 19,254 134,119 39,339 Custodian fees and expenses 7,455 2,533 12,324 4,258 Business permits and licenses fees 1,000 3,309 11,721 12,228 General and administrative expenses 2,026 1,181 9,987 3,241 Other expenses 21 9 26 9 Total expenses 77,289 33,156 212,887 74,648 Expenses waived by the Sponsor ( 62,059 ) ( 28,946 ) ( 176,222 ) ( 64,541 ) Total expenses, net 15,230 4,210 36,665 10,107 Net (loss) income $ ( 7,697 ) $ 141,915 $ ( 1,333,145 ) $ 1,216,367 Net (loss) gain per share $ ( 0.02 ) $ 0.22 $ 4.06 $ 5.16 Net (loss) income per weighted average share $ ( 0.01 ) $ 0.40 $ ( 1.19 ) $ 4.22 Weighted average shares outstanding 1,537,230 356,931 1,120,973 288,326 The accompanying notes are an integral part of these financial statements. F-107 Table of Contents TEUCRIUM AGRICULTURAL FUND STATEMENTS OF CHANGES IN NET ASSETS (Unaudited) Nine months ended Nine months ended September 30, 2022 September 30, 2021 Operations Net (loss) income $ ( 1,333,145 ) $ 1,216,367 Capital transactions Issuance of Shares 45,566,391 8,007,179 Redemption of Shares ( 12,193,184 ) ( 2,267,271 ) Total capital transactions 33,373,207 5,739,908 Net change in net assets 32,040,062 6,956,275 Net assets, beginning of period $ 14,179,655 $ 1,584,388 Net assets, end of period $ 46,219,717 $ 8,540,663 Net asset value per share at beginning of period $ 27.01 $ 21.12 Net asset value per share at end of period $ 31.07 $ 26.28 Creation of Shares 1,362,500 337,500 Redemption of Shares 400,000 87,500 The accompanying notes are an integral part of these financial statements. F-108 Table of Contents TEUCRIUM AGRICULTURAL FUND STATEMENTS OF CASH FLOWS (Unaudited) Nine months ended Nine months ended September 30, 2022 September 30, 2021 Cash flows from operating activities: Net (loss) income $ ( 1,333,145 ) $ 1,216,367 Adjustments to reconcile net (loss) income to net cash used in operating activities: Net change in unrealized depreciation (appreciation) on securities 1,786,575 ( 1,210,246 ) Changes in operating assets and liabilities: Net (purchase) sale of investments in securities ( 33,824,825 ) ( 5,748,597 ) Interest receivable ( 17 ) - Other assets ( 592 ) 1 Other liabilities 413 4,535 Net cash used in operating activities ( 33,371,591 ) ( 5,737,940 ) Cash flows from financing activities: Proceeds from sale of Shares 45,566,391 8,007,179 Redemption of Shares ( 12,193,184 ) ( 2,267,271 ) Net cash provided by financing activities 33,373,207 5,739,908 Net change in cash equivalents 1,616 1,968 Cash equivalents, beginning of period 4,801 2,786 Cash equivalents, end of period $ 6,417 $ 4,754 The accompanying notes are an integral part of these financial statements. F-109 Table of Contents NOTES TO FINANCIAL STATEMENTS September 30, 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%. F-110 Table of Contents While the Fund expects to maintain substantially all of its assets in shares of the Underlying Funds at all times, the Fund may hold some residual amount of assets in obligations of the United States government (“Treasury Securities”) or cash equivalents, and/or merely hold such assets in cash (generally in interest-bearing accounts). The Underlying Funds invest in Commodity Interests to the fullest extent possible without being leveraged or unable to satisfy their expected current or potential margin or collateral obligations with respect to their investments in Commodity Interests. After fulfilling such margin and collateral requirements, the Underlying Funds will invest the remainder of the proceeds from the sale of baskets in short term Treasury Securities or cash equivalents, and/or merely hold such assets in cash. Therefore, the focus of the Sponsor in managing the Underlying Funds is investing in Commodity Interests and in cash and/or cash equivalents. The Fund and Underlying Funds will seek to earn interest income from the short-term Treasury Securities and/or cash equivalents that it purchases, and, on the cash, it holds through the Fund’s custodian. The accompanying unaudited financial statements have been prepared in accordance with Rule 10-01 of Regulation S-X promulgated by the SEC and, therefore, do not include all information and footnote disclosures required under accounting principles generally accepted in the United States of America (“GAAP”). The financial information included herein is unaudited; however, such financial information reflects all adjustments which are, in the opinion of management, necessary for the fair presentation of the Fund’s financial statements for the interim period. It is suggested that these interim financial statements be read in conjunction with the financial statements and related notes included in the Trust’s Annual Report on Form 10-K, as well as the most recent Form S-1 filing, as applicable. The operating results for the three and nine months ended September 30, 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. F-111 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 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. (“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 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 $11.00 per round turn . StoneX is paid $2.50 per round turn exclusive of pass-through fees for the exchange and the NFA. 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 September 30, 2022 Three months ended September 30, 2021 Nine months ended September 30, 2022 Nine months ended September 30, 2021 Amount Recognized for Custody Services $ 7,455 $ 2,533 $ 12,324 $ 4,258 Amount of Custody Services Waived $ 7,455 $ 2,299 $ 12,324 $ 4,024 Amount Recognized for Distribution Services $ 2,739 $ 1,016 $ 6,499 $ 2,043 Amount of Distribution Services Waived $ 2,739 $ 1,016 $ 6,499 $ 1,885 Amount Recognized for Wilmington Trust $ 550 $ 108 $ 550 $ 108 Amount of Wilmington Trust Waived $ - $ 108 $ - $ 108 Amount Recognized for Thales $ 2,745 $ 2,196 $ 9,000 $ 3,954 Amount of Thales Waived $ 2,605 $ 2,196 $ 5,295 $ 3,954 F-112 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 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 The Sponsor recognizes the expense for brokerage commissions for futures contract trades on a per-trade basis. Income Taxes For federal income tax purposes, the Fund will be treated as a publicly traded partnership. A publicly traded partnership is generally treated as a corporation for federal income tax purposes unless 90% or more of the publicly traded partnership’s gross income for each taxable year of its existence consists of qualifying income as defined in section 7704(d) of the Internal Revenue Code of 1986, as amended. Qualifying income is defined as generally including, in pertinent part, interest (other than from a financial business), dividends, and gains from the sale or disposition of capital assets held for the production of interest or dividends. In the case of a partnership of which a principal activity is the buying and selling of commodities, other than as inventory, or of futures, forwards and options with respect to commodities, qualifying income also includes income and gains from commodities and from futures, forwards, options with respect to commodities and, provided the partnership is a trader or investor with respect to such assets, swaps and other notional principal contracts with respect to commodities. The Fund expects that at least 90% of the Fund’s gross income for each taxable year will consist of qualifying income and that the Fund will be taxed as a partnership for federal income tax purposes. The Fund does not record a provision for income taxes because the shareholders report their share of the Fund’s income or loss on their income tax returns. The financial statements reflect the Fund’s transactions without adjustment, if any, required for income tax purposes. 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 September 30, 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. F-113 Table of Contents The Fund recognizes interest accrued related to unrecognized tax benefits and penalties related to unrecognized tax benefits in income tax fees payable, if assessed. No interest expense or penalties have been recognized as of and for the three and nine months ended September 30, 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. (ET) 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. (ET) 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. 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. F-114 Table of Contents Cash Equivalents Cash equivalents are highly liquid investments with maturity dates of 90 days or less when acquired. The Fund reported its cash equivalents in the statements of assets and liabilities at market value, or at carrying amounts that approximate fair value, because of their highly liquid nature and short term maturities. The Fund has these balances of its assets on deposit with banks. Assets deposited with a financial institution may, at times, exceed federally insured limits. TAGS had a balance of $6,417 and $4,801 in money market funds at September 30, 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. (ET). The NAV for a particular trading day will be released after 4:15 p.m. (ET). 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. (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 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 the 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. F-115 Table of Contents The Fund generally pays for all brokerage fees, taxes, and other expenses, including licensing fees for the use of intellectual property, registration or other fees paid to the SEC, FINRA, or any other regulatory agency in connection with the offer and sale of subsequent Shares after its initial registration and all legal, accounting, printing and other expenses associated therewith. The Fund also pays its portion of the fees and expenses associated with the Trust’s tax accounting and reporting requirements. Certain aggregate expenses common to all Funds within the Trust are allocated by the Sponsor to the respective 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 September 30, 2022 Three months ended September 30, 2021 Nine months ended September 30, 2022 Nine months ended September 30, 2021 Recognized Related Party Transactions $ 32,419 $ 13,353 $ 90,610 $ 28,460 Waived Related Party Transactions $ 19,090 $ 13,353 $ 66,068 $ 24,406 The Sponsor has the ability to elect to pay certain expenses on behalf of the Funds or waive the management fee. This election is subject to change by the Sponsor, at its discretion. Expenses paid by the Sponsor and Management fees waived by the Sponsor are, if applicable, presented as waived expenses in the statements of operations for each Fund. The Sponsor has determined that there will be no recovery sought for the amounts below in any future period: TAGS Three months ended September 30, 2022 $ 62,059 Three months ended September 30, 2021 $ 28,946 Nine months ended September 30, 2022 $ 176,222 Nine months ended September 30, 2021 $ 64,541 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. F-116 Table of Contents New Accounting Pronouncements The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2022-03, related to fair value measurement (Topic 820) of equity securities subject to contractual sale restrictions. Under the clarified guidance, contractual restrictions on the sale of an equity security are not considered part of the unit of account of the equity security and, therefore, are not considered in measuring fair value, however they do require disclosures. The amendment was early adopted for the quarter ended June 30, 2022; the early adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund. The FASB issued 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. 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. F-117 Table of Contents The FASB issued ASU 2017-13, “Revenue Recognition (Topic 605), Leases (Topic 840), and Leases (Topic 842): Amendments