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 September 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 November 8, 2021

 

Teucrium Corn Fund

 

 

6,050,004

 

Teucrium Sugar Fund

 

 

2,700,004

 

Teucrium Soybean Fund

 

 

2,250,004

 

Teucrium Wheat Fund

 

 

10,375,004

 

Teucrium Agricultural Fund

 

 

325,002

 

 

 

 

 

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

 

152

 

 

 

 

 

 

Item 4.

Controls and Procedures

 

155

 

 

 

 

 

 

Part II. OTHER INFORMATION

 

156

 

 

 

 

 

 

Item 1.

Legal Proceedings

 

156

 

 

 

 

 

 

Item 1A.

Risk Factors

 

156

 

 

 

 

 

 

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

 

174

 

 

 

 

 

 

Item 3.

Defaults Upon Senior Securities

 

176

 

 

 

 

 

 

Item 4.

Mine Safety Disclosures

 

176

 

 

 

 

 

 

Item 5.

Other Information

 

176

 

 

 

 

 

 

Item 6.

Exhibits

 

177

 

 

 
2

 

 

Part I. FINANCIAL INFORMATION

  

Item 1. Financial Statements.

 

Index to Financial Statements

 

Documents

 

Page

 

TEUCRIUM COMMODITY TRUST

 

 

 

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

 

4

 

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

 

5

 

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

 

7

 

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

 

8

 

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

 

9

 

Notes to Combined Financial Statements

 

10

 

TEUCRIUM CORN FUND

 

 

 

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

 

24

 

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

 

25

 

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

 

27

 

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

 

28

 

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

 

29

 

Notes to Financial Statements

 

30

 

TEUCRIUM SOYBEAN FUND

 

 

 

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

 

42

 

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

 

43

 

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

 

45

 

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

 

46

 

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

 

47

 

Notes to Financial Statements

 

48

 

TEUCRIUM SUGAR FUND

 

 

 

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

 

60

 

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

 

61

 

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

 

63

 

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

 

64

 

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

 

65

 

Notes to Financial Statements

 

66

 

TEUCRIUM WHEAT FUND

 

 

 

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

 

77

 

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

 

78

 

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

 

80

 

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

 

81

 

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

 

82

 

Notes to Financial Statements

 

83

 

TEUCRIUM AGRICULTURAL FUND

 

 

 

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

 

95

 

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

 

96

 

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

 

98

 

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

 

99

 

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

 

100

 

Notes to Financial Statements

 

101

 

 

 
3

Table of Contents

 

TEUCRIUM COMMODITY TRUST

COMBINED STATEMENTS OF ASSETS AND LIABILITIES

 

 

 

September 30,

2021

 

 

December 31,

2020

 

 

 

(Unaudited)

 

 

 

 

Assets

 

 

 

 

 

 

Cash and cash equivalents

 

$254,300,174

 

 

$309,378,295

 

Interest receivable

 

 

18,584

 

 

 

16,982

 

Other assets

 

 

30

 

 

 

38

 

Capital shares receivable

 

 

-

 

 

 

307,830

 

Equity in trading accounts:

 

 

 

 

 

 

 

 

Commodity futures contracts

 

 

9,819,105

 

 

 

42,424,697

 

Due from broker

 

 

10,577,745

 

 

 

-

 

Total equity in trading accounts

 

 

20,396,850

 

 

 

42,424,697

 

Total assets

 

$274,715,638

 

 

$352,127,842

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

Management fee payable to Sponsor

 

 

225,510

 

 

 

264,709

 

Payable for purchases of commercial paper

 

 

4,997,510

 

 

 

9,995,298

 

Other liabilities

 

 

296,068

 

 

 

71,568

 

Payable for shares redeemed

 

 

-

 

 

 

4,404,915

 

Equity in trading accounts:

 

 

 

 

 

 

 

 

Commodity futures contracts

 

 

1,805,135

 

 

 

-

 

Due to broker

 

 

346,666

 

 

 

27,278,158

 

Total equity in trading accounts

 

 

2,151,801

 

 

 

27,278,158

 

Total liabilities

 

 

7,670,889

 

 

 

42,014,648

 

 

 

 

 

 

 

 

 

 

Net Assets

 

$267,044,749

 

 

$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

September 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 $22,060,622)

 

$22,060,622

 

 

 

8.26%

 

 

22,060,622

 

Goldman Sachs Financial Square Government Fund - Institutional Class (cost: $3,550,336)

 

 

3,550,336

 

 

 

1.33

 

 

 

3,550,336

 

Total money market funds (cost $25,610,958)

 

$25,610,958

 

 

 

9.59%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal

Amount

 

Commercial Paper

 

 

 

 

 

 

 

 

 

 

 

 

Brookfield Infrastructure Holdings (Canada) Inc. 0.178% (cost: $12,496,844 due: 11/03/2021)

 

$12,497,958

 

 

 

4.68%

 

 

12,500,000

 

General Motors Financial Company, Inc. 0.150% (cost: $4,998,166 due: 10/04/2021)

 

 

4,999,938

 

 

 

1.87

 

 

 

5,000,000

 

General Motors Financial Company, Inc. 0.172% (cost: $9,996,980 due: 11/04/2021)

 

 

9,998,395

 

 

 

3.74

 

 

 

10,000,000

 

General Motors Financial Company, Inc. 0.170% (cost: $4,998,630 due: 11/10/2021)

 

 

4,999,056

 

 

 

1.87

 

 

 

5,000,000

 

Glencore Funding LLC 0.150% (cost: $4,998,210 due: 10/06/2021)

 

 

4,999,896

 

 

 

1.87

 

 

 

5,000,000

 

Harley-Davidson Financial Services, Inc. 0.150% (cost: $8,997,300 due: 10/14/2021)

 

 

8,999,512

 

 

 

3.37

 

 

 

9,000,000

 

Harley-Davidson Financial Services, Inc. 0.160% (cost: $7,497,033 due: 11/03/2021)

 

 

7,498,900

 

 

 

2.81

 

 

 

7,500,000

 

Harley-Davidson Financial Services, Inc. 0.150% (cost: $2,499,333 due: 11/19/2021)

 

 

2,499,489

 

 

 

0.94

 

 

 

2,500,000

 

Jabil Inc. 0.262% (cost: $14,995,751 due: 10/19/2021)

 

 

14,998,038

 

 

 

5.62

 

 

 

15,000,000

 

Jabil Inc. 0.260% (cost: $4,998,340 due: 10/29/2021)

 

 

4,998,990

 

 

 

1.87

 

 

 

5,000,000

 

National Fuel Gas Company 0.200% (cost: $9,998,832 due: 10/08/2021)

 

 

9,999,612

 

 

 

3.74

 

 

 

10,000,000

 

Viatris Inc. 0.274% (cost: $9,993,151 due: 10/18/2021)

 

 

9,998,705

 

 

 

3.74

 

 

 

10,000,000

 

Viatris Inc. 0.220% (cost: $4,997,434 due: 10/18/2021)

 

 

4,999,481

 

 

 

1.87

 

 

 

5,000,000

 

Viatris Inc. 0.230% (cost: $4,997,510 due: 12/21/2021)

 

 

4,997,510

 

 

 

1.87

 

 

 

5,000,000

 

Total Commercial Paper (cost: $106,463,514)

 

$106,485,480

 

 

 

39.86%

 

 

 

 

Total Cash Equivalents

 

$132,096,438

 

 

 

49.45%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Notional Amount

 

 

 

 

 

 

 

 

 

 

 

(Long Exposure)

 

Commodity futures contracts

 

 

 

 

 

 

 

 

 

 

 

 

United States corn futures contracts

 

 

 

 

 

 

 

 

 

 

 

 

CBOT corn futures MAY22 (1,312 contracts)

 

$1,420,596

 

 

 

0.53

%

 

$36,014,400

 

CBOT corn futures DEC22 (1,624 contracts)

 

 

559,705

 

 

 

0.21

 

 

 

42,447,300

 

 

 

 

 

 

 

 

 

 

 

 

 

 

United States soybean futures contracts

 

 

 

 

 

 

 

 

 

 

 

 

CBOT soybean futures NOV22 (268 contracts)

 

 

1,045,744

 

 

 

0.39

 

 

 

16,666,250

 

 

 

 

 

 

 

 

 

 

 

 

 

 

United States sugar futures contracts

 

 

 

 

 

 

 

 

 

 

 

 

ICE sugar futures MAY22 (414 contracts)

 

 

909,895

 

 

 

0.34

 

 

 

9,162,317

 

ICE sugar futures JUL22 (368 contracts)

 

 

183,614

 

 

 

0.07

 

 

 

7,859,891

 

ICE sugar futures MAR23 (439 contracts)

 

 

1,161,145

 

 

 

0.43

 

 

 

9,066,579

 

 

 

 

 

 

 

 

 

 

 

 

 

 

United States wheat futures contracts

 

 

 

 

 

 

 

 

 

 

 

 

CBOT wheat futures MAR22 (695 contracts)

 

 

2,691,398

 

 

 

1.01

 

 

 

25,593,375

 

CBOT wheat futures MAY22 (593 contracts)

 

 

1,097,519

 

 

 

0.41

 

 

 

21,926,175

 

CBOT wheat futures DEC22 (708 contracts)

 

 

749,489

 

 

 

0.28

 

 

 

25,788,900

 

Total commodity futures contracts

 

$9,819,105

 

 

 

3.67%

 

$194,525,187

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percentage of

 

 

Notional Amount

 

Description: Liabilities

 

Fair Value

 

 

Net Assets

 

 

(Long Exposure)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commodity futures contracts

 

 

 

 

 

 

 

 

 

 

 

 

United States corn futures contracts

 

 

 

 

 

 

 

 

 

 

 

 

CBOT corn futures MAR22 (1,544 contracts)

 

$89,136

 

 

 

0.03%

 

$42,035,400

 

 

 

 

 

 

 

 

 

 

 

 

 

 

United States soybean futures contracts

 

 

 

 

 

 

 

 

 

 

 

 

CBOT soybean futures JAN22 (261 contracts)

 

 

1,423,625

 

 

 

0.53

 

 

 

16,514,775

 

CBOT soybean futures MAR22 (222 contracts)

 

 

292,374

 

 

 

0.11

 

 

 

14,119,200

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total commodity futures contracts

 

$1,805,135

 

 

 

0.67%

 

$72,669,375

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Exchange-traded funds*

 

 

 

 

 

 

 

 

 

Shares

 

Teucrium Corn Fund

 

$2,191,357

 

 

 

0.82

%

 

 

108,297

 

Teucrium Soybean Fund

 

 

2,070,600

 

 

 

0.78

 

 

 

94,149

 

Teucrium Sugar Fund

 

 

2,095,400

 

 

 

0.78

 

 

 

219,042

 

Teucrium Wheat Fund

 

 

2,183,748

 

 

 

0.82

 

 

 

309,107

 

Total exchange-traded funds (cost $7,335,496)

 

$8,541,105

 

 

 

3.20%

 

 

 

 

_____________

*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

 

 

Nine months

ended

 

 

Nine months

ended

 

 

 

September 30,

2021

 

 

September 30,

2020

 

 

September 30,

2021

 

 

September 30,

2020

 

Income

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

 

 

 

Realized gain (loss) on commodity futures contracts

 

$15,419,113

 

 

$5,135,178

 

 

$109,828,706

 

 

$(4,142,159)

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

 

 

(23,501,922)

 

 

25,250,892

 

 

 

(34,410,727)

 

 

14,297,584

 

Interest income

 

 

113,104

 

 

 

189,590

 

 

 

430,283

 

 

 

1,178,703

 

Total income (loss)

 

 

(7,969,705)

 

 

30,575,660

 

 

 

75,848,262

 

 

 

11,334,128

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Management fees

 

 

749,229

 

 

 

629,881

 

 

 

2,549,948

 

 

 

1,370,646

 

Professional fees

 

 

219,475

 

 

 

203,202

 

 

 

928,149

 

 

 

961,686

 

Distribution and marketing fees

 

 

920,861

 

 

 

768,315

 

 

 

2,509,136

 

 

 

2,047,260

 

Custodian fees and expenses

 

 

99,410

 

 

 

114,154

 

 

 

280,651

 

 

 

298,189

 

Business permits and licenses fees

 

 

11,051

 

 

 

73,705

 

 

 

107,406

 

 

 

182,649

 

General and administrative expenses

 

 

58,673

 

 

 

57,443

 

 

 

263,366

 

 

 

233,715

 

Other expenses

 

 

17

 

 

 

2,734

 

 

 

17

 

 

 

2,759

 

Total expenses

 

 

2,058,716

 

 

 

1,849,434

 

 

 

6,638,673

 

 

 

5,096,904

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses waived by the Sponsor

 

 

(684,792)

 

 

(401,702)

 

 

(1,650,854)

 

 

(818,719)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses, net

 

 

1,373,924

 

 

 

1,447,732

 

 

 

4,987,819

 

 

 

4,278,185

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net (loss) income

 

$(9,343,629)

 

$29,127,928

 

 

$70,860,443

 

 

$7,055,943

 

 

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)

 

 

 

Nine months

ended

 

 

Nine months

ended

 

 

 

September 30,

2021

 

 

September 30,

2020

 

Operations

 

 

 

 

 

 

Net income

 

$70,860,443

 

 

$7,055,943

 

Capital transactions

 

 

 

 

 

 

 

 

Issuance of Shares

 

 

134,705,493

 

 

 

279,799,802

 

Redemption of Shares

 

 

(242,902,007)

 

 

(98,585,169)
Net change in the cost of the Underlying Funds

 

 

(5,732,374)

 

 

211,896

 

Total capital transactions

 

 

(113,928,888)

 

 

181,426,529

 

 

 

 

 

 

 

 

 

 

Net change in net assets

 

 

(43,068,445)

 

 

188,482,472

 

 

 

 

 

 

 

 

 

 

Net assets, beginning of period

 

 

310,113,194

 

 

 

167,906,597

 

 

 

 

 

 

 

 

 

 

Net assets, end of period

 

$267,044,749

 

 

$356,389,069

 

 

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

 

 
8

Table of Contents

 

TEUCRIUM COMMODITY TRUST

COMBINED STATEMENTS OF CASH FLOWS

(Unaudited)

 

 

 

Nine months

ended

 

 

Nine months

ended

 

 

 

September 30,

2021

 

 

September 30,

2020

 

Cash flows from operating activities:

 

 

 

 

 

 

Net income

 

$70,860,443

 

 

$7,055,943

 

Adjustments to reconcile net income to net cash provided by/(used in) operating activities:

 

 

 

 

 

 

 

 

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

 

 

34,410,727

 

 

 

(14,297,584)
Changes in operating assets and liabilities:

 

 

 

 

 

 

 

 

Due from broker

 

 

(10,577,745)

 

 

(4,127,995)

Interest receivable

 

 

(1,602)

 

 

(18,128)

Other assets

 

 

8

 

 

 

(10,018)

Due to broker

 

 

(26,931,492)

 

 

(4,387,950)

Management fee payable to Sponsor

 

 

(39,199)

 

 

112,348

 

Payable for purchases of commercial paper

 

 

(4,997,788)

 

 

9,999,526

 

Other liabilities

 

 

224,500

 

 

 

193,088

 

Net cash provided by/(used in) operating activities

 

 

62,947,852

 

 

 

(4,823,380)

 

 

 

 

 

 

 

 

 

Cash flows from financing activities:

 

 

 

 

 

 

 

 

Proceeds from sale of Shares

 

 

135,013,323

 

 

 

279,799,802

 

Redemption of Shares

 

 

(247,306,922)

 

 

(97,927,779)

Net change in cost of the Underlying Funds

 

 

(5,732,374)

 

 

211,896

 

Net cash (used in)/provided by financing activities

 

 

(118,025,973)

 

 

181,426,529

 

 

 

 

 

 

 

 

 

 

Net change in cash and cash equivalents

 

 

(55,078,121)

 

 

176,603,149

 

Cash and cash equivalents beginning of period

 

 

309,378,295

 

 

 

166,081,885

 

Cash and cash equivalents end of period

 

$254,300,174

 

 

$342,685,034

 

 

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

 

 
9

Table of Contents

 

NOTES TO COMBINED FINANCIAL STATEMENTS

September 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 nine months ended September 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 month ended

 

 

Three month ended

 

 

Nine month ended

 

 

Nine month ended

 

 

 

September 30,

2021

 

 

September 30,

2020

 

 

September 30,

2021

 

 

September 30,

2020

 

Amount Recognized for Custody Services

 

$99,410

 

 

$114,155

 

 

$280,651

 

 

$298,189

 

Amount of Custody Services Waived

 

$53,146

 

 

$18,742

 

 

$79,955

 

 

$34,084

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Amount Recognized for Distribution Services

 

$41,306

 

 

$38,382

 

 

$132,621

 

 

$117,804

 

Amount of Distribution Services Waived

 

$36,153

 

 

$15,640

 

 

$60,354

 

 

$18,115

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Amount Recognized for Wilmington Trust

 

$3,300

 

 

$-

 

 

$3,300

 

 

$-

 

Amount of Wilmington Trust Waived

 

$991

 

 

$-

 

 

$991

 

 

$-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Amount Recognized for Thales

 

$92,386

 

 

$22,500

 

 

$253,154

 

 

$67,500

 

Amount of Thales Waived

 

$92,386

 

 

$6,977

 

 

$134,064

 

 

$8,754

 

 

 
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. 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 nine months ended September 30, 2021 and 2020.

 

 

 

CORN

 

 

SOYB

 

 

CANE

 

 

WEAT

 

 

TAGS

 

 

TRUST

 

Three months ended September 30, 2021

 

$43,677

 

 

$4,833

 

 

$6,613

 

 

$17,330

 

 

$-

 

 

$72,452

 

Three months ended September 30, 2020

 

$73,503

 

 

$15,066

 

 

$5,311

 

 

$14,900

 

 

$-

 

 

$108,780

 

Nine months ended September 30, 2021

 

$118,868

 

 

$26,568

 

 

$19,047

 

 

$39,852

 

 

$-

 

 

$204,334

 

Nine months ended September 30, 2020

 

$113,925

 

 

$25,211

 

 

$13,554

 

 

$29,059

 

 

$1

 

 

$181,749

 

 

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.

 

 
12

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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 September 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 nine months ended September 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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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.

 

 

 

September 30,

2021

 

 

December 31,

2020

 

Money Market Funds

 

$25,610,958

 

 

$61,121,678

 

Demand Deposit Savings Accounts

 

 

122,203,736

 

 

 

95,809,411

 

Commercial Paper

 

 

106,485,480

 

 

 

152,447,206

 

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

 

$254,300,174

 

 

$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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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

 

 

Three months

ended

 

 

Nine months

ended

 

 

Nine months

ended

 

 

 

September 30,

2021

 

 

September 30,

2020

 

 

September 30,

2021

 

 

September 30,

2020

 

Recognized Related Party Transactions

 

$518,894

 

 

$478,615

 

 

$1,702,621

 

 

$1,550,852

 

Waived Related Party Transactions

 

$284,739

 

 

$253,990

 

 

$735,581

 

 

$438,897

 

  

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 September 30, 2021

 

$347,523

 

 

$173,635

 

 

$29,699

 

 

$104,989

 

 

$28,946

 

 

$684,792

 

Three months ended September 30, 2020

 

$190,244

 

 

$159,329

 

 

$32,961

 

 

$16,384

 

 

$2,784

 

 

$401,702

 

Nine months ended September 30, 2021

 

$789,304

 

 

$479,631

 

 

$87,738

 

 

$229,640

 

 

$64,541

 

 

$1,650,854

 

Nine months ended September 30, 2020

 

$385,819

 

 

$236,376

 

 

$146,853

 

 

$16,384

 

 

$33,287

 

 

$818,719

 

  

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 amounts 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.

 

 
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Fair Value - Definition and Hierarchy

 

In accordance with U.S. GAAP, fair value is defined as the price that would be received to sel