Company: DEFI
Filing Date: 2025-02-21
Form Type: POS AM
Source: 0001839882-25-010345
Chunk: 161

Company: Tidal Commodities Trust I
Filing Date: 2025-02-21
Form: POS AM
Chunk 161
---

price of Bitcoin. These weighting factors are given by the first line of matrix L and they sum up to one (100%). These weights
are calculated daily and are dependent solely on the number of calendar days until maturity of each active BTC Contract. The spot
price for bitcoin derived from FBSP is, in turn, calculated by multiplying each price by its applicable weight and then summing
all terms:

where W iis the weight and SP iis the settlement price of each BTC Contract.

The Fund does not use data from bitcoin
exchanges or from spot bitcoin trading activity.

​​By way of example, the table
below shows how the weights of each hypothetical Bitcoin Futures Contract change over time as the first contract gets closer to
maturity.

The chart below visually illustrates the
CME Bitcoin Futures Market’s forward curve and how the FBSP is determined for a specific date (October 9, 2023). Each black
dot represents the settlement price of a specific CME Bitcoin Futures Contract. The blue line represents the calculated (fitted)
forward curve. The black dots align closely with the fitted curve in blue, meaning that the curve accurately tracks the settlement
prices of the BTC Contracts. The black square is a point on the curve corresponding to a zero-day maturity, representing the spot
price for bitcoin for that date.

<div align='center'>96</div>

The table below exemplifies how the value of spot bitcoin held by the Fund is calculated using the weights and factors explained above for the same date:

| FBSP          
 on 10/09/2023 |            |                 |             |                |
| Input         
 Data          |            |                 | Calculation |                |
| Future        | Settlement 
 Price (SP) |           Tenor 
 (calendar days) | Futures     
 Weights (W) |       Weighted 
 Price (W x SP) |
| Fut           
 Oct 23        | $27,735.00 |              19 | 122.10%     |     $33,864.44 |
| Fut           
 Nov 23        | $27,925.00 |              47 | -0.70%      |       -$195.48 |
| Fut           
 Dec 23        | $28,115.00 |              82 | -6.70%      |     -$1,883.71 |
| Fut           
 Jan 24        | $28,275.00 |             110 | -5.90%      |     -$1