What changed in this filing

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Item 2. Management’s Discussion and Analysis

2024-11-13 compared with 2024-08-09 · 37 added, 36 removed, 76 unchanged (49% of the section changed)

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Overview of the Trust

Fidelity Wise Origin Bitcoin Fund (the “Trust”) is a Delaware statutory trust, formed on March 17, 2021, pursuant to the Delaware Statutory Trust Act.

The Trust is an exchange-traded product that issues Shares that trade on the Cboe BZX Exchange, Inc.

(the “Exchange”) with ticker symbol FBTC.

Fidelity Wise Origin Bitcoin Fund (the “Trust”) is an exchange-traded product that issues shares of beneficial interest (the “Shares”) that trade on the Cboe BZX Exchange, Inc.

(the “Exchange”).

The Trust’s investment objective is to seek to track the performance of bitcoin, as measured by the performance of the Fidelity Bitcoin Reference Rate (the “Index”), adjusted for the Trust’s expenses and other liabilities.

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In seeking to achieve its investment objective, the Trust holds bitcoin and values its Shares daily based on the same methodology used to calculate the Index.

The Trust is sponsored by FD Funds Management LLC (the “Sponsor”), a wholly owned subsidiary of FMR LLC.

The Trust is passively managed and does not pursue active management investment strategies, invest in derivatives, or loan or pledge its assets.

FD Funds Management LLC (the “Sponsor”) believes that the Shares are designed to provide investors with a cost-effective and convenient way to invest in bitcoin without purchasing, holding and trading bitcoin directly.

The Sponsor believes that the Shares are designed to provide investors with a cost-effective and convenient way to invest in bitcoin without purchasing, holding and trading bitcoin directly.

The Trust sells and redeems Shares only with Authorized Participants in exchange for cash and only in blocks of 25,000 Shares.

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Trading during the core trading session on the Exchange typically closes at 4:00 p.m.

However, Trust NAVs are not officially struck until after 4:00 p.m.

However, the Trust’s NAVs are not officially struck until after 4:00 p.m.

The pause after 4:00 p.m.

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The Valuation Committee’s selection of third-party pricing services used considers the qualifications, experience, and history of the pricing services and whether their valuation methodologies and procedures are reasonably designed to produce prices that reflect fair value under the prevailing market conditions.

In addition, a third-party financial data provider will calculate and disseminate throughout the core trading session on each trading day an updated intraday indicative value (“IIV”).

The IIV will be calculated based on the Trust’s bitcoin holdings and any other assets expected to comprise that day’s Trust NAV calculation.

In addition, in order to provide updated information relating to the Trust for use by Shareholders and market professionals, a third-party financial data provider will calculate and disseminate throughout the core trading session on each trading day an updated intraday indicative value (“IIV”).

The IIV will be calculated based on the Trust’s bitcoin holdings and any other assets expected to comprise that day’s Trust’s NAV calculation.

The third-party financial data provider will use the Blockstream Crypto Data Feed Streaming Level 1 as the pricing source for the spot bitcoin.

The Blockstream Crypto Data Feed Streaming Level 1 calculates an average of current bitcoin price levels of the bitcoin trading platforms that are available on its feed.

The bitcoin trading platforms included in the Blockstream Crypto Data Feed Streaming Level 1 include Bitflyer, Bitfinex, Binance US, Bitso, Bitstamp, BTSE, CEX IO, Exmo, Gemini, itBit, LMAX Digital and OK Coin.

The Trust will provide an IIV per Share updated every 15 seconds, as calculated by the Exchange or a third-party financial data provider during the Exchange’s regular trading hours of 9:30 a.m.

EST (“Regular Trading Hours”).

The IIV disseminated during Regular Trading Hours should not be viewed as an actual real-time update of the Trust NAV, which will be calculated only once at the end of each trading day as described herein.

The IIV disseminated during Regular Trading Hours should not be viewed as an actual real-time update of the Trust’s NAV, which will be calculated only once at the end of each trading day as described herein.

Critical Accounting Policies and Estimates

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Results of Operations

The Trust’s inception of operation was January 11, 2024.

The Trust has not had any operations prior to January 11, 2024, other than matters relating to its organization and the registration of the Shares under the Securities Act of 1933 (the “1933 Act”).

Effective January 9, 2024, the Trust and the Sponsor entered into a Fee Waiver Agreement in which the Sponsor agreed to waive the entirety of the Sponsor Fee (the “Waiver”).

The Waiver continued for a period through July 31, 2024 (the “Initial Waiver Period”).

The Quarter Ended June 30, 2024

The Trust’s net assets increased from $10.2 billion on March 31, 2024 to $10.6 billion on June 30, 2024.

The change in the Trust’s net assets resulted from an increase in outstanding Shares, which rose from 165,475,000 on March 31, 2024 to 191,500,000 on June 30, 2024 as a result of 40,450,000 Shares (1,618 Baskets) being issued and 14,425,000 Shares (577 Baskets) being redeemed during the quarter offset by a decrease in the price of bitcoin, which fell 10.24% from $70,596.99 on March 31, 2024 to $63,369.30 on June 30, 2024.

The Trust’s NAV per Share decreased 14.89% from $61.90 on March 28, 2024 (last business day) to $52.68 on June 28, 2024 (last business day).

The Trust ’s NAV per Share of $62.76 at April 08, 2024 was the highest during the quarter, compared with a low of $50.29 at May 01, 2024.

During the quarter ended June 30, 2024, the quantity of bitcoin owned by the Trust and held by the bitcoin custodian increased from 144,704.48094252 on March 31, 2024 to 167,462.80769789 on June 30, 2024.

The Trust’s commencement of operations was January 11, 2024.

The Trust had no operations prior to January 11, 2024, other than matters relating to its organization and the registration of the Shares under the Securities Act of 1933 (the “1933 Act”).

Effective January 9, 2024, the Trust and the Sponsor entered into a Fee Waiver Agreement in which the Sponsor agreed to waive the entirety of the Sponsor Fee (the “Waiver”) through July 31, 2024 (the “Initial Waiver Period”).

Effective July 31, 2024, the Fee Waiver Agreement ended.

The Quarter Ended September 30, 2024

The Trust’s net assets increased from $10.6 billion on June 30, 2024 to $11.5 billion on September 30, 2024.

The change in the Trust’s net assets resulted from an increase in outstanding Shares, which rose from 191,500,000 on June 30, 2024 to 206,275,000 on September 30, 2024 as a result of 32,675,000 Shares (1,307 Baskets) being issued and 17,900,000 Shares (716 Baskets) being redeemed during the quarter aided by an increase in the price of bitcoin, which rose 0.49% from $63,369.30 on June 30, 2024 to $63,677.63 on September 30, 2024.

The Trust’s NAV per Share increased 5.24% from $52.68 on June 28, 2024 (last business day) to $55.44 on September 30, 2024 (last business day).

The Trust ’s NAV per Share of $59.36 at July 26, 2024 was the highest during the quarter, compared with a low of $46.43 at August 5, 2024.

During the quarter ended September 30, 2024, the quantity of bitcoin owned by the Trust and held by the bitcoin custodian increased from 167,462.80769789 on June 30, 2024 to 180,344.62381900 on September 30, 2024.

The increase in quantity resulted from using net cash proceeds received from the increase in capital transactions to purchase bitcoin.

The net decrease in net assets resulting from operations for the quarter ended June 30, 2024 was $1.2 billion, resulting from a net unrealized depreciation of investment in bitcoin of $1.1 billion and a net realized loss of $118.1 million from the sale of the investment in bitcoin for the redemption of Shares.

The Period Ended June 30, 2024

The Trust’s net assets increased from $40 on December 31, 2023 to $10.6 billion on June 30, 2024.

The change in the Trust’s net assets resulted from an increase in outstanding Shares, which rose from 1 on December 31, 2023 to 191,500,000 on June 30, 2024 as a result of 205,950,000 Shares (8,238 Baskets) being issued and 14,450,001 Shares (578 Baskets) being redeemed during the period January 11, 2024 (inception) through June 30, 2024 and an increase in the price of bitcoin, which rose 37.89% from $45,956.16 on January 11, 2024 (inception) to $63,369.30 on June 30, 2024.

The Trust’s NAV per Share increased 31.71% from $40.00 on December 31, 2023 to $52.68 on June 28, 2024 (last business day).

The net increase in net assets resulting from operations for the quarter ended September 30, 2024 was $41.0 million, driven by a net change in unrealized appreciation of investment in bitcoin of $222.3 million and a net realized loss of $176.4 million from the sale of the investment in bitcoin for the redemption of Shares.

The Period Ended September 30, 2024

The Trust’s net assets increased from $40 on December 31, 2023 to $11.5 billion on September 30, 2024.

The change in the Trust’s net assets resulted from an increase in outstanding Shares, which rose from 1 on December 31, 2023 to 206,275,000 on September 30, 2024 as a result of 238,625,000 Shares (9,545 Baskets) being issued and 32,350,001 Shares (1,294 Baskets) being redeemed during the period January 11, 2024 (commencement of operations) through September 30, 2024 and an increase in the price of bitcoin, which rose 38.56% from $45,956.16 on January 11, 2024 (commencement of operations) to $63,677.63 on September 30, 2024.

The Trust’s NAV per Share increased 38.60% from $40.00 on December 31, 2023 to $55.44 on September 30, 2024 (last business day).

The Trust ’s NAV per Share of $63.97 at March 13, 2024 was the highest during the period, compared with a low of $34.28 at January 23, 2024.

During the period ended June 30, 2024, the quantity of bitcoin owned by the Trust and held by the bitcoin custodian increased from 0 on December 31, 2023 to 167,462.80769789 on June 30, 2024.

During the period ended September 30, 2024, the quantity of bitcoin owned by the Trust and held by the bitcoin custodian increased from 0 on December 31, 2023 to 180,344.62381900 on September 30, 2024.

The increase in quantity resulted from using net cash proceeds received from the increase in capital transactions to purchase bitcoin.

The net increase in net assets resulting from operations for the period ended June 30, 2024 was $1.4 billion, resulting from an unrealized gain on investment in bitcoin of $1.5 billion and a net realized loss of $118.2 million from the sale of the investment in bitcoin for the redemption of Shares.

The net increase in net assets resulting from operations for the period ended September 30, 2024 was $1.5 billion, driven by a net change in unrealized appreciation on investment in bitcoin of $1.8 billion and a net realized loss of $294.6 million from the sale of the investment in bitcoin for the redemption of Shares.

Cash Resources and Liquidity

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The Trust’s only sources of cash are proceeds from the sale of Baskets and bitcoin.

The Trust will not borrow to meet liquidity needs.

In exchange for the Sponsor Fee, the Sponsor has agreed to assume most of the expenses incurred by the Trust.

The Sponsor contractually waived the Sponsor Fee until July 31, 2024, and will accrue at an annual rate of 0.25% of the Trust’s Bitcoin Holdings after the Initial Waiver Period.

The Sponsor contractually waived the Sponsor Fee until July 31, 2024.

On August 1, 2024, the Sponsor Fee began accruing at an annual rate of 0.25% of the Trust’s Bitcoin Holdings.

Off Balance Sheet Arrangements and Contractual Obligations

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Selected Operating Data

June 30, 2024

September 30, 2024

Price of bitcoin on principal market (1)

NAV per Share (2)

(1) The Trust performed an assessment of the principal market at 11:59:59 p.m., EST, on June 30, 2024.

(2) The NAV per Share was calculated using the fair value of bitcoin based on the principal market price at 11:59:59 p.m., EST, on June 30, 2024, the last day of the quarter.

June 28, 2024

(1) The Trust performed an assessment of the principal market at 11:59:59 p.m., EST, on September 30, 2024.

(2) The NAV per Share was calculated using the fair value of bitcoin based on the principal market price at 11:59:59 p.m., EST, on September 30, 2024.

September 30, 2024

(Last Business Day)

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The bitcoin spot markets included in the Index as of the last business day of the quarter were Bitstamp, Coinbase, Gemini, itBit, Kraken, and LMAX Digital.

As of 4:00 p.m., EST, on the last business day of the quarter ended June 30, 2024, the Trust’s total value of bitcoins based on the Index Price (non-GAAP methodology) was $10,088,964,313 and the total market value of the Trust’s bitcoins based on the price of a bitcoin at 4:00 p.m., EST, in the principal market was $10,039,748,668.

As of 4:00 p.m., EST, on the last business day of the quarter ended September 30, 2024, the Trust’s total value of bitcoin based on the Index Price (non-GAAP methodology) was $11,438,263,987 and the total market value of the Trust’s bitcoin based on the price of a bitcoin at 4:00 p.m., EST, in the principal market was $11,445,528,268.

Analysis of Price Movements

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Movements may be influenced by various factors, including, but not limited to, government regulation, security breaches experienced by service providers, as well as political and economic uncertainties around the world.

The following chart illustrates the movement in the Index Price, the principal market price, and the Trust’s NAV per Share from January 11, 2024 (date the first Basket of the Trust was issued) to June 30, 2024.

During the period from January 11, 2024 to June 30, 2024, the Index Price has ranged from $39,198.82 on January 23, 2024 to $73,153.50 on March 13, 2024.

The following chart illustrates the movement in the Index Price, the principal market price, and the Trust’s NAV per Share from January 11, 2024 (commencement of operations) to September 30, 2024.

During the period from January 11, 2024 to September 30, 2024, the Index Price has ranged from $39,198.82 on January 23, 2024 to $73,153.50 on March 13, 2024.

The Sponsor has not observed a material difference between the Index Price and average prices from the constituent bitcoin spot markets individually or as a group.

During the period from January 11, 2024 to June 30, 2024, the market price of bitcoin, as reported on the Trust’s principal market, has ranged from $39,631.40 on January 23, 2024 to $73,308.46 on March 13, 2024.

During the period from January 11, 2024 to September 30, 2024, the market price of bitcoin, as reported on the Trust’s principal market, has ranged from $39,631.40 on January 23, 2024 to $73,308.46 on March 13, 2024.

Shares trade in the secondary market on the Exchange.

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The amount of the discount or premium in the trading price relative to the Trust’s NAV per Share may be influenced by various factors, including the number of Shareholders who seek to purchase or sell Shares in the secondary market and the liquidity of bitcoin.

The following chart sets out the historical closing prices for the Shares as reported by the Exchange and the Trust’s NAV per Share from January 11, 2024 to June 28, 2024 (last business day).

The following chart sets out the historical closing prices for the Shares as reported by the Exchange and the Trust’s NAV per Share from January 11, 2024 to September 30, 2024 (last business day).

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