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Item 1. Financial Statements

2026-04-15 compared with 2025-10-15 · 258 added, 314 removed, 151 unchanged (79% of the section changed)

Financial Statements (Unaudited)

Statement of Financial Condition (unaudited) (a)

At August 31, 2025

Investments in European Union Carbon Emission Allowances (“EUAs”), at fair value (cost $ 2,518,608 )

Statements of Financial Condition

Investments in European Union Carbon Emission Allowances (“EUAs”), at fair value (cost $ 1,667,361 and $ 1,667,361 , respectively)

Cash & Cash Equivalents

Interest Receivable

Sponsor’s Management Fees

Total Liabilities

1 unchanged sentence

Net asset value per Share

(1) Authorized share capital is unlimited and the par value of the

Shares is $0.00.

(1) Authorized share capital is unlimited and the par value of the Shares is $0.00.

See notes to the unaudited financial statements.

(a) No comparative financial statements have been provided as

the Trust did not have any operations as of November 30, 2024.

COTWO ADVISORS PHYSICAL EUROPEAN CARBON ALLOWANCE TRUST

Schedule of Investments (unaudited) (a)

At August 31, 2025

August 31, 2025

COTWO ADVISORS PHYSICAL EUROPEAN CARBON ALLOWANCE

Schedules of Investments

February 28, 2026 (unaudited)

% of Net Assets

Short-Term Investments (b)

State Street Institutional U.S.

Government Money Market Fund - Premier Class (a)

Total Investment

Liabilities in Excess of Other Assets

November 30, 2025

% of Net Assets

Street Institutional U.S.

Government Money Market Fund - Premier Class (a)

Total Investment

Liabilities in Excess of Other Assets

(a) The annualized 7-day yields as of February 28, 2026 and November 30, 2025, were 3.63% and 3.94%, respectively.

See notes to the unaudited financial statements.

(a) No comparative financial statements have been provided as

the Trust did not hold any EUAs as of November 30, 2024.

(b) The annualized 7-day yield as of August 31, 2025 of the SSC

GOVERNMENT MM GVMXX is 4.23%.

COTWO ADVISORS PHYSICAL EUROPEAN CARBON ALLOWANCE

Statement of Operations (unaudited)

three months ended

Statement of Operations (unaudited) (a)

INVESTMENT INCOME

Interest Income

Sponsor’s Management Fees

Total expenses

2 unchanged sentences

Net realized gain/(loss) from EUAs sold to pay expenses

Net realized gain/(loss) from Fx Transactions

Net realized gain/(loss) from Foreign Exchange Transactions

Net change in unrealized gain/(loss) on investment in EUAs

1 unchanged sentence

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

$ ( 298,801 )

Net decrease in net assets per share from operations

$ ( 0.00 )(c)

Weighted average number of shares outstanding

(a) No comparative financial statements have been provided as the Trust had not commenced operations as of February 28, 2025.

See notes to the unaudited financial statements.

(a) Effective date of registration statement

(b) The Fund commenced operations on June 17, 2025

COTWO ADVISORS PHYSICAL EUROPEAN CARBON ALLOWANCE

Statement of Cash Flows (unaudited) (c)

Statement of Cash Flows (unaudited) (a)

Three months ended

CASH FLOWS FROM OPERATING ACTIVITIES

Net income/(loss)

Adjustments to reconcile net income to net cash provided by operating activities

EUAs purchased for Shares created

Net increase/(decrease) in net assets resulting from operations

$ ( 298,801 )

Adjustments to reconcile net increase/(decrease) resulting from operations to net cash provided by (used in) operating activities

EUAs purchased

Unrealized (gain)/loss on investment in EUAs

(Increase)/decrease in receivables

Increase/(decrease) in payables

(Increase)/decrease in interest receivable

Increase/(decrease) in Sponsor’s Management Fee payable

Net realized (gain)/loss from EUAs sold to pay expenses

1 unchanged sentence

Net cash provided by (used in) operating activities

$ ( 2,514,698 )

CASH FLOWS FROM FINANCING ACTIVITIES

Capital Contributed for Purchase of EUAs

Capital Distributed for Redemption of Shares

Net cash provided by (used in) financing activities

2 unchanged sentences

Cash and cash equivalents at end of period

SUPPLEMENTAL DISCLOSURE OF NON-CASH FINANCING ACTIVITIES:

Value of EUAs contributed for shares issued

Value of EUAs distributed for shares redeemed

(a) No comparative financial statements have been provided as the Trust had not commenced operations as of February 28, 2025.

See notes to the unaudited financial statements.

(a) Effective date of registration statement

(b) The Fund commenced operations on June 17, 2025

the Trust did not hold any EUAs as of November 30, 2024.

COTWO ADVISORS PHYSICAL EUROPEAN CARBON ALLOWANCE

Statement of Changes in Net Assets (unaudited)

Statement of Changes in Net Assets (unaudited) (a)

three months ended

1 unchanged sentence

Net realized gain/(loss) from EUAs and foreign currency sold

Net unrealized gain/(loss) from EUAs

Net change in unrealized gain/(loss) from EUAs

$ ( 295,252 )

Net decrease in net assets resulting from operations

$ ( 298,801 )

Capital Share Transactions:

Net increase in net assets from capital share transactions

Increase in net assets

Net increase/(decrease) in net assets from capital share transactions

Net decrease in net assets

$ ( 298,801 )

Net Assets - Beginning of Period

3 unchanged sentences

Shares redeemed

Net increase in Shares issued and outstanding

Net increase/(decrease) in Shares issued and outstanding

(a) No comparative financial statements have been provided as the Trust had not commenced operations as of February 28, 2025.

See notes to the unaudited financial statements.

(a) Effective date of registration statement

(b) The Fund commenced operations on June 17, 2025

COTWO ADVISORS PHYSICAL EUROPEAN CARBON

ALLOWANCE TRUST

Notes to the Financial Statements

COtwo Advisors

Physical European Carbon Allowance Trust (the “Trust”) was formed as a Delaware statutory trust on January 12, 2023.

The Trust is governed

by the Amended and Restated Declaration of Trust and Trust Agreement (the “Trust Agreement”) dated November 27, 2023 between

COtwo Advisors LLC (the “Sponsor”) and Wilmington Trust, National Association (the “Trustee”).

On April 29, 2025,

the Trust was declared effective by the U.S.

COTWO ADVISORS PHYSICAL EUROPEAN CARBON ALLOWANCE

Notes to the Financial Statements (unaudited)

COtwo Advisors Physical European Carbon Allowance

Trust (the “Trust”) was formed as a Delaware statutory trust on January 12, 2023.

The Trust is governed by the Amended and Restated

Declaration of Trust and Trust Agreement (the “Trust Agreement”) dated November 27, 2023 between COtwo Advisors LLC (the “Sponsor”)

and Wilmington Trust, National Association (the “Trustee”).

On April 29, 2025 , the Trust was declared effective by the U.S.

Securities and Exchange Commission.

The Trust began investment operations of investing in

EUAs on June 17, 2025, and was listed for secondary market trading on NYSE Arca on June 20, 2025.

The offering of the Trust’s shares

is registered with the SEC in accordance with the Securities Act of 1933.

The Trust began investment operations of investing in EUAs on June 17, 2025, and was listed for secondary

market trading on NYSE Arca on June 20, 2025.

The offering of the Trust’s Shares is registered with the SEC in accordance with the

Securities Act of 1933.

The Trust currently offers one class of shares.

The Trust has

a fiscal year ending November 30.The investment objective of the Trust is for the Shares to reflect the performance of the price of EU

Carbon Emission Allowances for stationary installations (“EUAs”), less the expenses of the Trust’s operations.

assets will consist of EUAs, which are issued via the European Union Emission Trading System (“ETS”) and permit the holder

to emit one ton of carbon dioxide equivalent or other greenhouse gas.

The Trust will occasionally hold cash for short periods to pay Trust

COtwo Advisors

LLC is the sponsor of the Trust.

(1) will select the Trust’s trustee, administrator, transfer agent, cash custodian,

marketing agent and any other Trust service providers;

The Trust has a fiscal year ending November 30th.

The investment

objective of the Trust is for the Shares to reflect the performance of the price of EU Carbon Emission Allowances for stationary installations

(“EUAs”), less the expenses of the Trust’s operations.

The Trust’s assets will consist of EUAs, which are issued

via the European Union Emission Trading System (“ETS”) and permit the holder to emit one ton of carbon dioxide equivalent

or other greenhouse gas.

The Trust expects to periodically sell EUAs to maintain approximately 1 % of its assets in cash or cash equivalents

for use in connection with creation transactions or to pay expenses.

COtwo Advisors LLC is the sponsor of the Trust.

(1) will select the Trust’s trustee, administrator, transfer agent, cash custodian, marketing agent and any other Trust

service providers;

(2) will negotiate various agreements and fees for the Trust;

(3) will develop

a marketing plan for the Trust on an ongoing basis and prepare marketing materials regarding the Shares;

(4) will maintain the Trust’s

and (5) will perform such other services as the Sponsor believes that the Trust may require.

State Street Bank

and Trust Company (the "Administrator") has been selected by the Sponsor to serve as Administrator, Transfer Agent, and Custodian

to the Trust.

The Statement

of Financial Condition and Schedule of Investments at August 31, 2025 and the Statements of Operations, Cash Flows and Changes in Net

Assets for the reporting period ended August 31, 2025 have been prepared on behalf of the Trust without audit.

In the opinion of management

of the Sponsor of the Trust, all adjustments (which include normal recurring adjustments) necessary to present fairly the financial position,

results of operations and cash flows as of and for the periods April 29, 2025 to August 31, 2025 and the three months ended August 31,

2025 have been made.

The results of operations for the periods April 29, 2025 to August 31, 2025 and the three months ended August 31,

(3) will develop a marketing plan for the Trust on an

ongoing basis and prepare marketing materials regarding the Shares;

(4) will maintain the Trust’s web site;

and (5) will perform

such other services as the Sponsor believes that the Trust may require.

State Street Bank and Trust Company (the "Administrator")

has been selected by the Sponsor to serve as Administrator, Transfer Agent, and Cash Custodian to the Trust.

The Statement of Financial Condition and Schedule

of Investments at February 28, 2026 and the Statements of Operations, Cash Flows and Changes in Net Assets for the reporting period ended

February 28, 2026 have been prepared on behalf of the Trust without audit.

In the opinion of management of the Sponsor of the Trust, all

adjustments (which include normal recurring adjustments) necessary to present fairly the financial position, results of operations and

cash flows for the three months ended February 28, 2026 have been made.

The results of operations for the three months ended February

28, 2026 are not necessarily indicative of the operating results for the full fiscal year.

SIGNIFICANT ACCOUNTING POLICIES

The Sponsor has

determined that the Trust falls within the scope of Financial Accounting Standards Board (“FASB”) Accounting Standards Codification

(“ASC”) 946, Financial Services — Investment Companies, and has concluded that for reporting purposes, the Trust is

classified as an Investment Company.

The Trust is not registered as an investment company under the Investment Company Act of 1940 and

is not required to register under such act.

The preparation of financial statements in accordance with accounting principles generally

accepted in the United States of America (“U.S.

GAAP”) requires those responsible for preparing financial statements to make

estimates and assumptions that affect the reported amounts and disclosures.

The Sponsor has determined that the Trust falls

within the scope of Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 946,

Financial Services — Investment Companies, and has concluded that for reporting purposes, the Trust is classified as an Investment

The Trust is not registered as an investment company under the Investment Company Act of 1940 and is not required to register

under such act.

The preparation of financial statements in accordance with accounting principles generally accepted in the United States

of America (“U.S.

GAAP”) requires those responsible for preparing financial statements to make estimates and assumptions that

affect the reported amounts and disclosures.

Actual results could differ from those estimates.

The following is a summary of significant

accounting policies followed by the Trust.

Notes to the Financial Statements (unaudited)

The following is a summary of significant accounting policies followed

by the Trust.

Emerging growth company

The Trust is an

“emerging growth company,” as defined in the Jumpstart Our Business Startups Act of 2012 (the “JOBS Act”), and

is eligible to take advantage of certain exemptions from various reporting requirements that are applicable to other public companies

that are not “emerging growth companies” including, but not limited to, not being required to comply with the auditor attestation

requirements of Section 404 of the Sarbanes-Oxley Act of 2002 and reduced disclosure obligations that are not otherwise applicable to

In addition, Section 107 of the JOBS Act also provides that an “emerging growth company” can take advantage of

the extended transition period provided in Section 7(a)(2)(B) of the Securities Act of 1933, as amended (the “Securities Act”),

for complying with new or revised accounting standards.

In other words, an “emerging growth company” can delay the adoption

of certain accounting standards until those standards would otherwise apply to private companies.

However, the Trust is choosing to “opt

out” of such extended transition period, and as a result, will comply with new or revised accounting standards on the relevant dates

on which adoption of such standards is required for non-emerging growth companies.

Section 107 of the JOBS Act provides that the decision

to opt out of the extended transition period for complying with new or revised accounting standards is irrevocable.

Notes to the Financial Statements

(continued) (unaudited)

The Trust is an “emerging growth

company,” as defined in the Jumpstart Our Business Startups Act of 2012 (the “JOBS Act”), and is eligible to take

advantage of certain exemptions from various reporting requirements that are applicable to other public companies that are not

“emerging growth companies” including, but not limited to, not being required to comply with the auditor attestation

requirements of Section 404 of the Sarbanes-Oxley Act of 2002 and reduced disclosure obligations that are not otherwise applicable

to the Trust.

In addition, Section 107 of the JOBS Act also provides that an “emerging growth company” can take

advantage of the extended transition period provided in Section 7(a)(2)(B) of the Securities Act of 1933, as amended (the

“Securities Act”), for complying with new or revised accounting standards.

In other words, an “emerging growth

company” can delay the adoption of certain accounting standards until those standards would otherwise apply to private

However, the Trust is choosing to “opt out” of such extended transition period, and as a result, will comply

with new or revised accounting standards on the relevant dates on which adoption of such standards is required for non-emerging

growth companies.

Section 107 of the JOBS Act provides that the decision to opt out of the extended transition period for complying

with new or revised accounting standards is irrevocable.

Valuation of EUAs

The Trust follows

the provisions of ASC 820, Fair Value Measurements (“ASC 820”).

ASC 820 provides guidance for determining fair value and requires

increased disclosure regarding the inputs to valuation techniques used to measure fair value.

ASC 820 defines fair value as the price

that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement

All EUAs will be

held in the Trust’s account at the European Union Registry (the “Union Registry”).

The cost basis of EUAs received in

connection with a creation order is recorded by the Trust at the fair value of EUAs at 4:00 p.m., New York time, on the creation date

for financial reporting purposes.

The cost basis recorded by the Trust may differ from proceeds collected by the Authorized Participant

from the sale of the corresponding Shares to investors.

The fair value of EUAs is determined using the daily settlement price for the

single day futures contract on EUAs (the “Daily EUA Future”) exclusively traded on the ICE Endex Markets B.V.

ICE Endex is regulated

in the Netherlands by the Dutch Authority for the Financial Markets.

The Daily EUA Future is a deliverable contract that settles each

day at the close of trading.

Each person with a position open at cessation of trading is obliged to make or take physical delivery of

EUAs upon the expiration of the contract at the end of each trading day.

The settlement price is fixed each business day and is published

by the exchange at approximately 12:15 E.T.

ASC 820 establishes

a hierarchy that prioritizes inputs to valuation techniques used to measure fair value.

The Trust follows the provisions of ASC 820, Fair

Value Measurements (“ASC 820”).

ASC 820 provides guidance for determining fair value and requires increased disclosure regarding

the inputs to valuation techniques used to measure fair value.

ASC 820 defines fair value as the price that would be received to sell

an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.

All EUAs will be held in the Trust’s account

at the European Union Registry (the “Union Registry”).

The cost basis of EUAs received in connection with a creation order

is recorded by the Trust at the fair value of EUAs at 4:00 p.m., E.T., on the creation date for financial reporting purposes.

basis recorded by the Trust may differ from proceeds collected by the Authorized Participant from the sale of the corresponding Shares

to investors.

The fair value of EUAs is determined using the daily settlement price for the single day futures contract on EUAs (the “Daily

EUA Future”) exclusively traded on the ICE Endex Markets B.V.

(the “ICE Endex”).

ICE Endex is regulated in the Netherlands by the

Dutch Authority for the Financial Markets.

The Daily EUA Future is a deliverable contract that settles each day at the close of trading.

Each person with a position open at cessation of trading is obliged to make or take physical delivery of EUAs upon the expiration of the

contract at the end of each trading day.

The settlement price is fixed each business day and is published by the exchange at approximately

ASC 820 establishes a hierarchy that prioritizes

inputs to valuation techniques used to measure fair value.

The three levels of inputs are as follows:

1 unchanged sentence

Observable inputs other than quoted prices included in level 1 that are observable for the asset or liability either directly or indirectly.

These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments and similar

Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Trust’s

own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based

on the best information available.

The Sponsor had

determined the Trust’s investment in EUAs are Level 2 assets within the ASC 820 hierarchy.

The following table summarizes the Trust’s

investments at fair value:

(Amounts in 000’s of US$)

August 31, 2025

These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments and similar data.

Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Trust’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.

The Sponsor had determined the Trust’s investment

in EUAs are Level 2 assets within the ASC 820 hierarchy.

The following table summarizes the Trust’s investments at fair

February 28, 2026

Short-Term Investments

There were no transfers between

Level 1 and other Levels for the period ended August 31, 2025.

Calculation of Net Asset Value

On each business

day, as soon as practicable after 4:00 p.m.

(Eastern Time), the net asset value of the Trust is obtained by subtracting all accrued fees,

expenses and other liabilities of the Trust from the fair value of the EUAs and other assets held by the Trust.

The Trustee computes the

net asset value per Share by dividing the net asset value of the Trust by the number of Shares outstanding on the date the computation

Notes to the Financial Statements

(continued) (unaudited)

The Trust’s only ordinary recurring

fee is the fee paid to the Sponsor, which is equal to 0.79 % per annum of the daily net asset value of the Trust, paid monthly in arrears.

Creations and Redemptions of

The Trust issues

and redeems in one or more blocks of 50,000 Shares (a block of 50,000 Shares is called a “Basket”) only to Authorized Participants.

The creation and redemption of Baskets will only be made in exchange for the delivery to the Trust or the distribution by the Trust of

the amount of cash or EUAs represented by the Baskets being created or redeemed, the amount of which will be based on the amounts of cash

and EUAs represented by the number of Shares included in the Baskets being created or redeemed determined on the day the order to create

or redeem Baskets is properly received.

Orders to create

and redeem Baskets may be placed only by Authorized Participants.

Notes to the Financial Statements (unaudited)

There were no transfers between Level 1 and other Levels

for the period ended February 28, 2026.

November 30, 2025

Short-Term Investments

There were no transfers between Level 1 and other

Levels for the period ended November 30, 2025.

Calculation of Net Asset Value ("NAV")

On each business day, as soon as practicable after

(Eastern Time), the net asset value of the Trust is obtained by subtracting all accrued fees, expenses and other liabilities

of the Trust from the fair value of the EUAs and other assets held by the Trust.

The Administrator computes the net asset value per Share

by dividing the net asset value of the Trust by the number of Shares outstanding on the date the computation is made.

The Trust’s only ordinary recurring fee

is the fee paid to the Sponsor, which is equal to 0.79 % per annum of the daily net asset value of the Trust, paid monthly in arrears.

Creations and Redemptions of Shares

The Trust issues and redeems in one or more blocks

of 50,000 Shares (a block of 50,000 Shares is called a “Basket”) only to Authorized Participants.

The creation and redemption

of Baskets will only be made in exchange for the delivery to the Trust or the distribution by the Trust of the amount of cash or EUAs

represented by the Baskets being created or redeemed, the amount of which will be based on the amounts of cash and EUAs represented by

the number of Shares included in the Baskets being created or redeemed determined on the day the order to create or redeem Baskets is

properly received.

Orders to create and redeem Baskets may be placed

only by Authorized Participants.

An Authorized Participant must:

(1) be a registered broker-dealer and

a member in good standing with the Financial Industry Regulatory Authority (“FINRA”);

(1) be a registered broker-dealer and a member in good standing with

the Financial Industry Regulatory Authority (“FINRA”);

(2) be a participant in DTC;

have entered into an Authorized Participant Agreement with the Sponsor.

The Authorized Participant Agreement provides the procedures for

the creation and redemption of Baskets and for the delivery of the cash or EUAs required for such creations and redemptions.

A transaction

fee of $ 100 will be assessed on all creation and redemption orders.

and (3) have entered into an Authorized

Participant Agreement with the Sponsor.

The Authorized Participant Agreement provides the procedures for the creation and redemption of

Baskets and for the delivery of the cash or EUAs required for such creations and redemptions.

A transaction fee of $ 100 will be assessed

on all creation and redemption orders.

Multiple Baskets may be created on the same day.

Authorized Participants

who make deposits with the Trust in exchange for Baskets will receive no fees, commissions or other form of compensation or inducement

of any kind from either the Sponsor or the Trust, and no such person has any obligation or responsibility to the Sponsor or the Trust

to affect any sale or resale of Shares.

Three Months Ended

(Amounts are in 000’s)

Authorized Participants who make deposits with

the Trust in exchange for Baskets will receive no fees, commissions or other form of compensation or inducement of any kind from either

the Sponsor or the Trust, and no such person has any obligation or responsibility to the Sponsor or the Trust to affect any sale or resale

Activity in Number of Shares Created and Redeemed:

Net Change in Number of Shares Created and Redeemed

Notes to the Financial Statements (unaudited)

Three Months Ended

(Amounts in 000’s of US$)

Activity in Value of Shares Created and Redeemed:

Net change in Value of Shares Created and Redeemed

Notes to the Financial Statements

(continued) (unaudited)

Organization Costs

The costs of the Trust’s organization

and the initial offering of the Shares were borne directly by the Sponsor.

The costs of the Trust’s organization and

the initial offering of the Shares were borne directly by the Sponsor.

The Trust is not obligated to reimburse the Sponsor .

The Trust is classified

as a “grantor trust” for United States federal income tax purposes.

As a result, the Trust itself is not subject to United

States federal income tax.

Instead, the Trust’s income and expenses “flow through” to the shareholders, and the Administrator

reports the Trust’s income, gains, losses, and deductions to the Internal Revenue Service on that basis.

The Sponsor has analysed

applicable tax laws and regulations and their application to the Trust, and does not believe that there are any uncertain tax positions

that require recognition of a tax liability as of August 31, 2025.

The Trust is required

to determine whether its tax positions are more likely than not to be sustained on examination by the applicable taxing authority, based

on the technical merits of the position.

Tax positions not deemed to meet a more likely than not threshold would be recorded as a tax

expense in the current year.

As of August 31, 2025 the Trust has determined that no provision for income taxes is required and no liability

for unrecognized tax benefits has been recorded.

The Trust does not expect that its assessment related to unrecognized tax benefits will

materially change over the next 12 months.

However, the Trust’s conclusions may be subject to review and adjustment at a later date

based on factors including, but not limited to, the nexus of income among various tax jurisdictions;

The Trust is classified as a “grantor trust”

for United States federal income tax purposes.

As a result, the Trust itself is not subject to United States federal income tax.

the Trust’s income and expenses “flow through” to the shareholders, and the Administrator reports the Trust’s

income, gains, losses, and deductions to the Internal Revenue Service on that basis.

The Sponsor has analysed applicable tax laws and

regulations and their application to the Trust, and does not believe that there are any uncertain tax positions that require recognition

of a tax liability as of February 28, 2026.

The Trust is required to determine whether its

tax positions are more likely than not to be sustained on examination by the applicable taxing authority, based on the technical merits

of the position.

Tax positions not deemed to meet a more likely than not threshold would be recorded as a tax expense in the current year.

As of February 28, 2026 the Trust has determined that no provision for income taxes is required and no liability for unrecognized tax

benefits has been recorded.

The Trust does not expect that its assessment related to unrecognized tax benefits will materially change

over the next 12 months.

However, the Trust’s conclusions may be subject to review and adjustment at a later date based on factors

including, but not limited to, the nexus of income among various tax jurisdictions;

compliance with U.S.

federal, U.S.

state, and tax laws of jurisdictions in which the Trust operates in;

and changes in the administrative practices and precedents of the

relevant authorities.

state, and tax

laws of jurisdictions in which the Trust operates in;

and changes in the administrative practices and precedents of the relevant authorities.

The Trust is required to analyze all open tax years.

Open tax years are those years that are open for examination

by the relevant income taxing authority.

As of August 31, 2025, all tax years since inception remain open for examination.

no examinations in progress at period end.

Transactions and Revenue Recognition

The Trust records

its investment transactions on a trade date basis and changes in fair value are reflected as net change in unrealized appreciation or

depreciation on investment in EUAs.

Open tax years are those years that are open for examination by the relevant income

taxing authority.

As of February 28, 2026, all tax years since inception remain open for examination.

There were no examinations in progress

at period end.

Investment Transactions and Revenue Recognition

The Trust records its investment transactions

on a trade date basis and changes in fair value are reflected as net change in unrealized appreciation or depreciation on investment in

Realized gains and losses are calculated using the specific identification method.

Realized gains

and losses are recognized in connection with transactions including settling obligations for the Sponsor's Fee in EUAs.

Interest income

is recognized on an accrual basis and includes, where applicable, the amortization of premium or discount, and is reflected as Interest

Income in the Statements of Operations.

The Trust expects

to periodically sell EUAs to maintain approximately 1 % of its assets in cash for use in connection with creation transactions or to pay

Realized gains and losses are recognized in connection

with transactions including settling obligations for the Sponsor's Fee in EUAs.

Interest income is recognized on an accrual basis and

includes, where applicable, the amortization of premium or discount, and is reflected as Interest Income in the Statement of Operations.

The Trust expects to periodically sell EUAs to

maintain approximately 1 % of its assets in cash or cash equivalents for use in connection with creation transactions or to pay expenses.

Foreign Currency Translations

Investments and

other assets and liabilities denominated in foreign currencies are translated into U.S.

dollars at the exchange rates prevailing at the

close of business on the valuation date.

Purchases and sales of investments, and income and expenses, are translated at the rates of exchange

prevailing on the respective dates of such transactions.

Realized gains or losses on foreign currency transactions can represent gains

or losses between trade and settlement dates on securities transactions, gains or losses arising from the disposition of foreign currency,

and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the

dollar equivalent of the amounts actually received or paid.

Unrealized gains and losses on foreign currency translations arise from

changes in the value of assets and liabilities, other than investments in securities, resulting from changes in exchange rates.

amounts are summarized and disclosed in the unaudited Statement of Operations.

Notes to the Financial Statements (continued) (unaudited)

Investments and other assets and liabilities denominated

in foreign currencies are translated into U.S.

dollars at the exchange rates prevailing at the close of business on the valuation date.

Purchases and sales of investments, and income and expenses, are translated at the rates of exchange prevailing on the respective dates

of such transactions.

Realized gains or losses on foreign currency transactions can represent gains or losses between trade and settlement

dates on securities transactions or gains or losses arising from the disposition of foreign currency.

Unrealized gains and losses on foreign

currency translations arise from changes in the value of assets and liabilities, other than investments in securities, resulting from

changes in exchange rates.

These amounts are summarized and disclosed in the unaudited Statement of Operations.

Notes to the Financial Statements (unaudited)

Segment Reporting

Ronald Gutstein acts as the Trust’s Chief

Operating Decision Maker (“CODM”) and is responsible for assessing performance and allocating resources with respect to the

The CODM has concluded that the Trust operates as a single operating segment since the Trust has a single investment strategy as

disclosed in its prospectus, against which the CODM assesses performance.

The financial information provided to and reviewed by the CODM

is presented within the Trust’s financial statements.

Investment in EUAs

Changes in EUAs

held and their respective values for the periods June 17, 2025 to August 31, 2025 and April 29, 2025 to August 31, 2025:

Opening Balance, June 17, 2025

EUAs Purchased

Realized Gain/(Loss) from EUAs sold to pay expenses

Change in Unrealized Appreciation/(Depreciation)

Ending Balance, August 31, 2025

Opening Balance, April 29, 2025

Changes in EUAs held and their respective values

for the period December 1, 2025 to February 28, 2026:

Opening Balance, December 1, 2025

EUAs Purchased

Realized Gain/(Loss) from EUAs sold to pay expenses

Change in Unrealized Appreciation/(Depreciation)

Ending Balance, August 31, 2025

RELATED PARTIES — SPONSOR, TRUSTEE, CUSTODIAN AND MARKETING

Net change in Unrealized Appreciation/(Depreciation)

Ending Balance, February 28, 2026

RELATED PARTIES — SPONSOR, TRUSTEE, CUSTODIAN AND MARKETING FEES

A fee is paid to the Sponsor as compensation for

12 unchanged sentences

Sponsor’s fee, paid monthly in arrears, is equal to 0.79 % per annum of the daily net asset value of the Trust.

As of August 31, 2025, there was $ 1,666 payable

As of February 28, 2026, there was $ 1,053 payable

to the Sponsor.

Notes to the Financial Statements

(continued) (unaudited)

In accordance with Statement of Position No.

35 unchanged sentences

and familiarize themselves with the risks associated with an investment in the Trust.

Notes to the Financial Statements (unaudited)

INDEMNIFICATION FOOTNOTE

The Trust’s members, managers, directors,

officers, employees, affiliates (as such term is defined under the Securities Act) and subsidiaries) (collectively, the “Trust Parties”)

shall be indemnified from the Trust and held harmless against any loss, liability or expense incurred without (1) gross negligence, bad

faith or willful misconduct on the part of such indemnified party arising out of or in connection with the performance of its obligations

under the Trust Agreement and under each other agreement entered into by the Trust Parties in furtherance of the administration of the

Trust (including, without limiting the scope of the foregoing, the administration agreement, the transfer agency agreement, the cash custody

agreement, the marketing agent agreement and any Authorized Participant Agreement) or any actions taken in accordance with the provisions

of the Trust Agreement or such other agreement or (2) reckless disregard on the part of such indemnified party of its obligations and

duties under the Trust Agreement or such other agreement.

Such indemnity shall include payment from the Trust of the reasonable costs

and expenses incurred by such indemnified party in investigating or defending itself against any claim or liability in their capacity

as Trust Parties.

Any amounts payable to an indemnified party may be payable in advance or shall be secured by a lien on the Trust’s

The Trust Parties may, in their discretion, undertake any action which it may deem necessary or desirable in respect of the Trust

Agreement and the interests of the shareholders and, in such event, the reasonable legal expenses and costs of any such actions shall

be expenses and costs of the Trust and the Trust Parties shall be entitled to be reimbursed therefor by the Trust.

Notes to the Financial Statements

(continued) (unaudited)

SEGMENT REPORTING

The Sponsor acts as the Trust’s Chief Operating

Decision Maker (“CODM’) and is responsible for assessing performance and allocating resources with respect to the Trust.

CODM has concluded that the Trust operates as a single operating segment since the Trust has a single investment strategy as disclosed

in its prospectus, against which the CODM assesses performance.

The financial information provided to and reviewed by the CODM is presented

within the Trust’s financial statements.

officers, employees, affiliates (as such term is defined under the Securities Act) and subsidiaries) (collectively, the “Trust

Parties”) shall be indemnified from the Trust and held harmless against any loss, liability or expense incurred without (1) gross

negligence, bad faith or willful misconduct on the part of such indemnified party arising out of or in connection with the performance

of its obligations under the Trust Agreement and under each other agreement entered into by the Trust Parties in furtherance of the administration

of the Trust (including, without limiting the scope of the foregoing, the administration agreement, the transfer agency agreement, the

cash custody agreement, the marketing agent agreement and any Authorized Participant Agreement) or any actions taken in accordance with

the provisions of the Trust Agreement or such other agreement or (2) reckless disregard on the part of such indemnified party of its

obligations and duties under the Trust Agreement or such other agreement.

Such indemnity shall include payment from the Trust of the

reasonable costs and expenses incurred by such indemnified party in investigating or defending itself against any claim or liability

in their capacity as Trust Parties.

Any amounts payable to an indemnified party may be payable in advance or shall be secured by a lien

on the Trust’s assets.

The Trust Parties may, in their discretion, undertake any action which it may deem necessary or desirable

in respect of the Trust Agreement and the interests of the shareholders and, in such event, the reasonable legal expenses and costs of

any such actions shall be expenses and costs of the Trust and the Trust Parties shall be entitled to be reimbursed therefor by the Trust.

FINANCIAL HIGHLIGHTS

For the three months ended August 31, 2025*

Per Share Performance (for a Share Outstanding Throughout the Period)

Net Asset Value per Share, beginning of period

Net investment loss (1)

Net realized and unrealized gain/(loss) from investment in EUAs (4)

Net change in net assets resulting from operations

Net Asset Value per Share, end of period

Market Value per Share, beginning of period

Market Value per Share, end of period

Total Return, at Net Asset Value (2)

Total Return, at Market Value

Average Net Assets

$ 2,391,188 (a)

Ratio to average net assets

Net investment loss (3)

* The Fund commenced operations on June 17, 2025

(1) Calculated using the average shares outstanding method.

(2) Percentage not annualized.

(3) Percentage annualized.

(4) Due to the timing of shareholder transactions the per unit

amounts presented may not coincide with the aggregate presentation on the Statement of Operations.

(a) Average Net Assets for the period June 17, 2025 (first day

of trading) to August 31, 2025

Notes to the Financial Statements

(continued) (unaudited)

For the period from April 29, 2025 to August 31, 2025 *

For the three months ended February 28, 2026 (a)

Per Share Performance (for a Share Outstanding Throughout the Period)

8 unchanged sentences

Total Return, at Market Value (2)

Average Net Assets

$ 2,391,188 (a)

Average Net Assets (b)

Ratio to average net assets

Net investment loss (3)

* The Fund commenced operations on June 17, 2025

(1) Calculated using the average shares outstanding method.

1 unchanged sentence

(3) Percentage annualized.

(4) Due to the timing of shareholder transactions the per unit

amounts presented may not coincide with the aggregate presentation on the Statement of Operations.

(a) Average Net Assets for the period June 17, 2025 (first day

of trading) to August 31, 2025

(a) No comparative financial statements have been provided as the Trust had not commenced operations as of February 28, 2025.

(b) Average Net Assets for the period December 1, 2025 to February 28, 2026

SUBSEQUENT EVENTS

Management has evaluated the events and transactions

that have occurred through the date the financial statement was issued and noted no items requiring adjustment of the financial statement

or additional disclosures.

Management has evaluated the

events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment

of the financial statements or additional disclosures.

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

What changed 10-Q

Item 1. Financial Statements