Fidelity Wise Origin Bitcoin Fund 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. Overview of the Trust 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. The Index is constructed using bitcoin price feeds from eligible bitcoin spot markets and a volume-weighted median price (“VWMP”) methodology, calculated every 15 seconds based on VWMP spot market data over rolling sixty-minute increments. The Index is designed to reflect the performance of bitcoin in U.S. dollars. 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, utilize leverage, invest in derivatives, or loan or pledge its assets in seeking to meet its investment objective. 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 bitcoin or cash and only in blocks of 25,000 Shares (a "Basket"). The Shareholders of the Trust take no part in the management or control, and have no voice in, the Trust’s operations or business. Except in limited circumstances, Shareholders have no voting rights under the Trust Agreement. Valuation of Bitcoin and Computation of Net Asset Value (“NAV”) For purposes of calculating the Trust’s net asset value (“Trust’s NAV”) per Share, the Trust’s holdings of bitcoin are valued using the same methodology as used to calculate the Index. The Trust’s NAV per Share is calculated by: • taking the fair market value of its total assets based on the volume-weighted median price of bitcoin used for the calculation of the Index; • subtracting any liabilities; and • dividing that total by the total number of outstanding Shares. The Administrator calculates the Trust’s NAV once each Exchange trading day. The Trust’s NAV for a normal trading day is released after 4:00 p.m. Eastern time (“EST”). Trading during the core trading session on the Exchange typically closes at 4:00 p.m. EST. However, the Trust’s NAVs are not officially struck until after 4:00 p.m. EST. The pause after 4:00 p.m. EST provides an opportunity for the Sponsor to algorithmically detect, flag, investigate, and correct unusual pricing should it occur. The Sponsor has established a Valuation and Liquidity Committee to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Valuation and Liquidity Committee. If the Valuation and Liquidity Committee determines in good faith that the Index does not reflect an accurate bitcoin price, then the Valuation and Liquidity Committee instructs the Administrator to employ an alternative method to determine the fair value of the Trust’s assets. In determining an alternative fair value method, the Valuation and Liquidity Committee generally considers such criteria as observable market-based inputs, including market quotations and last sale information from third-party pricing services and/or trading platforms on which bitcoin are traded. The Valuation and Liquidity Committee’s selection of third-party pricing services used considers the qualifications, experience, and history of the pricing services and whether their valuation 11 methodologies and procedures are reasonably designed to produce prices that reflect fair value under the prevailing market conditions. 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 is 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 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. to 4:00 p.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’s NAV, which will be calculated only once at the end of each trading day as described herein. Critical Accounting Policies and Estimates Principal Market and Fair Value Determination The Trust’s periodic financial statements are prepared in accordance with the Financial Accounting Standards Board Accounting Standards Codification Topic 820, “Fair Value Measurements and Disclosures” (“ASC Topic 820”). ASC Topic 820 requires the fair value measurement of bitcoin to assume that transactions take place in the principal market or, in the absence of a principal market, the most advantageous market, for bitcoin that the Trust has access to. The Trust may buy and sell bitcoin through brokered, dealer, over-the-counter, exchange or other markets. The Sponsor determines in its sole discretion the valuation sources and policies used to prepare the Trust’s financial statements in accordance with GAAP. The Trust engaged a third-party pricing service to obtain an exchange-traded price from a principal market for bitcoin, which was determined and designated based on its consideration of several exchange characteristics, including oversight, and the volume and frequency of trades. The exchange-traded price from the principal market on the periodic financial statements is as of 11:59:59 p.m. EST on the Trust’s financial statement measurement date. Results of Operations The Quarter Ended June 30, 2026 The Trust’s net assets decreased from approximately $12.8 billion as of March 31, 2026 to $10.3 billion as of June 30, 2026. The change in the Trust’s net assets primarily resulted from a decrease in outstanding Shares, which decreased from 216,003,476 as of March 31, 2026 to 200,328,476 as of June 30, 2026. This was as a result of 20,750,000 Shares (830 Baskets) being created and 36,425,000 Shares (1,457 Baskets) being redeemed during the three months ended June 30, 2026, coupled with a decrease in the price of bitcoin, which decreased 13.25% from $68,129.64 as of March 31, 2026 to $59,101.49 as of June 30, 2026. The NAV per Share decreased 13.30% from $59.33 as of March 31, 2026 to $51.44 as of June 30, 2026. The Trust’s NAV per Share decreased 13.70% from $59.07 as of March 31, 2026, to $50.98 as of June 30, 2026. The Trust ’s NAV per Share of $71.33 at May 11, 2026, was the highest during the three months ended June 30, 2026, compared with a low of $50.98 at June 30, 2026. The quantity of bitcoin owned by the Trust and held by the bitcoin custodian decreased from 188,144 as of March 31, 2026 to 174,383 on June 30, 2026. The decrease in quantity resulted from bitcoin transferred to pay the Sponsor fee and redemptions of Shares during the quarter, which corresponded to sales of bitcoin exceeding bitcoin purchased using proceeds from issuances of Shares. The net decrease in net assets resulting from operations for the three months ended June 30, 2026, was $1.6 billion, primarily resulting from a net change in unrealized depreciation on investment in bitcoin of $1.9 billion and a net realized loss of $0.1 billion from the sale of the investment in bitcoin for the redemption of Shares, partially offset by a net realized gain of $0.3 billion from the distribution of the investment in bitcoin for the redemption of Shares. The Quarter Ended June 30, 2025 The Trust’s net assets increased from approximately $16.3 billion as of March 31, 2025 to $21.6 billion as of June 30, 2025. The change in the Trust’s net assets resulted from an increase in outstanding Shares, which rose from 225,528,476 as of March 31, 2025 to 230,728,476 as of June 30, 2025. This was as a result of 27,975,000 Shares (1,119 Baskets) being created and 12 22,775,000 Shares (911 Baskets) being redeemed during the three months ended June 30, 2025, coupled with an increase in the price of bitcoin, which rose 29.25% from $82,956.00 as of March 31, 2025 to $107,221.67 as of June 30, 2025. The Trust’s NAV per Share increased 29.66% from $72.36 as of March 31, 2025, to $93.83 as of June 30, 2025. The Trust’s NAV per Share of $97.32 at May 22, 2025, was the highest during the three months ended June 30, 2025, compared with a low of $66.97 at April 8, 2025. The quantity of bitcoin owned by the Trust and held by the bitcoin custodian increased from 196,933 as of March 31, 2025 to 201,347 on June 30, 2025. 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 three months ended June 30, 2025, was $4.8 billion, primarily resulting from a net change in unrealized appreciation on investment in bitcoin of $4.8 billion. The Six Months Ended June 30, 2026 The Trust’s net assets decreased from approximately $17.6 billion as of December 31, 2025 to $10.3 billion as of June 30, 2026. The change in the Trust’s net assets resulted from a decrease in outstanding Shares, which decreased from 231,403,476 as of December 31, 2025 to 200,328,476 as of June 30, 2026. This was as a result of 49,450,000 Shares (1,978 Baskets) being created and (80,525,000) Shares (3,221 Baskets) being redeemed during the six months ended June 30, 2026, coupled with a decrease in the price of bitcoin, which decreased 32.43% from $87,463.03 as of December 31, 2025 to $59,101.49 as of June 30, 2026. The NAV per Share decreased 32.50% from $76.21 as of December 31, 2025, to $51.44 as of June 30, 2026. The Trust’s NAV per Share decreased 33.01% from $76.10 as of December 31, 2025, to $50.98 as of June 30, 2026. The Trust’s NAV per Share of $85.01 at January 14, 2026, was the highest during the six months ended June 30, 2026, compared with a low of $50.98 at June 30, 2026. The quantity of bitcoin owned by the Trust and held by the bitcoin custodian decreased from 201,684 as of December 31, 2025 to 174,383 on June 30, 2026. The decrease in quantity resulted from bitcoin transferred to pay the Sponsor fee and redemptions of Shares during the quarter, which corresponded to sales of bitcoin exceeding bitcoin purchased using proceeds from issuances of Shares. The net decrease in net assets resulting from operations for the six months ended June 30, 2026, was $5.3 billion, primarily resulting from a net change in unrealized depreciation on investment in bitcoin of $5.7 billion and a net realized loss of approximately $0.2 billion from the sale of the investment in bitcoin for the redemption of Shares, partially offset by a net realized gain of $0.5 billion from the distribution of the investment in bitcoin for the redemption of Shares. The Six Months Ended June 30, 2025 The Trust’s net assets increased from approximately $18.8 billion as of December 31, 2024 to $21.6 billion as of June 30, 2025. The change in the Trust’s net assets resulted from an increase in outstanding Shares, which rose from 230,678,476 as of December 31, 2024 to 230,728,476 as of June 30, 2025. This was as a result of 59,575,000 Shares (2,383 Baskets) being created and 59,525,000 Shares (2,381 Baskets) being redeemed during the six months ended June 30, 2025, coupled with an increase in the price of bitcoin, which rose 14.84% from $93,365.36 as of December 31, 2024 to $107,221.67 as of June 30, 2025. The Trust’s NAV per Share increased 14.70% from $81.80 as of December 31, 2024, to $93.83 as of June 30, 2025. The Trust’s NAV per Share of $97.32 at May 22, 2025, was the highest during the six months ended June 30, 2025, compared with a low of $66.97 at April 8, 2025. The quantity of bitcoin owned by the Trust and held by the bitcoin custodian decreased from 201,556 as of December 31, 2024 to 201,347 on June 30, 2025. The decrease in quantity resulted from bitcoin transferred to pay the Sponsor fee and redemptions of Shares during the quarter, which corresponded to sales of bitcoin exceeding bitcoin purchased using proceeds from issuances of Shares. 13 The net increase in net assets resulting from operations for the six months ended June 30, 2025, was $2.5 billion, primarily resulting from a net change in unrealized appreciation on investment in bitcoin of $2.8 billion and a net realized loss of approximately $0.3 billion from the sale of the investment in bitcoin for the redemption of Shares. Cash Resources and Liquidity The Trust does not hold a cash balance except in connection with the issuance and redemption of Baskets or to pay expenses not assumed by the Sponsor. To the extent the Trust does not have available cash to facilitate redemptions or pay expenses not assumed by the Sponsor, the Trust will sell bitcoin. When selling bitcoin on behalf of the Trust, the Sponsor endeavors to minimize the Trust’s holdings of assets other than bitcoin. As a consequence, the Sponsor expects that the Trust will have an immaterial amount of cash flow from its operations and that its cash balance will be insignificant at the end of each reporting period. The Trust’s only sources of cash are proceeds from the sale of Baskets and bitcoin. In exchange for the Sponsor Fee, the Sponsor has agreed to assume most of the expenses incurred by the Trust. Off Balance Sheet Arrangements and Contractual Obligations The Trust has not used, nor does it expect to use in the future, special purpose entities to facilitate off balance sheet financing arrangements and has no loan guarantee arrangements or off balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services for the Trust. While the Trust’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on a Trust’s financial position. Sponsor Fee payments made to the Sponsor are calculated as a fixed percentage of 0.25% of the Trust’s Bitcoin Holdings. As such, the Sponsor cannot anticipate the payment amounts that will be required under these arrangements for future periods as the Trust’s Bitcoin Holdings are not known until a future date. Selected Operating Data June 30, 2026 Price of bitcoin on principal market (1) $ 59,101.49 Index price (2) $ 58,579.39 June 30, 2026 NAV per Share (3) $ 51.44 Adjustment to NAV per Share $ (0.46 ) Trust’s NAV per Share (4) $ 50.98 (1) The Trust performed an assessment of the principal market at 11:59:59 p.m., EST, on June 30, 2026. (2) Index Price as represented by the Index as of 4:00 p.m., EST, on the last business day of the period. The bitcoin spot markets included in the Index as of the last business day of the period were Bitstamp, Coinbase, Crypto.com, Gemini, Kraken, and LMAX Digital. (3) 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, 2026. (4) The Trust’s NAV per Share is derived from the Index Price as represented by the Index as of 4:00 p.m., EST, on the last business day of the period. The Trust’s NAV per Share is calculated using a non-GAAP methodology. Refer to the “Overview of the Trust” and “Valuation of Bitcoin and Computation of Net Asset Value” sections of Item 2 herein for a description of the Index methodology and calculation of the Trust’s NAV per Share. As of 4:00 p.m., EST, on the last business day of the three months ended June 30, 2026, the Trust’s total value of bitcoin based on the Index Price (non-GAAP methodology) was $10,215,251,308, a difference of $91,045,378 to the GAAP value, which was $10,306,296,686, and the total market value of the Trust’s bitcoin based on the price of bitcoin at 4:00 p.m., EST, in the principal market (non-GAAP methodology) was $10,239,166,196, a difference of $67,130,490 to the GAAP value, which was $10,306,296,686. December 31, 2025 Price of bitcoin on principal market (1) $ 87,463.03 Index price (2) $ 87,326.76 December 31, 2025 NAV per Share (3) $ 76.21 Adjustment to NAV per Share $ (0.11 ) Trust’s NAV per Share (4) $ 76.10 (1) The Trust performed an assessment of the principal market at 11:59:59 p.m., EST, on December 31, 2025. 14 (2) Index Price as represented by the Index as of 4:00 p.m., EST, on the last business day of the period. The bitcoin spot markets included in the Index as of the last business day of the period were Bitstamp, Coinbase, Crypto.com, Gemini, Kraken, and LMAX Digital. (3) 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 December 31, 2025. (4) The Trust’s NAV per Share is derived from the Index Price as represented by the Index as of 4:00 p.m., EST, on the last business day of the period. The Trust’s NAV per Share is calculated using a non-GAAP methodology. Refer to the “Overview of the Trust” and “Valuation of Bitcoin and Computation of Net Asset Value” sections of Item 2 herein for a description of the Index methodology and calculation of the Trust’s NAV per Share. As of 4:00 p.m., EST, on the last business day of the year ended December 31, 2025, the Trust’s total value of bitcoin based on the Index Price (non-GAAP methodology) was $17,612,442,661, a difference of $27,483,529 to the GAAP value, which was $17,639,926,190, and the total market value of the Trust’s bitcoin based on the price of bitcoin at 4:00 p.m., EST, in the principal market (non-GAAP methodology) was $17,656,256,573, a difference of $16,330,383 to the GAAP value, which was $17,639,926,190. 15 Analysis of Price Movements Investors should understand the relationship between the Index Price (non-GAAP measurement of the price of bitcoin), the Trust’s NAV per Share (non-GAAP measurement of the price of bitcoin affected by non-bitcoin net assets, such as the Sponsor Fee), the Trust’s market price per share, and bitcoin’s principal market price. Investors should also be aware that past movements are not indicators of future movements. 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 during the six months ended June 30, 2026. During the six months ended June 30, 2026, the Index Price has ranged from $58,579.39 on June 30, 2026, to $97,568.00 on January 14, 2026. 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 six months ended June 30, 2026, the 11:59:59 p.m. EST market price of bitcoin, as reported on the Trust’s principal market, has ranged from $59,101.49 on June 30, 2026, to $96,313.99 on January 14, 2026. 16 Shares trade in the secondary market on the Exchange. Shares may trade in the secondary market at prices that are lower or higher relative to the Trust’s NAV per Share. 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 during the six months ended June 30, 2026.