COtwo Presentation

FILING DATE: 4/29/2025

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Important Information

This material must be preceded or accompanied by a prospectus. Please read the prospectus carefully before investing. To obtain a current prospectus visit this link.

The Trust (CTWO or “The Fund”) ) is not an investment company registered under the Investment Company Act of 1940 (the “1940 Act’).

An investment in the Trust is not intended as a complete investment plan. Because the Trust only holds EUAs or cash, an investment in the Trust may be more volatile than an investment in a more broadly diversified portfolio. Accordingly, the NAV may be more volatile than another investment vehicle with a more broadly diversified portfolio and may fluctuate substantially over time.

Investing involves risk, including possible loss of principal. An investment in the Trust may be deemed speculative, therefore investors should review closely the objective and strategy, the investment and operating restrictions and the redemption provisions of the Trust as outlined herein and familiarize themselves with the risks associated with an investment in the Trust.

Each investor should consult with his or her own advisors in respect of legal, tax, regulatory, accounting and other consequences of investing in the Trust. If you are not prepared to accept significant and unexpected changes in the value of the Trust, you should not invest in the Trust.

Some factors to consider before investing in the Trust are:

Secondary market purchases and sales of Shares are subject to customary brokerage commissions and charges.
The investment objective of the Trust is for the Shares to reflect the performance of the price of EUAs, less the expenses of the Trust’s operations. There can be no assurance that the value of the Shares, traded on the secondary market, will reflect the value of the Trust’s investment in EUAs
An investment in the Shares is speculative and involves a high degree of risk. There is no assurance the Trust will achieve its investment objective or avoid substantial losses. A potential shareholder should not invest in the Shares unless he or she can afford to lose the entire investment.
Future governmental decisions may have significant impact on the price of EUAs, which may result in a significant decrease or increase in the net asset value of the Trust.
New technologies may arise that may diminish or eliminate the need for cap and trade markets. Ultimately, the cost of emissions credits is determined by the cost of actually reducing emissions levels.

SPECIFIC RISK FACTORS

Before making an investment decision, you should consider carefully the risks described below.

Investment Risk. Because the Shares are created to reflect the price of the EUAs held by the Trust, the market price of the Shares may be as unpredictable as the price of EUAs has historically been. This creates the potential for losses, regardless of whether you hold Shares for the short-, mid- or long-term.

Legal or Regulatory Risk. Natural disasters, public health disruptions (such as the COVID-19 pandemic), and international armed conflicts could materially impact the price of commodities and/or the value, pricing and liquidity of the Trust’s investments or assets which, in turn, could cause the loss of your investment in the Trust.

Trading on exchanges outside the United States is generally not subject to U.S. regulation and may result in different or diminished investor protections.

The Trust will face currency exchange rate risk. Currency exchange rates can be extremely volatile and can change quickly and unpredictably. As a result, the value of the Trust’s investments may change quickly and without warning and the Trust may lose money. There are no position limits or accountability levels on EUAs, which, despite the large trading volume of EUAs, could theoretically allow a single investor or a group of investors to exert significant influence on the price of EUAs.

The fragmented nature of data regarding the EU carbon market and the lack of a centralized market monitoring of the EU carbon market may make it more difficult to identify potential market manipulation and abusive practices.

Risks Related to the Trust’s Structure. The Trust is a passive investment vehicle. This means that the value of your Shares may be adversely affected by Trust losses that, if the Trust had been actively managed, it might have been possible to avoid. The Trust will not take defensive positions to protect against declining Carbon Credit prices, which could cause a decline to the value of the Trust’s Shares. An investment in the Trust may be adversely affected by competition from other methods of investing in EUAs.

The Trust could terminate at any time and cause the liquidation and potential loss of an investor’s investment and could upset the overall maturity and timing of an investor’s investment portfolio.

There may be situations where an Authorized Participant is unable to redeem a Basket of Shares. To the extent the value of EUAs decreases, these delays may result in a decrease in the value of the EUAs the Authorized Participant will receive when the redemption occurs, as well as a reduction in liquidity for all Shareholders in the secondary market. The liquidity of the Shares may also be affected by the withdrawal from participation of Authorized Participants. The lack of an active trading market for the Trust’s Shares may result in losses on an investor’s investment in the Trust at the time the investor sells the Shares.

As an owner of Shares, you will not have the rights normally associated with ownership of other types of Shares, such as the protections normally associated with ownership of Shares in an investment company registered under the 1940 Act, or the protections afforded by the Commodity Exchange Act (“CEA”).

The market price at which investors buy or sell Shares may be significantly more or less than NAV.

The Exchange may halt trading in the Trust’s Shares, which would adversely impact an investor’s ability to sell Shares.

The Trust does not expect to make cash distributions.

Taxability Risk. Shareholders could incur a tax liability without an associated distribution of the Trust.

Foreside Fund Services, LLC, serves as the Marketing Agent for the Trust.