Company: DEFI
Filing Date: 2025-03-27
Form Type: 424B3
Source: 0001999371-25-003249
Chunk: 126

Company: Tidal Commodities Trust I
Filing Date: 2025-03-27
Form: 424B3
Chunk 126
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daq designated calculation agent. The closing level of the Benchmark is calculated and published as the Nasdaq Bitcoin
Reference Price - Settlement (NQBTCS).

The final NQBTCS calculation is a weighted
average across all Core Exchanges. The settlement price for each Core Exchange is the Time Weighted Average Price (“TWAP”)
calculated across Volume Weighted Average Prices (“VWAP”) for each minute in the settlement price window (between 1:50:00
and 2:00:00 P.M. ET). The weight of each Core Exchange is given by its median traded volume over the previous 30 trading days,
adjusted by three different penalty factors designed to minimize the weight of Core Exchanges that exhibit signs that can indicate
manipulation, illiquidity, large block trading, or operational issues which compromise price representation, as described below:

| - | Step 1: Calculate Core Exchanges volume |

First, calculate Core Exchanges regular
volume, RV k, by examining the previous 30 (T-(1-30)) trading days volume to determine median traded volume
(a volume measure that reflects regular exchange trading activity is akin to information utility of historical volatility calculations).
The 30-day variable represents a month per a 360 day-count year.

| - | Step 2: Calculate abnormal price penalty factor for exchange weighting |

In the absence of a global marketplace “best
bid / best offer”, a penalty factor (abnormal price adjustment) is calculated to delineate anomalous trading activity.

This adjustment is based purely on price.
When examining Core Exchanges, those with prices within one standard deviation variance from the median digital asset price are
not penalized (penalty factor equals one). For Core Exchanges with prices outside one standard deviation from the median (across
all the Core Exchanges), a penalty factor is calculated proportional to its absolute distance to the median point.

For example, if one exchange’s price
is 2.5 standard deviations from the median (across all the Core Exchanges), the penalty factor will be a 1/2.5 multiplier. The
abnormal price adjustment factor is defined as:

where C k,price is the adjustment
for abnormal price of the k-th exchange, Price k is its price, and Med price and
σprice are the median and standard deviation of the prices across all the exchanges.

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| - | Step 3: Calculate abnormal volatility penalty factor for exchange weighting |

A