Teucrium Commodity Trust

Previous wording

Teucrium Commodity Trust (“Trust”), a Delaware statutory trust organized on September 11, 2009, is a series trust consisting of six series: Teucrium Corn Fund (“CORN”), Teucrium Sugar Fund (“CANE”), Teucrium Soybean Fund (“SOYB”), Teucrium Wheat Fund (“WEAT”), Teucrium Agricultural Fund (collectively, “the Agricultural Funds”) and Hashdex Bitcoin Futures ETF (“DEFI”). All of the series of the Trust are collectively referred to as the “Funds” and singularly as the “Fund.” Each Fund is a commodity pool that is a series of the Trust. The Funds issue common units, called the “Shares,” representing fractional undivided beneficial interests in a Fund. Effective as of April 26, 2019, the Trust and the Funds operate pursuant to the Trust’s Fifth Amended and Restated Declaration of Trust and Trust Agreement (the “Trust Agreement”).

Current wording

Teucrium Commodity Trust (“Trust”), a Delaware statutory trust organized on September 11, 2009, is a series trust consisting of five series: Teucrium Corn Fund (“CORN”), Teucrium Sugar Fund (“CANE”), Teucrium Soybean Fund (“SOYB”), Teucrium Wheat Fund (“WEAT”), and Teucrium Agricultural Fund (collectively, “the Agricultural Funds”). All of the series of the Trust are collectively referred to as the “Funds” and singularly as the “Fund.” Each Fund is a commodity pool that is a series of the Trust. The Funds issue common units, called the “Shares,” representing fractional undivided beneficial interests in a Fund. Effective as of April 26, 2019, the Trust and the Funds operate pursuant to the Trust’s Fifth Amended and Restated Declaration of Trust and Trust Agreement (the “Trust Agreement”).

Previous wording

A climate of uncertainty and panic, including the contagion of the COVID-19 virus and other infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities, and increases the difficulty of performing due diligence and modeling market conditions, potentially reducing the accuracy of financial projections. Under these circumstances, the Funds may have difficulty achieving their investment objectives which may adversely impact performance. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Funds’ Sponsor and third-party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds’ investments. These factors could cause substantial market volatility, exchange trading suspensions and closures that could impact the ability of the Funds to complete redemptions and otherwise affect Fund performance and Fund trading in the secondary market. A widespread crisis may also affect the global economy in ways that cannot necessarily be foreseen at the current time. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these events could have significant impact on a Fund’s performance, resulting in losses to your investment. The global economic shocks being experienced as of the date hereof may cause the underlying assumptions and expectations of the Funds to become outdated quickly or inaccurate, resulting in significant losses.

Current wording

The types of events discussed above, including the contagion of the COVID-19 virus and other infectious viruses or diseases, as well as any attendant climate of uncertainty and panic, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities, and increases the difficulty of performing due diligence and modeling market conditions, potentially reducing the accuracy of financial projections. Under these circumstances, the Funds may have difficulty achieving their investment objectives which may adversely impact performance. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Funds’ Sponsor and third-party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds’ investments. These factors could cause substantial market volatility, exchange trading suspensions and closures that could impact the ability of the Funds to complete redemptions and otherwise affect Fund performance and Fund trading in the secondary market. A widespread crisis may also affect the global economy in ways that cannot necessarily be foreseen at the current time. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these events could have significant impact on a Fund’s performance, resulting in losses to your investment. The global economic shocks being experienced as of the date hereof may cause the underlying assumptions and expectations of the Funds to become outdated quickly or inaccurate, resulting in significant losses.

Previous wording

The Funds seek to earn interest and other income (“interest income”) from cash equivalents that it purchases and, on the cash it holds through the Custodian or other financial institutions. The Sponsor anticipates that the interest income will increase the NAV of each Fund. The Funds apply the interest income to the acquisition of additional investments or use it to pay its expenses. If the Fund reinvests the earned interest income, it makes investments that are consistent with its investment objectives as disclosed. Any cash equivalent invested by a Fund will have original maturity dates of three and nine months or less at inception. Any cash equivalent invested by a Fund will be deemed by the Sponsor to be of investment grade quality. As of March 31, 2024, available cash balances in each of the Funds were invested in the First American Government Obligations Fund – Class X, Goldman Sachs Financial Square Government Fund, in demand deposits at Capital One, and in commercial paper with maturities of ninety days or less. Additionally, the CORN, SOYB, CANE, WEAT and DEFI Funds may invest a portion of the amount of funds required to be deposited with the FCM as initial margin in U.S. Treasury obligations with time to maturity of 90 days or less. The obligations are purchased and held in the respective Fund accounts through the FCM.

Current wording

The Funds seek to earn interest and other income (“interest income”) from cash equivalents that it purchases and, on the cash it holds through the Custodian or other financial institutions. The Sponsor anticipates that the interest income will increase the NAV of each Fund. The Funds apply the interest income to the acquisition of additional investments or use it to pay its expenses. If the Fund reinvests the earned interest income, it makes investments that are consistent with its investment objectives as disclosed. Any cash equivalent invested by a Fund will have original maturity dates of three and nine months or less at inception. Any cash equivalent invested by a Fund will be deemed by the Sponsor to be of investment grade quality. As of June 30, 2024, available cash balances in each of the Funds were invested in the U.S. Bank Demand Deposit Account, Goldman Sachs Financial Square Government Fund, and in commercial paper with maturities of ninety days or less. Additionally, the CORN, SOYB, CANE, and WEAT may invest a portion of the amount of funds required to be deposited with the FCM as initial margin in U.S. Treasury obligations with time to maturity of 90 days or less. The obligations are purchased and held in the respective Fund accounts through the FCM.

Previous wording

This report covers the periods from January 1 to March 31, 2024 for CORN, SOYB, CANE, WEAT, TAGS and DEFI. Total expenses are presented both gross and net of any expenses waived or paid by the Sponsor that would have been incurred by the Funds (“expenses waived by the Sponsor”).

Current wording

This report covers the periods from January 1 to June 30, 2024 for CORN, SOYB, CANE, WEAT, and TAGS. Total expenses are presented both gross and net of any expenses waived or paid by the Sponsor that would have been incurred by the Funds (“expenses waived by the Sponsor”).

Previous wording

The discussion below addresses the material changes in the results of operations for the three months ended March 31, 2024 compared to the same period in 2023. The following includes a section for each Fund of the Trust for the periods in which each Fund was in operation. CORN, SOYB, WEAT, CANE and TAGS each operated for the entirety of all periods. For DEFI, as reported by the registrant on a Form 8-K filed with the Securities and Exchange Commission on November 7, 2023 (File No. 001-34765), Teucrium Commodity Trust (the “Teucrium Trust”), on behalf of its series, Hashdex Bitcoin Futures ETF (“Acquired Fund”), and Tidal Commodities Trust I (“Acquiring Trust”), on behalf of its series, Hashdex Bitcoin Futures ETF (“Acquiring Fund”), entered into an Agreement and Plan of Partnership Merger and Liquidation dated as of October 30, 2023 (the “Plan of Merger”). The Merger closed on January 3, 2024 (the “Closing Date”).

Current wording

The discussion below addresses the material changes in the results of operations for the three and six months ended June 30, 2024 compared to the same period in 2023. The following includes a section for each Fund of the Trust for the periods in which each Fund was in operation. CORN, SOYB, WEAT, CANE and TAGS each operated for the entirety of all periods. As discussed elsewhere in the report, DEFI was merged into an unaffiliated fund on January 3, 2024 and was liquidated.

Previous wording

On March 31, 2024, the Corn Fund held a total of 2,995 CBOT Corn Futures contracts with a notional value of $69,699,950. The contracts had an asset fair value of $154,412 and a liability fair value of $3,932,723. The weighting of the notional value of the contracts is as follows: (1) 35% to the JUL24 contracts, the second to expire CBOT Corn Futures Contract, (2) 30% to SEP24 CBOT contracts, the third to expire CBOT Corn Futures Contract, and (3) 35% to DEC24 CBOT contracts, the CBOT Corn Futures Contract expiring in the December following the expiration month of the third to expire contract.

Current wording

On June 30, 2024, the Corn Fund held a total of 2,953 CBOT Corn Futures contracts with a notional value of $63,133,250. The contracts had a liability fair value of $8,745,343. The weighting of the notional value of the contracts is as follows: (1) 35% to the SEP24 contracts, the second to expire CBOT Corn Futures Contract, (2) 30% to DEC24 CBOT contracts, the third to expire CBOT Corn Futures Contract, and (3) 35% to DEC25 CBOT contracts, the CBOT Corn Futures Contract expiring in the December following the expiration month of the third to expire contract.

Previous wording

Total net assets for the Fund decreased year over year by -11%, driven by a combination of a decrease in total shares outstanding of 50,000 shares or -4% and by a decrease in the NAV per share of ($2.03) or 7%. The net assets for the Fund increased by 17% when comparing March 31, 2024, to December 31, 2023. The change in total net assets year over year, in the opinion of management, was generally due to a combination of a depreciation of commodity prices and investor out-flows which was driven by excess supply estimates, and mandates for plant-based renewable fuels contributing to weakness.

Current wording

Total net assets for the Fund decreased year over year by 32%, driven by a combination of a decrease in total shares outstanding of 725,000 shares or 17% and a decrease in the NAV per share of ($3.92) or 18%. The net assets for the Fund decreased by 9% when comparing June 30, 2024, to March 31, 2024. The change in total net assets year over year, in the opinion of management, was generally due to a combination of a depreciation of commodity prices and investor out-flows which was driven by excess supply estimates, and mandates for plant-based renewable fuels contributing to weakness.

Previous wording

The decrease in interest and other income year over year was due to lower average net assets. As a result, the amount of interest income earned was lower in the three months ended March 31, 2024, compared to the three months ended March 31, 2023. The Fund seeks to earn interest and other income in investment grade, short-duration instruments or deposits associated with the pool’s cash management strategy that may be used to offset expenses. These investments may include, but are not limited to, short-term Treasury Securities, demand deposits, money market funds and investments in commercial paper. These interest rate levels may be lower or higher than the projected interest rates stated in the prospectuses and thus will impact your breakeven point.

Current wording

The decrease in interest and other income year over year was due to lower average net assets. As a result, the amount of interest income earned was lower in the three and six months ended June 30, 2024, compared to the three and six months ended June 30, 2023. The Fund seeks to earn interest and other income in investment grade, short-duration instruments or deposits associated with the pool’s cash management strategy that may be used to offset expenses. These investments may include, but are not limited to, short-term Treasury Securities, demand deposits, money market funds and investments in commercial paper. These interest rate levels may be lower or higher than the projected interest rates stated in the prospectuses and thus will impact your breakeven point.

Previous wording

The increase/decrease in management fee paid to the Sponsor is a result of higher/lower average net assets. As a result of the decline in the amount of assets of the Fund, the amount of management fees was lower in the three months ended March 31, 2024, compared to the three months ended March 31, 2023. The management fee is calculated at an annual rate of 1% of the Fund’s daily average net assets.

Current wording

The increase/decrease in management fee paid to the Sponsor is a result of higher/lower average net assets. As a result of the decline in the amount of assets of the Fund, the amount of management fees was lower in the three and six months ended June 30, 2024, compared to the three and six months ended June 30, 2023. The management fee is calculated at an annual rate of 1% of the Fund’s daily average net assets.

Previous wording

The increase/decrease in total gross fees and other expenses excluding management fees for the three months ended March 31, 2024 compared to the three months ended March 31, 2023 was generally due to the allocation of expenses and total net assets relative to the other Funds. The Sponsor has the ability to elect to pay certain expenses on behalf of the Fund or waive the management fee. This election is subject to change by the Sponsor, at its discretion. The Sponsor has determined that no reimbursement will be sought in future periods for those expenses which have been waived for the period.

Current wording

The decrease in total gross fees and other expenses excluding management fees for the three and six months ended June 30, 2024 compared to the three and six months ended June 30, 2023 was generally due to the allocation of expenses and total net assets relative to the other Funds. The Sponsor has the ability to elect to pay certain expenses on behalf of the Fund or waive the management fee. This election is subject to change by the Sponsor, at its discretion. The Sponsor has determined that no reimbursement will be sought in future periods for those expenses which have been waived for the period.

Previous wording

On March 31, 2024, the Fund held a total of 573 CBOT soybean futures contracts with a notional value of $33,933,513. The contracts had a liability fair value of $794,976. The weighting of the notional value of the contracts is as follows: (1) 35% to JUL24 CBOT contracts, (2) 30% to NOV24 CBOT contracts, and (3) 35% to NOV25 CBOT contracts.

Current wording

On June 30, 2024, the Fund held a total of 502 CBOT soybean futures contracts with a notional value of $27,792,575. The contracts had a liability fair value of $2,423,849. The weighting of the notional value of the contracts is as follows: (1) 35% to NOV24 CBOT contracts, (2) 30% to JAN25 CBOT contracts, and (3) 35% to NOV25 CBOT contracts.

Previous wording

Total net assets for the Fund decreased year over year by 40%, driven by a combination of a decrease in total shares outstanding of 1,125,000 shares or 25% and a decrease in the NAV per share of ($5.06) or 20%. The net assets for the Fund decreased by 14% when comparing March 31, 2024, to December 31, 2023. The change in total net assets year over year, in the opinion of management, was generally due to a combination of a depreciation of commodity prices and investor out-flows which was driven by excess supply estimates, and mandates for plant-based renewable fuels contributing to weakness.

Current wording

Total net assets for the Fund decreased year over year by 25%, driven by a combination of a decrease in total shares outstanding of 175,000 shares or 13% and by a decrease in the NAV per share of ($3.67) or 13%. The net assets for the Fund decreased by 18% when comparing June 30, 2024, to March 31, 2024. The change in total net assets year over year, in the opinion of management, was generally due to a combination of a depreciation of commodity prices and investor out-flows which was driven by excess supply estimates, and mandates for plant-based renewable fuels contributing to weakness.

Previous wording

The increase/decrease in management fee paid to the Sponsor is a result of lower/higher average net assets. As a result of the decline in the amount of assets of the Fund, the amount of management fees was lower in the three months ended March 31, 2024, compared to the three months ended March 31, 2023. The management fee is calculated at an annual rate of 1% of the Fund’s daily average net assets.

Current wording

The increase/decrease in management fee paid to the Sponsor is a result of lower/higher average net assets. As a result of the decline in the amount of assets of the Fund, the amount of management fees was lower in the three and six months ended June 30, 2024, compared to the three and six months ended June 30, 2023. The management fee is calculated at an annual rate of 1% of the Fund’s daily average net assets.

Previous wording

The increase in total gross fees and other expenses excluding management fees for the three months ended March 31, 2024 compared to the three months ended March 31, 2023 was generally due to the average net assets relative to the other Funds. The Sponsor has the ability to elect to pay certain expenses on behalf of the Fund or waive the management fee. This election is subject to change by the Sponsor, at its discretion. The Sponsor has determined that no reimbursement will be sought in future periods for those expenses which have been waived for the period.

Current wording

The decrease in total gross fees and other expenses excluding management fees for the three and six months ended June 30, 2024 compared to the three and six months ended June 30, 2023 was generally due to the average net assets relative to the other Funds. The Sponsor has the ability to elect to pay certain expenses on behalf of the Fund or waive the management fee. This election is subject to change by the Sponsor, at its discretion. The Sponsor has determined that no reimbursement will be sought in future periods for those expenses which have been waived for the period.

Previous wording

On March 31, 2024, the Fund held a total of 668 ICE sugar futures contracts with a notional value of $16,538,794. The contracts had a liability fair value of $814,401. The weighting of the notional value of the contracts is as follows: (1) 35% to the JUL24 ICE No 11 contracts, (2) 30% to the OCT24 ICE No 11 contracts, and (3) 35% to the MAR25 ICE No 11 contracts.

Current wording

On June 30, 2024, the Fund held a total of 624 ICE sugar futures contracts with a notional value of $13,710,435. The contracts had an asset fair value of $24,592 and a liability fair value of $590,927. The weighting of the notional value of the contracts is as follows: (1) 35% to the MAR25 ICE No 11 contracts, (2) 30% to the MAY25 ICE No 11 contracts, and (3) 35% to the MAR26 ICE No 11 contracts.

Previous wording

Total net assets for the Fund decreased year over year by 41%, driven by a combination of a decrease in total shares outstanding of 1,225,000 or -50% and an increase in the NAV per share of $2.05 or 18%. The net assets for the Fund decreased by 7% when comparing March 31, 2024, to December 31, 2023. This change was, in the opinion of management, due to the stabilization of prices worldwide, strong demand and with modestly higher production which accelerated investor interest.

Current wording

Total net assets for the Fund decreased year over year by 41%, driven by a combination of a decrease in total shares outstanding of 700,000 or 38% and a decrease in the NAV per share of ($0.52) or 4%. The net assets for the Fund decreased by 17% when comparing June 30, 2024, to March 31, 2024. This change was, in the opinion of management, due to the stabilization of prices worldwide, strong demand and with modestly higher production which accelerated investor interest.

Previous wording

The increase/decrease in management fee paid to the Sponsor is a result of lower/higher average net assets. As a result of the decline in the amount of assets of the Fund, the amount of management fees was lower in the three months ended March 31, 2024, compared to the three months ended March 31, 2023. The management fee is calculated at an annual rate of 1% of the Fund’s daily average net assets.

Current wording

The increase/decrease in management fee paid to the Sponsor is a result of lower/higher average net assets. As a result of the decline in the amount of assets of the Fund, the amount of management fees was lower in the three and six months ended June 30, 2024, compared to the three and six months ended June 30, 2023. The management fee is calculated at an annual rate of 1% of the Fund’s daily average net assets.

Previous wording

The increase in total gross fees and other expenses excluding management fees for the three months ended March 31, 2024, respectively, compared to the three months ended March 31, 2023 was generally due to the average net assets relative to the other Funds. The Sponsor has the ability to elect to pay certain expenses on behalf of the Fund or waive the management fee. This election is subject to change by the Sponsor, at its discretion. The Sponsor has determined that no reimbursement will be sought in future periods for those expenses which have been waived for the period.

Current wording

The increase in total gross fees and other expenses excluding management fees for the three and six months ended June 30, 2024, respectively, compared to the three and six months ended June 30, 2023 was generally due to the average net assets relative to the other Funds. The Sponsor has the ability to elect to pay certain expenses on behalf of the Fund or waive the management fee. This election is subject to change by the Sponsor, at its discretion. The Sponsor has determined that no reimbursement will be sought in future periods for those expenses which have been waived for the period.

Previous wording

On March 31, 2024, the Fund held a total of 5,314 CBOT wheat futures contracts with a notional value of $157,498,488. The contracts had an asset fair value of $1,513,306. The weighting of the notional value contracts is as follows: (1) 35% to JUL24 CBOT contracts, (2) 30% to SEP24 CBOT contracts, and (3) 35% to DEC24 CBOT contracts.

Current wording

On June 30, 2024, the Fund held a total of 4,508 CBOT wheat futures contracts with a notional value of $136,400,400. The contracts had an asset fair value of $14,988,167. The weighting of the notional value contracts is as follows: (1) 35% to SEP24 CBOT contracts, (2) 30% to DEC24 CBOT contracts, and (3) 35% to DEC25 CBOT contracts.

Previous wording

Total net assets for the Fund decreased year over year by 9%, driven by a decrease in the NAV per share of ($1.68) or -24%. The net assets for the Fund decreased by 14% when comparing March 31, 2024 to December 31, 2023. The change in total net assets year over year, in the opinion of management, was generally due to a combination of the depreciation of commodity prices and investor out-flows which may be attributed to ample wheat stocks from Russia and record exports flowing from the Black Sea continue to weigh on global wheat prices.

Current wording

Total net assets for the Fund decreased year over year by 17%, driven by a decrease in the NAV per share of ($1.17) or 18%. The net assets for the Fund decreased by 13% when comparing June 30, 2024 to March 31, 2024. The change in total net assets year over year, in the opinion of management, was generally due to a combination of the depreciation of commodity prices and investor out-flows which may be attributed to ample wheat stocks from Russia and record exports flowing from the Black Sea continue to weigh on global wheat prices.

Previous wording

The increase in interest and other income year over year was due to an increase in average net assets. As a result, the amount of interest income earned as a percentage of average daily total net assets was higher in the three months ended March 31, 2024, compared to the three months ended March 31, 2023. The Fund seeks to earn interest and other income in investment grade, short-duration instruments or deposits associated with the pool’s cash management strategy that may be used to offset expenses. These investments may include, but are not limited to, short-term Treasury Securities, demand deposits, money market funds and investments in commercial paper. These interest rate levels may be lower or higher than the projected interest rates stated in the prospectuses and thus will impact your breakeven point.

Current wording

The increase/decrease in interest and other income year over year was due to an increase/decrease in average net assets. As a result, the amount of interest income earned as a percentage of average daily total net assets was lower and slightly higher in the three and six months ended June 30, 2024, compared to the three and six months ended June 30, 2023. The Fund seeks to earn interest and other income in investment grade, short-duration instruments or deposits associated with the pool’s cash management strategy that may be used to offset expenses. These investments may include, but are not limited to, short-term Treasury Securities, demand deposits, money market funds and investments in commercial paper. These interest rate levels may be lower or higher than the projected interest rates stated in the prospectuses and thus will impact your breakeven point.

Previous wording

The decrease in total gross fees and other expenses excluding management fees for the three months ended March 31, 2024, respectively, compared to the three months ended March 31, 2023 was generally due to a decrease in average net assets relative to the other Funds. The Sponsor has the ability to elect to pay certain expenses on behalf of the Fund or waive the management fee. This election is subject to change by the Sponsor, at its discretion. The Sponsor has determined that no reimbursement will be sought in future periods for those expenses which have been waived for the period.

Current wording

The increase/decrease in total gross fees and other expenses excluding management fees for the three and six months ended June 30, 2024, respectively, compared to the three and six months ended June 30, 2023 was generally due to a decrease/increase in average net assets relative to the other Funds. The Sponsor has the ability to elect to pay certain expenses on behalf of the Fund or waive the management fee. This election is subject to change by the Sponsor, at its discretion. The Sponsor has determined that no reimbursement will be sought in future periods for those expenses which have been waived for the period.

Previous wording

On March 31, 2024, the Fund held: 1) 181,115 shares of CORN with a fair value of $3,661,367; 2) 682,062 shares of WEAT with a fair value of $3,673,518; 3) 142,076 shares of SOYB with a fair value of $3,574,703; and 4) 267,233 shares of CANE with a fair value of $3,605,828. The weighting on March 31, 2024 was 25% to CORN, 25% to WEAT, 25% to SOYB and 25% to CANE.

Current wording

On June 30, 2024, the Fund held: 1) 181,915 shares of CORN with a fair value of $3,328,699; 2) 640,462 shares of WEAT with a fair value of $3,389,453; 3) 144,326 shares of SOYB with a fair value of $3,414436; and 4) 281,583 shares of CANE with a fair value of $3,430,411. The weighting on June 30, 2024 was 25% to CORN, 25% to WEAT, 25% to SOYB and 25% to CANE.

Previous wording

Total net assets for the Fund decreased year over year by 56%, driven by a decrease in shares outstanding of 562,500 shares or -52%. The net assets for the Fund decreased by 21% when comparing March 31, 2024 to December 31, 2023. The change in total net assets year over year, in the opinion of management, was generally due to a combination of depreciation of commodity prices and investor out-flows which was driven by the ample supply estimates and stabilization of prices worldwide.

Current wording

Total net assets for the Fund decreased year over year by 43%, driven by a decrease in shares outstanding of 275,000 shares or 35%. The net assets for the Fund decreased by 7% when comparing June 30, 2024 to March 31, 2024. The change in total net assets year over year, in the opinion of management, was generally due to a combination of depreciation of commodity prices and investor out-flows which was driven by the ample supply estimates and stabilization of prices worldwide.

Previous wording

The decrease in total gross fees and other expenses for the three months ended March 31, 2024 compared to the three months ended March 31, 2023 was generally due to the decrease in average net assets and the net assets relative to the other Funds. The Sponsor has the ability to elect to pay certain expenses on behalf of the Fund or waive the management fee. This election is subject to change by the Sponsor, at its discretion. The Sponsor has determined that no reimbursement will be sought in future periods for those expenses which have been waived for the period.

Current wording

The decrease in total gross fees and other expenses for the three and six months ended June 30, 2024 compared to the three and six months ended June 30, 2023 was generally due to the decrease in average net assets and the net assets relative to the other Funds. The Sponsor has the ability to elect to pay certain expenses on behalf of the Fund or waive the management fee. This election is subject to change by the Sponsor, at its discretion. The Sponsor has determined that no reimbursement will be sought in future periods for those expenses which have been waived for the period.

Previous wording

The United States is the world’s leading producer and exporter of corn. For the Crop Year 2023-24, the United States Department of Agriculture (“USDA”) estimates that the U.S. will produce approximately 32% of all the corn globally, of which about 14% will be exported. For 2023-2024, based on the April 2024, USDA reports, global consumption of 1,212 Million Metric Tons (MMT) is expected to be slightly lower than global production of 1,228 MMT. If the global demand for corn is not equal to global supply, this may have an impact on the price of corn. Besides the United States, other principal world corn exporters include Argentina, Brazil, Russia, South Africa, and Ukraine. Major import nations include Mexico, Japan, the European Union (EU), South Korea, Egypt, and parts of Southeast Asia. China’s production at 289 MMT is approximately 6% less than its domestic usage.

Current wording

The United States is the world’s leading producer and exporter of corn. For the Crop Year 2024-25, the United States Department of Agriculture (“USDA”) estimates that the U.S. will produce approximately 31% of all the corn globally, of which about 15% will be exported. For 2024-2025, based on the July 2024, USDA reports, global consumption of 1,222 Million Metric Tons (MMT) is expected to be slightly lower than global production of 1,225 MMT. If the global demand for corn is not equal to global supply, this may have an impact on the price of corn. Besides the United States, other principal world corn exporters include Argentina, Brazil, Russia, South Africa, and Ukraine. Major import nations include Mexico, Japan, the European Union (EU), South Korea, Egypt, and parts of Southeast Asia. China’s production at 292 MMT is approximately 7% less than its domestic usage.

Previous wording

According to the USDA, global corn consumption has increased just over 617% from crop years 1960/1961 to 2023/2024 as demonstrated by the graph below and is projected to continue to grow in coming years. Consumption growth is the result of a combination of many factors including: 1) global population growth, which, according to the U.S. Census Department, is estimated to reach 9.7 billion by 2050; 2) a growing global middle class which is increasing the demand for protein and meat-based products globally and most significantly in developing countries; and 3) increased use of biofuels, including ethanol in the United States.

Current wording

According to the USDA, global corn consumption has increased just over 626% from crop years 1960/1961 to 2024/2025 as demonstrated by the graph below and is projected to continue to grow in coming years. Consumption growth is the result of a combination of many factors including: 1) global population growth, which, according to the U.S. Census Department, is estimated to reach 9.7 billion by 2050; 2) a growing global middle class which is increasing the demand for protein and meat-based products globally and most significantly in developing countries; and 3) increased use of biofuels, including ethanol in the United States.

Previous wording

Global soybean production is concentrated in the U.S., Brazil, Argentina, and China. The United States Department of Agriculture (“USDA”) has estimated that, for the Crop Year 2023-24, the United States will produce approximately 113 MMT of soybeans or approximately 29% of estimated world production, with Brazil production at 155 MMT. Argentina is projected to produce about 50 MMT. For 2023-24, based on the April 11, 2024 USDA report, global consumption of 381 MMT is estimated slightly lower than global production of 397 MMT. If the global demand for soybeans is not equal to global supply, this may have an impact on the price of soybeans. Global soybean consumption may fluctuate year over year due to any number of reasons which may include, but is not limited to, economic conditions, global health concerns, and international trade policy. Soybeans are a staple commodity used pervasively across the globe so that any contractions in consumption may only be temporary as has historically been the case. The USDA publishes weekly, monthly, quarterly, and annual updates for U.S. domestic and worldwide soybean production and consumption. These reports are available on the USDA’s website, www.usda.gov, at no charge. The outlook provided below is from the April 11, 2024 USDA report.

Current wording

Global soybean production is concentrated in the U.S., Brazil, Argentina, and China. The United States Department of Agriculture (“USDA”) has estimated that, for the Crop Year 2024-25, the United States will produce approximately 121 MMT of soybeans or approximately 29% of estimated world production, with Brazil production at 169 MMT. Argentina is projected to produce about 51 MMT. For 2024-25, based on the July 2024 USDA report, global consumption of 402 MMT is estimated slightly lower than global production of 422 MMT. If the global demand for soybeans is not equal to global supply, this may have an impact on the price of soybeans. Global soybean consumption may fluctuate year over year due to any number of reasons which may include, but is not limited to, economic conditions, global health concerns, and international trade policy. Soybeans are a staple commodity used pervasively across the globe so that any contractions in consumption may only be temporary as has historically been the case. The USDA publishes weekly, monthly, quarterly, and annual updates for U.S. domestic and worldwide soybean production and consumption. These reports are available on the USDA’s website, www.usda.gov, at no charge. The outlook provided below is from the July 2024 USDA report.

Previous wording

Sugarcane accounts for nearly 79% of the world’s sugar production, while sugar beets account for the remainder of the world’s sugar production. Sugar manufacturers use sugar beets and sugarcane as the raw material from which refined sugar (sucrose) for industrial and consumer use is produced. Sugar is produced in various forms, including granulated, powdered, liquid, brown, and molasses. The food industry (in particular, producers of baked goods, beverages, cereal, confections, and dairy products) uses sugar and sugarcane molasses to make sugar-containing food products. Sugar beet pulp and molasses products are used as animal feed ingredients. Ethanol is an important by-product of sugarcane processing. Additionally, the material that is left over after sugarcane is processed is used to manufacture paper, cardboard, and “environmentally friendly” eating utensils.

Current wording

Sugarcane accounts for nearly 80% of the world’s sugar production, while sugar beets account for the remainder of the world’s sugar production. Sugar manufacturers use sugar beets and sugarcane as the raw material from which refined sugar (sucrose) for industrial and consumer use is produced. Sugar is produced in various forms, including granulated, powdered, liquid, brown, and molasses. The food industry (in particular, producers of baked goods, beverages, cereal, confections, and dairy products) uses sugar and sugarcane molasses to make sugar-containing food products. Sugar beet pulp and molasses products are used as animal feed ingredients. Ethanol is an important by-product of sugarcane processing. Additionally, the material that is left over after sugarcane is processed is used to manufacture paper, cardboard, and “environmentally friendly” eating utensils.

Previous wording

The United States Department of Agriculture (“USDA”) publishes two major reports annually on U.S. domestic and worldwide sugar production and consumption. These are usually released in November and May. In addition, the USDA publishes periodic, but not as comprehensive, reports on sugar monthly. These reports are available on the USDA’s website, www.usda.gov, at no charge. The USDA’s November 2023 report for the 2023-24 Marketing year estimated global production of 183.5 MMT with higher production in Brazil and India expected to more than offset declines in Thailand and Pakistan. Consumption is expected to rise due to growth in markets including India and Pakistan. Stocks are forecast lower to help meet domestic demand and higher exports from markets including Brazil and Thailand. Sugar is a staple commodity used pervasively across the globe so that any contractions in consumption may only be temporary as has historically been the case.

Current wording

The United States Department of Agriculture (“USDA”) publishes two major reports annually on U.S. domestic and worldwide sugar production and consumption. These are usually released in November and May. In addition, the USDA publishes periodic, but not as comprehensive, reports on sugar monthly. These reports are available on the USDA’s website, www.usda.gov, at no charge. The USDA’s May 2024 report for the 2024-25 Marketing year estimated global production of 186 MMT with lower production in Brazil expected to more than offset higher production in Thailand, India, China, and Mexico. Consumption is expected to rise to a new record with growth in markets such as India and Pakistan. Stocks are forecast lower as reduced stocks in Thailand are projected to more than offset a rise in stocks in India. Sugar is a staple commodity used pervasively across the globe so that any contractions in consumption may only be temporary as has historically been the case.

Previous wording

Wheat is used to produce flour, the key ingredient for breads, pasta, crackers, and many other food products, as well as several industrial products such as starches and adhesives. Wheat by-products are used in livestock feeds. Wheat is the principal food grain produced in the United States, and the United States’ output of wheat is typically exceeded only by that of China, the European Union, Russia, and India. The United States Department of Agriculture (“USDA”) estimates that for 2023-24, the principal global producers of wheat will be the EU, Russia, Ukraine, China, India, the United States, Australia, and Canada. The U.S. generates approximately 6% of global production, with approximately 39% of that being exported. For 2023-24, based on the April 11, 2024 USDA report, global consumption of 800 MMT is estimated to be slightly higher than production of 787 MMT. If the global demand of wheat is not equal to global supply, this may have an impact on the price of wheat. Global wheat consumption may fluctuate year over year due to any number of reasons which may include, but is not limited to, economic conditions, global health concerns, international trade policy. Wheat is a staple commodity used pervasively across the globe so that any contractions in consumption may only be temporary as has historically been the case. The USDA publishes weekly, monthly, quarterly, and annual updates for U.S. domestic and worldwide wheat production and consumption. These reports are available on the USDA’s website, www.usda.gov, at no charge. The outlook provided herein is from the April 11, 2024 USDA report.

Current wording

Wheat is used to produce flour, the key ingredient for breads, pasta, crackers, and many other food products, as well as several industrial products such as starches and adhesives. Wheat by-products are used in livestock feeds. Wheat is the principal food grain produced in the United States, and the United States’ output of wheat is typically exceeded only by that of China, the European Union, Russia, and India. The United States Department of Agriculture (“USDA”) estimates that for 2024-25, the principal global producers of wheat will be the EU, Russia, Ukraine, China, India, the United States, Australia, and Canada. The U.S. generates approximately 7% of global production, with approximately 41% of that being exported. For 2024-25, based on the July 2024 USDA report, global consumption of 800 MMT is estimated to be slightly higher than production of 796 MMT. If the global demand of wheat is not equal to global supply, this may have an impact on the price of wheat. Global wheat consumption may fluctuate year over year due to any number of reasons which may include, but is not limited to, economic conditions, global health concerns, international trade policy. Wheat is a staple commodity used pervasively across the globe so that any contractions in consumption may only be temporary as has historically been the case. The USDA publishes weekly, monthly, quarterly, and annual updates for U.S. domestic and worldwide wheat production and consumption. These reports are available on the USDA’s website, www.usda.gov, at no charge. The outlook provided herein is from the July 2024 USDA report.

Previous wording

In determining the value of the Futures Contracts for each Fund, the Administrator uses the closing price on the exchange on which the commodity or cryptocurrency is traded, commonly referred to as the settlement price. The time of settlement for each exchange is determined by that exchange and may change from time to time. The current settlement time for each exchange can be found at the respective website for the CBOT, CME, or ICE, as the case may be, as follows:

Current wording

In determining the value of the Futures Contracts for each Fund, the Administrator uses the closing price on the exchange on which the commodity or cryptocurrency is traded, commonly referred to as the settlement price. The time of settlement foreach exchange is determined by that exchange and may change from time to time. The current settlement time for each exchange can be found at the respective website for the CBOT, CME, or ICE, as the case may be, as follows:

Previous wording

Marex , StoneX and Phillip Capital serve as the Fund’s clearing brokers to execute futures contracts and provide other brokerage-related services.

Current wording

Marex and StoneX serve as the Fund’s clearing brokers to execute futures contracts and provide other brokerage-related services.

Previous wording

The Commodity Funds, other than TAGS, will generally retain cash positions of approximately 95% of total net assets and DEFI will retain approximately 70%; this balance represents the total net assets less the initial margin requirements held by the FCM. These cash assets are either: 1) deposited by the Sponsor in demand deposit accounts of financial institutions which are deemed by the Sponsor to be of investment level quality, 2) held in a money-market fund which is deemed to be a cash equivalent under the most recent SEC definition, or 3) held in a cash equivalent with a maturity of 90 days or less that is deemed by the Sponsor to be of investment level quality.

Current wording

The Commodity Funds, other than TAGS, will generally retain cash positions of approximately 95% of total net assets; this balance represents the total net assets less the initial margin requirements held by the FCM. These cash assets are either: 1) deposited by the Sponsor in demand deposit accounts of financial institutions which are deemed by the Sponsor to be of investment level quality, 2) held in a money-market fund which is deemed to be a cash equivalent under the most recent SEC definition, or 3) held in a cash equivalent with a maturity of 90 days or less that is deemed by the Sponsor to be of investment level quality.