Company: DEFI
Filing Date: 2025-03-27
Form Type: 424B3
Source: 0001999371-25-003249
Chunk: 111

Company: Tidal Commodities Trust I
Filing Date: 2025-03-27
Form: 424B3
Chunk 111
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 Fund’s Shares, may be subject to greater volatility than traditional securities.

Term Structure of Futures Contracts and the Impact on Total Return

Over time, the price of bitcoin fluctuates
based on a number of market factors, including demand for bitcoin. The value of Bitcoin Futures Contracts likewise fluctuates in
reaction to a number of market factors. Because the Fund seeks to maintain part of its holdings in Bitcoin Futures Contracts, the
Fund must periodically “roll” futures contract positions, closing out soon to expire contracts that will no longer
be part of the Benchmark and entering into subsequent to expire contracts. One factor determining the total return from investing
in futures contracts is the price relationship between soon to expire contracts and later to expire contracts.

If the futures market is in a state of backwardation
(i.e., when the price of bitcoin in the future is expected to be less than the current price), the Fund will buy later to expire
contracts for a lower price than the sooner to expire contracts that it sells. Hypothetically, and assuming no changes to either
prevailing bitcoin prices or the price relationship between soon to expire contracts and later to expire contracts, the value of
a contract will rise as it approaches expiration. Over time, if backwardation remained constant, the differences would continue
to increase. If the futures market is in contango, the Fund will buy later to expire contracts for a higher price than the sooner
to expire contracts that it sells. Hypothetically, and assuming no other changes to either prevailing bitcoin prices or the price
relationship between the spot price, soon to expire contracts and later to expire contracts, the value of a contract will fall
as it approaches expiration. Over time, if contango remained constant, the difference would continue to increase. All other things
being equal, a situation involving prolonged periods of contango may adversely impact the returns of the Fund; conversely a situation
involving prolonged periods of backwardation may positively impact the returns of the Fund. By way of example, during the period
from 6/30/2020 to 6/30/2023, the market for Bitcoin Futures Contracts were in contango approximately 87% of the time, which resulted
in an average annual negative roll yield of approximately 7%.

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Margin Requirements and Marking to Market Futures Positions

“Initial margin” is an amount
of funds that must be deposited by a bitcoin interest trader with the trader’s broker to initiate an open position in futures