Amplify Commodity Trust

Previous wording

The Trust is a Delaware statutory trust formed on July 23, 2014. Prior to February 15,2024, the Trust was named ETF Managers Group Commodity Trust I. The Trust is a series trust formed pursuant to the Delaware Statutory Trust Act and currently includes two separate series: BDRY and BWET. Each Fund is a commodity pool that continuously issues shares of beneficial interest that may be purchased and sold on the NYSE Arca.

Current wording

The Trust is a Delaware statutory trust formed on July 23, 2014. Prior to February 15, 2024, the Trust was named ETF Managers Group Commodity Trust I. The Trust is a series trust formed pursuant to the Delaware Statutory Trust Act and currently includes two separate series: BDRY and BWET. Each Fund is a commodity pool that continuously issues shares of beneficial interest that may be purchased and sold on the NYSE Arca.

Previous wording

Effective after the closing of trading on February 14, 2024, ETF Managers Capital, LLC, the prior sponsor of the Trust, resigned from its position as sponsor of the Trust. Concurrently, Amplify was appointed as successor sponsor to the Trust. Effective February 15,2024, the Funds are managed and controlled by Amplify in its capacity as sponsor for the Trust.

Current wording

Effective after the closing of trading on February 14, 2024, ETF Managers Capital, LLC, the prior sponsor of the Trust, resigned from its position as sponsor of the Trust. Concurrently, Amplify was appointed as successor sponsor to the Trust. Effective February 15, 2024, the Funds are managed and controlled by Amplify in its capacity as sponsor for the Trust.

Previous wording

The value of the Capesize 5TC Index is disseminated at 11:00 a.m., London Time and the value of the Panamax 4TC Index and the Supramax 6TC Index each is disseminated at 1:00 p.m., London Time. The Reference Index information disseminated by the Baltic Exchange also includes the components and value of each component in each Reference Index. Such Reference Index information also is widely disseminated by Reuters and/or other major market data vendors.

Current wording

The value of the Capesize 5TC Index is disseminated at 11:00 a.m., London Time and the value of the Panamax 4TC Index and the Supramax 10TC Index each is disseminated at 1:00 p.m., London Time. The Reference Index information disseminated by the Baltic Exchange also includes the components and value of each component in each Reference Index. Such Reference Index information also is widely disseminated by Bloomberg, Reuters and/or other major market data vendors.

Previous wording

The BWET Benchmark Portfolio is maintained by Breakwave, which also serves as BWET’s CTA. The BWET Benchmark Portfolio consists of the Oil Freight Futures, which are a three-month strip of the nearest calendar quarter of futures contracts on specified indexes (each a “Reference Index”) that measure rates for shipping crude oil. Each Reference Index is published each United Kingdom business day by the Baltic Exchange and measures the charter

Current wording

The BWET Benchmark Portfolio is maintained by Breakwave, which also serves as BWET’s CTA. The BWET Benchmark Portfolio consists of the Oil Freight Futures, which are a three-month strip of the nearest calendar quarter of futures contracts on specified indexes (each a “Reference Index”) that measure rates for shipping crude oil. Each Reference Index is published each United Kingdom business day by the Baltic Exchange and measures the charter rate for shipping crude oil in a specific size category of cargo ship and for a specific route - TD3C or TD20. The two Reference Indexes are as follows:

Previous wording

The value of the TD3C Index and the TD20 Index is disseminated daily at 4:00 p.m. London Time by the Baltic Exchange. The Reference Index information disseminated by the Baltic Exchange also includes the components and value of each component in each Reference Index. Such Reference Index information also is widely disseminated by Reuters and/or other major market data vendors.

Current wording

The value of the TD3C Index and the TD20 Index is disseminated daily at 4:00 p.m. London Time by the Baltic Exchange. The Reference Index information disseminated by the Baltic Exchange also includes the components and value of each component in each Reference Index. Such Reference Index information also is widely disseminated by Bloomberg, Reuters and/or other major market data vendors.

Previous wording

During the three months ended December 31, 2023, dry bulk freight rates were volatile, with the Baltic Dry Index, an index that tracks global spot rates for dry bulk shipping, ending the quarter up by almost 23% after almost doubling in price in early December before declining towards the end of the month. The broader shipping sector has seen significant disruptions due to reduced sailing through the world’s two most important waterways, namely the Panama Canal and the Suez Canal. The ongoing draught in the Panama Canal has reduced transits, leading to less available ships for chartering in the Atlantic region. In addition, the recent attacks on commercial vessels in the Red Sea has led to a large number of vessels diverting away from the region and sailing around Africa’s Cape of Good Hope, in the process increasing sailing distances and reducing the effective supply of vessels. Dry bulk shipping has been affected by those factors, and combined with the impact of seasonality, led to a volatile period for spot freight rates. At the end of the quarter and following the increase in volatility for spot rates, expectations were for the next quarter to be relatively strong, even though historically the quarter ending March 31 tends to be the weakest period of any given year.

Current wording

During the three months ended March 31, 2024, dry bulk freight rates outperformed most expectations, with the Baltic Dry Index, an index that tracks global spot rates for dry bulk shipping, averaging 80% above levels compared to the three months ended March 31, 2023. The broader shipping sector has seen significant disruptions due to reducing sailing through the world’s two most important waterways, namely the Panama Canal and the Suez Canal. The ongoing draught in the Panama Canal has reduced transits, leading to less available ships for chartering in the Atlantic region. In addition, the recent attacks on commercial vessels in the Red Sea has led to a large number of vessels diverting away from the region and sailing around Africa’s Cape of Good Hope, in the process increasing sailing distances and reducing the effective supply for vessels. Despite hose factors and the negative effect of seasonality during the period, dry bulk shipping freight rates remained well supported. At the end of the quarter, expectations were for a strong freight market for the remainder of the year, as the supply disruptions are expected to remain in place while demand for iron ore and coal exceeded expectations during the three months ended March 31, 2024, when demand is typically at the lowest point of any given year, thus improving the overall sentiment for the sector.

Previous wording

The graphs above compare the returns of BDRY with the benchmark portfolio returns for the three months ended December 31, 2023 and 2022, and the six months ended December 31, 2023 and 2022. The difference in the NAV price and the benchmark value often results in the appearance of a NAV premium or discount to the benchmark. Differences in the benchmark return and the BDRY net asset value per share are due primarily to the following factors:

Current wording

The graphs above compare the returns of BDRY with the benchmark portfolio returns for the three months ended March 31, 2024 and 2023, and the nine months ended March 31, 2024 and 2023. The difference in the NAV price and the benchmark value often results in the appearance of a NAV premium or discount to the benchmark. Differences in the benchmark return and the BDRY net asset value per share are due primarily to the following factors:

Previous wording

For the six months ended December 31, 2023, the net asset value of each Share increased (+110.49%) from $5.53 per Share to $11.64 per Share. Gains in the futures contracts more than offset the net investment loss, resulting in the overall increase in the NAV per Share during the six months ended December 31, 2023.

Current wording

For the nine months ended March 31, 2024, the net asset value of each Share increased (+153.35%) from $5.53 per Share to $13.99 per Share. Gains in the futures contracts more than offset the net investment loss, resulting in the overall increase in the NAV per Share during the nine months ended March 31. 2024.

Previous wording

During the six months ended December 31, 2022, the NYSE Arca market value of each Share decreased (-46.48%) from $17.17 per Share, representing the closing trade on June 30, 2022, to $9.19 per Share, representing the closing price on December 30, 2022. The Share price high and low for the six months ended December 31, 2022 and related change from the closing Share price on June 30, 2022 were as follows: Shares traded from a high of $17.16 per Share (-0.06%) on July 1, 2022 to a low of $6.75 per Share (-60.69%) on August 30, 2022.

Current wording

During the nine months ended March 31, 2023, the NYSE Arca market value of each Share decreased (-41.18%) from $17.17 per Share, representing the closing trade on June 30, 2022, to $10.10 per Share, representing the closing price on March 31, 2023. The Share price high and low for the nine months ended March 31, 2023 and related change from the closing Share price on June 30, 2022 were as follows: Shares traded from a high of $17.16 per Share (-0.06%) on July 1, 2022 to a low of $6.30 per Share (-63.31%) on February 15, 2023.

Previous wording

For the six months ended December 31, 2022, the net asset value of each Share decreased (-45.02%) from $17.06 per Share to $9.38 per Share. Losses in the futures contracts and the net investment loss, resulted in the overall decrease in the NAV per Share during the six months ended December 31, 2022.

Current wording

For the nine months ended March 31, 2023, the net asset value of each Share decreased (-41.32%) from $17.06 per Share to $10.01 per Share. Losses in the investments and futures contracts and the net investment loss resulted in the overall decrease in the NAV per Share during the nine months ended March 31, 2023.

Previous wording

During the three months ended December 31, 2023, freight rates remained in a tight range, with the benchmark VLCC TD3C rate (Middle East to China freight rate as measured in USD per ton) strengthening in the month of October, before stabilizing for the rest of the period, which left the index up approximately 10%. Expectations for a seasonally strong quarter did not materialize, as the recent oil production cuts by OPEC+ weighed on crude oil export volumes and thus on demand for crude oil transportation. Towards the end of the period, attacks on commercial ships transiting the Red Sea added to uncertainty and forced a large number of vessels to divert away from the Red Sea passage, and as a result the Suez Canal, and sail around Africa’s Cape of Good Hope, increasing sailing distances and thus reducing the global fleet’s effective supply. However, for the core VLCC segment that mainly trades away from the Red Sea region, the impact has so far been minimal. Global economic growth forecasts point to relatively tepid economic growth for 2024 and thus oil demand growth might remain relatively weak versus trend, potentially negatively impacting the crude tanker market.

Current wording

During the three months ended March 31, 2024, tanker freight rates remained volatile, with the benchmark VLCC TD3C rate (Middle East to China freight rate as measured in USD per ton) averaging some 9% lower compared to the three months ended March 31, 2023 but trading in a relatively wide range. The continuing attacks on commercial ships transiting the Red Sea remain a major issue for commercial shipping and continue to force a large number of vessels to divert away from the Red Sea passage, and as a result the Suez Canal, and sail around Africa’s Cape of Good Hope, increasing sailing distances and thus reducing the global fleet’s effective supply. Lower crude oil shipments as a result of the reduced OPEC+ production, resulted in subdued crude oil cargo volumes, negatively affecting demand for VLCC vessels. Global economic growth forecasts point to relatively moderate economic growth for 2024 and thus oil demand growth might remain relatively weak versus trend, continuing to limit the crude tanker market demand potential.

Previous wording

During the three months ended December 31, 2023, tanker freight futures traded in a tight range, mostly following developments in the physical market. The shape of the futures curve remained relatively flat towards the end of the quarter, as positive expectations affecting the broader shipping sector, especially as it relates to the disruption in the Red Sea region, were offset by the negative impact of continuing lower crude oil volumes because of the recent OPEC+ crude oil production cuts. BWET closely tracked short-dated freight futures for VLCCs (TD3C) and ended the quarter relatively flat.

Current wording

During the three months ended March 31, 2024, tanker freight futures traded in a tight range, mostly following developments in the physical market. The shape of the futures curve remained relatively flat towards the end of the quarter, as positive expectations affecting the broader shipping sector, especially as it relates to the disruption in the Red Sea region, were offset by the negative impact of continuing lower crude oil volumes because of the recent OPEC+ crude oil production cuts. BWET closely tracked short-dated freight futures for VLCCs (TD3C) and ended the quarter up approximately 15%.

Previous wording

The per Share market value of BWET and its NAV tracked closely for the six months ended December 31, 2023.

Current wording

The per Share market value of BWET and its NAV tracked closely for the nine months ended March 31, 2024.

Previous wording

The graphs above compares the return of BWET with the benchmark portfolio returns for the three and six months ended December 31, 2023. The difference in the NAV price and the benchmark value often results in the appearance of a NAV discount to the benchmark. Differences in the benchmark return and the BWET net asset value per share are due primarily to the following factors:

Current wording

The graphs above compare the return of BWET with the benchmark portfolio returns for the three and nine months ended March 31, 2024. The difference in the NAV price and the benchmark value often results in the appearance of a NAV discount to the benchmark. Differences in the benchmark return and the BWET net asset value per share are due primarily to the following factors:

Previous wording

Net income for the three months ended December 31, 2023, was $65,462, resulting from net realized gains on investments and futures contracts of $96,553, net unrealized losses on investments and futures contracts of $12,008, and the net investment loss of $19,083.

Current wording

Net income for the three months ended March 31, 2024, was $831,632, resulting from net realized gains on investments and futures contracts of $861,391 net unrealized losses on investments and futures contracts of $78,426, and the net investment loss of $(108,185).

Previous wording

For the six months ended December 31, 2023, the net asset value of each Share decreased (-23.00%) from $20.83 per Share to $16.04 per Share. Losses in the investments and futures contracts and the net investment loss resulted in the overall decrease in the NAV per Share during the six months ended December 31, 2023.

Current wording

For the nine months ended March 31, 2024, the net asset value of each Share decreased (10.49%) from $20.83 per Share to $18.65 per Share. Losses in the investments and futures contracts and the net investment loss resulted in the overall decrease in the NAV per Share during the nine months ended March 31, 2024.

Previous wording

Net loss for the six months ended December 31, 2023, was $837,445, resulting from net realized gains on investments and futures contracts of $130,178, net unrealized losses on investments and futures contracts of $908,697, and the net investment loss of $58,926.

Current wording

Net loss for the nine months ended March 31, 2024, was $(5,813), resulting from net realized gains on investments and futures contracts of $992,069 net unrealized losses on investments and futures contracts of $(830,771), and the net investment loss of $(167,111).

Previous wording

The Funds generate cash primarily from (i) the sale of Creation Baskets and (ii) interest earned on cash, cash equivalents and its investments in collateralizing Treasury Securities, if any. Generally, all of the net assets of the Funds are allocated to trading in Benchmark Component Instruments. Most of the assets of the Funds are held in cash and/or cash equivalents that could or are used as margin or collateral for trading in Benchmark Component Instruments. The percentage that such assets bear to the total net assets will vary from period to period as the market values of the Benchmark Component Instruments change. Interest earned on interest-bearing assets of the Funds are paid to the Funds. BDRY earned $457,674 and $117,420, respectively, in interest income during the three months ended December 31, 2023 and 2022 and $995,384 and $204,840, respectively, in interest income during the six months December 31, 2023. BWET earned $7,475 and $13,881, respectively, in interest income during the three and six months ended December 31, 2023.

Current wording

The Funds generate cash primarily from (i) the sale of Creation Baskets and (ii) interest earned on cash, cash equivalents and its investments in collateralizing Treasury Securities, if any. Generally, all of the net assets of the Funds are allocated to trading in Benchmark Component Instruments. Most of the assets of the Funds are held in cash and/or cash equivalents that could or are used as margin or collateral for trading in Benchmark Component Instruments. The percentage that such assets bear to the total net assets will vary from period to period as the market values of the Benchmark Component Instruments change. Interest earned on interest-bearing assets of the Funds are paid to the Funds. BDRY earned $372,645 and $417,382, respectively, in interest income during the three months ended March 31, 2024 and 2023 and $1,321,869 and $622,222, respectively, in interest income during the nine months March 31, 2024. BWET earned $19,748 and $33,629, respectively, in interest income during the three and nine months ended March 31, 2024.

Previous wording

The assumption of expenses by the Sponsor for BDRY, pursuant to the BDRY Expense Cap, amounted to $-0- and $-0- for the three months ended December 31, 2023 and 2022, respectively, and $-0- and $-0- for the six months ended December 31, 2023 and 2022, respectively, as disclosed in the Combined Statements of Operations. The waiver of Breakwave’s CTA fees, pursuant to the undertaking, amounted to $-0= and $38,707 for the three months ended December 31, 2023 and 2022, respectively, and $-0- and $66,332 for the six months ended December 31, 2023 and 2022, respectively, as disclosed in the Combined Statements of Operations. BDRY currently accrues its daily expenses based upon established individual expense amounts or the BDRY Expense Cap, whichever aggregate amount is less. At the end of each month, the accrued amount is remitted to the Sponsor as the Sponsor is responsible for the payment of the routine operational, administrative and other ordinary expenses of the Fund. BDRY’s total expenses, prior to the assumption and waiver of expenses, amounted to $650,217 and $505,629 for the three months ended December 31, 2023 and 2022, respectively, and $1,351,888 and $976,903, for the six months ended December 31, 2023 and 2022, respectively, as disclosed in the Combined Statements of Operations.

Current wording

The assumption of expenses by the Sponsor for BDRY, pursuant to the BDRY Expense Cap, amounted to $545,813 and $752,935 for the three months ended March 31, 2024 and 2023, respectively, and $1,897,701 and $1,663,506 for the nine months ended March 31, 2024 and 2023, respectively, as disclosed in the Combined Statements of Operations. The waiver of Breakwave’s CTA fees, pursuant to the undertaking, amounted to $0 and $21,746 for the three months ended March 31, 2024 and 2023, respectively, and $0 and $88,078 for the nine months ended March 31, 2024 and 2023, respectively, as disclosed in the Combined Statements of Operations. BDRY currently accrues its daily expenses based upon established individual expense amounts or the BDRY Expense Cap, whichever aggregate amount is less. At the end of each month, the accrued amount is remitted to the Sponsor as the Sponsor is responsible for the payment of the routine operational, administrative and other ordinary expenses of the Fund. BDRY’s total expenses, prior to the assumption and waiver of expenses, amounted to $545,813 and $774,681 for the three months ended March 21, 2024 and 2023, respectively, and $1,897,701 and $1,751,584, for the nine months ended March 31, 2024 and 2023 respectively, as disclosed in the Combined Statements of Operations.

Previous wording

The assumption of expenses by the Sponsor for BWET, pursuant to the BWET Expense Cap, amounted to $74,622 and $160,731 for the three and six months ended December 31, 2023, respectively, as disclosed in the Combined Statements of Operations. The waiver of Breakwave’s CTA fees, pursuant to the undertaking, amounted to $7,347 and $20,130 for the three and six months ended December 31, 2023, respectively, as disclosed in the Combined Statements of Operations. BWET currently accrues its daily expenses based upon established individual expense category amounts or the BWET Expense Cap, whichever aggregate amount is less. At the end of each month, the accrued amount is remitted to the Sponsor as the Sponsor is responsible for the payment of the routine operational, administrative and other ordinary expenses of the Fund. BWET’s total expenses, prior to the assumption and waiver of expenses, amounted to $108,527 and $253,668 for the three and six months ended December 31, 2023, respectively, as disclosed in the Combined Statements of Operations.

Current wording

The assumption of expenses by the Sponsor for BWET, pursuant to the BWET Expense Cap, amounted to $127,933 and $200,740 for the three and nine months ended March 31, 2024, respectively, as disclosed in the Combined Statements of Operations. The waiver of Breakwave’s CTA fees, pursuant to the undertaking, amounted to $58,559 and $239,420 for the three and nine months ended March 31, 2024, respectively, as disclosed in the Combined Statements of Operations. BWET currently accrues its daily expenses based upon established individual expense category amounts or the BWET Expense Cap, whichever aggregate amount is less. At the end of each month, the accrued amount is remitted to the Sponsor as the Sponsor is responsible for the payment of the routine operational, administrative and other ordinary expenses of the Fund. BWET’s total expenses, prior to the assumption and waiver of expenses, amounted to $186,492 and $440,160 for the three and nine months ended March 31, 2024, respectively, as disclosed in the Combined Statements of Operations.