iShares Bitcoin Premium Income ETF 10-Q

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations. This information should be read in conjunction with the financial statements and notes to financial statements included in Item 1 of Part I of this Form 10‑Q. The discussion and analysis that follows may contain statements that relate to future events or future performance. In some cases, such forward-looking statements can be identified by terminology such as “ may, ” “ should, ” “ could, ” “ expect, ” “ plan, ” “ anticipate, ” “ believe, ” “ estimate, ” “ predict, ” “ potential ” or the negative of these terms or other comparable terminology. These statements are only predictions. Actual events or results may differ materially. These statements are based upon certain assumptions and analyses made by the Sponsor on the basis of its perception of historical trends, current conditions and expected future developments, as well as other factors it believes are appropriate in the circumstances. Whether or not actual results and developments will conform to the Sponsor ’ s expectations and predictions; however, is subject to a number of risks and uncertainties, including the special considerations discussed below, general economic, market and business conditions, changes in laws or regulations, including those concerning taxes, made by governmental authorities or regulatory bodies, and other world economic and political developments. Although the Sponsor does not make forward-looking statements unless it believes it has a reasonable basis for doing so, the Sponsor cannot guarantee their accuracy. Except as required by applicable disclosure laws, neither the Trust nor the Sponsor is under a duty to update any of the forward-looking statements to conform such statements to actual results or to a change in the Sponsor ’ s expectations or predictions. Introduction The iShares Bitcoin Premium Income ETF (the “Trust”) is a Delaware statutory trust. The Trust does not have any officers, directors, or employees and is administered by the Second Amended and Restated Trust Agreement dated as of June 4, 2026, among iShares Delaware Trust Sponsor LLC (the “Sponsor”), BlackRock Fund Advisors (the “Trustee”) and Wilmington Trust, National Association, a national association (the “Delaware Trustee”). The Trust issues shares (“Shares”) representing fractional undivided beneficial interests in its net assets. The assets of the Trust consist primarily of bitcoin and shares of iShares Bitcoin Trust ETF ("IBIT") held by a custodian on behalf of the Trust. The Trust is an actively managed investment vehicle and seeks to reflect generally the performance of the price of bitcoin while providing premium income through an actively managed strategy of writing (selling) call options primarily on IBIT shares, and, from time to time, on ETP Indices. The Trust seeks to reflect such performance before payment of the Trust’s expenses and liabilities. The Trust does not engage in any activities designed to obtain a profit from, or ameliorate losses caused by, changes in the price of bitcoin. The Trust issues and redeems Shares only in aggregations of 20,000 Shares (a “Basket”) or integral multiples thereof, based on the quantity of cash, bitcoin, and/or IBIT shares attributable to each Share (net of accrued but unpaid Sponsor’s fee and any accrued but unpaid expenses or liabilities). Only registered broker-dealers that have previously entered into an agreement with the Sponsor governing the terms and conditions of such issuance (such broker-dealers, the “Authorized Participants”), can place orders to receive Baskets in exchange for cash, bitcoin, and/or IBIT shares. Baskets may be redeemed by the Trust in exchange for an amount of cash, bitcoin, and/or IBIT shares corresponding to their redemption value or for the cash proceeds from selling the amount of bitcoin and/or IBIT shares corresponding to their redemption value. In connection with cash creations and redemptions, the Trust engages in bitcoin transactions for converting cash into bitcoin (in association with purchase orders) and bitcoin into cash (in association with redemption orders) by choosing, in its sole discretion, to trade directly with third parties (each, a “Bitcoin Trading Counterparty”), who are not registered broker-dealers pursuant to written agreements between such Bitcoin Trading Counterparties and the Trust, or choosing to trade through Coinbase, Inc. (the “Prime Execution Agent”) acting in an agency capacity with third parties through its Coinbase Prime service pursuant to the Prime Execution Agent Agreement. Shares of the Trust trade on The Nasdaq Stock Market LLC (“NASDAQ”) under the ticker symbol BITA. Valuation of Bitcoin ; The CF Benchmarks Index, Written Options On each day other than a Saturday or a Sunday, or a day on which NASDAQ is closed for regular trading (a “Business Day”), as soon as practicable after 4:00 p.m. Eastern Time (“ET”), the Trust evaluates the bitcoin held by the Trust as reflected by the CME CF Bitcoin Reference Rate – New York Variant for the Bitcoin – U.S. Dollar trading pair (the “CF Benchmarks Index”) and determines the net asset value of the Trust and the net asset value per Share (“NAV”). The CF Benchmarks Index is calculated as of 4:00 p.m. ET. The CF Benchmarks Index is designed based on the IOSCO Principles for Financial Benchmarks and is a Registered Benchmark under the UK Benchmark Regulations (“BMR”). The administrator of the CF Benchmarks Index is CF Benchmarks Ltd. (the “Index Administrator”) a UK incorporated company, authorized and regulated by the Financial Conduct Authority of the UK as a Benchmark Administrator, under the UK BMR. Flexible Exchange Options (“FLEX Options”) are valued by an independent pricing service using a mathematical model, such as Black-Scholes model, which incorporates a number of market data factors, such as trades and prices of the underlying instruments. Liquidity The Trust is not aware of any trends, demands, conditions or events that are reasonably likely to result in material changes to its liquidity needs. In exchange for a fee, the Sponsor has agreed to assume most of the expenses incurred by the Trust. As a result, the only ordinary expense of the Trust during the period covered by this report was the Sponsor’s fee. The Trust’s sources of liquidity are its sales of bitcoin and/or IBIT shares. Critical Accounting Policies The financial statements and accompanying notes are prepared in accordance with generally accepted accounting principles in the United States. The preparation of these financial statements relies on estimates and assumptions that impact the Trust’s financial position and results of operations. 12 Table of Contents These estimates and assumptions affect the Trust’s application of accounting policies. A description of the valuation of bitcoin, a critical accounting policy that the Trust believes is important to understanding its results of operations and financial position, is provided in the section entitled “Valuation of Bitcoin; The CF Benchmarks Index,” above. In addition, please refer to Note 2 to the financial statements included in this report for further discussion of the Trust’s accounting policies. Results of Operations The Period from April 21, 2026 (Date of Seeding) to June 30, 2026 On April 21, 2026, the Seed Capital Investor, an affiliate of the Sponsor, subject to conditions, purchased the Seed Creation Baskets, comprising 2,000 Shares at a per-Share price equal to $50.00. Total proceeds to the Trust from the sale of the Seed Creation Baskets were $100,000. On June 1, 2026, the Seed Capital Investor purchased the Seed Creation Baskets, comprising 198,000 Shares at a per-Share price equal to $50.00. Total proceeds to the Trust from the sale of the Seed Creation Baskets were $9,900,000. On June 9, 2026, the Trust purchased approximately 110 bitcoin and 90,901 IBIT shares, and wrote 856 options contracts with the aggregate proceeds of the Seed Creation Baskets using the Prime Execution Agent for the bitcoin and the Clearing Agent for the IBIT shares and options. With the above transaction on June 9, 2026, the Trust commenced operations and the Sponsor’s fee started accruing daily at an annualized rate equal to 0.65% of the net asset value of the Trust. The Trust’s net asset value increased from $100,000 at April 21, 2026 to $42,647,463 at June 30, 2026. The increase in the Trust’s net asset value resulted primarily from an increase in the number of outstanding Shares, which rose from 2,000 Shares at April 21, 2026 to 880,000 Shares at June 30, 2026, a consequence of the issuance of 198,000 additional seed Shares and the creation of 680,000 Shares (34 Baskets) during the period. The increase in the Trust's net asset value was partially offset by a 4.43% decrease in the price of bitcoin, from $61,838.98, the price at which the Trust first purchased bitcoin on June 9, 2026, to $59,101.49 at June 30, 2026, and a 4.75% decrease in the price of IBIT, from $35.15, the price at which the Trust first purchased IBIT shares on June 9, 2026, to $33.48 at June 30, 2026. The 3.08% decrease in the NAV for purposes of the Trust's periodic financial statements ("Financial Statement NAV"), from $50.00 at April 21, 2026 to $48.46 at June 30, 2026, primarily resulted from the 4.43% decrease in the price of bitcoin and the 4.75% decrease in the price of IBIT shares. The Financial Statement NAV decreased by slightly less than the prices of bitcoin and IBIT shares on a percentage basis due to realized and unrealized gains on options written of $79,073 and $265,776, respectively, or 5.41% of the Trust's average weighted assets of $6,375,640 during the period, partially offset by a net investment loss of $5,337, or 0.08% of the Trust's average weighted assets during the period. The NAV of $53.25 on June 15, 2026 was the highest during the period, compared with a low during the period of $48.46 on June 30, 2026. The net decrease in net assets resulting from operations for the period ended June 30, 2026 was $860,335, resulting from an unrealized loss on investments — affiliated of $417,644, an unrealized loss on investments in bitcoin of $782,203 and a net investment loss of $5,337, partially offset by a net realized gain of $79,073 from options written and an unrealized gain on options written of $265,776. Other than the net Sponsor’s fee of $5,357, the Trust had no expenses during the period. Item 3. Quantitative and Qualitative Disclosures About Market Risk. Quantitative Disclosure Number of contracts 3,836 Expiration date July 2026 Weighted-average price per contract $ 0.43056 Notional amount (fair value) $ 12,842,928