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Derivative Instruments and Hedging Activities | 9 Months Ended
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Sep. 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 nine months ended September 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 September 30, 2017 and December 31, 2016. Offsetting of Financial Assets and Derivative Assets as of September 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 |  |  | from Broker |  |  | Net Amount |
Commodity price |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corn futures contracts |  | $ | 68,413 |  |  | $ | — |  |  | $ | 68,413 |  |  | $ | 68,413 |  |  | $ | — |  |  | $ | — |
Soybean futures contracts |  |  | 135,175 |  |  |  | — |  |  |  | 135,175 |  |  |  | — |  |  |  | — |  |  |  | 135,175 |
Sugar futures contracts |  |  | 14,067 |  |  |  | — |  |  |  | 14,067 |  |  |  | 14,067 |  |  |  | — |  |  |  | — |
Wheat futures contracts |  |  | 296,562 |  |  |  | — |  |  |  | 296,562 |  |  |  | 296,562 |  |  |  | — |  |  |  | — |
Offsetting of Financial Liabilities and Derivative Liabilities as of September 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 |  |  | to Broker |  |  | Net Amount |
Commodity price |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corn futures contracts |  | $ | 2,498,213 |  |  | $ | — |  |  | $ | 2,498,213 |  |  | $ | 68,413 |  |  | $ | 2,429,800 |  |  | $ | — |
Sugar futures contracts |  |  | 218,456 |  |  |  | — |  |  |  | 218,456 |  |  |  | 14,067 |  |  |  | 204,389 |  |  |  | — |
Wheat futures contracts |  |  | 4,065,500 |  |  |  | — |  |  |  | 4,065,500 |  |  |  | 296,562 |  |  |  | 3,768,938 |  |  |  | — |
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 |  |  | from 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 |  |  | to 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 September 30, 2017
Primary Underlying Risk |  | Realized (Loss) Gain on Commodity Futures Contracts |  |  | Net Change in Unrealized Depreciation or Appreciation on Commodity Futures Contracts |
Commodity price |  |  |  |  |  |  |  |
Corn futures contracts |  | $ | (1,616,988 | ) |  | $ | (3,363,975 | )
Soybean futures contracts |  |  | (24,025 | ) |  |  | 241,863 |
Sugar futures contracts |  |  | (678,070 | ) |  |  | 532,963 |
Wheat futures contracts |  |  | 1,955,888 |  |  |  | (11,125,988 | )
Total commodity futures contracts |  | $ | (363,195 | ) |  | $ | (13,175,137 | )
Three months ended September 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 |  | $ | (6,486,500 | ) |  | $ | 937,100 |
Soybean futures contracts |  |  | 28,163 |  |  |  | (1,612,025 | )
Sugar futures contracts |  |  | 948,483 |  |  |  | (18,088 | )
Wheat futures contracts |  |  | (5,677,475 | ) |  |  | (692,500 | )
Total commodity futures contracts |  | $ | (11,187,329 | ) |  | $ | (1,385,513 | )
Nine months ended September 30, 2017
Primary Underlying Risk |  | Realized (Loss) Gain on Commodity Futures Contracts |  |  | Net Change in Unrealized Depreciation or Appreciation on Commodity Futures Contracts |
Commodity price |  |  |  |  |  |  |  |
Corn futures contracts |  | $ | (2,064,200 | ) |  | $ | (969,000 | )
Soybean futures contracts |  |  | 7,475 |  |  |  | (210,300 | )
Sugar futures contracts |  |  | (2,266,185 | ) |  |  | (57,994 | )
Wheat futures contracts |  |  | 1,286,087 |  |  |  | 152,650 |
Total commodity futures contracts |  | $ | (3,036,823 | ) |  | $ | (1,084,644 | )
Nine months ended September 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 |  | $ | (8,878,588 | ) |  | $ | 1,188,163 |
Soybean futures contracts |  |  | 990,062 |  |  |  | (21,100 | )
Sugar futures contracts |  |  | 1,957,357 |  |  |  | 305,435 |
Wheat futures contracts |  |  | (7,244,175 | ) |  |  | (2,107,750 | )
Total commodity futures contracts |  | $ | (13,175,344 | ) |  | $ | (635,252 | )
Volume of Derivative Activities The average notional market value categorized by primary underlying risk for the futures contracts held was $154.2 million and $155.5 million for the three and nine months ended September 30, 2017 and $154.1 million and $119.1 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 nine months ended September 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 September 30, 2017 and December 31, 2016. Offsetting of Financial Assets and Derivative Assets as of September 30, 2017
|  | (i) |  |  | (i) |  |  | (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 from Broker |  |  | Net Amount |
Commodity price |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corn futures contracts |  | $ | 68,413 |  |  | $ | — |  |  | $ | 68,413 |  | $ | 68,413 |  | $ | — |  |  | $ | — |
Offsetting of Financial Liabilities and Derivative Liabilities as of September 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 to Broker |  |  | Net Amount
Commodity price |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corn futures contracts |  | $ | 2,498,213 |  |  | $ | — |  |  | $ | 2,498,213 |  |  | $ | 68,413 |  | $ | 2,429,800 |  |  | $ | — |
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 to 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 September 30, 2017
Primary Underlying Risk |  |  | Realized Loss on Commodity Futures Contracts |  |  | Net Change in Unrealized Depreciation on Commodity Futures Contracts |
Commodity Price |  |  |  |  |  |  |  |  |
Corn futures contracts |  |  | $ | (1,616,988 | ) |  | $ | (3,363,975 | )
Three months ended September 30, 2016
Primary Underlying Risk |  |  | Realized Loss on Commodity Futures Contracts |  |  | Net Change in Unrealized Appreciation on Commodity Futures Contracts |
Commodity Price |  |  |  |  |  |  |  |  |
Corn futures contracts |  |  | $ | (6,486,500 | ) |  | $ | 937,100 |
Nine months ended September 30, 2017
Primary Underlying Risk |  |  | Realized Loss on Commodity Futures Contracts |  |  | Net Change in Unrealized Depreciation on Commodity Futures Contracts |
Commodity Price |  |  |  |  |  |  |  |  |
Corn futures contracts |  |  | $ | (2,064,200 | ) |  | $ | (969,000 | )
Nine months ended September 30, 2016
Primary Underlying Risk |  |  | Realized Loss on Commodity Futures Contracts |  |  | Net Change in Unrealized Appreciation on Commodity Futures Contracts |
Commodity Price |  |  |  |  |  |  |  |  |
Corn futures contracts |  |  | $ | (8,878,588 | ) |  | $ | 1,188,163 |
Volume of Derivative Activities The average notional market value categorized by primary underlying risk for the futures contracts held was $67.0 million and $68.2 million for the three and nine months ended September 30, 2017 and $81.5 million and $67.0 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 nine months ended September 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 September 30, 2017 and December 31, 2016. Offsetting of Financial Assets and Derivative Assets as of September 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 from Broker |  |  | Net Amount |
Commodity price |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Soybean futures contracts |  | $ | 135,175 |  |  | $ | — |  |  | $ | 135,175 |  |  | $ | — |  |  | $ | — |  |  | $ | 135,175 |
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 from 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 to 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 September 30, 2017
Primary Underlying Risk |  | Realized Loss on Commodity Futures Contracts |  |  | Net Change in Unrealized Appreciation on Commodity Futures Contracts |
Commodity price |  |  |  |  |  |
Soybean futures contracts |  | $ | (24,025 | ) |  | $ | 241,863 |
Three months ended September 30, 2016
Primary Underlying Risk |  | Realized Gain on Commodity Futures Contracts |  |  | Net Change in Unrealized Depreciation on Commodity Futures Contracts |
Commodity price |  |  |  |  |  |
Soybean futures contracts |  | $ | 28,163 |  |  | $ | (1,612,025 | )
Nine months ended September 30, 2017
Primary Underlying Risk |  | Realized Gain on Commodity Futures Contracts |  |  | Net Change in Unrealized Depreciation on Commodity Futures Contracts |
Commodity price |  |  |  |  |  |
Soybean futures contracts |  | $ | 7,475 |  |  | $ | (210,300 | )
Nine months ended September 30, 2016
Primary Underlying Risk |  | Realized Gain on Commodity Futures Contracts |  |  | Net Change in Unrealized Depreciation on Commodity Futures Contracts |
Commodity price |  |  |  |  |  |
Soybean futures contracts |  | $ | 990,062 |  |  | $ | (21,100 | )
Volume of Derivative Activities The average notional market value categorized by primary underlying risk for all futures contracts held was $14.9 million and $12.9 million for the three and nine months ended September 30, 2017 and $12.4 million and $10.9 million for the three and nine months ended September 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 nine months ended September 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 September 30, 2017 and December 31, 2016. Offsetting of Financial Assets and Derivative Assets as of September 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 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Sugar futures contracts |  | $ | 14,067 |  |  | $ | — |  |  | $ | 14,067 |  |  | $ | 14,067 |  |  | $ | — |  |  | $ | — |
Offsetting of Financial Liabilities and Derivative Liabilities as of September 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 |  | $ | 218,456 |  |  | $ | — |  |  | $ | 218,456 |  |  | $ | 14,067 |  |  | $ | 204,389 |  |  | $ | — |
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 from 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 to 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 September 30, 2017
Primary Underlying Risk |  | Realized Loss on Commodity Futures Contracts |  |  | Net Change in Unrealized Appreciation on Commodity Futures Contracts |
Commodity price |  |  |  |  |  |  |  |
Sugar futures contracts |  | $ | (678,070 | ) |  | $ | 532,963 |
Three months ended September 30, 2016
Primary Underlying Risk |  | Realized Gain on Commodity Futures Contracts |  |  | Net Change in Unrealized Depreciation on Commodity Futures Contracts |
Commodity price |  |  |  |  |  |  |  |
Sugar futures contracts |  | $ | 948,483 |  |  | $ | (18,088 | )
Nine months ended September 30, 2017
Primary Underlying Risk |  | Realized Loss on Commodity Futures Contracts |  |  | Net Change in Unrealized Depreciation on Commodity Futures Contracts |
Commodity price |  |  |  |  |  |  |  |
Sugar futures contracts |  | $ | (2,266,185 | ) |  | $ | (57,994 | )
Nine months ended September 30, 2016
Primary Underlying Risk |  | Realized Gain on Commodity Futures Contracts |  |  | Net Change in Unrealized Appreciation on Commodity Futures Contracts |
Commodity price |  |  |  |  |  |  |  |
Sugar futures contracts |  | $ | 1,957,357 |  |  | $ | 305,435 |
Volume of Derivative Activities The average notional market value categorized by primary underlying risk for all futures contracts held were $7.56 million and $7.09 million for the three and nine months ended September 30, 2017 and $7.2 million and $5.8 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 nine months ended September 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 September 30, 2017 and December 31, 2016. Offsetting of Financial Assets and Derivative Assets as of September 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 from Broker |  |  | Net Amount |
Commodity price |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Wheat futures contracts |  | $ | 296,562 |  |  | $ | — |  |  | $ | 296,562 |  |  | $ | 296,562 |  |  | $ | — |  |  | $ | — |
Offsetting of Financial Liabilities and Derivative Liabilities as of September 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 to Broker |  |  | Net Amount |
Commodity price |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Wheat futures contracts |  | $ | 4,065,500 |  |  | $ | — |  |  | $ | 4,065,500 |  |  | $ | 296,562 |  |  | $ | 3,768,938 |  |  | $ | — |
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 to 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 September 30, 2017
Primary Underlying Risk |  | Realized Gain on Commodity Futures Contracts |  |  | Net Change in Unrealized Depreciation on Commodity Futures Contracts |
Commodity price |  |  |  |  |  |  |  |
Wheat futures contracts |  | $ | 1,955,888 |  |  | $ | (11,125,988 | )
Three months ended September 30, 2016
Primary Underlying Risk |  | Realized Loss on Commodity Futures Contracts |  |  | Net Change in Unrealized Depreciation on Commodity Futures Contracts |
Commodity price |  |  |  |  |  |  |  |
Wheat futures contracts |  | $ | (5,677,475 | ) |  | $ | (692,500 | )
Nine months ended September 30, 2017
Primary Underlying Risk |  | Realized Gain on Commodity Futures Contracts |  |  | Net Change in Unrealized Appreciation on Commodity Futures Contracts |
Commodity price |  |  |  |  |  |  |  |
Wheat futures contracts |  | $ | 1,286,087 |  |  | $ | 152,650 |
Nine months ended September 30, 2016
Primary Underlying Risk |  | Realized Loss on Commodity Futures Contracts |  |  | Net Change in Unrealized Depreciation on Commodity Futures Contracts |
Commodity price |  |  |  |  |  |  |  |
Wheat futures contracts |  | $ | (7,244,175 | ) |  | $ | (2,107,750 | )
Volume of Derivative Activities The average notional market value categorized by primary underlying risk for all futures contracts held was $64.8 million and $67.3 million for the three and nine months ended September 30, 2017 and $53.0 million and $35.3 million for the three and nine months ended September 30, 2016.

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- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI http://asc.fasb.org/topic&trid=2229140 + Details
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