Hashdex Commodities Trust S-1/A, filed Dec 21, 2023

Hashdex Commodities Trust (DEFI)

S-1/A 2023-12-21

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Added on October 27, 2026

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Large accelerated filer ☐	Accelerated filer ☐
Non-accelerated filer ☒	Smaller reporting company ☒
	Emerging growth company ☒

	PAGE
Prospectus Summary	1
Principal Offices of the Fund and the Sponsor	1
Breakeven Point	1
Fund’s Current Net Assets and Year to Date Performance	1
The Fund’s Investment Objective	1
The Fund’s Investment Strategies	2
Voting Rights	4
Principal Investment Risks of an Investment in the Fund	4
Determination of NAV	6
Defined Terms	6
Breakeven Analysis	6
The Offering	7
What are the Risk Factors involved with an Investment in the Fund?	9
Futures Commission Merchant Risks	13
Risks Associated With the Fund’s Investment In Cash and Cash Equivalents	13
Risk Related To Lack of Liquidity	13
Hedging Risk	13
The Market for Bitcoin Futures-Based ETFs May Reach Saturation	18
The Offering	23
The Fund in General	23
Market Price of Shares	23
Prior Performance of the Fund	23
Discussion of Fund Performance	24
Management’s Discussion and Analysis of Financial Condition and Results of Operations for the period from commencement of operations (September 15, 2022) through December 31, 2022	24
Quantitative and Qualitative Disclosures about Market Risks for the period from commencement of operations (September 15, 2022) through December 31, 2022	30
Management’s Discussion and Analysis of Financial Condition and Results of Operations for the period January 1, 2023 to September 30, 2023	32
Quantitative and Qualitative Disclosures About Market Risk for the period January 1, 2023 to September 30, 2023	45
The Sponsor	46
The Trustee	48
Operation of the Fund	48
Futures Contracts	49
The Fund’s Investments in Cash and Cash Equivalents	51
Other Trading Policies of the Fund	51
Benchmark Performance	52
The Bitcoin Industry	52
The Fund’s Service Providers	52
Litigation disclosure for StoneX	54
Litigation disclosure for Phillip Capital	55
Contractual Fees and Compensation Arrangements with the Sponsor and Third-Party Service Providers	55
Other Non-Contractual Payments by the Fund	56
Form of Shares	56
Transfer of Shares	56
Inter-Series Limitation on Liability	56
Plan of Distribution	57
Calculating NAV	57
Creation and Redemption of Shares	58
Secondary Market Transactions	60
Use of Proceeds	61
The Trust Agreement	61
The Sponsor Has Conflicts of Interest	63
Ownership or Beneficial Interest in the Fund	63
Interests of Named Experts and Counsel	63
Provisions of Federal and State Securities Laws	63
Books and Records	64
Statements, Filings, and Reports to Shareholders	64
Fiscal Year	64
Governing Law	64
Legal Matters	65
Privacy Policy	65
U.S. Federal Income Tax Considerations	65
Investment by ERISA Accounts	72
General Pool Disclosure	74
Performance of the Other Commodity Pools operated by the Commodity Pool Operator	74
Incorporation by Reference of Certain Information	76
Information You Should Know	76
Where You Can Find More Information	76
Index to Financial Statements	1
Appendix A Glossary of Defined Terms	A-1
Statement of Additional Information	1

●	How widely bitcoin is adopted, including the use of bitcoin as a payment.
●	The regulatory environment for cryptocurrencies, which continues to evolve in the U.S., and which may delay, impede, or restrict the adoption or use of bitcoin.
●	Speculative activity in the market for bitcoin, including by holders of large amounts of bitcoin, which may increase volatility.
●	Cyberattacks, including the risk that malicious actors will exploit flaws in the code or structure of bitcoin, control the blockchain, steal information or cause disruptions to the internet.
●	Rewards for mining bitcoin are designed to decline over time, which may lessen the incentive for miners to process and confirm transactions on the Bitcoin Network.

Hashdex Bitcoin Futures ETF (DEFI) – Roll Schedule Jan 2023 – Dec 2023

Roll Date	Contract Expiring	New Contract	First to Expire Contract	Second to Expire Contract
	(Exiting Position)	(Entering Position)	(Resulting Position)	(Resulting Position)
1/26/2023	January (BTCF3)	March (BTCF3)	February (BTCG3)	March (BTCH3)
2/23/2023	February (BTCG3)	April (BTCJ3)	March (BTCH3)	April (BTCJ3)
3/30/2023	March (BTCH3)	May (BTCK3)	April (BTCJ3)	May (BTCK3)
4/27/2023	April (BTCJ3)	June (BTCM3)	May (BTCK3)	June (BTCM3)
5/25/2023	May (BTCK3)	July (BTCN3)	June (BTCM3)	July (BTCN3)
6/29/2023	June (BTCM3)	August (BTCQ3)	July (BTCN3)	August (BTCQ3)
7/27/2023	July (BTCN3)	September (BTCU3)	August (BTCQ3)	September (BTCU3)
8/24/2023	August (BTCQ3)	October (BTCV3)	September (BTCU3)	October (BTCV3)
9/28/2023	September (BTCU3)	November (BTCX3)	October (BTCV3)	November (BTCX3)
10/26/2023	October (BTCV3)	December (BTCZ3)	November (BTCX3)	December (BTCZ3)
11/23/2023	November (BTCX3)	January (BTCF4)	December (BTCZ3)	January (BTCF4)
12/28/2023	December (BTCZ3)	February (BTCG4)	January (BTCF4)	February (BTCG4)

	Per Share

Assumed initial selling price per Share (1)	30.04
Management Fee (0.94%) (2)	$0.28
Estimated Brokerage Commissions and Fees (3)	$0.37
Other Fund Fees and Expenses (4)	$0.00
Interest and Other Income (2.50%) (5)	$(0.38)
Amount of trading income (loss) required for the redemption value at the end of one year to equal the selling price of the Share	$0.27
Percentage of initial selling price per Share (6)	0.90%

●	The Fund was formed as the survivor to the Merger with the Predecessor Fund, which commenced operations on September 15, 2022. The Fund has the limited performance history of the Predecessor Fund to serve as a basis for you to evaluate an investment in the Fund. In addition, the Fund may not be successful in implementing its investment objective or may fail to attract sufficient assets.

●	Bitcoin and Bitcoin Futures Contracts are a relatively new asset class and bitcoin is subject to rapid changes, uncertainty and regulation that may adversely affect the value of the bitcoin futures or the nature of an investment in the Fund and may adversely affect the ability of the Fund to buy and sell Bitcoin Futures Contracts or achieve its investment objective.

●	The market for Bitcoin Futures Contracts is less developed than older, more established futures markets (such as corn or wheat futures) and may be more volatile and less liquid.

●	Investors may choose to use the Fund as a means of investing indirectly in bitcoin, and there are risks involved in this investment strategy. The risks and hazards that are inherent in the market for bitcoin may cause the price of bitcoin and Bitcoin Futures Contracts to fluctuate widely.

●	You will have no rights to participate in the management of the Fund and will have to rely on the duties and judgment of the Sponsor to manage the Fund.

●	Bitcoin and other cryptocurrencies are a new and developing asset class subject to both developmental and regulatory uncertainty. Future U.S. or foreign regulatory changes may alter the nature of an investment in the Fund, or the ability of the Fund to continue to implement its investment strategy.

●	Failures or breaches of the electronic systems of the Fund, the Sponsor, or third parties or other events such as the recent COVID-19 pandemic have the ability to cause disruptions and negatively impact the Fund’s business operations, potentially resulting in financial losses to the Fund and its Shareholders.

●	War and other geopolitical events in Eastern Europe, including but not limited to Russia and Ukraine, and Asia, including but not limited to actions by China and North Korea, may cause volatility in bitcoin prices. These events are unpredictable and may lead to extended periods of price volatility.

(4)	The Fund pays all of its non-recurring and unusual fees and expenses, if any, as determined by the Sponsor. Non-recurring and unusual fees and expenses are unexpected or unusual in nature, such as legal claims and liabilities and litigation costs or indemnification or other unanticipated expenses. Extraordinary fees and expenses also include material expenses which are not currently anticipated obligations of the Fund. Routine operational, administrative and other ordinary expenses are not deemed extraordinary expenses.

(5)	The Fund seeks to earn interest and other income in high credit quality, short-duration instruments or deposits associated with the pool’s cash management strategy that may be used to offset expenses. These investments may include, but are not limited to, short-term Treasury Securities, demand deposits, and money market funds. Considering various uncertain factors in the US and commodity markets, management has estimated a blended interest rate of 2.50%. It’s important to note that the actual rate may vary and not all assets within the Fund will necessarily earn interest. The actual rate may vary and not all assets of the Fund will earn interest.

Merger	The Fund is the successor and surviving entity from the merger (the “Merger”) into the Fund of Hashdex Bitcoin Futures ETF (the “Predecessor Fund”) that is a series of the Teucrium Commodity Trust (the “Predecessor Trust”) sponsored by Teucrium Trading, LLC (“Prior Sponsor”). The Merger closed on January 3, 2024. The share price used for the delivery of shares of the Predecessor Fund was the net asset value per share of the Predecessor Fund determined after the close of business of NYSE Arca on January 2, 2024. Consequently, the Merger resulted in a one for one exchange of shares between the Predecessor Fund and the Fund. Prior to the Merger, the Fund had no operations, received $100 in cash from the Sponsor for four Shares to complete the pre-operational formation of the Fund and had no liabilities.

Use of Proceeds	The Sponsor applies substantially all of the Fund’s assets toward investing in Benchmark Component Futures Contracts, cash, and cash equivalents. The Sponsor deposits a portion of the Fund’s net assets with its FCM or other financial institutions to be used to meet its current or potential margin or collateral requirements in connection with its investment in Benchmark Component Futures Contracts. The Fund uses only cash and cash equivalents to satisfy these requirements. The Sponsor expects that all entities that will hold or trade the Fund’s assets will be based in the United States and will be subject to United States regulations. The Sponsor believes that approximately 32% of the Fund’s assets will normally be committed as margin for Benchmark Component Futures Contracts. However, from time to time, the percentage of assets committed as margin/collateral may be substantially more, or less, than such range due to, among others, price volatility caused by changes in the fundamentals of the underlying bitcoin cryptocurrency markets resulting in increased margin requirements by the exchange. The remaining portion of the Fund’s assets is held in cash or cash equivalents. All interest or other income earned on these investments is retained for the Fund’s benefit.

NYSE Arca Symbol	“DEFI”

Date	BTC1 Daily % Change	BRR Daily % Change	Notes
3/12/2020	-23.49%	-21.89%	The selloff in Bitcoin futures coincided with broader financial market duress at the onset of the COVID pandemic.
6/27/2019	-21.82%	-9.31%	Potentially signals near term profit taking as the front month contract gained, after gaining approximately 22% in the prior session.
6/13/2022	-20.09%	-15.45%	Selling picked up after failing to hold the $30,000 level, filling the gap created on the way up during December 2020.
1/16/2018	-19.97%	-13.50%	Bitcoin futures were relatively new and there was significant selling interest early on that carried through December 2018.
2/5/2018	-15.43%	-14.16%	Bitcoin futures were relatively new and there was significant selling interest early on that carried through December 2018.
5/9/2022	-13.90%	-4.85%	After failing to close back above $40,000 on May 4th, selling accelerated as market participants zeroed in on $30,000 as the next potential area of price support.
11/8/2022	-13.63%	-6.38%	Bitcoin sold off as Binance was considering pulling out of a deal to purchase FTX.
11/9/2022	-13.26%	-10.02%	Bitcoin faced continued pressure from sellers as concerns surrounding the FTX news weighted heavy on the market.
1/21/2022	-10.53%	-10.75%	The downtrend that began in November of 2021 showed signs of accelerating as prices traded at their lowest levels since July of 2021.
11/11/2022	-9.73%	-4.22%	After rallying over 15% the day prior, the selling resumed as the market continued to digest the news around FTX.
03/09/2023	-9.27%	-1.79%	Bitcoin experienced a decline following the announcement of the voluntary liquidation of Silvergate, a U.S. crypto-focused bank. The performance difference was reduced the following day, with the Bitcoin Reference Rate (BRR) showing a decrease of -8.33%.
5/5/2022	-9.10%	-0.65%	After failing to close back above $40,000 on May 4th, selling accelerated as market participants appear to be testing ~$35,000 for potential support.
8/19/2022	-9.02%	-8.70%	Bitcoin futures had been trending higher for much of the summer as market participants assumed a “risk on” posture that was reflected in stock market during the same period. However, sentiment changed to “Risk off” as market participants began to re-think the Fed’s tightening cycle, and potential for prolonged/deeper economic slowdown.
12/6/2021	-8.56%	0.56%	The previous session saw front-month Bitcoin futures get rejected after testing the 50-day moving average and reversing lower. Prices gapped lower on 12/06.
05/08/2023	-8.06%	-4.83%	Bitcoin witnessed a decline following a temporary halt of withdrawals by Binance, which lasted for several hours.
9/20/2021	-7.81%	-7.61%	After advancing nearly 70% since July 20th prices began to retrace on September 7th. Yet it wasn’t until 09/20 that prices tested both the 50- and 100-day moving averages at the technical point where the 50-day was about to cross back above the 100-day. Suggests that this selling was technical in nature.
9/7/2021	-7.75%	-3.35%	The selling may have been the result of profit taking as Bitcoin futures closed over $50,000 for the first time in the prior session.

Fiscal Year Ended December 31, 2022	High		Low
Quarter Ended
September 30, 2022	$	24.78	$	23.77
December 31, 2022	$	26.66	$	19.77
Fiscal Period Ended September 30, 2023
Quarter Ended
March 31, 2023	$	36.80	$	21.48
June 30, 2023	$	39.83	$	32.37
September 30, 2023	$	40.49	$	31.15

Units of beneficial interest issued (from inception until October 31, 2023)	110,000
Aggregate gross sale price for units issued	$2,829,029
Pool NAV as of October 31, 2023	$2,132,526
NAV per Share as of October 31, 2023	$42.65
Worst monthly percentage drawdown*	-14.91%/Nov 2022
Worst peak to valley drawdown**	-16.89%/Oct 2022 -Dec 2022

Rates of Return*
Month	2018			2019			2020			2021			2022			2023
January		—	%		—	%		—	%		—	%		—	%		40.38	%
February		—	%		—	%		—	%		—	%		—	%		(0.01	)%
March		—	%		—	%		—	%		—	%		—	%		22.39	%
April		—	%		—	%		—	%		—	%		—	%		1.90	%
May		—	%		—	%		—	%		—	%		—	%		-8.25	%
June		—	%		—	%		—	%		—	%		—	%		12.80	%
July		—	%		—	%		—	%		—	%		—	%		-5.21	%
August		—	%		—	%		—	%		—	%		—	%		-11.31	%
September		—	%		—	%		—	%		—	%		(1.57	)%		2.59	%
October		—	%		—	%		—	%		—	%		4.64	%		27.53	%
November		—	%		—	%		—	%		—	%		(14.91	)%		—	%
December		—	%		—	%		—	%		—	%		(2.30	)%		—	%
Annual Rate of Return		—	%		—	%		—	%		—	%		(14.39	)%		99.25	%**

1.	Preparation of the financial statements and related disclosures in conformity with U.S. generally-accepted accounting principles (“GAAP”) requires the application of appropriate accounting rules and guidance, as well as the use of estimates, and requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, revenue and expense and related disclosure of contingent assets and liabilities during the reporting period of the combined financial statements and accompanying notes. The Predecessor Trust’s application of these policies involves judgments and actual results may differ from the estimates used.
2.	The Prior Sponsor has determined that the valuation of commodity interests that are not traded on a U.S. or internationally recognized futures exchange (such as swaps and other over the counter contracts) involves a critical accounting policy. The values which are used by the Predecessor Fund for futures contracts will be provided by the commodity broker who will use market prices when available, while over the counter contracts will be valued based on the present value of estimated future cash flows that would be received from or paid to a third party in settlement of these derivative contracts prior to their delivery date. Values will be determined on a daily basis.
3.	Commodity futures contracts held by the Predecessor Fund 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 statement of assets and liabilities 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 statement of operations. Interest on cash equivalents and deposits are recognized on the accrual basis. The Predecessor Fund seeks to earn interest on funds held at the custodian or other financial institutions at prevailing market rates for such investments.
4.	Cash and cash equivalents are cash held at financial institutions in demand-deposit accounts or highly liquid investments with original maturity dates of three months or less at inception. The Predecessor Fund reports cash equivalents in the 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. The Predecessor Fund has a substantial portion of assets on deposit with banks. Assets deposited with financial institutions may, at times, exceed federally insured limits.
5.	The use of fair value to measure financial instruments, with related unrealized gains or losses recognized in earnings in each period is fundamental to the Predecessor Trust’s financial statements. In accordance with GAAP, fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e., the “exit price”) in an orderly transaction between market participants at the measurement date. In determining fair value, the Predecessor Trust uses various valuation approaches. In accordance with GAAP, a fair value hierarchy for inputs is used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Predecessor Trust. Unobservable inputs reflect the Predecessor 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: a) Level 1 - Valuations based on unadjusted quoted prices in active markets for identical assets or liabilities that the Predecessor Trust has the ability to access. Valuation adjustments and block discounts are not applied to Level 1 - securities and financial instruments. Since valuations are based on quoted prices that are readily and regularly available in an active market, valuation of these securities and financial instruments does not entail a significant degree of judgment, b) 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, and c) Level 3 - Valuations based on inputs that are unobservable and significant to the overall fair value measurement. See the notes within the financial statements for further information. The Predecessor Fund and the Predecessor Trust record their derivative activities at fair value. Gains and losses from derivative contracts are included in the statement of operations. Derivative contracts include futures contracts related to commodity prices. Futures, which are listed on a national securities exchange, such as the CBOT or 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.
6.	The Predecessor Fund recognizes brokerage commissions on a per-trade basis.
7.	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 those 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 may be modified from time to time by the exchange during the term of the contract. Brokerage firms, such as the Predecessor Fund’s clearing brokers, carrying accounts for traders in commodity interest contracts generally require higher amounts of margin as a matter of policy to further protect themselves. Over the counter trading generally involves the extension of credit between counterparties, so the counterparties may agree to require the posting of collateral by one or both parties to address credit exposure.

	When a trader purchases an option, there is no margin requirement; however, the option premium must be paid in full. When a trader sells an option, on the other hand, he or she is required to deposit margin in an amount determined by the margin requirements established for the underlying interest and, in addition, an amount substantially equal to the current premium for the option. The margin requirements imposed on the selling of options, although adjusted to reflect the probability that out of the money options will not be exercised, can in fact be higher than those imposed in dealing in the futures markets directly. Complicated margin requirements apply to spreads and conversions, which are complex trading strategies in which a trader acquires a mixture of options positions and positions in the underlying interest. Ongoing or “maintenance” margin requirements are computed each day by a trader’s clearing broker. When the market value of a particular open futures contract changes to a point where the margin on deposit does not satisfy maintenance margin requirements, a margin call is made by the broker. If the margin call is not met within a reasonable time, the broker may close out the trader’s position. With respect to the Predecessor Fund’s trading, the Predecessor Fund (and not its shareholders personally) is subject to margin calls. Finally, many major U.S. exchanges have passed certain cross margining arrangements involving procedures pursuant to which the futures and options positions held in an account would, in the case of some accounts, be aggregated, and margin requirements would be assessed on a portfolio basis, measuring the total risk of the combined positions.
8.	Due from/to broker for investments in financial instruments are securities transactions pending settlement. The management of the Predecessor Trust and the Predecessor Fund monitor the financial condition of such brokers and does not anticipate any losses from these counterparties.
9.	The Prior Sponsor is responsible for investing the assets of the Predecessor Fund in accordance with the objectives and policies of the Predecessor Fund. The Predecessor Fund is contractually obligated to pay a monthly management fee to the Prior Sponsor, based on average daily net assets, at a rate equal to 0.94% per annum. From the Management Fee, the Prior Sponsor pays all of the routine operational, administrative and other ordinary expenses of the Predecessor Fund, generally as determined by the Prior Sponsor, including but not limited to, fees and expenses of the Administrator, Custodian, Distributor, Transfer Agent, licensors, accounting and audit fees and expenses, tax preparation expenses, legal fees, ongoing SEC registration fees, individual Schedule K-1 preparation and mailing fees, and report preparation and mailing expenses. These fees and expenses are not included in the breakeven table because they are paid for by the Prior Sponsor through the proceeds from the Management Fee. The Predecessor Fund pays all of its non-recurring and unusual fees and expenses, if any, as determined by the Prior Sponsor. Non-recurring and unusual fees and expenses are unexpected or unusual in nature, such as legal claims and liabilities and litigation costs or indemnification or other unanticipated expenses. Extraordinary fees and expenses also include material expenses which are not currently anticipated obligations of the Predecessor Fund. Routine operational, administrative and other ordinary expenses are not deemed extraordinary expenses.
10.	For U.S. federal income tax purposes, the Predecessor Fund intends to be treated as partnerships. Therefore, the Predecessor Fund does not record a provision for income taxes because the partners report their share of the Predecessor Fund’s income or loss on their income tax returns. The financial statements reflect the Predecessor Fund’s transactions without adjustment, if any, required for income tax purposes.
11.	For commercial paper, the Predecessor Fund uses the effective interest method for calculating the actual interest rate in a period based on the amount of a financial instrument’s book value at the beginning of the accounting period. Accretion on these investments are recognized using the effective interest method in U.S. dollars and recognized in cash equivalents. All discounts on purchase prices of debt securities are accreted over the life of the respective security.

	December 31, 2022
Total Net Assets	$	1,070,263
Shares Outstanding		50,004
Net Asset Value per share	$	21.40
Closing Price	$	21.39

	From the commencement
	of operations (September 15, 2022)
	through December 31, 2022
Average daily total net assets	$	1,541,903
Net realized and unrealized loss on futures contracts	$	(394,642	)
Interest income earned on cash equivalents	$	12,854
Annualized interest yield based on average daily total net assets		0.83	%
Net Loss	$	(386,037	)
Weighted average share outstanding		66,359
Management Fees	$	4,249
Total gross fees and other expenses excluding management fees	$	75,291
Brokerage Commissions	$	2,218
Expenses waived by the Prior Sponsor	$	(75,291	)
Total gross expense ratio (annualized)		17.60	%
Total expense ratio net of expenses waived by the Prior Sponsor (annualized)		0.94	%
Net investment income (annualized)		-1.90	%
Creation of Shares		100,004
Redemption of Shares		50,000

PREDECESSOR FUND	Q1	Q2	Q3	Q4	Total 2022

Days at premium			3	27	30

Days at NAV			4	5	9

Days at discount			7	31	38

	December 31, 2022 as Reported						10% Decrease			15% Decrease			20% Decrease			10% Increase			15% Increase			20% Increase
Holdings as of December 31, 2022	Number of Contracts Held		Closing Price		Notional Amount		Notional Amount			Notional Amount			Notional Amount			Notional Amount			Notional Amount			Notional Amount
CME Bitcoin Futures JAN23		6	$	165.3500	$	496,050	$	446,445		$	421,643		$	396,840		$	545,655		$	570,458		$	595,260
CME Bitcoin Futures FEB23		7	$	164.4500	$	575,575	$	518,018		$	489,239		$	460,460		$	633,133		$	661,911		$	690,690
Total CME Bitcoin Futures					$	1,071,625	$	964,463		$	910,882		$	857,300		$	1,178,788		$	1,232,369		$	1,285,950

Shares outstanding						50,004		50,004			50,004			50,004			50,004			50,004			50,004

Net Asset Value per Share attributable directly to CME Bitcoin Futures					$	21.43	$	19.29		$	18.22		$	17.14		$	23.57		$	24.65		$	25.72
Total Net Asset Value per Share as reported					$	21.40
Change in the Net Asset Value per Share							$	(2.14	)	$	(3.21	)	$	(4.29	)	$	2.14		$	3.21		$	4.29

Percent Change in the Net Asset Value per Share								-10.01	%		-15.02	%		-20.03	%		10.01	%		15.02	%		20.03	%

CME Bitcoin Futures Contracts	Weighting
First to expire		50	%
Second to expire		50	%

Predecessor Fund Benchmark Component Futures Contracts	Notional Value		Weight (%)
CME Bitcoin Futures (6 contracts, OCT23)	$	813,000		50	%
CME Bitcoin Futures (6 contracts, NOV23)		818,250		50

Total at September 30, 2023	$	1,631,250		100	%

Predecessor Fund Per Share Operation Performance
Net asset value at beginning of period	$	21.40
Income from investment operations:
Investment income		1.06
Net realized and unrealized gain on cryptocurrency futures contracts		11.21
Total expenses		(0.23	)
Net increase in net asset value		12.04
Net asset value at end of period	$	33.44
Total Return		56.23	%
Ratios to Average Net Assets (Annualized)
Total expenses		17.69	%
Total expenses, net		0.94	%
Net investment income		3.28	%


	Quarter Ending September 30, 2023			From the commencement of operations (September 15, 2022) through September 30, 2022
Average daily total net assets	$	1,774,450		$	975,029
Net realized and unrealized loss on futures contracts	$	(283,797	)	$	(20,314	)
Interest income earned on cash equivalents	$	21,202		$	1,073
Annualized interest yield based on average daily total net assets		1.19	%		0.11	%
Net Loss	$	(266,799	)	$	(19,618	)
Weighted average share outstanding		50,004			40,003
Management Fees	$	4,204		$	377
Total gross fees and other expenses excluding management fees	$	91,023		$	550
Brokerage Commissions	$	593		$	949
Expenses waived by the Sponsor	$	(91,023	)	$	(550	)
Total gross expense ratio		21.29	%		2.31	%
Total expense ratio net of expenses waived by the Sponsor		0.94	%		0.94	%
Net investment gain		3.80	%		1.74	%
Creation of Shares		—			50,004
Redemption of Shares		—			—

	Nine Months Ending September 30, 2023			From the commencement of operations (September 15, 2022) through September 30, 2022
Average daily total net assets	$	1,776,779		$	975,029
Net realized and unrealized gain (loss) on futures contracts	$	514,510		$	(20,314	)
Interest income earned on cash equivalents	$	56,099		$	1,073
Annualized interest yield based on average daily total net assets		3.16	%		0.11	%
Net Income (Loss)	$	558,118		$	(19,618	)
Weighted average share outstanding		52,825			40,003
Management Fees	$	12,491		$	377
Total gross fees and other expenses excluding management fees	$	222,642		$	550
Brokerage Commissions	$	1,970		$	949
Expenses waived by the Sponsor	$	(222,642	)	$	(550	)
Total gross expense ratio		17.69	%		2.31	%
Total expense ratio net of expenses waived by the Sponsor		0.94	%		0.94	%
Net investment gain		3.28	%		1.74	%
Creation of Shares		10,000			50,004
Redemption of Shares		10,000			—

Predecessor Fund	Q4 2022	Q1 2023	Q2 2023	Q3 2023	Total
Days at premium	27	2	11	6	46
Days at NAV	5	32	32	37	106
Days at discount	31	28	19	20	98

	September 30, 2023 as Reported						10% Decrease			15% Decrease			20% Decrease			10% Increase			15% Increase			20% Increase
Holdings as of September 30, 2023	Number of Contracts Held		Closing Price		Notional Amount		Notional Amount			Notional Amount			Notional Amount			Notional Amount			Notional Amount			Notional Amount
CME Bitcoin Futures OCT23		6	$	271.0000	$	813,000	$	731,700		$	691,050		$	650,400		$	894,300		$	934,950		$	975,600
CME Bitcoin Futures NOV23		6	$	272.7500	$	818,250	$	736,425		$	695,513		$	654,600		$	900,075		$	940,988		$	981,900
Total CME Bitcoin Futures					$	1,631,250	$	1,468,125		$	1,386,563		$	1,305,000		$	1,794,375		$	1,875,938		$	1,957,500
Shares outstanding						50,004		50,004			50,004			50,004			50,004			50,004			50,004
Net Asset Value per Share attributable directly to CME Bitcoin Futures					$	32.62	$	29.36		$	27.73		$	26.10		$	35.88		$	37.52		$	39.15
Total Net Asset Value per Share as reported					$	33.49
Change in the Net Asset Value per Share							$	(3.26	)	$	(4.89	)	$	(6.52	)	$	3.26		$	4.89		$	6.52
Percent Change in the Net Asset Value per Share								-9.74	%		-14.61	%		-19.48	%		9.74	%		14.61	%		19.48	%

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