Company: DEFI
Filing Date: 2025-03-17
Form Type: S-1/A
Source: 0001387131-25-000058
Chunk: 221

Company: Tidal Commodities Trust I
Filing Date: 2025-03-17
Form: S-1/A
Chunk 221
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 Sub-index), as detailed in the “Investment Objective and Investment Strategies—Principal Investment Strategies—The Index—Carbon Credit Futures Sub-indexes” subsection on page [ ]. Specifically, the EU CEA Carbon Credit Futures will be valued with the settlement price at closing on the primary trading exchange. The CCA Carbon Credit Futures and RGGI Carbon Credit Futures will be valued at the last trading price as of 4:00 pm ET. If the Sponsor in its sole discretion determines that the this price does not reflect the accurate value of a given Carbon Credit Future, then the Sponsor will instruct the Administrator to employ an alternative method to determine the fair value of the Fund’s assets. In determining an alternative fair value method, the Sponsor may consider such criteria as observable market-based inputs, including market quotations and/or trading platforms on which Carbon Credit Futures are traded. The Sponsor does not anticipate that the need to “fair value” bitcoin or Carbon Credit Futures will be a common occurrence.

Valuation of the Fund’s Assets

As discussed above, value of bitcoin is determined by the value that various market participants place on bitcoin through their transactions. On exchanges, bitcoin is traded with publicly disclosed valuations for each executed trade, measured by one or more fiat currencies such as the U.S. dollar. The Fund values the bitcoin held by the Fund based on the Bitcoin Price calculated by the Index for purposes of NAV. The Index requires each digital asset trading platform used to calculate the price of bitcoin to meet certain criteria, and the exchanges qualifying under such criteria are used to calculate the Bitcoin Price. Kaiko reviews the time-weighted average price between 3:00 pm and 4:00 pm ET and values bitcoin as the median value amongst the eligible platforms. The Sponsor believes this methodology provides a reasonable valuation of the spot price of bitcoin that is reasonably resistant to price manipulation of bitcoin. The value of the futures contracts held by the Fund will be based on market prices as of the time the NAV is calculated on each trading day. The Sponsor may determine to a price used for one or more of the futures contracts utilized by the Fund may need to be fair valued in accordance with the policy approved by the Sponsor.

The Sponsor will monitor for significant events related to crypto assets that may impact the value of bitcoin and will determine in good faith, and in accordance with its valuation policies and procedures, whether to fair value the Fund’s bitcoin and/or Carbon Credit Futures on a given day ( e.g., if an Index Pricing Source or price of a Carbon Credit Future is not available). In