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Derivative Instruments and Hedging Activities
 6 Months Ended
Jun. 30, 2017
Teucrium Commodity Trust - Combined [Member]  
Derivative Instruments and Hedging Activities

Note 5 – Derivative Instruments and Hedging Activities

 

In the normal course of business, the Funds utilize derivative contracts in connection with its proprietary trading activities. Investments in derivative contracts are subject to additional risks that can result in a loss of all or part of an investment. The Funds’ derivative activities and exposure to derivative contracts are classified by the following primary underlying risks: interest rate, credit, commodity price, and equity price risks. In addition to its primary underlying risks, the Funds are also subject to additional counterparty risk due to inability of its counterparties to meet the terms of their contracts. For the six months ended June 30, 2017 and year ended December 31, 2016, the Funds invested only in commodity futures contracts specifically related to each Fund.

 

Futures Contracts

 

The Funds are subject to commodity price risk in the normal course of pursuing their investment objectives. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.

 

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

 

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

  

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

 

The following table also identifies the fair value amounts of derivative instruments included in the statements of assets and liabilities as derivative contracts, categorized by primary underlying risk and held by the FCM, ED&F Man as of June 30, 2017 and December 31, 2016.

  

Offsetting of Financial Assets and Derivative Assets as of June 30, 2017

 

   (i)   (ii)   (iii) = (i) – (ii)   (iv)   (v) = (iii) – (iv) 
                     
               Gross Amount Not Offset in the     
               Statement of Assets and
Liabilities		     
         Gross Amount    Net Amount                
         Offset in the    Presented in the                
    Gross Amount    Statement of    Statement of                
    of Recognized    Assets and    Assets and    Futures Contracts     Collateral, Due      
Description   Assets    Liabilities    Liabilities    Available for Offset    to Broker    Net Amount 
Commodity price                              
Corn futures contracts  $934,175   $—   $934,175   $—   $—   $934,175 
Soybean futures contracts   1,912    —    1,912    1,912    —    — 
Sugar futures contracts   48,317    —    48,317    48,317    —    — 
Wheat futures contracts   7,357,050    —    7,357,050    —    —    7,357,050 

  

Offsetting of Financial Liabilities and Derivative Liabilities as of June 30, 2017

 

    (i)     (ii)     (iii) = (i) – (ii)     (iv)     (v) = (iii) – (iv)  
                                     
                      Gross Amount Not Offset in the        
                      Statement of Assets and
Liabilities		        
          Gross Amount     Net Amount                    
          Offset in the     Presented in the                    
    Gross Amount     Statement of     Statement of                    
    of Recognized     Assets and     Assets and     Futures Contracts      Collateral, Due        
Description    Liabilities     Liabilities     Liabilities     Available for Offset     from Broker     Net Amount  
Commodity price                                                
Soybean futures contracts   $ 108,600     $ —     $ 108,600     $ 1,912     $ 106,688     $ —  
Sugar futures contracts     785,669       —       785,669       48,317       737,352       —  

 

Offsetting of Financial Assets and Derivative Assets as of December 31, 2016

 

     (i)    (ii)    (iii) = (i) – (ii)    (iv)  (v) = (iii) – (iv)
                             
                    Gross Amount Not Offset in the   
                    Statement of Assets and
Liabilities		   
        Gross Amount    Net Amount                 
        Offset in the    Presented in the                 
   Gross Amount   Statement of    Statement of                 
   of Recognized   Assets and    Assets and    Futures Contracts    Collateral, Due      
Description  Assets   Liabilities    Liabilities    Available for Offset    to Broker   Net Amount 
Commodity price                              
  Soybean futures contracts  $357,500   $ —    $ 357,500    $ 12,025    $—   $345,475 
  Sugar futures contracts   185,147     —      185,147      185,147     —    — 

  

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2016

 

   (i)  (ii)  (iii) = (i) – (ii)  (iv)  (v) = (iii) – (iv)
                   
            Gross Amount Not Offset in the   
            Statement of Assets and
Liabilities		   
        Gross Amount   Net Amount                
        Offset in the   Presented in the                
   Gross Amount   Statement of   Statement of                
   of Recognized   Assets and   Assets and   Futures Contracts    Collateral, Due      
Description  Liabilities   Liabilities   Liabilities   Available for Offset   from Broker   Net Amount 
Commodity price                              
   Corn futures contracts  $1,460,800   $—   $1,460,800   $—   $1,460,800   $— 
   Soybean futures contracts   12,025    —    12,025    12,025    —    — 
   Sugar futures contracts   331,542    —    331,542    185,147    146,395    — 
   Wheat futures contracts   3,921,588    —    3,921,588    —    3,921,588    — 

 

The following is a summary of realized and unrealized gains (losses) of the derivative instruments utilized by the Trust:

 

Three months ended June 30, 2017

         
Primary Underlying Risk  Realized Loss on
Commodity Futures Contracts		   Net Change in Unrealized Appreciation or
Depreciation on Commodity Futures Contracts		 
Commodity price        
Corn futures contracts  $(727,988)  $1,454,725 
Soybean futures contracts   (311,413)   378,988 
Sugar futures contracts   (1,381,867)   (214,032)
Wheat futures contracts   (494,500)   10,315,925 
Total commodity futures contracts  $(2,915,768)  $11,935,606 

 

Three months ended June 30, 2016

 

Primary Underlying Risk  Realized (Loss) Gain on
Commodity Futures Contracts		   Net Change in Unrealized Appreciation or
Depreciation on Commodity Futures Contracts		 
Commodity price        
Corn futures contracts  $(300,213)  $403,163 
Soybean futures contracts   861,575    1,246,300 
Sugar futures contracts   1,010,632    325,998 
Wheat futures contracts   (997,587)   (1,812,239)
Total commodity futures contracts  $574,407   $163,222 

 

Six months ended June 30, 2017 

Primary Underlying Risk  Realized (Loss) Gain on
Commodity Futures Contracts		    Net Change in Unrealized Appreciation or
Depreciation on Commodity Futures Contracts		  
Commodity price          
Corn futures contracts  $(447,212)  $2,394,975 
Soybean futures contracts   31,500    (452,163)
Sugar futures contracts   (1,588,115)   (590,957)
Wheat futures contracts   (669,800)   11,278,638 
Total commodity futures contracts  $(2,673,627)  $12,630,493 

  

Six months ended June 30, 2016

 

Primary Underlying Risk  Realized (Loss) Gain on
Commodity Futures Contracts		    Net Change in Unrealized Appreciation or
Depreciation on Commodity Futures Contracts		  
Commodity price          
Corn futures contracts  $(2,392,088)  $251,063 
Soybean futures contracts   961,900    1,590,925 
Sugar futures contracts   1,008,874    323,523 
Wheat futures contracts   (1,566,700)   (1,415,250)
Total commodity futures contracts  $(1,988,014)  $750,261 

  

Volume of Derivative Activities

  

The average notional market value categorized by primary underlying risk for the futures contracts held was $157.9 million and $156.1 million for the three and six months ended June 30, 2017 and $116 million and $106.4 million for the same periods in 2016.
Teucrium Corn Fund [Member]  
Derivative Instruments and Hedging Activities

Note 5 – Derivative Instruments and Hedging Activities

 

In the normal course of business, the Fund utilizes derivative contracts in connection with its proprietary trading activities. Investments in derivative contracts are subject to additional risks that can result in a loss of all or part of an investment. The Fund’s derivative activities and exposure to derivative contracts are classified by the following primary underlying risks: interest rate, credit, commodity price, and equity price risks. In addition to its primary underlying risks, the Fund is also subject to additional counterparty risk due to inability of its counterparties to meet the terms of their contracts. For six months ended June 30, 2017 and year ended December 31, 2016, the Fund invested only in commodity futures contracts.

 

Futures Contracts

 

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

 

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

 

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

 

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

 

The following table also identifies the fair value amounts of derivative instruments included in the statements of assets and liabilities as derivative contracts, categorized by primary underlying risk and held by the FCM, ED&F Man as of June 30, 2017 and December 31, 2016.

 

Offsetting of Financial Assets and Derivative Assets as of June 30, 2017

 

   (i)   (ii)   (iii) = (i) – (ii)  (iv)  (v) = (iii) – (iv)
              Gross Amount Not Offset in the
Statement of Assets and
Liabilities		   
Description  Gross Amount
of Recognized
Liabilities		   Gross
Amount
Offset in the
Statement of
Assets and
Liabilities		   Net Amount
Presented in
the
Statement of
Assets and
Liabilities		  Futures
Contracts Available for Offset		  Collateral, Due
from Broker		   Net Amount
Commodity price                     
Corn futures contracts  $934,175   $—   $ 934,175  $ —  $—   $ 934,175
                         

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2016

 

   (i)   (ii)   (iii) = (i) – (ii)  (iv)  (v) = (iii) – (iv)
              Gross Amount Not Offset in the
Statement of Assets and
Liabilities		   
Description  Gross Amount
of Recognized
Liabilities		   Gross
Amount
Offset in the
Statement of
Assets and
Liabilities		   Net Amount
Presented in
the
Statement of
Assets and
Liabilities		  Futures
Contracts Available for Offset		  Collateral, Due
from Broker		   Net Amount
Commodity price                     
Corn futures contracts  $1,460,800   $—   $ 1,460,800  $ —  $1,460,800   $ —
                         

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

 

Three months ended June 30, 2017

 

         Net Change in Unrealized Appreciation or  
Primary Underlying Risk    Realized Loss on
Commodity Futures Contracts		    Depreciation on Commodity Futures Contracts  
Commodity Price                
Corn futures contracts    $ (727,988)   $ 1,454,725  
                 

 

Three months ended June 30, 2016 

           
Primary Underlying Risk     Realized Loss on
Commodity Futures Contracts		     Net Change in Unrealized Appreciation or
Depreciation on Commodity Futures Contracts		  
Commodity Price            
Corn futures contracts     $ (300,213 )   $ 403,163  
                   

Six months ended June 30, 2017 

           
Primary Underlying Risk     Realized Loss on
Commodity Futures Contracts		     Net Change in Unrealized Appreciation or 
Depreciation on Commodity Futures Contracts		  
Commodity Price              
Corn futures contracts     $ (447,212 )   $ 2,394,975  
                   

Six months ended June 30, 2016 

           
Primary Underlying Risk     Realized Loss on
Commodity Futures Contracts		     Net Change in Unrealized Appreciation or 
Depreciation on Commodity Futures Contracts		  
Commodity Price              
Corn futures contracts     $ (2,392,088 )   $ 251,063  
                   

Volume of Derivative Activities

 

The average notional market value categorized by primary underlying risk for the futures contracts held was $67.0 million and $68.8 million for the three and six months ended June 30, 2017 and $65.7 million and $61.8 million for the same periods in 2016.
Teucrium Soybean Fund [Member]  
Derivative Instruments and Hedging Activities

Note 5 – Derivative Instruments and Hedging Activities

 

In the normal course of business, the Fund utilizes derivative contracts in connection with its proprietary trading activities. Investments in derivative contracts are subject to additional risks that can result in a loss of all or part of an investment. The Fund’s derivative activities and exposure to derivative contracts are classified by the following primary underlying risks: interest rate, credit, commodity price, and equity price risks. In addition to its primary underlying risks, the Fund is also subject to additional counterparty risk due to inability of its counterparties to meet the terms of their contracts. For the six months ended June 30, 2017 and year ended December 31, 2016, the Fund invested only in commodity futures contracts.

 

Futures Contracts

 

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

 

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

 

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

 

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

 

The following table also identifies the fair value amounts of derivative instruments included in the statements of assets and liabilities as derivative contracts, categorized by primary underlying risk and held by the FCM, ED&F Man as of June 30, 2017 and December 31, 2016.

 

Offsetting of Financial Assets and Derivative Assets as of June 30, 2017

 

    (i)     (ii)     (iii) = (i) – (ii)     (iv)     (v) = (iii) – (iv)  
                                     
                      Gross Amount Not Offset in the        
                      Statement of Assets and Liabilities        
          Gross Amount     Net Amount                    
          Offset in the     Presented in the                    
    Gross Amount     Statement of     Statement of                    
    of Recognized     Assets and     Assets and     Futures Contracts      Collateral, Due        
Description    Assets     Liabilities     Liabilities     Available for Offset     to Broker     Net Amount  
Commodity price                                                
   Soybean futures contracts   $ 1,912     $ —     $ 1,912     $ 1,912     $ —     $ —  

 

Offsetting of Financial Liabilities and Derivative Liabilities as of June 30, 2017

 

    (i)     (ii)     (iii) = (i) – (ii)     (iv)     (v) = (iii) – (iv)  
                               
                      Gross Amount Not Offset in the
Statement of Assets and Liabilities		        
Description   Gross Amount
of Recognized
Liabilities		     Gross Amount
Offset in the
Statement of
Assets and
Liabilities		     Net Amount
Presented in the
Statement of
Assets and
Liabilities		     Futures Contracts
Available for Offset		     Collateral, Due
from Broker		     Net Amount  
Commodity price                                    
Soybean futures contracts   $ 108,600     $ —     $ 108,600     $ 1,912     $ 106,688     $ —  

 

Offsetting of Financial Assets and Derivative Assets as of December 31, 2016

 

    (i)     (ii)     (iii) = (i) – (ii)     (iv)     (v) = (iii) – (iv)  
                               
                      Gross Amount Not Offset in the
Statement of Assets and Liabilities		        
Description   Gross Amount
of Recognized
Assets		     Gross Amount
Offset in the
Statement of
Assets and
Liabilities		     Net Amount
Presented in the
Statement of
Assets and
Liabilities		     Futures Contracts
Available for Offset		     Collateral, Due
to Broker		     Net Amount  
Commodity price                                    
Soybean futures contracts   $ 357,500     $ —     $ 357,500     $ 12,025     $ —     $ 345,475  

 

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2016

 

    (i)   (ii)   (iii) = (i) –
(ii)		   (iv)   (v) = (iii) –
(iv)		  
                       
                      Gross Amount Not Offset in the
Statement of Assets and Liabilities		        
Description   Gross
Amount
of
Recognized
Liabilities		   Gross
Amount
Offset in the
Statement of
Assets and
Liabilities		   Net Amount
Presented in
the
Statement of
Assets and
Liabilities		   Futures Contracts
Available for Offset		   Collateral,
Due
from Broker		   Net Amount  
Commodity price                                      
Soybean futures contracts   $ 12,025   $ —   $ 12,025   $ 12,025   $ —   $ —  

 

The following is a summary of realized and unrealized gains and losses of the derivative instruments utilized by the Fund:

 

Three months ended June 30, 2017

 

Primary Underlying Risk  Realized Loss on
Commodity Futures Contracts		   Net Change in Unrealized
Appreciation or Depreciation on
Commodity Futures Contracts		 
Commodity price        
Soybean futures contracts  $(311,413)  $378,988 

 

Three months ended June 30, 2016          

 

Primary Underlying Risk  Realized Gain on
Commodity Futures Contracts		   Net Change in Unrealized
Appreciation or Depreciation on
Commodity Futures Contracts		 
Commodity price        
Soybean futures contracts  $861,575   $1,246,300 

 

Six months ended June 30, 2017            

 

Primary Underlying Risk  Realized Gain on
Commodity Futures Contracts		   Net Change in Unrealized
Appreciation or Depreciation on
Commodity Futures Contracts		 
Commodity price        
Soybean futures contracts  $31,500   $(452,163)

 

Six months ended June 30, 2016

 

Primary Underlying Risk  Realized Gain on
Commodity Futures Contracts		   Net Change in Unrealized
Appreciation or Depreciation on
Commodity Futures Contracts		 
Commodity price        
Soybean futures contracts  $961,900   $1,590,925 

 

Volume of Derivative Activities

 

The average notional market value categorized by primary underlying risk for all futures contracts held was $11.6 million and $11.8 million for the three and six months ended June 30, 2017 and $12.5 million and $11 million for the three and six months ended June 30, 2016.
Teucrium Sugar Fund [Member]  
Derivative Instruments and Hedging Activities

Note 5 – Derivative Instruments and Hedging Activities

 

In the normal course of business, the Fund utilizes derivative contracts in connection with its proprietary trading activities. Investments in derivative contracts are subject to additional risks that can result in a loss of all or part of an investment. The Fund’s derivative activities and exposure to derivative contracts are classified by the following primary underlying risks: interest rate, credit, commodity price, and equity price risks. In addition to its primary underlying risks, the Fund is also subject to additional counterparty risk due to inability of its counterparties to meet the terms of their contracts. For the six months ended June 30, 2017 and year ended December 31, 2016, the Fund invested only in commodity futures contracts.

 

Futures Contracts

 

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

 

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

 

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

 

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

  

The following table also identifies the fair value amounts of derivative instruments included in the statements of assets and liabilities as derivative contracts, categorized by primary underlying risk and held by the FCM, ED&F Man as of June 30, 2017 and December 31, 2016.

  

Offsetting of Financial Assets and Derivative Assets as of June 30, 2017

 

  

(i)

  

(ii) 

  

(iii) = (i) – (ii) 

  

(iv) 

  

(v) = (iii) – (iv) 

 
                     
              

Gross Amount Not Offset in the
Statement of Assets and Liabilities

     
Description  Gross Amount  
of Recognized  
Assets		   Gross Amount  
Offset in the  
Statement of  
Assets and  
Liabilities		   Net Amount  
Presented in the  
Statement of  
Assets and  
Liabilities		   Futures Contracts
Available for Offset		   Collateral, Due  
to Broker		   Net Amount 
Commodity price                              
   Sugar futures contracts  $48,317   $—   $48,317   $48,317   $—   $— 

  

 Offsetting of Financial Liabilities and Derivative Liabilities as of June 30, 2017

 

   (i)   (ii)  (iii) = (i) – (ii)  (iv)  (v) = (iii) – (iv) 
                  
             Gross Amount Not Offset in the    
             Statement of Assets and Liabilities    
       Gross Amount  Net Amount           
       Offset in the  Presented in the           
   Gross Amount   Statement of  Statement of           
   of Recognized   Assets and  Assets and  Futures Contracts  Collateral, Due    
Description  Liabilities   Liabilities  Liabilities  Available for Offset  from Broker   Net Amount  
Commodity price                      
   Sugar futures contracts  $785,669   $ —  $ 785,669  $ 48,317  $ 737,352  $— 

  

Offsetting of Financial Assets and Derivative Assets as of December 31, 2016

 

   (i)   (ii)   (iii) = (i) – (ii)   (iv)   (v) = (iii) – (iv) 
                     
               Gross Amount Not Offset in the
Statement of Assets and Liabilities		     
                         
Description  Gross Amount
of Recognized
Assets		   Gross Amount
Offset in the
Statement of
Assets and
Liabilities		   Net Amount
Presented in the
Statement of
Assets and
Liabilities		   Futures Contracts Available for Offset   Collateral, Due
to Broker		   Net Amount 
Commodity price                              
Sugar futures contracts  $185,147   $—   $185,147   $185,147   $—   $— 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2016

 

   (i)   (ii)   (iii) = (i) – (ii)   (iv)   (v) = (iii) – (iv) 
                     
               Gross Amount Not Offset in the
Statement of Assets and Liabilities		     
                         
Description  Gross Amount
of Recognized
Liabilities		   Gross Amount
Offset in the
Statement of
Assets and
Liabilities		   Net Amount
Presented in the
Statement of
Assets and
Liabilities		   Futures Contracts Available for Offset   Collateral, Due
from Broker		   Net Amount 
Commodity price                              
Sugar futures contracts  $331,542   $—   $331,542   $185,147   $146,395   $— 

 

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

 

Three months ended June 30, 2017

 

Primary Underlying Risk  Realized Loss on Commodity Futures Contracts    Net Change in Unrealized Appreciation or Depreciation on  Commodity Futures Contracts  
Commodity price        
Sugar futures contracts  $(1,381,867)  $(214,032)

  

Three months ended June 30, 2016

 

Primary Underlying Risk  Realized Gain on Commodity Futures Contracts   Net Change in Unrealized Appreciation or Depreciation on Commodity Futures Contracts 
Commodity price        
Sugar futures contracts  $1,010,632   $325,998 

 

Six months ended June 30, 2017

 

Primary Underlying Risk  Realized Loss on Commodity Futures Contracts   Net Change in Unrealized Appreciation or Depreciation on Commodity Futures Contracts 
Commodity price        
Sugar futures contracts  $(1,588,115)  $(590,957)

 

Six months ended June 30, 2016

 

Primary Underlying Risk  Realized Gain on Commodity Futures Contracts   Net Change in Unrealized Appreciation or Depreciation on Commodity Futures Contracts 
Commodity price        
Sugar futures contracts  $1,008,874   $323,523 

  

Volume of Derivative Activities

 

The average notional market value categorized by primary underlying risk for all futures contracts held were $8.2 million and $6.9 million for the three and six months ended June 30, 2017 and $6.4 million and $5.6 million for the same periods in 2016.
Teucrium Wheat Fund [Member]  
Derivative Instruments and Hedging Activities

Note 5 – Derivative Instruments and Hedging Activities

 

In the normal course of business, the Fund utilizes derivative contracts in connection with its proprietary trading activities. Investments in derivative contracts are subject to additional risks that can result in a loss of all or part of an investment. The Fund’s derivative activities and exposure to derivative contracts are classified by the following primary underlying risks: interest rate, credit, commodity price, and equity price risks. In addition to its primary underlying risks, the Fund is also subject to additional counterparty risk due to inability of its counterparties to meet the terms of their contracts. For the six months ended June 30, 2017 and for the year ended December 31, 2016, the Fund invested only in commodity futures contracts.

 

Futures Contracts

 

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

 

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

 

 

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

 

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

 

The following table also identifies the fair value amounts of derivative instruments included in the statements of assets and liabilities as derivative contracts, categorized by primary underlying risk and held by the FCM, ED&F Man as of June 30, 2017 and December 31, 2016.

 

Offsetting of Financial Assets and Derivative Assets as of June 30, 2017

  

   (i)   (ii)   (iii) = (i) – (ii)   (iv)  (v) = (iii) – (iv) 
                    
               Gross Amount Not Offset in the
Statement of Assets and Liabilities		    
Description  Gross Amount
of Recognized
Liabilities		   Gross Amount
Offset in the
Statement of
Assets and
Liabilities		   Net Amount
Presented in the
Statement of
Assets and
Liabilities		   Futures Contracts
Available for
Offset		  Collateral, Due
from Broker		   Net Amount 
Commodity price                       
   Wheat futures contracts  $7,357,050   $—   $7,357,050   $ —  $—   $7,357,050 

 

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2016

  

   (i)   (ii)   (iii) = (i) – (ii)   (iv)  (v) = (iii) – (iv) 
                    
               Gross Amount Not Offset in the
Statement of Assets and
Liabilities		    
Description  Gross Amount
of Recognized
Liabilities		   Gross Amount
Offset in the
Statement of
Assets and
Liabilities		   Net Amount
Presented in
the
Statement of
Assets and
Liabilities		   Futures
Contracts
Available for
Offset		  Collateral,
Due
from Broker		   Net Amount 
Commodity price                       
Wheat futures contracts  $3,921,588   $—   $3,921,588   $ —  $3,921,588   $— 

 

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

  

Three months ended June 30, 2017            

 

Primary Underlying Risk  

Realized Loss on 

Commodity Futures Contracts

    

Net Change in Unrealized

Appreciation or Depreciation on

Commodity Futures Contracts

  
Commodity price                
Wheat futures contracts   $ (494,500 )    $ 10,315,925  

  

Three months ended June 30, 2016            

 

Primary Underlying Risk  

Realized Loss on 

Commodity Futures Contracts

    

Net Change in Unrealized

Appreciation or Depreciation on

Commodity Futures Contracts

  
Commodity price                
Wheat futures contracts   $ (997,587 )    $ (1,812,239 ) 

 

Six months ended June 30, 2017

 

Primary Underlying Risk  

Realized Loss on 

Commodity Futures Contracts

    

Net Change in Unrealized

Appreciation or Depreciation on

Commodity Futures Contracts

  
Commodity price                
Wheat futures contracts   $ (669,800 )    $ 11,278,638  

 

Six months ended June 30, 2016  

 

Primary Underlying Risk  

Realized Loss on 

Commodity Futures Contracts

    

Net Change in Unrealized

Appreciation or Depreciation on

Commodity Futures Contracts

  
Commodity price                
Wheat futures contracts   $ (1,566,700 )    $ (1,415,250 ) 

 

Volume of Derivative Activities

 

The average notional market value categorized by primary underlying risk for all futures contracts held was $71.1 million and $68.6 million for the three and six months ended June 30, 2017 and $31.3 million and $28.1 million for the three and six months ended June 30, 2016.