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Fair Value Measurements
 9 Months Ended
Sep. 30, 2021
Teucrium Commodity Trust - Combined  
Note 4 - Fair Value Measurements

Note 4 – Fair Value Measurements

 

The Trust’s assets and liabilities recorded at fair value have been categorized based upon a fair value hierarchy as described in the Trust’s significant accounting policies in Note 3. The following table presents information about the Trust’s assets and liabilities measured at fair value as of September 30, 2021 and December 31, 2020:

 

September 30, 2021

 

Assets:

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Balance as of

September 30,

2021

 

Cash Equivalents

 

$132,096,438

 

 

$-

 

 

$-

 

 

$132,096,438

 

Commodity Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corn futures contracts

 

 

1,980,301

 

 

 

-

 

 

 

-

 

 

 

1,980,301

 

Soybean futures contracts

 

 

1,045,744

 

 

 

-

 

 

 

-

 

 

 

1,045,744

 

Sugar futures contracts

 

 

2,254,654

 

 

 

-

 

 

 

-

 

 

 

2,254,654

 

Wheat futures contracts

 

 

4,538,406

 

 

 

-

 

 

 

-

 

 

 

4,538,391

 

Total

 

$141,915,543

 

 

$-

 

 

$-

 

 

$141,915,543

 

 

Liabilities

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Balance as of

September 30,

2021

 

Commodity Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

Corn futures contracts

 

$89,136

 

 

$-

 

 

$-

 

 

$89,136

 

Soybean futures contracts

 

 

1,715,999

 

 

 

-

 

 

 

-

 

 

 

1,715,999

 

Total

 

$1,805,135

 

 

$-

 

 

$-

 

 

$1,805,135

 

 

December 31, 2020

 

Assets:

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Balance as of December 31,

2020

 

Cash Equivalents

 

$213,568,884

 

 

$-

 

 

$-

 

 

$213,568,884

 

Commodity Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corn futures contracts

 

 

20,154,606

 

 

 

-

 

 

 

-

 

 

$20,154,606

 

Soybean futures contracts

 

 

15,124,226

 

 

 

-

 

 

 

-

 

 

$15,124,226

 

Sugar futures contracts

 

 

1,407,703

 

 

 

-

 

 

 

-

 

 

$1,407,703

 

Wheat futures contracts

 

 

5,738,162

 

 

 

-

 

 

 

-

 

 

$5,738,162

 

Total

 

$255,993,581

 

 

$-

 

 

$-

 

 

$255,993,581

 

 

For the period ended September 30, 2021 and year ended December 31, 2020, the Funds did not have any significant transfers between any of the levels of the fair value hierarchy. The determination is made as of the settlement of the futures contracts on the last day of trading for the reporting period. In making the determination of a Level 1 or Level 2 transfer, the Fund considers the average volume of the specific underlying futures contracts traded on the relevant exchange for the periods being reported.

For the quarter ended June 30, 2021, Corn Futures Contracts for the Sep21 CBOT corn futures and the Dec21 CBOT corn futures, settled in a “limit up” condition. Accordingly, the Trust, CORN and TAGS classified these as level 2 assets. The financial statements of CORN including TAGS, due to the NAV adjustment for the Underlying CORN holdings, were adjusted accordingly. The adjustment resulted in an increase in the unrealized change in commodity futures contracts in excess of reported CBOT values of $711,275 for CORN. The Corn futures contracts transferred back to a Level 1 asset for the period ended September 30, 2021.

 

For the quarter ended March 31, 2021, Corn Futures Contracts for the Jul21 CBOT corn futures, Sep21 CBOT corn futures, Dec21 CBOT corn futures, Jul21 CBOT soybean futures, and the Nov21 CBOT soybean futures, settled in a “limit up” condition. Accordingly, the Trust, CORN, and SOYB classified these as Level 2 assets. The financial statements of these funds including TAGS, due to the NAV adjustment for each of these Underlying Funds, were adjusted accordingly. The adjustment resulted in an increase in the unrealized change in commodity futures contracts in excess of reported CBOT values of $3,371,513 for CORN and $279,750 for SOYB. The Soybean futures contracts transferred back to a Level 1 asset for the period ended June 30, 2021, and the Sep21 and Dec21 corn futures contracts remained a Level 2 asset as described above.

 

For the quarter ended June 30, 2020, the Dec21 CBOT Wheat Futures Contracts traded on the CBOT did not, in the opinion of the Trust and WEAT, trade in an actively traded futures market as defined in the policy of the Trust and WEAT for the entire period during which they were held. Accordingly, the Trust and WEAT classified these as a Level 2 asset for the period ended June 30, 2020 due to the quarterly average daily volume for the contract. These Wheat contracts transferred back to a Level 1 asset for the period ended September 30, 2020.

 

See the Fair Value - Definition and Hierarchy section in Note 3 above for an explanation of the transfers into and out of each level of the fair value hierarchy.
Teucrium Agricultural Fund [Member]  
Note 4 - Fair Value Measurements

Note 4 – Fair Value Measurements

 

The Fund’s assets and liabilities recorded at fair value have been categorized based upon a fair value hierarchy as described in the Fund’s significant accounting policies in Note 3. The following table presents information about the Fund’s assets and liabilities measured at fair value as of September 30, 2021 and December 31, 2020:

 

September 30, 2021

 

Assets:

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Balance as of

September 30,

2021

 

Exchange Traded Funds

 

$8,541,105

 

 

$-

 

 

$-

 

 

$8,541,105

 

Cash Equivalents

 

 

4,754

 

 

 

-

 

 

 

-

 

 

 

4,754

 

Total

 

$8,545,859

 

 

$-

 

 

$-

 

 

$8,545,859

 

 

December 31, 2020

 

Assets:

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Balance as of December 31,

2020

 

Exchange Traded Funds

 

$1,582,262

 

 

$-

 

 

$-

 

 

$1,582,262

 

Cash Equivalents

 

 

2,786

 

 

 

-

 

 

 

-

 

 

 

2,786

 

Total

 

$1,585,048

 

 

$-

 

 

$-

 

 

$1,585,048

 

 

On September 30, 2021 and December 31, 2020, the reported value at the close of the market for each commodity contract fairly reflected the value of the futures and no alternative valuations were required., The determination is made as of the settlement of the futures contracts on the last day of trading for the reporting period.

 

For the quarter ended June 30, 2021, Corn Futures Contracts for the Sep21 and Dec21 CBOT corn futures contracts settled in a “limit up” condition. Accordingly, the Trust and CORN classified these as Level 2 assets. The financial statements of these funds including TAGS, due to the NAV adjustments for each of the impacted Underlying Funds were adjusted accordingly. The adjustment in CORN resulted in a $10,383 increase in the investment of the Underlying Funds due to the increase in unrealized gain in the Corn Fund, and classified these Corn Fund shares as a Level 2 asset for the period ended June 30, 2021 . For the period ended September 30, 2021, the CORN shares were classified as a Level 1 asset.

For the quarter ended March 31, 2021 Corn Futures Contracts for Jul21 CBOT corn futures, Sep21 CBOT corn futures, Dec21 CBOT corn futures, and Soybean Futures Contracts for Jul21 CBOT soybean futures, and the Nov21 CBOT soybean futures, settled in a “limit up” condition. Accordingly, the Trust, CORN, and SOYB classified these as Level 2 assets. The financial statements of these funds including TAGS, due to the NAV adjustment for each of these Underlying Funds, were adjusted accordingly. The adjustment in CORN and SOYB resulted in a $30,191 increase in the investment in the Underlying Funds, which were classified as a Level 2 asset for the period ended March 31, 2021. For the period ended June 30, 2021, the SOYB shares were classified as a Level 1 asset. The CORN shares remained a Level 2 asset as described above. For the year ended December 31, 2020, the Fund did not have any transfers between any of the level of the fair value hierarchy.

 

See the Fair Value - Definition and Hierarchy section in Note 3 above for an explanation of the transfers into and out of each level of the fair value hierarchy.
Teucrium Wheat Fund [Member]  
Note 4 - Fair Value Measurements

Note 4 – Fair Value Measurements

 

The Fund’s assets and liabilities recorded at fair value have been categorized based upon a fair value hierarchy as described in the Fund’s significant accounting policies in Note 3. The following table presents information about the Fund’s assets and liabilities measured at fair value as of September 30, 2021 and December 31, 2020:

 

September 30, 2021

 

Assets:

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Balance as of

September 30,

2021

 

Cash Equivalents

 

$35,400,545

 

 

$-

 

 

$-

 

 

$35,400,545

 

Commodity Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Wheat futures contracts

 

 

4,538,406

 

 

 

-

 

 

 

-

 

 

 

4,538,406

 

Total

 

$39,938,951

 

 

$-

 

 

$-

 

 

$39,938,951

 

 

December 31, 2020

 

Assets:

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Balance as of December 31,

2020

 

Cash Equivalents

 

$51,216,159

 

 

$-

 

 

$-

 

 

$51,216,159

 

Commodity Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Wheat futures contracts

 

 

5,738,162

 

 

 

-

 

 

 

-

 

 

 

5,738,162

 

Total

 

$56,954,321

 

 

$-

 

 

$-

 

 

$56,954,321

 

 

For the period ended September 30, 2021 and year ended December 31, 2020, the Fund did not have any significant transfers between any of the levels of the fair value hierarchy, except for the Dec21 CBOT Wheat contracts held by WEAT, which were reflected as a Level 2 asset for the period ended June 30, 2020 due to the quarterly average daily volume for the contract. These transferred back to a Level 1 asset for the period ended September 30, 2020.

 

See the Fair Value - Definition and Hierarchy section in Note 3 above for an explanation of the transfers into and out of each level of the fair value hierarchy.
Teucrium Soybean Fund [Member]  
Note 4 - Fair Value Measurements

Note 4 – Fair Value Measurements


The Fund’s assets and liabilities recorded at fair value have been categorized based upon a fair value hierarchy as described in the Fund’s significant accounting policies in Note 3. The following table presents information about the Fund’s assets and liabilities measured at fair value as of September 30, 2021 and December 31, 2020:

 

September 30, 2021

 

Assets:

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Balance as of September 30,

2021

 

Cash Equivalents

 

$26,546,635

 

 

$-

 

 

$-

 

 

$26,546,635

 

Commodity Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Soybean futures contracts

 

 

1,045,744

 

 

 

-

 

 

 

-

 

 

 

1,045,744

 

Total

 

$27,592,379

 

 

$-

 

 

$-

 

 

$27,592,379

 

 

Liabilities:

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Balance as of September 30,

2021

 

Commodity Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

Soybean futures contracts

 

$1,715,999

 

 

$

-

 

 

$

-

 

 

$

1,715,999

 

 

December 31, 2020

 

Assets:

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Balance as of December 31,

2020

 

Cash Equivalents

 

$57,726,894

 

 

$-

 

 

$-

 

 

$57,726,894

 

Commodity Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Soybean futures contracts

 

 

15,124,226

 

 

 

-

 

 

 

-

 

 

 

15,124,226

 

Total

 

$72,851,120

 

 

$-

 

 

$-

 

 

$72,851,120

 

 

For the three months ended September 30, 2021 and year ended December 31, 2020, the Fund did not have any significant transfers between any of the levels of the fair value hierarchy, except for the Jul21 CBOT soybean futures, and the Nov21 CBOT soybean futures, were reflected as a Level 2 asset for the period ended March 31, 2021 due to a “limit up” condition. These Soybean contracts transferred back to a Level 1 asset for the period ended June 30, 2021.

 

See the Fair Value - Definition and Hierarchy section in Note 3 above for an explanation of the transfers into and out of each level of the fair value hierarchy.
Teucrium Sugar Fund [Member]  
Note 4 - Fair Value Measurements

Note 4 – Fair Value Measurements

 

The Fund’s assets and liabilities recorded at fair value have been categorized based upon a fair value hierarchy as described in the Fund’s significant accounting policies in Note 3. The following table presents information about the Fund’s assets and liabilities measured at fair value as of September 30, 2021 and December 31, 2020:

 

September 30, 2021

 

Assets:

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Balance as of September 30,

2021

 

Cash Equivalents

 

$15,189,250

 

 

$-

 

 

$-

 

 

$15,189,250

 

Commodity Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Sugar futures contracts

 

 

2,254,654

 

 

 

-

 

 

 

-

 

 

 

2,254,654

 

Total

 

$17,443,904

 

 

$-

 

 

$-

 

 

$17,443,904

 

 

December 31, 2020

 

Assets:

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Balance as of December 31,

2020

 

Cash Equivalents

 

$6,652,192

 

 

$-

 

 

$-

 

 

$6,652,192

 

Commodity Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Sugar futures contracts

 

 

1,407,703

 

 

 

-

 

 

 

-

 

 

 

1,407,703

 

Total

 

$8,059,895

 

 

$-

 

 

$-

 

 

$8,059,895

 

For the period September 30, 2021 and year ended December 31, 2020, the Fund did not have any significant transfers between any of the levels of the fair value hierarchy.

 

See the Fair Value – Definition and Hierarchy section in Note 3 above for an explanation of the transfers into and out of each level of the fair value hierarchy.
Teucrium Corn Fund [Member]  
Note 4 - Fair Value Measurements

Note 4 – Fair Value Measurements

 

The Fund’s assets and liabilities recorded at fair value have been categorized based upon a fair value hierarchy as described in the Fund’s significant accounting policies in Note 3. The following table presents information about the Fund’s assets and liabilities measured at fair value as of September 30, 2021 and December 31, 2020:

 

September 30, 2021

 

Assets:

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Balance as of

September 30,

2021

 

Cash Equivalents

 

$54,955,254

 

 

$-

 

 

$-

 

 

$54,955,254

 

Commodity Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corn futures contracts

 

 

1,980,301

 

 

 

-

 

 

 

-

 

 

 

1,980,301

 

Total

 

$56,935,555

 

 

$-

 

 

$-

 

 

$56,935,555

 

 

Liabilities

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Balance as of

September 30,

2021

 

Commodity Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

Corn futures contracts

 

$89,136

 

 

$-

 

 

$-

 

 

$89,136

 

 

December 31, 2020

 

Assets:

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Balance as of

December 31,

2020

 

Cash Equivalents

 

$97,970,853

 

 

$-

 

 

$-

 

 

$97,970,853

 

Commodity Futures Contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corn futures contracts

 

 

20,154,606

 

 

 

-

 

 

 

-

 

 

 

20,154,606

 

Total

 

$118,125,459

 

 

$-

 

 

$-

 

 

$118,125,459

 

 

For the period ended September 30, 2021 and year ended December 31, 2020, the Fund did not have any significant transfers between any of the levels of the fair value hierarchy. The: Sep21 and Dec21 CBOT corn futures contracts were reflected as a Level 2 investment for the period ended June 30, 2021 due to a “limit up” condition; the Jul21 CBOT corn futures, Sep21 CBOT corn futures, and Dec21 CBOT corn futures, were reflected as a Level 2 investment for the period ended March 31, 2021 due to a “limit up” condition. The Jul21 corn futures transferred back to a Level 1 asset for the period ended June 30, 2021, and the Sep21 and Dec21 corn futures contracts transferred back to a Level 1 asset for the period ended September 30, 2021.

 

See the Fair Value - Definition and Hierarchy section in Note 3 above for an explanation of the transfers into and out of each level of the fair value hierarchy.