ETF Managers Group Commodity Trust I filed on May 14, 2019 10-Q Form

ETF Managers Group Commodity Trust I revealed 10-Q form on Tuesday, May 14.

For the period from January 27, 2016 through December 31, 2017, RISE paid Sit a fee equal to 0.50% per annum of the value of RISE’s average daily net assets for Sit’s services as the commodity trading advisor to RISE. Effective January 1, 2018, Sit is paid a fee equal to 0.20% per annum.

The weighting of the Treasury Instruments constituting the Benchmark Component Instruments will be based on each maturity’s duration contribution. The expected range for the duration weighted percentage of the 2 year and 5 year maturity Treasury Instruments will be from 30% to 70%. The expected range for the duration weighted percentage of the 10-year maturity Treasury Instruments will be from 5% to 25%. The relative weightings of the Benchmark Component Instruments will be shifted between maturities when there are material changes in the shape of the yield curve, for example, if the Federal Reserve began raising short term interest rates more than long term interest rates. In such an instance, Sit, which maintains the RISE Benchmark Portfolio, will elect to increase the weightings of the 2 year and reduce the weighting in the 10-year maturity. Conversely, Sit will do the opposite if the Federal Reserve began raising long term interest rates more than short term interest rates. Reconstitution and rebalancing each will occur monthly, on the 15th, except for as noted above or if there are radical changes in the yield curve such that effective duration is outside of a range from negative nine to negative 11-year average effective duration, in which case Sit will adjust the maturities of the Treasury Instruments before the next expected monthly reconstitution.

The Sponsor anticipates that approximately 5% to 15% of RISE’s assets will be used as payment for or collateral for Treasury Instruments. In order to collateralize its Treasury Instrument positions, RISE will hold such assets, from which it will post margin to its futures commission merchant (‘FCM’), SG Americas Securities, LLC, in an amount equal to the margin required by the relevant exchange, and transfer to its FCM any additional amounts that may be separately required by the FCM. When establishing positions in Treasury Instruments, RISE will be required to deposit initial margin with a value of approximately 3% to 10% of the value of each Treasury Instrument position at the time it is established. These margin requirements are subject to change from time to time by the exchange or the FCM. On a daily basis, RISE will be obligated to pay, or entitled to receive, variation margin in an amount equal to the change in the daily settlement level of its Treasury Instruments positions. Any assets not required to be posted as margin with the FCM will be held at RISE’s custodian in cash or cash equivalents, as discussed below.

The RISE Benchmark Portfolio will be invested in Benchmark Component Instruments and rebalanced, as noted above to maintain a negative average effective portfolio duration of approximately 10 years. Duration is a measure of estimated price sensitivity relative to changes in interest rates. Portfolios with longer durations are typically more sensitive to changes in interest rates. For example, if interest rates rise by 1%, the market value of a security with an effective duration of 5 years would decrease by 5%, with all other factors being constant, and likewise the market value of a security with an effective duration of negative 5 years would increase by 5%, with all other factors being constant. The correlation between duration and price sensitivity is greater for securities rated investment-grade than it is for securities rated below investment-grade.

The BDRY Benchmark Portfolio maintains long-only positions in Freight Futures. The BDRY Benchmark Portfolio includes a combination of Capesize, Panamax and Supramax Freight Futures. More specifically, the BDRY Benchmark Portfolio includes 50% exposure in Capesize Freight Futures contracts, 40% exposure in Panamax Freight Futures contracts and 10% exposure in Supramax Freight Futures contracts. The BDRY Benchmark Portfolio does not include and BDRY does not invest in swaps, non-cleared dry bulk freight forwards or other over-the-counter derivative instruments that are not cleared through exchanges or clearing houses. BDRY may hold exchange-traded options on Freight Futures. The BDRY Benchmark Portfolio is maintained by Breakwave and will be rebalanced annually. The Freight Futures currently constituting the BDRY Benchmark Portfolio, as well as the daily holdings of BDRY are available on BDRY’s website at www.drybulketf.com.

When establishing positions in Freight Futures, BDRY will be required to deposit initial margin with a value of approximately 10% to 40% of the notional value of each Freight Futures position at the time it is established. These margin requirements are established and subject to change from time to time by the relevant exchanges, clearing houses or BDRY’s FCM, MacQuarie Futures USA LLC. On a daily basis, BDRY is obligated to pay, or entitled to receive, variation margin in an amount equal to the change in the daily settlement level of its Freight Futures positions. Any assets not required to be posted as margin with the FCM may be held at BDRY’s custodian or remain with the FCM in cash or cash equivalents, as discussed below.

Effective January 1, 2018 and later extended on March 1, 2019, the Sponsor has agreed to waive receipt of the Sponsor Fee for RISE and/or assume RISE’s expenses (excluding brokerage fees, interest expense, and extraordinary expenses) so that RISE’s total annual expenses do not exceed 1.00% per annum through January 31, 2020.

Further, effective January 1, 2018, RISE’s CTA fee, calculated daily and paid monthly in arrears, was reduced from .50% per annum to .20% per annum of average daily net assets.

In addition to the reduction in the expense limit, effective January 1, 2018, RISE’s Sponsor Fee, calculated daily and paid monthly, became the greater of 0.15% of its average daily net assets, or $75,000, and the fees for Principal Financial Officer and Chief Compliance Officer services provided to RISE by the Sponsor were each increased to $25,000 per annum. Certain additional fees paid to the Sponsor for tax return preparation and regulatory reporting fees were also increased. Through December 31, 2017, RISE paid the Sponsor an annual management fee, monthly in arrears, in an amount calculated as the greater of 0.15% of its average daily net assets, or $18,750 effective January 1, 2017.

RISE paid an annual fee to Sit, monthly in arrears, in an amount equal to 0.50% of RISE’s average daily net assets, effective January 27, 2016 and through December 31, 2017. As of February 19, 2015, through December 31, 2017, Sit had agreed to waive its CTA fee to the extent necessary, and the Sponsor had agreed to correspondingly assume the remaining expenses of RISE such that RISE’s expenses did not exceed an annual rate of 1.50%, excluding brokerage commissions and interest expense, of the value of the Fund’s average daily net assets (the ‘RISE Expense Cap’).

BDRY pays the Sponsor an annual Sponsor Fee, monthly in arrears, in an amount calculated as the greater of 0.15% of its average daily net assets, or $125,000. BDRY also paid an annual fee to Breakwave, monthly in arrears, in an amount equal to 1.45% of BDRY’s average daily net assets. As of March 22, 2018, Breakwave has agreed to waive its CTA fee to the extent necessary, and the Sponsor has voluntarily agreed to correspondingly assume the remaining expenses of BDRY such that Fund expenses do not exceed an annual rate of 3.50%, excluding brokerage commissions and interest expense, of the value of BDRY’s average daily net assets (the ‘BDRY Expense Cap,’ and together with the RISE Expense Cap, the ‘Expense Caps’). The assumption of expenses by the Sponsor and waiver of BDRY’s CTA fee are contractual on the part of the Sponsor and Breakwave, respectively.

Effective February 19, 2016, RISE has agreed to pay U.S. Bank 0.05% of assets under management (‘AUM’), with a $50,000 minimum annual fee payable for its administrative, accounting and transfer agent services and 0.01% of AUM, with an annual minimum of $4,800 for custody services. RISE paid U.S. Bank $13,883 and $13,735 for the three months ended March 31, 2019 and March 31, 2018, respectively, and $42,265 and $41,815 for the nine months ended March 31, 2019 and March 31, 2018, respectively, as disclosed in the Combined Statements of Operations.

Effective March 22, 2018, BDRY has agreed to pay U.S. Bank 0.05% of AUM, with a $45,000 minimum annual fee payable for its administrative, accounting and transfer agent services and 0.01% of AUM, with an annual minimum of $4,800 for custody services. BDRY paid U.S. Bank $15,140 and $1,484 for the three months ended March 31, 2019 and the period from March 22, 2018 to March 31, 2018, respectively, and $46,092 and $1,484 for the nine months ended March 31, 2019 and the period from March 22, 2018 to March 31, 2018, respectively, as disclosed in the Combined Statements of Operations.

The Funds pay ETFMG Financial LLC. (the ‘Distributor’), an affiliate of the Sponsor, an annual fee for statutory and wholesaling distribution services and related administrative services equal to the greater of $15,000 or 0.02% of the Funds’ average daily net assets, payable monthly. Pursuant to the respective Marketing Agent Agreement between the Sponsor, each Fund and the Distributor, the Distributor assists the Sponsor and the applicable Fund with certain functions and duties relating to distribution and marketing services to the applicable Fund, including reviewing and approving marketing materials and certain regulatory compliance matters. The Distributor also assists with the processing of creation and redemption orders.

RISE also pays the Sponsor an annual fee for wholesale support services equal to 0.1% of RISE’s average daily net assets, payable monthly. BDRY pays the Sponsor an annual fee for wholesale support services of $25,000 plus 0.12% of BDRY’s average daily net assets, payable monthly.

The Sponsor does not expect brokerage commissions and fees to exceed 0.08% for RISE, and 0.76% for BDRY, of the net asset value of the applicable Fund for execution and clearing services on behalf of the applicable Fund, although the actual amount of brokerage commissions and fees in any year or any part of any year may be greater. The effects of trading spreads, financing costs associated with financial instruments, and costs relating to the purchase of U.S. Treasury Securities or similar high credit quality short-term fixed-income or similar securities are not included in the foregoing analysis. RISE incurred $11,906 and $10,000 in brokerage commissions and fees for the three months ended March 31, 2019 and March 31, 2018, respectively, and $47,768 and $28,897 for the nine months ended March 31, 2019 and March 31, 2018, respectively. BDRY incurred $9,450 and $6,408 in brokerage commissions and fees for the three months ended March 31, 2019, and the period from March 22, 2018 to March 31, 2018, respectively, and $24,543 and $6,408 for the nine months ended March 31, 2019 and the period from March 22, 2018 to March 31, 2018, respectively, as disclosed in the Combined Statements of Operations.

Effective January 1, 2018, the Sponsor, in accordance with the RISE Expense Cap limitation, paid all of the routine offering, operational, administrative and other ordinary expenses of RISE in excess of 1.00% (excluding brokerage commissions and interest expense) of RISE’s average daily net assets, including, but not limited to, accounting and computer services, the fees and expenses of the Trustee, Administrator, Custodian, Transfer Agent and Distributor, legal and accounting fees and expenses, tax return preparation expenses, filing fees, and printing, mailing and duplication costs. Through December 31, 2017, the Sponsor, in accordance with RISE’s Expense Cap limitation, paid all of the routine offering, operational, administrative and other ordinary expenses of RISE in excess of 1.50% (excluding brokerage commissions and interest expense) of RISE’s average daily net assets, including, but not limited to, accounting and computer services, the fees and expenses of the Trustee, Administrator, Custodian, Transfer Agent and Distributor, legal and accounting fees and expenses, tax return preparation expenses, filing fees, and printing, mailing and duplication costs. RISE incurred $171,928 and $165,170 for the three months ended March 31, 2019 and March 31, 2018, respectively, and $572,487 and $438,016 for the nine months ended March 31, 2019 and March 31, 2018, respectively, in routine offering, operational, administrative or other ordinary expenses.

The Sponsor, in accordance with the BDRY Expense Cap limitation paid, after the waiver of the CTA fee for BDRY by Breakwave, all of the routine offering, operational, administrative and other ordinary expenses of BDRY in excess of 3.50% (excluding brokerage commissions and interest expense) of BDRY’s average daily net assets, including, but not limited to, accounting and computer services, the fees and expenses of the Trustee, Administrator, Custodian, Transfer Agent and Distributor, legal and accounting fees and expenses, tax return preparation expenses, filing fees, and printing, mailing and duplication costs. BDRY incurred $163,908 and $34,513 for the three months ended March 31, 2019 and the period from March 22, 2018 to March 31, 2018, respectively, and $515,611 and $34,513 for the nine months ended March 31, 2019 and the period from March 22, 2018 to March 31, 2018, respectively, in routine offering, operational, administrative or other ordinary expenses.

**** Effective January 1, 2018, Sit Rising Rate ETF expenses have been capped at 1.00% of average daily net assets, plus brokerage commissions and interest expense. For Breakwave Dry Bulk Shipping ETF, as of March 22, 2018 (commencement of investment operations), Fund expenses have been capped at 3.50% of average daily net assets, plus brokerage commissions and interest expense.

**** For Sit Rising Rate ETF, as of February 19, 2015 and through December 31, 2017, Fund expenses had been capped at 1.50% of average daily net assets, plus brokerage commissions and interest expense as disclosed in Note 4. Effective January 1, 2018, Fund expenses have been capped at 1.00% of average daily net assets, plus brokerage commissions and interest expense. For Breakwave Dry Bulk Shipping ETF, as of March 22, 2018 (commencement of investment operations), Fund expenses have been capped at 3.50% of average daily net assets, plus brokerage commissions and interest expense.

The weighting of the Treasury Instruments constituting the Benchmark Component Instruments will be based on each maturity’s duration contribution. The expected range for the duration weighted percentage of the 2-year and 5-year maturity Treasury Instruments will be from 30% to 70%. The expected range for the duration weighted percentage of the 10-year maturity Treasury Instruments will be from 5% to 25%. The relative weightings of the Benchmark Component Instruments will be shifted between maturities when there are material changes in the shape of the yield curve, for example, if the Federal Reserve began raising short term interest rates more than long term interest rates. In such an instance, Sit, which maintains the Benchmark Portfolio, will increase the weightings of the 2-year and reduce the weighting in the 10-year maturity Treasury Instruments. Conversely, Sit will do the opposite if the Federal Reserve began raising long term interest rates more than short term interest rates. Reconstitution and rebalancing each will occur monthly, on the 15th, except for as noted above or if there are radical changes in the yield curve such that effective duration is outside of a range from negative nine to negative 11-year average effective duration, in which case Sit will adjust the maturities of the Treasury Instruments before the next expected monthly reconstitution.

The Sponsor anticipates that approximately 5% to 15% of the Fund’s assets will be used as payment for or collateral for Treasury Instruments. In order to collateralize its Treasury Instrument positions, the Fund will hold such assets, from which it will post margin to its FCM, in an amount equal to the margin required by the relevant exchange, and transfer to its FCM any additional amounts that may be separately required by the FCM. When establishing positions in Treasury Instruments, the Fund will be required to deposit initial margin with a value of approximately 3% to 10% of the value of each Treasury Instrument position at the time it is established. These margin requirements are subject to change from time to time by the exchange or the FCM. On a daily basis, the Fund will be obligated to pay, or entitled to receive, variation margin in an amount equal to the change in the daily settlement level of its Treasury Instruments positions. Any assets not required to be posted as margin with the FCM will be held at the Fund’s administrator in cash or cash equivalents as discussed below.

The Benchmark Portfolio will be invested in Benchmark Component Instruments and rebalanced, as noted above, to maintain a negative average effective portfolio duration of approximately 10 years. Duration is a measure of estimated price sensitivity relative to changes in interest rates. Portfolios with longer durations are typically more sensitive to changes in interest rates. For example, if interest rates rise by 1%, the market value of a security with an effective duration of 5 years would decrease by 5%, with all other factors being constant, and likewise the market value of a security with an effective duration of negative 5 years would increase by 5%, with all other factors being constant. Duration estimates are based on assumptions by Sit and are subject to a number of limitations. Duration is a more accurate estimate of price sensitivity provided interest rate changes are small and occur equally in short-term and long-term securities. Investments in debt securities typically decrease in value when interest rates rise. The risk is usually greater for longer-term debt securities.

BDRY’s Benchmark Portfolio will maintain long-only positions in Freight Futures. The Benchmark Portfolio will include a combination of Capesize, Panamax and Supramax Freight Futures. More specifically, the Benchmark Portfolio will include 50% exposure in Capesize Freight Futures contracts, 40% exposure in Panamax Freight Futures contracts and 10% exposure in Supramax Freight Futures contracts. The Benchmark Portfolio will not include and the Fund will not invest in swaps, non-cleared dry bulk freight forwards or other over-the-counter derivative instruments that are not cleared through exchanges or clearing houses. The Fund may hold exchange-traded options on Freight Futures. The Benchmark Portfolio is maintained by Breakwave and will be rebalanced annually. The Freight Futures currently constituting the Benchmark Portfolio, as well as the daily holdings of the Fund will be available on the Fund’s website at www.drybulketf.com.

When establishing positions in Freight Futures, BDRY will be required to deposit initial margin with a value of approximately 10% to 40% of the notional value of each Freight Futures position at the time it is established. These margin requirements are established and subject to change from time to time by the relevant exchanges, clearing houses or the Fund’s futures commission merchant (‘FCM’). On a daily basis, the Fund will be obligated to pay, or entitled to receive, variation margin in an amount equal to the change in the daily settlement level of its Freight Futures positions. Any assets not required to be posted as margin with the FCM will be held at the Fund’s custodian in cash or cash equivalents.

During the three months ended March 31, 2019, the NYSE Arca market value of each Share decreased (-2.08%) from $24.09 per Share, representing the closing trade on December 31, 2018, to $23.59 per Share, representing the closing price on March 29, 2019. The Share price high and low for the three months ended March 31, 2019 and related change from the closing Share price on December 31, 2018 were as follows: Shares traded from a high of $24.40 per Share (+1.29%) on March 6, 2019 to a low of $23.36 per Share (-3.05%) on March 27, 2019.

For the three months ended March 31, 2019, the net asset value of each Share decreased (-1.70%) from $24.06 per Share, representing the closing net asset value per Share on December 31, 2018, to $23.65 per Share. Net losses in the investments, futures and options contracts more than offset Fund net investment income which resulted in the overall decrease in the NAV per Share during the three months ended March 31, 2019.

During the three months ended March 31, 2018, the NYSE Arca market value of each Share increased (+2.82%) from $23.76 per Share, representing the closing trade on December 29, 2017, to $24.43 per Share, representing the closing price on March 30, 2018. The Share price high and low for the three months ended March 31, 2018 and related change from the closing Share price on December 29, 2018 were as follows: Shares traded from a high of $24.71 per Share (+4.02%) on March 21, 2018 to a low of $23.65 per Share (-0.11%) on January 8, 2018.

For the three months ended March 31, 2018, the net asset value of each Share increased (+3.13%) from $23.65 per Share, representing the closing net asset value per Share on December 31, 2017, to $24.39 per Share. Net gains in the investments, futures and options contracts more than offset Fund expenses which resulted in the overall increase in the NAV per Share during the three months ended March 31, 2018.

During the nine months ended March 31, 2019, the NYSE Arca market value of each Share decreased (-4.34%) from $24.66 per Share, representing the closing trade on June 29, 2018, to $23.59 per Share, representing the closing price on March 31, 2019. The Share price high and low for the nine months ended March 31, 2019 and related change from the closing Share price on June 29, 2018 were as follows: Shares traded from a high of $25.50 per Share (+3.41%) on October 5, 2018 to a low of $23.36 per Share (-5.29%) on March 27, 2019.

For the nine months ended March 31, 2019, the net asset value of each Share decreased (-4.06%) from $24.65 per Share, representing the closing net asset value per Share on June 29, 2018, to $23.65 per Share. Net losses in the investments, futures and options contracts more than offset Fund net investment income which resulted in the overall decrease in the NAV per Share during the nine months ended March 31, 2019.

During the nine months ended March 31, 2018, the NYSE Arca market value of each Share increased (+6.13%) from $23.02 per Share, representing the closing trade on June 30, 2017, to $24.43 per Share, representing the closing price on March 30, 2018. The Share price high and low for the nine months ended March 31, 2018 and related change from the closing Share price on June 30, 2017 were as follows: Shares traded from a high of $24.71 per Share (+7.36%) on March 21, 2018 to a low of $22.59 per Share (-1.87%) on August 29, 2017.

For the nine months ended March 31, 2018, the net asset value of each Share increased (+5.36%) from $23.15 per Share, representing the closing net asset value per Share on June 30, 2017, to $24.39 per Share. Net gains in the investments, futures and options contracts more than offset Fund expenses and net investment loss which resulted in the overall increase in the NAV per Share during the nine months ended March 31, 2018.

During the three months ended March 31, 2019, the NYSE Arca market value of each Share decreased (-47.77%) from $17.92 per Share, representing the closing trade on December 31, 2018, to $9.36 per Share, representing the closing price on March 29, 2019. The Share price high and low for the three months ended March 31, 2019 and related change from the closing Share price on December 31, 2018 were as follows: Shares traded from a high of $18.49 per Share (+3.18%) on January 2, 2019 to a low of $9.32 per Share (-47.99%) on March 29, 2019.

For the three months ended March 31, 2019, the net asset value of each Share decreased (-48.71%) from $18.56 per Share to $9.52 per Share. Losses in the investments and futures contracts and the net investment loss resulted in the overall decrease in the NAV per Share during the three months ended March 31, 2019.

During the period from March 22, 2018 (commencement of Shares trading on the NYSE Arca) to March 31, 2018, the NYSE Arca market value of each Share decreased (-10.31%) from $25.40 per Share, representing the initial trade on March 22, 2018, to $22.78 per Share, representing the closing price on March 29, 2018. The Share price high and low for the period from March 22, 2018 to March 29, 2018 and related change from the initial Share price on March 22, 2018 were as follows: Shares traded from a high of $25.72 per Share (+0.32%) on March 22, 2018 to a low of $22.78 per Share (-10.31%) on March 29, 2018.

For the period from March 22, 2018 (commencement of investment operations) to March 31, 2018, the net asset value of each Share decreased (-9.84%) from $25.00 per Share to $22.54 per Share. Losses in the futures contracts and the net investment loss resulted in the overall decrease in the NAV per Share during the period from March 22, 2018 to March 31, 2018.

During the nine months ended March 31, 2019, the NYSE Arca market value of each Share decreased (-57.53%) from $22.04 per Share, representing the closing trade on June 29, 2018, to $9.36 per Share, representing the closing price on March 29, 2019. The Share price high and low for the nine months ended March 31, 2019 and related change from the closing Share price on June 29, 2018 were as follows: Shares traded from a high of $25.60 per Share (+16.15%) on August 21, 2019 to a low of $9.32 per Share (-57.71%) on March 29, 2019.

For the nine months ended March 31, 2019, the net asset value of each Share decreased (-56.69%) from $21.98 per Share to $9.52 per Share. Losses in the investments and futures contracts and the net investment loss resulted in the overall decrease in the NAV per Share during the nine months ended March 31, 2019.

RISE pays the Sponsor Fee monthly in arrears, in an amount equal to the greater of 0.15% per annum of the value of RISE’s average daily net assets or $75,000 effective January 1, 2018. The Sponsor Fee is paid in consideration of the Sponsor’s management services to RISE. RISE also pays Sit a CTA Fee monthly in arrears, for the use of the RISE Benchmark Portfolio in an amount equal to 0.20% effective January 1, 2018 (0.50% prior to January 1, 2018) per annum of RISE’s average daily net assets. Prior to January 1, 2018, RISE’s Sponsor Fee was calculated as the greater of 0.15% per annum of the value of RISE’s average daily net assets or, $18,750 for the year ended December 31, 2017.

As of January 1, 2018, the Sponsor has contractually agreed to waive RISE’s Sponsor Fee and/or assume RISE’s remaining expenses so that RISE’s expenses do not exceed an annual rate of 1.00%, excluding brokerage commissions, interest expense, and extraordinary expenses, of the value of RISE’s average daily net assets (the ‘RISE Expense Cap’). The assumption of expenses and waiver of RISE’s Sponsor fee are contractual on the part of the Sponsor, through January 31, 2020. If after that date, the Sponsor no longer assumed expenses or waived RISE’s Sponsor Fee, RISE could be adversely impacted, including in its ability to achieve its investment objective.

For the period from the inception of RISE through December 31, 2017, Sit had agreed to waive the CTA Fee and the Sponsor agreed to correspondingly assume the remaining expenses of RISE so that RISE expenses did not exceed an annual rate of 1.50%, excluding brokerage commissions, interest expense, and extraordinary expenses, of the value of RISE’s average daily net assets.

BDRY pays the Sponsor Fee, monthly in arrears, in an amount equal to the greater of 0.15% per year of BDRY’s average daily net assets; or $125,000. BDRY’s Sponsor Fee is paid in consideration of the Sponsor’s management services to BDRY. BDRY also pays Breakwave the CTA Fee monthly in arrears, for the use of BDRY’s Benchmark Portfolio in an amount equal to 1.45% per annum of BDRY’s average daily net assets.

Breakwave has agreed to waive its CTA Fee and the Sponsor has agreed to correspondingly assume the remaining expenses of BDRY so that BDRY’s expenses do not exceed an annual rate of 3.50%, excluding brokerage commissions, interest expense, and extraordinary expenses, of the value of BDRY’s average daily net assets (the ‘BDRY Expense Cap’). The assumption of expenses and waiver of BDRY’s CTA Fee are contractual on the part of the Sponsor and Breakwave, respectively, through February 28, 2020. If after that date, the Sponsor and/or Breakwave no longer assumed expenses or waived the CTA Fee, respectively, BDRY could be adversely impacted, including in its ability to achieve its investment objective.

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