ETF Managers Group Commodity Tr (BWET) 10-Q 2022 Q3 Quarterly report

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM 10-Q

☒ Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

for the quarterly period ended March 31, 2022.

OR

☐ Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

for the transition period from _______ to _______.

Commission File Number: 001-36851

ETF Managers Group Commodity Trust I

(Exact Name of Registrant as Specified in Its Charter)

Delaware	36-4793446
(State or Other Jurisdiction of Incorporation or Organization)	(I.R.S. Employer Identification No.)

30 Maple Street – Suite 2 Summit, NJ 07901	07901
(Address of Principal Executive Offices)	(Zip Code)

844-383-6477

(Registrant’s Telephone Number, Including Area Code)

N/A

(Former Name, Former Address and Former Fiscal Year, if Changed Since Last Report)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. ☒ Yes   ☐ No

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). ☒ Yes   ☐ No

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, smaller reporting company or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company” and “emerging growth company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer	☐	Accelerated filer	☐
Non-accelerated filer	☐	Smaller reporting company	☒
Emerging growth company	☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided in Section 13(a) of the Exchange Act. ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). ☐ Yes   ☒ No

Securities Registered Pursuant to Section 12(b) of the Act:

Title of Each Class	Trading Symbol(s)	Name Of Each Exchange On Which Registered
Shares of Breakwave Dry Bulk Shipping ETF	BDRY	NYSE Arca, Inc.

Indicate the number of Shares outstanding, as of May 2, 2022: 2,775,040

ETF MANAGERS GROUP COMMODITY TRUST I

Table of Contents

		Page
Part I. FINANCIAL INFORMATION		1
	Item 1. Interim Financial Statements	1
	Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations	35
	Item 3. Quantitative and Qualitative Disclosures About Market Risk	49
	Item 4. Controls and Procedures	49
Part II. OTHER INFORMATION		50
	Item 1. Legal Proceedings	50
	Item 2. Unregistered Sales of Equity Securities and Use of Proceeds	50
	Item 3. Defaults Upon Senior Securities	50
	Item 4. Mine Safety Disclosures	50
	Item 5. Other Information	50
	Item 6. Exhibits	51

i

Part I.
INTERIM FINANCIAL INFORMATION

Item 1. Interim Combined Financial Statements.

Index to Interim Financial Statements

Documents	Page
Statements of Assets and Liabilities at March 31, 2022 (Unaudited)	2
Statements of Assets and Liabilities at June 30, 2021	3
Schedules of Investments at March 31, 2022 (Unaudited)	4
Schedules of Investments at June 30, 2021	5
Statements of Operations (Unaudited) for the three months ended March 31, 2022	6
Combined Statements of Operations (Unaudited) for the three months ended March 31, 2021	7
Statements of Operations (Unaudited) for the nine months ended March 31, 2022	8
Combined Statements of Operations (Unaudited) for the nine months ended March 31, 2021	9
Statements of Changes in Net Assets (Unaudited) for the three months ended March 31, 2022	10
Combined Statements of Changes in Net Assets (Unaudited) for the three months ended March 31, 2021	11
Statements of Changes in Net Assets (Unaudited) for the nine months ended March 31, 2022	12
Combined Statements of Changes in Net Assets (Unaudited) for the nine months ended March 31, 2021	13
Statements of Cash Flows (Unaudited) for the nine months ended March 31, 2022	14
Combined Statements of Cash Flows (Unaudited) for the nine months ended March 31, 2021	15
Notes to Interim Financial Statements	16

1

ETF MANAGERS GROUP COMMODITY TRUST I

Statements of Assets and Liabilities

March 31, 2022 (Unaudited)

			ETF
	BREAKWAVE DRY BULK SHIPPING		MANAGERS GROUP COMMODITY
	ETF		TRUST I
Assets
Investment in securities, at fair value (Cost $17,462,227)	$	17,462,227	$	17,462,227
Segregated cash held by broker		41,781,033		41,781,033
Receivable on open futures contracts		3,348,980		3,348,980
Prepaid expenses		2,385		2,385
Receivable for fund shares sold		16,356,505		16,356,505
Interest receivable		1,624		1,624
Total assets		78,952,754		78,952,754
Liabilities
Due to Sponsor		202,094		202,094
Other accrued expenses		37,694		37,694
Total liabilities		239,788		239,788
Net Assets	$	78,712,966	$	78,712,966
Shares outstanding (unlimited authorized)		3,275,040
Net asset value per share	$	24.03
Market value per share	$	24.18

See accompanying notes to unaudited interim financial statements.

2

ETF MANAGERS GROUP COMMODITY TRUST I

Statements of Assets and Liabilities

June 30, 2021

			ETF
	BREAKWAVE DRY BULK SHIPPING		MANAGERS GROUP COMMODITY
	ETF		TRUST I
Assets
Investment in securities, at fair value (cost $42,654,058)	$	42,654,058	$	42,654,058
Segregated cash held by broker		50,040,588		50,040,588
Receivable on open futures contracts		21,723,570		21,723,570
Prepaid expenses		24,071		24,071
Interest receivable		443		443
Total assets		114,442,730		114,442,730
Liabilities
Due to Sponsor		235,071		235,071
Other accrued expenses		130,507		130,507
Total liabilities		365,578		365,578
Net Assets	$	114,077,152	$	114,077,152
Shares outstanding (unlimited authorized)		3,950,040
Net asset value per share	$	28.88
Market value per share	$	29.35

See accompanying notes to financial statements.

3

ETF MANAGERS GROUP COMMODITY TRUST I

Schedules of Investments

March 31, 2022 (Unaudited)

	BREAKWAVE DRY BULK SHIPPING		ETF MANAGERS GROUP COMMODITY
	ETF		TRUST I
MONEY MARKET FUNDS - 22.2%
First American US Treasury Obligations Fund, Class X, 0.02% (a)	$	17,462,227	$	17,462,227
TOTAL MONEY MARKET FUNDS (Cost $17,462,227)		17,462,227		17,462,227
Total Investments (Cost $17,462,227) - 22.2%		17,462,227		17,462,227
Other Assets in Excess of Liabilities - 77.8% (b)		61,250,739		61,250,739
TOTAL NET ASSETS - 100.0%	$	78,712,966	$	78,712,966

(a) Annualized seven-day yield as of March 31, 2022.

(b) $47,432,266 of cash is pledged as collateral for futures contracts.

BREAKWAVE DRY BULK SHIPPING ETF	Unrealized			ETF MANAGERS GROUP
Futures Contracts	Appreciation/			COMMODITY
March 31, 2022	(Depreciation)			TRUST I
Baltic Capesize Time Charter Expiring April 29, 2022 (Underlying Face Amount at Market Value - $8,142,750) (375 contracts)	$	(1,864,500	)	$	(1,864,500	)
Baltic Capesize Time Charter Expiring May 31, 2022 (Underlying Face Amount at Market Value - $11,263,500) (375 contracts)		1,256,250			1,256,250
Baltic Capesize Time Charter Expiring June 30, 2022 (Underlying Face Amount at Market Value - $12,849,000) (375 contracts)		2,841,750			2,841,750
Baltic Exchange Panamax T/C Average Shipping Route Index Expiring April 29, 2022 (Underlying Face Amount at Market Value - $7,753,440) (290 contracts)		(25,060	)		(25,060	)
Baltic Exchange Panamax T/C Average Shipping Route Index Expiring May 31, 2022 (Underlying Face Amount at Market Value - $8,127,250) (290 contracts)		337,500			337,500
Baltic Exchange Panamax T/C Average Shipping Route Index Expiring June 30, 2022 (Underlying Face Amount at Market Value - $8,089,840) (290 contracts)		300,090			300,090
Baltic Exchange Supramax T/C Average Shipping Route Expiring April 29, 2022 (Underlying Face Amount at Market Value - $1,824,480) (60 contracts)		140,730			140,730
Baltic Exchange Supramax T/C Average Shipping Route Expiring May 31, 2022 (Underlying Face Amount at Market Value - $1,878,240) (60 contracts)		194,490			194,490
Baltic Exchange Supramax T/C Average Shipping Route Expiring June 30, 2022 (Underlying Face Amount at Market Value - $1,851,480) (60 contracts)		167,730			167,730
	$	3,348,980		$	3,348,980

See accompanying notes to unaudited interim financial statements.

4

ETF MANAGERS GROUP COMMODITY TRUST I

Schedule of Investments

June 30, 2021

	BREAKWAVE		ETF MANAGERS
	DRY BULK SHIPPING		GROUP COMMODITY
	ETF		TRUST I
MONEY MARKET FUNDS - 37.4%
First American US Treasury Obligations Fund, Class X, 0.01% (a) (42,654,058 shares)	$	42,654,058	$	42,654,058
TOTAL MONEY MARKET FUNDS (Cost $42,654,058)		42,654,058		42,654,058
Total Investments (Cost $42,654,058) - 37.4%		42,654,058		42,654,058
Other Assets in Excess of Liabilities - 62.6% (b)		71,423,094		71,423,094
TOTAL NET ASSETS - 100.0%	$	114,077,152	$	114,077,152

(a) Annualized seven-day yield as of June 30, 2021.

(b) $50,040,588 of cash is pledged as collateral for futures contracts.

BREAKWAVE DRY BULK SHIPPING ETF	Unrealized		ETF MANAGERS GROUP
Futures Contracts	Appreciation/		COMMODITY
June 30, 2021	(Depreciation)		TRUST I *
Baltic Exchange Panamax T/C Average Shipping Route Index Expiring July 30, 2021 (Underlying Face Amount at Market Value - $16,372,965 (435 contracts)	$	4,928,465	$	4,928,465
Baltic Exchange Panamax T/C Average Shipping Route Index Expiring August 27, 2021 (Underlying Face Amount at Market Value - $16,231,590) (435 contracts)		4,827,090		4,827,090
Baltic Exchange Panamax T/C Average Shipping Route Index Expiring September 24, 2021 (Underlying Face Amount at Market Value - $15,374,205) (435 contracts)		3,969,705		3,969,705
Baltic Exchange Supramax T/C Average Shipping Route Expiring July 30, 2021 (Underlying Face Amount at Market Value - $3,632,160) (105 contracts)		1,023,535		1,023,535
Baltic Exchange Supramax T/C Average Shipping Route Expiring August 27, 2021 (Underlying Face Amount at Market Value - $3,696,000) (105 contracts)		1,091,125		1,091,125
Baltic Exchange Supramax T/C Average Shipping Route Expiring September 24, 2021 (Underlying Face Amount at Market Value - $3,435,285) (105 contracts)		830,410		830,410
Baltic Capesize Time Charter Expiring July 30, 2021 (Underlying Face Amount at Market Value - $15,947,020) (445 contracts)		612,895		612,895
Baltic Capesize Time Charter Expiring August 27, 2021 (Underlying Face Amount at Market Value - $17,744,375) (445 contracts)		2,375,750		2,375,750
Baltic Capesize Time Charter Expiring September 24, 2021 (Underlying Face Amount at Market Value - $17,442,220) (445 contracts)		2,064,595		2,064,595
	$	21,723,570	$	21,723,570

* SIT Rising Rate ETF, which had been a series of the Trust, liquidated as of November 18, 2020.

See accompanying notes to financial statements.

5

ETF MANAGERS GROUP COMMODITY TRUST I

Statements of Operations

Three Months Ended March 31, 2022 (Unaudited)

	BREAKWAVE			ETF MANAGERS
	DRY BULK SHIPPING			GROUP COMMODITY
	ETF			TRUST I
Investment Income
Interest	$	1,846		$	1,846
Expenses
Sponsor fee		30,823			30,823
CTA fee		217,886			217,886
Audit fees		21,600			21,600
Tax preparation fees		89,979			89,979
Admin/accounting/custodian/transfer agent fees		15,930			15,930
Legal fees		11,096			11,096
Chief Compliance Officer fees		6,164			6,164
Principal Financial Officer fees		6,164			6,164
Regulatory reporting fees		6,164			6,164
Brokerage commissions		140,833			140,833
Distribution fees		3,873			3,873
NJ Filing fees		102,034			102,034
Insurance expense		3,699			3,699
Listing and calculation agent fees		2,515			2,515
Marketing expenses		5,956			5,956
Amortization of Offering Costs		7,150			7,150
Other expenses		3,312			3,312
Website Support and Marketing Materials		3,699			3,699
Printing and Postage		2,605			2,605
Wholesale support fees		24,195			24,195
Interest expense		39,471			39,471
Total Expenses		745,148			745,148
Less: Waiver of CTA fee		-			-
Less: Expenses absorbed by Sponsor		-			-
Net Expenses		745,148			745,148
Net Investment Income (Loss)		(743,302	)		(743,302	)
Net Realized and Unrealized Gain (Loss) on Investment Activity
Net Realized Gain (Loss) on
Investments and futures contracts		(10,253,439	)		(10,253,439	)
Change in Unrealized Gain (Loss) on
Investments and futures contracts		(11,194,715	)		(11,194,715	)
Net realized and unrealized gain (loss)		(21,448,154	)		(21,448,154	)
Net income (loss)	$	(22,191,456	)	$	(22,191,456	)

See accompanying notes to unaudited interim financial statements.

6

ETF MANAGERS GROUP COMMODITY TRUST I

Combined Statements of Operations

Three Months Ended March 31, 2021 (Unaudited)

	BREAKWAVE DRY BULK SHIPPING ETF			ETF MANAGERS GROUP COMMODITY TRUST I*
Investment Income
Interest	$	511		$	511
Expenses
Sponsor fee		30,823			30,823
CTA fee		119,348			119,348
Audit fees		21,797			21,797
Tax preparation fees		6,288			6,288
Tax State Filing fees		49,313			49,313
Admin/accounting/custodian/transfer agent fees		15,930			15,930
Legal fees		11,096			11,096
Chief Compliance Officer fees		6,164			6,164
Principal Financial Officer fees		6,164			6,164
Regulatory reporting fees		6,164			6,164
Brokerage commissions		115,803			115,803
Distribution fees		3,873			3,873
Insurance expense		3,699			3,699
Listing & calculation agent fees		2,515			2,515
Other expenses		9,618			9,618
Wholesale support fees		16,042			16,042
Interest expense		60			60
Total Expenses		424,697			424,697
Less: Waiver of CTA fee		(20,752	)		(20,752	)
Less: Expenses absorbed by Sponsor		-			-
Net Expenses		403,945			403,945
Net Investment Income (Loss)		(403,434	)		(403,434	)
Net Realized and Unrealized Gain (Loss) on Investment Activity
Net Realized Gain (Loss) on
Investments, futures and options contracts		24,152,831			24,152,831
Change in Unrealized Gain (Loss) on
Investments, futures and options contracts		(1,727,485	)		(1,727,485	)
Net realized and unrealized gain (loss)		22,425,346			22,425,346
Net income (loss)	$	22,021,912		$	22,021,912

* Sit Rising Rate ETF, which had been a series of the Trust, liquidated as of November 18, 2020.

See accompanying notes to unaudited interim combined financial statements.

7

ETF MANAGERS GROUP COMMODITY TRUST I

Statements of Operations

Nine Months Ended March 31, 2022 (Unaudited)

				ETF
	BREAKWAVE DRY BULK SHIPPING			MANAGERS GROUP COMMODITY
	ETF			TRUST I
Investment Income
Interest	$	3,248		$	3,248
Expenses
Sponsor fee		100,170			100,170
CTA fee		840,175			840,175
Audit fees		65,747			65,747
Tax preparation fees		335,085			335,085
Admin/accounting/custodian/transfer agent fees		48,511			48,511
Legal fees		33,782			33,782
Chief Compliance Officer fees		18,766			18,766
Principal Financial Officer fees		18,766			18,766
Regulatory reporting fees		18,766			18,766
Brokerage commissions		517,171			517,171
Distribution fees		11,791			11,791
NJ Filing fees		276,910			276,910
Insurance expense		11,261			11,261
Listing and calculation agent fees		7,657			7,657
Marketing expenses		5,956			5,956
Amortization of Offering Costs		21,768			21,768
Other expenses		14,081			14,081
Website Support and Marketing Materials		11,261			11,261
Printing and Postage		10,872			10,872
Wholesale support fees		88,296			88,296
Interest expense		39,523			39,523
Total Expenses		2,496,315			2,496,315
Less: Waiver of CTA fee		-			-
Less: Expenses absorbed by Sponsor		-			-
Net Expenses		2,496,315			2,496,315
Net Investment Income (Loss)		(2,493,067	)		(2,493,067	)
Net Realized and Unrealized Gain (Loss) on Investment Activity
Net Realized Gain (Loss) on
Investments and futures contracts		8,210,121			8,210,121
Change in Unrealized Gain (Loss) on
Investments and futures contracts		(29,790,605	)		(29,790,605	)
Net realized and unrealized gain (loss)		(21,580,484	)		(21,580,484	)
Net income (loss)	$	(24,073,551	)	$	(24,073,551	)

See accompanying notes to unaudited interim financial statements.

8

ETF MANAGERS GROUP COMMODITY TRUST I

Combined Statements of Operations

Nine Months Ended March 31, 2021 (Unaudited)

	BREAKWAVE DRY BULK SHIPPING ETF			SIT RISING RATE ETF*			COMBINED
Investment Income
Interest	$	1,578		$	5,608		$	7,186
Expenses
Sponsor fee		93,839			25,068			118,907
CTA fee		334,342			3,042			337,384
Audit fees		65,881			46,757			112,638
Tax preparation fees		19,144			17,180			36,324
Tax State Filing Fees		49,313			-			49,313
Admin/accounting/custodian/transfer agent fees		48,498			19,486			67,984
Legal fees		33,782			21,700			55,482
Chief Compliance Officer fees		18,766			8,356			27,122
Principal Financial Officer fees		18,766			13,356			32,122
Regulatory reporting fees		18,766			8,356			27,122
Brokerage commissions		274,845			1,424			276,269
Distribution fees		11,791			5,116			16,907
Insurance expense		11,261			5,014			16,275
Listing & calculation agent fees		7,657			4,880			12,537
Other expenses		16,426			3,749			20,175
Website Support and Marketing Materials		7,562			5,014			12,576
Printing and Postage		5,294			3,539			8,833
Wholesale support fees		46,437			1,522			47,959
Interest expense		142			220			362
Total Expenses		1,082,512			193,779			1,276,291
Less: Waiver of CTA fee		(39,184	)		-			(39,184	)
Less: Expenses absorbed by Sponsor		-			(136,902	)		(136,902	)
Net Expenses		1,043,328			56,877			1,100,205
Net Investment Income (Loss)		(1,041,750	)		(51,269	)		(1,093,019	)
Net Realized and Unrealized Gain (Loss) on Investment Activity
Net Realized Gain (Loss) on
Investments, futures and options contracts		30,666,327			(29,138	)		30,637,189
Change in Unrealized Gain (Loss) on
Investments, futures and options contracts		(6,005,445	)		10,459			(5,994,986	)
Net realized and unrealized gain (loss)		24,660,882			(18,679	)		24,642,203
Net income (loss)	$	23,619,132		$	(69,948	)		23,549,184

* Period from July 1, 2020 to October 30, 2020 - Sit Rising Rate ETF liquidated as of November 18, 2020.

See accompanying notes to unaudited interim combined financial statements.

9

ETF MANAGERS GROUP COMMODITY TRUST I

Statements of Changes in Net Assets

Three Months Ended March 31, 2022 (Unaudited)

				ETF
	BREAKWAVE DRY BULK SHIPPING			MANAGERS GROUP COMMODITY
	ETF			TRUST I
Net Assets at Beginning of Period	$	71,161,952		$	71,161,952
Increase (decrease) in Net Assets from share transactions
Addition of 1,875,000 shares		55,053,580			55,053,580
Redemption of 1,000,000 shares		(25,311,110	)		(25,311,110	)
Net Increase (decrease) in Net Assets from share transactions		29,742,470			29,742,470
Increase (decrease) in Net Assets from operations
Net investment income (loss)		(743,302	)		(743,302	)
Net realized gain (loss)		(10,253,439	)		(10,253,439	)
Change in net unrealized gain (loss)		(11,194,715	)		(11,194,715	)
Net Increase (decrease) in Net Assets from operations		(22,191,456	)		(22,191,456	)
Net Assets at End of Period	$	78,712,966		$	78,712,966

See accompanying notes to unaudited interim financial statements.

10

ETF MANAGERS GROUP COMMODITY TRUST I

Combined Statements of Changes in Net Assets

Three Months Ended March 31, 2021 (Unaudited)

	BREAKWAVE DRY BULK SHIPPING ETF			ETF MANAGERS GROUP COMMODITY TRUST I*
Net Assets at Beginning of Period	$	25,180,185		$	25,180,185
Increase (decrease) in Net Assets from share transactions
Addition of 1,250,000 and -0- shares, respectively		21,230,015			21,230,015
Redemption of 1,725,000 and -0- shares, respectively		(23,034,021	)		(23,034,021	)
Net Increase (decrease) in Net Assets from share transactions		(1,804,006	)		(1,804,006	)
Increase (decrease) in Net Assets from operations
Net investment income (loss)		(403,434	)		(403,434	)
Net realized gain (loss)		24,152,831			24,152,831
Change in net unrealized gain (loss)		(1,727,485	)		(1,727,485	)
Net Increase (decrease) in Net Assets from operations		22,021,912			22,021,912
Net Assets at End of Period	$	45,398,091		$	45,398,091

* SIT Rising Rate ETF, which had been a series of the Trust, liquidated as of November 18, 2020.

See accompanying notes to unaudited interim combined financial statements.

11

ETF MANAGERS GROUP COMMODITY TRUST I

Statements of Changes in Net Assets

Nine Months Ended March 31, 2022 (Unaudited)

				ETF
	BREAKWAVE DRY BULK SHIPPING			MANAGERS GROUP COMMODITY
	ETF			TRUST I
Net Assets at Beginning of Period	$	114,077,152		$	114,077,152
Increase (decrease) in Net Assets from share transactions
Addition of 3,850,000 shares		115,135,238			115,135,238
Redemption of 4,525,000 shares		(126,425,873	)		(126,425,873	)
Net increase (decrease) in Net Assets from share transactions		(11,290,635	)		(11,290,635	)
Increase (decrease) in Net Assets from operations
Net investment gain (loss)		(2,493,067	)		(2,493,067	)
Net realized gain (loss)		8,210,121			8,210,121
Change in net unrealized gain (loss)		(29,790,605	)		(29,790,605	)
Net Increase (Decrease) in Net Assets from operations		(24,073,551	)		(24,073,551	)
Net Assets at End of Period	$	78,712,966		$	78,712,966

See accompanying notes to unaudited interim financial statements.

12

ETF MANAGERS GROUP COMMODITY TRUST I

Combined Statements of Changes in Net Assets

Nine Months Ended March 31, 2021 (Unaudited)

	BREAKWAVE DRY BULK SHIPPING ETF			SIT RISING RATE ETF*			COMBINED
Net Assets at Beginning of Period	$	44,275,487		$	5,068,181		$	49,343,668
Increase (decrease) in Net Assets from share transactions
Addition of 1,525,000 and -0- shares, respectively		23,331,316			-			23,331,316
Redemption of 4,575,000 and 250,040 shares, respectively		(45,827,844	)		(4,998,233	)		(50,826,077	)
Net increase (decrease) in Net Assets from share transactions		(22,496,528	)		(4,998,233	)		(27,494,761	)
Increase (decrease) in Net Assets from operations
Net investment income (loss)		(1,041,750	)		(51,269	)		(1,093,019	)
Net realized gain (loss)		30,666,327			(29,138	)		30,637,189
Change in net unrealized gain (loss)		(6,005,445	)		10,459			(5,994,986	)
Net Increase (Decrease) in Net Assets from operations		23,619,132			(69,948	)		23,549,184
Net Assets at End of Period	$	45,398,091		$	-		$	45,398,091

* Period from July 1, 2020 to October 30, 2020 - Sit Rising Rate ETF liquidated as of November 18, 2020.

See accompanying notes to unaudited interim combined financial statements.

13

ETF MANAGERS GROUP COMMODITY TRUST I

Statements of Cash Flows

Nine Months Ended March 31, 2022 (Unaudited)

				ETF
	BREAKWAVE DRY BULK SHIPPING			MANAGERS  GROUP COMMODITY
	ETF			TRUST I
Cash flows provided by (used in) operating activities
Net income (loss)	$	(24,073,551	)	$	(24,073,551	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Net realized loss (gain) on investments		(8,210,121	)		(8,210,121	)
Change in net unrealized loss (gain) on investments		29,790,605			29,790,605
Change in operating assets and liabilities:
Sale (Purchase) of investments, net		3,611,347			3,611,347
Increase in interest receivable		(1,181	)		(1,181	)
Decrease in receivable on open futures contracts		18,374,590			18,374,590
Decrease in prepaid expenses		21,686			21,686
Increase in receivable for Fund shares sold		(16,356,505	)		(16,356,505	)
Increase in Due to Custodian		5,651,233			5,651,233
Decrease in due to Sponsor		(32,977	)		(32,977	)
Decrease in other accrued expenses		(92,813	)		(92,813	)
Net cash provided by (used in) operating activities		8,682,313			8,682,313
Cash flows from financing activities
Proceeds from sale of shares		115,135,238			115,135,238
Paid on redemption of shares		(126,425,873	)		(126,425,873	)
Net cash provided by financing activities		(11,290,635	)		(11,290,635	)
Net increase (decrease) in cash and restricted cash		(2,608,322	)		(2,608,322	)
Cash and restricted cash, beginning of period		50,040,588			50,040,588
Cash and restricted cash, end of period	$	47,432,266		$	47,432,266
The following table provides a reconciliation of cash and restricted cash reported within the Statement of Assets and Liabilities that sum to the total of such amounts shown on the  Statement of Cash Flows.
Cash	$	-		$	-
Segregated cash held by broker		41,781,033			41,781,033
Total cash and restricted cash as shown on the statement of cash flows	$	41,781,033		$	41,781,033

See accompanying notes to unaudited interim financial statements.

14

ETF MANAGERS GROUP COMMODITY TRUST I

Combined Statements of Cash Flows

Nine Months Ended March 31, 2021 (Unaudited)

	BREAKWAVE DRY BULK SHIPPING ETF			SIT RISING RATE ETF*			COMBINED
Cash flows provided by (used in) operating activities
Net income (loss)	$	23,619,132		$	(69,948	)	$	23,549,184
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Net realized gain (loss) on investments		(30,666,327	)		29,138			(30,637,189	)
Change in net unrealized gain (loss) on investments		6,005,445			(10,459	)		5,994,986
Change in operating assets and liabilities:
Sale (Purchase) of investments, net		22,349,540			4,861,090			27,210,630
Decrease in interest receivable		279			-			279
Decrease in options written, at fair value		-			(4,148	)		(4,148	)
Decrease in receivable on open futures contracts		6,005,445			-			6,005,445
Decrease in payable on open futures contracts		-			(5,144	)		(5,144	)
Increase (decrease) in due to Sponsor		56,145			(4,179	)		51,966
Increase in other accrued expenses		312			-			312
Net cash provided by (used in) operating activities		27,369,971			4,796,350			32,166,321
Cash flows from financing activities
Proceeds from sale of shares		23,331,316			-			23,331,316
Paid on redemption of shares		(45,827,844	)		(4,998,233	)		(50,826,077	)
Increase in payable for Fund shares redeemed		235,957			-			235,957
Net cash provided by (used in) financing activities		(22,260,571	)		(4,998,233	)		(27,258,804	)
Net increase (decrease) in cash and restricted cash		5,109,400			(201,883	)		4,907,517
Cash and restricted cash, beginning of period		28,020,391			201,883			28,222,274
Cash and restricted cash, end of period	$	33,129,791		$	-		$	33,129,791
The following table provides a reconciliation of cash and restricted cash reported within the Combined Statement of Assets and Liabilities that sum to the total of such amounts shown on the Combined Statement of Cash Flows.
Cash	$	1,123,395		$	-		$	1,123,395
Segregated cash held by broker		32,006,396			-			32,006,396
Total cash and restricted cash as shown on the statement of cash flows	$	33,129,791		$	-		$	33,129,791

* Period from July 1, 2020 to October 30, 2020 - Sit Rising Rate ETF liquidated as of November 18, 2020.

See accompanying notes to unaudited interim combined financial statements.

15

ETF Managers Group Commodity Trust I

Notes to Interim Financial Statements

March 31, 2022 (unaudited)

(1) Organization

ETF Managers Group Commodity Trust I (the “Trust”) was organized as a Delaware statutory trust on July 23, 2014. The Trust is a series trust formed pursuant to the Delaware Statutory Trust Act and currently consists of one separate series. BREAKWAVE DRY BULK SHIPPING ETF (“BDRY,” the “Fund”), is a commodity pool that continuously issues shares of beneficial interest that may be purchased and sold on NYSE Arca. As described below, SIT RISING RATE ETF (“RISE”) also operated as a series of the Trust, but was closed and liquidated prior to March 31, 2021. The Fund is managed and controlled by ETF Managers Capital LLC (the “Sponsor”), a Delaware limited liability company. The Sponsor is registered with the Commodity Futures Trading Commission (“CFTC”) as a “commodity pool operator” (“CPO”) and is a member of the National Futures Trading Association (“NFA”). Breakwave Advisors, LLC (“Breakwave”) is registered as a “commodity trading advisor” (“CTA”) with the CFTC and serves as BDRY’s commodity trading advisor.

RISE Closure and Liquidation

On October 16, 2020, the Sponsor announced that it would close and liquidate the RISE because of the then current market conditions and the Fund’s asset size. The last day the liquidated fund accepted creation orders was on October 30, 2020. Trading in RISE was suspended after the close of the NYSE Arca on October 30, 2020. Proceeds of the liquidation were sent to shareholders on November 18, 2020 (the “Distribution Date”). From October 30, 2020 through the distribution date, shares of RISE did not trade on the NYSE Arca nor was there a secondary market for the shares. Any shareholders that remained in RISE on the Distribution Date automatically had their shares redeemed for cash at the current net asset value on November 18, 2020.

BDRY commenced investment operations on March 22, 2018. BDRY commenced trading on NYSE Arca on March 22, 2018 and trades under the symbol “BDRY.”

BDRY’s investment objective is to provide investors with exposure to the daily change in the price of dry bulk freight futures, before expenses and liabilities of BDRY, by tracking the performance of a portfolio (the “BDRY Benchmark Portfolio”) consisting of a three-month strip of the nearest calendar quarter of futures contracts on specified indexes (each a “Reference Index”) that measure rates for shipping dry bulk freight (“Freight Futures”). Each Reference Index is published each United Kingdom business day by the London-based Baltic Exchange Ltd. (the “Baltic Exchange”) and measures the charter rate for shipping dry bulk freight in a specific size category of cargo ship – Capesize, Panamax or Supramax. The three Reference Indexes are as follows:

● Capesize: the Capesize 5TC Index;

● Panamax: the Panamax 4TC Index; and

● Supramax: the Supramax 6TC Index.

The value of the Capesize 5TC Index is disseminated at 11:00 a.m., London Time and the value of the Panamax 4TC Index and the Supramax 6TC Index each is disseminated at 1:00 p.m., London Time. The Reference Index information disseminated by the Baltic Exchange also includes the components and value of each component in each Reference Index. Such Reference Index information also is widely disseminated by Reuters and/or other major market data vendors.

BDRY seeks to achieve its investment objective by investing substantially all of its assets in the Freight Futures currently constituting the BDRY Benchmark Portfolio. The BDRY Benchmark Portfolio includes all existing positions to maturity and settles them in cash. During any given calendar quarter, the BDRY Benchmark Portfolio progressively increases its positions to the next calendar quarter three-month strip, thus maintaining constant exposure to the Freight Futures market as positions mature.

16

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 Futures Commission Merchant (“FCM”), ED&F Man Capital Markets, Inc. 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.

BDRY was created to provide investors with a cost-effective and convenient way to gain exposure to daily changes in the price of Freight Futures. BDRY is intended to be used as a diversification opportunity as part of a complete portfolio, not a complete investment program.

The Fund will incur certain expenses in connection with its operations. The Fund will hold cash or cash equivalents such as U.S. Treasuries or other high credit quality, short-term fixed-income or similar securities for direct investment or as collateral for the Freight futures and for other liquidity purposes and to meet redemptions that may be necessary on an ongoing basis. These expenses and income from the cash and cash equivalent holdings may cause imperfect correlation between changes in the Fund’s net asset value (“NAV”) and changes in the Benchmark Portfolio, because the Benchmark Portfolio does not reflect expenses or income.

The Fund seeks to trade its positions prior to maturity; accordingly, natural market forces may cost the Fund while rebalancing. Each time the Fund seeks to reconstitute its positions, barring movement in the underlying securities, the futures and option prices may be higher or lower. Such differences in price, barring a movement in the price of the underlying security, will constitute “roll yield” and may inhibit the Fund’s ability to achieve its respective investment objective.

Several factors determine the total return from investing in a futures contract position. One factor that impacts the total return that will result from investing in near month futures contracts and “rolling” those contracts forward each month is the price relationship between the current near month contract and the next month contract.

The CTA will close existing positions when it determines it would be appropriate to do so and reinvest the proceeds in other positions. Positions may also be closed out to meet orders for redemption baskets.

(2) Summary of Significant Accounting Policies

(a) Basis of Accounting

The accompanying interim combined financial statements of the Fund have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”). The Fund qualifies as an investment company for financial reporting purposes under Topic 946 of the Accounting Standard Codification of U.S. GAAP.

The accompanying interim combined financial statements are unaudited, but in the opinion of management, contain all adjustments (which include normal recurring adjustments) considered necessary to present fairly the interim financial statements. These interim financial statements should be read in conjunction with BDRY’s annual report on Form 10-K for the year ended June 30, 2021 and BDRY’s prospectus dated March 24, 2022 (the “BDRY Prospectus,”). Interim period results are not necessarily indicative of results for a full-year period. 

17

(b) Use of Estimates

The preparation of the interim financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the interim financial statements and accompanying notes. Actual results could differ from those estimates.

(c) Cash

Cash, when shown in the Statements of Assets and Liabilities, represents non-segregated cash with the custodian and does not include short-term investments.

(d) Cash Held by Broker

Breakwave is registered as a “commodity trading advisor” and acts as such for BDRY. The Fund’s arrangement with its FCM requires the Fund to meet its variation margin requirement related to the price movements, both positive and negative, on futures contracts held by the Fund by keeping cash on deposit with the Commodity Broker (as defined below). These amounts are shown as Segregated cash held by broker in the Statements of Assets and Liabilities. The Fund deposits cash or United States Treasury Obligations, as applicable, with its FCM subject to the CFTC regulations and various exchange and broker requirements. The combination of the Fund’s deposits with its FCM of cash and United States Treasury Obligations, as applicable, and the unrealized gain or loss on open futures contracts (variation margin) represents the Fund’s overall equity in its brokerage trading account. The Fund uses its cash held by its FCM to satisfy variation margin requirements. The Fund earns interest on its cash deposited with its FCM and interest income is recorded on the accrual basis.

(e) Final Net Asset Value for Fiscal Period

The calculation time of the Fund’s final net asset value for creation and redemption of Fund shares for the three and nine months ended March 31, 2022 and 2021 was at 4:00 p.m. Eastern Time on March 31, 2022 and 2021, respectively. RISE was liquidated on November 18, 2020 at its final net asset value as of that date.

Although the Fund’s shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, the 4:00 p.m. Eastern Time represented the final opportunity to transact in creation or redemption baskets for the three and nine months ended March 31, 2022 and 2021.

Fair value per share is determined at the close of the NYSE Arca.

For financial reporting purposes, the Fund values its investment positions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these interim financial statements differ from those used in the calculations of the Fund’s final creation/redemption NAVs at March 31, 2022 and 2021.

(f) Investment Valuation

Short-term investments, excluding U.S. Treasury Bills, are carried at amortized cost, which approximates fair value. U.S. Treasury Bills are valued as determined by an independent pricing service based on methods which include consideration of: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions.

Futures and options contracts are valued at the last settled price on the applicable exchange on which that futures and/or options contract trades.

18

(g) Financial Instruments and Fair Value

The Fund discloses the fair value of its investments in accordance with the Financial Accounting Standards Board (“FASB”) fair value measurement and disclosure guidance which requires a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The disclosure requirements establish a fair value hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent to the Fund (observable inputs); and (2) the Fund’s own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the disclosure requirements hierarchy are as follows:

Level I: Quoted prices (unadjusted) in active markets for identical assets and liabilities that the reporting entity has the ability to access at the measurement date.

Level II: Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or indirectly. Level II inputs include the following: quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means (market-corroborated inputs).

Level III: Unobservable pricing input at the measurement date for the asset or liability. Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available.

In some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest input level that is significant to the fair value measurement in its entirety.

Fair value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances indicate that a transaction is not orderly.

The following table summarizes BDRY’s valuation of investments at March 31, 2022 and at June 30, 2021 using the fair value hierarchy:

	March 31, 2022 (unaudited)
	Short-Term Investments		Futures Contracts		Total
Level I – Quoted Prices	$	17,462,227a	$	3,348,980b	$	20,811,207

a – Included in Investments in securities in the Statements of Assets and Liabilities.

b – Included in Receivable on open futures contracts in the Statements of Assets and Liabilities.

	June 30, 2021 (audited)
	Short-Term Investments		Futures   Contracts		Total
Level I – Quoted Prices	$	42,654,058a	$	21,723,570b	$	64,377,628

a – Included in Investments in securities in the Statements of Assets and Liabilities.

b – Included in Receivable on open futures contracts in the Statements of Assets and Liabilities.

Transfers between levels are recognized at the end of the reporting period. During the nine months ended March 31, 2022 and the year ended June 30, 2021, BDRY recognized no transfers from Level 1, Level 2 or Level 3.

19

(h) Investment Transactions and Related Income

Investment transactions are recorded on the trade date. All such transactions are recorded on the identified cost basis, and marked to market daily. Unrealized gain/loss on open futures contracts is reflected in Receivable/Payable on open futures contracts in the Statements of Assets and Liabilities and the change in the unrealized gain/loss between periods is reflected in the Statements of Operations. BDRY’s interest earned on short-term securities and on cash deposited with ED & F Man Capital Markets Inc. is accrued daily and reflected as Interest Income, when applicable, in the Statements of Operations.

(i) Federal Income Taxes

The Fund is registered as a Delaware statutory trust and is treated as a partnership for U.S. federal income tax purposes. Accordingly, the Fund does not expect to incur U.S. federal income tax liability; rather, each beneficial owner is required to take into account their allocable share of the Fund’s income, gain, loss, deductions and other items for the Fund’s taxable year ending with or within the beneficial owner’s taxable year.

Management of the Fund has reviewed the open tax years and major jurisdictions and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns at March 31, 2022 and June 30, 2021. The Fund is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis, management will monitor its tax positions taken to determine if adjustments to its conclusions are necessary based on factors including, but not limited to, further implementation of guidance expected from the FASB and on-going analysis of tax law, regulation, and interpretations thereof. The Fund’s federal tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.

20

(3) Investments

(a) Short-Term Investments

The Fund may purchase U.S. Treasury Bills, agency securities, and other high-credit quality short-term fixed income or similar securities with original maturities of one year or less. A portion of these investments may be used as margin for the Fund’s trading in futures contracts.

(b) Accounting for Derivative Instruments

In seeking to achieve the Fund’s investment objective, the commodity trading advisor uses a mathematical approach to investing. Using this approach, the commodity trading advisor determines the type, quantity and mix of investment positions that it believes in combination should produce returns consistent with the Fund’s objective.

All open derivative positions at March 31, 2022 and at June 30, 2021, as applicable, are disclosed in the Schedules of Investments and the notional value of these open positions relative to the shareholders’ capital of the Fund is generally representative of the notional value of open positions to shareholders’ capital throughout the reporting periods for the Fund. The volume associated with derivative positions varies on a daily basis as the Fund transacts in derivative contracts in order to achieve the appropriate exposure, as expressed in notional value, in comparison to shareholders’ capital consistent with the Fund’s investment objective.

Following is a description of the derivative instruments used by the Fund during the reporting period, including the primary underlying risk exposures.

(c) Futures Contracts

The Fund enters into futures contracts to gain exposure to changes in the value of the Benchmark Portfolio. A futures contract obligates the seller to deliver (and the purchaser to accept) the future cash settlement of a specified quantity and type of a treasury futures contract at a specified time and place. The contractual obligations of a buyer or seller of a treasury futures contract may generally be satisfied by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange before the designated date of delivery.

Upon entering into a futures contract, the Fund is required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction is affected. The initial margin is segregated as Cash held by broker, as disclosed in the Statements of Assets and Liabilities, and is restricted as to its use. Pursuant to the futures contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. The Fund will realize a gain or loss upon closing a futures transaction.

Futures contracts involve, to varying degrees, elements of market risk (specifically freight shipping price risk) and exposure to loss in excess of the amount of variation margin. The face or contract amounts reflect the extent of the total exposure the Fund has in the particular classes of instruments. Additional risks associated with the use of futures contracts include imperfect correlation between movements in the price of the futures contracts and the market value of the underlying securities and the possibility of an illiquid market for a futures contract. With futures contracts, there is minimal counterparty risk to the Fund since futures contracts are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures contracts, guarantees the futures contracts against default.

21

BREAKWAVE DRY BULK SHIPPING ETF

Fair Value of Derivative Instruments, as of March 31, 2022

	Asset Derivatives			Liability Derivatives
Derivatives	Statements of Assets and Liabilities		Fair Value	Statements of Assets and Liabilities	Fair Value
Interest Rate Risk	Receivable on open futures contracts	$	3,348,980*	—	—

* Represents cumulative appreciation of futures contracts as reported in the Statements of Assets and Liabilities.

BREAKWAVE DRY BULK SHIPPING ETF

Fair Value of Derivative Instruments, as of June 30, 2021

	Asset Derivatives			Liability Derivatives
Derivatives	Combined Statements of Assets and Liabilities		Fair Value	Combined Statements of Assets and Liabilities	Fair Value
Interest Rate Risk	Receivable on open futures contracts	$	21,723,570*	—	—

* Represents cumulative appreciation of futures contracts as reported in the Statements of Assets and Liabilities.

22

BREAKWAVE DRY BULK SHIPPING ETF

The Effect of Derivative Instruments on the Statements of Operations

For the Three Months Ended March 31, 2022

Derivatives	Location of Gain (Loss) on Derivatives	Realized Loss on Derivatives Recognized in Income			Change in Unrealized Gain (Loss) on Derivatives Recognized in Income
Interest Rate Risk	Net realized loss on investments and futures and/or Change in unrealized gain (loss) on investments and futures contracts	$	(10,253,439	)	$	(11,194,715	)

The futures contracts open at March 31, 2022 are indicative of the activity for the three months ended March 31, 2022.

BREAKWAVE DRY BULK SHIPPING ETF

The Effect of Derivative Instruments on the Statements of Operations

For the Three Months Ended March 31, 2021

Derivatives	Location of Gain (Loss) on Derivatives	Realized Gain on Derivatives Recognized in Income		Change in Unrealized Gain (Loss) on Derivatives Recognized in Income
Interest Rate Risk	Net realized gain on investments and futures and/or Change in unrealized gain (loss) on investments and futures contracts	$	24,152,831	$	(1,727,485	)

The futures contracts open at March 31, 2021 are indicative of the activity for the three months ended March 31, 2021.

23

BREAKWAVE DRY BULK SHIPPING ETF

The Effect of Derivative Instruments on the Statements of Operations

For the Nine Months Ended March 31, 2022

Derivatives	Location of Gain (Loss) on Derivatives	Realized Gain on Derivatives Recognized in Income		Change in Unrealized Gain (Loss) on Derivatives Recognized in Income
Interest Rate Risk	Net realized gain on investments and futures and/or Change in unrealized gain (loss) on investments and futures contracts	$	8,210,021	$	(29,790,605	)

The futures contracts open at March 31, 2022 are indicative of the activity for the nine months ended March 31, 2022.

BREAKWAVE DRY BULK SHIPPING ETF

The Effect of Derivative Instruments on the Statements of Operations

For the Nine Months Ended March 31, 2021

Derivatives	Location of Gain (Loss) on Derivatives	Realized Gain on Derivatives Recognized in Income		Change in Unrealized Gain (Loss) on Derivatives Recognized in Income
Interest Rate Risk	Net realized gain on investments and futures and/or Change in unrealized gain (loss) on investments and futures contracts	$	30,666,327	$	(6,055,445	)

The futures contracts open at March 31, 2021 are indicative of the activity for the nine months ended March 31, 2021.

24

SIT RISING RATE ETF

The Effect of Derivative Instruments on the Statements of Operations

For the Nine Months Ended March 31, 2021

Derivatives	Location of Gain (Loss) on Derivatives	Realized Loss on Derivatives Recognized in Income			Change in Unrealized Gain (Loss) on Derivatives Recognized in Income
Interest Rate Risk	Net realized loss on investments, futures and options contracts and/or Change in unrealized gain (loss) on investments, futures and options contracts	$	(29,138	)	$	10,459

The operations include the activity of Sit Rising Rate ETF through November 18, 2020, the date of liquidation.

25

(4) Agreements

(a) Management Fee

The Fund pays the Sponsor a sponsor fee (the “Sponsor Fee”) in consideration of the Sponsor’s advisory services to the Fund. Additionally, the Fund pays its commodity trading advisor a license and service fee (the “CTA fee”).

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. 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 through September 30, 2023 (the “BDRY Expense Cap,”). 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.

The waiver of BDRY’s CTA fees, pursuant to the undertaking, amounted to $-0- and $20,752, for the three months ended March 31, 2022 and 2021, respectively, and $-0- and $39,184 for the nine months ended March 31, 2022 and 2021, respectively, as disclosed in the Statements of Operations.

The Fund currently accrues its daily expenses up to the Expense Cap, or if less, at accrual estimates established by the Sponsor. At the end of each month, the accrued amount is remitted to the Sponsor as the Sponsor has assumed, and is responsible for the payment of the routine operational, administrative and other ordinary expenses of the Fund in excess of the Fund’s Expense Cap, which in the case of RISE, aggregated $136,902 for the nine months ended March 31, 2021, as disclosed in the Statements of Operations. In the case of BDRY, expenses absorbed by the sponsor aggregated $-0- and $-0- for the three months ended March 31, 2022 and 2021, respectively, and $-0- and $-0- for the nine months ended March 31, 2022 and 2021, respectively, as disclosed in the Statements of Operations.

(b) The Administrator, Custodian, Fund Accountant and Transfer Agent

The Fund has appointed U.S. Bank, a national banking association, with its principal office in Milwaukee, Wisconsin, as the custodian (the “Custodian”). Its affiliate, U.S. Bancorp Fund Services, is the Fund accountant (“the Fund accountant”) of the Fund, transfer agent (the “Transfer Agent”) for Fund shares and administrator for the Fund (the “Administrator”). It performs certain administrative and accounting services for the Fund and prepares certain SEC, NFA and CFTC reports on behalf of the Fund. (U.S. Bank and U.S. Bancorp Fund Services are referred to collectively hereinafter as “U.S. Bank”).

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 $15,930 and $15,930 for the three months ended March 31, 2022 and 2021, respectively, and $48,511 and $48,498 for the nine months ended March 31, 2022 and 2021, respectively, as disclosed in the Statements of Operations.

Prior to its liquidation RISE paid U.S. Bank $19,486 for the nine months ended March 31, 2021, as disclosed in the Statements of Operations.

(c) The Distributor

The Fund pays 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 Fund’s average daily net assets, payable monthly. Pursuant to the Marketing Agent Agreement between the Sponsor, the Fund and the Distributor, the Distributor assists the Sponsor and the Fund with certain functions and duties relating to distribution and marketing services to the Fund, including reviewing and approving marketing materials and certain regulatory compliance matters. The Distributor also assists with the processing of creation and redemption orders.

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BDRY incurred $3,873 and $3,873 for the three months ended March 31, 2022 and 2021, respectively, and $11,791 and $11,791 for the nine months ended March 31, 2022 and 2021, respectively, as disclosed in the Statements of Operations.

Prior to its liquidation, RISE incurred $5,116 in distribution and related administrative services for the nine months ended March 31, 2021, as disclosed in the Statements of Operations.

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.

BDRY incurred $24,195 and $16,042 in wholesale support fees for the three months ended March 31, 2022 and 2021, respectively, and $88,296 and $46,437 for the nine months ended March 31, 2022 and 2021, respectively, as disclosed in the Statements of Operations.

Prior to its liquidation, RISE also paid the Sponsor an annual fee for wholesale support services equal to 0.1% of RISE’s average daily net assets, payable monthly. Prior to its liquidation, RISE incurred $1,522 for the nine months ended March 31, 2021, as disclosed in the Statements of Operations.

(d) The Commodity Broker

ED&F Man Capital Inc., a Delaware limited liability company, serves as BDRY’s clearing broker (the “Commodity Broker”). In its capacity as clearing broker, the Commodity Broker executes and clears the Funds’ futures transactions and performs certain administrative services for the Fund.

The Fund pays respective brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”) fees, give–up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities in CFTC regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis.

The Sponsor does not expect brokerage commissions and fees to exceed 0.40% (excluding the impact on the Fund of creation and/or redemption activity) of the net asset value of the Fund for execution and clearing services on behalf of the 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. BDRY incurred $140,833 and $115,803 in brokerage commissions and fees for the three months ended March 31, 2022 and 2021, respectively, and $517,171 and $274,845 for the nine months ended March 31, 2022 and 2021, respectively, as disclosed in the Statements of Operations.

Prior to its liquidation, RISE incurred $1,424 in brokerage commissions and fees for the nine months ended March 31, 2021, as disclosed in the Statements of Operations.

(e) The Trustee

Under the Amended and Restated Declaration of Trust and Trust Agreement (the “Trust Agreement”) for the Fund, Wilmington Trust Company, the Trustee of the Fund (the “Trustee”) serves as the sole trustee of the Fund in the State of Delaware. The Trustee will accept service of legal process on the Fund in the State of Delaware and will make certain filings under the Delaware Statutory Trust Act. Under the Trust Agreement for the Fund, the Sponsor has the exclusive management and control of all aspects of the business of the Fund. The Trustee does not owe any other duties to the Fund, the Sponsor or the Shareholders of the Fund. The Trustee has no duty or liability to supervise or monitor the performance of the Sponsor, nor does the Trustee have any liability for the acts or omissions of the Sponsor. BDRY incurred $617 and $617 in trustee fees for the three months ended March 31, 2022 and 2021, respectively, and $1,877 and $1,877 for the nine months ended March 31, 2022 and 2021, respectively, which is included in Other Expenses in the Statements of Operations.

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Prior to its liquidation, RISE incurred $843 in trustee fees for the nine months ended March 31, 2021, which is included in Other Expenses in the Statements of Operations.

(f) Routine Offering, Operational, Administrative and 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 $745,149 and $424,697 for the three months ended March 31, 2022 and 2021, respectively, and $2,496,315 and $1,082,512 for the nine months ended March 31, 2022 and 2021, respectively, in routine offering, operational, administrative or other ordinary expenses.

The CTA fee waiver for BDRY by Breakwave was $-0- and $20,752 for the three months ended March 31, 2022 and 2021, respectively, and $-0- and $39,184 for the nine months ended March 31, 2022 and 2021, respectively.

In addition, the assumption of Fund expenses above the BDRY Expense Cap by the Sponsor, pursuant to the undertaking (as discussed in Note 4a), amounted to $-0- and $-0- for the three months ended March 31, 2022 and 2021, respectively, and $-0- and $-0- for the nine months ended March 31, 2022 and 2021, respectively.

Prior to its liquidation, RISE incurred $193,779 for the nine months ended March 31, 2021, in routine offering, operational, administrative or other ordinary expenses.

Prior to its liquidation, the assumption of Fund expenses above the RISE Expense Cap by the Sponsor, pursuant to the undertaking (as discussed in Note 4a), amounted to $136,902 for the nine months ended March 31, 2021.

(g) Organizational and Offering Costs

Expenses incurred in connection with organizing BDRY and up to the offering of its Shares upon commencement of its investment operations on March 22, 2018, were paid by the Sponsor and Breakwave without reimbursement.

Accordingly, all such expenses are not reflected in the Statements of Operations. The Fund will bear the costs of its continuous offering of Shares and ongoing offering expenses. Such ongoing offering costs will be included as a portion of the Routine Offering, Operational, Administrative and Other Ordinary Expenses. These costs will include registration fees for regulatory agencies and all legal, accounting, printing and other expenses associated therewith. These costs will be accounted for as a deferred charge and thereafter amortized to expense over twelve months on a straight-line basis or a shorter period if warranted. For the three and nine months ended March 31, 2022, BDRY incurred no such expenses.

During the year ended June 30, 2021 the Sponsor, in order to maintain the continuous offering of Shares, undertook to register additional Shares of the Fund, the costs of which were borne by the Fund and aggregated $28,997, of which $26,612 was amortized to expense at March 31, 2022. Amortization of offering costs amounted to $7,150 and $21,768, respectively, for the three and nine months ended March 31, 2022.

(h) Extraordinary Fees and Expenses

The Fund will pay all extraordinary fees and expenses, if any. Extraordinary fees and expenses are fees and expenses which are nonrecurring and unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other unanticipated expenses. Such extraordinary fees and expenses, by their nature, are unpredictable in terms of timing and amount. For the three and nine months ended March 31, 2022 and 2021, respectively, BDRY incurred no such expenses.

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(5) Creations and Redemptions

The Fund issues and redeems Shares from time to time, but only in one or more Creation Baskets. A Creation Basket is a block of 25,000 Shares of each Fund. Baskets may be created or redeemed only by Authorized Participants.

Except when aggregated in Creation Baskets, the Shares are not redeemable securities. Retail investors, therefore, generally will not be able to purchase or redeem Shares directly from or with the Fund. Rather, most retail investors will purchase or sell Shares in the secondary market with the assistance of a broker. Thus, some of the information contained in these Notes to Interim Combined Financial Statements – such as references to the Transaction Fee imposed on creations and redemptions – is not relevant to retail investors.

(a) Transaction Fees on Creation and Redemption Transactions

In connection with orders to create and redeem one or more Creation Baskets, an Authorized Participant is required to pay a transaction fee, or AP Transaction Fee, of $250 per order, which goes directly to the Custodian. The AP Transaction Fees are paid by the Authorized Participants and not by the Fund.

(b) Share Transactions

BREAKWAVE DRY BULK SHIPPING ETF

Summary of Share Transactions for the Three Months Ended March 31, 2022
	Shares			Net Assets Increase
Shares Sold		1,875,000		$	55,053,580
Shares Redeemed		(1,000,000	)		(25,311,110	)
Net Increase		875,000		$	29,742,470

Summary of Share Transactions for the Three Months Ended March 31, 2021
	Shares			Net Assets Decrease
Shares Sold		1,250,000		$	21,230,015
Shares Redeemed		(1,725,000	)		(23,034,021	)
Net Decrease		(475,000	)	$	(1,804,006	)

Summary of Share Transactions for the Nine Months Ended March 31, 2022
	Shares			Net Assets Decrease
Shares Sold		3,850,000		$	115,135,238
Shares Redeemed		(4,525,000	)		(126,425,873	)
Net Decrease		(675,000	)	$	(11,290,635	)

Summary of Share Transactions for the Nine Months Ended March 31, 2021
	Shares			Net Assets Decrease
Shares Sold		1,525,000		$	23,331,316
Shares Redeemed		(4,575,000	)		(45,827,844	)
Net Increase		(3,050,000	)	$	(22,496,528	)

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SIT RISING RATE ETF (PRIOR TO LIQUIDATION ON NOVEMBER 18, 2020)

Summary of Share Transactions for the Nine Months Ended March 31, 2021
	Shares			Net Assets Decrease
Shares Sold	—			$—
Shares Redeemed (Including in Liquidation)		(250,040	)		(4,998,233	)
Net Decrease		(250,040	)	$	(4,998,233	)

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(6) Risk

(a) Investment Related Risk

The NAV of BDRY’s shares relates directly to the value of the futures portfolio, cash and cash equivalents held by BDRY. Fluctuations in the prices of these assets could materially adversely affect the value and performance of an investment in BDRY’s shares. Past performance is not necessarily indicative of future results; all or substantially all of an investment in BDRY could be lost.

The NAV of BDRY’s shares relates directly to the value of futures investments held by BDRY which are materially impacted by fluctuations in changes in spot charter rates. Charter rates for dry bulk vessels are volatile and have declined significantly since their historic highs and may remain at low levels or decrease further in the future.

Futures and options contracts have expiration dates. Before or upon the expiration of a contract, BDRY may be required to enter into a replacement contract that is priced higher or that has less favorable terms than the contract being replaced (see “Negative Roll Risk,” below). The Freight Futures market settles in cash against published indices, so there is no physical delivery against the futures contracts.

Similar to other futures contracts, the Freight Futures curve shape could be either in “contango” (where the futures curve is upward sloping with the next futures price higher than the current one) or “backwardation” (where the next futures price is lower than the current one). Contango curves are generally characterized by negative roll cost, as the expiring contract value is lower that the next prompt contract value, assuming the same lot size. That means there could be losses incurred when the contracts are rolled each period and such losses are independent of the Freight Futures price level.

As of late February, the ongoing conflict between Russia in Ukraine has developed into a war, posing an increasing risk for global economic growth. Major economic sanctions against Russia are having a considerable impact on oil and gas prices, given the dependence of the EU on oil and gas exports out of Russia combined with limited spare capacity of such commodities globally. Energy prices have increased significantly, leading to major inflationary pressures in the major developed countries that rely heavily on oil and gas exports out of Russia. In addition, the combined Russia/Ukraine region account for approximately one quarter of global grain production, one of the main cargoes transported by dry bulk vessels, while coal and iron ore exports out of the region have also been reduced. The above factors can have a material negative impact on demand for dry bulk transportation, while slower economic growth could also negatively affect demand for dry bulk commodities in the rest of the world, leading to lower dry bulk freight rates.

The recent conflict between Russia and Ukraine is having a profound impact on global commodities prices including grain and coal, two of the most important commodities for dry bulk shipping. Given the importance of the region in export volumes for both grains and coal, a prolong stoppage could lead to significantly lower freight rates and thus a decline in freight futures prices and a decline in the value of the Fund. Although coal supplies could potentially be sourced from elsewhere partly mitigating the negative impact of the lost volumes, global grain production capacity is limited, and thus the impact of the lost volumes could not be easily mitigated. In addition, the recent geopolitical turmoil has led to an increase in government protectionism when it comes to commodities, and if such a trend continues, it could lead to lower bulk commodities trading globally over the long term. The impact of such a scenario on dry bulk shipping will be negative, leading to lower spot rates and as a result lower freight futures prices and a decline in the value of the Fund.

(b) Liquidity Risk

In certain circumstances, such as the disruption of the orderly markets for the futures contracts or Financial Instruments in which the Fund invests, the Fund might not be able to dispose of certain holdings quickly or at prices that represent what the market value may have been in an orderly market. Futures and option positions cannot always be liquidated at the desired price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. A market disruption can also make it difficult to liquidate a position. The large size of the positions that the Fund may acquire increases the risk of illiquidity both by making its positions more difficult to liquidate and by potentially increasing losses while trying to do so. Such a situation may prevent the Fund from limiting losses, realizing gains or achieving a high correlation with the Benchmark Portfolio.

(c) Natural Disaster/Epidemic Risk

Natural or environmental disasters, such as earthquakes, fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including pandemics and epidemics (for example, the novel coronavirus COVID-19), have been and can be highly disruptive to economies and markets and have recently led, and may continue to lead, to increased market volatility and significant market losses. Such natural disaster and health crises could exacerbate political, social, and economic risks, and result in significant breakdowns, delays, shutdowns, social isolation, and other disruptions to important global, local and regional supply chains affected, with potential corresponding results on the operating performance of the Fund and its investments. A climate of uncertainty and panic, including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment opportunities, and increases the difficulty of performing due diligence and modeling market conditions, potentially reducing the accuracy of financial projections. Under these circumstances, the Fund may have difficulty achieving its investment objective which may adversely impact performance. Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Fund’s Sponsor and third party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Fund’s investments. These factors can cause substantial market volatility, exchange trading suspensions and closures and can impact the ability of the Fund to complete redemptions and otherwise affect Fund performance and Fund trading in the secondary market. A widespread crisis may also affect the global economy in ways that cannot necessarily be foreseen at the present time. How long such events will last and whether they will continue or recur cannot be predicted. Impacts from these events could have significant impact on the Fund’s performance, resulting in losses to the Fund.

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(d) Risk that Current Assumptions and Expectations Could Become Outdated as a result of Global Economic Shocks

The onset of the novel coronavirus (COVID-19) has caused significant shocks to global financial markets and economies, with many governments taking extreme actions to slow and contain the spread of COVID-19. These actions have had, and may continue to have, a severe economic impact on global economies as economic activity in some instances has essentially ceased at times. Financial markets across the globe have experienced, and may continue to experience, severe distress at least equal to what was experienced during the global financial crisis in 2008.

The global economic shocks recently experienced and which may continue to be experienced may cause the underlying assumptions and expectations of the Fund to become outdated quickly or inaccurate, resulting in significant losses.

(7) Profit and Loss Allocations and Distributions

Pursuant to the Trust Agreement, income and expenses are allocated pro rata among the Shareholders monthly based on their respective percentage interests as of the close of the last trading day of the preceding month. Any losses allocated to the Sponsor which are in excess of the Sponsor’s capital balance are allocated to the Shareholders in accordance with their respective interest in the Fund as a percentage of total Shareholders’ capital. Distributions (other than redemption of units) may be made at the sole discretion of the Sponsor on a pro rata basis in accordance with the respective interests of the Shareholders.

(8) Indemnifications

The Sponsor, either in its own capacity or in its capacity as the Sponsor and on behalf of the Fund, has entered into various service agreements that contain a variety of representations, or provide indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Fund. As of March 31, 2022, the Fund had not received any claims or incurred any losses pursuant to these agreements and expects the risk of such losses to be remote.

(9) Termination

The term of the Fund is perpetual unless terminated earlier in certain circumstances as described in the Prospectus.

On October 16, 2020, the Sponsor announced that it would close and liquidate the SIT RISING RATE ETF (“RISE”) because of current market conditions and the Fund’s asset size. The last day the liquidated fund accepted creation orders was on October 30, 2020. Trading in RISE was suspended after the close of the NYSE Arca on October 30, 2020. Proceeds of the liquidation were sent to shareholders on November 18, 2020 (the “Distribution Date”). From October 30, 2020 through the distribution date, shares of RISE did not trade on the NYSE Arca nor was there a secondary market for the shares. Any shareholders that remained in RISE on the Distribution Date automatically had their shares redeemed for cash at the current net asset value on November 18, 2020.

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(10) Net Asset Value and Financial Highlights

The Funds are presenting, as applicable, the following net asset value and financial highlights related to investment performance for a Share outstanding throughout the three month and nine months ended March 31, 2022 and March 31, 2021, respectively. The net investment income and total expense ratios are calculated using average net assets. The net asset value presentation is calculated by dividing each Fund’s net assets by the average daily number of Shares outstanding. The net investment income (loss) and expense ratios have been annualized. The total return is based on the change in net asset value and market value of the Shares during the period. An individual investor’s return and ratios may vary based on the timing of their transactions in Fund Shares.

	BREAKWAVE DRY BULK SHIPPING ETF
	THREE MONTHS ENDED
	MARCH 31, 2022			MARCH 31, 2021
Net Asset Value
Net asset value per Share, beginning of period	$	29.65		$	7.93
Net investment income (loss)		(0.29	)		(0.16	)
Net realized and unrealized gain (loss)		(5.32	)		9.04
Net Income (Loss)		(5.62	)		8.88
Net Asset Value per Share, end of period		24.03		$	16.81
Market Value per Share, end of period	$	24.18		$	16.92
Ratios to Average Net Assets*
Expense Ratio***		4.96	%		4.91	%
Expense Ratio*** before Waiver/Assumption		4.96	%		5.16	%
Net Investment Income (Loss)		(4.95	)%		(4.90	)%
Total Return, at Net Asset Value**		(18.94	)%		111.98	%
Total Return, at Market Value**		(18.01	)%		119.74	%

* Percentages are annualized

** Percentages are not annualized

*** Since inception (March 22, 2018), Fund expenses have been capped at 3.50% of average daily net assets, plus brokerage commissions, interest expense, and extraordinary expenses.

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	BREAKWAVE DRY BULK SHIPPING ETF
	NINE MONTHS ENDED
	MARCH 31, 2022			MARCH 31, 2021
Net Asset Value
Net asset value per Share, beginning of period	$	28.88		$	7.70
Net investment income (loss)		(0.88	)		(0.31	)
Net realized and unrealized gain (loss)		(3.97	)		9.42
Net Income (Loss)		(4.85	)		9.11
Net Asset Value per Share, end of period		24.03			16.81
Market Value per Share, end of period	$	24.18		$	16.92
Ratios to Average Net Assets*
Expense Ratio***		4.31	%		4.52	%
Expense Ratio*** before Waiver/Assumption		4.31	%		4.69	%
Net Investment Income (Loss)		(4.30	)%		(4.52	)%
Total Return, at Net Asset Value**		(16.79	)%		118.31	%
Total Return, at Market Value**		(17.61	)%		128.96	%

* Percentages are annualized

** Percentages are not annualized

*** For Breakwave Dry Bulk Shipping ETF, as of inception (March 22, 2018), Fund expenses have been capped at 3.50% of average daily net assets, plus brokerage commissions, interest expense, and extraordinary expenses.

(11) Subsequent Events

In preparing these financial statements, the Fund has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issued. This evaluation did not result in any subsequent events that necessitated disclosures and/or adjustments to the financial statements.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.

This information should be read in conjunction with the financial statements and notes included in Item 1 of Part I of this Quarterly Report (the “Report”). The discussion and analysis which follows may contain trend analysis and other forward-looking statements within the meaning of Section 21E of the Securities Exchange Act of 1934 which reflect our current views with respect to future events and financial results. Words such as “anticipate,” “expect,” “intend,” “plan,” “believe,” “seek,” “outlook” and “estimate,” as well as similar words and phrases, signify forward-looking statements. ETF Managers Group Commodity Trust I’s forward-looking statements are not guarantees of future results and conditions, and important factors, risks and uncertainties may cause our actual results to differ materially from those expressed in our forward-looking statements.

You should not place undue reliance on any forward-looking statements. Except as expressly required by the Federal securities laws, ETF Managers Capital, LLC undertakes no obligation to publicly update or revise any forward-looking statements or the risks, uncertainties or other factors described in this Report, as a result of new information, future events or changed circumstances or for any other reason after the date of this Report.

Overview

The Trust is a Delaware statutory trust formed on July 23, 2014. The Trust is a series trust formed pursuant to the Delaware Statutory Trust Act and currently includes one series: Breakwave Dry Bulk Shipping ETF (“BDRY,” or the “Fund”), is a commodity pool that continuously issues shares of beneficial interest that may be purchased and sold on the NYSE Arca.

The Fund is managed and controlled by ETF Managers Capital LLC (the “Sponsor”), a single member limited liability company that was formed in the state of Delaware on June 12, 2014. The Fund pays the Sponsor a management fee. The Sponsor, the Trust, and the Fund maintain their main business offices at 30 Maple Street, Suite 2, Summit, NJ 07901. The Sponsor’s telephone number is (908) 897-0518.

The Sponsor is a wholly-owned subsidiary of Exchange Traded Managers Group LLC (“ETFMG”), a limited liability company domiciled and headquartered in New Jersey.

The Sponsor has the power and authority to establish and designate one or more series and to issue shares thereof, from time to time as it deems necessary or desirable. The Sponsor has exclusive power to fix and determine the relative rights and preferences as between the shares of any series as to the right of redemption, special and relative rights as to dividends and other distributions and on liquidation, conversion rights, and conditions under which the series shall have separate voting rights or no voting rights. The term for which the Trust is to exist commenced on the date of the filing of the Certificate of Trust, and the Trust, the Fund, and any additional series created in the future will exist in perpetuity, unless earlier terminated in accordance with the provisions of the Trust Agreement. Separate and distinct records shall be maintained for each Fund and the assets associated with a Fund shall be held in such separate and distinct records (directly or indirectly, including a nominee or otherwise) and accounted for in such separate and distinct records separately from the assets of any other series. The Fund and each future series will be separate from all such series in respect of the assets and liabilities allocated to a Fund and each separate series and will represent a separate investment portfolio of the Trust.

The Fund is a “commodity pool” as defined by the Commodity Exchange Act (“CEA”). Consequently, the Sponsor has registered as a commodity pool operator (“CPO”) with the Commodity Futures Trading Commission (“CFTC”) and is a member of the National Futures Association (“NFA”).

The sole Trustee of the Trust is Wilmington Trust, N.A. (the “Trustee”), and the Trustee serves as the Trust’s corporate trustee as required under the Delaware Statutory Trust Act (“DSTA”). The Trustee’s principal offices are located at 1100 North Market Street, Wilmington, Delaware 19890. The Trustee is unaffiliated with the Sponsor. The rights and duties of the Trustee and the Sponsor with respect to the offering of the Shares and Fund management and the shareholders are governed by the provisions of the DSTA and by the Trust Agreement.

BDRY commenced trading on NYSE Arca on March 22, 2018 and trades under the symbol “BDRY”.

The Fund is designed and managed to track the performance of a portfolio (a “Benchmark Portfolio”) consisting of futures contracts (the “Benchmark Component Instruments”).

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Breakwave Dry Bulk Shipping ETF

The Investment Objective of the Fund

BDRY’s investment objective is to provide investors with exposure to the daily change in the price of dry bulk freight futures by tracking the performance of a portfolio (the “BDRY Benchmark Portfolio” and consisting of exchange-cleared futures contracts on the cost of shipping dry bulk freight (“Freight Futures”). BDRY seeks to achieve its investment objective by investing substantially all of its assets in the Freight Futures currently constituting the BDRY Benchmark Portfolio.

The Benchmark Portfolio

The BDRY Benchmark Portfolio is maintained by Breakwave Advisors LLC (“Breakwave”), which also serves as BDRY’s CTA. The BDRY Benchmark Portfolio consists of the Freight Futures, which are a three-month strip of the nearest calendar quarter of futures contracts on specified indexes (each a “Reference Index”) that measure rates for shipping dry bulk freight. Each Reference Index is published each United Kingdom business day by the London-based Baltic Exchange Ltd. (the “Baltic Exchange”) and measures the charter rate for shipping dry bulk freight in a specific size category of cargo ship – Capesize, Panamax or Supramax. The three Reference Indexes are as follows:

● Capesize: the Capesize 5TC Index;

● Panamax: the Panamax 4TC Index; and

● Supramax: the Supramax 6TC Index.

The BDRY Benchmark Component Instruments currently constituting the BDRY Benchmark Portfolio as of March 31, 2022 include:

Name	Ticker	Market Value USD
Baltic Panamax T/C Average Shipping Route Apr 22	BFFAP J22 Index	$	7,753,440
Baltic Panamax T/C Average Shipping Route May 22	BFFAP K22 Index		8,127,250
Baltic Panamax T/C Average Shipping Route Jun 22	BFFAP M22 Index		8,089,840
Baltic Supramax Average Shipping Route Apr 22	S58FM J22 Index		1,824,480
Baltic Supramax Average Shipping Route May 22	S58FM K22 Index		1,878,240
Baltic Supramax Average Shipping Route Jun 22	S58FM M22 Index		1,851,480
Baltic Capesize Time Charter Apr 22	BFFATC J22 Index		8,142,750
Baltic Capesize Time Charter May 22	BFFATC K22 Index		11,263,500
Baltic Capesize Time Charter Jun 22	BFFATC M22 Index		12,849,000

The value of the Capesize 5TC Index is disseminated at 11:00 a.m., London Time and the value of the Panamax 4TC Index and the Supramax 6TC Index each is disseminated at 1:00 p.m., London Time. The Reference Index information disseminated by the Baltic Exchange also includes the components and value of each component in each Reference Index. Such Reference Index information also is widely disseminated by Reuters and/or other major market data vendors.

BDRY seeks to achieve its investment objective by investing substantially all of its assets in the Freight Futures currently constituting the BDRY Benchmark Portfolio. The BDRY Benchmark Portfolio will include all existing positions to maturity and settle them in cash. During any given calendar quarter, the BDRY Benchmark Portfolio will progressively increase its position to the next calendar quarter three-month strip, thus maintaining constant exposure to the Freight Futures market as positions mature.

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The BDRY Benchmark Portfolio will maintain long-only positions in Freight Futures. The BDRY Benchmark Portfolio will include a combination of Capesize, Panamax and Supramax Freight Futures. More specifically, the BDRY 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 BDRY 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 BDRY 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.

BDRY will hold cash or cash equivalents such as U.S. Treasuries or other high credit quality, short-term fixed-income or similar securities for direct investment or as collateral for the freight futures contracts and for other liquidity purposes and to meet redemptions that may be necessary on an ongoing basis. The Fund may also realize interest income from its holdings in U.S. Treasuries or other market rate instruments.

The Sponsor

ETF Managers Capital, LLC is the sponsor of the Trust and the Fund. The Sponsor is a Delaware limited liability company, formed on June 12, 2014. The principal office is located at 30 Maple Street, Suite 2, Summit, NJ 07901. The Sponsor is registered as a commodity pool operator (“CPO”) with the Commodity Futures Trading Commission (“CFTC”) and became a member of the National Futures Association (“NFA”) on September 23, 2014. The Trust and the Fund operate pursuant to the Trust Agreement.

The Sponsor is a wholly-owned subsidiary of Exchange Traded Managers Group LLC (“ETFMG”), a limited liability company domiciled and headquartered in New Jersey. The Sponsor maintains its main business office at 30 Maple Street, Suite 2, Summit, NJ 07901.

Under the Trust Agreement, the Sponsor has exclusive management and control of all aspects of the Trust’s business. The Trustee has no duty or liability to supervise the performance of the Sponsor, nor will the Trustee have any liability for the acts or omissions of the Sponsor. The shareholders have no voice in the day to day management of the business and operations of the Fund and the Trust, other than certain limited voting rights as set forth in the Trust Agreement. In the course of its management of the business and affairs of the Fund and the Trust, the Sponsor may, in its sole and absolute discretion, appoint an affiliate or affiliates of the Sponsor as additional sponsors and retain such persons, including affiliates of the Sponsor, as it deems necessary to effectuate and carry out the purposes, business and objectives of the Trust.

Breakwave Dry Bulk Shipping ETF

During the three months ended March 31, 2022, freight rate volatility eased as dry bulk freight rates seasonally declined due to lower demand for iron ore transportation. The Baltic Dry Index, an index that tracks global spot rates for dry bulk, dropped in January before recovering in the second half of the quarter, ending the period marginally higher. Bad weather in Brazil, a major iron ore exporting region, negatively affected export volumes, and thus demand for transportation. Partial offset to such weakness was stronger demand for coal transportation, as the ongoing war in Ukraine and the related sanctions on Russia led to an increase in demand for coal from other regions. Small size bulkers saw much of the trade demand, and thus, rates for such segments remained elevated during the period. Overall, the Baltic Dry Index averaged approximately 18% above last year’s level.

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During the three months ended March 31, 2022, freight futures also followed spot rates closely, and freight futures prices declined across the board. At the end of the quarter, the futures curve indicated much stronger rates for the second quarter of 2022 versus the first quarter of 2022, something that is partially explained by seasonality. Yet, the futures curve at the end of the quarter remained in steep contango, indicating optimism about the future but also presenting a relatively higher risk if spot rates fail to match the level that the futures are indicating. BDRY closely tracked the performance of short-term dry bulk freight futures, leading to higher volatility of the Fund’s NAV per share during the period. BDRY ended 18% lower.

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR BENCHMARK PORTFOLIO LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

The per Share market value of BDRY and its NAV tracked closely for the three months ended March 31, 2022.

 

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR BENCHMARK PORTFOLIO LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

The per Share market value of BDRY and its NAV tracked closely for the three months ended March 31, 2021.

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NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR BENCHMARK PORTFOLIO LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

The per Share market value of BDRY and its NAV tracked closely for the nine months ended March 31, 2022.

 

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR BENCHMARK PORTFOLIO LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

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The per Share market value of BDRY and its NAV tracked closely for the nine months ended March 31, 2021.

 

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR BENCHMARK PORTFOLIO LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR BENCHMARK PORTFOLIO LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

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NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR BENCHMARK PORTFOLIO LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

  

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR BENCHMARK PORTFOLIO LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

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The graphs above compare the returns of BDRY with the benchmark portfolio returns for the three months ended March 31, 2022 and 2021, and the nine months ended March 31, 2022 and 2021. The difference in the NAV price and the benchmark value often results in the appearance of a NAV premium or discount to the benchmark. Differences in the benchmark return and the BDRY net asset value per share are due primarily to the following factors:

● Benchmark portfolio uses settlement prices of freight futures vs. BDRY closing Share price,

● Benchmark portfolio roll methodology assumes rolls that can happen even at fractions of lots vs. BDRY that uses the real minimum market lot available (5 lots per month),

● Benchmark portfolio assumes rolls are happening at the settlement price of the day vs. that buys at a transaction price during the day that might or might not be equal to the settlement price,

● Benchmark portfolio assumes no trading commissions vs. BDRY that pays 10bps for each transaction,

● Benchmark portfolio assumes no clearing fees vs. BDRY that pays approximately 3-5bps of total clearing fees for each trade,

● Benchmark portfolio assumes no management fees vs. BDRY fee structure of 3.5% of average net assets on an annualized basis, and

● Creations and redemptions that lead to transactions that occur at prices that might be different than the settlement prices

There are no competitors. BDRY is the only Freight futures ETF globally.

FOR THE THREE MONTHS ENDED MARCH 31, 2022

Fund Share Price Performance

During the three months ended March 31, 2022, the NYSE Arca market value of each Share decreased (-18.01%) from $29.49 per Share, representing the closing trade on December 31, 2021, to $24.18 per Share, representing the closing price on March 31, 2022. The Share price high and low for the three months ended March 31, 2022 and related change from the closing Share price on December 31, 2021 were as follows: Shares traded from a high of $29.67 per Share (+0.61%) on January 3, 2022 to a low of $19.29 per Share (-34.59%) on January 19, 2022.

Fund Share Net Asset Performance

For the three months ended March 31, 2022, the net asset value of each Share decreased (-18.94%) from $29.65 per Share to $24.03 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, 2022.

Net loss for the three months ended March 31, 2022, was $22,191,456, resulting from net realized losses on investments and futures contracts of $10,253,439, unrealized losses on futures contracts of $11,194,715 and the net investment loss of $743,302.

FOR THE THREE MONTHS ENDED MARCH 31, 2021

Fund Share Price Performance

During the three months ended March 31, 2021, the NYSE Arca market value of each Share increased (+119.74%) from $7.70 per Share, representing the closing trade on December 31, 2020, to $16.92 per Share, representing the closing price on March 31, 2021. The Share price high and low for the three months ended March 31, 2021 and related change from the closing Share price on December 31, 2020 were as follows: Shares traded from a high of $20.84 per Share (+170.65%) on March 18, 2021 to a low of $8.00 per Share (+3.90%) on January 4, 2021.

Fund Share Net Asset Performance

For the three months ended March 31, 2021, the net asset value of each Share increased (+111.98%) from $7.93 per Share to $16.81 per Share. Gains in the investments and futures contracts more than offset the net investment loss resulting in the overall increase in the NAV per Share during the three months ended March 31, 2021.

Net income for the three months ended March 31, 2021, was $22,021,912, resulting from net realized gains on investments and futures contracts of $24,152,831, unrealized losses on futures contracts of $1,727,485 and the net investment loss of $403,434.

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FOR THE NINE MONTHS ENDED MARCH 31, 2022

Fund Share Price Performance

During the nine months ended March 31, 2022, the NYSE Arca market value of each Share decreased (-17.61%) from $29.35 per Share, representing the closing trade on June 30, 2021, to $24.18 per Share, representing the closing price on March 31, 2022. The Share price high and low for the nine months ended March 31, 2022 and related change from the closing Share price on June 30, 2021 were as follows: Shares traded from a high of $42.22 per Share (+43.85%) on October 6, 2021 to a low of $19.12 per Share (-34.86%) on November 16, 2021.

Fund Share Net Asset Performance

For the nine months ended March 31, 2022, the net asset value of each Share decreased (-16.78%) from $28.88 per Share to $24.03 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, 2022.

Net loss for the nine months ended March 31, 2022, was $24,073,551, resulting from net realized gains on investments and futures contracts of $8,210,121, unrealized losses on futures contracts of $29,790,605 and the net investment loss of $2,493,067. 

FOR THE NINE MONTHS ENDED MARCH 31, 2021

Fund Share Price Performance

During the nine months ended March 31, 2021, the NYSE Arca market value of each Share increased (+128.96%) from $7.39 per Share, representing the closing trade on June 30, 2020, to $16.92 per Share, representing the closing price on March 31, 2021. The Share price high and low for the nine months ended March 31, 2021 and related change from the closing Share price on June 30, 2020 were as follows: Shares traded from a high of $20.84 per Share (+182.00%) on March 18, 2021 to a low of $6.10 per Share (-17.46%) on December 3, 2020.

Fund Share Net Asset Performance

For the nine months ended March 31, 2021, the net asset value of each Share increased (+118.31%) from $7.70 per Share to $16.81 per Share. Gains in the investments and futures contracts more than offset the net investment loss resulting in the overall increase in the NAV per Share during the nine months ended March 31, 2021.

Net income for the nine months ended March 31, 2021, was $23,619,132, resulting from net realized gains on investments and futures contracts of $30,666,327, unrealized losses on futures contracts of $6,005,445 and the net investment loss of $1,041,750. 

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Calculating NAV

The Fund’s NAV is calculated by:

● Taking the current market value of its total assets;

● Subtracting any liabilities; and

● Dividing that total by the total number of outstanding shares.

The Administrator calculates the NAV of the Fund once each NYSE Arca trading day. The NAV for a particular trading day is released after 4:00 p.m. E.T. Trading during the core trading session on the NYSE Arca typically closes at 4:00 p.m. E.T. The Administrator uses the Baltic Exchange settlement price for the Freight Futures and option contracts. The Administrator calculates or determines the value of all other Fund investments using market quotations, if available, or other information customarily used to determine the fair value of such investments as of the close of the NYSE Arca (normally 4:00 p.m. E.T.), in accordance with the current Administrative Agency Agreement among U.S. Bancorp Fund Services, the Fund and the Sponsor.

In addition, in order to provide updated information relating to the Fund for use by investors and market professionals, an updated indicative fund value (“IFV”) is made available through on-line information services throughout the core trading session hours of 9:30 a.m. E.T. to 4:00 p.m. E.T. on each trading day. The IFV is calculated by using the prior day’s closing NAV per share of the Fund as a base and updating that value throughout the trading day to reflect changes in the most recently reported trade price for the futures and/or options held by the Fund. Certain Freight Futures brokers provide real time pricing information to the general public either through their websites or through data vendors such as Bloomberg or Reuters. The IFV disseminated during NYSE Arca core trading session hours should not be viewed as an actual real time update of the NAV, because the NAV is calculated only once at the end of each trading day based upon the relevant end of day values of the Fund’s investments.

The IFV is disseminated on a per share basis every 15 seconds during regular NYSE Arca core trading session hours. The customary trading hours of the Freight Futures trading are 3:00 a.m. E.T. to 12:00 p.m. E.T. This means that there is a gap in time at the beginning and/or the end of each day during which a Fund’s shares are traded on the NYSE Arca, but real-time trading prices for contracts are not available. During such gaps in time the IFV will be calculated based on the end of day price of such contracts from the Baltic Exchange immediately preceding the trading session. In addition, other investments held by the Fund will be valued by the Administrator, using rates and points received from client-approved third party vendors (such as Reuters and WM Company) and advisor or broker-dealer quotes. These investments will not be included in the IFV.

The NYSE Arca disseminates the IFV through the facilities of CTA/CQ High Speed Lines. In addition, the IFV is published on the NYSE Arca’s website and is available through on-line information services such as Bloomberg and Reuters.

Dissemination of the IFV provides additional information that is not otherwise available to the public and is useful to investors and market professionals in connection with the trading of the Fund’s shares on the NYSE Arca. Investors and market professionals are able throughout the trading day to compare the market price of the Fund’s shares and the IFV. If the market price of the Fund’s shares diverges significantly from the IFV, market professionals will have an incentive to execute arbitrage trades. For example, if the Fund’s shares appear to be trading at a discount compared to the IFV, a market professional could buy the Fund shares on the NYSE Arca and take the opposite position in Freight Futures. Such arbitrage trades can tighten the tracking between the market price of the Fund’s shares and the IFV and thus can be beneficial to all market participants.

Critical Accounting Policies

The Fund’s critical accounting policies are as follows:

Preparation of the financial statements and related disclosures in accordance with U.S. generally accepted accounting principles requires the application of appropriate accounting rules and guidance, as well as the use of estimates. The Funds’ application of these policies involves judgments and the use of estimates. Actual results may differ from the estimates used and such differences could be material. The Fund holds a significant portion of its assets in futures contracts and money market funds, which are held at fair value.

The Fund calculates its net asset value as of the NAV Calculation Time as described above.

The values which are used by the Fund for its Freight Futures are provided by the Fund’s commodity broker, which uses market prices when available. In addition, the Fund estimates interest income on a daily basis using prevailing rates earned on its cash and cash equivalents. These estimates are adjusted to the actual amount received on a monthly basis and the difference, if any, is not considered material.

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Credit Risk

When the Fund enters into Benchmark Component Instruments, it will be exposed to the credit risk that the counterparty will not be able to meet its obligations. For purposes of credit risk, the counterparty for the Benchmark Component Instruments traded on or cleared by the Baltic Exchange and other futures exchanges is the clearinghouse associated with those exchanges. In general, clearinghouses are backed by their members who may be required to share in the financial burden resulting from the nonperformance of one of their members, which should significantly reduce credit risk. There can be no assurance that any counterparty, clearinghouse, or their financial backers will satisfy their obligations to the Fund.

The Sponsor will attempt to minimize certain of these market and credit risks by normally:

● executing and clearing trades with creditworthy counterparties, as determined by the Sponsor;

● limiting the outstanding amounts due from counterparties of the Funds;

● not posting margin directly with a counterparty;

● limiting the amount of margin or premium posted at the FCM; and

● ensuring that deliverable contracts are not held to such a date when delivery of an underlying asset could be called for.

The Commodity Exchange Act (“CEA”) requires all FCMs, such as the Fund’s clearing brokers, to meet and maintain specified fitness and financial requirements, to segregate customer funds from proprietary funds and account separately for all customers’ funds and positions, and to maintain specified books and records open to inspection by the staff of the CFTC. The CFTC has similar authority over introducing brokers, or persons who solicit or accept orders for commodity interest trades but who do not accept margin deposits for the execution of trades. The CEA authorizes the CFTC to regulate trading by FCMs and by their officers and directors, permits the CFTC to require action by exchanges in the event of market emergencies, and establishes an administrative procedure under which customers may institute complaints for damages arising from alleged violations of the CEA. The CEA also gives the states powers to enforce its provisions and the regulations of the CFTC.

On November 14, 2013, the CFTC published final regulations that require enhanced customer protections, risk management programs, internal monitoring and controls, capital and liquidity standards, customer disclosures and auditing and examination programs for FCMs. The rules are intended to afford greater assurances to market participants that customer segregated funds and secured amounts are protected, customers are provided with appropriate notice of the risks of futures trading and of the FCMs with which they may choose to do business, FCMs are monitoring and managing risks in a robust manner, the capital and liquidity of FCMs are strengthened to safeguard the continued operations and the auditing and examination programs of the CFTC and the self-regulatory organizations are monitoring the activities of FCMs in a thorough manner.

Liquidity and Capital Resources

The Fund does not anticipate making use of borrowings or other lines of credit to meet its obligations. The Fund meets its liquidity needs in the normal course of business from the proceeds of the sale of its investments or from the cash, and/or cash equivalents that it holds. The Fund’s liquidity needs include: redeeming its shares, providing margin deposits for existing Benchmark Component Instruments, the purchase of additional Benchmark Component Instruments, and paying expenses.

The Fund generates cash primarily from (i) the sale of Creation Baskets and (ii) interest earned on cash, cash equivalents and its investments in collateralizing Treasury Securities, if any. Generally, all of the net assets of the Fund is allocated to trading in Benchmark Component Instruments. Most of the assets of the Fund are held in cash and/or cash equivalents that could or are used as margin or collateral for trading in Benchmark Component Instruments. The percentage that such assets bear to the total net assets will vary from period to period as the market values of the Benchmark Component Instruments change. Interest earned on interest-bearing assets of the Fund are paid to the Fund. Due to the continuing economic uncertainty due to the impact of the COVID-19 pandemic, the Fund has experienced a significant decrease in interest rates, and as such the Fund is experiencing a higher breakeven year over year.

The investments of the Fund in Benchmark Component Instruments could be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. Such conditions could prevent the Fund from promptly liquidating a position in Benchmark Component Instruments.

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Market Risk

Trading in Benchmark Component Instruments such as freight futures contracts will involve the Fund entering into cash settled futures contracts. As a result, the Fund’s market risk is the risk of loss arising from the decline in value of the contracts. The Fund considers the “fair value” of derivative instruments to be the unrealized gain or loss on the contracts. The market risk associated with the settlement of contracts will be limited to the aggregate face amount of the contracts held or cash settled.

The exposure of the Fund to market risk will depend on a number of factors including the markets for the specific instrument, the volatility of freight rates, the liquidity of the instrument-specific market and the relationships among the contracts held by the Fund.

Regulatory Environment

The regulation of futures markets, futures contracts, and futures exchanges has historically been comprehensive. The CFTC and the exchanges are authorized to take extraordinary actions in the event of a market emergency including, for example, the retroactive implementation of speculative position limits, increased margin requirements, the establishment of daily price limits and the suspension of trading.

The regulation of commodity interest transactions in the United States is an evolving area of law and is subject to ongoing modification by governmental and judicial action. Considerable regulatory attention has been focused on non-traditional investment pools that are publicly distributed in the United States. There is a possibility of future regulatory changes within the United States altering, perhaps to a material extent, the nature of an investment in the Fund, or the ability of the Fund to continue to implement its investment strategies. In addition, various national governments outside of the United States have expressed concern regarding the disruptive effects of speculative trading in the commodities markets and the need to regulate the derivatives markets in general. The effect of any future regulatory change on the Fund is impossible to predict but could be substantial and adverse.

The CFTC possesses exclusive jurisdiction to regulate the activities of commodity pool operators and commodity trading advisors with respect “commodity interests,” such as futures, swaps and options, and has adopted regulations with respect to the activities of those persons and/or entities. Under the CEA, a registered CPO, such as the Sponsor, is required to make annual filings with the CFTC and NFA describing its organization, capital structure, management and controlling persons. In addition, the CEA authorizes the CFTC to require and review books and records of, and documents prepared by, registered CPOs. Pursuant to this authority, the CFTC requires CPOs to keep accurate, current and orderly records for each pool that they operate. The CFTC may suspend the registration of a commodity pool operator (1) if the CFTC finds that the operator’s trading practices tend to disrupt orderly market conditions, (2) if any controlling person of the operator is subject to an order of the CFTC denying such person trading privileges on any exchange, and (3) in certain other circumstances. Suspension, restriction or termination of the Sponsor’s registration as a commodity pool operator would prevent it, until that registration were to be reinstated, from managing the Fund, and might result in the termination of the Fund if a successor sponsor is not elected pursuant to the Trust Agreement.

The Fund’s investors are afforded prescribed rights for reparations under the CEA. Investors may also be able to maintain a private right of action for violations of the CEA. The CFTC has adopted rules implementing the reparation provisions of the CEA, which provide that any person may file a complaint for a reparations award with the CFTC for violation of the CEA against a floor broker or an FCM, introducing broker, commodity trading advisor, CPO, and their respective associated persons.

Pursuant to authority in the CEA, the NFA has been formed and registered with the CFTC as a registered futures association. At the present time, the NFA is the only self-regulatory organization for commodity interest professionals, other than futures exchanges. The CFTC has delegated to the NFA responsibility for the registration of CPOs and FCMs and their respective associated persons. The Sponsor and the Fund’s clearing broker are members of the NFA. As such, it will be subject to NFA standards relating to fair trade practices, financial condition and consumer protection. The NFA also arbitrates disputes between members and their customers and conducts registration and fitness screening of applicants for membership and audits of its existing members. Neither the Trust nor the Fund are required to become a member of the NFA.

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The regulations of the CFTC and the NFA prohibit any representation by a person registered with the CFTC or by any member of the NFA, that registration with the CFTC, or membership in the NFA, in any respect indicates that the CFTC or the NFA has approved or endorsed that person or that person’s trading program or objectives. The registrations and memberships of the parties described in this summary must not be considered as constituting any such approval or endorsement. Likewise, no futures exchange has given or will give any similar approval or endorsement.

Futures exchanges in the United States are subject to varying degrees of regulation under the CEA depending on whether such exchange is a designated contract market, exempt board of trade or electronic trading facility. Clearing organizations are also subject to the CEA and the rules and regulations adopted thereunder as administered by the CFTC. The CFTC’s function is to implement the CEA’s objectives of preventing price manipulation and excessive speculation and promoting orderly and efficient commodity interest markets. In addition, the various exchanges and clearing organizations themselves exercise regulatory and supervisory authority over their member firms.

The Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) was enacted in response to the economic crisis of 2008 and 2009 and it significantly altered the regulatory regime to which the securities and commodities markets are subject. To date, the CFTC has issued proposed or final versions of almost all of the rules it is required to promulgate under the Dodd-Frank Act. The provisions of the law include the requirement that position limits be established on a wide range of commodity interests, including agricultural, energy, and metal-based commodity futures contracts, options on such futures contracts and cleared and uncleared swaps that are economically equivalent to such futures contracts and options; new registration and recordkeeping requirements for swap market participants; capital and margin requirements for “swap dealers” and “major swap participants,” as determined by the law and applicable regulations; reporting of all swaps transactions to swap data repositories; and the mandatory use of clearinghouse mechanisms for sufficiently standardized swap transactions that were historically entered into in the over-the-counter market, but are now designated as subject to the clearing requirement; and margin requirements for over-the counter swaps that are not subject to the clearing requirements.

The Dodd-Frank Act was intended to reduce systemic risks that may have contributed to the 2008/2009 financial crisis. Since the first draft of what became the Dodd-Frank Act, supporters and opponents have debated the scope of the legislation. As the administrations of the U.S. change, the interpretation and implementation will change with them. Nevertheless, regulatory reform of any kind may have a significant impact on U.S. regulated entities.

Current rules and regulations under the Dodd-Frank Act require enhanced customer protections, risk management programs, internal monitoring and controls, capital and liquidity standards, customer disclosures and auditing and examination programs for FCMs. The rules are intended to afford greater assurances to market participants that customer segregated funds and secured amounts are protected, customers are provided with appropriate notice of the risks of futures trading and of the FCMs with which they may choose to do business, FCMs are monitoring and managing risks in a robust manner, the capital and liquidity of FCMs are strengthened to safeguard the continued operations and the auditing and examination programs of the CFTC and the self-regulatory organizations are monitoring the activities of FCMs in a thorough manner.

Regulatory bodies outside the U.S. have also passed or proposed, or may propose in the future, legislation similar to that proposed by the Dodd-Frank Act or other legislation containing other restrictions that could adversely impact the liquidity of and increase costs of participating in the commodities markets. For example, the European Union Markets in Financial Instruments Directive (Directive 2014/65/EU) and Markets in Financial Instruments Regulation (Regulation (EU) No 600/2014) (together “MiFID II”), which has applied since January 3, 2018, governs the provision of investment services and activities in relation to, as well as the organized trading of, financial instruments such as shares, bonds, units in collective investment schemes and derivatives. In particular, MiFID II requires EU Member States to apply position limits to the size of a net position which a person can hold at any time in commodity derivatives traded on EU trading venues and in “economically equivalent” over-the-counter (“OTC”) contracts. By way of further example, the European Market Infrastructure Regulation (Regulation (EU) No 648/2012, as amended) (“EMIR”) introduced certain requirements in respect of OTC derivatives including: (i) the mandatory clearing of OTC derivative contracts declared subject to the clearing obligation; (ii) risk mitigation techniques in respect of un-cleared OTC derivative contracts, including the mandatory margining of un-cleared OTC derivative contracts; and (iii) reporting and recordkeeping requirements in respect of all derivatives contracts. In the event that the requirements under EMIR and MiFID II apply, these are expected to increase the cost of transacting derivatives.

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In addition, considerable regulatory attention has been focused on non-traditional publicly distributed investment pools such as the Fund. Furthermore, various national governments have expressed concern regarding the disruptive effects of speculative trading in certain commodity markets and the need to regulate the derivatives markets in general. The effect of any future regulatory change on the Fund is impossible to predict, but could be substantial and adverse.

Management believes that as of March 31, 2022, it had fulfilled in a timely manner all Dodd-Frank or other regulatory requirements to which it is subject.

Off Balance Sheet Financing

As of March 31, 2022, neither the Trust nor the Fund have any loan guarantees, credit support or other off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions relating to certain risks service providers undertake in performing services which are in the best interests of the Fund. While the exposure of the Fund under these indemnification provisions cannot be estimated, they are not expected to have a material impact on the financial position of the Fund.

Redemption Basket Obligation

Other than as necessary to meet the investment objective of the Fund and pay the contractual obligations described below, the Fund will require liquidity to redeem Redemption Baskets. The Fund intends to satisfy this obligation through the transfer of cash of the Fund (generated, if necessary, through the sale of money market funds invested in Treasury obligations) in an amount proportionate to the number of Shares being redeemed.

Contractual Obligations

The primary contractual obligations of the Fund will be with the Sponsor and certain other service providers.

Management and CTA Fees

BDRY pays the Sponsor a management fee (the “Sponsor Fee”) in consideration of the Sponsor’s advisory services to the Fund. Additionally, BDRY pays its commodity trading advisor a license and service fee (the “CTA Fee”).

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 September 30, 2023. 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.

The assumption of expenses by the Sponsor for BDRY, pursuant to the BDRY Expense Cap, amounted to $-0- and $-0- for the three months ended March 31, 2022 and 2021, respectively, and $-0- and $-0- for the nine months ended March 31, 2022 and 2021, respectively, as disclosed in the Statements of Operations. The waiver of Breakwave’s CTA fees, pursuant to the undertaking, amounted to $-0- and $20,752 for the three months ended March 31, 2022 and 2021, respectively, and $-0- and $39,184 for the nine months ended March 31, 2022 and 2021, respectively, as disclosed in the Statements of Operations. BDRY currently accrues its daily expenses based upon established individual expense amounts or the BDRY Expense Cap, whichever aggregate amount is less. At the end of each month, the accrued amount is remitted to the Sponsor as the Sponsor is responsible for the payment of the routine operational, administrative and other ordinary expenses of the Fund. BDRY’s total expenses amounted to $745,149 and $424,697 for the three months ended March 31, 2022 and 2021, respectively, and $2,496,315 and $1,082,512, respectively, for the nine months ended March 31, 2022 and 2021 as disclosed in the Statements of Operations.

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The Fund’s ongoing fees, costs and expenses of its operation, not subject to the applicable Expense Cap include brokerage and other fees and commissions incurred in connection with the trading activities of the Fund, and extraordinary expenses (including, but not limited to, legal claims and liabilities and litigation costs and any indemnification related thereto). Expenses subject to an Expense Cap include (i) expenses incurred in connection with registering additional Shares of the Fund or offering Shares of the Fund; (ii) the routine expenses associated with the preparation and, if required, the printing and mailing of monthly, quarterly, annual and other reports required by applicable U.S. federal and state regulatory authorities, Trust meetings and preparing, printing and mailing proxy statements to Shareholders; (iii) the routine services of the Trustee, legal counsel and independent accountants; (iv) routine accounting, bookkeeping, custodial and transfer agency services, whether performed by an outside service provider or by affiliates of the Sponsor; (v) postage and insurance; (vi) costs and expenses associated with client relations and services; (vii) costs of preparation of all federal, state, local and foreign tax returns and any taxes payable on the income, assets or operations of the Fund.

While the Sponsor has agreed to pay registration fees to the SEC and any other regulatory agency in connection with the initial offering and sale of the Shares offered through the Fund’s prospectus, and the legal, printing, accounting and other expenses associated with such registration, the Fund will be responsible for any registration fees and related expenses incurred in connection with any future offer and sale of Shares of the Fund in excess of those offered through its initial prospectus.

Any general expenses of the Trust will be allocated to the Fund and any other future series of the Trust as determined by the Sponsor in its sole and absolute discretion. The Trust is also responsible for extraordinary expenses, including, but not limited to, legal claims and liabilities and litigation costs and any indemnification related thereto. The Trust and/or the Sponsor may be required to indemnify the Trustee, Distributor or Administrator under certain circumstances.

The parties cannot anticipate the amount of payments that will be required under these arrangements for future periods as the NAV and trading levels to meet investment objectives for the Fund will not be known until a future date. These agreements are effective for a specific term agreed upon by the parties with an option to renew, or, in some cases, are in effect for the duration of the Fund’s existence. The parties may terminate these agreements earlier for certain reasons listed in the agreements.

Item 3. Quantitative and Qualitative Disclosures About Market Risk

Not applicable to Smaller Reporting Companies.

Item 4. Controls and Procedures

Disclosure Controls and Procedures

The Trust and the Fund maintain disclosure controls and procedures that are designed to ensure that material information required to be disclosed in the Trust’s periodic reports filed or submitted under the Securities Exchange Act of 1934, as amended, is recorded, processed, summarized and reported within the time period specified in the SEC’s rules and forms.

The duly appointed officers of the Sponsor, including its principal executive officer and principal financial officer, have evaluated the effectiveness of the Trust’s and the Fund’s disclosure controls and procedures and have concluded that the disclosure controls and procedures of the Trust and the Fund have been effective as of the end of the period covered by this quarterly report on Form 10-Q.

Change in Internal Control Over Financial Reporting

There were no changes in the Trust’s or the Fund’s internal control over financial reporting during the last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Trust’s or the Fund’s internal control over financial reporting.

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Part II. OTHER INFORMATION

Item 1. Legal Proceedings.

None.

Item 1A. Risk Factors

Not applicable to Smaller Reporting Companies.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds

(a) On January 4, 2018, the Sponsor made a $1,000 capital contribution to the Breakwave Dry Bulk Shipping ETF in exchange for forty shares of such Fund prior to the Fund’s commencement of operations; such shares were sold in a private offering exempt from registration under Section 4(a)(2) of the Securities Act of 1933, as amended.

(b) The original registration statement on Form S-1 registering 10,000,000 common units, or “Shares,” of the Breakwave Dry Bulk Shipping ETF (File No. 333-218453) was declared effective on March 9, 2018. On March 31, 2022, 3,275,040 shares of the Fund were outstanding for a market capitalization of $79,190,467. The offering proceeds were invested in futures contracts, or cash and cash equivalents in accordance with the Fund’s investment objective stated in the prospectus.

BDRY does not purchase shares directly from its shareholders. In connection with redemptions of baskets held by an Authorized Participant, BDRY redeemed forty (40) baskets (each comprising 25,000 shares) during the three months ended March 31, 2022 at an average price per share of $25.31. The following table provides information about BDRY’s redemptions by Authorized Participants during the three months ended March 31, 2022:

Calendar Month	Number of Shares Redeemed		Average Price Paid per Share
January 2022		475,000	$	26.03
February 2022		50,000	$	22.34
March 2022		475,000	$	24.91
Total		1,000,000	$	25.31

Item 3. Defaults Upon Senior Securities

None.

Item 4. Mine Safety Disclosures

Not Applicable.

Item 5. Other Information

(a) None.

(b) Not Applicable.

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Item 6. Exhibits

The following exhibits are filed as part of this report as required under Item 601 of Regulation S-K:

31.1	Certification by the Principal Executive Officer of the Registrant pursuant to Rules 13a-14 and 15d-14 of the Exchange Act. (1)
31.2	Certification by the Principal Financial Officer of the Registrant pursuant to Rules 13a-14 and 15d-14 of the Exchange Act. (1)
32.1	Certification by the Principal Executive Officer of the Registrant pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. (1)
32.2	Certification by the Principal Financial Officer of the Registrant pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. (1)
101.INS	Inline XBRL Instance Document
101.SCH	Inline XBRL Taxonomy Extension Schema
101.CAL	Inline XBRL Taxonomy Extension Calculation Linkbase
101.DEF	Inline XBRL Taxonomy Definition Linkbase
101.LAB	Inline XBRL Taxonomy Extension Label Linkbase
101.PRE	Inline XBRL Taxonomy Extension Presentation Linkbase
104	Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101).

(1) Filed Herewith.

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

ETF Managers Group Commodity Trust I (Registrant)

By:	ETF Managers Capital, LLC
	its Sponsor
By:	/s/ Samuel Masucci III
	Name:	Samuel Masucci III
	Title:	Principal Executive Officer
By:	/s/ John A. Flanagan
	Name:	John A. Flanagan
	Title:	Principal Financial Officer

Date: May 13, 2022

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iso4217:USD xbrli:shares