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Item 2. Management’s Discussion and Analysis

2026-05-12 compared with 2025-11-14 · 344 added, 556 removed, 36 unchanged (96% of the section changed)

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 included in Item 1 of Part I of this Quarterly Report (the

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 included in Item 1 of Part I of this Quarterly Report on Form 10-Q (the

“ Report ” ).

The discussion and analysis which follows may contain trend analysis and other forward-looking

statements within the meaning of Section 21E of the Securities Exchange Act of 1934 which reflect our current views with respect

to future events and financial results.

Words such as “ anticipate, ” “ expect, ” “ intend, ”

“ plan, ” “ believe, ” “ seek, ” “ outlook ” and “ estimate, ”

as well as similar words and phrases, signify forward-looking statements.

The forward-looking statements of Tidal Commodities

Trust I (the “ Trust ” ) are not a guarantee of future results and conditions, and important factors, risks

and uncertainties may cause our actual results to differ materially from those expressed in our forward-looking statements.

or not actual results and developments will conform to our Sponsor’s expectations and predictions, however, is subject to

a number of risks and uncertainties, including the special considerations discussed in this Report;

general economic, market and

business conditions;

changes in laws or regulations, including those concerning taxes, made by governmental authorities or regulatory

the costs and effect of any litigation or regulatory investigations;

technology developments regarding the use of bitcoin

and other digital assets, including the systems used by Tidal Investments LLC (the “ Sponsor ”) in its

provision of services to the Trust;

The discussion and analysis which follows may contain trend analysis and other forward-looking statements

within the meaning of Section 21E of the Securities Exchange Act of 1934, as amended (the “Exchange Act”) which reflect our

current views with respect to future events and financial results.

Words such as “ anticipate, ” “ expect, ”

“ intend, ” “ plan, ” “ believe, ” “ seek, ” “ outlook ”

and “ estimate, ” as well as similar words and phrases, signify forward-looking statements.

The forward-looking

statements of Hashdex Commodities Trust (f/k/a Tidal Commodities Trust I, prior to January 16, 2026) (the “Trust”) are not

a guarantee of future results and conditions, and important factors, risks and uncertainties may cause our actual results to differ materially

from those expressed in our forward-looking statements.

Whether or not actual results and developments will conform to Hashdex Asset Management

Ltd.’s (the “Sponsor”) expectations and predictions, however, is subject to a number of risks and uncertainties, including

the special considerations discussed in this Report;

general economic, market and business conditions;

changes in laws or regulations,

including those concerning taxes, made by governmental authorities or regulatory bodies;

the costs and effect of any litigation or regulatory

investigations;

technology developments regarding the use of bitcoin and other digital assets, including the systems used by the Sponsor

in its provision of services to the Trust;

the Sponsor’s conflict of interest in allocating resources among its different clients

and the pursuit of future business or investment opportunities by the Sponsor, its officers and/or affiliated entities;

world economic and political developments.

These and other risks and uncertainties,

which are described in more detail in our Annual Report on Form 10-K, filed with the SEC on March 25, 2025, could cause our actual

results to differ materially from those expressed or implied by the forward -looking statements in this report.

You should not

place undue reliance on any forward-looking statements.

Except as expressly required by the Federal securities laws, the Sponsor

undertakes no obligation to publicly update or revise any forward-looking statements or the risks, uncertainties or other factors

described in this Report, as a result of new information, future events or changed circumstances or for any other reason after

the date of this Report.

Overview/Introduction

Tidal Commodities Trust I (“Trust”),

a Delaware statutory trust organized on February 10, 2023, is a series trust currently consisting of one series:

Hashdex Bitcoin

ETF (f/k/a Hashdex Bitcoin Futures ETF) (“DEFI” or the “Fund”).

The Trust also includes one additional

series, the 7RCC Spot Bitcoin and Carbon Credit Futures ETF, which may be publicly offered in the future.

The Fund is a commodity

The Fund issues shares of beneficial interest, with no par value (the “Shares”), representing fractional undivided

beneficial interests in the Fund.

The Fund’s investment objective is for changes in the Shares’ net asset value (“NAV”)

to reflect the daily changes of the price of the Nasdaq Bitcoin Reference Price - Settlement (NQBTCS) (the “Benchmark”),

and other world

economic and political developments.

These and other risks and uncertainties, which

are described in more detail in our Annual Report on Form 10-K, filed with the SEC on March 25, 2026, could cause our actual results to

differ materially from those expressed or implied by the forward-looking statements in this Report.

You should not place undue reliance

on any forward-looking statements.

Except as expressly required by the Federal securities laws, the Sponsor undertakes no obligation to

publicly update or revise any forward-looking statements or the risks, uncertainties or other factors described in this Report, as a result

of new information, future events or changed circumstances or for any other reason after the date of this Report.

Trust Overview

Hashdex Commodities Trust (f/k/a Tidal Commodities

Trust I, prior to January 16, 2026) (the “Trust”), a Delaware statutory trust organized on February 10, 2023, is a series

trust currently consisting of one series:

Hashdex Bitcoin ETF (f/k/a Hashdex Bitcoin Futures ETF) (“DEFI” or the “Fund”).

The Fund issues shares of beneficial interest, called “Shares,” representing fractional undivided beneficial interests in

The Fund’s investment objective is for changes in the Shares’ net asset value (the “NAV”) to reflect

the daily changes of the price of the Nasdaq Bitcoin Reference Price - Settlement (“NQBTCS” or the “Benchmark”),

less expenses from the Fund’s operations.

The Benchmark is designed to track the price performance of bitcoin.

The Fund invests

in bitcoin, bitcoin futures contracts (“Bitcoin Futures Contracts”) listed on the Chicago Mercantile Exchange Inc.

(“CME”), and cash and cash equivalents.

Because the Fund’s investment objective is to track the price of the

Benchmark, changes in the price of the Shares may vary from changes in the spot price of bitcoin.

The Trust and the Fund operate

pursuant to the Trust’s Amended and Restated Declaration of Trust and Trust Agreement (the “Trust Agreement”),

dated March 10, 2023.

On January 2, 2024, the initial Form S-1 for DEFI was declared effective by the U.S.

Securities and Exchange

Commission (“SEC”).

As noted below, the Fund is the successor to the Predecessor Fund (defined below), which commenced

operations in September 2022.

The Fund’s shares trade on the NYSE Arca stock exchange (“NYSE Arca”).

registration statement for DEFI was declared effective by the SEC on January 2, 2024 and registered an indeterminate number of

BitGo Trust Company, Inc (the “Bitcoin Custodian”) is the custodian for the Fund’s bitcoin holdings;

is the custodian for the Fund’s cash and cash equivalents holdings (the “Cash Custodian”

assets consist of bitcoin and, potentially, limited amounts of cash.

Because the Fund’s investment objective is to track the price

of the Benchmark, changes in the price of the Shares may vary from changes in the spot price of bitcoin.

The Trust and the Fund operate pursuant to the

Trust’s Second Amended and Restated Declaration of Trust and Trust Agreement (the “Trust Agreement”), dated January

On January 16, 2026, the post-effective amendment to the Trust’s Form S-1 for DEFI was declared effective by the U.S.

Securities and Exchange Commission (the “SEC”).

BitGo Trust Company, Inc (the “Bitcoin Custodian”) is the custodian

for the Fund’s bitcoin holdings; and U.S.

is the custodian for the Fund’s cash holdings (the “Cash Custodian”

and together with the Bitcoin Custodian, the “Custodians”).

The Fund is the successor and surviving

entity from the merger (the “Merger”) of the Hashdex Bitcoin Futures ETF (the “Predecessor Fund”) into

The Predecessor Fund was a series of the Teucrium Commodity Trust (the “Predecessor Trust”) sponsored by

Teucrium Trading, LLC (“Prior Sponsor”).

The principal address and telephone number of the Fund is 1100

North Market Street, Suite 1300, Wilmington, DE 19801 and (302) 651-1000.

The Fund is the successor and surviving entity

from the merger (the “Merger”) of the Hashdex Bitcoin Futures ETF (the “Predecessor Fund”) into the Fund.

Predecessor Fund was a series of the Teucrium Commodity Trust (the “Predecessor Trust”) sponsored by Teucrium Trading, LLC

(the “Teucrium”).

The Merger closed on January 3, 2024.

In connection with the Merger, the Predecessor

Fund shareholders received one Share for each share of the Predecessor Fund they owned prior to the Merger.

The sponsor of the

Trust is Tidal Investments LLC, a Delaware limited liability company (the “Sponsor”).

The principal office of the Sponsor

is Milwaukee, Wisconsin and the Trust is located at 234 West Florida Street, Suite 203, Milwaukee, Wisconsin 53204.

is registered as a commodity pool operator (“CPO”) with the Commodity Futures Trading Commission (“CFTC”)

and is a member of the National Futures Association (“NFA”).

The Fund intends to be treated as a partnership for U.S.

federal income tax purposes.

The Sponsor has sponsored the Trust since 2023.

Sponsoring the Fund will be the Sponsor’s first

experience in operating an exchange traded product that invests in crypto-currency futures or directly in bitcoin.

The Sponsor’s

responsibilities are discussed below in the section entitled “ The Sponsor’s Operations.

While investors will purchase and sell

Shares through their broker-dealer, the Fund continuously offers creation baskets consisting of 10,000 Shares (“Creation

Baskets”) at their net asset value (“NAV”) to certain financial institutions that have entered into an agreement

with the Sponsor (“Authorized Purchasers”).

Merger with Hashdex Bitcoin Futures ETF

On January 3, 2024, the Trust completed

the Merger and acquisition of the Predecessor Fund, a series of the Predecessor Trust, into the Fund, a series of the Trust.

Merger was effected pursuant to an Agreement and Plan of Partnership Merger and Liquidation dated as of October 30, 2023 (the “Plan

of Merger”) between the Predecessor Trust, on behalf of its Predecessor Fund series, and the Trust, on behalf of its Fund

Pursuant to the Plan of Merger, each Predecessor

Fund shareholder received one share of the Fund for every one share of the Predecessor Fund held immediately before the commencement

of trading on the NYSE Arca on the Closing Date based on the net asset value per share of the Predecessor Fund being equal to the

net asset value per share of the Fund determined immediately prior to the Merger closing.

The share price used for the delivery

of shares of the Predecessor Fund was the net asset value per share of the Predecessor Fund determined after the close of business

of NYSE Arca on January 2, 2024.

Consequently, the Merger resulted in a one-for-one exchange of shares between the Predecessor

Fund and the Fund.

Further, the Fund acquired in the Merger all the assets of the Predecessor Fund and assumed all the liabilities

of the Predecessor Fund.

Effective the Merger closing, the Plan of Merger caused all of the Predecessor Fund’s shares to

be cancelled and the Predecessor Fund to be liquidated.

The Merger did not materially modify the

rights of Predecessor Fund shareholders with respect to their investment.

The Fund has the same investment objective, investment

strategies and investment restrictions, and substantially identical investment risks, as those had by the Predecessor Fund.

the Merger, the Fund is now sponsored by the Sponsor, Tidal Investments LLC (f/k/a Toroso Investments LLC), and the Fund is now

managed by portfolio managers employed by the Sponsor.

The Fund pays the same management fee rate to the Sponsor, under the same

terms, as previously paid by the Predecessor Fund to Teucrium Trading, LLC, the sponsor of the Predecessor Trust and the Predecessor

The Fund’s shares commenced trading on the NYSE Arca upon

the effectiveness of the Merger under the ticker symbol “ DEFI.

Effect of Merger - Conversion to U.S.

Spot Bitcoin ETF

On March 26, 2024,

the Trust announced that the Fund would be permitted to have spot bitcoin holdings, and that it would track the Benchmark effective

March 27, 2024.

The Predecessor Fund’s name was the Hashdex Bitcoin Futures ETF, and the Fund’s name is the Hashdex

Effective as of March 27, the Fund has a policy to maximize its holdings of physical bitcoin such that it is expected

that at least 95% of the Fund’s assets will be invested in spot bitcoin.

Up to 5% of the Fund’s remaining assets may

be invested in CME-traded bitcoin futures contracts and in cash and cash equivalents.

Performance Summary

This report covers the periods from January 1, 2025 to September

30, 2025 for DEFI.

Per Share Operation Performance

Net asset value at beginning of period

Income (loss) from investment operations:

Investment income

Net realized and unrealized gain (loss) on investments and cryptocurrency futures contracts

Total expenses

Net increase (decrease) in net asset value

Net asset value at end of period

Ratios to Average Net Assets (Annualized)

Total expenses

Total expenses, net

Net investment income (loss)

Market Outlook - The Bitcoin Industry

Bitcoin is a digital asset that serves

as the unit of account on an open -source, decentralized, peer-to-peer computer network.

Bitcoin may be used to pay for goods and

services, stored for future use, or converted to a fiat currency.

As of the date of this update, the adoption of bitcoin for these

purposes has been limited.

In connection with the Merger, the Predecessor Fund shareholders received

one Share for each share of the Predecessor Fund they owned prior to the Merger.

The sponsor of the Fund is Hashdex Asset

Management Ltd.

(the “Sponsor” or “Hashdex”), which receives a management fee (the “Management

As of March 31, 2026, the Sponsor serves as sponsor, investment manager, or investment adviser to over 9 pooled

investment vehicles across multiple jurisdictions, including investment strategies relating to crypto asset markets.

January 16, 2026, the Fund’s sponsor was Tidal Investments LLC (f/k/a Toroso Investments, LLC) (“Tidal”).

While investors will purchase and sell Shares

through their broker-dealer, the Fund continuously offers and redeems baskets consisting of 10,000 Shares (“Baskets”) at their

NAV to certain financial institutions that have entered into an agreement with the Sponsor (the “Authorized Purchasers”).

Recent Trends and Developments Impacting the

Fund and Trust

Conversion to Spot Bitcoin ETF

On March 26, 2024, the Trust announced that the

Fund would be permitted to have spot bitcoin holdings, and that it would track the Benchmark effective March 27, 2024.

The Predecessor

Fund’s name was the Hashdex Bitcoin Futures ETF, and the Fund’s name is the Hashdex Bitcoin ETF.

Under normal market conditions,

the Fund had a policy to maximize its holdings of physical bitcoin such that it was expected that at least 95% of the Fund’s assets

would be invested in spot bitcoin, and up to 5% of the Fund’s remaining assets would be invested in Chicago Mercantile Exchange

(“CME”)-traded bitcoin futures contracts and in cash and cash equivalents.

Upon the commencement of Hashdex’s service

as the Trust’s sponsor, the Fund achieves its investment objective by primarily investing in bitcoin and does not purchase or sell

bitcoin futures contracts.

Sponsor Transition

Effective after the close of trading on January

15, 2026, Tidal withdrew as the sponsor of the Trust and simultaneously appointed Hashdex as the sponsor of the Trust (the “Sponsor

Replacement”).

Following the Sponsor Replacement, Tidal no longer has any involvement in the operations, management or marketing

In connection with the Sponsor Replacement, certain changes were made to the Fund’s principal investment strategies

and techniques.

Prior to the Sponsor Replacement, the Fund sought to achieve its investment objective by primarily investing in bitcoin.

The Fund used bitcoin futures contracts for the primary purpose of acquiring physical bitcoin through CME’s Exchange for Physical

Transactions (“EFP”) and to offset cash and receivables for better tracking the Benchmark.

The Fund had a policy to maximize

its investments in physical bitcoin such that it was expected that, under normal market conditions, at least 95% of the Fund’s assets

would be invested in bitcoin, and up to 5% may be invested in bitcoin futures contracts and in cash and cash equivalents, such as short-term

Treasury bills, money market funds, and demand deposit accounts.

Upon the commencement of Hashdex’s service

as the Trust’s sponsor, the Fund attempts to achieve its investment objective by primarily investing in bitcoin without using futures

The Fund’s assets consist of bitcoin and cash.

The Fund may hold cash in connection with cash purchases and redemptions

of Shares and it also will occasionally hold cash for short periods to pay the Sponsor’s Management Fee and any other Fund expenses

and liabilities not assumed by the Sponsor.

The Fund will not hold any assets other than bitcoin and cash.

The Bitcoin Industry

Bitcoin is a digital asset that serves as the

unit of account on an open-source, decentralized, peer-to-peer computer network.

Bitcoin may be used to pay for goods and services, stored

for future use, or converted to a fiat currency.

As of the date of this update, the adoption of bitcoin for these purposes has been limited.

The value of bitcoin is not backed by any government, corporation, or other identified body.

The value of bitcoin is determined in part

by the supply of (which is limited), and demand for, bitcoin in the markets for exchange that have been organized to facilitate

the trading of bitcoin.

The value of bitcoin is determined in part by

the supply of (which is limited), and demand for, bitcoin in the markets for exchange that have been organized to facilitate the trading

By design, the supply of bitcoin is limited to 21 million bitcoins.

As of the date of this update, there

are approximately $19 million bitcoins in circulation.

As of the date of this update, there are approximately

19 million bitcoins in circulation.

Bitcoin is maintained on the Bitcoin Network.

No single entity owns or operates the Bitcoin Network.

The Bitcoin Network is accessed through software and governs bitcoin’s

creation and movement.

The source code for the Bitcoin Network, often referred to as the Bitcoin Protocol, is open-source, and

anyone can contribute to its development.

Price movements for bitcoin are influenced

by, among other things, the environment, natural or man-made disasters, governmental oversight and regulation, demographics, economic

conditions, infrastructure limitations, existing and future technological developments, and a variety of other factors now known

and unknown, any and all of which can have an impact on the supply, demand, and price fluctuations in the bitcoin markets.

generally, cryptocurrency prices may be influenced by economic and monetary events such as changes in interest rates, changes in

balances of payments and trade, U.S.

The Bitcoin Network is accessed through software and governs bitcoin’s creation

and movement.

The source code for the Bitcoin Network, often referred to as the Bitcoin Protocol, is open-source, and anyone can contribute

to its development.

Price movements for bitcoin are influenced by,

among other things, the environment, natural or man-made disasters, governmental oversight and regulation, demographics, economic conditions,

infrastructure limitations, existing and future technological developments, and a variety of other factors now known and unknown, any

and all of which can have an impact on the supply, demand, and price fluctuations in the bitcoin markets.

More generally, cryptocurrency

prices may be influenced by economic and monetary events such as changes in interest rates, changes in balances of payments and trade,

and international inflation rates, currency valuations and devaluations, U.S.

and international

economic events, and changes in the philosophies and emotions of market purchasers.

Because the Predecessor Fund invested in futures

contracts in a single cryptocurrency, it was not a diversified investment vehicle, and therefore may have been subject to greater

volatility than a diversified portfolio of stocks or bonds or a more diversified commodity or cryptocurrency pool.

Likewise, because

the Fund invests in spot bitcoin and futures contracts in a single cryptocurrency, it is not a diversified investment vehicle,

and therefore may be subject to greater volatility than a diversified portfolio of stocks or bonds or a more diversified commodity

or cryptocurrency pool.

Trading in instruments such as futures

contracts will involve the Fund entering into contractual commitments to purchase or sell specific amounts of cryptocurrencies

at a specified date in the future.

The gross or face amount of the contracts is expected to significantly exceed the future cash

requirements of the Fund as the Fund intends to close out any open positions prior to the contractual expiration date.

the Fund’s market risk is the risk of loss arising from the decline in value of the contracts, not from the need to make

delivery under the contracts.

The Fund considers the “fair value” of derivative instruments to be the unrealized gain

or loss on the contracts.

The market risk associated with the commitment by the Fund to purchase a specific cryptocurrency will

be limited to the aggregate face amount of the contacts held.

The exposure of the Fund to market risk

will depend on a number of factors including the markets for the specific cryptocurrency, the volatility of interest rates and

foreign exchange rates, the liquidity of the Bitcoin Futures Contracts markets and the relationships among the contracts held by

When the Fund enters into futures contracts,

it will be exposed to the credit risk that the counterparty will not be able to meet its obligations.

For purposes of credit risk,

the counterparty for the futures contracts traded on the Chicago Board of Trade, Intercontinental Exchange and CME is the clearinghouse

associated with those exchanges.

In general, clearinghouses are backed by their members who may be required to share in the financial

burden resulting from the non-performance of one of their members, which should significantly reduce credit risk.

exchanges are not backed by their clearinghouse members but may be backed by a consortium of banks or other financial institutions.

Unlike in the case of exchange traded futures contracts, the counterparty to an over the counter futures contract is generally

a single bank or other financial institution.

As a result, there will be greater counterparty credit risk in over the counter transactions.

There can be no assurance that any counterparty, clearinghouse, or their financial backers will satisfy their obligations to the

The Sponsor will attempt to manage the

credit risk of the Fund by following certain trading limitations and policies.

In particular, the Fund intends to post margin and

collateral and/or hold liquid assets that will be equal to approximately the face amount of the futures contracts it holds.

Sponsor will implement procedures that will include, but will not be limited to, executing and clearing trades and entering into

over the counter transactions only with parties it deems creditworthy and/or requiring the posting of collateral by such parties

for the benefit of each Fund to limit its credit exposure.

The CEA requires

all Future Commission Merchants (the “FCMs”), such as the Fund’s clearing brokers, to meet and maintain specified

fitness and financial requirements, to segregate customer funds from proprietary funds and account separately for all customers’

funds and positions, and to maintain specified books and records open to inspection by the staff of the CFTC.

The CFTC has similar

authority over introducing brokers, or persons who solicit or accept orders for commodity interest trades but who do not accept

margin deposits for the execution of trades.

The CEA authorizes the CFTC to regulate trading by FCMs and by their officers and

directors, permits the CFTC to require action by exchanges in the event of market emergencies, and establishes an administrative

procedure under which customers may institute complaints for damages arising from alleged violations of the CEA.

The CEA also gives

the states powers to enforce its provisions and the regulations of the CFTC.

On November 14, 2013, the CFTC published

final regulations that require enhanced customer protections, risk management programs, internal monitoring and controls, capital

and liquidity standards, customer disclosures and auditing and examination programs for FCMs.

The rules are intended to afford

greater assurances to market participants that customer segregated funds and secured amounts are protected, customers are provided

with appropriate notice of the risks of futures trading and of the FCMs with which they may choose to do business, FCMs are monitoring

and managing risks in a robust manner, the capital and liquidity of FCMs are strengthened to safeguard the continued operations

and the auditing and examination programs of the CFTC and the SROs are monitoring the activities of FCMs in a thorough manner.

StoneX and Phillip Capital serve as the Fund’s clearing

brokers to execute futures contracts and provide other brokerage-related services.

and international economic events, and changes in the

philosophies and emotions of market purchasers.

Because the Predecessor Fund invested in futures contracts in a single cryptocurrency,

it was not a diversified investment vehicle, and therefore may have been subject to greater volatility than a diversified portfolio of

stocks or bonds or a more diversified commodity or cryptocurrency pool.

Likewise, because the Fund invests in spot bitcoin in a single

cryptocurrency, it is not a diversified investment vehicle, and therefore may be subject to greater volatility than a diversified portfolio

of stocks or bonds or a more diversified commodity or cryptocurrency pool.

Results of Operations

The discussion below addresses the material changes in the results

of operations for the three months ended September 30, 2025, compared to the same period in 2024.

Total expenses for the current and comparative

period are presented both gross and net of any expenses waived or paid by the Prior Sponsor that would have been incurred by the

Fund (“expenses waived by the Prior Sponsor”).

For all expenses waived in 2024, the Prior Sponsor is not entitled to

reimbursement.

“Total expenses, net” is after the impact of any expenses waived by the Prior Sponsor, are presented

in the same manner as previously reported.

There is, therefore, no impact to or change in the Net gain or Net loss in any period

for the Trust and the Fund as a result of this change in presentation.

The Fund is the successor and surviving

entity from the Merger of the Predecessor Fund into the Fund.

The Predecessor Fund was a series of the Teucrium Commodity Trust

sponsored by Teucrium Trading, LLC.

The discussion below addresses the material changes

in the results of operations for the three months ended March 31, 2026 compared to the same period in 2025.

The Fund is the successor and surviving entity

from the Merger of the Predecessor Fund into the Fund.

The Predecessor Fund was a series of the Predecessor Trust sponsored by Teucrium.

The Predecessor Fund commenced operations on September 15, 2022.

The investment objective of

both the Predecessor Fund and the Fund (for the period from January 3, 2024 to March 26, 2024) was for changes in the Fund’s

shares’ net asset value (“NAV”) to reflect the daily changes of the price of the Hashdex U.S.

Bitcoin Futures

Fund Benchmark (the “Prior Benchmark”), less expenses from such Fund’s operations.

The Prior Benchmark reflect

the average of the closing settlement prices for the first to expire and second to expire bitcoin futures contracts listed on the

Chicago Mercantile Exchange (“CME”).

The investment objective of both the Predecessor Fund and the Fund (for

the period from January 3, 2024 to March 26, 2024) was for changes in the fund’s shares’ NAV to reflect the daily changes

of the price of the Hashdex U.S.

Bitcoin Futures Fund Benchmark (the “Prior Benchmark”), less expenses from such fund’s

The Prior Benchmark reflected the average of the closing settlement prices for the first to expire and second to expire bitcoin

futures contracts listed on the CME.

Effective as of March 27, 2024, the Fund’s

investment objective and strategy were revised to reflect that the Fund could have spot bitcoin holdings.

That is, the Fund’s

investment objective is for changes in the Shares’ NAV to reflect the daily changes of the price of the Nasdaq Bitcoin Reference

Price - Settlement (NQBTCS) (the “Benchmark”), less expenses from the Fund’s operations.

Under normal market

conditions, the Fund’s current policy is to maximize its holdings of physical bitcoin such that it is expected that at least

95% of the Fund’s assets will be invested in spot bitcoin.

Up to 5% of the Fund’s remaining assets may be invested

in CME-traded bitcoin futures contracts and in cash and cash equivalents.

Performance data from January 1, 2024,

to January 3, 2024, reflects the performance of the Predecessor Fund.

Performance from January 4, 2024, to March 26, 2024, reflects

the Fund’s performance under its previous investment strategy, which involved investing in futures contracts.

data from March 27, 2024, onward reflect the Fund’s current investment strategy.

On September 30, 2025, the Fund held 134.87 Units of spot bitcoin

That is, the Fund’s investment

objective was for changes in the Shares’ NAV to reflect the daily changes of the price of the NQBTCS, less expenses from the Fund’s

Under normal market conditions, the Fund’s policy was to maximize its holdings of physical bitcoin such that it was

expected that at least 95% of the Fund’s assets would be invested in spot bitcoin, and up to 5% of the Fund’s remaining assets

would be invested in CME-traded bitcoin futures contracts and in cash and cash equivalents.

Effective as of January 16, 2026, in connection

with the change of the Trust’s Sponsor, certain changes were made to the Fund’s principal investment strategies and techniques.

Prior to the Sponsor Replacement, the Fund used bitcoin futures contracts for the primary purpose of acquiring and disposing of physical

bitcoin through CME’s EFP Transactions and to offset cash and receivables for better tracking the Benchmark.

Upon the commencement of Hashdex’s service

as the Trust’s sponsor, the Fund no longer acquires or disposes of bitcoin through the use of EFP transactions.

assets consist of bitcoin and cash.

The Fund may hold cash in connection with cash purchases and redemptions of Shares and it also will

occasionally hold cash for short periods to pay the Sponsor’s Management Fee and any other Fund expenses and liabilities not assumed

by the Sponsor.

The Fund will not hold any assets other than bitcoin and cash.

Performance data from September 15, 2022 to

January 3, 2024, reflects the performance of the Predecessor Fund.

Performance data from January 4, 2024 to March 26, 2024, reflects the

Fund’s performance under its previous investment strategy, which involved investing in futures contracts.

Performance data from

March 27, 2024 to January 16, 2026 reflects the Fund’s previous investment strategy, which involved investing in spot bitcoin and

acquiring and disposing of bitcoin through the use of EFP transactions.

Performance data from January 16, 2026 onward reflects the Fund’s

current investment strategy, which involves investing in spot bitcoin without the use of EFP transactions.

On March 31, 2026, the Fund held 134.87 bitcoin

with an asset fair value of $ 9,141,203.

Quarter Ended

September 30,

Three Months Ended

Total Net Assets

2 unchanged sentences

Closing Price

Total net assets for the Fund increased

year over year by 65.38%, driven by an increase in the NAV per share of $ 57.19 or 79.16%.

The change in total net assets year

over year was generally due to the Bitcoin price appreciation from $63,375.35 per Bitcoin as of September 30, 2024, to $114,475.44

per Bitcoin as of September 30, 2025, representing an approximate 80.63% increase year over year.

For the three months ended September 30, 2025, compared to

the three months ended September 30, 2024:

Quarter Ended

September 30, 2025

September 30, 2024

For the three months ended March 31, 2026, compared to the three

months ended March 31, 2025:

Three Months Ended

March 31, 2026

March 31, 2025

Average daily total net assets

Net realized and unrealized gain (loss) on futures contracts and investments

$ (2,671,064 )

$ (1,712,846 )

Interest income earned on cash equivalents

1 unchanged sentence

Net Income (Loss)

$ (2,677,042 )

$ (1,733,048 )

Weighted average shares outstanding

3 unchanged sentences

Total gross expense ratio

Net investment gain (loss)

Net Investment Income (Loss)

Creation of Shares

Redemption of Shares

Net Realized Gain or Loss on Futures Contracts

Realized gain or loss on trading of commodity

futures contracts is a function of:

1) the change in the price of the particular contracts sold as part of a “roll”

in contracts as the nearest to expire contracts are exchanged for the appropriate contract given the investment objective of the

fund, 2) the change in the price of particular contracts sold in relation to redemption of shares, 3) the gain or loss associated

with rebalancing trades which are made to ensure conformance to the benchmark, 4) the number of contracts held and then sold for

either circumstance aforementioned.

The Fund recognizes the expense for brokerage commissions for futures contract trades on a

per trade basis.

Unrealized gain or loss on trading of commodity futures contracts is a function of the change in the price of

contracts held on the final date of the period versus the purchase price for each contract and the number of contracts held in

each contract month.

The Fund conducts creation and redemption transactions only for cash, and, with respect to creation transactions,

the cash is used to purchase Bitcoin Futures Contracts only.

The Fund will use Bitcoin Futures Contracts for the primary purpose

of using such Bitcoin Futures Contracts to acquire physical bitcoin through Exchange for Physical (“EFP”) transactions

and to offset cash and receivables for better tracking the Benchmark.

The net realized and unrealized loss on futures contracts

was related to the decrease in the Fund’s net assets and the Bitcoin price depreciation during the three months ended September

In the three months ended September 30, 2025 compared to the

three months ended September 30, 2024 the amount of interest income earned as a percentage of daily total net assets was significantly

The decrease in interest and other income over these periods was primarily due to a decrease in the investments within

short-term Treasury Securities, demand deposits, money market funds and/or investments in commercial paper;

in the Fund’s

current policy, only up to 5% of the Fund’s assets may be invested in CME-traded bitcoin futures contracts and in cash and

cash equivalents.

The Fund seeks to earn interest and other income in investments that may include, but are not limited to, short-term

Treasury Securities, demand deposits, money market funds and investments in commercial paper.

These interest rate levels may be

lower or higher than the projected interest rates stated in the prospectuses and thus will impact your breakeven point.

The decrease in management fee

paid to the Sponsor for the three months ended September 30, 2025, compared to the three months ended September 30, 2024, despite

higher Fund average net assets overall, is a result of the Sponsor lowering the management fee from 0.90% to 0.25% per annum of

the daily NAV of the Fund effective February 10, 2025.

Other than the management fee to the Sponsor, the Fund incurred total gross

fees and other expenses excluding management fees and brokerage commissions, which were significantly lower than during the three

months ended September 30, 2024, where the Fund incurred brokerage commissions.

Brokerage commissions are recognized on a per-trade

basis to each futures contract’s or bitcoin share’s cost basis.

Trading fees for the Fund are recorded in the statement

of operations as broker expenses.

The actual amount of trading fees to be incurred will vary based upon the trading frequency of

For the three months ended September

30, 2024, most of the expenses incurred by the Predecessor Fund were associated with the management fee and day-to -day operation

of the Fund and the necessary functions related to regulatory compliance.

Those were generally based on contracts, which extend

for some period of time and up to one year, or commitments regardless of the level of assets under management.

The Sponsor has

not elected to waive management fees or other expenses.

These factors also explain the decrease in total gross fees and other expenses

excluding management fees, as well as the decrease in total gross expense ratio for the three months ended September 30, 2025.

The decrease in total brokerage

commissions for the three months ended September 30, 2025, compared to the nine months ended September 30, 2024, was primarily

due to a decrease in futures contracts purchased, liquidated, and rolled given the Fund’s current policy to maximize its

holdings of physical bitcoin instead of CME-traded bitcoin futures contracts.

The graph below shows the actual

shares outstanding, total net assets (or AUM) and net asset value per share (NAV per share) for the Fund from inception to September

30, 2025 and serves to illustrate the relative changes of these components.

The graphs below shows the actual Shares outstanding,

total net assets (or assets under management) and NAV per Share for the Fund from inception to March 31, 2026 and serves to illustrate

the relative changes of these components.

Benchmark Performance

The following graphs illustrate changes in the

Fund’s NAV, as reflected by the graphs “Comparison of NAV to Benchmark” for the three months ended March 31, 2026 and

Comparison of NAV to Benchmark

for the Three Months Ended March 31, 2026

NEITHER THE PAST PERFORMANCE OF

THE FUND NOR THE PRIOR BENCHMARK LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE

The graph above compares the return of

the Fund with the Benchmark returns for the three months ended March 31, 2026.

The difference in the NAV price and the Benchmark value

often results in the appearance of a NAV premium or discount to the Benchmark.

Differences in the Benchmark and the Fund’s NAV per

Share are due to such factors as the following, among others:

● The Benchmark assumes no Management Fees, while the Fund paid 0.25% of average net assets on an annualized

basis to the Sponsor (beginning on January 16, 2026) and to Tidal (prior to January 16, 2026) as a Management Fee.

Comparison of NAV to Benchmark

for the Three Months Ended March 31,

NEITHER THE PAST PERFORMANCE OF

THE FUND NOR THE PRIOR BENCHMARK LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE

The graph above compares the return of

the Fund with the Benchmark returns for the three months ended March 31, 2025.

The difference in the NAV price and the Benchmark value

often results in the appearance of a NAV premium or discount to the Benchmark.

Differences in the Benchmark and the Fund’s NAV per

Share are due to such factors as the following, among others:

● The Benchmark assumes no Management Fees, while the Fund paid 0.25% of average net assets (0.90% prior

to February 10, 2025) on an annualized basis to Tidal as a Management Fee.

Frequency Distribution of Premiums and Discounts

The frequency distribution chart below presents

information about the difference between the daily market price for Shares of the Fund and the Fund’s reported NAV per Share.

amount that a Fund’s market price is above the reported NAV is called the premium.

The amount that a Fund’s market price is

below the reported NAV is called the discount.

The market price is determined using the midpoint between the highest bid and the lowest

offer on the listing exchange, as of the time that a Fund’s NAV is calculated (usually 4:00 p.m.

The chart shows the number

of trading days in which the Fund traded within the premium/discount range indicated.

Frequency distribution charts are also available

on the Fund’s website on a quarterly basis.

*A unit that is equal to 1/100th of 1% and is

used to denote the change in a financial instrument.

NEITHER THE PAST PERFORMANCE OF THE FUND NOR

THE PRIOR BENCHMARK LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE

Days at premium

Days at discount

The performance data above for the Fund represents

past performance.

Past performance is not a guarantee of future results.

Investment return and value of the Fund’s Shares will fluctuate

so that an investor’s Shares, when sold, may be worth more or less than their original cost.

Performance may be lower or higher

than performance data quoted.

Calculating NAV

The Fund’s NAV per Share is calculated by:

● taking the current market value of its total assets, including spot bitcoin and cash, pursuant to policies

established from time to time by the Sponsor or otherwise described herein,

● subtracting any liabilities, and

● dividing the above total by the number of Shares outstanding.

Bancorp Fund Services, LLC, doing business

Bank Global Fund Services (“Global Fund Services”) serves as the Fund’s administrator (the “Administrator”)

and calculates the NAV of the Fund once each trading day.

It calculates the NAV as of the earlier of the close of regular trading on the

Exchange or 4:00 p.m.

The NAV for a particular trading day is released after 4:15 p.m.

Valuation of Bitcoin

In determining the value of the Fund’s holdings,

the Administrator will value the bitcoin held by the Fund based on the closing level of the Benchmark, the NQBTCS, unless the prices are

not available or the Administrator, in its sole discretion, determines that the NQBTCS is unreliable (the “Fair Value Event”).

In the instance of a Fair Value Event, the Fund’s

holdings may be fair valued on a temporary basis in accordance with the fair value policies approved by the Administrator.

In the instance

of a Fair Value Event and pursuant to the Administrator’s fair valuation policies and procedures, volume-weighted average prices

or volume weighted median prices from another index administrator (the “Secondary Index”) will be utilized.

If a Secondary Index is also not available

or the Administrator in its sole discretion determines the Secondary Index is unreliable, the price set by the Fund’s

principal market as of 4:00 p.m.

E.T., on the valuation date will be utilized.

In the event the principal market price is not

available or the Administrator in its sole discretion determines the principal market valuation is unreliable, the Administrator

will use its best judgment to determine a good faith estimate of fair value.

The Administrator identifies and determines the

Fund’s principal market (or in the absence of a principal market, the most advantageous market) for crypto assets consistent

with the application of the fair value measurement framework in the Financial Accounting Standards Board Accounting Standards

Codification 820-10.

The principal market is the market where the reporting entity would normally enter into a transaction to sell

the asset or transfer the liability.

The principal market must be available to and be accessible by the reporting entity.

reporting entity is the Trust.

If NQBTCS is not used to determine the Fund’s bitcoin holdings, shareholders will be notified

through a prospectus supplement, a current report on Form 8-K, the Fund’s periodic reports pursuant to the Securities Exchange

Act of 1934, as amended (the “Exchange Act”) and/or on the Fund’s website.

A Fair Value Event value determination will be

based upon all available factors that the Sponsor or the Administrator deems relevant at the time of the determination and may be based

on analytical values determined by the Sponsor or Administrator using third party valuation models.

Fair value policies approved by the

Administrator will seek to determine the fair value price that the Fund might reasonably expect to receive from the current sale of that

asset or liability in an arm’s-length transaction on the date on which the asset or liability is being valued consistent with “Relevant

Transactions”.

A “Relevant Transaction” is any crypto asset versus U.S.

Dollar (“USD”) spot trade that occurs

during the observation window between 3:00 p.m.

and 4:00 p.m.

on a Core Exchange in the Bitcoin/USD pair that is reported and disseminated

by a Core Exchange through its publicly available application programming interface and observed by the Nasdaq Index Management Committee,

the governing body of the Benchmark.

The “Core Exchanges” (as of March 31, 2026) were Bitstamp, Coinbase, Gemini, itBit, Kraken

and LMAX Digital.

Indicative Fund Value

In addition, in order to provide updated information

relating to the Fund for use by investors and market professionals, ICE Data Indices, LLC calculates and disseminates throughout the trading

day an updated “indicative fund value.” The indicative fund value is calculated by using the prior day’s closing NAV

per Share of the Fund as a base and updating that value throughout the trading day to reflect changes in the value of the Fund’s

bitcoin interests during the trading day.

Changes in the value of cash equivalents are not included in the calculation of indicative value.

For this and other reasons, the indicative fund value disseminated during NYSE Arca Inc.’s trading hours should not be viewed as

an actual real time update of the NAV.

NAV is calculated only once at the end of each trading day.

Off Balance Sheet Financing

The Trust or Fund has no obligations, assets

or liabilities which would be considered off-balance sheet arrangements as of September 30, 2025.

Neither the Trust nor the Fund

participates in transactions that create relationships with unconsolidated entities or financial partnerships, often referred to

as variable interest entities, which would have been established for the purpose of facilitating off-balance sheet arrangements.

Neither the Trust nor the Fund have entered into any off-balance sheet financing arrangements, established any special purpose

entities, guaranteed any debt or commitments of other entities, or purchased any non-financial assets.

The Trust and the Fund had no obligations, assets

or liabilities which would be considered off-balance sheet arrangements as of March 31, 2026.

Neither the Trust nor the Fund participates

in transactions that create relationships with unconsolidated entities or financial partnerships, often referred to as variable interest

entities, which would have been established for the purpose of facilitating off-balance sheet arrangements.

Neither the Trust nor the

Fund have entered into any off-balance sheet financing arrangements, established any special purpose entities, guaranteed any debt or

commitments of other entities, or purchased any non-financial assets.

Liquidity and Capital Resources

The Fund does not anticipate making use

of borrowings or other lines of credit to meet its obligations.

The Fund meets its liquidity needs in the normal course of business

from the proceeds of the sale of its investments, from the cash and cash equivalents that it intends to hold, and/or from the fee

waivers provided by the Sponsor.

The Fund’s liquidity needs include redeeming its Shares, providing margin deposits for existing

Bitcoin Futures Contracts or the purchase of additional Bitcoin Futures Contracts, posting collateral for over-the-counter contracts,

and paying expenses.

In order to collateralize positions in

Bitcoin Futures Contracts, a portion of the NAV of the Fund is held in cash and cash equivalents, such as short-term Treasury Securities,

demand deposits, money market funds and investments in commercial paper.

A portion of these investments may be posted as collateral

in connection with Bitcoin Futures Contracts.

The percentage that cash and cash equivalents bear to the shareholders’ equity

of the Fund varies from period to period as the market values of the Bitcoin Futures Contracts change.

The Fund earned $712 and

$1,524, respectively, in interest income during the three months ended September 30, 2025 and 2024.

If the Fund’s ability to

obtain exposure to Bitcoin Futures Contracts in accordance with its investment objective is disrupted for any reason, including

limited liquidity in the bitcoin futures market, a disruption to the bitcoin futures market, or as a result of margin requirements

or position limits imposed by the Fund’s futures commission merchants, the CME, or the CFTC, the Fund may not be able to

achieve its investment objective and may experience significant losses.

Any disruption in the Fund’s ability to obtain exposure

to Bitcoin Futures Contracts will cause the Fund’s performance to deviate from the performance of Bitcoin Futures Contracts.

In addition, the Fund might grow to a size where a lack of liquidity in the futures market meant that the Fund could not sell enough

futures contracts to honor redemption requests.

A market disruption, such as a government

taking regulatory or other actions that disrupt the market in bitcoin, can also make it difficult to liquidate a position.

market illiquidity may cause major losses to investors at any time or from time to time.

In addition, the Fund does not intend

at this time to establish a credit facility, which would provide an additional source of liquidity, but instead will rely only

on the cash and cash equivalents that it holds to meet its liquidity needs.

The anticipated value of the positions in Benchmark

Component Futures Contracts that the Sponsor will acquire or enter into for the Fund increases the risk of illiquidity.

Benchmark Component Futures Contracts may be illiquid, the Fund’s holdings may be more difficult to liquidate at favorable

prices in periods of illiquid markets and losses may be incurred during the period in which positions are being liquidated.

Critical Accounting Policies

The Trust’s critical accounting policies for the Fund

is as follows:

Basis of Presentation

Preparation of the financial statements

and related disclosures in conformity with U.S.

generally accepted accounting principles (“GAAP”) requires the application

of appropriate accounting rules and guidance, as well as the use of estimates, and requires management to make estimates and assumptions

that affect the reported amounts of assets and liabilities, revenue and expense and related disclosure of contingent assets and

liabilities during the reporting period of the combined financial statements and accompanying notes.

The Trust’s application

of these policies involves judgments and actual results may differ from the estimates used.

Cryptocurrency Derivative Transactions

The Sponsor has determined that the valuation

of cryptocurrency interests that are not traded on a U.S.

or internationally recognized futures exchange (such as swaps and other

over the counter contracts) involves a critical accounting policy.

The values which are used by the Fund for futures contracts

will be provided by the broker who will use market prices when available, while over the counter contracts will be valued based

on the present value of estimated future cash flows that would be received from or paid to a third party in settlement of these

derivative contracts prior to their delivery date.

Values will be determined on a daily basis.

Cryptocurrency futures contracts held by

the Fund are recorded on the trade date.

All such transactions are recorded on the identified cost basis and marked to market daily.

Unrealized appreciation or depreciation on commodity or cryptocurrency futures contracts are reflected in the statement of operations

as the difference between the original contract amount and the fair market value as of the last business day of the year or as

of the last date of the financial statements.

Changes in the appreciation or depreciation between periods are reflected in the

statement of operations.

Interest on cash equivalents and deposits are recognized on an accrual basis.

The Fund earns interest

on funds held at the custodian or other financial institutions at prevailing market rates for such investments.

Cash and cash Equivalents

Cash and cash equivalents are cash held

at financial institutions in demand-deposit accounts or highly liquid investments with original maturity dates of three months

or less at inception.

The Fund reports cash equivalents in the statements of assets and liabilities at market value, or at carrying

amounts that approximate fair value, because of their highly liquid nature and short-term maturities.

The Fund has a substantial

portion of assets on deposit with banks.

Assets deposited with financial institutions may, at times, exceed federally insured limits.

Fair Value - Definition and Hierarchy

In accordance with U.S.

Generally Accepted

Accounting Principles (the “U.S.

GAAP”), fair value is defined as the price that would be received to sell an asset

or paid to transfer a liability (i.e., the “exit price”) in an orderly transaction between market participants at the

measurement date.

In determining fair

value, the Fund uses various valuation approaches.

In accordance with U.S.

GAAP, a fair value hierarchy for inputs is used in measuring

fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most

observable inputs be used when available.

Observable inputs are those that market participants would use in pricing the asset or

liability based on market data obtained from sources independent of the Fund.

Unobservable inputs reflect the Fund’s assumptions

about the inputs market participants would use in pricing the asset or liability developed based on the best information available

in the circumstances.

The fair value hierarchy is categorized into three levels based on the inputs as follows:

Valuations based on unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability

Valuation adjustments and block discounts are not applied to Level 1 financial instruments.

Since valuations are based

on quoted prices that are readily and regularly available in an active market, valuation of these financial instruments does not

entail a significant degree of judgment.

Level 2 - Valuations based on quoted prices in markets

that are not active or for which all significant inputs are observable, either directly or indirectly.

Level 3 - Valuations based on inputs that are unobservable

and significant to the overall fair value measurement.

The availability of valuation techniques

and observable inputs can vary from financial instrument to financial instrument and is affected by a wide variety of factors including,

the type of financial instrument, whether the financial instrument is new and not yet established in the marketplace, and other

characteristics particular to the transaction.

To the extent that valuation is based on models or inputs that are less observable

or unobservable in the market, the determination of fair value requires more judgment.

Those estimated values do not necessarily

represent the amounts that may be ultimately realized due to the occurrence of future circumstances that cannot be reasonably determined.

Because of the inherent uncertainty of valuation, those estimated values may be materially higher or lower than the values that

would have been used had a ready market for the financial instruments existed.

Accordingly, the degree of judgment exercised by

the Fund in determining fair value is greatest for financial instruments categorized in Level 3.

In certain cases, the inputs used

to measure fair value may fall into different levels of the fair value hierarchy.

In such cases, for disclosure purposes, the level

in the fair value hierarchy, within which the fair value measurement in its entirety falls, is determined based on the lowest level

input that is significant to the fair value measurement.

The Fund and records derivative activities

at fair value.

Gains and losses from derivative contracts are included in the statement of operations.

Derivative contracts include

futures contracts related to cryptocurrency prices.

Futures, which are listed on a national securities exchange, such as the CME,

or reported on another national market, are generally categorized in Level 1 of the fair value hierarchy.

OTC derivatives contracts

(such as forward and swap contracts) which may be valued using models, depending on whether significant inputs are observable or

unobservable, are categorized in Levels 2 or 3 of the fair value hierarchy.

Brokerage Commissions

The Fund recognizes brokerage commissions on a full trade basis.

Derivative Counterparty Margin

Margin is the minimum amount of funds that

must be deposited by a cryptocurrency interest trader with the trader’s broker to initiate and maintain an open position

in futures contracts.

A margin deposit acts to assure the trader’s performance of the futures contracts purchased or sold.

Futures contracts are customarily bought and sold on initial margin that represents a small percentage of the aggregate purchase

or sales price of the contract.

Because of such low margin requirements, price fluctuations occurring in the futures markets may

create profits and losses that, in relation to the amount invested, are greater than customary in other forms of investment or

As discussed below, adverse price changes in the futures contract may result in margin requirements that greatly exceed

the initial margin.

In addition, the amount of margin required in connection with a particular futures contract may be modified

from time to time by the exchange during the term of the contract.

Brokerage firms, such as the Fund’s clearing brokers,

carrying accounts for traders in commodity or cryptocurrency interest contracts generally require higher amounts of margin as a

matter of policy to further protect themselves.

Over the counter trading generally involves the extension of credit between counterparties,

so the counterparties may agree to require the posting of collateral by one or both parties to address credit exposure.

When a trader purchases

an option, there is no margin requirement;

however, the option premium must be paid in full.

When a trader sells an option, on

the other hand, he or she is required to deposit margin in an amount determined by the margin requirements established for the

underlying interest and, in addition, an amount substantially equal to the current premium for the option.

The margin requirements

imposed on the selling of options, although adjusted to reflect the probability that out of the money options will not be exercised,

can in fact be higher than those imposed in dealing in the futures markets directly.

Complicated margin requirements apply to spreads

and conversions, which are complex trading strategies in which a trader acquires a mixture of options positions and positions in

the underlying interest.

Ongoing or “maintenance”

margin requirements are computed each day by a trader’s clearing broker.

When the market value of a particular open futures

contract changes to a point where the margin on deposit does not satisfy maintenance margin requirements, a margin call is made

by the broker.

If the margin call is not met within a reasonable time, the broker may close out the trader’s position.

respect to the Fund’s trading, the Fund (and not its shareholders personally) are subject to margin calls.

Finally, many major U.S.

exchanges have

passed certain cross margining arrangements involving procedures pursuant to which the futures and options positions held in an

account would, in the case of some accounts, be aggregated, and margin requirements would be assessed on a portfolio basis, measuring

the total risk of the combined positions.

Sponsor Fee Allocation of Expenses

The Sponsor is responsible for investing the assets of the Fund

in accordance with the objectives and policies of the Fund.

The Fund pays the Sponsor a management

fee, monthly in arrears, in an amount equal to 0.25% per annum of the daily NAV of the Fund (the “Management Fee”).

Prior to February 10, 2025, the annualized rate was 0.90%.

The Management Fee is paid in consideration of the Sponsor’s services

related to the management of the Fund’s business and affairs, including the provision of commodity futures trading advisory

Creation with cash may cause the Fund to incur certain costs including brokerage commissions and redemptions of creation

units with cash may result in the recognition of gains or losses that the Fund might not have incurred if it had made redemptions

The Fund pays all of its respective brokerage commissions, including applicable exchange fees, National Futures Association

fees and give-up fees, and other transaction related fees and expenses charged in connection with trading activities for the Fund’s

investments in CFTC regulated investments.

The Fund also pays all fees and commissions related to the EFP transactions for the

sale and purchase of spot bitcoin, including any bitcoin transaction fees for on-chain transfers of bitcoin.

The Fund bears other

transaction costs related to the FCM capital requirements on a monthly basis.

The Sponsor pays all of the routine operational,

administrative and other ordinary expenses of the Fund, generally as determined by the Sponsor, including but not limited to, fees

and expenses of the Administrator, Sub-Administrator, Custodians, Marketing Agent, Transfer Agent, licensors, accounting and audit

fees and expenses, tax preparation expenses, legal fees, ongoing SEC registration fees, individual Schedule K-1 preparation and

mailing fees, and report preparation and mailing expenses.

The Fund pays all of its non-recurring and unusual fees and expenses,

if any, as determined by the Sponsor.

Non-recurring and unusual fees and expenses are unexpected or unusual in nature, such as

legal claims and liabilities and litigation costs or indemnification or other unanticipated expenses.

Extraordinary fees and expenses

also include material expenses which are not currently anticipated obligations of the Fund.

Routine operational, administrative

and other ordinary expenses are not deemed extraordinary expenses.

federal income tax purposes, the

Fund will be treated as a partnership.

Therefore, the Fund does not record a provision for income taxes because the partners report

their share of the Fund’s income or loss on their income tax returns.

The financial statements reflect the Fund’s transactions

without adjustment, if any, required for income tax purposes.

Quantitative and Qualitative Disclosures About Market

The Fund 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 Fund.

As a result, the only ordinary expense of the Fund during the period covered

by this Quarterly Report on Form 10-Q (“Report”) was the Sponsor’s Management Fee.

The Trust’s only source of

liquidity is its sales of bitcoin.

Only an Authorized Purchaser may engage in creation

or redemption transactions directly with the Fund.

The Fund has a limited number of institutions that act as Authorized Purchasers.

the extent that these institutions exit the business or are unable to proceed with creation and/or redemption orders with respect to the

Fund and no other Authorized Purchaser is able to step forward to create or redeem creation units, Fund Shares may trade at a discount

to NAV and possibly face trading halts and/or delisting.

In addition, a decision by a market maker, lead market maker, or other large

investor to cease activities for the Fund or a decision by a secondary market purchaser to sell a significant number of the Fund’s

Shares could adversely affect liquidity, the spread between the bid and ask quotes, and potentially the price of the Shares.

can make no guarantees that participation by Authorized Purchasers or market makers will continue.

A market disruption, such as a government taking

regulatory or other actions that disrupt the market in bitcoin, can also make it difficult to liquidate a position.

Unexpected market

illiquidity may cause major losses to investors at any time or from time to time.

In addition, the Fund does not intend at this time to

establish a credit facility, which would provide an additional source of liquidity, but instead will rely only on the cash and cash equivalents

that it holds to meet its liquidity needs.

Significant Accounting Policies

In preparing financial statements in conformity

with accounting principles generally accepted in the United States of America (“GAAP”), management of the Sponsor (“Management”)

makes estimates and assumptions that affect the reported amounts of assets, liabilities and disclosures of contingent assets and liabilities

at the date of the financial statements, as well as the reported amount of revenue and expenses reported during the period.

Actual results

could differ from these estimates.

In addition, please refer to Note 2 to the Financial Statements included in this Report for further

discussion of the Trust’s accounting policies.

Quantitative and Qualitative Disclosures About Market Risk

Not applicable.

Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.

What changed 10-Q

Item 2. Management’s Discussion and Analysis