Company: DEFI
Filing Date: 2025-11-14
Form Type: 10-Q
Source: 0001999371-25-017892
Chunk: 8

Company: Tidal Commodities Trust I
Filing Date: 2025-11-14
Form: 10-Q
Item: Item 8
Chunk 8
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 primary underlying risks, the Fund is also subject to additional counterparty
risk due to inability of its counterparties to meet the terms of their contracts.

Futures Contracts

The Fund is subject to cryptocurrency price
risk in the normal course of pursuing its investment objectives. A futures contract represents a commitment for the future purchase
or sale of an asset at a specified price on a specified date.

The purchase and sale of futures contracts
requires margin deposits with a Futures Commission Merchant (“FCM”). Subsequent payments (variation margin) are made
or received by the Fund each day, depending on the daily fluctuations in the value of the contract, and are recorded as unrealized
gains or losses by the Fund. Futures contracts may reduce the Fund’s exposure to counterparty risk since futures contracts
are exchange-traded; and the exchange’s clearinghouse, as the counterparty to all exchange-traded futures, guarantees the
futures against default.

The Commodity Exchange Act requires an
FCM to segregate all customer transactions and assets from the FCM’s proprietary activities. A customer’s cash and
other equity deposited with an FCM are considered commingled with all other customer funds subject to the FCM’s segregation
requirements. In the event of an FCM’s insolvency, recovery may be limited to the Fund’s pro rata share of segregated
customer funds available. It is possible that the recovery amount could be less than the total of cash and other equity deposited.

The following table discloses information
about offsetting assets and liabilities presented in the statements of assets and liabilities to enable users of these financial
statements to evaluate the effect or potential effect of netting arrangements for recognized assets and liabilities. These recognized
assets and liabilities are presented as defined in the Financial Accounting Standards Board’s (“FASB”) Accounting
Standards Update (“ASU”) No. 2011-11 “Balance Sheet (Topic 210): Disclosures about Offsetting Assets and Liabilities”
and subsequently clarified in FASB ASU 2013-01 “Balance Sheet (Topic 210): Clarifying the Scope of Disclosures about Offsetting
Assets and Liabilities.”

    F-15 

The following tables identify
the net gain and loss amounts included in the statements of operations as realized and unrealized gains and losses on trading of
cryptocurrency futures contracts categorized by primary underlying risk:

Nine months ended September 30, 2025.

    Net Change in

    Unrealized

    Realized Gain

    Appreciation