Company: DEFI
Filing Date: 2025-11-14
Form Type: 10-Q
Source: 0001999371-25-017892
Chunk: 33

Company: Tidal Commodities Trust I
Filing Date: 2025-11-14
Form: 10-Q
Item: Item 8
Chunk 33
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, within which the fair value measurement in its entirety falls, is determined based on the lowest level
input that is significant to the fair value measurement.

The Fund and records derivative activities
at fair value. Gains and losses from derivative contracts are included in the statement of operations. Derivative contracts include
futures contracts related to cryptocurrency prices. Futures, which are listed on a national securities exchange, such as the CME,
or reported on another national market, are generally categorized in Level 1 of the fair value hierarchy. OTC derivatives contracts
(such as forward and swap contracts) which may be valued using models, depending on whether significant inputs are observable or
unobservable, are categorized in Levels 2 or 3 of the fair value hierarchy.

Brokerage Commissions

The Fund recognizes brokerage commissions on a full trade basis.

Derivative Counterparty Margin

Margin is the minimum amount of funds that
must be deposited by a cryptocurrency interest trader with the trader’s broker to initiate and maintain an open position
in futures contracts. A margin deposit acts to assure the trader’s performance of the futures contracts purchased or sold.
Futures contracts are customarily bought and sold on initial margin that represents a small percentage of the aggregate purchase
or sales price of the contract. Because of such low margin requirements, price fluctuations occurring in the futures markets may
create profits and losses that, in relation to the amount invested, are greater than customary in other forms of investment or
speculation. As discussed below, adverse price changes in the futures contract may result in margin requirements that greatly exceed
the initial margin. In addition, the amount of margin required in connection with a particular futures contract may be modified
from time to time by the exchange during the term of the contract. Brokerage firms, such as the Fund’s clearing brokers,
carrying accounts for traders in commodity or cryptocurrency interest contracts generally require higher amounts of margin as a
matter of policy to further protect themselves. Over the counter trading generally involves the extension of credit between counterparties,
so the counterparties may agree to require the posting of collateral by one or both parties to address credit exposure.

When a trader purchases
an option, there is no margin requirement; however, the option premium must be paid in full. When a trader sells an option, on
the other hand, he or she is required to deposit margin in an amount determined by the margin requirements established for the
underlying interest and, in addition, an amount substantially equal to the current premium for the option. The margin