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Investments

12 Months Ended

Jun. 30, 2024

(3) Investments

(a) Short-Term Investments

The Funds 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 Funds’ trading in futures contracts.

(b) Accounting for Derivative Instruments

In seeking to achieve each 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 June 30, 2024 and June 30, 2023, as applicable, are disclosed in the Combined Schedules of Investments and the notional value of these open positions relative to the shareholders’ capital of the Funds is generally representative of the notional value of open positions to shareholders’ capital throughout the reporting periods for the Funds. The volume associated with derivative positions varies on a daily basis as the Fund transact in derivative contracts in order to achieve the appropriate exposure, as expressed in notional value, in comparison to shareholders’ capital consistent with the applicable Fund’s investment objective.

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

(c) Futures Contracts

The Funds enter into futures contracts to gain exposure to changes in the value of the Benchmark Portfolios. 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 freight 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 Funds are 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 Combined Statements of Assets and Liabilities, and is restricted as to its use. Pursuant to the futures contract, the Funds agree 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 Funds as unrealized gains or losses. The Funds will realize a gain or loss upon closing a futures transaction.

Futures contracts involve, to varying degrees, elements of market risk (specifically freight futures 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 Funds haves 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 Funds 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.

BREAKWAVE DRY BULK SHIPPING ETF

Fair Value of Derivative Instruments, as of June 30, 2024

Asset Derivatives

Liability Derivatives

Derivatives

Combined Statements of
Assets and
Liabilities

Fair
Value*

Combined Statements of Assets and Liabilities

Fair
Value

Dry Bulk Index Rates Market Risk

Payable on open futures contracts

788,675

Represents cumulative depreciation of futures contracts as reported in the Combined Statements of Assets and Liabilities.

BREAKWAVE DRY BULK SHIPPING ETF

Fair Value of Derivative Instruments, as of June 30, 2023

Asset Derivatives

Liability Derivatives

Derivatives

Combined Statements of
Assets and
Liabilities

Fair
Value

Combined Statements of Assets and Liabilities

Fair
Value*

Dry Bulk Index Rates Market Risk

Payable on open futures contracts

13,669,745

Represents cumulative depreciation of futures contracts as reported in the Combined Statements of Assets and Liabilities.

BREAKWAVE DRY BULK SHIPPING ETF

The Effect of Derivative Instruments on the Combined Statements of Operations

For the Year Ended June 30, 2024

Derivatives		Location of Gain (Loss) on Derivatives		Realized Loss on Derivatives Recognized in Income				Change in Unrealized Gain (Loss) on Derivatives Recognized in Income
Dry Bulk Index Rates Market Risk		Net realized loss on futures contracts and/or change in unrealized gain (loss) on futures contracts		$	34,476,191			$	12,895,930

The futures contracts open at June 30, 2024 are indicative of the activity for the year ended June 30, 2024.

BREAKWAVE DRY BULK SHIPPING ETF

The Effect of Derivative Instruments on the Combined Statements of Operations

For the Year Ended June 30, 2023

Derivatives		Location of Gain (Loss) on Derivatives		Realized Loss on Derivatives Recognized in Income				Change in Unrealized Gain (Loss) on Derivatives Recognized in Income
Dry Bulk Index Rates Market Risk		Net realized loss on futures contracts and/or change in unrealized gain (loss) on futures contracts		$	(30,983,820	)		$	(4,404,570	)

The futures contracts open at June 30, 2023 are indicative of the activity for the year ended June 30, 2023.

BREAKWAVE TANKER SHIPPING ETF

Fair Value of Derivative Instruments, as of June 30, 2024

Asset Derivatives

Liability Derivatives

Derivatives

Combined Statements of Assets and Liabilities

Fair
Value*

Combined Statements of Assets and Liabilities

Fair
Value

Crude Oil Tanker Index Rates Market Risk

Receivable on open futures contracts

Payable on open futures contracts

115,880

Represents cumulative depreciation of futures contracts as reported in the Combined Statements of Assets and Liabilities.

BREAKWAVE TANKER SHIPPING ETF

Fair Value of Derivative Instruments, as of June 30, 2023

Asset Derivatives

Liability Derivatives

Derivatives

Combined Statements of Assets and Liabilities

Fair
Value

Combined Statements of Assets and Liabilities

Fair
Value

Crude Oil Tanker Index Rates Market Risk

Receivable on open futures contracts

825,287

Payable on open futures contracts

Represents cumulative depreciation of futures contracts as reported in the Combined Statements of Assets and Liabilities.

BREAKWAVE TANKER SHIPPING ETF

The Effect of Derivative Instruments on the Combined Statements of Operations

For the Year Ended June 30, 2024

Derivatives		Location of Gain (Loss) on Derivatives		Realized Loss on Derivatives Recognized in Income				Change in Unrealized Gain (Loss) on Derivatives Recognized in Income
Crude Oil Tanker Index Rates Market Risk		Net realized gain on futures contracts and/or change in unrealized gain (loss) on futures contracts		$	827,253			$	(941,167	)

The futures contracts open at June 30, 2024 are indicative of the activity for the year ended June 30, 2024.

BREAKWAVE TANKER SHIPPING ETF

The Effect of Derivative Instruments on the Combined Statements of Operations

For the Year Ended June 30, 2023

Derivatives		Location of Gain (Loss) on Derivatives		Realized Loss on Derivatives Recognized in Income				Change in Unrealized Gain (Loss) on Derivatives Recognized in Income
Crude Oil Tanker Index Rates Market Risk		Net realized gain on futures contracts and/or change in unrealized gain (loss) on futures contracts		$	375,516			$	825,287

The futures contracts open at June 30, 2023 are indicative of the activity for the period from May 3, 2023 (commencement of operations) to June 30, 2023.