Company: DEFI
Filing Date: 2025-03-27
Form Type: 424B3
Source: 0001999371-25-003249
Chunk: 158

Company: Tidal Commodities Trust I
Filing Date: 2025-03-27
Form: 424B3
Chunk 158
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the tenor)
until each Bitcoin Futures Contract is due for settlement, and the final settlement price for each contract on that day. The calculation
is based on estimating a simple quadratic function to fit the prices across the different tenors and extrapolate this curve to
zero days tenor. This approach is designed to give more importance to contracts that are due for settlement in the near term, considering
that the prices of these near-term contracts are more reliable indicators of the current spot price of Bitcoin and are also more
heavily traded. A formal mathematical description of the calculation is the following:

The estimated value for
the spot price is the first element of β, associated with the first column (intercept). This is the value of the fitted
curve when the tenor is zero.

<div align='center'>95</div>

The calculation produces a set of weighting
factors, with each factor indicating the contribution of the corresponding Bitcoin Futures Contract to the estimated current spot
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