Company: DEFI
Filing Date: 2025-02-21
Form Type: POS AM
Source: 0001839882-25-010345
Chunk: 159

Company: Tidal Commodities Trust I
Filing Date: 2025-02-21
Form: POS AM
Chunk 159
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 p.m. (ET).

Valuation of Bitcoin Futures Contracts

In determining the value of Bitcoin Futures
Contracts, the Sub-Administrator uses primarily the settlement price for the Bitcoin Futures Contracts, as reported on the CME.
CME Group staff determines the daily settlements for the Bitcoin Futures Contracts based on trading activity on CME Globex exchange
between 14:59:00 and 15:00:00 Central Time (CT), the settlement period. In situations where a two-sided market is not available
during the closing period, the CME will derive a settlement price using the carry calculation method based on the CME CF Bitcoin
Reference Rate (BRR). This method calculates the settlement price as the reference rate plus an adjustment factoring in the days
to expiration and the interest rate. Specifically, the settlement price is determined by the formula: BRR + [(Days to Expiration
/ 365) × Interest Rate × BRR]. The interest rate used will be the rate on the Overnight Index Swap (OIS) curve corresponding
with the expiration date of the futures contract used in the calculation. When a Bitcoin Futures Contracts has closed at its daily
price fluctuation limit, that limit price will be the daily settlement price that the CME publishes.

In exceptional circumstances when: (i) Bitcoin
Futures Contracts settlement prices are not readily available; or (ii) when a trading halt closes CME or the Bitcoin Futures Market
early, including if trading were halted for an entire trading day or several trading days; or (iii) when a Bitcoin Futures Contracts
close at its price fluctuation limit for the day, the fair value of such contracts are determined by the Sponsor in good faith
and in a manner that assesses the Bitcoin Futures Contracts’ value based on a consideration of all available facts and all
available information on the valuation date. The fair value of Bitcoin Futures Contracts is determined by attempting to estimate
the price at which such Bitcoin Futures Contract would be trading in the absence of the price fluctuation limit (either above such
limit when an upward limit has been reached or below such limit when a downward limit has been reached). Typically, this estimate
will be made primarily using a carry calculation described above that uses the BRR at 4:00 p.m. E.T. on settlement day as a reference
price. The fair value of BTC Contracts and MBT Contracts may not reflect such security’s market value or the amount that
the Fund might reasonably expect to receive for the BTC Contracts and MB