UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 

FORM 10-Q

 

Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

 

 

 

for the quarterly period ended June 30, 2021.

 

OR

 

Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

 

 

 

for the transition period from _________ to _________ .

 

Commission File Number: 001-34765

 

Teucrium Commodity Trust

(Exact name of registrant as specified in its charter)

 

Delaware

 

27-0724963

(State or other jurisdiction of

 

(I.R.S. Employer

incorporation or organization)

 

Identification No.)

 

Three Main Street, Suite 215 Burlington, VT 05401
(Address of principal executive offices) (Zip code)

 

(802) 540-0019
(Registrant’s telephone number, including area code)

 

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

Yes   ☐ No

 

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).

Yes   ☐ No

 

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, smaller reporting company or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.

 

Large accelerated filer

Accelerated filer

Non-accelerated filer

Smaller reporting company

 

 

Emerging growth company

 

If an emerging growth company, indicate by a check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

 

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).

Yes   ☒ No

 

Indicate the number of shares outstanding of each of the issuer’s classes of common stock, as of the last practicable date.

 

 

 

Total Number of Outstanding Shares as of August 6, 2021

 

Teucrium Corn Fund

 

 

6,700,004

 

Teucrium Sugar Fund

 

 

2,650,004

 

Teucrium Soybean Fund

 

 

2,500,004

 

Teucrium Wheat Fund

 

 

11,425,004

 

Teucrium Agricultural Fund

 

 

387,502

 

 

 

 

TEUCRIUM COMMODITY TRUST

Table of Contents

 

 

 

 

Page

 

Part I. FINANCIAL INFORMATION

 

 

 

 

 

 

 

 

Item 1.

Financial Statements

 

3

 

 

 

 

 

 

Item 2.

Management’s Discussion and Analysis of Financial Condition and Results of Operations

 

110

 

 

 

 

 

 

Item 3.

Quantitative and Qualitative Disclosures About Market Risk

 

153

 

 

 

 

 

 

Item 4.

Controls and Procedures

 

156

 

 

 

 

 

 

Part II. OTHER INFORMATION

 

157

 

 

 

 

 

 

Item 1.

Legal Proceedings

 

157

 

 

 

 

 

 

Item 1A.

Risk Factors

 

158

 

 

 

 

 

 

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

 

175

 

 

 

 

 

 

Item 3.

Defaults Upon Senior Securities

 

178

 

 

 

 

 

 

Item 4.

Mine Safety Disclosures

 

178

 

 

 

 

 

 

Item 5.

Other Information

 

178

 

 

 

 

 

 

Item 6.

Exhibits

 

179

 

 

 
2

Table of Contents

 

Part I. FINANCIAL INFORMATION

 

Item 1. Financial Statements.

 

Index to Financial Statements

 

Documents

 

Page

 

TEUCRIUM COMMODITY TRUST

 

 

 

Combined Statements of Assets and Liabilities at June 30, 2021 (Unaudited) and December 31, 2020

 

4

 

Combined Schedule of Investments at June 30, 2021 (Unaudited) and December 31, 2020

 

5

 

Combined Statements of Operations (Unaudited) for the three and six months ended June 30, 2021 and 2020

 

7

 

Combined Statements of Changes in Net Assets (Unaudited) for the six months ended June 30, 2021 and 2020

 

8

 

Combined Statements of Cash Flows (Unaudited) for the six months ended June 30, 2021 and 2020

 

9

 

Notes to Combined Financial Statements

 

10

 

TEUCRIUM CORN FUND

 

 

 

Statements of Assets and Liabilities at June 30, 2021 (Unaudited) and December 31, 2020

 

23

 

Schedule of Investments at June 30, 2021 (Unaudited) and December 31, 2020

 

24

 

Statements of Operations (Unaudited) for the three and six months ended June 30, 2021 and 2020

 

26

 

Statements of Changes in Net Assets (Unaudited) for the six months ended June 30, 2021 and 2020

 

27

 

Statements of Cash Flows (Unaudited) for the six months ended June 30, 2021 and 2020

 

28

 

Notes to Financial Statements

 

29

 

TEUCRIUM SOYBEAN FUND

 

 

 

Statements of Assets and Liabilities at June 30, 2021 (Unaudited) and December 31, 2020

 

41

 

Schedule of Investments at June 30, 2021 (Unaudited) and December 31, 2020

 

42

 

Statements of Operations (Unaudited) for the three and six months ended June 30, 2021 and 2020

 

44

 

Statements of Changes in Net Assets (Unaudited) for the six months ended June 30, 2021 and 2020

 

45

 

Statements of Cash Flows (Unaudited) for the six months ended June 30, 2021 and 2020

 

46

 

Notes to Financial Statements

 

47

 

TEUCRIUM SUGAR FUND

 

 

 

Statements of Assets and Liabilities at June 30, 2021 (Unaudited) and December 31, 2020

 

59

 

Schedule of Investments at June 30, 2021 (Unaudited) and December 31, 2020

 

60

 

Statements of Operations (Unaudited) for the three and six months ended June 30, 2021 and 2020

 

62

 

Statements of Changes in Net Assets (Unaudited) for the six months ended June 30, 2021 and 2020

 

63

 

Statements of Cash Flows (Unaudited) for the six months ended June 30, 2021 and 2020

 

64

 

Notes to Financial Statements

 

65

 

TEUCRIUM WHEAT FUND

 

 

 

Statements of Assets and Liabilities at June 30, 2021 (Unaudited) and December 31, 2020

 

77

 

Schedule of Investments at June 30,, 2021 (Unaudited) and December 31, 2020

 

78

 

Statements of Operations (Unaudited) for the three and six months ended June 30, 2021 and 2020

 

80

 

Statements of Changes in Net Assets (Unaudited) for the six months ended June 30, 2021 and 2020

 

81

 

Statements of Cash Flows (Unaudited) for the six months ended June 30, 2021 and 2020

 

82

 

Notes to Financial Statements

 

83

 

TEUCRIUM AGRICULTURAL FUND

 

 

 

Statements of Assets and Liabilities at June 30, 2021 (Unaudited) and December 31, 2020

 

95

 

Schedule of Investments at June 30, 2021 (Unaudited) and December 31, 2020

 

96

 

Statements of Operations (Unaudited) for the three and six months ended June 30, 2021 and 2020

 

98

 

Statements of Changes in Net Assets (Unaudited) for the six months ended June 30, 2021 and 2020

 

99

 

Statements of Cash Flows (Unaudited) for the six months ended June 30, 2021 and 2020

 

100

 

Notes to Financial Statements

 

101

 

 

 
3

Table of Contents

 

TEUCRIUM COMMODITY TRUST

COMBINED STATEMENTS OF ASSETS AND LIABILITIES

 

 

 

June 30,

2021

 

 

December 31,

2020

 

 

 

(Unaudited)

 

 

 

 

Assets

 

 

 

 

 

 

Cash and cash equivalents

 

$312,645,391

 

 

$309,378,295

 

Interest receivable

 

 

20,991

 

 

 

16,982

 

Other assets

 

 

1,585

 

 

 

38

 

Capital shares receivable

 

 

-

 

 

 

307,830

 

Equity in trading accounts:

 

 

 

 

 

 

 

 

Commodity futures contracts

 

 

32,859,502

 

 

 

42,424,697

 

Due from broker

 

 

12,874,001

 

 

 

-

 

Total equity in trading accounts

 

 

45,733,503

 

 

 

42,424,697

 

Total assets

 

 

358,401,470

 

 

 

352,127,842

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

Management fee payable to Sponsor

 

 

303,870

 

 

 

264,709

 

Payable for purchases of commercial paper

 

 

-

 

 

 

9,995,298

 

Other liabilities

 

 

56,740

 

 

 

71,568

 

Payable for shares redeemed

 

 

-

 

 

 

4,404,915

 

Equity in trading accounts:

 

 

 

 

 

 

 

 

Commodity futures contracts

 

 

1,343,610

 

 

 

-

 

Due to broker

 

 

420,810

 

 

 

27,278,158

 

Total equity in trading accounts

 

 

1,764,420

 

 

 

27,278,158

 

Total liabilities

 

 

2,125,030

 

 

 

42,014,648

 

 

 

 

 

 

 

 

 

 

Net Assets

 

$356,276,440

 

 

$310,113,194

 

 

The accompanying notes are an integral part of these financial statements.

 

 
4

Table of Contents

  

TEUCRIUM COMMODITY TRUST

COMBINED SCHEDULE OF INVESTMENTS

June 30, 2021

(Unaudited)

 

 

 

 

 

Percentage of

 

 

 

Description: Assets

 

Fair Value

 

 

Net Assets

 

 

Shares

 

 

 

 

 

 

 

 

 

 

 

Cash equivalents

 

 

 

 

 

 

 

 

 

Money market funds

 

 

 

 

 

 

 

 

 

First American Government Obligations Fund - Class X (cost: $26,479,756)

 

$26,479,756

 

 

 

7.43%

 

 

26,479,756

 

Goldman Sachs Financial Square Government Fund - Institutional Class (cost: $24,036,129)

 

 

24,036,129

 

 

 

6.75

 

 

 

24,036,129

 

Total money market funds (cost: $50,515,885)

 

$50,515,885

 

 

 

14.18%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal

Amount

 

Commercial Paper

 

 

 

 

 

 

 

 

 

 

 

 

Brookfield Infrastructure Holdings Inc. 0.213% (cost: $4,999,200 due: 07/21/2021)

 

$4,999,408

 

 

 

1.40%

 

 

5,000,000

 

Brookfield Infrastructure Holdings Inc. 0.240% (cost: $9,998,200 due: 07/21/2021)

 

 

9,998,667

 

 

 

2.81

 

 

 

10,000,000

 

Brookfield Infrastructure Holdings Inc. 0.216% (cost: $4,999,161 due: 07/21/2021)

 

 

4,999,401

 

 

 

1.40

 

 

 

5,000,000

 

Canadian Natural Resources Limited 0.140% (cost: $9,998,990 due: 07/26/2021)

 

 

9,999,028

 

 

 

2.81

 

 

 

10,000,000

 

FMC Corporation 0.200% (cost: $4,499,300 due: 07/12/2021)

 

 

4,499,725

 

 

 

1.26

 

 

 

4,500,000

 

General Motors Financial Company 0.230% (cost: $5,996,741 due: 07/06/2021)

 

 

5,999,808

 

 

 

1.68

 

 

 

6,000,000

 

General Motors Financial Company 0.230% (cost: $8,995,000 due: 07/08/2021)

 

 

8,999,598

 

 

 

2.53

 

 

 

9,000,000

 

General Motors Financial Company 0.170% (cost: $4,997,899 due: 09/13/2021)

 

 

4,998,252

 

 

 

1.40

 

 

 

5,000,000

 

Harley-Davidson Financial Services Inc 0.170% (cost: $9,995,751 due: 08/03/2021)

 

 

9,998,440

 

 

 

2.81

 

 

 

10,000,000

 

Harley-Davidson Financial Services Inc 0.160% (cost: $7,497,100 due: 08/06/2021)

 

 

7,498,800

 

 

 

2.10

 

 

 

7,500,000

 

Harley-Davidson Financial Services Inc 0.150% (cost: $2,499,136 due: 09/16/2021)

 

 

2,499,199

 

 

 

0.70

 

 

 

2,500,000

 

Humana Inc. 0.187% (cost: $14,993,453 due: 07/21/2021)

 

 

14,998,443

 

 

 

4.21

 

 

 

15,000,000

 

Humana Inc. 0.160% (cost: $4,998,044 due: 07/27/2021)

 

 

4,999,422

 

 

 

1.40

 

 

 

5,000,000

 

Jabil Inc. 0.210% (cost: $9,997,552 due: 07/16/2021)

 

 

9,999,125

 

 

 

2.81

 

 

 

10,000,000

 

Jabil Inc. 0.309% (cost: $4,996,353 due: 08/27/2021)

 

 

4,997,555

 

 

 

1.40

 

 

 

5,000,000

 

Jabil Inc. 0.300% (cost: $4,996,750 due: 08/27/2021)

 

 

4,997,626

 

 

 

1.40

 

 

 

5,000,000

 

Viatris Inc. 0.174% (cost: $9,998,984 due: 07/20/2021)

 

 

9,999,080

 

 

 

2.81

 

 

 

10,000,000

 

Viatris Inc. 0.200% (cost: $2,498,861 due: 09/13/2021)

 

 

2,498,972

 

 

 

0.70

 

 

 

2,500,000

 

Viatris Inc. 0.200% (cost: $2,498,764 due: 09/15/2021)

 

 

2,498,945

 

 

 

0.70

 

 

 

2,500,000

 

Total commercial paper (cost: $129,455,239)

 

$129,479,494

 

 

 

36.33%

 

 

 

 

Total cash equivalents

 

$179,995,379

 

 

 

50.51%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Notional Amount

 

 

 

 

 

 

 

 

 

 

 

(Long Exposure)

 

Commodity futures contracts

 

 

 

 

 

 

 

 

 

 

 

 

United States corn futures contracts

 

 

 

 

 

 

 

 

 

 

 

 

CBOT corn futures SEP21 (2,092 contracts)

 

$7,311,611

 

 

 

2.05%

 

$63,073,800

 

CBOT corn futures DEC21 (1,823 contracts)

 

 

12,332,784

 

 

 

3.46

 

 

 

53,960,800

 

 

 

 

 

 

 

 

 

 

 

 

 

 

United States soybean futures contracts

 

 

 

 

 

 

 

 

 

 

 

 

CBOT soybean futures NOV21 (359 contracts)

 

 

4,711,635

 

 

 

1.32

 

 

 

25,112,050

 

CBOT soybean futures JAN22 (307 contacts)

 

 

78,443

 

 

 

0.02

 

 

 

21,486,163

 

CBOT soybean futures NOV22 (381 contacts)

 

 

2,294,210

 

 

 

0.64

 

 

 

24,193,500

 

 

 

 

 

 

 

 

 

 

 

 

 

 

United States sugar futures contracts

 

 

 

 

 

 

 

 

 

 

 

 

ICE sugar futures MAR22 (382 contracts)

 

 

1,444,358

 

 

 

0.41

 

 

 

7,735,347

 

ICE sugar futures MAY22 (344 contracts)

 

 

84,905

 

 

 

0.02

 

 

 

6,630,669

 

ICE sugar futures MAR23 (423 contracts)

 

 

435,557

 

 

 

0.12

 

 

 

7,698,600

 

 

 

 

 

 

 

 

 

 

 

 

 

 

United States wheat futures contracts

 

 

 

 

 

 

 

 

 

 

 

 

CBOT wheat futures SEP21 (889 contracts)

 

 

845,125

 

 

 

0.24

 

 

 

30,203,775

 

CBOT wheat futures DEC21 (753 contracts)

 

 

3,320,874

 

 

 

0.93

 

 

 

25,790,250

 

Total commodity futures contracts

 

$32,859,502

 

 

 

9.21%

 

$265,884,954

 

 

 

 

 

 

Percentage of

 

 

Notional Amount

 

Description: Liabilities

 

Fair Value

 

 

Net Assets

 

 

(Long Exposure)

 

 

 

 

 

 

 

 

 

 

 

Commodity futures contracts

 

 

 

 

 

 

 

 

 

United States corn futures contracts

 

 

 

 

 

 

 

 

 

CBOT corn futures DEC22 (2,383 contracts)

 

$1,110,723

 

 

 

0.31%

 

$60,409,050

 

 

 

 

 

 

 

 

 

 

 

 

 

 

United States wheat futures contracts

 

 

 

 

 

 

 

 

 

 

 

 

CBOT wheat futures DEC22 (861 contracts)

 

 

232,887

 

 

 

0.07

 

 

 

30,027,375

 

Total commodity futures contracts

 

$1,343,610

 

 

 

0.38%

 

$90,436,425

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exchange-traded funds*

 

 

 

 

 

 

 

 

 

Shares

 

Teucrium Corn Fund

 

$2,591,714

 

 

 

0.73%

 

 

120,872

 

Teucrium Soybean Fund

 

 

2,552,729

 

 

 

0.72

 

 

 

107,299

 

Teucrium Sugar Fund

 

 

2,495,290

 

 

 

0.70

 

 

 

294,242

 

Teucrium Wheat Fund

 

 

2,457,086

 

 

 

0.69

 

 

 

364,207

 

Total exchange-traded funds (cost $8,960,682)

 

$10,096,819

 

 

 

2.84%

 

 

 

 

_____________

*The Trust eliminates the shares owned by the Teucrium Agricultural Fund from its combined statements of assets and liabilities due to the fact that these represent holdings of the other four Funds (“Underlying Funds”) owned by the Teucrium Agricultural Fund, which are included as shares outstanding of the Underlying Funds.

 

The accompanying notes are an integral part of these financial statements.

 

 
5

Table of Contents

  

TEUCRIUM COMMODITY TRUST

COMBINED SCHEDULE OF INVESTMENTS

December 31, 2020

 

 

 

 

 

Percentage of

 

 

 

Description: Assets

 

Fair Value

 

 

Net Assets

 

 

Shares

 

 

 

 

 

 

 

 

 

 

 

Cash equivalents

 

 

 

 

 

 

 

 

 

Money market funds

 

 

 

 

 

 

 

 

 

First American Government Obligations Fund - Class X 0.04% (cost $56,055,737)

 

$56,055,737

 

 

 

18.08%

 

 

56,055,737

 

Blackrock Liquidity FedFund - Institutional Class 0.005% (cost $5,065,941)

 

 

5,065,941

 

 

 

1.63

 

 

 

5,065,941

 

Total money market funds (cost: $61,121,678)

 

$61,121,678

 

 

 

19.71%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal

Amount

 

Commercial Paper

 

 

 

 

 

 

 

 

 

 

 

 

Energy Transfer Operating, L.P. 0.501% (cost: $7,496,667 due 01/29/2021)

 

$7,497,084

 

 

 

2.42%

 

 

7,500,000

 

Energy Transfer Operating, L.P. 0.421% (cost: $4,997,725 due 01/29/2021)

 

 

4,998,366

 

 

 

1.61

 

 

 

5,000,000

 

Energy Transfer Operating, L.P. 0.501% (cost: $7,496,771 due 02/05/2021)

 

 

7,496,771

 

 

 

2.42

 

 

 

7,500,000

 

General Motors Financial Company, Inc. 0.400% (cost: $4,995,890 due 01/04/2021)

 

 

4,999,834

 

 

 

1.61

 

 

 

5,000,000

 

General Motors Financial Company, Inc. 0.411% (cost: $4,996,356 due 01/08/2021)

 

 

4,999,602

 

 

 

1.61

 

 

 

5,000,000

 

General Motors Financial Company, Inc. 0.471% (cost: $7,491,612 due 01/20/2021)

 

 

7,498,140

 

 

 

2.42

 

 

 

7,500,000

 

General Motors Financial Company, Inc. 0.471% (cost: $2,497,062 due 01/25/2021)

 

 

2,499,217

 

 

 

0.81

 

 

 

2,500,000

 

Harley-Davidson Financial Services, Inc. 0.310% (cost: $7,994,903 due 01/05/2021)

 

 

7,999,725

 

 

 

2.58

 

 

 

8,000,000

 

Harley-Davidson Financial Services, Inc. 0.250% (cost: $9,993,749 due 01/11/2021)

 

 

9,999,305

 

 

 

3.22

 

 

 

10,000,000

 

Harley-Davidson Financial Services, Inc. 0.270% (cost: $1,999,025 due 01/20/2021)

 

 

1,999,715

 

 

 

0.64

 

 

 

2,000,000

 

Hyundai Capital America, Inc. 0.150% (cost: $7,497,595 due 02/01/2021)

 

 

7,499,031

 

 

 

2.42

 

 

 

7,500,000

 

Hyundai Capital America, Inc. 0.170% (cost: $9,996,980 due 02/03/2021)

 

 

9,998,443

 

 

 

3.22

 

 

 

10,000,000

 

Jabil Inc. 0.430% (cost: $9,994,507 due 01/29/2021)

 

 

9,996,656

 

 

 

3.22

 

 

 

10,000,000

 

Jabil Inc. 0.501% (cost: $7,491,459 due 02/24/2021)

 

 

7,494,375

 

 

 

2.42

 

 

 

7,500,000

 

Jabil Inc. 0.401% (cost: $2,498,528 due 02/26/2021)

 

 

2,498,528

 

 

 

0.81

 

 

 

2,500,000

 

Marathon Petroleum Corporation 0.350% (cost: $7,496,063 due 02/01/2021)

 

 

7,497,739

 

 

 

2.42

 

 

 

7,500,000

 

Marathon Petroleum Corporation 0.381% (cost: $12,490,368 due 02/26/2021)

 

 

12,492,610

 

 

 

4.03

 

 

 

12,500,000

 

Viatris Inc. 0.372% (cost: $9,994,117 due 02/26/2021)

 

 

9,994,220

 

 

 

3.22

 

 

 

10,000,000

 

Viatris Inc. 0.451% (cost: $4,994,438 due 03/22/2021)

 

 

4,995,000

 

 

 

1.61

 

 

 

5,000,000

 

WGL Holdings, Inc. 0.200% (cost: $2,499,528 due 01/26/2021)

 

 

2,499,653

 

 

 

0.81

 

 

 

2,500,000

 

WGL Holdings, Inc. 0.200% (cost: $2,499,417 due 01/27/2021)

 

 

2,499,639

 

 

 

0.81

 

 

 

2,500,000

 

Walgreens Boots Alliance, Inc. 0.246% (cost: $14,993,143 due 03/05/2021)

 

 

14,993,553

 

 

 

4.83

 

 

 

15,000,000

 

Total commercial paper (total cost: $152,405,903)

 

$152,447,206

 

 

 

49.16%

 

 

 

 

Total cash equivalents

 

$213,568,884

 

 

 

68.87%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Notional Amount

 

 

 

 

 

 

 

 

 

 

 

(Long Exposure)

 

Commodity futures contracts

 

 

 

 

 

 

 

 

 

 

 

 

CBOT corn futures MAY21 (2,004 contracts)

 

$9,160,307

 

 

 

2.95%

 

$48,421,650

 

CBOT corn futures JUL21 (1,727 contracts)

 

 

4,516,403

 

 

 

1.46

 

 

 

41,469,588

 

CBOT corn futures DEC21 (2,226 contracts)

 

 

6,477,896

 

 

 

2.09

 

 

 

48,387,675

 

 

 

 

 

 

 

 

 

 

 

 

 

 

United States soybean futures contracts

 

 

 

 

 

 

 

 

 

 

 

 

CBOT soybean futures MAR21 (479 contracts)

 

 

7,011,407

 

 

 

2.26

 

 

 

31,398,450

 

CBOT soybean futures MAY21 (411 contracts)

 

 

3,404,313

 

 

 

1.10

 

 

 

26,853,712

 

CBOT soybean futures NOV21 (557 contracts)

 

 

4,708,506

 

 

 

1.52

 

 

 

30,962,238

 

 

 

 

 

 

 

 

 

 

 

 

 

 

United States sugar futures contracts

 

 

 

 

 

 

 

 

 

 

 

 

ICE sugar futures MAY21 (272 contracts)

 

 

550,868

 

 

 

0.18

 

 

 

4,472,115

 

ICE sugar futures JUL21 (241 contracts)

 

 

345,612

 

 

 

0.11

 

 

 

3,830,165

 

ICE sugar futures MAR22 (279 contracts)

 

 

511,223

 

 

 

0.16

 

 

 

4,459,090

 

 

 

 

 

 

 

 

 

 

 

 

 

 

United States wheat futures contracts

 

 

 

 

 

 

 

 

 

 

 

 

CBOT wheat futures MAY21 (765 contracts)

 

 

2,297,658

 

 

 

0.74

 

 

 

24,460,875

 

CBOT wheat futures JUL21 (668 contracts)

 

 

687,506

 

 

 

0.22

 

 

 

20,983,550

 

CBOT wheat futures DEC21 (767 contracts)

 

 

2,752,998

 

 

 

0.89

 

 

 

24,419,363

 

Total commodity futures contracts

 

$42,424,697

 

 

 

13.68%

 

$310,118,471

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exchange-traded funds*

 

 

 

 

 

 

 

 

 

Shares

 

Teucrium Corn Fund

 

$401,787

 

 

 

0.13%

 

 

25,858

 

Teucrium Soybean Fund

 

 

401,177

 

 

 

0.13

 

 

 

20,581

 

Teucrium Sugar Fund

 

 

383,816

 

 

 

0.12

 

 

 

57,124

 

Teucrium Wheat Fund

 

 

395,482

 

 

 

0.13

 

 

 

64,237

 

Total exchange-traded funds (cost $1,586,899)

 

$1,582,262

 

 

 

0.51%

 

 

 

 

________________  

*The Trust eliminates the shares owned by the Teucrium Agricultural Fund from its combined statements of assets and liabilities due to the fact that these represent holdings of the Underlying Funds owned by the Teucrium Agricultural Fund, which are included as shares outstanding of the Underlying Funds.

 

The accompanying notes are an integral part of these financial statements.

 

 
6

Table of Contents

  

TEUCRIUM COMMODITY TRUST

COMBINED STATEMENTS OF OPERATIONS

(Unaudited)

 

 

 

Three months ended

 

 

Three months ended

 

 

Six months ended

 

 

Six months ended

 

 

 

June 30, 2021

 

 

June 30, 2020

 

 

June 30, 2021

 

 

June 30, 2020

 

Income

 

 

 

 

 

 

 

 

 

 

 

 

Realized and unrealized gain (loss) on trading of commodity futures contracts:

 

 

 

 

 

 

 

 

 

 

 

 

Realized gain (loss) on commodity futures contracts

 

$53,285,729

 

 

$(7,587,383)

 

$94,409,594

 

 

$(9,277,336)

Net change in unrealized appreciation (depreciation) on commodity futures contracts

 

 

2,156,491

 

 

 

1,512,207

 

 

 

(10,908,805)

 

 

(10,953,308)

Interest income

 

 

150,609

 

 

 

348,584

 

 

 

317,178

 

 

 

989,116

 

Total income (loss)

 

 

55,592,829

 

 

 

(5,726,592)

 

 

83,817,967

 

 

 

(19,241,528)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Management fees

 

 

937,661

 

 

 

356,401

 

 

 

1,800,719

 

 

 

740,764

 

Professional fees

 

 

330,066

 

 

 

467,596

 

 

 

708,673

 

 

 

758,485

 

Distribution and marketing fees

 

 

833,633

 

 

 

624,765

 

 

 

1,588,276

 

 

 

1,278,946

 

Custodian fees and expenses

 

 

79,596

 

 

 

106,162

 

 

 

181,240

 

 

 

184,034

 

Business permits and licenses fees

 

 

20,253

 

 

 

67,067

 

 

 

96,354

 

 

 

108,944

 

General and administrative expenses

 

 

145,755

 

 

 

125,363

 

 

 

204,693

 

 

 

176,273

 

Other expenses

 

 

-

 

 

 

6

 

 

 

-

 

 

 

25

 

Total expenses

 

 

2,346,964

 

 

 

1,747,360

 

 

 

4,579,955

 

 

 

3,247,471

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses waived by the Sponsor

 

 

(713,878)

 

 

(243,764)

 

 

(966,062)

 

 

(417,017)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses, net

 

 

1,633,086

 

 

 

1,503,596

 

 

 

3,613,893

 

 

 

2,830,454

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net income (loss)

 

$53,959,743

 

 

$(7,230,188)

 

$80,204,074

 

 

$(22,071,982)

 

The accompanying notes are an integral part of these financial statements.

 

 
7

Table of Contents

  

TEUCRIUM COMMODITY TRUST

COMBINED STATEMENTS OF CHANGES IN NET ASSETS

(Unaudited)

 

 

 

Six months ended

 

 

Six months ended

 

 

 

June 30, 2021

 

 

June 30, 2020

 

Operations

 

 

 

 

 

 

Net income (loss)

 

$80,204,074

 

 

$(22,071,982)
Capital transactions

 

 

 

 

 

 

 

 

Issuance of Shares

 

 

116,881,776

 

 

 

85,735,034

 

Redemption of Shares

 

 

(143,488,391)

 

 

(32,294,893)
Net change in the cost of the Underlying Funds

 

 

(7,434,213)

 

 

211,920

 

Total capital transactions

 

 

(34,040,828)

 

 

53,652,061

 

 

 

 

 

 

 

 

 

 

Net change in net assets

 

 

46,163,246

 

 

 

31,580,079

 

 

 

 

 

 

 

 

 

 

Net assets, beginning of period

 

 

310,113,194

 

 

 

167,906,597

 

 

 

 

 

 

 

 

 

 

Net assets, end of period

 

$356,276,440

 

 

$199,486,676

 

 

The accompanying notes are an integral part of these financial statements.

 

 
8

Table of Contents

 

TEUCRIUM COMMODITY TRUST

COMBINED STATEMENTS OF CASH FLOWS

(Unaudited)

 

 

 

Six months ended

 

 

Six months ended

 

 

 

June 30, 2021

 

 

June 30, 2020

 

Cash flows from operating activities:

 

 

 

 

 

 

Net income (loss)

 

$80,204,074

 

 

$(22,071,982)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:

 

 

 

 

 

 

 

 

Net change in unrealized depreciation on commodity futures contracts

 

 

10,908,805

 

 

 

10,953,308

 

Changes in operating assets and liabilities:

 

 

 

 

 

 

 

 

Due from broker

 

 

(12,874,001)

 

 

(18,137,488)

Interest receivable

 

 

(4,009)

 

 

(4,128)

Receivable for investments sold

 

 

-

 

 

 

(211,145)

Other assets

 

 

(1,547)

 

 

(62,135)

Due to broker

 

 

(26,857,348)

 

 

(5,140,126)

Management fee payable to Sponsor

 

 

39,161

 

 

 

(12,815)

Payable for purchases of commercial paper

 

 

(9,995,298)

 

 

7,495,500

 

Other liabilities

 

 

(14,828)

 

 

(5,906)
Net cash provided by (used in) operating activities

 

 

41,405,009

 

 

 

(27,196,917)

 

 

 

 

 

 

 

 

 

Cash flows from financing activities:

 

 

 

 

 

 

 

 

Proceeds from sale of Shares

 

 

117,189,606

 

 

 

85,735,034

 

Redemption of Shares

 

 

(147,893,306)

 

 

(28,053,759)
Net change in cost of the Underlying Funds

 

 

(7,434,213)

 

 

211,920

 

Net cash (used in) provided by financing activities

 

 

(38,137,913)

 

 

57,893,195

 

 

 

 

 

 

 

 

 

 

Net change in cash and cash equivalents

 

 

3,267,096

 

 

 

30,696,278

 

Cash and cash equivalents beginning of period

 

 

309,378,295

 

 

 

166,081,885

 

Cash and cash equivalents end of period

 

$312,645,391

 

 

$196,778,163

 

 

The accompanying notes are an integral part of these financial statements.

 

 
9

Table of Contents

 

NOTES TO COMBINED FINANCIAL STATEMENTS

June 30, 2021
(Unaudited)

 

Note 1 – Organization and Operation

 

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 (“TAGS”). All of these 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 29, 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”).

 

On June 7, 2010, the initial Form S-1 for CORN was declared effective by the U.S. Securities and Exchange Commission (“SEC”). On June 8, 2010, four Creation Baskets for CORN were issued representing 200,000 shares and $5,000,000. CORN began trading on the New York Stock Exchange (“NYSE”) Arca on June 9, 2010. The current registration statement for CORN was declared effective by the SEC on October 2, 2020. The registration statement for CORN registered an additional 20,000,000 shares.

 

On June 13, 2011, the initial Forms S-1 for CANE, SOYB, and WEAT were declared effective by the SEC. On September 16, 2011, two Creation Baskets were issued for each Fund, representing 100,000 shares and $2,500,000, for CANE, SOYB, and WEAT. On September 19, 2011, CANE, SOYB, and WEAT started trading on the NYSE Arca. The current registration statements for CANE was declared effective on October 2, 2020 and the current registration statement for SOYB was declared effective by the SEC on August 24, 2020. The registration statements for SOYB and CANE registered an additional 15,000,000 shares each. The current registration statement for WEAT was declared effective on April 29, 2019. This registration statement for WEAT registered an additional 30,000,000 shares.

 

On February 10, 2012, the Form S-1 for TAGS was declared effective by the SEC. On March 27, 2012, six Creation Baskets for TAGS were issued representing 300,000 shares and $15,000,000. TAGS began trading on the NYSE Arca on March 28, 2012. The current registration statement for TAGS was declared effective by the SEC on April 30, 2021.

 

Teucrium Trading, LLC is the sponsor (“Sponsor”) of the Trust. The Sponsor is a member of the National Futures Association (the "NFA") and became a commodity pool operator ("CPO") registered with the Commodity Futures Trading Commission (the "CFTC") effective November 10, 2009. The Sponsor registered as a Commodity Trading Advisor ("CTA") with the CFTC effective September 8, 2017.

 

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 Trust’s financial statements for the interim period. It is suggested that these interim financial statements be read in conjunction with the audited 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 for the three and six months ended June 30, 2021 are not necessarily indicative of the results to be expected for the full year ending December 31, 2021.

 

Subject to the terms of the Trust Agreement, Teucrium Trading, LLC in its capacity as the Sponsor of the Trust may terminate a Fund at any time, regardless of whether the Fund has incurred losses, including, for instance, if it determines that the Fund’s aggregate net assets in relation to its operating expenses make the continued operation of the Fund unreasonable or imprudent. However, no level of losses will require the Sponsor to terminate a Fund.

 

Note 2 – Principal Contracts and Agreements

 

The Sponsor employs U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services ("Global Fund Services"), for Transfer Agency, Fund Accounting and Fund Administration services. The principal address for Global Fund Services is 615 E. Michigan Street, Milwaukee, WI 53202.

 

For custody services, the Funds will pay to U.S. Bank N.A. 0.0075% of average gross assets up to $1 billion, and .0050% of average gross assets over $1 billion, annually, plus certain per-transaction charges. For Transfer Agency, Fund Accounting and Fund Administration services, which are based on the total assets for all the Funds in the Trust, the Funds will pay to Global Fund Services 0.05% of average gross assets on the first $500 million, 0.04% on the next $500 million, 0.03% on the next $2 billion and 0.02% on the balance over $3 billion annually. A combined minimum annual fee of up to $47,000 for custody, transfer agency, accounting and administrative services is assessed per Fund. These services are recorded as custodian fees and expenses on the combined statements of operations. A summary of these expenses is included below.

 

 
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Table of Contents

 

The Sponsor employs Foreside Fund Services, LLC (“Foreside” or the “Distributor”) as the Distributor for the Funds. The Distribution Services Agreement among the Distributor and the Sponsor calls for the Distributor 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 materials. The Distributor and the Sponsor have also entered into a Securities Activities and Service Agreement (the “SASA”) under which certain employees and officers of the Sponsor are licensed as registered representatives or registered principals of the Distributor, under Financial Industry Regulatory Authority (“FINRA”) rules. For its services as the Distributor, Foreside receives a fee of 0.01% of each Fund’s average daily net assets and an aggregate annual fee of $100,000 for all Funds, along with certain expense reimbursements. For its services under the SASA, Foreside receives a fee of $5,000 per registered representative and $1,000 per registered location. These services are recorded as distribution and marketing fees on the combined statements of operations. A summary of these expenses is included below. Pursuant to a Consulting Services Agreement, Foreside Consulting Services, LLC, performs certain consulting support services for the Trust's Sponsor. Additionally, Foreside Distributors, LLC performs certain distribution consulting services pursuant to a Distribution Consulting Agreement with the  Sponsor.


E D & F Man Capital Markets, Inc. (“E D & F Man”) serves as the Underlying Funds’ clearing broker to execute and clear the Underlying Funds’ futures and provide other brokerage-related services. E D & F Man is registered as a futures commission merchant (“FCM”) with the U.S. CFTC and is a member of the NFA. E D & F Man is also registered as a broker/dealer with the SEC and is a member of FINRA. ED & F Man is a clearing member of ICE Futures U.S., Inc., Chicago Board of Trade, Chicago Mercantile Exchange, New York Mercantile Exchange, and all other major United States commodity exchanges. For Corn, Soybean, Sugar and Wheat Futures Contracts E D & F Man is paid $9.00 per round turn. Prior to August 21, 2019, these expenses were recorded in brokerage commissions on the combined statements of operations. Beginning on August 21, 2019, these expenses were recognized on a per-trade basis. The half-turn is recognized as an unrealized loss on the combined statements of operations for contracts that have been purchased since the change in recognition, and a full turn is recognized as a realized loss on the combined statements of operations when a contract is sold. A summary of these expenses is included below.

 

The sole Trustee of the Trust is Wilmington Trust Company, a Delaware banking corporation. The Trustee will accept service of legal process on the Trust in the State of Delaware and will make certain filings under the Delaware Statutory Trust Act. For its services, the Trustee receives an annual fee of $3,300 from the Trust. These services are recorded in business permits and licenses fees on the combined statements of operations. A summary of these expenses is included below.

 

The Sponsor employs Thales Capital Partners LLC (“Thales”) for distribution and solicitation-related services. Thales is registered as a Broker-Dealer with the SEC and a member of FINRA and the Securities Investor Protection Corporation (“SIPC”). Thales receives a quarterly fee of the higher of $18,750 or 0.10% of new assets raised in referred accounts for distribution and solicitation-related services. This fee based on new assets raised is determined by an agreed upon level of assets at the time of signing the contract. These services are recorded in distribution and marketing fees on the statements of operations. A summary of these expenses is included below:

 

 

 

Three months

ended

June 30,

2021

 

 

Three months

ended

June 30,

2020

 

 

Six months

ended

June 30,

2021

 

 

Six months

ended

 June 30,

2020

 

Amount Recognized for Custody Services

 

$79,596

 

 

$106,162

 

 

$181,240

 

 

$184,034

 

Amount of Custody Services Waived

 

$26,078

 

 

$2,607

 

 

$26,809

 

 

$15,342

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Amount Recognized for Distribution Services

 

$43,666

 

 

$35,719

 

 

$91,315

 

 

$79,422

 

Amount of Distribution Services Waived

 

$17,997

 

 

$1,005

 

 

$24,201

 

 

$2,475

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Amount Recognized for Wilmington Trust

 

$-

 

 

$-

 

 

$-

 

 

$-

 

Amount of Wilmington Trust Waived

 

$-

 

 

$-

 

 

$-

 

 

$-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Amount Recognized for Thales

 

$84,048

 

 

$22,500

 

 

$160,768

 

 

$45,000

 

Amount of Thales Waived

 

$41,175

 

 

$1,647

 

 

$41,678

 

 

$1,777

 

 

 
11

Table of Contents

 

Note 3 – Summary of Significant Accounting Policies

 

Basis of Presentation

 

The accompanying financial statements have been prepared on a combined basis in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) as detailed in the Financial Accounting Standards Board’s Accounting Standards Codification and include the accounts of the Trust, CORN, CANE, SOYB, WEAT and TAGS. Refer to the accompanying separate financial statements for each Fund for more detailed information. The periods represented by the financial statements herein contain the results of CORN, SOYB, CANE, WEAT, and TAGS for the months during which each Fund was in operation, except for eliminations for TAGS as explained below.

 

Given the investment objective of TAGS as described in Note 1 above, TAGS will buy, sell and hold, as part of its normal operations, shares of the four Underlying Funds. The Trust eliminates the shares of the other series of the Trust owned by TAGS from its combined statements of assets and liabilities. The Trust eliminates the net change in unrealized appreciation or depreciation on securities owned by TAGS from its combined statements of operations. The combined statements of changes in net assets and cash flows present a net presentation of the purchases and sales of the Underlying Funds by TAGS.

 

Revenue Recognition

 

Commodity futures contracts are recorded on the trade date. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized appreciation or depreciation on commodity futures contracts are reflected in the combined statements of operations as the difference between the original contract 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. Beginning on August 21, 2019, brokerage commission expenses were recognized on a per-trade basis. The half-turn is recognized as an unrealized loss on the combined statements of operations for contracts that have been purchased since the change in recognition, and a full turn is recognized as a realized loss on the combined statements of operations when a contract is sold. Changes in the appreciation or depreciation between periods are reflected in the combined statements of operations. Interest on cash equivalents with financial institutions are recognized on the accrual basis. The Funds earn interest on funds held at the custodian and other financial institutions at prevailing market rates for such investments.

 

The Sponsor invests a portion of cash in commercial paper, which is deemed a cash equivalent based on the rating and duration of contracts as described in the notes to the combined financial statements and reflected in cash and cash equivalents on the combined statements of assets and liabilities and on the combined statements of cash flows. Accretion on these investments is recognized using the effective interest method in U.S. dollars and included in interest income on the combined statements of operations.

 

The Sponsor invests a portion of the cash held by the broker in short term Treasury Bills as collateral for open futures contracts. Accretion on these investments is recognized using the effective interest method in U.S. dollars and included in interest income on the combined statements of operations.

 

Brokerage Commissions

 

Beginning on August 21, 2019, the Sponsor began recognizing the expense for brokerage commissions for futures contract trades on a per-trade basis. Prior to the change, brokerage commissions on all open commodity futures contracts were accrued on the trade date and on a full-turn basis. The below table shows the amounts included on the statements of operations as total brokerage commissions paid inclusive of unrealized loss for the three and six months ended June 30, 2021 and 2020.

 

CORNSOYBCANEWEATTAGSTRUST
Three Months Ended June 30, 2021$

41,225

$

6,543

$

8,957

$

11,048

$

-

$

67,772

 

Three Months Ended June 30, 2020

 

$25,268

 

 

$5,691

 

 

$5,168

 

 

$7,357

 

 

$

-

 

 

$43,484

 

Six Months Ended June 30, 2021

 

$75,191

 

 

$21,735

 

 

$12,434

 

 

$22,523

 

 

$-

 

 

$131,883

 

Six Months Ended June 30, 2020

 

$40,422

 

 

$10,145

 

 

$8,243

 

 

$14,159

 

 

$1

 

 

$72,970

 

 

 
12

Table of Contents

 

Income Taxes

 

The Trust is organized and will be operated as a Delaware statutory trust. For federal income tax purposes, each Fund will be treated as a publicly traded partnership. A publicly traded partnership is generally treated as a corporation for 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. 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. Each 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 federal income tax purposes. Therefore, the Funds do not record a provision for income taxes because the shareholders report their share of a Fund’s income or loss on their income tax returns. The financial statements reflect the Funds’ transactions without adjustment, if any, required for income tax purposes.

 

The Funds are 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 Funds file income tax returns in the U.S. federal jurisdiction, and may file income tax returns in various U.S. states and foreign jurisdictions. For all tax years 2018 to 2020, the Funds remain subject to income tax examinations by major taxing authorities. The tax benefit recognized is measured as the largest amount of benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement. De-recognition of a tax benefit previously recognized results in the Funds recording a tax liability that reduces net assets. Based on their analysis, the Funds have determined that they have not incurred any liability for unrecognized tax benefits as of June 30, 2021 and for the years ended December 31, 2020, 2019, and 2018. However, the Funds’ conclusions regarding this policy may be subject to review and adjustment at a later date based on factors including, but not limited to, ongoing analysis of and changes to tax laws, regulations, and interpretations thereof.

 

The Funds recognize interest accrued related to unrecognized tax benefits and penalties related to unrecognized tax benefits in income tax fees payable, if assessed. No interest expense or penalties have been recognized as of and for the three and six months ended June 30, 2021 and 2020.

 

The Funds 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 questioning 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.

 

Creations and Redemptions

 

Authorized Purchasers may purchase Creation Baskets from each 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. (EST) time on the day the order to create the basket is received in good order.

 

Authorized Purchasers may redeem shares from each Fund only in blocks of 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. (EST) on the day the order to redeem the basket is received in good order.

 

Each Fund receives or pays the proceeds from shares sold or redeemed within three business days after the trade date of the purchase or redemption. The amounts due from Authorized Purchasers are reflected in the statements of assets and liabilities as capital shares receivable. Amounts payable to Authorized Purchasers upon redemption are reflected in the statements of assets and liabilities as payable for shares redeemed.

 

There are a minimum number of baskets and associated Shares specified for each Fund in the Fund’s respective prospectus, as amended from time to time. If a 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. These minimum levels are as follows:

 

CORN: 50,000 shares representing 2 baskets

SOYB: 50,000 shares representing 2 baskets

CANE: 50,000 shares representing 2 baskets

WEAT: 50,000 shares representing 2 baskets

TAGS: 50,000 shares representing 4 baskets

 

 
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Table of Contents

 

Cash and Cash Equivalents

 

Cash equivalents are highly liquid investments with original maturity dates of 90 days or less when acquired. The Trust reported its cash equivalents in the combined statements of assets and liabilities at market value, or at carrying amounts that approximate fair value, because of their highly liquid nature and short term maturities. Each Fund that is a series of the Trust has the balance of its cash equivalents on deposit with financial institutions. The Trust holds a balance in money market funds that is included in cash and cash equivalents on the combined statements of assets and liabilities. The Sponsor invests a portion of the available cash for the Funds in alternative demand deposit savings accounts, which are classified as cash and not as cash equivalents. Assets deposited with the bank may, at times, exceed federally insured limits. The Sponsor invests a portion of the available cash for the Funds in investment grade commercial paper with durations of 90 days or less, which is classified as a cash equivalent and is not FDIC insured. The Sponsor may invest a portion of the cash held by the broker in short term Treasury Bills as collateral for open futures contracts, which is classified as a cash equivalent and is not FDIC insured.

  

 

 

June 30,

2021

 

 

December 31,

2020

 

Money Market Funds

 

$50,515,885

 

 

$61,121,678

 

Demand Deposit Savings Accounts

 

 

132,650,012

 

 

 

95,809,411

 

Commercial Paper

 

 

129,479,494

 

 

 

152,447,206

 

Total cash and cash equivalents as presented on the combined Statement of Assets and Liabilities

 

$312,645,391

 

 

$309,378,295

 

   

Payable for Purchases of Commercial Paper

 

The amount recorded by the Trust for commercial paper transactions awaiting settlement represents the amount payable for contracts purchased but not yet settled as of the reporting date. The value of the contract is included in cash and cash equivalents, and the payable amount is included as a liability.

 

Due from/to Broker

 

The amount recorded by the Trust 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 commodities 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 commodity 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 Funds’ 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 Funds’ trading, the Funds (and not their shareholders personally) are 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.

 

 
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Table of Contents

 

Payable/Receivable for Securities Purchased/Sold

 

Due from/to broker for investments in securities are securities transactions pending settlement. The Trust and the Funds are subject to credit risk to the extent any broker with whom it conducts business is unable to fulfill contractual obligations on its behalf. The management of the Trust and the Funds monitors the financial condition of such brokers and does not anticipate any losses from these counterparties. From inception through September 11, 2019, the principal broker through which the Trust and TAGS can execute securities transaction for TAGS was the Bank of New York Mellon Capital Markets. Effective September 11, 2019, the principal broker through which the Trust and TAGS can execute securities transactions for TAGS is U.S. Bank N.A.

 

Sponsor Fee, Allocation of Expenses and Related Party Transactions

 

The Sponsor is responsible for investing the assets of the Funds in accordance with the objectives and policies of each Fund. In addition, the Sponsor arranges for one or more third parties to provide administrative, custodial, accounting, transfer agency and other necessary services to the Trust and the Funds. In addition, the Sponsor has elected not to outsource services directly attributable to the Trust and the Funds such as accounting, financial reporting, regulatory compliance and trading activities, which the Sponsor performs itself. In addition, the Funds, except for TAGS which has no such fee, are contractually obligated to pay a monthly management fee to the Sponsor, based on average daily net assets, at a rate equal to 1.00% per annum.

 

The Funds pay for all brokerage fees, taxes and other expenses, including licensing fees for the use of intellectual property, registration or other fees paid to the SEC, FINRA or any other regulatory agency in connection with the offer and sale of subsequent Shares, after its initial registration, and all legal, accounting, printing and other expenses associated therewith. The Funds also pay the fees and expenses associated with the Trust’s tax accounting and reporting requirements. Certain aggregate expenses common to all Funds within the Trust are allocated by the Sponsor to the respective Fund based on activity drivers deemed most appropriate by the Sponsor for such expenses, including but not limited to relative assets under management and creation order activity. These aggregate common expenses include, but are not limited to, legal, auditing, accounting and financial reporting, tax-preparation, regulatory compliance, trading activities, and insurance costs, as well as fees paid to the Distributor, which are included in the related line item in the combined statements of operations. A portion of these aggregate common expenses are related to the Sponsor or related parties of principals of the Sponsor; these are necessary services to the Trust and the Funds, which are primarily the cost of performing accounting and financial reporting, regulatory compliance, and trading activities that are directly attributable to the Trust and the Funds. Such expenses are primarily included as distribution and marketing fees in the financial statements of each Fund.

 

 

 

Three months

ended

June 30,

2021

 

 

Three months

ended

June 30,

 2020

 

 

Six months

ended

June 30,

2021

 

 

Six months

ended

June 30,

2020

 

Recognized Related Party Transactions

 

$657,508

 

 

$481,113

 

 

$1,183,727

 

 

$1,072,237

 

Waived Related Party Transactions

 

$331,101

 

 

$84,225

 

 

$450,842

 

 

$184,907

 

     

The Sponsor has the ability to elect to pay certain expenses on behalf of the Funds or waive the management fee. This election is subject to change by the Sponsor, at its discretion. Expenses paid by the Sponsor and Management fees waived by the Sponsor are, if applicable, presented as waived expenses in the statements of operations for each Fund. The Sponsor has determined that there will be no recovery sought for the amounts below in any future period.

 

 

 

CORN

 

 

SOYB

 

 

CANE

 

 

WEAT

 

 

TAGS

 

 

TRUST

 

Three months ended June 30, 2021

 

$321,515

 

 

$243,419

 

 

$31,549

 

 

$95,936

 

 

$21,459

 

 

$713,878

 

Three months ended June 30, 2020

 

$108,468

 

 

$47,076

 

 

$76,539

 

 

$-

 

 

$11,681

 

 

$243,764

 

Six months ended June 30, 2021

 

$441,781

 

 

$305,996

 

 

$58,039

 

 

$124,651

 

 

$35,595

 

 

$966,062

 

Six months ended June 30, 2020

 

$195,575

 

 

$77,047

 

 

$113,892

 

 

$-

 

 

$30,503

 

 

$417,017

 

 

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.

 

 
15

Table of Contents

 

Fair Value - Definition and Hierarchy

 

In accordance with U.S. 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 Trust uses various valuation approaches. In accordance with U.S. 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 Trust. Unobservable inputs reflect the Trust’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:


Level 1 - Valuations based on unadjusted quoted prices in active markets for identical assets or liabilities that the Trust has the ability to access. Valuation adjustments and block discounts are not applied to Level 1 futures contracts held by CORN, SOYB, CANE and WEAT, the securities of the Underlying Funds held by TAGS, and any other securities held by any Fund, together referenced throughout this filing as “financial instruments.” Since valuations are based on quoted prices that are readily and regularly available in an active market, valuation of these securities 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.

 

Fair value is a market-based measure considered from the perspective of a market participant rather than an entity-specific measure. Therefore, even when market assumptions are not readily available, the Trust’s own assumptions are set to reflect those that market participants would use in pricing the asset or liability at the measurement date. The Trust uses prices and inputs that are current as of the measurement date, including periods of market dislocation. In periods of market dislocation, the observability of prices and inputs may be reduced for many financial instruments. This condition could cause a financial instrument to be reclassified to a lower level within the fair value hierarchy. For instance, when Corn Futures Contracts on the Chicago Board of Trade (“CBOT”) are not actively trading due to a “limit-up” or ‘limit-down” condition, meaning that the daily change in the Corn Futures Contracts has exceeded the limits established, the Trust and the Fund will revert to alternative verifiable sources of valuation of its assets. When such a situation exists on a quarter close, the Sponsor will calculate the NAV on a particular day using the Level 1 valuation but will later recalculate the NAV for the impacted Fund based upon the valuation inputs from these alternative verifiable sources (Level 2 or Level 3) and will report such NAV in its applicable financial statements and reports.

 

On June 30, 2021 and December 31, 2020, in the opinion of the Trust, the reported value at the close of the market for each commodity contract fairly reflected the value of the futures and no alternative valuations were required, except for the Sep21 CBOT corn futures and the Dec21 CBOT corn futures, which settled in a “limit up” condition on June 30, 2021. Therefore, the Trust and CORN have used alternative verifiable sources to value these contracts on June 30, 2021 and the financial statements of CORN and TAGS, due to the NAV adjustment for the Underlying Fund, have been adjusted accordingly. The adjustment in CORN has resulted in a $711,275 increase in the unrealized change in commodity futures contracts in excess of reported CBOT values and have classified these as a Level 2 asset for the period ended June 30, 2021. The determination is made as of the settlement of the futures contracts on the last day of trading for the reporting period.

 

For the quarter ended March 31, 2021, Corn Futures Contracts for the Jul21 CBOT corn futures, Sep21 CBOT corn futures, Dec21 CBOT corn futures, Jul21 CBOT soybean futures, and the Nov21 CBOT soybean futures, settled in a “limit up” condition. Accordingly, the Trust, CORN, and SOYB classified these as Level 2 assets.  The financial statements of these funds including TAGS, due to the NAV adjustment for each of these Underlying Funds, were adjusted accordingly. The adjustment resulted in an increase in the unrealized change in commodity futures contracts in excess of reported CBOT values of $3,371,513 for CORN and $279,750 for SOYB. The Soybean futures contracts transferred back to a Level 1 asset for the period ended June 30, 2021, and the Sept21 and Dec21 corn futures contracts remained a Level 2 asset as described above.

 

 
16

Table of Contents

 

For the quarter ended June 30, 2020, the Dec21 CBOT Wheat Futures Contracts traded on the CBOT did not, in the opinion of the Trust and WEAT, trade in an actively traded futures market as defined in the policy of the Trust and WEAT for the entire period during which they were held. Accordingly, the Trust and WEAT classified these as a Level 2 asset for the period ended June 30, 2020 due to the quarterly average daily volume for the contract. These Wheat contracts transferred back to a Level 1 asset for the period ended September 30, 2020.

 

The Funds and the Trust record their derivative activities at fair value. Gains and losses from derivative contracts are included in the statements of operations. Derivative contracts include futures contracts related to commodity prices. Futures, which are listed on a national securities exchange, such as the CBOT and the ICE, or reported on another national market, are generally categorized in Level 1 of the fair value hierarchy. OTC derivatives contracts (such as forward and swap contracts), which may be valued using models, depending on whether significant inputs are observable or unobservable, are categorized in Levels 2 or 3 of the fair value hierarchy.


Investments in the securities of the Underlying Funds are freely traded and listed on the NYSE Arca. These investments are valued at the NAV of the Underlying Fund as of the valuation date as calculated by the administrator based on the exchange-quoted prices of the commodity futures contracts held by the Underlying Fund.

 

Expenses

 

Expenses are recorded using the accrual method of accounting.

 

New Accounting Pronouncements

 

The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2020-10: “Codification Improvements.” The amendment improves the disclosure guidance in appropriate Disclosure Sections, without resulting in changes to current GAAP. The amendment is effective for annual periods beginning after December 15, 2020. The Sponsor is evaluating the impacts, but the amendment is not expected to have a material impact on the financial statements of the Trust or the Funds.

 

The FASB issued ASU 2020-02: “Financial Instruments Credit Losses (Topic 326) and Leases (Topic 842): Amendments to SEC Paragraphs Pursuant to SEC Staff Accounting Bulletin No. 119 and Update to SEC Section on Effective Date Related to Accounting Standards Update No. 2016-02, Leases (Topic 842). The amendment updates and adds language to ASU 2016-02. The amendments were adopted for the quarter ended March 31, 2020; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Funds.

 

The FASB issued ASU 2020-01: Investments Equity Securities (Topic 321), Investments Equity Method and Joint Ventures (Topic 323), and Derivatives and Hedging (Topic 815) Clarifying the Interactions between Topic 321, Topic 323, and Topic 815. The amendments clarify the treatment of transactions that require a company to apply or discontinue the equity method of accounting. The amendments were adopted early for the quarter ended March 31, 2020; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Funds.

 

The FASB issued ASU 2019-01: "Leases (Topic 842): Codification Improvements. These amendments align the guidance for fair value of underlying assets by lessors that are not manufacturers or dealers in Topic 842 with that of existing guidance. The amendments were adopted for the quarter ended September 30, 2020; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Funds.

 

The FASB issued ASU 2018-13: “Fair Value Measurement (Topic 820): Disclosure Framework Changes to the Disclosure Requirements for Fair Value Measurement. These amendments modify public and private company fair value disclosure requirements. While some disclosures were removed or modified, others were added. The guidance is a result of the FASB’s test of the principals developed to improve the effectiveness of disclosures in the notes to the financial statements. The amendments were adopted for the quarter ended March 31, 2020; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Funds.

 

The FASB issued ASU 2017-13, “Revenue Recognition (Topic 605), Leases (Topic 840), and Leases (Topic 842): Amendments to SEC Paragraphs Pursuant to the Staff Announcement at the July 20, 2017 EITF Meeting and Rescission of Prior SEC Staff Announcements and Observer Comments”. The amendment amends the early adoption date option for certain companies related to adoption of ASU No. 2014-09 and ASU No. 2016-02. The SEC staff stated the SEC would not object to a public business entity that otherwise would not meet the definition of a public business entity except for a requirement to include or the inclusion of its financial statements or financial information in another entity’s filing with the SEC adopting ASC Topic 842 for fiscal years beginning after December 15, 2019, and interim periods within fiscal years beginning after December 15, 2020. The amendments were adopted for the quarter ended September 30, 2020; the adoption did not have a material impact on the financial statements and disclosures of the Trust or the Fund.

 

 
17

Table of Contents

 

Note 4 – Fair Value Measurements

 

The Trust’s assets and liabilities recorded at fair value have been categorized based upon a fair value hierarchy as described in the Trust’s significant accounting policies in Note 3. The following table presents information about the Trust’s assets and liabilities measured at fair value as of June 30, 2021 and December 31, 2020:

 

June 30, 2021

 

Assets:

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Balance as of

June 30, 2021

 

Cash Equivalents

 

$179,995,379

 

 

$-

 

 

$-

 

 

$179,995,379

 

Commodity Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corn futures contracts

 

 

-

 

 

 

19,644,395

 

 

 

-

 

 

 

19,644,395

 

Soybean futures contracts

 

 

7,084,288

 

 

 

-

 

 

 

-

 

 

 

7,084,288

 

Sugar futures contracts

 

 

1,964,820

 

 

 

-

 

 

 

-

 

 

 

1,964,820

 

Wheat futures contracts

 

 

4,165,999

 

 

 

-

 

 

 

-

 

 

 

4,165,999

 

Total

 

$193,210,486

 

 

$19,644,395

 

 

$-

 

 

$212,854,881

 

 

Liabilities

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Balance as of

June 30, 2021

 

Commodity Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

Corn futures contracts

 

$1,110,723

 

 

$-

 

 

$-

 

 

$1,110,723

 

Wheat futures contracts

 

 

232,887

 

 

 

-

 

 

 

-

 

 

 

232,887

 

Total

 

$1,343,610

 

 

$-

 

 

$-

 

 

$1,343,610

 

  

December 31, 2020

 

Assets:

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Balance as of December 31, 2020

 

Cash Equivalents

 

$213,568,884

 

 

$-

 

 

$-

 

 

$213,568,884

 

Commodity Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corn futures contracts

 

 

20,154,606

 

 

 

-

 

 

 

-

 

 

$20,154,606

 

Soybean futures contracts

 

 

15,124,226

 

 

 

-

 

 

 

-

 

 

$15,124,226

 

Sugar futures contracts

 

 

1,407,703

 

 

 

-

 

 

 

-

 

 

$1,407,703

 

Wheat futures contracts

 

 

5,738,162

 

 

 

-

 

 

 

-

 

 

$5,738,162

 

Total

 

$255,993,581

 

 

$-

 

 

$-

 

 

$255,993,581

 

   

For the three and six months ended June 30, 2021 and year ended December 31, 2020, the Funds did not have any significant transfers between any of the levels of the fair value hierarchy except for: the Sep21 CBOT corn futures and the Dec 21 CBOT corn futures which were reflected as a Level 2 investment for the period ended June 30, 2021 due to a “limit up” situation; the July21 CBOT corn futures, Sep21 CBOT corn futures, Dec21 CBOT corn futures, Jul21 CBOT soybean futures, and the Nov21 CBOT soybean futures, which were reflected as a Level 2 investment for the period ended March 31, 2021 due to a “limit up” situation. The Soybean futures contracts transferred back to a Level 1 asset for the period ended June 30, 2021, and the Sep21 and Dec21 corn futures contracts remained a Level 2 asset. The Dec 21 CBOT Wheat contracts held by WEAT, which were reflected as a Level 2 investment for the period ended June 30, 2020 due to the quarterly average daily volume for the contract and which were transferred back to a Level 1 asset for the period ended September 30, 2020.

 

See the Fair Value - Definition and Hierarchy section in Note 3 above for an explanation of the transfers into and out of each level of the fair value hierarchy.

 

 
18

Table of Contents

 

Note 5 – Derivative Instruments and Hedging Activities

 

In the normal course of business, the Funds utilize 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 Funds’ 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 Funds are also subject to additional counterparty risk due to inability of its counterparties to meet the terms of their contracts. For the three and six months ended June 30, 2021 and year ended December 31, 2020, the Funds invested only in commodity futures contracts specifically related to each Fund.

 

Futures Contracts

 

The Funds are subject to commodity price risk in the normal course of pursuing their 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 FCM. Subsequent payments (variation margin) are made or received by each Fund each day, depending on the daily fluctuations in the value of the contract, and are recorded as unrealized gains or losses by each Fund. Futures contracts may reduce the Funds’ 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 each 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 combined 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.”

 

The following table also identifies the fair value amounts of derivative instruments included in the combined statements of assets and liabilities as derivative contracts, categorized by primary underlying risk and held by the FCM, E D & F Man as of June 30, 2021 and December 31, 2020.

 

Offsetting of Financial Assets and Derivative Assets as of June 30, 2021

 

 

 

(i)

 

 

(ii)

 

 

(iii) = (i)-(ii)

 

 

(iv)

 

 

(v)=(iii)-(iv)

 

 

 

 

 

 

 

 

 

Gross Amount Not Offset in the Statement of Assets and Liabilities

 

 

 

Description

 

Gross Amount of Recognized Assets

 

 

Gross Amount Offset in the Statement of Assets and Liabilities

 

 

Net Amount Presented in the Statement of Assets and Liabilities

 

 

Futures Contracts Available for Offset

 

 

Collateral, Due to Broker

 

 

Net Amount

 

Commodity Price

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corn futures contracts

 

$19,644,395

 

 

$-

 

 

$19,644,395

 

 

$1,110,723

 

 

$-

 

 

$18,533,672

 

Soybean futures contracts

 

$7,084,288

 

 

$-

 

 

$7,084,288

 

 

$-

 

 

$-

 

 

$7,084,288

 

Sugar futures contracts

 

$1,964,820

 

 

$-

 

 

$1,964,820

 

 

$-

 

 

$420,810

 

 

$1,544,010

 

Wheat futures contracts

 

$4,165,999

 

 

$-

 

 

$4,165,999

 

 

$232,887

 

 

$-

 

 

$3,933,112

 

 

 
19

Table of Contents

 

Offsetting of Financial Liabilities and Derivative Liabilities as of June 30, 2021

 

 

 

(i)

 

 

(ii)

 

 

(iii) = (i)-(ii)

 

 

(iv)

 

 

(v)=(iii)-(iv)

 

 

 

 

 

 

 

 

 

 

 

 

Gross Amount Not Offset in the Statement of Assets and Liabilities

 

 

 

 

Description

 

Gross Amount of Recognized Liabilities

 

 

Gross Amount Offset in the Statement of Assets and Liabilities

 

 

Net Amount Presented in the Statement of Assets and Liabilities