What changed in this filing

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Item 2. Management’s Discussion and Analysis

2022-11-09 compared with 2022-08-09 · 544 added, 448 removed, 1068 unchanged (48% of the section changed)

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Overview/Introduction

Teucrium Commodity Trust (“Trust”), a Delaware statutory trust organized on September 11, 2009, is a series trust consisting of five series:

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

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 (collectively, “the Agricultural Funds”) and Hashdex Bitcoin Futures ETF (“DEFI”).

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

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

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

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

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

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

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

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This registration statement for TAGS registered an indeterminate number of shares.

The investment objective of each Underlying Fund is to have the daily changes in the NAV of the Fund’s Shares reflect the daily changes in a weighted average of the closing settlement prices for certain futures contracts for the commodity specified in the Underlying Fund’s name.

(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.”) In the case of TAGS, the Fund seeks to provide daily investment results that reflect the combined daily performance of the Underlying Funds.

Each Fund pursues its investment objective by investing in a portfolio of exchange traded futures contracts (each, a “Futures Contract”) that expire in a specific month and trade on a specific exchange in the designated commodity comprising the Benchmark as defined below or shares of the Underlying Funds in the case of TAGS.

Under normal market conditions, the Underlying Funds invest in futures contracts and cash and cash equivalents, and TAGS seeks to achieve its investment objective generally by investing equally in shares of each Underlying Fund.

War and other geopolitical events in eastern Europe, including but not limited to Russia and Ukraine, may cause volatility in commodity prices including energy and grain prices, due to the region’s importance to these markets, potential impacts to global transportation and shipping, and other supply chain disruptions.

These events are unpredictable and may lead to extended periods of price volatility.

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

On September 14, 2022, the Form S-1 for DEFI was declared effective by the SEC.

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.

This registration statement for DEFI registered an indeterminate number of shares.

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

For example, in late February 2022, Russia invaded Ukraine, significantly amplifying already existing geopolitical tensions among Russia and other countries in the region and in the west.

The responses of countries and political bodies to Russia’s actions, the larger overarching tensions, and Ukraine’s military response and the potential for wider conflict may increase financial market volatility generally, have severe adverse effects on regional and global economic markets, and cause volatility in the price of agricultural commodities, agricultural futures and the share price of the Fund and the Underlying Funds.

A climate of uncertainty and panic, including the contagion of the COVID-19 virus and other infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities, and increases the difficulty of performing due diligence and modeling market conditions, potentially reducing the accuracy of financial projections.

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The global economic shocks being experienced as of the date hereof may cause the underlying assumptions and expectations of the Funds to become outdated quickly or inaccurate, resulting in significant losses.

In addition, DEFI is subject to the risks associated with bitcoin.

Bitcoin is a digital asset or cryptocurrency that is a unit of account on the “Bitcoin Network,” an open source, decentralized peer-to-peer computer network.

The ownership and operation of bitcoin is determined by purchasers in the Bitcoin Network.

The Bitcoin Network connects computers that run publicly accessible, or open source, software that follows the rules and procedures governing the Bitcoin Network.

This is commonly referred to as the Bitcoin Protocol.

Bitcoin may be held, may be used to purchase goods and services or may be exchanged for fiat currency.

No single entity owns or operates the Bitcoin Network, and the value of bitcoin is not backed by any government, corporation, or other entity.

Instead, the value of bitcoin is determined in part by the supply and demand in markets created to facilitate the trading of bitcoin.

Public key cryptography protects the ownership and transaction records for bitcoin.

Because the source code for the Bitcoin Network is open source, anyone can contribute to its development.

At this time, the ultimate supply of bitcoin is finite and limited to 21 million “coins” with the number of bitcoin available increasing gradually as new bitcoin supplies are mined until the 21 million current protocol cap is reached.

The following factors, among others, may affect the price and market for bitcoin:

DEFI does not invest directly in bitcoin.

How widely bitcoin is adopted, including the use of bitcoin as a payment.

The regulatory environment for cryptocurrencies, which continues to evolve in the U.S., and which may delay, impede, or restrict the adoption or use of bitcoin.

Speculative activity in the market for bitcoin, including by holders of large amounts of bitcoin, which may increase volatility.

Cyberattacks, including the risk that malicious actors will exploit flaws in the code or structure of bitcoin, control the blockchain, steal information or cause disruptions to the internet.

Rewards for mining bitcoin are designed to decline over time, which may lessen the incentive for miners to process and confirm transactions on the Bitcoin Network.

The open-source nature of the Bitcoin Network may result in forks, or changes to the underlying code of bitcoin that result in the creation of new, separate digital assets.

Fraud, manipulation, security failure or operational problems at bitcoin exchanges that result in a decline in adoption or acceptance of bitcoin.

Scalability as the use of bitcoin expands to a greater number of users.

The Investment Objective of the Funds

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Underlying Fund

The investment objective of DEFI is to have the daily changes in the NAV of the Fund’s Shares reflect the daily changes of the price of the Hashdex U.S.

Bitcoin Futures Fund Benchmark (the “Benchmark”), less expenses from the Fund’s operations.

The Benchmark is currently the average of the closing settlement prices for the first to expire and second to expire bitcoin futures contracts (“Bitcoin Futures Contracts”) listed on the Chicago Mercantile Exchange Inc.

DEFI Benchmark

CME Bitcoin Futures Contract

First to expire

Second to expire

The notional amount of each Benchmark Component Futures Contract included in each Benchmark is intended to reflect the changes in market value of each such Benchmark Component Futures Contract within the Benchmark.

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

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

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

CORN Benchmark Component Futures Contracts

Notional Value

CBOT Corn Futures (2,636 contracts, JUL22)

CBOT Corn Futures (2,297 contracts, SEP22)

CBOT Corn Futures (2,207 contracts, MAR23)

CBOT Corn Futures (1,889 contracts, MAY23)

CBOT Corn Futures (2,426 contracts, DEC23)

Total at June 30, 2022

Total at September 30, 2022

$ 214,942,200

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Notional Value

CBOT Soybean Futures (360 contracts, NOV22)

CBOT Soybean Futures (339 contracts, JAN23)

CBOT Soybean Futures (290 contracts, MAR23)

CBOT Soybean Futures (356 contracts, NOV23)

Total at June 30, 2022

Total at September 30, 2022

CANE Benchmark Component Futures Contracts

Notional Value

ICE Sugar Futures (538 contracts, MAR23)

ICE Sugar Futures (471 contracts, MAY23)

ICE Sugar Futures (414 contracts, JUL23)

ICE Sugar Futures (475 contracts, MAR24)

Total at June 30, 2022

Total at September 30, 2022

WEAT Benchmark Component Futures Contracts

Notional Value

CBOT Wheat Futures (3,563 contracts, SEP22)

CBOT Wheat Futures (3,002 contracts, DEC22)

CBOT Wheat Futures (2,854 contracts, MAR23)

$ 132,996,400

CBOT Wheat Futures (2,430 contracts, MAY23)

CBOT Wheat Futures (2,899 contracts, DEC23)

Total at June 30, 2022

Total at September 30, 2022

$ 377,991,275

TAGS Benchmark Component Futures Contracts

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Shares of Teucrium Sugar Fund (1,327,598 shares)

Total at June 30, 2022

Total at September 30, 2022

DEFI Benchmark Component Futures Contracts

Notional Value

CME Bitcoin Futures (6 contracts, OCT22)

CME Bitcoin Futures (6 contracts, NOV22)

Total at September 30, 2022

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

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The total portfolio composition for each Fund is disclosed each business day that the NYSE Arca is open for trading on the Sponsor’s website.

The website for the Funds and the Sponsor is www.teucrium.com.

The website is accessible at no charge.

The website disclosure of portfolio holdings is made daily and includes, as applicable, the name and value of each Futures Contract, other commodity interests and the amount of cash and cash equivalents held in the Fund’s portfolio.

The website for the Agricultural Funds and the Sponsor is www.teucrium.com.

The website for the Hashdex Bitcoin Futures ETF is www.hashdex-etfs.com.

The website(s) are accessible at no charge.

The website disclosure of portfolio holdings is made daily and includes, as applicable, the name and value of each Futures Contract, other commodity or cryptocurrency interests and the amount of cash and cash equivalents held in the Fund’s portfolio.

The specific types of other commodity interests held (if any, which may include options on futures contracts and derivative contracts such as swaps) collectively, “Other Commodity Interests,” and together with Futures Contracts, “Commodity Interests” or “Interests” in addition to futures contracts, options on futures contracts and derivative contracts that are tied to various commodities are entered into outside of public exchanges.

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For example, unlike Futures Contracts, which are guaranteed by a clearing organization, each party to an over the counter derivative contract bears the credit risk of the other party (unless such over the counter swap is cleared through a derivatives clearing organization (“DCO”), i.e., the risk that the other party will not be able to perform its obligations under its contract, and characteristics of such Other Commodity Interests.

Consistent with achieving a Fund’s investment objective of closely tracking the Benchmark, the Sponsor may for certain reasons cause a Fund to enter into or hold Futures Contracts other than the Benchmark Component Futures Contracts and/or Other Commodity Interests.

Other Commodity Interests that do not have standardized terms and are not exchange traded, referred to as “over the counter” Commodity Interests, can generally be structured as the parties to the Commodity Interest contract desire.

Other Commodity or Cryptocurrency Interests that do not have standardized terms and are not exchange traded, referred to as “over the counter” Commodity or Cryptocurrency Interests, can generally be structured as the parties to the Commodity or Cryptocurrency Interest contract desire.

Therefore, each Fund might enter into multiple and/or over the counter Interests intended to replicate the performance of each of the Benchmark Component Futures Contracts for a Fund, or a single over the counter Interest designed to replicate the performance of the Benchmark as a whole.

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By utilizing certain or all of the investments described above, the Sponsor will endeavor to cause the Fund’s performance to closely track that of the Benchmark of each Fund.

An “exchange for related position” (“EFRP”) can be used by each Fund as a technique to facilitate the exchanging of a futures hedge position against a creation or redemption order, and thus each Fund may use an EFRP transaction in connection with the creation and redemption of shares.

An “exchange for related position” (“EFRP”) can be used by each Agricultural Fund as a technique to facilitate the exchanging of a futures hedge position against a creation or redemption order, and thus each Fund may use an EFRP transaction in connection with the creation and redemption of shares.

The market specialist/market maker that is the ultimate purchaser or seller of shares in connection with the creation or redemption basket, respectively, agrees to sell or purchase a corresponding offsetting futures position which is then settled on the same business day as a cleared futures transaction by the FCMs.

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

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

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

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

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

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

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

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

Treasury obligations with time to maturity of 90 days or less.

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In managing the assets of the Funds, the Sponsor does not use a technical trading system that automatically issues buy and sell orders.

Instead, the Sponsor will purchase or sell the specific underlying Commodity Interests with an aggregate market value that approximates the amount of cash received or paid upon the purchase or redemption of Shares.

Instead, the Sponsor will purchase or sell the specific underlying Commodity or Cryptocurrency Interests with an aggregate market value that approximates the amount of cash received or paid upon the purchase or redemption of Shares.

The Sponsor anticipates managing each Fund in a way that tracks the stated benchmark.

The Funds’ benchmarks do not hold spot futures and therefore do not anticipate letting the commodity Futures Contracts of any Fund expire, thus avoiding delivery of the underlying commodity.

Instead, the Sponsor will close out existing positions, for instance, in response to ordinary scheduled changes in the Benchmark or, if at the Sponsor’s sole discretion, it otherwise determines it would be appropriate to do so, will reinvest the proceeds in new Commodity Interests.

The Agricultural Funds’ benchmarks do not hold spot futures and therefore do not anticipate letting the commodity Futures Contracts of any Fund expire, thus avoiding delivery of the underlying commodity.

instead, the Sponsor will close out existing positions, for instance, in response to ordinary scheduled changes in the Benchmark or, if at the Sponsor’s sole discretion, it otherwise determines it would be appropriate to do so, will reinvest the proceeds in new Commodity or Cryptocurrency Interests.

Positions may also be closed out to meet redemption orders, in which case the proceeds from closing the positions are not reinvested.

DEFI does hold spot month futures, but the Fund will trade or roll these contracts on the exchange before delivery or receipt of the underlying cryptocurrency is required.

The Sponsor employs a “neutral” investment strategy intended to track the changes in the Benchmark of each Fund regardless of whether the Benchmark goes up or goes down.

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Such investors may include participants in the specific industry and other industries seeking to hedge the risk of losses in their commodity specific related transactions, as well as investors seeking exposure to that commodity market.

Accordingly, depending on the investment objective of an individual investor, the risks generally associated with investing in the commodity specific market and/or the risks involved in hedging may exist.

In addition, an investment in a Fund involves the risk that the changes in the price of the Fund’s Shares will not accurately track the changes in the Benchmark, and that changes in the Benchmark will not closely correlate with changes in the price of the commodity on the spot market.

The Sponsor does not intend to operate each Fund in a fashion such that its per share NAV equals, in dollar terms, the spot price of the commodity or the price of any particular commodity specific Futures Contract.

Accordingly, depending on the investment objective of an individual investor, the risks generally associated with investing in the commodity or cryptocurrency specific market and/or the risks involved in hedging may exist.

Teucrium Trading, LLC is the sponsor of the Trust and each of the series of the Trust.

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Performance Summary

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

This report covers the periods from January 1 to September 30, 2022 for CORN, SOYB, CANE, WEAT and TAGS.

DEFI’s summary covers from the commencement of operations (September 15, 2022) through September 30, 2022.

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

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Investment income

Net realized and unrealized gain on commodity futures contracts

Net realized and unrealized loss on commodity futures contracts

Total expenses

Net increase in net asset value

Net decrease in net asset value

Net asset value at end of period

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Net investment loss

DEFI Per Share Operation Performance

Net asset value at beginning of period

Income from investment operations:

Investment income

Net realized and unrealized loss on cryptocurrency futures contracts

Total expenses

Net decrease in net asset value

Net asset value at end of period

Ratios to Average Net Assets (Annualized)

Total expenses

Total expenses, net

Net investment income

Past performance of a Fund is not necessarily indicative of future performance.

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

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

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

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

CORN, SOYB, WEAT, CANE and TAGS each operated for the entirety of all periods.

For DEFI, the results will represent from commencement of operations (September 15, 2022) through September 30, 2022.

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

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There is, therefore, no impact to or change in the Net gain or Net loss in any period for the Trust and each Fund as a result of this change in presentation.

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.

The Sponsor is responsible for investing the assets of the Funds in accordance with the objectives and policies of each Fund.

In addition, the Sponsor arranges for one or more third parties to provide administrative, custodial, accounting, transfer agency, compliance, and other necessary services to the Fund, including services directly attributable to the Funds 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 Funds, except for TAGS which has no such fee, are contractually obligated to pay a monthly management fee to the Sponsor, based on average daily net assets, at a rate equal to 1.00% per annum.

The Funds 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.

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.

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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.

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.

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

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The Fund does not track the spot price of corn.

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

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

On September 30, 2022, the Corn Fund held a total of CBOT Corn Futures contracts with a notional value of $214,942,200.

The contracts had an asset fair value of $6,573,943 and a liability fair value of $4,335,823.

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

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

(1) 35% to the MAR23 contracts, the second to expire CBOT Corn Futures Contract, (2) 30% to MAY23 CBOT contracts, the third to expire CBOT Corn Futures Contract, and (3) 35% to DEC23 CBOT contracts, the CBOT Corn Futures Contract expiring in the December following the expiration month of the third to expire contract.

Quarter Ending

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Quarter Ending

June 30, 2022

September 30, 2022

September 30, 2021

June 30, 2022

March 31, 2022

Total Net Assets

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Total net assets for the Fund increased year over year by 79%, driven by a combination of an increase in total shares outstanding of 2,000,000 shares or 34% and an increase in the NAV per share of $6.81 or 34%.

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

The net assets for the Fund decreased by 10% when comparing September 30, 2022, to June 30, 2022.

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

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

For the Three Months Ended September 30, 2022, compared to the Three Months Ended September 30, 2021

Three Months Ended

June 30, 2022

June 30, 2021

September 30, 2022

September 30, 2021

Average daily total net assets

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$ 135,767,092

Net realized and unrealized (loss) gain on futures contracts

Net realized and unrealized gain (loss) on futures contracts

$ (10,603,502 )

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Annualized interest yield based on average daily total net assets

Net (Loss) Income

Net Income (Loss)

$ (11,185,315 )

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Total expense ratio net of expenses waived by the Sponsor

Net investment loss

Net investment gain (loss)

Creation of Shares

Redemption of Shares

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

Six Months Ended

June 30, 2022

June 30, 2021

For the Nine Months Ended September 30, 2022, compared to the Nine Months Ended September 30, 2021

Nine Months Ended

September 30, 2022

September 30, 2021

Average daily total net assets

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Net realized and unrealized gain on futures contracts

Interest income earned on cash equivalents

Interest income earned on cash and cash equivalents

Annualized interest yield based on average daily total net assets

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1) the change in the price of the particular contracts sold as part of a “roll” in contracts as the nearest to expire contracts are exchanged for the appropriate contract given the investment objective of the fund, 2) the change in the price of particular contracts sold in relation to redemption of shares, 3) the gain or loss associated with rebalancing trades which are made to ensure conformance to the benchmark, 4) the number of contracts held and then sold for either circumstance aforementioned.

Beginning on August 21, 2019, the Sponsor began recognizing the expense for brokerage commissions for futures contract trades on a per trade basis.

Prior to the change, brokerage commissions on all open commodity futures contracts were accrued on the trade date on a full-turn basis.

The Fund recognizes the expense for brokerage commissions for futures contract trades on a per trade basis.

Unrealized gain or loss on trading of commodity futures contracts is a function of the change in the price of contracts held on the final date of the period versus the purchase price for each contract and the number of contracts held in each contract month.

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

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

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

The increase in interest and other income year over year was due to an increase in net assets and an increase in Federal Fund Rates.

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

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

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

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

The increase/decrease in management fee paid to the Sponsor is a result of higher/lower average net assets.

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

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

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

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

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

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

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

Additionally, fees were paid to StoneX Financial Inc.

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

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

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

The total brokerage commissions for the nine months ended September 30, 2022 compared to the same period in 2021 were generally stable.

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

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

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

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

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

On September 30, 2022, the Fund held a total of CBOT soybean futures contracts with a notional value of $67,241,650.

The contracts had an asset fair value of $3,083,849.

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

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

(1) 35% to JAN23 CBOT contracts, (2) 30% to MAR23 CBOT contracts, and (3) 35% to NOV23 CBOT contracts.

Quarter Ending

1 unchanged sentence

Quarter Ending

June 30, 2022

September 30, 2022

September 30, 2021

June 30, 2022

March 31, 2022

Total Net Assets

2 unchanged sentences

Closing Price

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

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

Total net assets for the Fund increased year over year by 42%, driven by a combination of an increase in total shares outstanding of 425,000 shares or 20% and by an increase in the NAV per share of $4.12 or 19%.

The net assets for the Fund decreased by 10% when comparing September 30, 2022, to June 30, 2022.

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

For the Three Months Ended September 30, 2022, compared to the Three Months Ended September 30, 2021

Three Months Ended

June 30, 2022

June 30, 2021

September 30, 2022

September 30, 2021

Average daily total net assets

Net realized and unrealized gain (loss) on futures contracts

Net realized and unrealized loss on futures contracts

$ (2,877,782 )

$ (4,333,370 )

Interest income earned on cash and cash equivalents

Annualized interest yield based on average daily total net assets

Net Income (Loss)

$ (2,816,428 )

$ (4,573,209 )

Weighted average share outstanding

5 unchanged sentences

Total expense ratio net of expenses waived by the Sponsor

Net investment loss

Net investment gain (loss)

Creation of Shares

Redemption of Shares

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

Six Months Ended

June 30, 2022

June 30, 2021

For the Nine Months Ended September 30, 2022, compared to the Nine Months Ended September 30, 2021

Nine Months Ended

September 30, 2022

September 30, 2021

Average daily total net assets

Net realized and unrealized gain (loss) on futures contracts

Net realized and unrealized gain on futures contracts

Interest income earned on cash and cash equivalents

Annualized interest yield based on average daily total net assets

Net Income (Loss)

Weighted average share outstanding

10 unchanged sentences

Beginning on August 21, 2019, the Sponsor began recognizing the expense for brokerage commissions for futures contract trades on a per trade basis.

Prior to the change, brokerage commissions on all open commodity futures contracts were accrued on the trade date on a full-turn basis.

The Fund recognized the expense for brokerage commissions for futures contract trades on a per trade basis.

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

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

The increase in interest and other income year over year was due to an increase in net assets and an increase in Federal Fund Rates.

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

1 unchanged sentence

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

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

The increase/decrease in management fee paid to the Sponsor is a result of lower/higher average net assets.

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

4 unchanged sentences

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

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

1 unchanged sentence

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

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

Additionally, fees were paid to StoneX Financial Inc.

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

17 unchanged sentences

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

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

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

On September 30, 2022, the Fund held a total of ICE sugar futures contracts with a notional value of $25,548,376.

The contracts had a liability fair value of $1,282,651.

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

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

(1) 35% to the MAY23 ICE No 11 contracts, (2) 30% to the JUL23 ICE No 11 contracts, and (3) 35% to the MAR24 ICE No 11 contracts.

Quarter Ending

1 unchanged sentence

Quarter Ending

June 30, 2022

September 30, 2022

September 30, 2021

June 30, 2022

March 31, 2022

Total Net Assets

2 unchanged sentences

Closing Price

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

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

Total net assets for the Fund decreased year over year by 2%, driven by a combination of an increase in total shares outstanding of 200,000 or 7% and a decrease in the NAV per share of $(0.84) or 9%.

The net assets for the Fund decreased by 21% when comparing September 30, 2022, to June 30, 2022.

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

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

For the Three Months Ended September 30, 2022, compared to the Three Months Ended September 30, 2021

Three Months Ended

June 30, 2022

June 30, 2021

September 30, 2022

September 30, 2021

Average daily total net assets

Net realized and unrealized gain (loss) on futures contracts

Net realized and unrealized (loss) gain on futures contracts

$ (1,962,758 )

1 unchanged sentence

Annualized interest yield based on average daily total net assets

Net Income (Loss)

Net (Loss) Income

$ (1,942,684 )

6 unchanged sentences

Total expense ratio net of expenses waived by the Sponsor

Net investment loss

Net investment gain (loss)

Creation of Shares

Redemption of Shares

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

Six Months Ended

June 30, 2022

June 30, 2021

For the Nine Months Ended September 30, 2022, compared to the Nine Months Ended September 30, 2021

Nine Months Ended

September 30, 2022

September 30, 2021

Average daily total net assets

Net realized and unrealized gain (loss) on futures contracts

Net realized and unrealized (loss) gain on futures contracts

$ (2,758,277 )

Interest income earned on cash and cash equivalents

Annualized interest yield based on average daily total net assets

Net Income (Loss)

Net (Loss) Income

$ (2,910,520 )

Weighted average share outstanding

10 unchanged sentences

Beginning on August 21, 2019, the Sponsor began recognizing the expense for brokerage commissions for futures contract trades on a per trade basis.

Prior to the change, brokerage commissions on all open commodity futures contracts were accrued on the trade date on a full-turn basis.

The Fund recognizes the expense for brokerage commissions for futures contract trades on a per trade basis.

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

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

The increase in interest and other income year over year was due to an increase in net assets and an increase in Federal Fund Rates.

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

1 unchanged sentence

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

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

The increase/decrease in management fee paid to the Sponsor is a result of lower/higher average net assets.

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

4 unchanged sentences

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

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

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

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

1 unchanged sentence

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

Additionally, fees were paid to StoneX Financial Inc.

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

These are generally based on contracts, which extend for some period of time and up to one year, or commitments regardless of the level of assets under management.

The structure of the Fund and the nature of the expenses are such that as total net assets grow, there is a scalability of expenses that may allow the total expense ratio to be reduced.

However, if total net assets for the Fund fall, the total expense ratio of the Fund will increase unless additional reductions are made by the Sponsor to the daily expense accruals.

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

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

5 unchanged sentences

The Sponsor cannot predict the impact of such factors.

These are generally based on contracts, which extend for some period of time and up to one year, or commitments regardless of the level of assets under management.

The structure of the Fund and the nature of the expenses are such that as total net assets grow, there is a scalability of expenses that may allow the total expense ratio to be reduced.

However, if total net assets for the Fund fall, the total expense ratio of the Fund will increase unless additional reductions are made by the Sponsor to the daily expense accruals.

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

Teucrium Wheat Fund

2 unchanged sentences

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

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

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

On September 30, 2022, the Fund held a total of CBOT wheat futures contracts with a notional value of $377,991,275.

The contracts had an asset fair value of $18,217,550 and a liability fair value of $18,948,559.

The weighting of the notional value contracts is as follows:

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

(1) 35% to MAR23 CBOT contracts, (2) 30% to MAY23 CBOT contracts, and (3) 35% to DEC23 CBOT contracts.

Quarter Ending

1 unchanged sentence

Quarter Ending

June 30, 2022

September 30, 2022

September 30, 2021

June 30, 2022

March 31, 2022

Total Net Assets

5 unchanged sentences

Total net assets for the Fund increased year over year by 416%, driven by a combination of an increase in total shares outstanding of 30,875,000 or 298% and an increase in the NAV per share of $2.10 or 30%.

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

The net assets for the Fund decreased by -16% when comparing September 30, 2022 to June 30 2022.

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

For the Three Months Ended September 30, 2022, compared to the Three Months Ended September 30, 2021

Three Months Ended

June 30, 2022

June 30, 2021

September 30, 2022

September 30, 2021

Average daily total net assets

$ 354,167,506

Net realized and unrealized gain (loss) on futures contracts

$ (58,796,224 )

Net realized and unrealized gain on futures contracts

Interest income earned on cash and cash equivalents

Annualized interest yield based on average daily total net assets

Net Income (Loss)

$ (59,861,562 )

Weighted average share outstanding

5 unchanged sentences

Total expense ratio net of expenses waived by the Sponsor

Net investment loss

Net investment gain (loss)

Creation of Shares

Redemption of Shares

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

Six Months Ended

June 30, 2022

June 30, 2021

For the Nine Months Ended September 30, 2022, compared to the Nine Months Ended September 30, 2021

Nine Months Ended

September 30, 2022

September 30, 2021

Average daily total net assets

$ 369,580,476

Net realized and unrealized gain (loss) on futures contracts

Net realized and unrealized (loss) gain on futures contracts

$ (57,328,622 )

1 unchanged sentence

Annualized interest yield based on average daily total net assets

Net Income (Loss)

Net (Loss) Income

$ (59,064,706 )

11 unchanged sentences

Beginning on August 21, 2019, the Sponsor began recognizing the expense for brokerage commissions for futures contract trades on a per trade basis.

Prior to the change, brokerage commissions on all open commodity futures contracts were accrued on the trade date on a full-turn basis.

The Fund recognized the expense for brokerage commissions for futures contract trades on a per trade basis.

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

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

The increase in interest and other income year over year was due to an increase in net assets and an increase in Federal Fund Rates.

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

1 unchanged sentence

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

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

The increase/decrease in management fee paid to the Sponsor is a result of lower/higher average net assets.

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

4 unchanged sentences

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

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

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

1 unchanged sentence

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

Additionally, fees were paid to StoneX Financial Inc.

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

These are generally based on contracts, which extend for some period of time and up to one year, or commitments regardless of the level of assets under management.

The structure of the Fund and the nature of the expenses are such that as total net assets grow, there is a scalability of expenses that may allow the total expense ratio to be reduced.

However, if total net assets for the Fund fall, the total expense ratio of the Fund will increase unless additional reductions are made by the Sponsor to the daily expense accruals.

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

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

4 unchanged sentences

The Sponsor cannot predict the impact of such factors.

These are generally based on contracts, which extend for some period of time and up to one year, or commitments regardless of the level of assets under management.

The structure of the Fund and the nature of the expenses are such that as total net assets grow, there is a scalability of expenses that may allow the total expense ratio to be reduced.

However, if total net assets for the Fund fall, the total expense ratio of the Fund will increase unless additional reductions are made by the Sponsor to the daily expense accruals.

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

Teucrium Agricultural Fund

16 unchanged sentences

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

On June 30, 2022, the Fund held:

On September 30, 2022, the Fund held:

1) 429,192 shares of CORN with a fair value of $11,605,566;

2 unchanged sentences

and 4) 1,327,598 shares of CANE with a fair value of $11,589,798.

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

The weighting on September 30, 2022 was 25% to CORN, 26% to WEAT, 24% to SOYB and 25% to CANE.

Quarter Ending

1 unchanged sentence

Quarter Ending

June 30, 2022

September 30, 2022

September 30, 2021

June 30, 2022

March 31, 2022

Total Net Assets

3 unchanged sentences

Total net assets for the Fund increased year over year by 441%, driven by a combination of an increase in shares outstanding of 1,162,500 shares or 358% and an increase in the NAV per share of $4.79 or 18%.

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

The net assets for the Fund decreased by 3% when comparing September 30, 2022 to June 30 2022.

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

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

For the Three Months Ended September 30, 2022, compared to the Three Months Ended September 30, 2021

Three Months Ended

June 30, 2022

June 30, 2021

September 30, 2022

September 30, 2021

Average daily total net assets

Net realized and unrealized gain (loss) on securities

$ (3,782,071 )

Net realized and unrealized gain on securities

Interest income earned on cash equivalents

Annualized interest yield based on average daily total net assets

Net Income (Loss)

$ (3,795,658 )

Net (Loss) Income

Weighted average share outstanding

Total gross fees and other expenses

Brokerage Commissions

Expenses waived by the Sponsor

4 unchanged sentences

Redemption of Shares

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

Six Months Ended

June 30, 2022

June 30, 2021

For the Nine Months Ended September 30, 2022, compared to the Nine Months Ended September 30, 2021

Nine Months Ended

September 30, 2022

September 30, 2021

Average daily total net assets

Net realized and unrealized gain (loss) on securities

Net realized and unrealized (loss) gain on securities

$ (1,296,832 )

1 unchanged sentence

Annualized interest yield based on average daily total net assets

Net Income (Loss)

Net (Loss) Income

$ (1,333,145 )

1 unchanged sentence

Total gross fees and other expenses

Brokerage Commissions

Expenses waived by the Sponsor

12 unchanged sentences

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

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

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

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

1 unchanged sentence

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

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

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

Hashdex Bitcoin Futures ETF

The Hashdex Bitcoin Futures ETF Fund commenced investment operations on September 15, 2022.

The investment objective of the Fund is to have the daily changes in percentage terms of the Shares’ Net Asset Value reflect the daily changes in percentage terms of a weighted average of the closing settlement prices for two futures contracts for Bitcoin (“Bitcoin Futures Contracts”) that are traded on the Chicago Mercantile Exchange (“CME”), specifically:

(1) the first to expire CME Bitcoin Futures Contract, weighted 50%, (2) the second to expire CME Bitcoin Futures Contract, weighted 50%.

On September 30, 2022, the Fund held a total of 12 CME bitcoin futures contracts with a notional value of $1,165,800.

The contracts had a liability fair value of $14,372.

The weighting of the notional value contracts is as follows:

(1) 50% to OCT22 CME Bitcoin Futures contracts, (2) 50% to NOV22 CME Bitcoin Futures contracts.

From the commencement

of operations (September 15, 2022)

through September 30, 2022

Total Net Assets

Shares Outstanding

Net Asset Value per share

Closing Price

From the commencement of operations (September 15, 2022) through September 30, 2022

From the commencement

of operations (September 15, 2022)

September 30, 2022

Average daily total net assets

Net realized and unrealized loss on futures contracts

Interest income earned on cash equivalents

Annualized interest yield based on average daily total net assets

Weighted average share outstanding

Management Fees

Total gross fees and other expenses excluding management fees

Brokerage Commissions

Expenses waived by the Sponsor

Total gross expense ratio

Total expense ratio net of expenses waived by the Sponsor

Net investment gain

Creation of Shares

Redemption of Shares

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

The Fund recognizes the expense for brokerage commissions for futures contract trades on a per trade basis.

Unrealized gain or loss on trading of cryptocurrency futures contracts is a function of the change in the price of contracts held on the final date of the period versus the purchase price for each contract and the number of contracts held in each contract month.

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

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

These investments may include, but are not limited to, short-term Treasury Securities, demand deposits, money market funds and investments in commercial paper.