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Item 2. Management’s Discussion and Analysis

2026-05-13 compared with 2025-12-12 · 123 added, 24 removed, 55 unchanged (73% of the section changed)

Management’s Discussion and Analysis of Financial Condition and Results of Operations.

The following discussion and analysis of our financial condition and results of operations should be read together with, and is qualified in its entirety by reference to, our unaudited financial statements and related notes included elsewhere in this Quarterly Report, which have been prepared in accordance with generally accepted accounting principles in the United States (“GAAP”).

The following discussion may contain forward-looking statements based on assumptions we believe to be reasonable.

Our actual results could differ materially from those discussed in these forward-looking statements.

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

The Fidelity Solana Fund (the “Trust”) is an exchange-traded product that issues shares of beneficial interest (the “Shares”) that trade on the Exchange.

The Trust’s investment objective is to seek to track the performance of SOL, as measured by the performance of the Index, adjusted for the Trust’s expenses and other liabilities, plus an amount based on the staking rewards associated with SOL.

Fidelity Solana Fund (the “Trust”) is an exchange-traded product that issues shares of beneficial interest (the “Shares”) that trade on the NYSE Arca, Inc.

(the “Exchange”).

The Trust’s investment objective is to seek to track the performance of SOL, as measured by the performance of the Fidelity Solana Reference Rate (the “Index”), adjusted for the Trust’s expenses and other liabilities, plus an amount based on the staking rewards associated with SOL.

As a result of the Trust’s receipt of staking-based amounts, the Trust is expected to outperform the Index before consideration of the Trust’s expenses and other liabilities.

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The Index is designed to reflect the performance of SOL in U.S.

In seeking to achieve its investment objective, the Trust holds SOL.

In seeking to achieve its investment objective, the Trust holds SOL 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 may custody its SOL at Anchorage Digital Bank NA, BitGo Bank & Trust N.A.

(formerly BitGo Trust Company, Inc.) and Coinbase Custody Trust Company, LLC (each a “Custodian” and collectively the “Custodians”), each of which provides custody services for digital assets .

The Trust provides exposure to the value of SOL, and the Shares of the Trust are valued on a daily basis using the same methodology used to calculate the Index.

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

The Trust sells and redeems Shares only with Authorized Participants in exchange for SOL or cash and only in blocks of 25,000 Shares (a “Basket”).

Pursuant to the Trust’s investment objective, the Sponsor utilizes the services of the Custodians to stake, or cause to be staked, all of the Trust’s SOL with one or more trusted node operators (which may include the Custodians or their affiliates) (each, a “Node Operator”), except for SOL reserved by the Sponsor in its sole discretion to facilitate foreseeable redemption transactions, pay Trust expenses, protect the Trust and its assets, and comply with the Sponsor’s adopted liquidity risk management program (the “Liquidity Program”) that provides a variety of mechanisms to monitor and manage the liquidity of the Trust’s assets.

Accordingly, while under normal circumstances the Trust may stake up to 100% of the Trust’s SOL, there is no minimum percentage the Trust is required to stake.

The Trust receives a portion of the staking rewards generated by a Node Operator.

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 will have no voting rights under the Trust Agreement.

Valuation of SOL and Computation of Net Asset Value

For purposes of calculating the Trust’s NAV per Share, the Trust’s holdings of SOL are valued using the same methodology as used to calculate the Index.

Except in limited circumstances, Shareholders have no voting rights under the Trust Agreement.

Valuation of SOL and Computation of Net Asset Value (“NAV”)

For purposes of calculating the net asset value (“Trust’s NAV”) per Share, the Trust’s holdings of SOL are valued using the same methodology as used to calculate the Index.

The Trust’s NAV per Share is calculated by:

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• dividing that total by the total number of outstanding Shares.

The Administrator calculates the NAV of the Trust once each Exchange trading day.

The NAV for a normal trading day will be released after 4:00 p.m.

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.

However, 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.

EST provides an opportunity for the Sponsor to algorithmically detect, flag, investigate, and correct unusual pricing should it occur.

The Sponsor established the 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 SOL price, then the Valuation and Liquidity Committee will instruct the Administrator to employ an alternative method to determine the fair value of the Trust’s assets.

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 SOL 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 SOL are traded.

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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 SOL holdings and any other assets expected to comprise that day’s NAV calculation.

The IIV is calculated based on the Trust’s SOL 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 SOL.

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

The SOL trading platforms included in the Blockstream Crypto Data Feed Streaming Level 1 include Bitfinex, Bitstamp, and Gemini.

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 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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On November 18, 2025, Shares of the Trust commenced trading on the Exchange.

On September 24, 2025, the Trust purchased 23,402 SOL at an aggregate purchase price of $5.0 million.

For the period ended September 30, 2025, unrealized depreciation on investment of SOL was approximately $0.2 million.

Expenses incurred during the period September 10, 2025 (seeding date) to September 30, 2025 in connection with the organization of the Trust and the initial offering costs of the Shares were borne by the Sponsor and will not be subject to reimbursement by the Trust.

The Quarter Ended March 31, 2026

The Trust’s net assets decreased from $113.9 million as of December 31, 2025, to $97.4 million as of March 31, 2026.

The change in the Trust’s net assets resulted primarily from a decrease in the price of SOL, which decreased 33.16% from $124.73 as of December 31, 2025 to $83.37 as of March 31, 2026.

The decrease in net assets was partially offset by an increase in outstanding Shares, which rose from 7,775,000 as of December 31, 2025 to 9,900,000 as of March 31, 2026.

The increase in outstanding Shares was primarily as a result of 3,425,000 Shares (137 Baskets) being issued partially offset by 1,300,000 Shares (52 Baskets) being redeemed.

The NAV per Share decreased 32.84% from $14.66 as of December 31, 2025 to $9.84 as of March 31, 2026.

The Trust’s NAV per Share decreased 33.03% from $14.57 as of December 31, 2025 to $9.76 as of March 31, 2026.

The Trust ’s NAV per Share of $17.35 at January 14, 2026, was the highest during the three months ended March 31, 2026, compared with a low of $9.11 at February 12, 2026.

During the three months ended March 31, 2026, the quantity of SOL owned by the Trust and held by the SOL custodian increased from 913,562 as of December 31, 2025, to 1,168,872 as of March 31, 2026.

The increase in quantity is the result of the net increase from capital share transactions.

The net decrease in net assets resulting from operations for the three months ended March 31, 2026, was $50.9 million, resulted primarily from a net unrealized depreciation on investment in SOL of $46.2 million and a net realized loss of $6.5 million from the sale of the investment in SOL for the redemption and distribution of Shares, partially offset by net investment income of $1.4 million and net realized gain of $0.4 million from the distribution of the investment in SOL for the redemption of Shares.

The Trust made its initial cash distribution of income generated from staking activities on February 17, 2026.

The Trust intends to continue to make cash distributions at least quarterly in order to rely on the safe harbor conditions established by IRS Revenue Procedure 2025‑31 applicable to grantor trusts that stake digital assets.

Cash Resources and Liquidity

The Trust does not hold a cash balance except in connection with the creation and redemption of Baskets or to pay expenses not assumed by the Sponsor.

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 SOL.

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

Pursuant to the rules of the Exchange, because the Trust’s staking program involves the temporary loss of the ability to transfer or otherwise dispose of the Trust’s SOL, the Trust is required to maintain written liquidity risk policies and procedures reasonably designed to address the risk that the Trust could not meet requests to redeem Shares without significant dilution of remaining Shareholders’ interests in the Trust.

Accordingly, the Sponsor has adopted a liquidity risk management program (the “Liquidity Program”) that provides a variety of mechanisms to monitor and manage the liquidity of the Trust’s assets.

A description of the Liquidity Program is available in full at the Trust’s website at www.fidelity.com.

The Trust’s staking program involves the temporary loss of the ability to transfer or otherwise dispose of the Trust’s SOL.

As part of the “bonding” and “unbonding” processes of staking, any staked portion of SOL will be inaccessible for a period of time, which is generally approximately 2 days but in some circumstances may take longer as determined by a range of factors.

While the Trust does not have long-term capital resource requirements or obligations, there can be no guarantee that the process for the Custodians to unstake or “exit” the Trust’s staked SOL positions will result in the Trust regaining complete control of its SOL in time to satisfy its short-term obligations to facilitate foreseeable Shareholder redemption requests and pay Trust expenses.

The Trust maintains a liquidity risk management program (the “Liquidity Program”) that provides a variety of mechanisms to monitor and manage the liquidity of the Trust's assets.

The Liquidity Program is available in full at the Trust’s website at www.fidelity.com.

Under the Liquidity Program, the Trust maintains a portion of its investments as readily available to facilitate foreseeable redemption requests, pay Trust expenses, or protect the Trust and its assets.

Assets that are readily available to meet redemption requests include cash and cash equivalents, and any investment or portion of an investment reasonably expected to be able to be liquidated, sold, transferred, or assigned within the Trust's established redemption distribution period without the conversion or disposition significantly changing the market value of the investment.

The Trust may, in its discretion and subject to the Liquidity Program, suspend the right of creation or redemption or postpone the redemption or purchase settlement date for (1) any period during which an emergency exists as a result of which the fulfillment of a purchase order or the redemption distribution is not reasonably practicable, or (2) such other period as the Sponsor determines to be necessary for the protection of Shareholders.

The Trust may exchange its staked SOL for an amount of unstaked SOL.

In such transactions, the SOL trading counterparty facilitating such trade will generally deliver an amount unstaked SOL that is less than the amount of staked SOL the Trust has delivered in exchange, with such spread representing the SOL trading counterparty’s compensation.

While such spreads are generally expected to be de minimis in relation to the Trust’s overall assets, any such spread charged by a SOL trading counterparty will reduce the amount of SOL represented by a Share and the value of Shares.

As part of the Liquidity Program, the Trust may establish various liquidity sources, which it may use to finance temporarily the redemption requests of Shareholders or for other short-term liquidity requirements.

These liquidity sources may include borrowing arrangements made via uncommitted and committed lines of credit.

As of the date of this Quarterly Report, the Trust has not entered into any line of credit or other borrowing arrangement, nor suspended the rights of creations or redemptions or postponed redemption or purchase settlement dates nor exchanged its staked SOL for an amount of unstaked SOL.

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 for the duration of the waiver period.

The waiver period began on the date the Trust first issued Shares, which commenced trading on the Exchange November 18, 2025, following the effectiveness of the registration statement and ends after a period of six months, unless extended by the Sponsor in its sole discretion.

In addition to the Sponsor Fee, the Trust will bear the Staking Fees.

The Sponsor contractually agreed to waive Staking Fees in their entirety on the staking rewards received by the Trust generated from the first $1.0 billion of Trust assets for the duration of the waiver period.

Off Balance Sheet Arrangements and Contractual Obligations

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As the Sponsor cannot anticipate the amount of staking rewards that will be received by the Trust in future periods, the amount of the Staking Fee or the portion of the Staking Fee any party is entitled to will not be known until a future date.

Selected Operating Data

March 31, 2026

Price of SOL on principal market (1)

Index price (2)

March 31, 2026

NAV per Share (3)

Adjustment to NAV per Share

Trust’s NAV per Share (4)

(1) The Trust performed an assessment of the principal market at 11:59:59 p.m., EST, on March 31, 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 SOL 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 SOL based on the principal market price at 11:59:59 p.m., EST, on March 31, 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 SOL 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 period ended March 31, 2026, the Trust’s total value of SOL based on the Index Price (non-GAAP methodology) was $96,604,937, a difference of $843,926 to the GAAP value, which was $97,448,863, and the total market value of the Trust’s SOL based on the price of SOL at 4:00 p.m., EST, in the principal market (non-GAAP methodology) was $96,548,831, a difference of $900,032 to the GAAP value, which was $97,448,863.

December 31, 2025

Price of SOL on principal market (1)

Index price (2)

December 31, 2025

NAV per Share (3)

Adjustment to NAV per Share

Trust’s NAV per Share (4)

(1) The Trust performed an assessment of the principal market at 11:59:59 p.m., EST, on December 31, 2025.

(2) Index Price as represented by the Index as of 4:00 p.m., EST, on the last business day of the period.

The SOL 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 SOL 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.

As of 4:00 p.m., EST, on the last business day of the period ended December 31, 2025, the Trust’s total value of SOL based on the Index Price (non-GAAP methodology) was $113,281,719, a difference of $666,900 to the GAAP value, which was $113,948,619, and the total market value of the Trust’s SOL based on the price of SOL at 4:00 p.m., EST, in the principal market (non-GAAP methodology) was $113,245,177, a difference of $703,442 to the GAAP value, which was $113,948,619.

Monthly Staking Information for the Quarter Ended March 31, 2026

January 31, 2026

February 28, 2026

March 31, 2026

Gross staking reward rate (2)

Net staking reward rate (3)

(1) The trailing 30-day average of the percentage of the Trust’s assets that are staked.

(2) The annualized trailing 30-day average gross staking reward rate of the Trust derived from staking activity.

(3) The annualized trailing 30-day average net staking reward rate of the Fund derived from staking activity, after staking fees.

Monthly Staking Information for the Period Ended December 31, 2025

December 31, 2025

Gross staking reward rate (2)

Net staking reward rate (3)

(1) The trailing 30-day average of the percentage of the Trust’s assets that are staked.

(2) The annualized trailing 30-day average gross staking reward rate of the Trust derived from staking activity.

(3) The annualized trailing 30-day average net staking reward rate of the Fund derived from staking activity, after staking fees.

The Sponsor has contractually agreed to waive the fee on staking rewards generated by the Trust, through May 18, 2026 on the first $1.0 billion in assets in the Trust.

Analysis of Price Movements

Investors should understand the relationship between the Index Price (non-GAAP measurement of the price of SOL), the Trust’s NAV per Share (non-GAAP measurement of the price of SOL affected by non-SOL net assets, such as the Sponsor Fee), the Trust’s market price per share, and SOL’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 three months ended March 31, 2026.

During the three months ended March 31, 2026, the Index Price has ranged from a low of $77.09 on February 12, 2026 to a high of $147.38 on January 14, 2026.

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

During the three months ended March 31, 2026, the 11:59:59 p.m.

EST market price of SOL, as reported on the Trust’s principal market, ranged from $76.83 on February 23, 2026, to $144.85 on January 13, 2026.

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 SOL.

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 three months ended March 31, 2026.

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