Derivative Instruments and Hedging Activities (Soyb)

9 Months Ended

Sep. 30, 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 nine months ended September 30, 2016 and year ended December 31, 2015, 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, 2016 and December 31, 2015.

Offsetting of Financial Assets and Derivative Assets as of September 30, 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

$

143,413

$

-

$

143,413

$

143,413

$

-

$

-

Offsetting of Financial Liabilities and Derivative Liabilities as of September 30, 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

Soybean futures contracts

$

387,000

$

-

$

387,000

$

143,413

$

222,487

$

-

Offsetting of Financial Assets and Derivative Assets as of December 31, 2015

	(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	$	16,175	$	-	$	16,175	$	16,175	$	-	$	-

Offsetting of Financial Liabilities and Derivative Liabilities as of December 31, 2015

	(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	$	238,662	$	-	$	238,662	$	16,175	$	222,487	$	-

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, 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	$	28,163	$	(1,612,025)
Three months ended September 30, 2015
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	$	(356,775)	$	(622,013)
Nine months ended September 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	$	990,062	$	(21,100)

Nine months ended September 30, 2015

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	$	(1,091,489	)	$	(27,462)

Volume of Derivative Activities

The average notional market value categorized by primary underlying risk for all futures contracts held were $12.4 million and $10.9 million for the three and nine months ended September 30, 2016 and $7.3 million and $7.2 million for the three and nine months ended September 30, 2015.