Hashdex Commodities Trust 10-Q

Item 1. Financial Statements. Index to Financial Statements Documents Page TIDAL COMMODITIES TRUST I Combined Statements of Assets and Liabilities at March 31, 2024 (Unaudited) and December 31, 2023 F-1 Combined Schedule of Investments at March 31, 2024 (Unaudited) and December 31, 2023 F-2 Combined Statements of Operations (Unaudited) for the three months ended March 31, 2024 and 2023 F-4 Combined Statements of Changes in Net Assets (Unaudited) for the three months ended March 31, 2024 and 2023 F-5 Combined Statements of Cash Flows (Unaudited) for the three months ended March 31, 2024 and 2023 F-6 Notes to Combined Financial Statements F-8 HASHDEX BITCOIN ETF Statements of Assets and Liabilities at March 31, 2024 (Unaudited) and December 31, 2023 F-20 Schedule of Investments at March 31, 2024 (Unaudited) and December 31, 2023 F-21 Statements of Operations (Unaudited) for the three months ended March 31, 2024 and 2023 F-23 Statements of Changes in Net Assets (Unaudited) for the three months ended March 31, 2024 and 2023 F-24 Statements of Cash Flows (Unaudited) for the three months ended March 31, 2024 and 2023 F-25 Notes to Financial Statements 3 TIDAL COMMODITIES TRUST I COMBINED STATEMENTS OF ASSETS AND LIABILITIES March 31, 2024 (Unaudited) December 31, 2023 Assets Investments (Cost $ 10,578,023 ) $ 10,837,413 $ — Cash and cash equivalents 237,786 1,867,663 Interest receivable 59,811 10,297 Equity in trading accounts: Cryptocurrency futures contracts 14,259 129,519 Due from broker 233,247 582,908 Total equity in trading accounts 247,506 712,427 Total assets $ 11,382,516 $ 2,590,387 Liabilities Management fee payable to Sponsor 19,207 2,053 Equity in trading accounts: Cryptocurrency futures contracts 13,475 51,376 Total liabilities $ 32,682 $ 53,429 Net assets $ 11,349,834 $ 2,536,958 Shares authorized 140,000 50,000 Net asset value per share $ 81.07 $ 50.74 Market value per share $ 81.50 $ 50.73 The accompanying notes are an integral part of these financial statements. F- 1 TIDAL COMMODITIES TRUST I COMBINED SCHEDULE OF INVESTMENTS March 31, 2024 (Unaudited) Description: Assets Fair Value Percentage of Net Assets Shares Cryptocurrency Bitcoin $ 10,837,413 95.49 % 15,331 Total Cryptocurrency (cost $ 10,578,023 ) $ 10,837,413 95.49 % Cash equivalents Money market funds First American Government Obligations Fund - Class X, 5.29 % $ 237,786 2.10 % 237,786 Total Cash Equivalents (cost $ 237,786 ) $ 237,786 2.10 % Percentage of Notional Amount Description: Assets Fair Value Net Assets (Long Exposure) Cryptocurrency futures contracts United States CME Bitcoin Futures contracts CME Micro Bitcoin Futures April 2024 ( 21 contracts) $ 14,259 ` 0.13 % $ 150,213 Total cryptocurrency futures contracts $ 14,259 0.13 % $ 150,213 Description: Liabilities Cryptocurrency futures contracts United States CME Bitcoin Futures contracts CME Bitcoin Futures April 2024 ( 1 contract) $ 13,475 0.12 % $ 357,650 Total cryptocurrency futures contracts $ 13,475 0.12 % $ 357,650 The accompanying notes are an integral part of these financial statements. F- 2 TIDAL COMMODITIES TRUST I (FORMERLY TEUCRIUM COMMODITIES TRUST) SCHEDULE OF INVESTMENTS December 31, 2023 Description: Assets Yield Fair Value Percentage of Net Assets Shares Cash equivalents Money market funds U.S. Bank Deposit Account (cost $ 1,867,663 ) 5.27 % $ 1,867,663 73.62 % 1,867,663 Total Cash Equivalents (cost $ 1,867,663 ) $ 1,867,663 73.62 % Description: Assets Fair Value Percentage of Net Assets Notional Amount (Long Exposure) Cryptocurrency futures contracts United States CME Bitcoin Futures contracts CME Bitcoin Futures JAN 24 ( 6 contracts) $ 129,519 5.11 % $ 1,274,500 Total cryptocurrency futures contracts $ 129,519 5.11 % $ 1,274,500 Description: Liabilities Cryptocurrency futures contracts United States CME Bitcoin Futures contracts CME Bitcoin Futures FEB 24 ( 6 contracts) 51,376 2.03 % $ 1,288,500 Total cryptocurrency futures contracts $ 51,376 2.03 % $ 1,288,500 The accompanying notes are an integral part of these financial statements. F- 3 TIDAL COMMODITIES TRUST I COMBINED STATEMENTS OF OPERATIONS (Unaudited) Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 Income Realized and unrealized gain (loss) on trading of cryptocurrency futures contracts: Realized gain (loss) on cryptocurrency futures contracts $ 7,635,018 $ 629,551 Net change in unrealized appreciation/depreciation on investments 259,390 — Net change in unrealized appreciation/depreciation on cryptocurrency futures contracts ( 77,359 ) 128,468 Broker interest income 59,803 — Interest income 118,946 13,448 Total income (loss) 7,995,798 771,467 Expenses Management fees 42,381 3,395 Professional fees — 58,820 Distribution and marketing fees — 1,362 Custodian fees and expenses — 259 Business permits and license fees — 10,129 General and administrative expenses — — Broker expenses 16,148 — Total expenses 58,529 73,965 Expenses waived by the Sponsor — ( 70,570 ) Total expenses, net 58,529 3,395 Net income (loss) $ 7,937,269 $ 768,072 The accompanying notes are an integral part of these financial statements. F- 4 TIDAL COMMODITIES TRUST I COMBINED STATEMENTS OF CHANGES IN NET ASSETS (Unaudited) Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 Operations Net income (loss) $ 7,937,269 $ 768,072 Capital transactions Issuance of Shares 17,089,625 367,689 Redemption of Shares ( 16,214,018 ) — Net change in the cost of the Underlying Funds — — Total capital transactions 875,607 367,689 Net change in net assets 8,812,876 1,135,761 Net assets, beginning of period $ 2,536,958 $ 1,070,263 Net assets, end of period $ 11,349,834 $ 2,206,024 The accompanying notes are an integral part of these financial statements. F- 5 TIDAL COMMODITIES TRUST I STATEMENTS OF CASH FLOWS (Unaudited) Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 Cash flows from operating activities Net income (loss) $ 7,937,269 $ 768,072 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Net change in unrealized appreciation (depreciation) on cryptocurrency futures contracts 77,359 ( 128,468 ) Changes in operating assets and liabilities: Investments ( 10,837,413 ) — Due from broker 349,661 ( 109,824 ) Interest receivable ( 49,514 ) ( 2,124 ) Other assets — — Due to broker — — Management fee payable to Sponsor 17,154 408 Other liabilities — — Net cash provided by (used in) operating activities ( 2,505,484 ) 528,064 Cash flows from financing activities: Proceeds from sale of Shares 17,089,625 — Redemption of Shares ( 16,214,018 ) — Net change in cost of the Underlying Funds — — Net cash provided by (used in) financing activities 875,607 — Net change in cash and cash equivalents ( 1,629,877 ) 528,064 Cash and cash equivalents, beginning of period 1,867,663 701,969 Cash and cash equivalents, end of period $ 237,786 $ 1,230,033 The accompanying notes are an integral part of these financial statements. F- 6 TIDAL COMMODITIES TRUST I FINANCIAL HIGHLIGHTS Three Months Ended Three Months Ended March 31, 2024 March 31, 2023 Per Share Operation Performance Net asset value at beginning of period $ 50.74 $ 21.40 Income (loss) from investment operations: Investment income 0.62 0.27 Net realized and unrealized gain (loss) on cryptocurrency futures contracts 29.91 15.16 Total expenses ( 0.20 ) ( 0.07 ) Net increase (decrease) in net asset value 30.33 15.36 Net asset value at end of period $ 81.07 $ 36.76 Total Return 59.78 % 71.79 % Ratios to Average Net Assets (Annualized) Total expenses 1.30 % 20.48 % Total expenses, net 1.30 % 0.94 % Net investment income (loss) 2.67 % 2.78 % The accompanying notes are an integral part of these financial statements. F- 7 NOTES TO FINANCIAL STATEMENTS March 31, 2024 (Unaudited) Note 1 – Organization and Significant Accounting Policies These footnotes represent the footnotes to Hashdex Bitcoin ETF’s Statement of Assets and Liabilities and the Combined Financial Statements of Tidal Commodities Trust I. Hashdex Bitcoin ETF (the “Fund”) is a series of Tidal Commodities Trust I (“Trust”), a Delaware statutory trust organized on February 10, 2023. The Fund operates pursuant to the First Amended and Restated Declaration of Trust and Trust Agreement (“Trust Agreement”), dated March 10, 2023. The Trust is registered with the U.S. Securities and Exchange Commission (“SEC”) under the Securities Act of 1933, as amended (together with the rules and regulations adopted thereunder, as amended, the “1933 Act”), as an exchange-traded fund. The Fund was formed and is managed and controlled by the Sponsor, a limited liability company formed in Delaware on March 14, 2012. The sponsor of the Fund is Tidal Investments LLC (f/k/a Toroso Investments, LLC, the “Sponsor”), The Sponsor is registered as a commodity pool operator (“CPO”) with the Commodity Futures Trading Commission (“CFTC”) and is a member of the National Futures Association (“NFA”). The Fund intends to be treated as a partnership for U.S. federal income tax purposes. On January 2, 2024, the initial Form S-1 for DEFI was declared effective by the U.S. Securities and Exchange Commission (“SEC”). The Fund is the successor and surviving entity from the merger (the “Merger”) of the Hashdex Bitcoin Futures ETF (the “Predecessor Fund”) into the Fund. The Predecessor Fund was a series of the Teucrium Commodity Trust (the “Predecessor Trust”) sponsored by Teucrium Trading, LLC (“Prior Sponsor”). The Merger closed on January 3, 2024. In connection with the Merger, the Predecessor Fund shareholders received one Share for each share of the Predecessor Fund they owned prior to the Merger. The Fund’s investment objective is for changes in the Shares’ net asset value (“NAV”) to reflect the daily changes of the price of the Nasdaq Bitcoin Reference Price - Settlement (NQBTCS) (the “Benchmark”), less expenses from the Fund’s operations. The Benchmark is designed to track the price performance of bitcoin. The Fund invests in bitcoin, bitcoin futures contracts (“Bitcoin Futures Contracts”) listed on the Chicago Mercantile Exchange Inc. (“CME”), and cash and cash equivalents. Because the Fund’s investment objective is to track the price of the Benchmark, changes in the price of the Shares may vary from changes in the spot price of bitcoin. The accompanying unaudited financial statements have been prepared in accordance with Rule 10-01 of Regulation S-X promulgated by the SEC and, therefore, do not include all information and footnote disclosures required under accounting principles generally accepted in the United States of America (“GAAP”). The financial information included herein is unaudited; however, such financial information reflects all adjustments which are, in the opinion of management, necessary for the fair presentation of the Fund’s financial statements for the interim period. It is suggested that these interim financial statements be read in conjunction with the financial statements and related notes included in the Trust’s Annual Report on Form 10-K, as well as the most recent Form S-1 filing, as applicable. The operating results through March 31, 2023 are not necessarily indicative of the results to be expected from the full year ended December 31, 2024. The Fund continuously offers and redeems shares (“Shares”) in blocks of at least 10,000 Shares (each such block, a “Creation Unit”) at an initial price per Share of $ 25 . Only Authorized Participants may purchase and redeem Shares from the Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with the Trust and the Sponsor. Shares are offered on a continuous basis to Authorized Participants in Creation Units at NAV. Authorized Participants may then offer to the public, from time to time, shares from any Creation Unit they create at a per-share market price. The form of Authorized Participant Agreement sets forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants will not receive from the Fund, the Sponsor, or any of their affiliates, any fee or other compensation in connection with their sale of Shares to the public. An Authorized Participant may receive commissions or fees from investors who purchase Shares through their commission or fee-based brokerage accounts. F- 8 Significant accounting policies of the Fund are as follows: Use of Estimates The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of the revenue and expenses during the reporting period. Actual results could differ from those estimates. Indemnifications In the normal course of business, the Fund enters into contracts that contain a variety of representations which provide general indemnifications. The Fund’s maximum exposure under these arrangements cannot be known; however, the Fund expects any risk of loss to be remote. Cash Cash includes money market funds held. Income Taxes For U.S. federal income tax purposes, the Fund will be classified as a publicly traded partnership. A publicly traded partnership is generally taxable as a corporation for U.S. federal income tax purposes unless 90% or more of the publicly traded partnership’s gross income for each taxable year of its existence consists of qualifying income as defined in section 7704(d) of the Internal Revenue Code of 1986, as amended (the “Code”). Qualifying income is defined as generally including, in pertinent part, interest (other than from a financial business), dividends, and gains from the sale or disposition of capital assets held for the production of interest or dividends. In the case of a partnership of which a principal activity is the buying and selling of commodities, other than as inventory, or of futures, forwards, and options with respect to commodities, qualifying income also includes income and gains from commodities and from futures, forwards, options with respect to commodities and, provided the partnership is a trader or investor with respect to such assets, swaps and other notional principal contracts with respect to commodities. There is very limited authority on the U.S. federal income tax treatment of bitcoin and no direct authority on bitcoin derivatives, such as Bitcoin Futures Contracts. Based on an opinion received by Tidal from their independent legal counsel and a Commodity Futures Trading Commission determination that treats bitcoin as a commodity under the Commodity Exchange Act, the Fund intends to take the position that bitcoin and Bitcoin Futures Contracts consist of futures on commodities for purposes of the qualifying income exception under section 7704 of the Code. Accordingly, the Fund expects that at least 90% of the Fund’s gross income for each taxable year will consist of qualifying income and that the Fund will be taxed as a partnership for U.S. federal income tax purposes. Therefore, the Fund does not record a provision for income taxes because the shareholders report their share of the Fund’s income or loss on their income tax returns. The Fund is required to determine whether a tax position is more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund will file income tax returns in the U.S. federal jurisdiction and may file income tax returns in various U.S. states and foreign jurisdictions. The Fund may be subject to potential examination by U.S. federal, U.S. state, or foreign jurisdictional authorities in the area of income taxes. These potential examinations may include among other things questioning the tax classification of the Fund, the timing and amount of deductions, the nexus of income among various tax jurisdictions, and compliance with U.S. federal, U.S. state and foreign tax laws. Creation and Redemptions Authorized Purchasers may purchase Creation Baskets consisting of 10,000 Shares from the Fund. The amount of the proceeds required to purchase a Creation Basket will be equal to the NAV of the Shares in the Creation Basket determined as of 4:00 p.m. (ET) on the day the order to create the basket is received in good order. Authorized Purchasers may redeem Shares from the Fund only in blocks of 10,000 Shares called “Redemption Baskets.” The amount of the redemption proceeds for a Redemption Basket will be equal to the NAV of the Shares in the Redemption Basket determined as of 4:00 p.m. (ET) on the day the order to redeem the basket is received in good order. The Fund will receive the proceeds from Shares sold or will pay for redeemed Shares within three business days after the trade date of the purchase or redemption, respectively. The amounts due from Authorized Purchasers will be F- 9 reflected in the Fund’s statements of assets and liabilities as capital shares receivable. Amounts payable to Authorized Purchasers upon redemption will be reflected in the Fund’s statements of assets and liabilities as payable for Shares redeemed. As outlined in the Trust's Registration Statement on Form S-1, filed with the SEC on March 18, 2024, 10,000 Shares represent five Redemption Baskets for the Fund and a minimum level of Shares. If the Fund experienced redemptions that caused the number of Shares outstanding to decrease to the minimum level of Shares required to be outstanding, until the minimum number of Shares is again exceeded through the purchase of a new Creation Basket, there can be no more redemptions by an Authorized Purchaser. Calculation of Net Asset Value The Fund’s NAV is calculated by: ● Taking the current market value of its total assets; ● Subtracting any liabilities; and ● Dividing the above total by the number of Shares outstanding. U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Global Fund Services”), the Fund's sub-administrator, will calculate the NAV of the Fund once each trading day. It will calculate the NAV as of the earlier of the close of the New York Stock Exchange or 4:00 p.m. (ET). The NAV for a particular trading day will be released after 4:15 p.m. (ET). To determine the value of Bitcoin Futures Contracts, Global Fund Services uses the settlement price for the Benchmark Component Futures Contracts, as reported on the CME. CME Group staff determines the daily settlements for the Benchmark Component Futures Contracts based on trading activity on CME Globex exchange between 14:59:00 and 15:00:00 Central Time (CT), the settlement period. When a Bitcoin Futures Contract has closed at its daily price fluctuation limit, that limit price will be the daily settlement price that the CME publishes. The Fund will use the published settlement price to price its Shares on that day. If the CME halted trading in Bitcoin Futures Contracts for other reasons, including if trading were halted for an entire trading day or several trading days, the Fund would value its Bitcoin Futures Contracts by using the settlement price that the CME publishes. Such valuation is generally deemed a Level 1 valuation. The value of the Bitcoin held by the Fund will be determined using a “Futures-Based Spot Price” (or “FBSP”) methodology. This methodology has been chosen by the Sponsor specifically to calculate the Fund's NAV, isolating it from data from unregulated bitcoin exchanges. The methodology to derive the settlement prices of Bitcoin Futures Contracts on the CME involves a calculation that is a function of both the length of time (the tenor) until each Bitcoin Futures Contract is due for settlement, and the final settlement price for each contract on that day. The calculation is based on estimating a simple quadratic function to fit the prices across the different tenors and extrapolate this curve to zero days tenor. This approach is designed to give more importance to contracts that are due for settlement in the near term, considering that the prices of these near-term contracts are more reliable indicators of the current spot price of bitcoin and are also more heavily traded. Such Valuation is generally deemed a Level 2 valuation. Fair Value - Definition and Hierarchy In accordance with GAAP, fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e., the “exit price”) in an orderly transaction between market participants at the measurement date. In determining fair value, the Fund uses various valuation approaches. In accordance with GAAP, a fair value hierarchy for inputs is used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s assumptions about the inputs market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The fair value hierarchy is categorized into three levels based on the inputs as follows: F- 10 Level 1 - Valuations based on unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access. Valuation adjustments and block discounts are not applied to Level 1 financial instruments. Since valuations are based on quoted prices that are readily and regularly available in an active market, valuation of these financial instruments does not entail a significant degree of judgment. Level 2 - Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. Level 3 - Valuations based on inputs that are unobservable and significant to the overall fair value measurement. The availability of valuation techniques and observable inputs can vary from financial instrument to financial instrument and is affected by a wide variety of factors including, the type of financial instrument, whether the financial instrument is new and not yet established in the marketplace, and other characteristics particular to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Those estimated values do not necessarily represent the amounts that may be ultimately realized due to the occurrence of future circumstances that cannot be reasonably determined. Because of the inherent uncertainty of valuation, those estimated values may be materially higher or lower than the values that would have been used had a ready market for the financial instruments existed. Accordingly, the degree of judgment exercised by the Fund in determining fair value is greatest for financial instruments categorized in Level 3. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy, within which the fair value measurement in its entirety falls, is determined based on the lowest level input that is significant to the fair value measurement. Schedule of fair values of investments disaggregated into three levels of fair value hierarchy March 31, 2024 Level 1 Level 2 Level 3 Balance as of March 31, 2024 Assets: Cryptocurrency $ — $ 10,837,413 $ — $ 10,837,413 Money market funds 237,786 — — 237,786 Bitcoin futures contracts 14,259 — — 14,259 Total $ 252,045 $ 10,837,413 $ — $ 11,089,458 Liabilities: Bitcoin futures contracts $ 13,475 $ — $ — $ 13,475 December 31, 2023 Level 1 Level 2 Level 3 Balance as of December 31, 2023 Assets: Cash Equivalents $ 1,867,663 $ — $ — $ 1,867,663 Bitcoin futures contracts 129,519 — — 129,519 Total $ 1,997,182 $ — $ — $ 1,997,182 Liabilities: Bitcoin futures contracts $ 51,376 $ — $ — $ 51,376 For the three months ended March 31, 2024 and year ended December 31, 2023, the Fund did not have any significant transfers between any of the levels of the fair value hierarchy. F- 11 Derivative Investments In the normal course of business, the Fund utilizes derivative contracts in connection with its proprietary trading activities. Investments in derivative contracts are subject to additional risks that can result in a loss of all or part of an investment. The Fund’s derivative activities and exposure to derivative contracts are classified by the following primary underlying risks: interest rate, credit, commodity price, and equity price risks. In addition to its primary underlying risks, the Fund is also subject to additional counterparty risk due to inability of its counterparties to meet the terms of their contracts. Futures Contracts The Fund is subject to cryptocurrency price risk in the normal course of pursuing its investment objectives. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date. The purchase and sale of futures contracts requires margin deposits with a Futures Commission Merchant (“FCM”). Subsequent payments (variation margin) are made or received by the Fund each day, depending on the daily fluctuations in the value of the contract, and are recorded as unrealized gains or losses by the Fund. Futures contracts may reduce the Fund’s exposure to counterparty risk since futures contracts are exchange-traded; and the exchange’s clearinghouse, as the counterparty to all exchange-traded futures, guarantees the futures against default. The Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM’s proprietary activities. A customer’s cash and other equity deposited with an FCM are considered commingled with all other customer funds subject to the FCM’s segregation requirements. In the event of an FCM’s insolvency, recovery may be limited to the Fund’s pro rata share of segregated customer funds available. It is possible that the recovery amount could be less than the total of cash and other equity deposited. The following table discloses information about offsetting assets and liabilities presented in the statements of assets and liabilities to enable users of these financial statements to evaluate the effect or potential effect of netting arrangements for recognized assets and liabilities. These recognized assets and liabilities are presented as defined in the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Update (“ASU”) No. 2011-11 “Balance Sheet (Topic 210): Disclosures about Offsetting Assets and Liabilities” and subsequently clarified in FASB ASU 2013-01 “Balance Sheet (Topic 210): Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities.” F- 12 The following table also identifies the fair value amounts of derivative instruments included in the statements of assets and liabilities as derivative contracts, categorized by primary underlying risk, and held by StoneX as of March 31, 2024. Offsetting of Financial Assets and Derivative Assets as of March 31, 2024 (iv) Gross Amount Not Offset In the Statement of Asset and Liabilities Description (i) Gross Amount of Recognized Assets (ii) Gross Amount Offset in the Statement of Assets and (iii) = (i-ii) Net Amount Presented in the Statement of Assets and Liabilities Futures Contracts Available for Offset Collateral, Due to Broker (v) = (iii)-(iv) Net Amount Cryptocurrency Price Bitcoin futures contracts $ 14,259 $ — $ 14,259 $ 13,475 $ — $ 784 Offsetting of Financial Liabilities and Derivative Assets as of March 31, 2024 (iv) Gross Amount Not Offset in the Statement of Assets and Liabilities Description (i) Gross Amount of Recognized Assets (ii) Gross Amount Offset in the Statement of Assets and Liabilities (iii) = (i-ii) Net Amount Presented in the Statement of Assets and Liabilities Futures Contracts Available for Offset Collateral, Due to Broker (v) = (iii)-(iv) Net Amount Cryptocurrency Price Bitcoin futures contracts $ 13,475 $ — $ 13,475 $ 13,475 $ — — Offsetting of Financial Assets and Derivative Assets as of December 31, 2023 (iv) Gross Amount Not Offset in the Statement of Assets and Liabilities Description (i) Gross Amount of Recognized Assets (ii) Gross Amount Offset in the Statement of Assets and Liabilities (iii) = (i-ii) Net Amount Presented in the Statement of Assets and Liabilities Futures Contracts Available for Offset Collateral, Due to Broker (v) = (iii)-(iv) Net Amount Cryptocurrency Price Bitcoin futures contracts $ 129,519 $ — 129,519 51,376 $ — 78,143 Offsetting of Financial Liabilities and Derivative Assets as of December 31, 2023 (iv) Gross Amount Not Offset in the Statement of Assets and Liabilities Description (i) Gross Amount of Recognized Assets (ii) Gross Amount Offset in the Statement of Assets and Liabilities (iii) = (i-ii) Net Amount Presented in the Statement of Assets and Liabilities Futures Contracts Available for Offset Collateral, Due to Broker (v) = (iii)-(iv) Net Amount Cryptocurrency Price Bitcoin futures contracts $ 51,376 $ — 51,376 51,376 $ — $ — F- 13 The following tables identify the net gain and loss amounts included in the statements of operations as realized and unrealized gains and losses on trading of cryptocurrency futures contracts categorized by primary underlying risk: Three months ended March 31, 2024. Realized Gain (Loss) on Commodity Futures Contracts Net Change in Unrealized Appreciation/ Depreciation on Commodity Futures Contracts Cryptocurrency Price Bitcoin futures contracts $ 7,635,018 ( 77,359 ) Three months ended March 31, 2023. Realized Gain (Loss) on Commodity Futures Contracts Net Change in Unrealized Appreciation/ Depreciation on Commodity Futures Contracts Cryptocurrency Price Bitcoin futures contracts $ 629,551 $ 128,468 Volume of Derivative Activities The average notional market value categorized by primary underlying risk for all futures contracts held was $ 9.4 million and $ 1.7 million respectively for the three months ended March 31, 2024, and for the three months ended March 31, 2023. Basis of Presentation The preparation of these financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amount of net assets and liabilities and disclosure of contingent assets and liabilities at the balance sheet date. Actual results could differ from those estimates. Organizational and Offering Costs All organizational and initial offering costs for the Trust and the Fund were borne directly by the Sponsor. The Trust and the Fund do not have an obligation to reimburse the Sponsor for organization and offering costs paid on their behalf. F- 14 Revenue Recognition Investment transactions are accounted for on a trade-date basis. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized appreciation or depreciation on investments are reflected in the statements of operations as the difference between the original amount and the fair market value as of the last business day of the year or as of the last date of the financial statements. Changes in the appreciation or depreciation between periods are reflected in the statements of operations. Brokerage Commissions The Sponsor recognizes the expense for brokerage commissions for futures contract trades on a per-trade basis. The below table shows the amounts included on the statements of operations as total brokerage commissions paid inclusive of unrealized loss. Three Months Ended March 31, 2024 $ 5,781 Three Months Ended March 31, 2023 $ 609 Due from/to Broker The amount recorded by the Fund for the amount due from and to the clearing broker includes, but is not limited to, cash held by the broker, amounts payable to the clearing broker related to open transactions, payables for cryptocurrency futures accounts liquidating to an equity balance on the clearing broker’s records and amounts of brokerage commissions paid and recognized as unrealized losses. Margin is the minimum amount of funds that must be deposited by a cryptocurrency interest trader with the trader’s broker to initiate and maintain an open position in futures contracts. A margin deposit acts to assure the trader’s performance of the futures contracts purchased or sold. Futures contracts are customarily bought and sold on initial margin that represents a very small percentage of the aggregate purchase or sales price of the contract. Because of such low margin requirements, price fluctuations occurring in the futures markets may create profits and losses that, in relation to the amount invested, are greater than customary in other forms of investment or speculation. As discussed below, adverse price changes in the futures contract may result in margin requirements that greatly exceed the initial margin. In addition, the amount of margin required in connection with a particular futures contract is set from time to time by the exchange on which the contract is traded and may be modified from time to time by the exchange during the term of the contract. Brokerage firms, such as the Fund’s clearing brokers, carrying accounts for traders in commodity interest contracts generally require higher amounts of margin as a matter of policy to further protect themselves. Over the counter trading generally involves the extension of credit between counterparties, so the counterparties may agree to require the posting of collateral by one or both parties to address credit exposure. When a trader purchases an option, there is no margin requirement; however, the option premium must be paid in full. When a trader sells an option, on the other hand, he or she is required to deposit margin in an amount determined by the margin requirements established for the underlying interest and, in addition, an amount substantially equal to the current premium for the option. The margin requirements imposed on the selling of options, although adjusted to reflect the probability that out-of-the-money options will not be exercised, can in fact be higher than those imposed in dealing in the futures markets directly. Complicated margin requirements apply to spreads and conversions, which are complex trading strategies in which a trader acquires a mixture of options positions and positions in the underlying interest. Ongoing or “maintenance” margin requirements are computed each day by a trader’s clearing broker. When the market value of a particular open futures contract changes to a point where the margin on deposit does not satisfy maintenance margin requirements, a margin call is made by the broker. If the margin call is not met within a reasonable time, the broker may close out the trader’s position. With respect to the Fund’s trading, the Fund (and not its shareholders personally) is subject to margin calls. Finally, many major U.S. exchanges have passed certain cross margining arrangements involving procedures pursuant to which the futures and options positions held in an account would, in the case of some accounts, be aggregated and margin requirements would be assessed on a portfolio basis, measuring the total risk of the combined positions. F- 15 Expenses Expenses are recorded using the accrual method of accounting. Net Income (Loss) per Share Net income (loss) per share is the difference between the NAV per unit at the beginning of each period and at the end of each period. The weighted average number of units outstanding was computed for purposes of disclosing net income (loss) per weighted average unit. The weighted average units are equal to the number of units outstanding at the end of the period, adjusted proportionately for units created or redeemed based on the amount of time the units were outstanding during such period. Note 2 – Sponsor Fee Allocation of Expenses and Related Party Transactions The Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.90% per annum of the daily NAV of the Fund. The Management Fee is paid in consideration of the Sponsor’s services related to the management of the Fund’s business and affairs, including the provision of commodity futures trading advisory services. Purchases of creation units with cash may cause the Fund to incur certain costs including brokerage commissions and redemptions of creation units with cash may result in the recognition of gains or losses that the Fund might not have incurred if it had made redemptions in-kind. The Fund pays all of its respective brokerage commissions, including applicable exchange fees, National Futures Association fees and give-up fees, and other transaction related fees and expenses charged in connection with trading activities for the Fund’s investments in Commodity Futures Trading Commission regulated investments. The Fund bears other transaction costs related to the futures commission merchants capital requirements on a monthly basis. 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, Sub-Administrator, Custodian, Distributor, Transfer Agent, licensors, accounting and audit fees and expenses, tax preparation expenses, legal fees, ongoing SEC registration fees, individual Schedule K-1 preparation and mailing fees, and report preparation and mailing expenses. 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 Fund or waive the management fee. This election is subject to change by the Sponsor, at its discretion. Expenses paid by the Sponsor or the Prior Sponsor are, if applicable, presented as waived expenses in the statements of operations for the Fund: Three Months Ended March 31, 2024 $ — Three Months Ended March 31, 2023 70,570 For the three months ending March 31, 2024, the Sponsor did not waive expenses. For the three months ending March 31, 2023 the Prior Sponsor waived the above expenses. Administrator The Fund employs Tidal ETF Services LLC as the Fund’s administrator (the “Administrator”). In turn, the Administrator has engaged U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Global Fund Services”) to act as sub-administrator. The Administrator is a wholly-owned subsidiary of Sponsor. The Administrator also assists the Fund and the Sponsor with certain functions and duties relating to marketing, which include the following: marketing and sales strategy and marketing related services. F- 16 Cash Custodian, Registrar, Transfer Agent, Fund Sub-Administrator In its capacity as the Fund’s custodian, the Custodian, currently U.S. Bank, N.A., holds the Fund’s securities, cash and/or cash equivalents pursuant to a custodial agreement. Global Fund Services, an entity affiliated with U.S. Bank, N.A., is the registrar and transfer agent for the Fund’s Shares. In addition, Global Fund Services also serves as sub-administrator for the Fund, performing certain sub-administrative, and accounting services, and support in preparing certain SEC and CFTC reports on behalf of the Fund. Bitcoin Custodian Holdings of the Fund also includes bitcoin. Such investments are held by BitGo Trust Company, Inc. (the “Bitcoin Custodian”) on behalf of the Fund. The Bitcoin Custodian will keep custody of all of the Fund’s bitcoin in a multi-layer, multi-party cold storage or similarly secure technology. The Bitcoin Custodian is responsible for safekeeping passwords, keys or phrases that allow transfers of digital assets (“Security Factors”) safe, secure and confidential. 100 % of the private keys will be held in cold storage. The Bitcoin Custodian will establish the Bitcoin Accounts on the Bitcoin Network solely for the Fund. The Bitcoin Custodian will follow valid instructions given by the Sponsor to use the Fund’s Security Factors to effect transfers to and from the Bitcoin Accounts. The Fund’s bitcoin will be held in segregated wallets and will not be commingled with the assets of other customers. The Bitcoin Custodian has an insurance policy that covers, at least partially, risks such as the loss of client assets held in cold storage, including from employee collusion or fraud, physical loss including theft, damage of key material, security breach or hack, and fraudulent transfer. Marketing Agent The Fund employs Foreside Fund Services, LLC, a wholly-owned subsidiary of Foreside Financial Group, LLC (d/b/a ACA Group) as the Marketing Agent for the Fund. The Marketing Agent Agreement among the Marketing Agent and the Trust calls for the Marketing Agent to work with the Custodian in connection with the receipt and processing of orders for Creation Baskets and Redemption Baskets and the review and approval of all Fund sales literature and advertising material. The Marketing Agent’s principal business address is Three Canal Plaza, Suite 100, Portland, Maine 04101. The Marketing Agent is a broker-dealer registered with the SEC and a member of FINRA. Support Agent The Administrator also assists the Fund and the Sponsor with certain functions and duties relating to administration and marketing, which include the following: marketing and sales strategy and marketing related services. Digital Asset Adviser Hashdex Asset Management Ltd. (“Hashdex” or the “Digital Asset Adviser”) is a Cayman Islands investment manager (and an Exempt Reporting Advisor under SEC rules) that specializes in, among other things, the management, research, investment analysis and other investment support services of funds and ETFs with investment strategies involving bitcoin and other crypto assets. As Digital Asset Adviser, Hashdex is responsible for providing the Sponsor and the Administrator with research and analysis regarding bitcoin and bitcoin markets for use in the operation and marketing of the Fund. Hashdex has no role in maintaining, calculating or publishing the Benchmark. Hashdex also has no responsibility for the investment or management of the Fund’s portfolio or for the overall performance or operation of the Fund. F- 17 Note 3 – Transactions with Affiliates The Trust has no directors, officers or employees and is managed by the Sponsor. The Administrator is a wholly-owned subsidiary of the Sponsor. Note 4 – Financial Highlights The following table presents per unit performance data and other supplemental financial data for the three months ended March 31, 2024. This information has been derived from information presented in the financial statements and is presented with total expenses gross of expenses waived by the Sponsor and with total expenses net of expenses waived by the Sponsor, as appropriate. HASHDEX BITCOIN ETF FINANCIAL HIGHLIGHTS Three Months Ended Three Months Ended March 31, 2024 March 31, 2023 Per Share Operation Performance Net asset value at beginning of period $ 50.74 $ 21.40 Income (loss) from investment operations: Investment income 0.62 0.27 Net realized and unrealized gain (loss) on cryptocurrency futures contracts 29.91 15.16 Total expenses ( 0.20 ) ( 0.07 ) Net increase (decrease) in net asset value 30.33 15.36 Net asset value at end of period $ 81.07 $ 36.76 Total Return 59.78 % 71.79 % Ratios to Average Net Assets (Annualized) Total expenses 1.30 % 20.48 % Total expenses, net 1.30 % 0.94 % Net investment income (loss) 2.67 % 2.78 % Note 5 – Merger with Hashdex Bitcoin Futures ETF As reported by the Tidal Commodities Trust I on a Form 8-K filed with the Securities and Exchange Commission on January 3, 2024 (File No. 001-41900), the Fund completed the successful acquisition by merger (the “Merger”) of the Hashdex Bitcoin Futures ETF, a series of the Teucrium Commodity Trust (the “Acquired Fund”). Under the terms of the Merger, each shareholder of the Acquired Fund received one share of the Fund for every one share of the Acquired Fund held on January 3, 2024 based on the net asset value per share of the Fund being equal to the net asset value per share of the Acquired Fund determined immediately prior to the Merger closing. The share price used for the delivery of shares of the Acquired Fund was the net asset value per share of the Acquired Fund determined after the close of business of NYSE Arca on January 2, 2024. Consequently, the Merger resulted in a one-for-one exchange of shares between the Acquired Fund and the Fund. Upon the Merger closing, the Fund acquired all the assets of the Acquired Fund and assumed all the liabilities of the Acquired Fund. Upon the Merger closing, all of the Acquired Fund’s shares were cancelled and the Acquired Fund was liquidated. F- 18 The sponsor of the Acquired Fund, Teucrium Trading, LLC (“Teucrium”), is not receiving any compensation dependent on the consummation of the Merger. Pursuant to a certain Amended and Restated ’33 Act Fund Platform Support Agreement, as amended (the “Support Agreement”) among Tidal, Administrator, Hashdex, and Teucrium, Tidal has agreed to provide Teucrium after the Merger with a monthly amount equal to seven percent ( 7 %) of the Management Fee paid to Tidal from the Fund; provided, however, that such fee will never be less than 0.04 % of monthly average net assets of the Fund (“Teucrium Compensation”). Any payment of the Teucrium Compensation will be made from the resources of Tidal and not from the assets of the Fund. On January 3, 2024, the Fund issued 50,000 shares at net asset value of $ 2,708,819 for 50,000 shares the Acquired Fund, representing $ 2,708,819 of net assets. The combined net assets and shares outstanding of the Fund immediately after the Merger were $ 2,708,819 and 50,000 , respectively, representing a net asset value per share of $ 54.18 . Note 6 – Conversion to Spot Bitcoin ETF On March 26, 2024, the Sponsor announced the renaming of the Fund from the Hashdex Bitcoin Futures ETF to the Hashdex Bitcoin ETF. The renaming of the Fund corresponds to its completion of the conversion of its investment strategy to allow the Fund to provide spot bitcoin holdings and its tracking of a new benchmark index effective March 27, 2024. The Fund’s new benchmark index is the Nasdaq Bitcoin Reference Price - Settlement (NQBTCS), which better reflects the Fund’s new strategy of direct bitcoin investment. Going forward and under normal market conditions, the Fund’s investment policy is to maximize its holdings of physical bitcoin such that it is expected that at least 95 % of the Fund’s assets will be invested in spot bitcoin. Up to 5 % of the Fund’s remaining assets may be invested in CME-traded bitcoin futures contracts and in cash and cash equivalents. Note 7 – Subsequent Events In preparing these financial statements, Management has evaluated the financial statements for the three months ended March 31, 2024 for subsequent events through the date of this filing and noted no material events requiring either recognition through the date of the filing or disclosure herein for the Fund. F- 19 HASHDEX BITCOIN ETF STATEMENTS OF ASSETS AND LIABILITIES March 31, 2024 (Unaudited) December 31, 2023 Assets Investments (Cost $ 10,578,023 ) $ 10,837,413 $ — Cash and cash equivalents 237,786 1,867,663 Interest receivable 59,811 10,297 Equity in trading accounts: Cryptocurrency futures contracts 14,259 129,519 Due from broker 233,247 582,908 Total equity in trading accounts 247,506 712,427 Total assets $ 11,382,516 $ 2,590,387 Liabilities Management fee payable to Sponsor 19,207 2,053 Equity in trading accounts: Cryptocurrency futures contracts 13,475 51,376 Total liabilities $ 32,682 $ 53,429 Net assets $ 11,349,834 $ 2,536,958 Shares authorized 140,000 50,000 Net asset value per share $ 81.07 $ 50.74 Market value per share $ 81.50 $ 50.73 The accompanying notes are an integral part of these financial statements. F- 20 HASHDEX BITCOIN ETF SCHEDULE OF INVESTMENTS March 31, 2024 (Unaudited) Description: Assets Fair Value Percentage of Net Assets Shares Cryptocurrency Bitcoin $ 10,837,413 95.49 % 15,331 Total Cryptocurrency (cost $ 10,578,023 ) $ 10,837,413 95.49 % Cash equivalents Money market funds First American Government Obligations Fund - Class X, 5.29 % $ 237,786 2.10 % 237,786 Total Cash Equivalents (cost $ 237,786 ) $ 237,786 2.10 % Description: Assets Fair Value Percentage of Net Assets Notional Amount (Long Exposure) Cryptocurrency futures contracts United States CME Bitcoin Futures contracts CME Micro Bitcoin Futures April 2024 ( 21 contracts) $ 14,259 0.13 % $ 150,213 Total cryptocurrency futures contracts $ 14,259 0.13 % $ 150,213 Description: Liabilities Cryptocurrency futures contracts United States CME Bitcoin Futures contracts CME Bitcoin Futures April 2024 ( 1 contract) $ 13,475 0.12 % $ 357,650 Total cryptocurrency futures contracts $ 13,475 0.12 % $ 357,650 The accompanying notes are an integral part of these financial statements. F- 21 HASHDEX BITCOIN ETF (FORMERLY HASHDEX BITCOIN FUTURES ETF) SCHEDULE OF INVESTMENTS December 31, 2023 Description: Assets Yield Fair Value Percentage of Net Assets Shares Cash equivalents Money market funds U.S. Bank Deposit Account (cost $ 1,867,663 ) 5.27 % $ 1,867,663 73.62 % 1,867,663 Total Cash Equivalents (cost $ 1,867,663 ) $ 1,867,663 73.62 % Fair Value Percentage of Net Assets Notional Amount (Long Exposure) Description: Assets Cryptocurrency futures contracts United States CME Bitcoin Futures contracts CME Bitcoin Futures JAN 24 ( 6 contracts) $ 129,519 5.11 % $ 1,274,500 Total cryptocurrency futures contracts $ 129,519 5.11 % $ 1,274,500 Description: Liabilities Cryptocurrency futures contracts United States CME Bitcoin Futures contracts CME Bitcoin Futures FEB 24 ( 6 contracts) 51,376 2.03 % $ 1,288,500 Total cryptocurrency futures contracts $ 51,376 2.03 % $ 1,288,500 The accompanying notes are an integral part of these financial statements. F- 22 HASHDEX BITCOIN ETF STATEMENTS OF OPERATIONS (Unaudited) Three Months Ended Three Months Ended March 31, 2024 March 31, 2023 Income Realized and unrealized gain (loss) on trading of cryptocurrency futures contracts: Realized gain (loss) on cryptocurrency futures contracts $ 7,635,018 $ 629,551 Net change in unrealized appreciation/depreciation on investments 259,390 — Net change in unrealized appreciation/depreciation on cryptocurrency futures contracts ( 77,359 ) 128,468 Broker interest income 59,803 — Interest income 118,946 13,448 Total income (loss) 7,995,798 771,467 Expenses Management fees 42,381 3,395 Professional fees — 58,820 Distribution and marketing fees — 1,362 Custodian fees and expenses — 259 Business permits and license fees — 10,129 General and administrative expenses — — Broker expenses 16,148 — Total expenses 58,529 73,965 Expenses waived by the Sponsor — ( 70,570 ) Total expenses, net 58,529 3,395 Net income (loss) $ 7,937,269 $ 768,072 The accompanying notes are an integral part of these financial statements. F- 23 HASHDEX BITCOIN ETF STATEMENTS OF CHANGES IN NET ASSETS (Unaudited) Three Months Ended Three Months Ended March 31, 2024 March 31, 2023 Operations Net income (loss) $ 7,937,269 $ 768,072 Capital transactions Issuance of Shares 17,089,625 367,689 Redemption of Shares ( 16,214,018 ) — Net change in the cost of the Underlying Funds — — Total capital transactions 875,607 367,689 Net change in net assets 8,812,876 1,135,761 Net assets, beginning of period $ 2,536,958 $ 1,070,263 Net assets, end of period $ 11,349,834 $ 2,206,024 The accompanying notes are an integral part of these financial statements. F- 24 HASHDEX BITCOIN ETF STATEMENT OF CASH FLOWS (Unaudited) Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 Cash flows from operating activities Net income (loss) $ 7,937,269 $ 768,072 Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: Net change in unrealized appreciation (depreciation) on cryptocurrency futures contracts 77,359 ( 128,468 ) Changes in operating assets and liabilities: Investments ( 10,837,413 ) — Due from broker 349,661 ( 109,824 ) Interest receivable ( 49,514 ) ( 2,124 ) Other assets — — Due to broker — — Management fee payable to Sponsor 17,154 408 Other liabilities — — Net cash provided by (used in) operating activities ( 2,505,484 ) 528,064 Cash flows from financing activities: Proceeds from sale of Shares 17,089,625 — Redemption of Shares ( 16,214,018 ) — Net change in cost of the Underlying Funds — — Net cash provided by (used in) financing activities 875,607 — Net change in cash and cash equivalents ( 1,629,877 ) 528,064 Cash and cash equivalents, beginning of period 1,867,663 701,969 Cash and cash equivalents, end of period $ 237,786 $ 1,230,033 The accompanying notes are an integral part of these financial statements. F- 25 HASHDEX BITCOIN ETF FINANCIAL HIGHLIGHTS Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 Per Share Operation Performance Net asset value at beginning of period $ 50.74 $ 21.40 Income (loss) from investment operations: Investment income 0.62 0.27 Net realized and unrealized gain (loss) on cryptocurrency futures contracts 29.91 15.16 Total expenses ( 0.20 ) ( 0.07 ) Net increase (decrease) in net asset value 30.33 15.36 Net asset value at end of period $ 81.07 $ 36.76 Total Return 59.78 % 71.79 % Ratios to Average Net Assets (Annualized) Total expenses 1.30 % 20.48 % Total expenses, net 1.30 % 0.94 % Net investment income (loss) 2.67 % 2.78 % The accompanying notes are an integral part of these financial statements. F- 26