Company: DEFI
Filing Date: 2025-03-25
Form Type: POS AM
Source: 0001999371-25-003118
Chunk: 160

Company: Tidal Commodities Trust I
Filing Date: 2025-03-25
Form: POS AM
Chunk 160
---
 Contracts and MBT Contracts upon its current sale.

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The Futures-Based Spot Price for bitcoin

Unless otherwise determined by the Sponsor
in its sole discretion, the value of spot bitcoin held by the Fund is determined by the Administrator in good faith based on a
methodology that is entirely derived from the settlement prices of Bitcoin Futures Contracts on the CMEAn example of how the value
of spot bitcoin held by the Fund is calculated is included further below.

For the calculation of the Fund’s
NAV, the value of the bitcoin held by the Fund will be determined using a “Futures-Based Spot Price” (or “FBSP”)
methodology. This methodology has been chosen by the Sponsor specifically to calculate the Fund’s NAV, isolating it from
data from unregulated bitcoin exchanges. The FBSP will be utilized not only for valuing the Fund’s bitcoin for NAV calculation
but also for determining the amounts required for the Creation Basket Deposit and for the redemption distribution amounts. It is
important to distinguish this methodology from that of the Fund’s performance benchmark, the NQBTCS (the Benchmark). The
Benchmark, as selected by the Sponsor, is used exclusively for performance benchmarking purposes in relation to the Fund’s
investment objective, and, unless otherwise determined by the Sponsor, does not influence the NAV calculation or the determination
of the Creation Basket Deposit and redemption distributions.

The methodology to derive the settlement
prices of Bitcoin Futures Contracts on the CME involves a calculation that is a function of both the length of time (the tenor)
until each Bitcoin Futures Contract is due for settlement, and the final settlement price for each contract on that day. The calculation
is based on estimating a simple quadratic function to fit the prices across the different tenors and extrapolate this curve to
zero days tenor. This approach is designed to give more importance to contracts that are due for settlement in the near term, considering
that the prices of these near-term contracts are more reliable indicators of the current spot price of Bitcoin and are also more
heavily traded. A formal mathematical description of the calculation is the following:

The estimated value for
the spot price is the first element of β, associated with the first column (intercept). This is the value of the fitted
curve when the tenor is zero.

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The calculation produces a set of weighting
factors, with each factor indicating the contribution of the corresponding Bitcoin Futures Contract to the