COtwo Advisors Reports Decrease in Net Assets and NAV for February 2026

COtwo Advisors Physical European Carbon Allowance Trust reported a decrease in net assets for the three months ending February 28, 2026, with net assets declining to $1.62 million from $1.92 million at the end of the previous fiscal period. The Trust's net asset value (NAV) per share fell to $16.21, down from $19.20, reflecting a decrease of approximately 15.57% in total return at NAV. The Trust's investment income for the period was $171, while total expenses amounted to $3,720, resulting in a net investment loss of $3,549. The significant decline in net assets was primarily attributed to a net change in unrealized losses on investments in European Union Carbon Emission Allowances (EUAs), which totaled $295,252.

In terms of operational metrics, the Trust maintained its holdings of 19,700 EUAs, valued at $1.61 million as of February 28, 2026. This represents a decrease in fair value from $1.90 million at the end of November 2025. The Trust's cash and cash equivalents also decreased to $16,816 from $20,497 during the same period. The Trust did not engage in any share creations or redemptions during the quarter, and the number of shares outstanding remained constant at 100,000. The Trust's management fee, which is 0.79% of the daily net asset value, continues to be the primary expense incurred.

The Trust's investment strategy focuses on EUAs, which are subject to market volatility influenced by various factors, including regulatory changes, economic conditions, and weather patterns. The market for EUAs experienced fluctuations during the reporting period, with prices ranging from $78.69 to $104.60. The Trust's management noted that ongoing geopolitical tensions, particularly the Ukraine-Russia conflict, and regulatory uncertainties surrounding the EU Emissions Trading System (ETS) have contributed to price volatility. The management anticipates that these factors will continue to influence EUA prices in the near future.

Looking ahead, the Trust's management expects elevated price volatility in the EUA market to persist, particularly as the EU ETS undergoes a comprehensive review expected to conclude in the third quarter of 2026. The management believes that the frequency and magnitude of trading premiums and discounts to NAV may decrease as more shares are issued, enhancing market liquidity. The Trust remains focused on its objective to reflect the performance of EUAs while managing operational expenses effectively.