Company: DEFI
Filing Date: 2025-11-14
Form Type: 10-Q
Source: 0001999371-25-017892
Chunk: 5

Company: Tidal Commodities Trust I
Filing Date: 2025-11-14
Form: 10-Q
Item: Item 8
Chunk 5
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 “FBSP”) methodology. This methodology has been
chosen by the Sponsor specifically to calculate the Fund’s NAV, isolating it from data from unregulated bitcoin exchanges.
The methodology to derive the settlement prices of Bitcoin Futures Contracts on the CME involves a calculation that is a function
of both the length of time (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. Such Valuation is generally deemed a Level 2 valuation.

Fair Value - Definition and Hierarchy

In accordance with GAAP, fair value is
defined as the price that would be received to sell an asset or paid to transfer a liability (i.e., the “exit price”)
in an orderly transaction between market participants at the measurement date.

In determining fair value, the Fund uses
various valuation approaches. In accordance with GAAP, a fair value hierarchy for inputs is used in measuring fair value that maximizes
the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used
when available. Observable inputs are those that market participants would use in pricing the asset or liability based on market
data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s assumptions about the inputs market
participants would use in pricing the asset or liability developed based on the best information available in the circumstances.
The fair value hierarchy is categorized into three levels based on the inputs as follows:

Level 1 - Valuations based on unadjusted quoted prices in active
markets for identical assets or liabilities that the Fund has the ability to access. Valuation adjustments and block discounts
are not applied to Level 1 financial instruments. Since valuations are based on quoted prices that are readily and regularly available
in an active market, valuation of these financial instruments does not entail a significant degree of judgment.

    F-14 

Level 2 - Valuations based on quoted prices in markets that are
not active or for which all significant inputs are observable, either directly or indirectly.

Level 3 - Valuations based on inputs that