Company: DEFI
Filing Date: 2025-08-14
Form Type: 10-Q
Source: 0001999371-25-011381
Chunk: 5

Company: Tidal Commodities Trust I
Filing Date: 2025-08-14
Form: 10-Q
Item: Item 8
Chunk 5
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CME halted trading in Bitcoin Futures Contracts for other reasons, including if trading were halted for an entire trading day
or several trading days, the Fund would value its Bitcoin Futures Contracts by using the settlement price that the CME publishes.
Such valuation is generally deemed a Level 1 valuation.

The
value of the Bitcoin held by the Fund will be determined using a “Futures-Based Spot Price” (or “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.