Quarterly report [Sections 13 or 15(d)]



STYLE="font: 10pt Times New Roman, Times, Serif">














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 December 31, 2020.










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: 001-36851










ETF

Managers Group Commodity Trust I









(Exact Name of Registrant as Specified in Its Charter)



































Delaware








36-4793446




(State or Other Jurisdiction

of


Incorporation or Organization)






(I.R.S. Employer


Identification No.)














30

Maple Street – Suite 2


Summit, NJ 07901









07910




(Address of Principal

Executive Offices)






(Zip Code)







844-383-6477





(Registrant’s

Telephone Number, Including Area Code)









N/A





(Former

Name, Former Address and Former Fiscal Year, if Changed Since Last Report)








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 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 in 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








Securities

Registered Pursuant to Section 12(b) of the Act:
























Title

of Each Class








Trading

Symbol(s)








Name

Of Each Exchange On Which Registered




Shares of Breakwave

Dry Bulk Shipping ETF






BDRY






NYSE Arca, Inc.






Indicate

the number of Shares outstanding, as of February 1, 2021: 2,375,040









































ETF

MANAGERS GROUP COMMODITY TRUST I










Table

of Contents




































































































Page






Part I. FINANCIAL INFORMATION








1






Item 1. Interim Combined Financial Statements








1






Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations








40






Item 3. Quantitative and Qualitative Disclosures About Market Risk








54






Item 4. Controls and Procedures








54















Part II. OTHER INFORMATION








55






Item 1. Legal Proceedings








55






Item 2. Unregistered Sales of Equity Securities and Use of Proceeds








55






Item 3. Defaults Upon Senior Securities








55






Item 4. Mine Safety Disclosures








55






Item 5. Other Information








55






Item 6. Exhibits








56










i

















Part

I.


INTERIM FINANCIAL INFORMATION












Item

1. Interim Combined Financial Statements.










Index

to Interim Combined Financial Statements

































































































































































Documents








Page






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








2














Combined Statements of Assets and Liabilities at June 30, 2020








3














Combined Schedules of Investments at December 31, 2020 (Unaudited)








4














Combined Schedules of Investments at June 30, 2020








5














Combined Statements of Operations (Unaudited) for the three months ended December 31, 2020








7














Combined Statements of Operations (Unaudited) for the three months ended December 31, 2019








8












Combined Statements of Operations (Unaudited) for the six months ended December 31, 2020



9





Combined Statements of Operations (Unaudited) for the six months ended December 31, 2019



10







Combined Statements of Changes in Net Assets (Unaudited) for the three months ended December 31, 2020








11














Combined Statements of Changes in Net Assets (Unaudited) for the three months ended December 31, 2019








12












Combined Statements of Changes in Net Assets (Unaudited) for the six months ended December 31, 2020



13





Combined Statements of Changes in Net Assets (Unaudited) for the six months ended December 31, 2019



14







Combined Statements of Cash Flows (Unaudited) for the six months ended December 31, 2020








15














Combined Statements of Cash Flows (Unaudited) for the six months ended December 31, 2019








16














Notes to Interim Combined Financial Statements








17








1













ETF MANAGERS GROUP COMMODITY TRUST I



Statements of Assets and Liabilities



December 31, 2020 (Unaudited)



























































































































































































































BREAKWAVE DRY BULK SHIPPING ETF



ETF MANAGERS GROUP COMMODITY TRUST I*


Assets







Investment in securities, at fair value (cost $7,803,092)


$

7,803,092



$

7,803,092


Segregated cash held by broker



13,545,258




13,545,258


Receivable on open futures contracts



4,303,595




4,303,595


Interest receivable



281




281


Total assets



25,652,226




25,652,226











Liabilities









Payable for Fund shares redeemed



393,560




393,560


Due to Sponsor



67,492




67,492


Other liabilities



10,989




10,989


Total liabilities



472,041




472,041











Net Assets


$

25,180,185



$

25,180,185











Shares outstanding (unlimited authorized)



3,175,040






Net asset value per share


$

7.93






Market value per share


$

7.70













* SIT Rising Rate ETF, which had been a
series of the Trust, Liquidated as of

November 18, 2020








See

accompanying notes to unaudited interim combined financial statements.












2















ETF

MANAGERS GROUP COMMODITY TRUST I






Combined

Statements of Assets and Liabilities






June

30, 2020



































































































































































































































































































































BREAKWAVE DRY BULK

SHIPPING ETF



SIT


RISING RATE ETF



COMBINED


Assets













Investment in securities, at fair value (cost $7,986,862 and $4,883,666, respectively)


$

7,986,862



$

4,879,769



$

12,866,631


Interest receivable



545




-




545


Receivable on open futures contracts



8,581,555




-




8,581,555


Segregated cash held by broker



28,020,391




201,883




28,222,274


Total assets



44,589,353




5,081,652




49,671,005















Liabilities













Options written, at fair value (premiums received $-0- and $3,204, respectively)



-




4,148




4,148


Payable on open futures contracts



-




5,144




5,144


Payable for Fund shares redeemed



192,533




-




192,533


Due to Sponsor



84,280




4,179




88,459


Other accrued expenses



37,053




-




37,053


Total liabilities



313,866




13,471




327,337















Net Assets


$

44,275,487



$

5,068,181



$

49,343,668















Shares outstanding (unlimited authorized)



5,750,040




250,040






Net asset value per share


$

7.70



$

20.27






Market value per share



7.39



$

20.26










See

accompanying notes to unaudited interim combined financial statements.














3













ETF MANAGERS GROUP COMMODITY TRUST I



Combined Schedules of Investments



December 31, 2020 (Unaudited)
































































































BREAKWAVE DRY BULK SHIPPING

ETF



ETF MANAGERS GROUP COMMODITY

TRUST I


MONEY MARKET FUNDS - 31.0%









First American US Treasury Obligations Fund, Class X, 0.04% (a)* (7,803,092 shares)


$

7,803,092



$

7,803,092


TOTAL MONEY MARKET FUNDS (Cost $7,803,092)



7,803,092




7,803,092











Total Investments (cost $7,803,092) - 31.0%



7,803,092




7,803,092


Other Assets in Excess of Liabilities - 69.0%, respectively (b)



17,377,093




17,377,093


TOTAL NET ASSETS - 100.0%


$

25,180,185



$

25,180,185












(a)

Annualized seven-day yield as of December 31, 2020









(b)

$13,545,258 of cash is pledged as collateral for futures

contracts






























































































































BREAKWAVE DRY BULK SHIPPING

ETF


Futures Contracts


December 31, 2020


Unrealized


Appreciation/


(Depreciation)



ETF MANAGERS


GROUP COMMODITY


TRUST I


Baltic Exchange Panamax T/C Average Shipping Route Index Expiring January 29, 2021 (Underlying Face Amount at Market Value - $3,304,460) (340 contracts)


$

389,075



$

389,075


Baltic Exchange Panamax T/C Average Shipping Route Index Expiring February 26, 2021 (Underlying Face Amount at Market Value - $3,137,490) (355 contracts)



198,310




198,310


Baltic Exchange Panamax T/C Average Shipping Route Index Expiring March 31, 2021 (Underlying Face Amount at Market Value - $3,504,040) (340 contracts)



469,610




469,610


Baltic Exchange Supramax Average Shipping Route Expiring January 29, 2021 (Underlying Face Amount at Market Value - $838,320) (80 contracts)



121,280




121,280


Baltic Exchange Supramax Average Shipping Route Expiring February 26, 2021 (Underlying Face Amount at Market Value - $695,680) (80 contracts)



34,375




34,375


Baltic Exchange Supramax Average Shipping Route Expiring March 31, 2021 (Underlying Face Amount at Market Value - $761,680) (80 contracts)



55,815




55,815


Baltic Capesize Time Charter Expiring January 29, 2021 (Underlying Face Amount at Market Value - $4,797,420) (370 contracts)



1,491,755




1,491,755


Baltic Capesize Time Charter Expiring February 26, 2021 (Underlying Face Amount at Market Value - $4,012,400) (400 contracts)



881,460




881,460


Baltic Capesize Time Charter Expiring March 31, 2021 (Underlying Face Amount at Market Value - $3,740,330) (370 contracts)



661,915




661,915




$

4,303,595



$

4,303,595







See accompanying notes to unaudited interim combined financial

statements.














4

















ETF

MANAGERS GROUP COMMODITY TRUST I






Combined

Schedules of Investments






June

30, 2020






















































































































































































































































































BREAKWAVE DRY BULK SHIPPING

ETF



SIT


RISING RATE ETF



COMBINED


PURCHASED PUT OPTIONS - 0.0% and 0.3%, respectively













US Treasury 10 Year Note, Strike Price $139.50 Expiring 08/21/20 (15 contracts)


$

-



$

14,296



$

14,296


TOTAL PURCHASED PUT OPTIONS (Cost $22,316)



-




14,296




14,296















SHORT-TERM INVESTMENTS - 0.0% and 95.7%, respectively













US TREASURY BILLS - 0.0% and 95.7%, respectively













United States Treasury Bills 0.1200%, 07/23/2020 ($4,850,000 principal amount) (a)



-




4,849,667




4,849,667


TOTAL US TREASURY BILLS (Cost $4,845,544)



-




4,849,667




4,849,667















MONEY MARKET FUNDS - 18.0% and 0.3%, respectively













First American US Treasury Money Market Fund, Class Z, 0.04% (b) (15,806 shares)



-




15,806




15,806


First American US Treasury Obligations Fund, Class X, 0.08% (b) (7,986,862 shares)



7,986,862




-




7,986,862


TOTAL MONEY MARKET FUNDS (Cost $7,986,862 and $15,806, respectively)



7,986,862




15,806




8,002,668















Total Investments (Cost $7,986,862 and $4,883,666, respectively) - 18.0% and 96.3%, respectively



7,986,862




4,879,769




12,866,631


Other Assets in Excess of Liabilities - 82.0% and 3.7%, respectively (a)



36,288,625




188,412




36,477,037


TOTAL NET ASSETS - 100.0% and 100.0%, respectively


$

44,275,487



$

5,068,181



$

49,343,668











(a)



$27,827,859 and $4,849,667,

respectively, of cash is pledged as collateral for futures contracts and written options









(b)



Annualized seven-day

yield as of June 30, 2020.








































































































































































BREAKWAVE DRY BULK SHIPPING

ETF


Futures Contracts


June 30, 2020


Unrealized


Appreciation/


(Depreciation)



Unrealized


Appreciation/


(Depreciation)



Unrealized


Appreciation/


(Depreciation)


Baltic Exchange Panamax T/C Average

Shipping Route Index Expiring July 31, 2020 (Underlying Face Amount at Market Value - $3,799,600) (350 contracts)


$

556,225



$

-



$

556,225


Baltic Exchange Panamax T/C Average Shipping Route

Index Expiring August 28, 2020 (Underlying Face Amount at Market Value - $3,768,100) (350 contracts)



512,475




-




512,475


Baltic Exchange Panamax T/C Average Shipping Route

Index Expiring September 25, 2020 (Underlying Face Amount at Market Value - $3,753,750) (350 contracts)



492,625




-




492,625


Baltic Exchange Supramax T/C Average Shipping

Route Expiring July 31, 2020 (Underlying Face Amount at Market Value - $1,536,480) (180 contracts)



(5,020

)



-




(5,020

)

Baltic Exchange Supramax T/C Average Shipping

Route Expiring August 28, 2020 (Underlying Face Amount at Market Value - $1,746,000) (180

contracts)



199,250




-




199,250


Baltic Exchange Supramax T/C Average Shipping

Route Expiring September 25, 2020 (Underlying Face Amount at Market Value - $1,769,220) (180 contracts)



222,470




-




222,470


Baltic Capesize Time Charter Expiring July 31,

2020 (Underlying Face Amount at Market Value - $9,431,220) (380 contracts)



3,644,720




-




3,644,720


Baltic Capesize Time Charter Expiring August 28, 2020 (Underlying Face Amount at Market Value - $8,851,050) (450 contracts)



1,977,550




-




1,977,550


Baltic Capesize Time

Charter Expiring September 25, 2020 (Underlying Face Amount at Market Value - $9,041,760) (520 contracts)



981,260




-




981,260




$

8,581,555



$

-



$

8,581,555








5















ETF

MANAGERS GROUP COMMODITY TRUST I






Combined

Schedules of Investments – Continued






June

30, 2020



















































SIT RISING RATE ETF


Written Call Option Contracts


June 30, 2020


Unrealized


Appreciation/


(Depreciation)



Unrealized


Appreciation/


(Depreciation)



Unrealized


Appreciation/


(Depreciation)


US 5 Year Note, Strike Price $125.50 Expiring 08/21/2020 (9 contracts)













(Premiums received $3,204)


$

-



$

(4,148

)


$

(4,148

)
























































































SIT RISING RATE ETF










Short Futures Contracts










June 30, 2020










US Treasury 5 Year Note Expiring September 2020 (Underlying Face Amount at Market Value - $4,652,461) (37 contracts)


$

-



$

(5,899

)


$

(5,899

)

US Treasury 2 Year Note Expiring September 2020 (Underlying Face Amount at Market Value - $10,158,094) (46 contracts)



-




755




755




$

-



$

(5,144

)


$

(5,144

)





See

accompanying notes to unaudited interim combined financial statements.














6















ETF MANAGERS GROUP COMMODITY TRUST I



Combined Statements of Operations



Three Months
Ended December 31, 2020 (Unaudited)































































































































































































































































































































































































































































































































































































BREAKWAVE DRY BULK SHIPPING

ETF



SIT


RISING RATE ETF*



COMBINED


Investment Income













Interest


$

393



$

181



$

574















Expenses













Sponsor fee



31,165




6,164




37,329


CTA fee



85,781




497




86,278


Audit fees



22,042




28,357




50,399


Tax preparation fees



6,428




4,225




10,653


Admin/accounting/custodian/transfer agent fees



16,284




4,792




21,076


Legal fees



11,343




12,877




24,220


Chief Compliance Officer fees



6,301




2,055




8,356


Principal Financial Officer fees



6,301




2,055




8,356


Regulatory reporting fees



6,301




7,055




13,356


Brokerage commissions



83,830




181




84,011


Distribution fees



3,959




1,258




5,217


Insurance expense



3,781




1,233




5,014


Listing & calculation agent fees



2,571




1,200




3,771


Other expenses



3,404




900




4,304


Website Support and Marketing Materials



3,781




1,233




5,014


Printing and Postage



2,647




892




3,539


Wholesale support fees



13,400




249




13,649


Interest expense



82




26




108


Total Expenses



309,401




75,249




384,650


Less: Waiver of CTA fee



(18,432

)



-




(18,432

)

Less: Expenses absorbed by Sponsor



-




(32,532

)



(32,532

)

Net Expenses



290,969




42,717




333,686


Net Investment Income (Loss)



(290,576

)



(42,536

)



(333,112

)














Net Realized and Unrealized Gain (Loss) on Investment Activity


























Net Realized Gain (Loss) on













Investments, futures and options contracts



(3,591,274

)



5,118




(3,586,156

)














Change in Unrealized Gain (Loss) on













Investments, futures and options contracts



2,788,440




8,841




2,797,281


Net realized and unrealized gain (loss)



(802,834

)



13,959




(788,875

)

Net income (loss)


$

(1,093,410

)


$

(28,577

)


$

(1,121,987

)





















*

Period from October 1, 2020 to October 30, 2020 - Sit

Rising Rate ETF liquidated as of November 18, 2020.







See

accompanying notes to unaudited interim combined financial statements.














7















ETF MANAGERS GROUP COMMODITY TRUST I



Combined Statements of Operations



Three Months Ended December 31, 2019 (Unaudited)
















































































































































































































































































































































































































































































































































































BREAKWAVE DRY BULK SHIPPING

ETF



SIT


RISING RATE ETF



COMBINED


Investment Income













Interest


$

6,346



$

31,146



$

37,492















Expenses













Sponsor fee



31,420




18,852




50,272


CTA fee



6,561




3,131




9,692


Audit fees



13,785




22,012




35,797


Tax preparation fees



12,568




12,568




25,136


Admin/accounting/custodian/transfer agent fees



15,548




14,479




30,027


Legal fees



11,311




8,797




20,108


Printing and postage expenses



2,665




2,639




5,304


Chief Compliance Officer fees



6,283




6,301




12,584


Principal Financial Officer fees



6,283




6,301




12,584


Regulatory reporting fees



6,283




6,301




12,584


Brokerage commissions



7,202




927




8,129


Distribution fees



3,977




3,906




7,883


Insurance expense



3,770




3,770




7,540


Listing & calculation agent fees



3,167




3,167




6,334


Other expenses



4,211




2,193




6,404


Wholesale support fees



6,827




1,566




8,393


Interest



-




14




14


Total Expenses



141,861




116,924




258,785


Less: Waiver of CTA fee



(6,561

)



-




(6,561

)

Less: Expenses absorbed by Sponsor



(112,262

)



(100,323

)



(212,585

)

Net Expenses



23,038




16,601




39,639


Net Investment Income (Loss)



(16,692

)



14,545




(2,147

)














Net Realized and Unrealized Gain (Loss) on Investment Activity


























Net Realized Gain (Loss) on













Investments, futures and options contracts



(243,845

)



(306,211

)



(550,056

)












-


Change in Unrealized Gain (Loss) on











-


Investments, futures and options contracts



(117,845

)



391,106




273,261


Net realized and unrealized gain (loss)



(361,690

)



84,895




(276,795

)

Net income (loss)


$

(378,382

)


$

99,440



$

(278,942

)




See accompanying notes to unaudited interim combined financial statements.










8















ETF MANAGERS GROUP COMMODITY TRUST I



Combined Statements of Operations



Six Months Ended
December 31, 2020 (Unaudited)
















































































































































































































































































































































































































































































































































































































BREAKWAVE DRY BULK SHIPPING

ETF



SIT


RISING RATE ETF*



COMBINED


Investment Income













Interest


$

1,067



$

5,608



$

6,675















Expenses













Sponsor fee



63,016




25,068




88,084


CTA fee



214,994




3,042




218,036


Audit fees



44,084




46,757




90,841


Tax preparation fees



12,856




17,180




30,036


Admin/accounting/custodian/transfer agent fees



32,568




19,486




52,054


Legal fees



22,686




21,700




44,386


Chief Compliance Officer fees



12,602




8,356




20,958


Principal Financial Officer fees



12,602




8,356




20,958


Regulatory reporting fees



12,602




13,356




25,958


Brokerage commissions



159,042




1,424




160,466


Distribution fees



7,918




5,116




13,034


Insurance expense



7,562




5,014




12,576


Listing & calculation agent fees



5,142




4,880




10,022


Other expenses



6,808




3,749




10,557


Website Support and Marketing Materials



7,562




5,014




12,576


Printing and Postage



5,294




3,539




8,833


Wholesale support fees



30,395




1,522




31,917


Interest expense



82




220




302


Total Expenses



657,815




193,779




851,594


Less: Waiver of Sponsor fee













Less: Waiver of CTA fee



(18,432

)



-




(18,432

)

Less: Expenses absorbed by Sponsor



-




(136,902

)



(136,902

)

Net Expenses



639,383




56,877




696,260


Net Investment Income (Loss)



(638,316

)



(51,269

)



(689,585

)














Net Realized and Unrealized Gain (Loss) on Investment Activity


























Net Realized Gain (Loss) on













Investments, futures and options contracts



6,513,496




(29,138

)



6,484,358















Change in Unrealized Gain (Loss) on











-


Investments, futures and options contracts



(4,277,960

)



10,459




(4,267,501

)

Net realized and unrealized gain (loss)



2,235,536




(18,679

)



2,216,857


Net income (loss)


$

1,597,220



$

(69,948

)


$

1,527,272















*



Period
from July 1, 2020 to October 30, 2020 - Sit Rising Rate ETF liquidated as of November 18, 2020.







See accompanying notes to unaudited interim combined financial statements.














9













ETF MANAGERS GROUP COMMODITY TRUST I



Combined Statements of Operations



Six Months Ended December 31, 2019 (Unaudited)
















































































































































































































































































































































































































































































































































































BREAKWAVE DRY BULK SHIPPING

ETF



SIT


RISING RATE ETF



COMBINED


Investment Income













Interest


$

19,013



$

75,132



$

94,145















Expenses













Sponsor fee



62,840




37,704




100,544


CTA fee



16,213




7,164




23,377


Audit fees



27,570




44,024




71,594


Tax preparation fees



25,136




25,136




50,272


Admin/accounting/custodian/transfer agent fees



31,096




28,958




60,054


Legal fees



22,622




17,594




40,216


Printing and postage expenses



5,330




5,278




10,608


Chief Compliance Officer fees



12,566




12,596




25,162


Principal Financial Officer fees



12,566




12,596




25,162


Regulatory reporting fees



12,566




12,596




25,162


Brokerage commissions



15,499




2,793




18,292


Distribution fees



7,954




7,812




15,766


Insurance expense



7,540




7,540




15,080


Listing & calculation agent fees



6,334




6,334




12,668


Other expenses



8,422




4,386




12,808


Wholesale support fees



13,910




3,583




17,493


Interest expense



-




14




14


Total Expenses



288,164




236,108




524,272


Less: Waiver of CTA fee



(16,213

)



-




(16,213

)

Less: Expenses absorbed by Sponsor



(217,318

)



(197,476

)



(414,794

)

Net Expenses



54,633




38,632




93,265


Net Investment Income (Loss)



(35,620

)



36,500




880















Net Realized and Unrealized Gain (Loss) on Investment Activity


























Net Realized Gain (Loss) on













Investments, futures and options contracts



338,181




(252,728

)



85,453















Change in Unrealized Gain (Loss) on











-


Investments, futures and options contracts



666,605




368,231




1,034,836


Net realized and unrealized gain (loss)



1,004,786




115,503




1,120,289


Net income (loss)


$

969,166



$

152,003



$

1,121,169





See accompanying notes to unaudited interim combined financial statements.








10















ETF MANAGERS GROUP COMMODITY TRUST I



Combined Statements of Changes in Net Assets



Three
Months Ended December 31, 2020 (Unaudited)





















































































































































































































































BREAKWAVE DRY BULK SHIPPING ETF



SIT


RISING RATE ETF*



COMBINED


Net Assets at Beginning of Period


$

30,291,037



$

3,018,360



$

33,309,397















Increase (decrease) in Net Assets from share transactions













Addition of 100,000 and -0- shares, respectively



653,748




-




653,748


Redemption of 600,000 and 150,040 shares, respectively



(4,671,190

)



(2,989,783

)



(7,660,973

)

Net Increase (decrease) in Net Assets from share transactions



(4,017,442

)



(2,989,783

)



(7,007,225

)














Increase (decrease) in Net Assets from operations













Net investment income (loss)



(290,576

)



(42,536

)



(333,112

)

Net realized gain (loss)



(3,591,274

)



5,118




(3,586,156

)

Change in net unrealized gain (loss)



2,788,440




8,841




2,797,281















Net Increase (decrease) in Net Assets from operations



(1,093,410

)



(28,577

)



(1,121,987

)














Net Assets at End of Period


$

25,180,185



$

-



$

25,180,185




















*

Period from October 1, 2020 to October 30, 2020 - Sit

Rising Rate ETF liquidated as of November 18, 2020.









See

accompanying notes to unaudited interim combined financial statements.














11















ETF MANAGERS GROUP COMMODITY TRUST I



Combined Statements of Changes in Net Assets



Three
Months Ended December 31, 2019 (Unaudited)























































































































































































































































BREAKWAVE DRY BULK SHIPPING

ETF



SIT


RISING RATE ETF



COMBINED


Net Assets at Beginning of Period


$

1,965,548



$

6,218,812



$

8,184,360















Increase (decrease) in Net Assets from share transactions













Addition of 75,000 and -0- shares,
respectively



1,151,130




-




1,151,130


Redemption of 25,000 and 25,000 shares, respectively



(431,515

)



(577,766

)



(1,009,281

)

Net Increase (decrease) in Net Assets from share transactions



719,615




(577,766

)



141,849















Increase (decrease) in Net Assets from operations













Net investment income (loss)



(16,692

)



14,545




(2,147

)

Net realized gain (loss)



(243,845

)



(306,211

)



(550,056

)

Change in net unrealized gain (loss)



(117,845

)



391,106




273,261















Net Increase (decrease) in Net Assets from operations



(378,382

)



99,440




(278,942

)














Net Assets at End of Period


$

2,306,781



$

5,740,486



$

8,047,267








See

accompanying notes to unaudited interim combined financial statements.












12
















ETF

MANAGERS GROUP COMMODITY TRUST I




Combined

Statements of Changes in Net Assets




Six

Months Ended December 31, 2020 (Unaudited)























































































































































































































































BREAKWAVE DRY BULK SHIPPING

ETF



SIT


RISING RATE ETF*



COMBINED


Net Assets at Beginning of Period


$

44,275,487



$

5,068,181



$

49,343,668















Increase (decrease) in Net Assets from share transactions













Addition of 275,000 and -0- shares,
respectively



2,101,301




-




2,101,301


Redemption of 2,850,000 and
250,040 shares, respectively



(22,793,823

)



(4,998,233

)



(27,792,056

)

Net increase (decrease) in Net Assets from share transactions



(20,692,522

)



(4,998,233

)



(25,690,755

)














Increase (decrease) in Net Assets from operations













Net investment gain (loss)



(638,316

)



(51,269

)



(689,585

)

Net realized loss



6,513,496




(29,138

)



6,484,358


Change in net unrealized gain (loss)



(4,277,960

)



10,459




(4,267,501

)














Net Increase (Decrease) in Net Assets from operations



1,597,220




(69,948

)



1,527,272















Net Assets at End of Period


$

25,180,185



$

-



$

25,180,185













*



Period from July 1, 2020 to October 30, 2020 - Sit Rising Rate ETF liquidated as of November 18, 2020.








See

accompanying notes to unaudited interim combined financial statements.












13
















ETF

MANAGERS GROUP COMMODITY TRUST I




Combined

Statements of Changes in Net Assets




Six

Months Ended December 31, 2019 (Unaudited)























































































































































































































































BREAKWAVE DRY BULK SHIPPING

ETF



SIT


RISING RATE ETF



COMBINED


Net Assets at Beginning of Period


$

4,308,262



$

11,920,149



$

16,228,411















Increase (decrease) in Net Assets from share transactions













Addition of 75,000 and -0- shares,
respectively



1,151,130




-




1,151,130


Redemption of 250,000 and
275,000 shares, respectively



(4,121,777

)



(6,331,666

)



(10,453,443

)

Net Increase (decrease) in Net Assets from share transactions



(2,970,647

)



(6,331,666

)



(9,302,313

)














Increase (decrease) in Net Assets from operations













Net investment income (loss)



(35,620

)



36,500




880


Net realized gain (loss)



338,181




(252,728

)



85,453


Change in net unrealized gain (loss)



666,605




368,231




1,034,836















Net Increase (decrease) in Net Assets from operations



969,166




152,003




1,121,169















Net Assets at End of Period


$

2,306,781



$

5,740,486



$

8,047,267








See

accompanying notes to unaudited interim combined financial statements.












14
















ETF

MANAGERS GROUP COMMODITY TRUST I




Combined
Statements of Cash Flows



Six Months

Ended December 31, 2020 (Unaudited)

































































































































































































































































































































































































































































BREAKWAVE DRY BULK SHIPPING ETF



SIT RISING RATE ETF*



COMBINED












Cash flows provided by (used in) operating activities










Net income (loss)


$

1,597,220



$

(69,948

)


$

1,527,272


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













Net realized loss (gain) on investments



(6,513,496

)



29,138




(6,484,358

)

Change in net unrealized loss (gain) on investments



4,277,960




(10,459

)



4,267,501


Change in operating assets and liabilities:













Sale (Purchase) of investments, net



2,419,306




4,861,090




7,280,396


Decrease in interest receivable



264




-




264


Decrease in options written, at fair value



-




(4,148

)



(4,148

)

Decrease in receivable on open futures contracts



4,277,960




-




4,277,960


Decrease in payable on open futures contracts



-




(5,144

)



(5,144

)

Decrease in due to Sponsor



(16,788

)



(4,179

)



(20,967

)

Decrease in other accrued expenses



(26,064

)



-




(26,064

)

Net cash provided by (used in) operating activities



6,016,362




4,796,350




10,812,712


Cash flows from financing activities













Proceeds from sale of shares



2,101,301




-




2,101,301


Paid on redemption of shares



(22,793,823

)



(4,998,233

)



(27,792,056

)

Increase in payable for Fund shares redeemed



201,027




-




201,027


Net cash provided by financing activities



(20,491,495

)



(4,998,233

)



(25,489,728

)

Net increase (decrease) in cash and restricted cash



(14,475,133

)



(201,883

)



(14,677,016

)

Cash and restricted cash, beginning of period



28,020,391




201,883




28,222,274


Cash and restricted cash, end of period


$

13,545,258



$

-



$

13,545,258















The following table provides a reconciliation of cash and restricted cash reported within the Combined Statement of Assets and Liabilities that sum to the total of such amounts shown on the Combined Statement of Cash Flows.


























Cash


$

-



$

-



$

-


Segregated cash held by broker



13,545,258




-




13,545,258


Total cash and restricted cash as shown on the statement of cash flows


$

13,545,258



$

-



$

13,545,258










*

Period from October 1, 2020 to October 30, 2020 - Sit Rising
Rate ETF liquidated as of November 18, 2020.




See accompanying notes to unaudited interim combined financial
statements.












15
















ETF

MANAGERS GROUP COMMODITY TRUST I




Combined

Statements of Cash Flows




Six

Months Ended December 31, 2019 (Unaudited)











































































































































































































































































































































































































































BREAKWAVE DRY BULK SHIPPING

ETF



SIT


RISING RATE ETF



COMBINED


Cash flows provided by (used in) operating activities













Net income (loss)


$

969,166



$

152,003



$

1,121,169


Adjustments to reconcile net income (loss) to net

cash provided by (used in) operating activities:













Net realized loss (gain) on investments



(338,181

)



252,728




(85,453

)

Change in net unrealized loss (gain) on investments



(666,605

)



(368,231

)



(1,034,836

)

Change in operating assets and liabilities:













Sale (purchase) of investments, net



1,549,179




6,492,287




8,041,466


Decrease in interest receivable



3,993




254




4,247


Increase (decrease) in receivable on open futures contracts



391,415




(15,878

)



375,537


Decrease in options written, at fair value



-




(13,430

)



(13,430

)

Increase (decrease) in payable on open futures contracts



105,125




(326,457

)



(221,332

)

Decrease in due to Sponsor



(6,813

)



(4,595

)



(11,408

)

Decrease in other liabilities



(1,218

)



-




(1,218

)

Net cash provided by (used in) operating activities



2,006,061




6,331,666




9,302,313


Cash flows from financing activities













Proceeds from sale of shares



1,151,130




-




1,151,130


Paid on redemption of shares



(4,121,777

)



(6,331,666

)



(10,453,443

)

Net cash provided by (used in) financing activities



(2,970,647

)



(6,331,666

)



(9,302,313

)

Net increase (decrease) in cash and restricted cash



(964,586

)



(162,985

)



(1,127,591

)

Cash and restricted cash,
beginning of period



2,831,566




365,460




3,197,026


Cash and restricted cash, end of period


$

1,866,980



$

202,475



$

2,069,455















The following table provides a reconciliation of cash and restricted cash reported within the Combined Statement of Assets and Liabilities that sum to the total of such amounts shown on the Combined Statement of Cash Flows.


























Cash


$

-



$

-



$

-


Segregated cash held by broker



1,866,980




202,475




2,069,455


Total cash and restricted cash as shown on the statement of cash flows


$

1,866,980



$

202,475



$

2,069,455








See

accompanying notes to unaudited interim combined financial statements.










16

















ETF

Managers Group Commodity Trust I






Notes

to Interim Combined Financial Statements






December

31, 2020 (unaudited)










(1)

Organization









ETF

Managers Group Commodity Trust I (the “Trust”) was organized as a Delaware statutory trust on July 23, 2014. The Trust

is a series trust formed pursuant to the Delaware Statutory Trust Act and currently consists of one separate series. BREAKWAVE

DRY BULK SHIPPING ETF (“BDRY,” the “Fund”), is a commodity pool that continuously issues shares of beneficial

interest that may be purchased and sold on NYSE Arca. As described below, SIT RISING RATE ETF ("RISE") also operated as a series of the Trust, but was closed and liquidated prior to December
31, 2020. The Fund is managed and controlled by ETF Managers Capital LLC (the “Sponsor”),

a Delaware limited liability company. The Sponsor is registered with the Commodity Futures Trading Commission (“CFTC”)

as a “commodity pool operator” (“CPO”) and is a member of the National Futures Trading Association (“NFA”).

Breakwave Advisors, LLC (“Breakwave”) is registered as a “commodity trading advisor” (“CTA”)

with the CFTC and serves as BDRY’s commodity trading advisor.










RISE

Closure and Liquidation










On

October 16, 2020, the Sponsor announced that it would close and liquidate the SIT RISING RATE ETF (“RISE”) because

of current market conditions and the Fund’s asset size. The last day the liquidated fund accepted creation orders was on

October 30, 2020. Trading in RISE was suspended after the close of the NYSE Arca on October 30, 2020. Proceeds of the liquidation

were sent to shareholders on November 18, 2020 (the “Distribution Date”). From October 30, 2020 through the distribution

date, shares of RISE did not trade on the NYSE Arca nor was there a secondary market for the shares. Any shareholders that remained

in RISE on the Distribution Date automatically had their shares redeemed for cash at the current net asset value on November 18,

2020.








BDRY

commenced investment operations on March 22, 2018. BDRY commenced trading on NYSE Arca on March 22, 2018 and trades under the

symbol “BDRY.”








BDRY’s

investment objective is to provide investors with exposure to the daily change in the price of dry bulk freight futures, before

expenses and liabilities of BDRY, by tracking the performance of a portfolio (the “BDRY Benchmark Portfolio”) consisting of a three-month strip of the nearest

calendar quarter of futures contracts on specified indexes (each a “Reference Index”) that measure rates for shipping

dry bulk freight (“Freight Futures”). Each Reference Index is published each United Kingdom business day by the London-based

Baltic Exchange Ltd. (the “Baltic Exchange”) and measures the charter rate for shipping dry bulk freight in a specific

size category of cargo ship – Capesize, Panamax or Supramax. The three Reference Indexes are as follows:






















Capesize

:

the Capesize 5TC Index;




















Panamax

:

the Panamax 4TC Index; and




















Supramax

:

the Supramax 6TC Index.






The

value of the Capesize 5TC Index is disseminated at 11:00 a.m., London Time and the value of the Panamax 4TC Index and the Supramax

6TC Index each is disseminated at 1:00 p.m., London Time. The Reference Index information disseminated by the Baltic Exchange

also includes the components and value of each component in each Reference Index. Such Reference Index information also is widely

disseminated by Reuters and/or other major market data vendors.








BDRY

seeks to achieve its investment objective by investing substantially all of its assets in the Freight Futures currently constituting

the BDRY Benchmark Portfolio. The BDRY Benchmark Portfolio includes all existing positions to maturity and settles them in cash.

During any given calendar quarter, the BDRY Benchmark Portfolio progressively increases its positions to the next calendar quarter

three-month strip, thus maintaining constant exposure to the Freight Futures market as positions mature.














17


















The

BDRY Benchmark Portfolio maintains long-only positions in Freight Futures. The BDRY Benchmark Portfolio includes a combination

of Capesize, Panamax and Supramax Freight Futures. More specifically, the BDRY Benchmark Portfolio includes 50% exposure in Capesize

Freight Futures contracts, 40% exposure in Panamax Freight Futures contracts and 10% exposure in Supramax Freight Futures contracts.

The BDRY Benchmark Portfolio does not include and BDRY does not invest in swaps, non-cleared dry bulk freight forwards or other

over-the-counter derivative instruments that are not cleared through exchanges or clearing houses. BDRY may hold exchange-traded

options on Freight Futures. The BDRY Benchmark Portfolio is maintained by Breakwave and will be rebalanced annually. The Freight

Futures currently constituting the BDRY Benchmark Portfolio, as well as the daily holdings of BDRY are available on BDRY’s

website at www.drybulketf.com.








When

establishing positions in Freight Futures, BDRY will be required to deposit initial margin with a value of approximately 10% to

40% of the notional value of each Freight Futures position at the time it is established. These margin requirements are established

and subject to change from time to time by the relevant exchanges, clearing houses or BDRY’s FCM, ED&F Man Capital Markets,

Inc. On a daily basis, BDRY is obligated to pay, or entitled to receive, variation margin in an amount equal to the change in

the daily settlement level of its Freight Futures positions. Any assets not required to be posted as margin with the FCM may be

held at BDRY’s custodian or remain with the FCM in cash or cash equivalents, as discussed below.








BDRY

was created to provide investors with a cost-effective and convenient way to gain exposure to daily changes in the price of Freight

Futures. BDRY is intended to be used as a diversification opportunity as part of a complete portfolio, not a complete investment

program.








The

Fund will incur certain expenses in connection with their operations. The Fund will hold cash or cash equivalents such as U.S.

Treasuries or other high credit quality, short-term fixed-income or similar securities for direct investment or as collateral

for the Treasury Instruments and for other liquidity purposes and to meet redemptions that may be necessary on an ongoing basis.

These expenses and income from the cash and cash equivalent holdings may cause imperfect correlation between changes in the Fund’s

net asset value (“NAV”) and changes in the Benchmark Portfolio, because the Benchmark Portfolio does not reflect expenses

or income.








The

Fund seeks to trade its positions prior to maturity; accordingly, natural market forces may cost the Fund while rebalancing. Each

time the Fund seeks to reconstitute its positions, barring movement in the underlying securities, the futures and option prices

may be higher or lower. Such differences in price, barring a movement in the price of the underlying security, will constitute

“roll yield” and may inhibit the Fund’s ability to achieve its respective investment objective.








Several

factors determine the total return from investing in a futures contract position. One factor that impacts the total return that

will result from investing in near month futures contracts and “rolling” those contracts forward each month is the

price relationship between the current near month contract and the next month contract.








The

CTA will close existing positions when it determines it would be appropriate to do so and reinvest the proceeds in other positions.

Positions may also be closed out to meet orders for redemption baskets.









(2)

Summary of Significant Accounting Policies










(a)

Basis of Accounting









The

accompanying interim combined financial statements of the Fund have been prepared in conformity with U.S. generally accepted accounting

principles (“U.S. GAAP”). The Fund qualifies as an investment company for financial reporting purposes under Topic

946 of the Accounting Standard Codification of U.S. GAAP.








The

accompanying interim combined financial statements are unaudited, but in the opinion of management, contain all adjustments (which

include normal recurring adjustments) considered necessary to present fairly the interim combined financial statements. These

interim combined financial statements should be read in conjunction with BDRY’s annual report on Form 10-K for the year

ended June 30, 2020 and BDRY’s prospectus dated March 13, 2020 (the “BDRY Prospectus,”). Interim period results

are not necessarily indicative of results for a full-year period.














18



















(b)

Use of Estimates









The

preparation of the interim combined 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 interim combined financial statements and accompanying notes. Actual results could differ from those estimates.

There were no significant estimates used in the preparation of the interim combined financial statements.









(c)

Cash









Cash,

when shown in the Combined Statements of Assets and Liabilities, represents non-segregated cash with the custodian and does not

include short-term investments.









(d)

Cash Held by Broker









Breakwave

is registered as a “commodity trading advisor” and acts as such for BDRY. The Fund’s arrangement with its FCM

requires the Fund to meet its variation margin requirement related to the price movements, both positive and negative, on futures

contracts held by the Fund by keeping cash on deposit with the Commodity Broker (as defined below). These amounts are shown as

Segregated cash held by broker in the Combined Statements of Assets and Liabilities. The Fund deposits cash or United States Treasury

Obligations, as applicable, with its FCM subject to the CFTC regulations and various exchange and broker requirements. The combination

of the Fund’s deposits with its FCM of cash and United States Treasury Obligations, as applicable, and the unrealized gain

or loss on open futures contracts (variation margin) represents the Fund’s overall equity in its brokerage trading account.

The Fund uses its cash held by its FCM to satisfy variation margin requirements. The Fund earns interest on its cash deposited

with its FCM and interest income is recorded on the accrual basis.









(e)

Final Net Asset Value for Fiscal Period









The
calculation time of the Fund’s final net asset value for creation and redemption of Fund shares for the three and six
months ended December 31, 2020 and 2019 was at 4:00 p.m. Eastern Time on December 31, 2020 and 2019, respectively.

RISE was liquidated on November 18, 2020 at its final net asset value as of that date.








Although

the Fund’s shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, the 4:00 p.m.

Eastern Time represented the final opportunity to transact in creation or redemption baskets for the three and six months ended

December 31, 2020 and 2019.








Fair

value per share is determined at the close of the NYSE Arca.








For

financial reporting purposes, the Fund values its investment positions based upon the final closing price in their primary markets.

Accordingly, the investment valuations in these interim combined financial statements differ from those used in the calculations

of the Fund’s final creation/redemption NAVs at December 31, 2020 and 2019.









(f)

Investment Valuation









Short-term

investments, excluding U.S. Treasury Bills, are carried at amortized cost, which approximates fair value. U.S. Treasury Bills

are valued as determined by an independent pricing service based on methods which include consideration of: yields or prices of

securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions.








Futures

and options contracts are valued at the last settled price on the applicable exchange on which that futures and/or options contract

trades.














19



















(g)

Financial Instruments and Fair Value









The

Fund discloses the fair value of its investments in accordance with the Financial Accounting Standards Board (“FASB”)

fair value measurement and disclosure guidance which requires a fair value hierarchy that prioritizes the inputs to valuation

techniques used to measure fair value. The disclosure requirements establish a fair value hierarchy that distinguishes between:

(1) market participant assumptions developed based on market data obtained from sources independent to the Fund (observable inputs);

and (2) the Fund’s own assumptions about market participant assumptions developed based on the best information available

under the circumstances (unobservable inputs). The three levels defined by the disclosure requirements hierarchy are as follows:













Level I:



Quoted prices (unadjusted)

in active markets for identical assets and liabilities that the reporting entity has the ability to access at the measurement

date.











Level II:



Inputs other than

quoted prices included within Level I that are observable for the asset or liability, either directly or indirectly. Level

II inputs include the following: quoted prices for similar assets or liabilities in active markets, quoted prices for identical

or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the

asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation

or other means (market-corroborated inputs).











Level III:



Unobservable pricing

input at the measurement date for the asset or liability. Unobservable inputs shall be used to measure fair value to the extent

that observable inputs are not available.






In

some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in

the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest

input level that is significant to the fair value measurement in its entirety.








Fair

value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly

decreased, as well as when circumstances indicate that a transaction is not orderly.












20














The

following table summarizes BDRY’s valuation of investments at December 31, 2020 and at June 30, 2020 using the fair value

hierarchy:










































December

31, 2020 (unaudited)














Short-Term


Investments





Futures


Contracts





Total




Level

I – Quoted Prices






$



7,803,092



a



$


4,303,595


b



$


12,106,687








a

– Included in Investments in securities in the Combined Statements of Assets and Liabilities.




b

– Included in Receivable on open futures contracts in the Combined Statements of Assets and Liabilities.










































June

30, 2020 (audited)














Short-Term


Investments





Futures


Contracts





Total




Level

I – Quoted Prices






$



7,986,862



a



$



8,581,555



b



$



16,568,417









a

– Included in Investments in securities in the Combined Statements of Assets and Liabilities.




b

– Included in Receivable on open futures contracts in the Combined Statements of Assets and Liabilities.








Transfers

between levels are recognized at the end of the reporting period. During the six months ended December 31, 2020 and the year

ended June 30, 2020, BDRY recognized no transfers from Level 1, Level 2 or Level 3.








The

inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in

those securities.








The

following tables summarize RISE’s valuation of investments at June 30, 2019 using the fair value

hierarchy:


















































June

30, 2020 (audited)














Short-Term


Investments





Purchased


Options


Contracts





Written


Options


Contracts





Futures


Contracts





Total




Level

I – Quoted Prices






$



4,865,473



a



$



14,296



a



$



(4,148



)b



$



(5,144



)c



$



4,870,477









a

– Included in Investments in securities in the Combined Statements of Assets and Liabilities.




b

– Included in Options written, at fair value in the Combined Statements of Assets and Liabilities.




c

– Included in Payable on open futures contracts in the Combined Statements of Assets and Liabilities.








Transfers

between levels are recognized at the end of the reporting period. During the year ended June 30, 2020, RISE recognized no transfers

from Level 1, Level 2 or Level 3.









(h)

Investment Transactions and Related Income









Investment

transactions are recorded on the trade date. All such transactions are recorded on the identified cost basis, and marked to market

daily. Unrealized gain/loss on open futures contracts is reflected in Receivable/Payable on open futures contracts in the Combined

Statements of Assets and Liabilities and the change in the unrealized gain/loss between periods is reflected in the Combined Statements

of Operations. BDRY’s interest earned on short-term securities and on cash deposited with ED & F Man Capital Markets

Inc. is accrued daily and reflected as Interest Income, when applicable, in the Combined Statements of Operations.









(i)

Federal Income Taxes









The

Fund is registered as a Delaware statutory trust and is treated as a partnership for U.S. federal income tax purposes. Accordingly,

the Fund does not expect to incur U.S. federal income tax liability; rather, each beneficial owner is required to take into account

their allocable share of the Fund’s income, gain, loss, deductions and other items for the Fund’s taxable year ending

with or within the beneficial owner’s taxable year.














21














Management

of the Fund has reviewed the open tax years and major jurisdictions and concluded that there is no tax liability resulting from

unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns at December

31, 2020 and June 30, 2020. The Fund is also not aware of any tax positions for which it is reasonably possible that the total

amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis, management will

monitor its tax positions taken to determine if adjustments to its conclusions are necessary based on factors including, but not

limited to, further implementation of guidance expected from the FASB and on-going analysis of tax law, regulation, and interpretations

thereof. The Fund’s federal tax returns are subject to examination by the Internal Revenue Service for a period of three

years after they are filed.









(j)

Reclassification and Changes in Presentation









Certain
reclassifications and changes in presentation have been made to the prior unaudited interim combined financial statements to
conform with the current period presentation.









(3)

Investments










(a)

Short-Term Investments









The

Fund may purchase U.S. Treasury Bills, agency securities, and other high-credit quality short-term fixed income or similar securities

with original maturities of one year or less. A portion of these investments may be used as margin for the Fund’s trading

in futures contracts.









(b)

Accounting for Derivative Instruments









In

seeking to achieve the Fund’s investment objective, the commodity trading advisor uses a mathematical approach to investing.

Using this approach, the commodity trading advisor determines the type, quantity and mix of investment positions that it believes

in combination should produce returns consistent with the Fund’s objective.








All

open derivative positions at December 31, 2020 and at June 30, 2020, as applicable, are disclosed in the Combined Schedules of

Investments and the notional value of these open positions relative to the shareholders’ capital of the Fund is generally

representative of the notional value of open positions to shareholders’ capital throughout the reporting periods for the

Fund. The volume associated with derivative positions varies on a daily basis as the Fund transacts in derivative contracts in

order to achieve the appropriate exposure, as expressed in notional value, in comparison to shareholders’ capital consistent

with the Fund’s investment objective.








Following

is a description of the derivative instruments used by the Fund during the reporting period, including the primary underlying

risk exposures.









(c)

Futures Contracts









The

Fund enters into futures contracts to gain exposure to changes in the value of the Benchmark Portfolio. A futures contract obligates

the seller to deliver (and the purchaser to accept) the future cash settlement of a specified quantity and type of a treasury

futures contract at a specified time and place. The contractual obligations of a buyer or seller of a treasury futures contract

may generally be satisfied by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange

before the designated date of delivery.














22














Upon

entering into a futures contract, the Fund is required to deposit and maintain as collateral at least such initial margin as required

by the exchange on which the transaction is affected. The initial margin is segregated as Cash held by broker, as disclosed in

the Combined Statements of Assets and Liabilities, and is restricted as to its use. Pursuant to the futures contract, the Fund

agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the futures contract.

Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. The Fund will

realize a gain or loss upon closing a futures transaction.








Futures

contracts involve, to varying degrees, elements of market risk (specifically treasury price risk) and exposure to loss in excess

of the amount of variation margin. The face or contract amounts reflect the extent of the total exposure the Fund has in the particular

classes of instruments. Additional risks associated with the use of futures contracts include imperfect correlation between movements

in the price of the futures contracts and the market value of the underlying securities and the possibility of an illiquid market

for a futures contract. With futures contracts, there is minimal counterparty risk to the Fund since futures contracts are exchange-traded

and the exchange’s clearinghouse, as counterparty to all exchange-traded futures contracts, guarantees the futures contracts

against default.














23












BREAKWAVE

DRY BULK SHIPPING ETF




Fair

Value of Derivative Instruments, as of December 31, 2020



















































Asset

Derivatives











Liability

Derivatives








Derivatives








Combined

Statements of Assets and Liabilities








Fair


Value





Combined


Statements of


Assets and Liabilities





Fair


Value




Interest

Rate Risk






Receivable on open futures contracts







$



4,303,595



*










































*



Represents cumulative

appreciation of futures contracts as reported in the Combined Statements of Assets and Liabilities.






BREAKWAVE

DRY BULK SHIPPING ETF




Fair

Value of Derivative Instruments, as of June 30, 2020







































































Asset

Derivatives











Liability

Derivatives








Derivatives








Combined

Statements of Assets and Liabilities








Fair


Value





Combined


Statements of


Assets and Liabilities





Fair


Value




Interest

Rate Risk






Receivable

on open futures contracts






$



8,581,555



*



























































































*



Represents cumulative

appreciation of futures contracts as reported in the Combined Statements of Assets and Liabilities.














24














BREAKWAVE

DRY BULK SHIPPING ETF




The

Effect of Derivative Instruments on the Combined Statements of Operations




For

the Three Months Ended December 31, 2020































Derivatives








Location

of Gain (Loss) on Derivatives








Realized


Loss on


Derivatives


Recognized in


Income





Change

in


Unrealized Gain


(Loss) on


Derivatives


Recognized in


Income




Interest

Rate Risk






Net

realized loss on investments and futures and/or Change in unrealized gain (loss) on investments and futures contracts






$



(3,591,274



)






$



2,788,440









The

futures contracts open at December 31, 2020 are indicative of the activity for the three months ended December 31, 2020.








BREAKWAVE

DRY BULK SHIPPING ETF




The

Effect of Derivative Instruments on the Combined Statements of Operations




For

the Three Months Ended December 31, 2019































Derivatives








Location

of Gain (Loss) on Derivatives








Realized


Loss on


Derivatives


Recognized in


Income





Change

in


Unrealized Gain


(Loss) on


Derivatives


Recognized in


Income




Interest

Rate Risk






Net

realized loss on investments and futures and/or Change in unrealized gain (loss) on investments and futures contracts






$



(243,845


)







$



(117,845


)







The

futures contracts open at December 31, 2019 are indicative of the activity for the three months ended December 31, 2019.














25














BREAKWAVE

DRY BULK SHIPPING ETF




The

Effect of Derivative Instruments on the Combined Statements of Operations




For

the Six Months Ended December 31, 2020































Derivatives








Location

of Gain (Loss) on Derivatives








Realized


Gain on


Derivatives


Recognized in


Income





Change

in


Unrealized Gain


(Loss) on


Derivatives


Recognized in


Income




Interest

Rate Risk






Net

realized gain on investments and futures and/or Change in unrealized gain (loss) on investments and futures contracts






$



6,513,496









$



(4,277,960


)







The

futures contracts open at December 31, 2020 are indicative of the activity for the six months ended December 31, 2020.








BREAKWAVE

DRY BULK SHIPPING ETF




The

Effect of Derivative Instruments on the Combined Statements of Operations




For

the Six Months Ended December 31, 2019































Derivatives








Location

of Gain (Loss) on Derivatives








Realized


Loss on


Derivatives


Recognized in


Income





Change

in


Unrealized Gain


(Loss) on


Derivatives


Recognized in


Income




Interest

Rate Risk






Net

realized loss on investments and futures and/or Change in unrealized gain (loss) on investments and futures contracts






$


338,181








$


666,605








The

futures contracts open at December 31, 2019 are indicative of the activity for the six months ended December 31, 2019.








26














SIT

RISING RATE ETF




Fair

Value of Derivative Instruments, as of June 30, 2020
























































Asset

Derivatives





Liability Derivatives





Derivatives








Combined


Statements of


Assets and Liabilities





Fair

Value





Combined


Statements of


Assets and Liabilities





Fair

Value




Interest

Rate Risk






Purchased

options






$



14,296



*



Payable on open futures contracts



$



(5,144



)**



Interest

Rate Risk























Written

options, at fair value



$



(4,148



)*













*



Represents fair

value of options contracts as reported in the Combined Statements of Assets and Liabilities.









**



Represents cumulative

depreciation of futures contracts as reported in the Combined Statements of Assets and Liabilities.








SIT

RISING RATE ETF




The

Effect of Derivative Instruments on the Combined Statements of Operations




For

the Three Months Ended December 31, 2020*































Derivatives








Location

of Gain (Loss) on Derivatives









Realized






Gain

on


Derivatives


Recognized in


Income







Change

in


Unrealized Gain






(Loss)

on


Derivatives


Recognized in


Income





Interest

Rate Risk






Net

realized loss on investments, futures and options contracts and/or Change in unrealized gain (loss) on investments, futures

and options contracts






$



5,118









$



8,841
















*



The
operations include the activity of Sit Rising Rate ETF through November 18, 2020, the date of liquidation.








SIT

RISING RATE ETF




The

Effect of Derivative Instruments on the Combined Statements of Operations




For

the Three Months Ended December 31, 2019































Derivatives








Location

of Gain (Loss) on Derivatives








Realized


Loss on


Derivatives


Recognized in


Income





Change

in


Unrealized Gain


(Loss) on


Derivatives


Recognized in


Income




Interest

Rate Risk






Net

realized loss on investments, futures and options contracts and/or Change in unrealized gain (loss) on investments, futures

and options contracts






$



(306,211



)






$



391,106









The

futures and options contracts open at December 31, 2019 are indicative of the activity for the three months ended December 31,

2019.














27














SIT

RISING RATE ETF




The

Effect of Derivative Instruments on the Combined Statements of Operations




For

the Six Months Ended December 31, 2020































Derivatives








Location

of Gain (Loss) on Derivatives









Realized






Gain

on


Derivatives


Recognized in


Income







Change

in


Unrealized Gain






(Loss)

on


Derivatives


Recognized in


Income





Interest

Rate Risk






Net

realized loss on investments, futures and options contracts and/or Change in unrealized gain (loss) on investments, futures

and options contracts






$



(29,138



)






$



10,459









The

operations include the activity of Sit Rising Rate ETF through November 18, 2020, the date of liquidation.








SIT

RISING RATE ETF




The

Effect of Derivative Instruments on the Combined Statements of Operations




For

the Six Months Ended December 31, 2019































Derivatives








Location

of Gain (Loss) on Derivatives









Realized






Loss

on


Derivatives


Recognized in


Income







Change

in


Unrealized Gain






(Loss)

on


Derivatives


Recognized in


Income





Interest

Rate Risk






Net

realized loss on investments, futures and options contracts and/or Change in unrealized gain (loss) on investments, futures

and options contracts






$



(252,728



)






$



368,231









The

futures and options contracts open at December 31, 2019 are indicative of the activity for the six months ended December 31, 2019.












28













(4)

Agreements










(a)

Management Fee









The

Fund pays the Sponsor a sponsor fee (the “Sponsor Fee”) in consideration of the Sponsor’s advisory services

to the Fund. Additionally, the Fund pays its commodity trading advisor a license and service fee (the “CTA fee”).








BDRY

pays the Sponsor an annual Sponsor Fee, monthly in arrears, in an amount calculated as the greater of 0.15% of its average daily

net assets, or $125,000. BDRY also paid an annual fee to Breakwave, monthly in arrears, in an amount equal to 1.45% of BDRY’s

average daily net assets. Breakwave has agreed to waive its CTA fee to the extent necessary, and the Sponsor has voluntarily agreed

to correspondingly assume the remaining expenses of BDRY such that Fund expenses do not exceed an annual rate of 3.50%, excluding

brokerage commissions and interest expense, of the value of BDRY’s average daily net assets through February 28, 2022 (the

“BDRY Expense Cap,”). The assumption of expenses by the Sponsor and waiver of BDRY’s CTA fee are contractual

on the part of the Sponsor and Breakwave, respectively.








The

waiver of BDRY’s CTA fees, pursuant to the undertaking, amounted to $18,432 and $6,561, for the three months ended December

31, 2020 and 2019, respectively, and $18,432 and $16,213 for the six months ended December 31, 2020 and 2019, respectively, as

disclosed in the Combined Statements of Operations.








The

Fund currently accrues its daily expenses up to the Expense Cap, or if less, at accrual estimates established by the Sponsor.

At the end of each month, the accrued amount is remitted to the Sponsor as the Sponsor has assumed, and is responsible for the

payment of the routine operational, administrative and other ordinary expenses of the Fund in excess of the Fund’s Expense

Cap, which in the case of RISE, aggregated $32,532 and $100,323 for the three months ended December 31, 2020 and 2019, respectively,

and $136,902 and $197,476 for the six months ended December 31, 2020 and 2019, respectively, and in the case of BDRY, aggregated

$-0- and $112,262 for the three months ended December 31, 2020 and 2019, respectively, and $-0- and $217,318 for the six months

ended December 31, 2020 and 2019, respectively, as disclosed in the Combined Statements of Operations.









(b)

The Administrator, Custodian, Fund Accountant and Transfer Agent









The

Fund has appointed U.S. Bank, a national banking association, with its principal office in Milwaukee, Wisconsin, as the custodian

(the “Custodian”). Its affiliate, U.S. Bancorp Fund Services, is the Fund accountant (“the Fund accountant”)

of the Fund, transfer agent (the “Transfer Agent”) for Fund shares and administrator for the Fund (the “Administrator”).

It performs certain administrative and accounting services for the Fund and prepares certain SEC, NFA and CFTC reports on behalf

of the Fund. (U.S. Bank and U.S. Bancorp Fund Services are referred to collectively hereinafter as “U.S. Bank”).








BDRY

has agreed to pay U.S. Bank 0.05% of AUM, with a $45,000 minimum annual fee payable for its administrative, accounting and transfer

agent services and 0.01% of AUM, with an annual minimum of $4,800 for custody services. BDRY paid U.S. Bank $16,284 and $15,548

for the three months ended December 31, 2020 and 2019, respectively, and $32,568 and $31,096 for the six months ended December

31, 2020 and 2019, respectively, as disclosed in the Combined Statements of Operations.







Prior to its
liquidation

RISE paid U.S. Bank $4,792 and $14,479 for the three
months ended December 31, 2020 and 2019, respectively, and $19,486 and $28,958 for the six months ended December 31, 2019,
respectively, as disclosed in the Combined Statements of Operations.














29















(c)

The Distributor









The

Fund pays ETFMG Financial LLC. (the “Distributor”), an affiliate of the Sponsor, an annual fee for statutory and wholesaling

distribution services and related administrative services equal to the greater of $15,000 or 0.02% of the Fund’s average

daily net assets, payable monthly. Pursuant to the Marketing Agent Agreement between the Sponsor, the Fund and the Distributor,

the Distributor assists the Sponsor and the Fund with certain functions and duties relating to distribution and marketing services

to the Fund, including reviewing and approving marketing materials and certain regulatory compliance matters. The Distributor

also assists with the processing of creation and redemption orders.








BDRY

incurred $3,959 and $3,977 for the three months ended December 31, 2020 and 2019, respectively, and $7,918 and $7,954 for the

six months ended December 31, 2020 and 2019, respectively, as disclosed in the Combined Statements of Operations.








Prior to its
liquidation, RISE

incurred $1,258 and $3,906 in distribution and related administrative services for the three months ended December 31, 2020 and

2019, respectively, and $5,116 and $7,812 for the six months ended December 31, 2020 and 2019, respectively, as disclosed in the

Combined Statements of Operations.








Prior to its
liquidation, BDRY

pays the Sponsor an annual fee for wholesale support services of $25,000 plus 0.12% of BDRY’s average daily net assets,

payable monthly.








Prior to its
liquidation, RISE

also paid the Sponsor an annual fee for wholesale support services equal to 0.1% of RISE’s average daily net assets, payable

monthly.








BDRY

incurred $13,400 and $6,827 in wholesale support fees for the three months ended December 31, 2020 and 2019, respectively, and

$30,395 and $13,910 for the six months ended December 31, 2020 and 2019, respectively, as disclosed in the Combined Statements

of Operations.








Prior to its
liquidation, RISE

incurred $249 and $1,566 in wholesale support fees for the three months ended December 31, 2020 and 2019, respectively, and $1,522

and $3,583 for the six months ended December 31, 2020 and 2019, respectively, as disclosed in the Combined Statements of Operations.









(d)

The Commodity Broker









ED&F
Man Capital Inc., a Delaware limited liability company, serves as BDRY’s clearing broker (the “Commodity
Broker”). In its capacity as clearing broker, the Commodity Broker executes and clear the Funds’ futures
transactions and performs certain administrative services for the Funds. Prior to November 6, 2020, MacQuarie Futures
USA LLC served as BDRY’s clearing broker.








The

Fund pays respective brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”)

fees, give–up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading

activities in CFTC regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis.








The

Sponsor does not expect brokerage commissions and fees to exceed 0.40% (excluding the impact on the Fund of creation and/or redemption

activity) for BDRY of the net asset value of the Fund for execution and clearing services on behalf of the Fund, although the

actual amount of brokerage commissions and fees in any year or any part of any year may be greater. The effects of trading spreads,

financing costs associated with financial instruments, and costs relating to the purchase of U.S. Treasury Securities or similar

high credit quality short-term fixed-income or similar securities are not included in the foregoing analysis. BDRY incurred $83,830

and $7,202 in brokerage commissions and fees for the three months ended December 31, 2020 and 2019, respectively, and $159,042

and $15,499 for the six months ended December 31, 2020 and 2019, respectively, as disclosed in the Combined Statements of Operations.








Prior

to its liquidation, RISE incurred $181 and $927 in brokerage commissions and fees for the three months ended December 31, 2020

and 2019, respectively, and $1,424 and $2,793 for the six months ended December 31, 2020 and 2019, respectively, as disclosed

in the Combined Statements of Operations.














30















(e)

The Trustee









Under

the respective Amended and Restated Declaration of Trust and Trust Agreement (the “Trust Agreement”) for the Fund,

Wilmington Trust Company, the Trustee of the Fund (the “Trustee”) serves as the sole trustee of the Fund in the State

of Delaware. The Trustee will accept service of legal process on the Fund in the State of Delaware and will make certain filings

under the Delaware Statutory Trust Act. Under the Trust Agreement for the Fund, the Sponsor has the exclusive management and control

of all aspects of the business of the Fund. The Trustee does not owe any other duties to the Fund, the Sponsor or the Shareholders

of the Fund. The Trustee has no duty or liability to supervise or monitor the performance of the Sponsor, nor does the Trustee

have any liability for the acts or omissions of the Sponsor. BDRY incurred $630 and $628 in trustee fees for the three months

ended December 31, 2020 and 2019, respectively, and $1,260 and $1,256 for the six months ended December 31, 2020 and 2019, respectively,

which is included in Other Expenses in the Combined Statements of Operations.








Prior

to its liquidation, RISE incurred $418 and $628, in trustee fees for the three months ended December 31, 2020 and 2019, respectively,

and $843 and $1,256 for the six months ended December 31, 2020 and 2019, respectively, which is included in Other Expenses in

the Combined Statements of Operations.









(f)

Routine Offering, Operational, Administrative and Other Ordinary Expenses









The

Sponsor, in accordance with the BDRY Expense Cap limitation paid, after the waiver of the CTA fee for BDRY by Breakwave, all of

the routine offering, operational, administrative and other ordinary expenses of BDRY in excess of 3.50% (excluding brokerage

commissions and interest expense) of BDRY’s average daily net assets, including, but not limited to, accounting and computer

services, the fees and expenses of the Trustee, Administrator, Custodian, Transfer Agent and Distributor, legal and accounting

fees and expenses, tax return preparation expenses, filing fees, and printing, mailing and duplication costs. BDRY incurred $309,401

and $141,861 for the three months ended December 31, 2020 and 2019, respectively, and $657,815 and $288,164 for the six months

ended December 31, 2020 and 2019, respectively, in routine offering, operational, administrative or other ordinary expenses.








The

CTA fee waiver for BDRY by Breakwave was $18,432 and $6,561 for the three months ended December 31, 2020 and 2019, respectively,

and $18,432 and $16,213 for the six months ended December 31, 2020 and 2019, respectively.








In

addition, the assumption of Fund expenses above the BDRY Expense Cap by the Sponsor, pursuant to the undertaking (as discussed

in Note 4a), amounted to $-0- and $112,262 for the three months ended December 31, 2020 and 2019, respectively, and $-0- and $217,318

for the six months ended December 31, 2020 and 2019, respectively.








Prior
to its liquidation, RISE incurred $75,249 (including $26 in interest expense) and $116,924 (including $14 in interest
expense) for the three months ended December 31, 2020 and 2019, respectively, and $193,779 and $236,108 for the six months
ended December 31, 2020 and 2019, respectively, in routine offering, operational, administrative or other ordinary
expenses.








Prior

to its liquidation, the assumption of Fund expenses above the RISE Expense Cap by the Sponsor, pursuant to the undertaking (as

discussed in Note 4a), amounted to $32,532 and $100,323 for the three months ended December 31, 2020 and 2019, respectively, and

$136,902 and $197,476 for the six months ended December 31, 2020 and 2019, respectively.














31















(g)

Organizational and Offering Costs









Expenses

incurred in connection with organizing BDRY and up to the offering of its Shares upon commencement of its investment operations

on March 22, 2018, were paid by the Sponsor and Breakwave without reimbursement.








Accordingly,

all such expenses are not reflected in the Statements of Operations. The Fund will bear the costs of its continuous offering of

Shares and ongoing offering expenses. Such ongoing offering costs will be included as a portion of the Routine Offering, Operational,

Administrative and Other Ordinary Expenses. These costs will include registration fees for regulatory agencies and all legal,

accounting, printing and other expenses associated therewith. These costs will be accounted for as a deferred charge and thereafter

amortized to expense over twelve months on a straight-line basis or a shorter period if warranted. For the three and six months

ended December 31, 2020 and 2019, BDRY incurred no such expenses.









(h)

Extraordinary Fees and Expenses









The

Fund will pay all extraordinary fees and expenses, if any. Extraordinary fees and expenses are fees and expenses which are nonrecurring

and unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other unanticipated expenses.

Such extraordinary fees and expenses, by their nature, are unpredictable in terms of timing and amount. For the three and six

months ended December 31, 2020 and 2019, respectively, BDRY incurred no such expenses.









(5)

Creations and Redemptions









The

Fund issues and redeems Shares from time to time, but only in one or more Creation Baskets. A Creation Basket is a block of 25,000

Shares of each Fund. Baskets may be created or redeemed only by Authorized Participants.








Except

when aggregated in Creation Baskets, the Shares are not redeemable securities. Retail investors, therefore, generally will not

be able to purchase or redeem Shares directly from or with the Fund. Rather, most retail investors will purchase or sell Shares

in the secondary market with the assistance of a broker. Thus, some of the information contained in these Notes to Interim Combined

Financial Statements – such as references to the Transaction Fee imposed on creations and redemptions – is not relevant

to retail investors.









(a)

Transaction Fees on Creation and Redemption Transactions









In

connection with orders to create and redeem one or more Creation Baskets, an Authorized Participant is required to pay a transaction

fee, or AP Transaction Fee, of $250 ($500 prior to May 18, 2020) per order, which goes directly to the Custodian. The AP Transaction

Fees are paid by the Authorized Participants and not by the Fund.














32















(b)

Share Transactions










BREAKWAVE

DRY BULK SHIPPING ETF






















































Summary

of Share Transactions for the Three Months Ended December 31, 2020










Shares








Net

Assets


Decrease







Shares

Sold









100,000









$



653,748






Shares

Redeemed









(600,000



)









(4,671,190



)



Net

Decrease









(500,000



)






$



(4,017,442



)



















































Summary of Share Transactions for the Three Months Ended December 31, 2019






Shares






Net Assets


Increase





Shares Sold





75,000





$



1,151,130




Shares Redeemed





(25,000



)





(431,515



)



Net Increase





50,000





$



719,615



















































Summary of Share Transactions for the

Six Months Ended December 31, 2020





Shares






Net Assets


Decrease





Shares Sold





275,000





$



2,101,301




Shares Redeemed





(2,850,000



)





(22,793,823



)



Net Decrease





(2,575,000



)




$



(20,692,522



)



















































Summary

of Share Transactions for the Six Months Ended December 31, 2019










Shares








Net

Assets


Decrease







Shares

Sold









75,000









$



1,151,130






Shares

Redeemed









(250,000



)









(4,121,777



)



Net

Decrease









(175,000



)






$



(2,970,647



)










33













SIT

RISING RATE ETF (PRIOR TO LIQUIDATION)






















































Summary

of Share Transactions for the Three Months Ended December 31, 2020










Shares








Net

Assets


Increase







Shares

Sold



















$










Shares

Redeemed In Liquidation









(150,040



)









(2,989,783



)



Net

Decrease









(150,040



)






$



(2,989,783



)



















































Summary

of Share Transactions for the Three Months Ended December 31, 2019










Shares








Net

Assets


Decrease







Shares

Sold



















$










Shares

Redeemed









(25,000



)









(577,766



)



Net

Decrease









(25,000



)






$



(577,766



)



















































Summary

of Share Transactions for the Six Months Ended December 31, 2020










Shares








Net

Assets


Decrease







Shares

Sold



















$










Shares

Redeemed (Including in Liquidation)









(250,040



)









(4,998,233



)



Net

Decrease









(250,040



)






$



(4,998,233



)



















































Summary

of Share Transactions for the Six Months Ended December 31, 2019










Shares








Net

Assets


Decrease







Shares

Sold



















$










Shares

Redeemed









(275,000



)









(6,331,666



)



Net

Decrease









(275,000



)






$



(6,331,666



)










34















(6)

Risk










(a)

Investment Related Risk









The

NAV of BDRY’s shares relates directly to the value of the futures portfolio, cash and cash equivalents held by BDRY. Fluctuations

in the prices of these assets could materially adversely affect the value and performance of an investment in BDRY’s shares.

Past performance is not necessarily indicative of future results; all or substantially all of an investment in BDRY could be lost.








The

NAV of BDRY’s shares relates directly to the value of futures investments held by BDRY which are materially impacted by

fluctuations in changes in spot charter rates. Charter rates for dry bulk vessels are volatile and have declined significantly

since their historic highs and may remain at low levels or decrease further in the future.








Futures

and options contracts have expiration dates. Before or upon the expiration of a contract, BDRY may be required to enter into a

replacement contract that is priced higher or that have less favorable terms than the contract being replaced (see “Negative

Roll Risk,” below). The Freight Futures market settles in cash against published indices, so there is no physical delivery

against the futures contracts.








Similar

to other futures contracts, the Freight Futures curve shape could be either in “contango” (where the futures curve

is upward sloping with next futures price higher than the current one) or “backwardation” (where each the next futures

price is lower than the current one). Contango curves are generally characterized by negative roll cost, as the expiring contract

value is lower that the next prompt contract value, assuming the same lot size. That means there could be losses incurred when

the contracts are rolled each period and such losses are independent of the Freight Futures price level.









(b)

Liquidity Risk









In

certain circumstances, such as the disruption of the orderly markets for the futures contracts or Financial Instruments in which

the Fund invests, the Fund might not be able to dispose of certain holdings quickly or at prices that represent what the market

value may have been in an orderly market. Futures and option positions cannot always be liquidated at the desired price. It is

difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. A

market disruption can also make it difficult to liquidate a position. The large size of the positions that the Fund may acquire

increases the risk of illiquidity both by making its positions more difficult to liquidate and by potentially increasing losses

while trying to do so. Such a situation may prevent the Fund from limiting losses, realizing gains or achieving a high correlation

with the Benchmark Portfolio.









(c)

Natural Disaster/Epidemic Risk









Natural

or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena

generally, and widespread disease, including pandemics and epidemics (for example, the novel coronavirus COVID-19), have been

and can be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased market volatility

and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks

previously mentioned, and result in significant breakdowns, delays, shutdowns, social isolation, and other disruptions to important

global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Fund

and its investments. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely

affect global, regional, and local economies and reduce the availability of potential investment opportunities, and increases

the difficulty of performing due diligence and modeling market conditions, potentially reducing the accuracy of financial projections.

Under these circumstances, the Fund may have difficulty achieving its investment objective which may adversely impact performance.

Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies

(including, but not limited to, the Fund’s Sponsor and third party service providers), sectors, industries, markets, securities

and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting

the value of the Fund’s investments. These factors can cause substantial market volatility, exchange trading suspensions

and closures and can impact the ability of the Fund to complete redemptions and otherwise affect Fund performance and Fund trading

in the secondary market. A widespread crisis may also affect the global economy in ways that cannot necessarily be foreseen at

the present time. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these

events could have significant impact on the Fund’s performance, resulting in losses to the Fund.










35















(d)

Risk that Current Assumptions and Expectations Could Become Outdated as a result of Global Economic Shocks









The

onset of the novel coronavirus (COVID-19) has caused significant shocks to global financial markets and economies, with many governments

taking extreme actions to slow and contain the spread of COVID-19. These actions have had, and likely will continue to have, a

severe economic impact on global economies as economic activity in some instances has essentially ceased at times. Financial markets

across the globe have experienced, and may continue to experience, severe distress at least equal to what was experienced during

the global financial crisis in 2008.








The

global economic shocks being experienced as of the date hereof may cause the underlying assumptions and expectations of the Fund

to become outdated quickly or inaccurate, resulting in significant losses.









(7)

Profit and Loss Allocations and Distributions









Pursuant

to the Trust Agreement, income and expenses are allocated

pro rata

among the Shareholders monthly based on their respective

percentage interests as of the close of the last trading day of the preceding month. Any losses allocated to the Sponsor which

are in excess of the Sponsor’s capital balance are allocated to the Shareholders in accordance with their respective interest

in the Fund as a percentage of total Shareholders’ capital. Distributions (other than redemption of units) may be made at

the sole discretion of the Sponsor on a

pro rata

basis in accordance with the respective interests of the Shareholders.









(8)

Indemnifications









The

Sponsor, either in its own capacity or in its capacity as the Sponsor and on behalf of the Fund, has entered into various service

agreements that contain a variety of representations, or provide indemnification provisions related to certain risks service providers

undertake in performing services which are in the best interests of the Fund. As of December 31, 2020, the Fund had not received

any claims or incurred any losses pursuant to these agreements and expects the risk of such losses to be remote.









(9)

Termination









The

term of the Fund is perpetual unless terminated earlier in certain circumstances as described in the Prospectus.








On

October 16, 2020, the Sponsor announced that it would close and liquidate the SIT RISING RATE ETF (“RISE”) because

of current market conditions and the Fund’s asset size. The last day the liquidated fund accepted creation orders was on

October 30, 2020. Trading in RISE was suspended after the close of the NYSE Arca on October 30, 2020. Proceeds of the liquidation

were sent to shareholders on November 18, 2020 (the “Distribution Date”). From October 30, 2020 through the distribution

date, shares of RISE did not trade on the NYSE Arca nor was there a secondary market for the shares. Any shareholders that remained

in RISE on the Distribution Date automatically had their shares redeemed for cash at the current net asset value on November 18,

2020.










36















(10)

Net Asset Value and Financial Highlights









The

Funds are presenting, as applicable, the following net asset value and financial highlights related to investment performance

for a Share outstanding throughout the three months ended September 30, 2020 and September 30, 2019, respectively. The net investment

income and total expense ratios are calculated using average net assets. The net asset value presentation is calculated by dividing

each Fund’s net assets by the average daily number of Shares outstanding. The net investment income (loss) and expense ratios

have been annualized. The total return is based on the change in net asset value and market value of the Shares during the period.

An individual investor’s return and ratios may vary based on the timing of their transactions in Fund Shares.























































































































































































































































THREE MONTHS ENDED







DECEMBER 31,


2020



THREE MONTHS ENDED


DECEMBER 31, 2019




BREAKWAVE DRY BULK SHIPPING


ETF



SIT


RISING RATE ETF



BREAKWAVE DRY BULK SHIPPING ETF


Net Asset Value










Net asset value per Share, beginning of period


$

8.24



$

22.61



$

19.65


Net investment income (loss)



(0.09

)



0.05




(0.17

)

Net realized and unrealized gain (loss)



(0.22

)



0.30




(4.11

)

Net Income (Loss)



(0.31

)



0.35




(4.28

)

Net Asset Value per Share, end of period


$

7.93



$

22.96



$

15.37


Market Value per Share, end of period


$

7.70



$

22.97



$

15.45















Ratios to Average Net Assets*













Expense Ratio***



4.93

%



1.06

%



5.09

%

Expense Ratio*** before Waiver/Assumption



5.24

%



7.47

%



31.35

%

Net Investment Income (Loss)



(4.93

%)



0.93

%



(3.69

%)

Total Return, at Net Asset Value**



(3.76

%)



1.55

%



(21.78

%)

Total Return, at Market Value**



(6.55

%)



1.50

%



(21.61

%)




















*



Percentages are

annualized









**



Percentages are

not annualized









***



For Breakwave Dry

Bulk Shipping ETF, Fund expenses have been capped at 3.50% of average daily net assets, plus brokerage commissions, interest

expense, and extraordinary expenses, if any. Prior to the liquidation of Sit Rising Rate ETF, Fund expenses had been capped

at 1.00% of average daily net assets, plus brokerage commissions, interest expense, and extraordinary expenses.










37



























































































































































































































































SIX MONTHS ENDED







DECEMBER 31,


2020



SIX MONTHS ENDED


DECEMBER 31, 2019




BREAKWAVE DRY BULK SHIPPING


ETF



SIT


RISING RATE ETF



BREAKWAVE DRY BULK SHIPPING ETF


Net Asset Value










Net asset value per Share, beginning of period


$

7.70



$

22.70



$

13.25


Net investment income (loss)



(0.17

)



0.12




(0.28

)

Net realized and unrealized gain (loss)



0.40




0.14




2.40


Net Income (Loss)



0.23




0.26




2.12


Net Asset Value per Share, end of period


$

7.93



$

22.96



$

15.37


Market Value per Share, end of period


$

7.70



$

22.97



$

15.45















Ratios to Average Net Assets*













Expense Ratio***



4.32

%



1.08

%



4.89

%

Expense Ratio*** before Waiver/Assumption



4.45

%



6.59

%



25.77

%

Net Investment Income (Loss)



(4.32

%)



1.02

%



(3.19

%)

Total Return, at Net Asset Value**



2.99

%



1.15

%



16.00

%

Total Return, at Market Value**



4.19

%



1.06

%



17.49

%




















*



Percentages are

annualized









**



Percentages are

not annualized









***



For Breakwave Dry

Bulk Shipping ETF, Fund expenses have been capped at 3.50% of average daily net assets, plus brokerage commissions, interest

expense, and extraordinary expenses, if any. Prior to the liquidation of Sit Rising Rate ETF, Fund expenses had been capped

at 1.00% of average daily net assets, plus brokerage commissions, interest expense, and extraordinary expenses.










38













(11)

Subsequent Events









In

preparing these financial statements, the Fund has evaluated events and transactions for potential recognition or disclosure through

the date the financial statements were issued. This evaluation did not result in any subsequent events that necessitated disclosures

and/or adjustments to the financial statements.












39














Item 2. Management’s Discussion and Analysis of Financial
Condition and Results of Operations.






This information should be read in conjunction
with the financial statements and notes included in Item 1 of Part I of this Quarterly Report (the “Report”). The discussion
and analysis which follows may contain trend analysis and other forward-looking statements within the meaning of Section 21E of
the Securities Exchange Act of 1934 which reflect our current views with respect to future events and financial results. Words
such as “anticipate,” “expect,” “intend,” “plan,” “believe,” “seek,”
“outlook” and “estimate,” as well as similar words and phrases, signify forward-looking statements. ETF
Managers Group Commodity Trust I’s forward-looking statements are not guarantees of future results and conditions, and important
factors, risks and uncertainties may cause our actual results to differ materially from those expressed in our forward-looking
statements.






You should not place undue reliance
on any forward-looking statements. Except as expressly required by the Federal securities laws, ETF Managers Capital, LLC undertakes
no obligation to publicly update or revise any forward-looking statements or the risks, uncertainties or other factors described
in this Report, as a result of new information, future events or changed circumstances or for any other reason after the date of
this Report.






Overview





The Trust is a Delaware statutory trust
formed on July 23, 2014. The Trust is a series trust formed pursuant to the Delaware Statutory Trust Act and currently includes
one series: Breakwave Dry Bulk Shipping ETF (“BDRY,” or the “Fund”), is a commodity pool that continuously
issues shares of beneficial interest that may be purchased and sold on the NYSE Arca.





The Fund is managed and controlled by ETF
Managers Capital LLC (the “Sponsor”), a single member limited liability company that was formed in the state of Delaware
on June 12, 2014. The Fund pays the Sponsor a management fee. The Sponsor, the Trust, and the Fund maintain their main business
offices at 30 Maple Street, Suite 2, Summit, NJ 07901. The Sponsor’s telephone number is (908) 897-0518.





The Sponsor is a wholly-owned subsidiary
of Exchange Traded Managers Group LLC (“ETFMG”), a limited liability company domiciled and headquartered in New Jersey.





The Sponsor has the power and authority
to establish and designate one or more series and to issue shares thereof, from time to time as it deems necessary or desirable.
The Sponsor has exclusive power to fix and determine the relative rights and preferences as between the shares of any series as
to the right of redemption, special and relative rights as to dividends and other distributions and on liquidation, conversion
rights, and conditions under which the series shall have separate voting rights or no voting rights. The term for which the Trust
is to exist commenced on the date of the filing of the Certificate of Trust, and the Trust, the Fund, and any additional series
created in the future will exist in perpetuity, unless earlier terminated in accordance with the provisions of the Trust Agreement.
Separate and distinct records shall be maintained for each Fund and the assets associated with a Fund shall be held in such separate
and distinct records (directly or indirectly, including a nominee or otherwise) and accounted for in such separate and distinct
records separately from the assets of any other series. The Fund and each future series will be separate from all such series in
respect of the assets and liabilities allocated to a Fund and each separate series and will represent a separate investment portfolio
of the Trust.





The Fund is a “commodity pool”
as defined by the Commodity Exchange Act (“CEA”). Consequently, the Sponsor has registered as a commodity pool operator
(“CPO”) with the Commodity Futures Trading Commission (“CFTC”) and is a member of the National Futures
Association (“NFA”).





The sole Trustee of the Trust is Wilmington
Trust, N.A. (the “Trustee”), and the Trustee serves as the Trust’s corporate trustee as required under the Delaware
Statutory Trust Act (“DSTA”). The Trustee’s principal offices are located at 1100 North Market Street, Wilmington,
Delaware 19890. The Trustee is unaffiliated with the Sponsor. The rights and duties of the Trustee and the Sponsor with respect
to the offering of the Shares and Fund management and the shareholders are governed by the provisions of the DSTA and by the Trust
Agreement.





BDRY commenced trading on NYSE Arca on
March 22, 2018 and trades under the symbol “BDRY”.





The Fund is designed and managed to track
the performance of a portfolio (a “Benchmark Portfolio”) consisting of futures contracts (the “Benchmark Component
Instruments”).










40












Breakwave Dry Bulk Shipping ETF







The Investment Objective of the Fund






BDRY’s investment objective is to
provide investors with exposure to the daily change in the price of dry bulk freight futures by tracking the performance of a portfolio
(the “BDRY Benchmark Portfolio” and consisting of exchange-cleared futures contracts on the cost of shipping dry bulk
freight (“Freight Futures”). BDRY seeks to achieve its investment objective by investing substantially all of its assets
in the Freight Futures currently constituting the BDRY Benchmark Portfolio.







The Benchmark Portfolio






The BDRY Benchmark Portfolio is maintained
by Breakwave Advisors LLC (“Breakwave”), which also serves as BDRY’s CTA. The BDRY Benchmark Portfolio consists
of the Freight Futures, which are a three-month strip of the nearest calendar quarter of futures contracts on specified indexes
(each a “Reference Index”) that measure rates for shipping dry bulk freight. Each Reference Index is published each
United Kingdom business day by the London-based Baltic Exchange Ltd. (the “Baltic Exchange”) and measures the charter
rate for shipping dry bulk freight in a specific size category of cargo ship – Capesize, Panamax or Supramax. The three Reference
Indexes are as follows:


















Capesize

: the Capesize 5TC Index;


















Panamax

: the Panamax 4TC Index; and


















Supramax

: the Supramax 6TC Index.





The BDRY Benchmark Component Instruments
currently constituting the BDRY Benchmark Portfolio as of December 31, 2020 include:































































































Name


Ticker


Market


Value USD


Baltic Panamax T/C Average Shipping Route Jan
21


BFFAP F21 Index


$

3,304,460


Baltic Panamax T/C Average Shipping Route Feb 21


BFFAP G21 Index



3,137,490


Baltic Panamax T/C Average Shipping Route Mar 21


BFFAP H21 Index



3,504,040


Baltic Supramax Average Shipping Route Jan 21


S58FM F21 Index



838,320


Baltic Supramax Average Shipping Route Feb 21


S58FM G21 Index



695,680


Baltic Supramax Average Shipping Route Mar 21


S58FM H21 Index



761,680


Baltic Capesize Time Charter Jan 21


BFFATC F21 Index



4,797,420


Baltic Capesize Time Charter Feb 21


BFFATC G21 Index



4,012,400


Baltic Capesize Time Charter Mar 21


BFFATC H21 Index



3,740,330





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





BDRY seeks to achieve its investment objective
by investing substantially all of its assets in the Freight Futures currently constituting the BDRY Benchmark Portfolio. The BDRY
Benchmark Portfolio will include all existing positions to maturity and settle them in cash. During any given calendar quarter,
the BDRY Benchmark Portfolio will progressively increase its position to the next calendar quarter three-month strip, thus maintaining
constant exposure to the Freight Futures market as positions mature.










41











The BDRY Benchmark Portfolio will maintain
long-only positions in Freight Futures. The BDRY Benchmark Portfolio will include a combination of Capesize, Panamax and Supramax
Freight Futures. More specifically, the BDRY Benchmark Portfolio will include 50% exposure in Capesize Freight Futures contracts,
40% exposure in Panamax Freight Futures contracts and 10% exposure in Supramax Freight Futures contracts. The BDRY Benchmark Portfolio
will not include and the Fund will not invest in swaps, non-cleared dry bulk freight forwards or other over-the-counter derivative
instruments that are not cleared through exchanges or clearing houses. The Fund may hold exchange-traded options on Freight Futures.
The BDRY Benchmark Portfolio is maintained by Breakwave and will be rebalanced annually. The Freight Futures currently constituting
the Benchmark Portfolio, as well as the daily holdings of the Fund will be available on the Fund’s website at www.drybulketf.com.





When establishing positions in Freight
Futures, BDRY will be required to deposit initial margin with a value of approximately 10% to 40% of the notional value of each
Freight Futures position at the time it is established. These margin requirements are established and subject to change from time
to time by the relevant exchanges, clearing houses or the Fund’s futures commission merchant (“FCM”). On a daily
basis, the Fund will be obligated to pay, or entitled to receive, variation margin in an amount equal to the change in the daily
settlement level of its Freight Futures positions. Any assets not required to be posted as margin with the FCM will be held at
the Fund’s custodian in cash or cash equivalents.





BDRY will hold cash or cash equivalents
such as U.S. Treasuries or other high credit quality, short-term fixed-income or similar securities for direct investment or as
collateral for the U.S. Treasuries and for other liquidity purposes and to meet redemptions that may be necessary on an ongoing
basis. The Fund may also realize interest income from its holdings in U.S. Treasuries or other market rate instruments.






The Sponsor





ETF Managers Capital, LLC is the sponsor
of the Trust and the Fund. The Sponsor is a Delaware limited liability company, formed on June 12, 2014. The principal office is
located at 30 Maple Street, Suite 2, Summit, NJ 07901. The Sponsor is registered as a commodity pool operator (“CPO”)
with the Commodity Futures Trading Commission (“CFTC”) and became a member of the National Futures Association (“NFA”)
on September 23, 2014. The Trust and the Fund operate pursuant to the Trust Agreement.





The Sponsor is a wholly-owned subsidiary
of Exchange Traded Managers Group LLC (“ETFMG”), a limited liability company domiciled and headquartered in New Jersey.
The Sponsor maintains its main business office at 30 Maple Street, Suite 2, Summit, NJ 07901.





Under the Trust Agreement, the Sponsor
has exclusive management and control of all aspects of the Trust’s business. The Trustee has no duty or liability to supervise
the performance of the Sponsor, nor will the Trustee have any liability for the acts or omissions of the Sponsor. The shareholders
have no voice in the day to day management of the business and operations of the Fund and the Trust, other than certain limited
voting rights as set forth in the Trust Agreement. In the course of its management of the business and affairs of the Fund and
the Trust, the Sponsor may, in its sole and absolute discretion, appoint an affiliate or affiliates of the Sponsor as additional
sponsors and retain such persons, including affiliates of the Sponsor, as it deems necessary to effectuate and carry out the purposes,
business and objectives of the Trust.







Breakwave Dry Bulk Shipping ETF






During the three months ended December
31, 2020, freight rate volatility gradually declined as the supply and demand balance found an equilibrium following a volatile
third quarter. The Baltic Dry Index, an index that tracks global spot rates for dry bulk, dropped rapidly in early October from
the high late September levels caused due to a positional tightness in the market, and remained in a tight range until the end
of the year when a small uptick in freight rates materialized. Export activity out of Brazil did not experience the seasonal boost,
and thus, Capesize rates failed to rally to a similar degree as in previous years. Panamax and Supramax rates were well supported
due to higher grains activity but also very strong coal demand from China. Overall, dry bulk rates exited the year relatively strong,
an unusual development as the historical pattern usually points to end of year weakness.





During the three months ended December
31, 2020, freight futures also followed spot rates closely, as sentiment improved and expectations for both short term as well
as long term rates increased towards the end of the period. However, the futures curve exited the year in sharp backwardation and
at a steeper than usual level. BDRY’s performance closely tracked the performance of short-term dry bulk freight futures,
leading to lower volatility of the Fund’s NAV per share during the period. BDRY ended up 4% lower for the quarter.










42


















NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR
BENCHMARK PORTFOLIO LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.






The per Share market value of BDRY and its NAV tracked closely
for the three months ended December 31, 2020.












NEITHER THE PAST PERFORMANCE OF THE
FUND NOR THE PRIOR BENCHMARK PORTFOLIO LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S
FUTURE PERFORMANCE.






The per Share market value of BDRY and
its NAV tracked closely for the three months ended December 31, 2019.










43


















NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR
BENCHMARK PORTFOLIO LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.






The per Share market value of BDRY and its NAV tracked closely
for the six months ended December 31, 2020.












NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR
BENCHMARK PORTFOLIO LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.






The per Share market value of BDRY and its NAV tracked closely
for the six months ended December 31, 2019.










44


















NEITHER THE PAST PERFORMANCE OF THE
FUND NOR THE PRIOR BENCHMARK PORTFOLIO LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S
FUTURE PERFORMANCE.













NEITHER THE PAST PERFORMANCE OF THE
FUND NOR THE PRIOR BENCHMARK PORTFOLIO LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S
FUTURE PERFORMANCE.











45






















NEITHER THE PAST PERFORMANCE OF THE
FUND NOR THE PRIOR BENCHMARK PORTFOLIO LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S
FUTURE PERFORMANCE.













NEITHER THE PAST PERFORMANCE OF THE
FUND NOR THE PRIOR BENCHMARK PORTFOLIO LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S
FUTURE PERFORMANCE.











46











The graphs above compare the returns of
BDRY with the benchmark portfolio returns for the three months ended December 31, 2020 and 2019, and the six months ended December
31, 2020 and 2019. The difference in the NAV price the benchmark value often results in the appearance of a NAV premium or discount
to the benchmark. Differences in the benchmark return and the BDRY net asset value per share are due primarily to the following
factors:

















Benchmark portfolio uses settlement prices of freight futures vs. BDRY closing Share price,

















Benchmark portfolio roll methodology assumes rolls that can happen even at fractions of lots vs. BDRY that uses the real minimum market lot available (5 days per months),

















Benchmark portfolio assumes rolls are happening at the settlement price of the day vs. that buys at a transaction price during the day that might or might not be equal to the settlement price,

















Benchmark portfolio assumes no trading commissions vs. BDRY that pays 10bps for each transaction,

















Benchmark portfolio assumes no clearing fees vs. BDRY that pays approximately 3-5bps of total clearing fees for each trade,

















Benchmark portfolio assumes no management fees vs. BDRY fee structure of 3.5% of average net assets on an annualized basis, and

















Creations and redemptions that lead to transactions that occur at prices that might be different than the settlement prices





There are no competitors. BDRY is the only
Freight futures ETF globally.






FOR THE THREE MONTHS ENDED DECEMBER
31, 2020






Fund Share Price Performance





During the three months ended December
31, 2020, the NYSE Arca market value of each Share decreased (-6.55%) from $8.24 per Share, representing the closing trade on September
30, 2020, to $7.70 per Share, representing the closing price on December 31, 2020. The Share price high and low for the three months
ended December 31, 2020 and related change from the closing Share price on September 30, 2020 were as follows: Shares traded from
a high of $8.85 per Share (+7.40%) on October 5, 2020 to a low of $6.10 per Share (-25.97%) on December 3, 2020.






Fund Share Net Asset Performance





For the three months ended December 31,
2020, the net asset value of each Share decreased (-3.76%) from $8.24 per Share to $7.93 per Share. Losses in the investments and
futures contracts and the net investment loss resulted in the overall decrease in the NAV per Share during the three months ended
December 31, 2020.





Net loss for the three months ended December
31, 2020, was $1,093,410, resulting from net realized losses on investments and futures contracts of $3,591,274, unrealized gains
on futures contracts of $2,788,440 and the net investment loss of $290,576.










47












FOR THE THREE MONTHS ENDED DECEMBER
31, 2019






Fund Share Price Performance





During the three months ended September
30, 2019, the NYSE Arca market value of each Share decreased (-21.61%) from $19.71 per Share, representing the closing trade on
September 30, 2019, to $15.45 per Share, representing the closing price on December 31, 2019. The Share price high and low for
the three months ended December 31, 2019 and related change from the closing Share price on September 30, 2019 were as follows:
Shares traded from a high of $22.19 per Share (+12.58%) on October 9, 2019 to a low of $15.10 per Share (-23.39%) on December 30,
2019.






Fund Share Net Asset Performance





For the three months ended December 31,
2019, the net asset value of each Share decreased (-21.78%) from $19.65 per Share to $15.37 per Share. Losses in the investments
and futures contracts and the net investment loss resulted in the overall decrease in the NAV per Share during the three months
ended December 31, 2019.





Net loss for the three months ended December
31, 2019, was $378,382, resulting from net realized losses on investments and futures contracts of $243,845, unrealized losses
on futures contracts of $117,845 and the net investment loss of $16,692.








FOR THE SIX MONTHS ENDED DECEMBER 31,
2020






Fund Share Price Performance





During the six months ended December 31,
2020, the NYSE Arca market value of each Share increased (+4.19%) from $7.39 per Share, representing the closing trade on June
30, 2020, to $7.70 per Share, representing the closing price on December 31, 2020. The Share price high and low for the six months
ended December 31, 2020 and related change from the closing Share price on June 30, 2020 were as follows: Shares traded from a
high of $9.48 per Share (+28.28%) on July 6, 2020 to a low of $6.10 per Share (-17.46%) on December 3, 2020.






Fund Share Net Asset Performance





For the six months ended December 31, 2020,
the net asset value of each Share increased (+2.99%) from $7.70 per Share to $7.93 per Share. Gains in the investments and futures
contracts more than offset the net investment loss resulting in the overall increase in the NAV per Share during the six months
ended December 31, 2020.





Net income for the six months ended December
31, 2020, was $1,597,220, resulting from net realized gains on investments and futures contracts of $6,513,496, unrealized losses
on futures contracts of $4,277,960 and the net investment loss of $638,316.






FOR THE SIX MONTHS ENDED DECEMBER 31,
2019






Fund Share Price Performance





During the six months ended December 31,
2019, the NYSE Arca market value of each Share increased (+17.49%) from $13.15 per Share, representing the closing trade on June
30, 2019, to $15.45 per Share, representing the closing price on December 31, 2019. The Share price high and low for the six months
ended December 31, 2019 and related change from the closing Share price on June 30, 2019 were as follows: Shares traded from a
high of $22.19 per Share (+68.75%) on October 9, 2019 to a low of $13.35 per Share (+1.52%) on July 1, 2019.






Fund Share Net Asset Performance





For the six months ended December 31, 2019,
the net asset value of each Share increased (+16.00%) from $13.25 per Share to $15.37 per Share. Gains in the investments and futures
contracts more than offset the net investment loss resulting in the overall increase in the NAV per Share during the six months
ended December 31, 2019.





Net income for the six months ended December
31, 2019, was $969,166, resulting from net realized gains on investments and futures contracts of $338,181, unrealized gains on
futures contracts of $666,605 and the net investment loss of $35,620.










48












Calculating NAV





The Fund’s NAV is calculated by:

















Taking the current market value of its total assets;

















Subtracting any liabilities; and

















Dividing that total by the total number of outstanding shares.





The Administrator calculates the NAV of
the Fund once each NYSE Arca trading day. The NAV for a particular trading day is released after 4:00 p.m. E.T. Trading during
the core trading session on the NYSE Arca typically closes at 4:00 p.m. E.T. The Administrator uses the Baltic Exchange settlement
price for the Freight Futures and option contracts. The Administrator calculates or determines the value of all other Fund investments
using market quotations, if available, or other information customarily used to determine the fair value of such investments as
of the close of the NYSE Arca (normally 4:00 p.m. E.T.), in accordance with the current Administrative Agency Agreement among U.S.
Bancorp Fund Services, the Fund and the Sponsor.





In addition, in order to provide updated
information relating to the Fund for use by investors and market professionals, an updated indicative fund value (“IFV”)
is made available through on-line information services throughout the core trading session hours of 9:30 a.m. E.T. to 4:00 p.m.
E.T. on each trading day. The IFV is calculated by using the prior day’s closing NAV per share of the Fund as a base and
updating that value throughout the trading day to reflect changes in the most recently reported trade price for the futures and/or
options held by the Fund. Certain Freight Futures brokers provide real time pricing information to the general public either through
their websites or through data vendors such as Bloomberg or Reuters. The IFV disseminated during NYSE Arca core trading session
hours should not be viewed as an actual real time update of the NAV, because the NAV is calculated only once at the end of each
trading day based upon the relevant end of day values of the Fund’s investments.





The IFV is disseminated on a per share
basis every 15 seconds during regular NYSE Arca core trading session hours. The customary trading hours of the Freight Futures
trading are 3:00 a.m. E.T. to 12:00 p.m. E.T. This means that there is a gap in time at the beginning and/or the end of each day
during which a Fund’s shares are traded on the NYSE Arca, but real-time trading prices for contracts are not available. During
such gaps in time the IFV will be calculated based on the end of day price of such contracts from the Baltic Exchange immediately
preceding the trading session. In addition, other investments held by the Fund will be valued by the Administrator, using rates
and points received from client-approved third party vendors (such as Reuters and WM Company) and advisor or broker-dealer quotes.
These investments will not be included in the IFV.





The NYSE Arca disseminates the IFV through
the facilities of CTA/CQ High Speed Lines. In addition, the IFV is published on the NYSE Arca’s website and is available
through on-line information services such as Bloomberg and Reuters.





Dissemination of the IFV provides additional
information that is not otherwise available to the public and is useful to investors and market professionals in connection with
the trading of the Fund’s shares on the NYSE Arca. Investors and market professionals are able throughout the trading day
to compare the market price of the Fund’s shares and the IFV. If the market price of the Fund’s shares diverges significantly
from the IFV, market professionals will have an incentive to execute arbitrage trades. For example, if the Fund’s shares
appear to be trading at a discount compared to the IFV, a market professional could buy the Fund shares on the NYSE Arca and take
the opposite position in Freight Futures. Such arbitrage trades can tighten the tracking between the market price of the Fund’s
shares and the IFV and thus can be beneficial to all market participants.






Critical Accounting Policies





The Fund’s critical accounting policies
are as follows:





Preparation of the financial statements
and related disclosures in accordance with U.S. generally accepted accounting principles requires the application of appropriate
accounting rules and guidance, as well as the use of estimates. The Funds’ application of these policies involves judgments
and the use of estimates. Actual results may differ from the estimates used and such differences could be material. The Fund holds
a significant portion of its assets in futures contracts and money market funds, which are held at fair value.





The Fund calculates its net asset value
as of the NAV Calculation Time as described above.





The values which are used by the Fund for
its Freight Futures are provided by the Fund’s commodity broker, which uses market prices when available. In addition, the
Fund estimates interest income on a daily basis using prevailing rates earned on its cash and cash equivalents. These estimates
are adjusted to the actual amount received on a monthly basis and the difference, if any, is not considered material.










49












Credit Risk





When the Fund enters into Benchmark Component
Instruments, it will be exposed to the credit risk that the counterparty will not be able to meet its obligations. For purposes
of credit risk, the counterparty for the Benchmark Component Instruments traded on or cleared by the Baltic Exchange and other
futures exchanges is the clearinghouse associated with those exchanges. In general, clearinghouses are backed by their members
who may be required to share in the financial burden resulting from the nonperformance of one of their members, which should significantly
reduce credit risk. There can be no assurance that any counterparty, clearinghouse, or their financial backers will satisfy their
obligations to the Fund.





The Sponsor will attempt to minimize certain
of these market and credit risks by normally:

















executing and clearing trades with creditworthy counterparties, as determined by the Sponsor;

















limiting the outstanding amounts due from counterparties of the Funds;

















not posting margin directly with a counterparty;

















limiting the amount of margin or premium posted at the FCM; and

















ensuring that deliverable contracts are not held to such a date when delivery of an underlying asset could be called for.





The Commodity Exchange Act (“CEA”)
requires all FCMs, such as the Fund’s clearing brokers, to meet and maintain specified fitness and financial requirements,
to segregate customer funds from proprietary funds and account separately for all customers’ funds and positions, and to
maintain specified books and records open to inspection by the staff of the CFTC. The CFTC has similar authority over introducing
brokers, or persons who solicit or accept orders for commodity interest trades but who do not accept margin deposits for the execution
of trades. The CEA authorizes the CFTC to regulate trading by FCMs and by their officers and directors, permits the CFTC to require
action by exchanges in the event of market emergencies, and establishes an administrative procedure under which customers may institute
complaints for damages arising from alleged violations of the CEA. The CEA also gives the states powers to enforce its provisions
and the regulations of the CFTC.





On November 14, 2013, the CFTC published
final regulations that require enhanced customer protections, risk management programs, internal monitoring and controls, capital
and liquidity standards, customer disclosures and auditing and examination programs for FCMs. The rules are intended to afford
greater assurances to market participants that customer segregated funds and secured amounts are protected, customers are provided
with appropriate notice of the risks of futures trading and of the FCMs with which they may choose to do business, FCMs are monitoring
and managing risks in a robust manner, the capital and liquidity of FCMs are strengthened to safeguard the continued operations
and the auditing and examination programs of the CFTC and the self-regulatory organizations are monitoring the activities of FCMs
in a thorough manner.






Liquidity and Capital Resources





The Fund does not anticipate making use
of borrowings or other lines of credit to meet its obligations. The Fund meets its liquidity needs in the normal course of business
from the proceeds of the sale of its investments or from the cash, cash equivalents that it holds. The Fund’s liquidity needs
include: redeeming its shares, providing margin deposits for existing Benchmark Component Instruments, the purchase of additional
Benchmark Component Instruments, and paying expenses.





The Fund generates cash primarily from
(i) the sale of Creation Baskets and (ii) interest earned on cash, cash equivalents and its investments in collateralizing Treasury
Securities. Generally, all of the net assets of the Fund is allocated to trading in Benchmark Component Instruments. Most of the
assets of the Fund are held in Treasury Instruments, cash and/or cash equivalents that could or are used as margin or collateral
for trading in Benchmark Component Instruments. The percentage that such assets bear to the total net assets will vary from period
to period as the market values of the Benchmark Component Instruments change. Interest earned on interest-bearing assets of the
Fund are paid to the Fund. Due to the economic uncertainty due to the impact of the COVID-19 pandemic, the Fund has experienced
a significant decrease in interest rates, and as such the Fund is experiencing a higher breakeven year over year.





The investments of the Fund in Benchmark
Component Instruments could be subject to periods of illiquidity because of market conditions, regulatory considerations and other
reasons. Such conditions could prevent the Fund from promptly liquidating a position in Benchmark Component Instruments.






Market Risk





Trading in Benchmark Component Instruments
such as futures contracts will involve the Fund entering into contractual commitments to purchase or sell specific amounts of instruments
at a specified date in the future. The gross or face amount of the contracts is expected to significantly exceed the future cash
requirements of the Fund as the Fund intends to close out any open positions prior to the contractual expiration date. As a result,
the Fund’s market risk is the risk of loss arising from the decline in value of the contracts, not from the need to make
delivery under the contracts. The Fund considers the “fair value” of derivative instruments to be the unrealized gain
or loss on the contracts. The market risk associated with the commitment by the Fund to purchase a specific contract will be limited
to the aggregate face amount of the contracts held.





The exposure of the Fund to market risk
will depend on a number of factors including the markets for the specific instrument, the volatility of interest rates and foreign
exchange rates, the liquidity of the instrument-specific market and the relationships among the contracts held by the Fund.










50












Regulatory Environment





The regulation of futures markets, futures
contracts, and futures exchanges has historically been comprehensive. The CFTC and the exchanges are authorized to take extraordinary
actions in the event of a market emergency including, for example, the retroactive implementation of speculative position limits,
increased margin requirements, the establishment of daily price limits and the suspension of trading.





The regulation of commodity interest transactions
in the United States is an evolving area of law and is subject to ongoing modification by governmental and judicial action. Considerable
regulatory attention has been focused on non-traditional investment pools that are publicly distributed in the United States. There
is a possibility of future regulatory changes within the United States altering, perhaps to a material extent, the nature of an
investment in the Fund, or the ability of the Fund to continue to implement its investment strategies. In addition, various national
governments outside of the United States have expressed concern regarding the disruptive effects of speculative trading in the
commodities markets and the need to regulate the derivatives markets in general. The effect of any future regulatory change on
the Fund is impossible to predict but could be substantial and adverse.





The CFTC possesses exclusive jurisdiction
to regulate the activities of commodity pool operators and commodity trading advisors with respect “commodity interests,”
such as futures, swaps and options, and has adopted regulations with respect to the activities of those persons and/or entities.
Under the CEA, a registered CPO, such as the Sponsor, is required to make annual filings with the CFTC and NFA describing its organization,
capital structure, management and controlling persons. In addition, the CEA authorizes the CFTC to require and review books and
records of, and documents prepared by, registered CPOs. Pursuant to this authority, the CFTC requires CPOs to keep accurate, current
and orderly records for each pool that they operate. The CFTC may suspend the registration of a commodity pool operator (1) if
the CFTC finds that the operator’s trading practices tend to disrupt orderly market conditions, (2) if any controlling person
of the operator is subject to an order of the CFTC denying such person trading privileges on any exchange, and (3) in certain other
circumstances. Suspension, restriction or termination of the Sponsor’s registration as a commodity pool operator would prevent
it, until that registration were to be reinstated, from managing the Fund, and might result in the termination of the Fund if a
successor sponsor is not elected pursuant to the Trust Agreement.





The Fund’s investors are afforded
prescribed rights for reparations under the CEA. Investors may also be able to maintain a private right of action for violations
of the CEA. The CFTC has adopted rules implementing the reparation provisions of the CEA, which provide that any person may file
a complaint for a reparations award with the CFTC for violation of the CEA against a floor broker or an FCM, introducing broker,
commodity trading advisor, CPO, and their respective associated persons.





Pursuant to authority in the CEA, the NFA
has been formed and registered with the CFTC as a registered futures association. At the present time, the NFA is the only self-regulatory
organization for commodity interest professionals, other than futures exchanges. The CFTC has delegated to the NFA responsibility
for the registration of CPOs and FCMs and their respective associated persons. The Sponsor and the Fund’s clearing broker
are members of the NFA. As such, it will be subject to NFA standards relating to fair trade practices, financial condition and
consumer protection. The NFA also arbitrates disputes between members and their customers and conducts registration and fitness
screening of applicants for membership and audits of its existing members. Neither the Trust nor the Fund are required to become
a member of the NFA.





The regulations of the CFTC and the NFA
prohibit any representation by a person registered with the CFTC or by any member of the NFA, that registration with the CFTC,
or membership in the NFA, in any respect indicates that the CFTC or the NFA has approved or endorsed that person or that person’s
trading program or objectives. The registrations and memberships of the parties described in this summary must not be considered
as constituting any such approval or endorsement. Likewise, no futures exchange has given or will give any similar approval or
endorsement.





Futures exchanges in the United States
are subject to varying degrees of regulation under the CEA depending on whether such exchange is a designated contract market,
exempt board of trade or electronic trading facility. Clearing organizations are also subject to the CEA and the rules and regulations
adopted thereunder as administered by the CFTC. The CFTC’s function is to implement the CEA’s objectives of preventing
price manipulation and excessive speculation and promoting orderly and efficient commodity interest markets. In addition, the various
exchanges and clearing organizations themselves exercise regulatory and supervisory authority over their member firms.










51











The Dodd-Frank Wall Street Reform and Consumer
Protection Act (the “Dodd-Frank Act”) was enacted in response to the economic crisis of 2008 and 2009 and it significantly
altered the regulatory regime to which the securities and commodities markets are subject.

To
date, the CFTC has issued proposed or final versions of almost all of the rules it is required to promulgate under the Dodd-Frank
Act.

The provisions of the new law include the requirement that position limits be established on a wide range of commodity
interests, including agricultural, energy, and metal-based commodity futures contracts, options on such futures contracts and cleared
and uncleared swaps that are economically equivalent to such futures contracts and options; new registration and recordkeeping
requirements for swap market participants; capital and margin requirements for “swap dealers” and “major swap
participants,” as determined by the new law and applicable regulations; reporting of all swaps transactions to swap data
repositories; and the mandatory use of clearinghouse mechanisms for sufficiently standardized swap transactions that were historically
entered into in the over-the-counter market, but are now designated as subject to the clearing requirement; and margin requirements
for over-the counter swaps that are not subject to the clearing requirements.





The Dodd-Frank Act was intended to reduce
systemic risks that may have contributed to the 2008/2009 financial crisis. Since the first draft of what became the Dodd-Frank
Act, supporters and opponents have debated the scope of the legislation. As the administrations of the U.S. change, the interpretation
and implementation will change with them. Nevertheless, regulatory reform of any kind may have a significant impact on U.S. regulated
entities.





Current rules and regulations under the
Dodd-Frank Act require enhanced customer protections, risk management programs, internal monitoring and controls, capital and liquidity
standards, customer disclosures and auditing and examination programs for FCMs. The rules are intended to afford greater assurances
to market participants that customer segregated funds and secured amounts are protected, customers are provided with appropriate
notice of the risks of futures trading and of the FCMs with which they may choose to do business, FCMs are monitoring and managing
risks in a robust manner, the capital and liquidity of FCMs are strengthened to safeguard the continued operations and the auditing
and examination programs of the CFTC and the self-regulatory organizations are monitoring the activities of FCMs in a thorough
manner.





Regulatory bodies outside the U.S. have
also passed or proposed, or may propose in the future, legislation similar to that proposed by the Dodd-Frank Act or other legislation
containing other restrictions that could adversely impact the liquidity of and increase costs of participating in the commodities
markets. For example, the European Union Markets in Financial Instruments Directive (Directive 2014/65/EU) and Markets in Financial
Instruments Regulation (Regulation (EU) No 600/2014) (together “MiFID II”), which has applied since January 3, 2018,
governs the provision of investment services and activities in relation to, as well as the organized trading of, financial instruments
such as shares, bonds, units in collective investment schemes and derivatives. In particular, MiFID II requires EU Member States
to apply position limits to the size of a net position which a person can hold at any time in commodity derivatives traded on EU
trading venues and in “economically equivalent” over-the-counter (“OTC”) contracts. By way of further example,
the European Market Infrastructure Regulation (Regulation (EU) No 648/2012, as amended) (“EMIR”) introduced certain
requirements in respect of OTC derivatives including: (i) the mandatory clearing of OTC derivative contracts declared subject to
the clearing obligation; (ii) risk mitigation techniques in respect of un-cleared OTC derivative contracts, including the mandatory
margining of un-cleared OTC derivative contracts; and (iii) reporting and recordkeeping requirements in respect of all derivatives
contracts. In the event that the requirements under EMIR and MiFID II apply, these are expected to increase the cost of transacting
derivatives.





In addition, considerable regulatory attention
has been focused on non-traditional publicly distributed investment pools such as the Fund. Furthermore, various national governments
have expressed concern regarding the disruptive effects of speculative trading in certain commodity markets and the need to regulate
the derivatives markets in general. The effect of any future regulatory change on the Fund is impossible to predict, but could
be substantial and adverse.





Management believes that as of December
31, 2020, it had fulfilled in a timely manner all Dodd-Frank or other regulatory requirements to which it is subject.






Off Balance Sheet Financing





As of December 31, 2020, neither the Trust
nor the Fund have any loan guarantees, credit support or other off-balance sheet arrangements of any kind other than agreements
entered into in the normal course of business, which may include indemnification provisions relating to certain risks service providers
undertake in performing services which are in the best interests of the Fund. While the exposure of the Fund under these indemnification
provisions cannot be estimated, they are not expected to have a material impact on the financial position of the Fund.










52












Redemption Basket Obligation





Other than as necessary to meet the investment
objective of the Fund and pay the contractual obligations described below, the Fund will require liquidity to redeem Redemption
Baskets. The Fund intends to satisfy this obligation through the transfer of cash of the Fund (

generated,
if necessary, through the sale of Treasury Instruments

) in an amount proportionate to the number of Shares being redeemed.






Contractual Obligations





The primary contractual obligations of
the Fund will be with the Sponsor and certain other service providers.






Management and CTA Fees





BDRY pays the Sponsor a management fee
(the “Sponsor Fee”) in consideration of the Sponsor’s advisory services to the Fund. Additionally, BDRY pays
its commodity trading advisor a license and service fee (the “CTA Fee”).





BDRY pays the Sponsor Fee, monthly in arrears,
in an amount equal to the greater of 0.15% per year of BDRY’s average daily net assets; or $125,000. BDRY’s Sponsor
Fee is paid in consideration of the Sponsor’s management services to BDRY. BDRY also pays Breakwave the CTA Fee monthly in
arrears, for the use of BDRY’s Benchmark Portfolio in an amount equal to 1.45% per annum of BDRY’s average daily net
assets.





Breakwave has agreed to waive its CTA Fee
and the Sponsor has agreed to correspondingly assume the remaining expenses of BDRY so that BDRY’s expenses do not exceed
an annual rate of 3.50%, excluding brokerage commissions, interest expense, and extraordinary expenses, of the value of BDRY’s
average daily net assets (the “BDRY Expense Cap”). The assumption of expenses and waiver of BDRY’s CTA Fee are
contractual on the part of the Sponsor and Breakwave, respectively, through February 28, 2022. If after that date, the Sponsor
and/or Breakwave no longer assumed expenses or waived the CTA Fee, respectively, BDRY could be adversely impacted, including in
its ability to achieve its investment objective.





The assumption of expenses by the Sponsor
for BDRY, pursuant to the BDRY Expense Cap, amounted to $-0- and $112,262 for the three months ended December 31, 2020 and 2019,
respectively, and $-0- and $217,318 for the six months ended December 31, 2020 and 2019,respectively, as disclosed in the Combined
Statements of Operations. The waiver of Breakwave’s CTA fees, pursuant to the undertaking, amounted to $18,432 and $6,561
for the three months ended December 31, 2020 and 2019, respectively, and $18,432 and $16,213 for the six months ended December
31, 2020 and 2019, respectively, as disclosed in the Combined Statements of Operations. BDRY currently accrues its daily expenses
based upon established individual expense amounts or the BDRY Expense Cap, whichever aggregate amount is less. At the end of each
month, the accrued amount is remitted to the Sponsor as the Sponsor is responsible for the payment of the routine operational,
administrative and other ordinary expenses of the Fund. BDRY’s total expenses amounted to $309,401 and $141,861 for the three
months ended December 31, 2020 and 2019, respectively, and $657,815 and $288,164, respectively, as disclosed in the Combined Statements
of Operations.










53











The Fund’s ongoing fees, costs and
expenses of its operation, not subject to the applicable Expense Cap include brokerage and other fees and commissions incurred
in connection with the trading activities of the Fund, and extraordinary expenses (including, but not limited to, legal claims
and liabilities and litigation costs and any indemnification related thereto). Expenses subject to an Expense Cap include (i) expenses
incurred in connection with registering additional Shares of the Fund or offering Shares of the Fund; (ii) the routine expenses
associated with the preparation and, if required, the printing and mailing of monthly, quarterly, annual and other reports required
by applicable U.S. federal and state regulatory authorities, Trust meetings and preparing, printing and mailing proxy statements
to Shareholders; (iii) the routine services of the Trustee, legal counsel and independent accountants; (iv) routine accounting,
bookkeeping, custodial and transfer agency services, whether performed by an outside service provider or by affiliates of the Sponsor;
(v) postage and insurance; (vi) costs and expenses associated with client relations and services; (vii) costs of preparation of
all federal, state, local and foreign tax returns and any taxes payable on the income, assets or operations of the Fund.





While the Sponsor has agreed to pay registration
fees to the SEC and any other regulatory agency in connection with the offer and sale of the Shares offered through the Fund’s
prospectus, the legal, printing, accounting and other expenses associated with such registration, the Fund will be responsible
for any registration fees and related expenses incurred in connection with any future offer and sale of Shares of the Fund in excess
of those offered through its prospectus.





Any general expenses of the Trust will
be allocated to the Fund and any other future series of the Trust as determined by the Sponsor in its sole and absolute discretion.
The Trust is also responsible for extraordinary expenses, including, but not limited to, legal claims and liabilities and litigation
costs and any indemnification related thereto. The Trust and/or the Sponsor may be required to indemnify the Trustee, Distributor
or Administrator under certain circumstances.





The parties cannot anticipate the amount
of payments that will be required under these arrangements for future periods as the NAV and trading levels to meet investment
objectives for the Fund will not be known until a future date. These agreements are effective for a specific term agreed upon by
the parties with an option to renew, or, in some cases, are in effect for the duration of the Fund’s existence. The parties
may terminate these agreements earlier for certain reasons listed in the agreements.








Item 3. Quantitative and Qualitative Disclosures About Market
Risk





Not applicable to Smaller Reporting Companies.








Item 4. Controls and Procedures






Disclosure Controls and Procedures





The Trust and the Fund maintain disclosure
controls and procedures that are designed to ensure that material information required to be disclosed in the Trust’s periodic
reports filed or submitted under the Securities Exchange Act of 1934, as amended, is recorded, processed, summarized and reported
within the time period specified in the SEC’s rules and forms.





The duly appointed officers of the Sponsor,
including its principal executive officer and principal financial officer, have evaluated the effectiveness of the Trust’s
and the Fund’s disclosure controls and procedures and have concluded that the disclosure controls and procedures of the Trust
and the Fund have been effective as of the end of the period covered by this quarterly report on Form 10-Q.






Change in Internal Control Over Financial
Reporting





There were no changes in the Trust’s
or the Fund’s internal control over financial reporting during the last fiscal quarter that have materially affected, or
are reasonably likely to materially affect, the Trust’s or the Fund’s internal control over financial reporting.








54














Part II. OTHER INFORMATION








Item 1. Legal Proceedings.





None.






Item 1A. Risk Factors






Not applicable to Smaller Reporting
Companies.








Item 2. Unregistered Sales of Equity
Securities and Use of Proceeds













(a)



On January 4, 2018, the Sponsor made a $1,000 capital contribution to the Breakwave Dry Bulk Shipping ETF in exchange for forty shares of such Fund prior to the Fund’s commencement of operations; such shares were sold in a private offering exempt from registration under Section 4(a)(2) of the Securities Act of 1933, as amended.













(b)



The original registration statement on Form S-1 registering 10,000,000 common units, or “Shares,” of the Breakwave Dry Bulk Shipping ETF (File No. 333-218453) was declared effective on March 9, 2018. On December 31, 2020, 3,175,040 shares of the Fund were outstanding for a market capitalization of $24,447,808. The offering proceeds were invested in futures contracts, or cash and cash equivalents in accordance with the Fund’s investment objective stated in the prospectus.





BDRY does not purchase shares directly
from its shareholders. In connection with redemptions of baskets held by an Authorized Participant, BDRY redeemed ninety (24) baskets
(each comprising 25,000 shares) during the three months ended December 31, 2020 at an average price per share of $7.79. The following
table provides information about BDRY’s redemptions by Authorized Participants during the three months ended December 31,
2020:



























































Calendar Month


Number


of Shares


Redeemed



Average


Price


Paid per


Share


October 2020



550,000



$

7.78


November 2020



-




-


December 2020



50,000




7.87


Total



600,000



$

7.79








Item 3. Defaults Upon Senior Securities





None.








Item 4. Mine Safety Disclosures





Not Applicable.








Item 5. Other Information











(a)



None.











(b)



Not Applicable.










55














Item 6. Exhibits





The following exhibits are filed as part of this report as required
under Item 601 of Regulation S-K:






































































































31.1





Certification by the Principal Executive Officer of the Registrant pursuant to Rules 13a-14 and 15d-14 of the Exchange Act. (1)







31.2





Certification by the Principal Financial Officer of the Registrant pursuant to Rules 13a-14 and 15d-14 of the Exchange Act. (1)







32.1





Certification by the Principal Executive Officer of the Registrant pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. (1)







32.2





Certification by the Principal Financial Officer of the Registrant pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. (1)







101.INS




XBRL Instance Document






101.SCH




XBRL Taxonomy Extension Schema






101.CAL




XBRL Taxonomy Extension Calculation Linkbase






101.DEF




XBRL Taxonomy Definition Linkbase






101.LAB




XBRL Taxonomy Extension Label Linkbase






101.PRE




XBRL Taxonomy Extension Presentation Linkbase













(1)



Filed Herewith.








56












SIGNATURES





Pursuant to the requirements of the Securities
Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly
authorized.






ETF Managers Group Commodity Trust I (Registrant)


































































By:



ETF Managers Capital, LLC






its Sponsor








By:



/s/ Samuel Masucci III





Name:



Samuel Masucci III





Title:



Principal Executive Officer










By:



/s/ John A. Flanagan





Name:



John A. Flanagan





Title:



Principal Financial Officer






Date: February 16, 2021







57












The above information was disclosed in a filing to the SEC. To see the filing, click here.

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