What changed in this filing

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Item 2. Management’s Discussion and Analysis

2026-05-12 compared with 2025-11-10 · 212 added, 357 removed, 13 unchanged (98% 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 “ 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.

such as “ anticipate, ” “ expect, ” “ intend, ” “ plan, ” “ believe, ”

“ seek, ” “ outlook ” and “ estimate, ” as well as similar words and phrases,

signify forward-looking statements.

Hashdex Nasdaq Crypto Index US ETF ’ s (the “ Trust ’ s ” )

forward-looking statements 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.

You should not place undue reliance on any

forward-looking statements.

Except as expressly required by the Federal securities laws, Hashdex Asset Management Ltd.

(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

Overview/Introduction

The Trust is a Delaware statutory trust organized

on July 12, 2024.

The Trust is not a commodity pool under the Commodity Exchange Act of 1936, as amended, and the Sponsor

is not subject to regulation by the Commodity Futures Trading Commission as a commodity pool operator or a commodity trading advisor with

respect to the Trust.

The Trust issues shares of beneficial interest, called “Shares,” representing fractional undivided beneficial

interests in the Trust.

The Shares are listed and traded on The Nasdaq Stock Market, LLC (the “Exchange”).

investment objective is to ensure that daily changes in the net asset value (“NAV”) of the Shares correspond to the daily

changes of the Nasdaq Crypto US Settlement Price Index (NCIUSS) (the “Index”), less expenses and liabilities of the Trust,

by investing in the index crypto asset constituents of the Index (“Index Constituents”).

Under its current investment strategy,

the Trust invests in crypto assets to track NCIUSS.

Under limited circumstances, the Trust will hold cash to bear its expenses.

will employ a passive investment strategy that is intended to track the changes in the Index regardless of whether the Index goes up or

down, meaning that the Sponsor will not try to “beat” the Index.

It also means that the Trust will not utilize leverage.

The Trust operates pursuant to the Trust’s

Third Amended and Restated Trust Agreement (the “Trust Agreement”), dated September 18, 2025.

On February 13, 2025, the initial

Form S-1 for the Trust was declared effective by the U.S.

Securities and Exchange Commission (“SEC”), and registered an indeterminate

number of Shares.

Coinbase Custody Trust Company, LLC and BitGo Trust Company, Inc (the “Crypto Custodians”) are the custodian

for the Trust’s crypto holdings;

Bank National Association is the custodian for the Trust’s cash and cash equivalents

holdings (the “Cash Custodian” and together with the Crypto Custodians, the “Custodians”).

The sponsor of the Trust is Hashdex Asset Management

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

This Quarterly Report on Form 10-Q (this “Report”) includes “forward-looking statements” which generally relate to future events or future performance.

In some cases, you can identify forward-looking statements by terminology such as “may,” “will,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential” or the negative of these terms or other comparable terminology.

All statements (other than statements of historical fact) included in this Report that address activities, events or developments that will or may occur in the future, including such matters as movements in the commodities markets and indexes that track such movements, our operations, Hashdex Asset Management Ltd.’s (the “Sponsor”) plans and references to our future success and other similar matters, are forward-looking statements.

These statements are only predictions.

Actual events or results may differ materially.

These statements are based upon certain assumptions and analyses our Sponsor has made based on its perception of historical trends, current conditions and expected future developments, as well as other factors appropriate in the circumstances.

Whether 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 bodies, and other world economic and political developments.

Consequently, all the forward-looking statements made in this Report are qualified by these cautionary statements, and there can be no assurance that actual results or developments our Sponsor anticipates will be realized or, even if substantially realized, that they will result in the expected consequences to, or have the expected effects on, our operations or the value of our shares.

Readers are cautioned not to place undue reliance on forward-looking statements because of the risks and uncertainties related to them.

Except as may be required by law, we do not undertake any obligation to update the forward-looking statements contained in this Report to reflect any new information or future events or circumstances or otherwise.

Trust Overview

Hashdex Nasdaq CME Crypto Index ETF (f/k/a Hashdex Nasdaq Crypto Index US ETF, prior to January 20, 2026) (the “Trust”) is a Delaware statutory trust organized on July 12, 2024.

The Trust operates pursuant to the Fifth Amended and Restated Trust Agreement, dated January 20, 2026.

The Trust issues shares of beneficial interest (“Shares”), representing fractional undivided beneficial interests in the Trust.

The Shares trade on The Nasdaq Stock Market, LLC (the “Exchange”) under the symbol “NCIQ”.

The principal office address of the Trust is 19 West 44th Street, Suite 200, New York, NY 10036 and the Trust’s telephone number is 800-927-9800.

The Trust is designed to provide investors with price exposure to certain crypto assets.

Prior to January 20, 2026, such crypto assets were those included in the Nasdaq Crypto US Settlement Price™ Index (the “NCIUSS” or the “Former Index”).

Effective January 20, 2026 (the “Transition Date”), the reference index changed to the Nasdaq CME Crypto Settlement Price Index™ (the “NCIS” or the “New Index”), as detailed below.

References to the “Index” as used herein refer to the Former Index prior to the Transition Date and the New Index after the Transition Date.

The NCIUSS represents the daily closing value of the Nasdaq Crypto US™ Index (the “NCIUS”), and the NCIS represents the daily closing value of the Nasdaq CME Crypto™ Index (the “NCI”).

The NCIUSS and the NCIS apply substantially identical methodologies, reflect the same constituents, and are both designed to measure the performance of a material portion of the overall crypto asset market.

The Trust’s investment objective is to align the daily changes in the net asset value (“NAV”) of the Shares with the daily price changes of the Index, minus operational expenses and liabilities, by investing in the digital assets that are constituents of the Index or may be added as constituents of the Index in the future (the “Index Constituents”).

Because the Trust’s investment objective is to track the price of the Index, changes in the price of the Shares may vary from changes in prices of the Index Constituents.

The sponsor of the Trust is Hashdex Asset Management Ltd.

(the “Sponsor”).

CSC Delaware Trust Company is the trustee of the Trust (the “Trustee”).

The Trust intends

to be treated as a partnership for U.S.

federal income tax purposes.

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 Trust continuously offers creation baskets consisting of 10,000 Shares at their net asset value (“NAV”)

to certain financial institutions that have entered into an agreement with the Sponsor.

Bancorp Fund Services, LLC (d/b/a U.S.

Bank Global Fund Services) (“Global Fund Services” or the “Administrator”) provides administrative services to the Trust.

Global Fund Services also serves as the Trust’s transfer agent (the “Transfer Agent”) and accounting agent (“Accounting Agent”).

Paralel Distributors LLC is the marketing agent of the Trust (the “Marketing Agent”).

Coinbase Custody Trust Company, LLC (“Coinbase Custody”), BitGo Trust Company, Inc.

(“BitGo”) and Fidelity Digital Asset Services, LLC (“Fidelity”) are the custodians for the Trust’s crypto asset holdings (the “Crypto Custodians”).

Bank National Association is the custodian for the Trust’s cash and cash equivalent holdings (the “Cash Custodian” and together with the Crypto Custodians, the “Custodians”).

The Trust is an exchange-traded fund.

The Trust does not purchase or sell digital assets other than in connection with the creation and redemption of blocks of 10,000 Shares called “Baskets” to certain broker-dealers that have entered into an agreement with the Sponsor (“Authorized Participants”), or to pay certain expenses.

Recent Developments

Crypto Trading Counterparties

On July 16, 2025, the Trust entered into a Master

Purchase Agreement (the “Cumberland Agreement”) with Cumberland DRW LLC (“Cumberland”), pursuant to which Cumberland

provides over-the-counter trading services, including the purchase and sale of crypto assets, subject to its customary terms and conditions.

On July 24, 2025, the Trust entered into a Master

Services Agreement (the “Flowdesk Agreement”) with Flowdesk SAS (“Flowdesk”), pursuant to which Flowdesk provides

over-the-counter trading services, including the purchase and sale of crypto assets, subject to its customary terms and conditions.

On August 27, 2025, the Trust entered into a Letter

of Adherence to the Terms of Business of Enigma Securities Limited (the “Enigma Agreement”), pursuant to which Enigma Securities

Limited (“Enigma”) provides over-the-counter trading services, including the purchase and sale of crypto assets, subject to

its customary terms and conditions.

Amendment to the Trust Agreement

On September 18, 2025, the Sponsor and CSC Delaware

Trust Company, the Trustee of the Trust, executed the Third Amended and Restated Trust Agreement (the “Trust Agreement”).

The amended Trust Agreement introduced certain revisions to the Second Amended and Restated Trust Agreement to reflect the requirements

necessary for the Trust to rely on the generic listing standards adopted by The Nasdaq Stock Market LLC.

Reliance on Generic Listing Standards and Index

On September 25, 2025, the Sponsor issued a press

release announcing the Trust’s transition to rely on the generic listing standards adopted by The Nasdaq Stock Market LLC (the “Exchange”)

and approved by the U.S.

Securities and Exchange Commission (the “SEC”).

In reliance on the Generic Listing Standards,

the Trust is permitted to hold additional crypto assets that are constituents of the Nasdaq Crypto US Settlement Price™ Index (“NCIUSS”

or the “Index”), rather than being limited to only two crypto assets.

Accordingly, since that date, the Trust tracks Bitcoin

(BTC), Ethereum (ETH), Solana (SOL), Stellar (XLM), and XRP (XRP), subject to quarterly rebalancing and any additions or removals of Index

Constituents in accordance with the Index methodology and the eligibility criteria under the Generic Listing Standards.

In addition, since

September 30, 2025, Cardano (ADA) has been added to the Trust’s holdings, subject to quarterly rebalancing and any additions or

removals of Index Constituents in accordance with the Index Methodology and the eligibility criteria under the Generic Listing Standards.

Trust Overview

The Trust issues Shares on the Exchange.

investment objective is for changes in the Shares’ NAV to reflect the daily changes of the price of the Nasdaq Crypto US Settlement

Price Index (NCIUSS) (the “Index”), less expenses and liabilities of the Trust.

Under its current investment strategy, the

Trust invests in Index Constituents.

Under limited circumstances, the Trust will hold cash to bear its expenses.

It also means that the

Trust will not utilize leverage.

In order to track the Index as closely as possible, the Trust will aim to invest the Index Constituents

in the same proportions as the Index.

The Sponsor will employ a passive investment strategy that is intended to track the changes in the

Index regardless of whether the Index goes up or goes down.

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

Index, the price of the Shares may vary from changes in the spot price of the Index Constituents.

The Trust, the Sponsor, the Administrator

and the service providers, including the Custodians, will not loan or pledge the Trust’s assets, nor will the Trust’s assets

serve as collateral for any loan or similar arrangement.

The Administrator calculates an approximate net asset value every 15 seconds

throughout each day that the Trust’s Shares are traded on the Exchange.

The Trust will not utilize leverage, derivatives, or any

similar arrangements in seeking to meet its investment objective.

The Index Methodology

The Trust will use the Index as a reference to

track and measure its performance compared to the price performance of the markets for the Index Constituents and for valuation purposes

when calculating the Trust’s NAV.

The Index is designed to measure the performance

of a portion of the overall crypto asset market.

The Index does not track the overall performance of all crypto assets generally, nor

the performance of any specific crypto assets.

As discussed above, effective January 20, 2026, the Fund’s reference index changed from the NCIUSS to the NCIS.

On January 20, 2026, the Sponsor caused a Certificate of Amendment to the Trust’s Certificate of Trust to be filed with the Secretary of State of the State of Delaware in order to change the name of the Trust from “Hashdex Nasdaq Crypto Index US ETF” to “Hashdex Nasdaq CME Crypto Index ETF”.

In addition, on January 20, 2026, the Sponsor and the Trustee entered into the Fifth Amended and Restated Trust Agreement (the “Trust Agreement”).

The Trust Agreement made conforming changes to the Fourth Amended and Restated Trust Agreement primarily to reflect the change of the Trust’s name and its reference index.

Management Fee Reduction

On March 13, 2026, the Sponsor and the Trust entered into the Second Amendment to the Sponsor Agreement to reduce the Sponsor’s Management Fee (the “Sponsor Fee”) from 0.50% to 0.25% per annum of the Trust’s net asset value, effective as of March 16, 2026.

Management Changes

On March 5, 2026, Hashdex Ltd.

(“Hashdex”), the controlling entity of the Sponsor, announced the following leadership changes at the Hashdex group level:

Marcelo Sampaio, who served as Chief Executive Officer and President of Hashdex, transitioned to the role of Executive Chairman.

In his new role, Mr.

Sampaio leads Hashdex’s Board of Directors, guides long-term strategy and capital allocation, and oversees major corporate initiatives on a full-time basis.

Bruno Caratori, Co-Founder of Hashdex and Chief Operating Officer, was appointed Global Chief Executive Officer.

As Global CEO, Mr.

Caratori leads Hashdex’s worldwide strategy, operations, and growth initiatives.

Mick McLaughlin was appointed U.S.

Chief Executive Officer.

McLaughlin continues to serve as Global Head of Distribution.

Investment Objective and Strategy

The Shares are designed to provide investors with a straightforward means of obtaining price exposure to the Index Constituents, as opposed to direct acquisition, holding, and trading of crypto assets on a peer-to-peer or other basis or via a crypto asset platform.

The Shares are intended to reduce the complexities and operational burdens associated with direct investment in these crypto assets, while maintaining an intrinsic value that reflects the investment exposure to the assets held by the Trust, less the Trust’s expenses and liabilities.

This structure offers investors an alternative method of accessing the crypto asset markets through the public securities market.

The Sponsor will employ a passive investment strategy intended to track the changes in the Index, regardless of its direction, meaning that the Sponsor will not attempt to outperform the Index.

This strategy aims to allow investors to buy and sell Shares to hedge against losses in Index-related transactions or to gain price exposure to the Index.

Consistent with its investment objective, the Trust will not use its investments to enhance leverage or seek performance that is the multiple or inverse multiple of the Index.

The Trust will gain exposure to the prices of the Index Constituents by purchasing these crypto assets and will maintain cash balances as necessary to cover currently due Trust-payable expenses.

Absent any Share redemption orders or currently due Trust-payable expenses, the Trust’s portfolio will consist solely of Index Constituents.

The Trust will not invest in any crypto assets other than the Index Constituents.

The Trust will not invest in tokenized assets, or stablecoins.

As of March 31, 2026, the crypto asset constituents of the Index Constituents and their weightings were as follows:

Constituents Weight

Bitcoin 76.86 %

Ether 12.71 %

Solana 3.25 %

Cardano 0.65 %

Stellar 0.31 %

Chainlink 0.38 %

The Trust’s Index

The Trust will use the Index as a reference to track and measure its performance compared to the price performance of the markets for the Index Constituents and for valuation purposes when calculating the Trust’s NAV.

Prior to the Transition Date, the Trust used the Nasdaq Crypto US Settlement Price™ Index.

Effective as of the Transition Date, the reference index changed to the Nasdaq CME Crypto Settlement Price Index™.

References to the “Index” as used herein refer to the Former Index prior to the Transition Date and the New Index after the Transition Date.

The Former Index and the New Index apply substantially identical methodologies, reflect the same Index Constituents, and are both designed to measure the performance of a material portion of the overall crypto asset market.

The Index does not track the overall performance of all crypto assets generally, nor the performance of any specific crypto assets.

The Index is owned and administered by Nasdaq, Inc.

(“Index Provider”) and

is calculated by CF Benchmarks Limited (“Calculation Agent”), which is experienced in calculating and administering crypto

assets indices.

The Calculation Agent publishes daily the Index Constituents, the Index Constituents’ weightings, the intraday value

of the Index (under the ticker NCIUS), and the daily settlement value of the Index (under the ticker NCIUSS), which is effectively the

Index’s closing value.

The Index is derived from a rules-based methodology

(“Index Rules”), which is overseen by the Nasdaq Index Management Committee (“NIMC”).

The NIMC governs the Index

and is responsible for its implementation, administration, and general oversight, including assessing crypto assets for eligibility, adjustments

to account for regulatory changes and periodic methodology reviews.

The NIMC shall approve any material changes to the methodology and

review the Index methodology at least on an annual basis.

The Index Rules may only be changed by the Index Provider with the approval

(the “Index Provider”) and is calculated by CF Benchmarks Limited (the “Calculation Agent”), which is experienced in calculating and administering crypto asset indices.

The Calculation Agent publishes daily a list of the Index Constituents, the Index Constituents’ weightings, the intraday value of the Index, and the daily settlement value of the Index, which is effectively the Index’s closing value.

The Index is derived from a rules-based methodology (the “Index Rules”), which is overseen by the Nasdaq Index Management Committee (the “NIMC”).

The NIMC governs the Index and is responsible for its implementation, administration, and general oversight, including assessing crypto assets for eligibility, adjustments to account for regulatory changes and periodic methodology reviews.

The NIMC shall approve any material changes to the methodology and review the Index methodology at least on an annual basis.

The Index Rules may only be changed by the Index Provider with the approval of the NIMC.

Neither the Trust nor the Sponsor have control over the Index Rules or the Index administration.

Changes to Index Rules

may result in adverse effects to the Trust and/or in the ability of the Sponsor to implement the Trust’s investment strategy.

Crypto assets are eligible for inclusion in the

Index if they satisfy the criteria set forth under the Nasdaq Crypto US Index methodology, which includes being listed on a U.S.-regulated

crypto asset trading platform at the time of the inclusion or serving as the underlying asset for a derivative instrument listed on a

U.S.-regulated derivatives platform.

The Index adjusts its constituents and weightings on a quarterly basis to reflect changes in the

crypto asset markets.

Notwithstanding inclusion in the eligible list, the

NIMC reserves the right to further exclude any additional assets based on one or more factors, including but not limited to, its review

of general reputational, fraud, manipulation, or security concerns connected to the asset.

Assets that, in the sole discretion of the

NIMC, do not offer utility, do not facilitate novel use cases, or that do not exhibit technical, structural or crypto-economic innovation

(e.g., assets inspired by memes or internet jokes) may also be excluded.

The Nasdaq Crypto US Index methodology has been written and designed

to be forward-looking to account for any potential future regulatory changes, including potential changes where crypto asset trading platforms

would be regulated by U.S.

regulators such as the SEC and the CFTC.

The Index will be reconstituted and rebalanced

quarterly, on the first Business Day in March, June, September, and December (“Reconstitution Date”).

The Trust’s Investment Strategies

The Trust will gain exposure to crypto assets

by investing in the Index Constituents.

It will maintain cash balances only as necessary to cover currently due Trust-payable expenses.

Absent any Share redemption orders or due expenses, the Trust’s portfolio will consist solely of the Index Constituents, except

that the Sponsor may, at its sole discretion, exclude a specific Index Constituent under certain circumstances further described below.

The Trust will not invest in any crypto assets outside the Index Constituents, nor will it invest in tokenized assets or stablecoins.

If any crypto asset other than the Index Constituents becomes eligible for inclusion in the Index, the Sponsor will endeavor to maintain

full replication investment strategy and replicate the Index’s holdings.

The ratio of investment in the Index Constituents, representing

the proportion of quantities of crypto assets per Share, changes quarterly as described below in The Trust’s Benchmark.

As of September 30, 2025, the crypto asset constituents of the Index Constituents and their weightings were as follows:

Bitcoin (BTC)

Cardano (ADA)*

Stellar (XLM)

* Crypto position was established on 9/30/25.

custodian reflects trade quantities on settlement date, which occurred after period end.

The Sponsor will employ a passive investment strategy intended to

track the Index, regardless of its direction, meaning that the Sponsor will not attempt to outperform the Index.

This strategy aims to

allow investors to buy and sell Shares to hedge against losses in Index-related transactions or to gain price exposure to the Index.

Consistent with its investment objective, the Trust will not use its investments to enhance leverage or seek performance multiples or

inverse multiples of the Index.

The weighting of each Index Constituent in the

Trust’s portfolio is generally expected to match the weighting of the Index Constituents in the Index, except when the Sponsor determines

to exclude or limit the weight of one or more crypto assets from the Trust’s portfolio in the rules-based circumstances set forth

In such cases, the weightings of the crypto assets held by the Trust are generally expected to be calculated proportionally to

the respective Index Constituents for the remaining Index Constituents.

The Sponsor may, at its discretion, exclude or

limit the weighting of Index Constituents in the Trust’s portfolio under the following circumstances:

● The inclusion or projected weighting of a crypto

asset could, in the Sponsor’s sole judgment, result in the Trust being required to register as an investment company under the Investment

Company Act or require the Sponsor to register as an investment adviser under the Investment Advisers Act of 1940;

● None or few of the Authorized Participants or

service providers have the ability to trade or otherwise support the asset in a way that impacts the Trust operations;

● The Sponsor determines, based on available guidance,

that the use or trading of the crypto asset raises, or is likely to raise, significant governmental, policy, or regulatory concerns or

is subject to, or likely to become subject to, a specialized regulatory regime, such as U.S.

federal securities or commodities laws or

similar laws in other significant jurisdictions;

● The crypto asset’s underlying code contains,

or may contain, material flaws or vulnerabilities;

● Holding the crypto asset would cause the Trust’s

holdings to be inconsistent with applicable listing rules of the Exchange.

While these constraints are designed to ensure compliance with applicable

laws and rules, they may result in deviations between the performance of the Trust and the performance of the Index.

As crypto assets

become eligible, or if any Index Constituents later become ineligible, for inclusion based on the applicable listing rules of the Exchange,

the Sponsor expects to adjust the inclusion and weighting of Index Constituents in the Trust’s portfolio accordingly.

will disclose the current Index Constituents and their weighting on the Trust’s website on an ongoing basis.

Calculating NAV

The Trust’s NAV per Share will be calculated

by taking the current market value of its total assets, subtracting any liabilities, and dividing that total by the number of Shares.

Changes to Index Rules may result in adverse effects to the Trust and/or in the ability of the Sponsor to implement the Trust’s investment strategy.

Crypto assets are eligible for inclusion in the Index if they satisfy the criteria set forth under the Index methodology.

The Index adjusts its constituents and weightings on a quarterly basis to reflect changes in the crypto asset markets.

Notwithstanding inclusion in the eligible list, the NIMC reserves the right to further exclude any additional assets based on one or more factors, including but not limited to, its review of general reputation, fraud, manipulation, or security concerns connected to the asset.

The Index will not include assets deemed to be securities by U.S.

Assets that, in the sole discretion of the NIMC, do not offer utility, do not facilitate novel use cases, or that do not exhibit technical, structural or crypto-economic innovation (e.g., assets inspired by memes or internet jokes) may also be excluded.

The Index methodology has been written and designed to be forward-looking to account for any potential future regulatory changes, including potential changes where crypto asset trading platforms would be regulated by U.S.

regulators such as the U.S.

Securities and Exchange Commission.

The Index will be reconstituted and rebalanced quarterly, on the first Business Day in March, June, September and December (the “Reconstitution Date”).

A “Business Day” means any day other than a day when the Exchange is closed for regular trading.

Principal Market and Fair Value Determination of Assets

The Trust’s NAV per Share will be calculated by taking the current market value of the Trust’s total assets, subtracting any liabilities, and dividing that total by the number of Shares.

The assets of the Trust will consist of crypto assets, cash and cash equivalents.

The Sponsor has the exclusive authority to determine

the Trust’s NAV, which it has delegated to the Administrator.

The Administrator of the Trust will calculate

the NAV once each Business Day, as of the earlier of the close of the Nasdaq or 4:00 p.m.

New York time.

For purposes of making

these calculations, a “Business Day” means any day other than a day when Nasdaq is closed for regular trading.

In determining the Trust’s holdings, the

Administrator will value the Index Constituents held by the Trust based on the Index Constituent Settlement Price, unless the prices are

not available or the Administrator, in its sole discretion, determines that the Index Constituent Settlement Price is unreliable (“Fair

Value Event”).

In the instance of a Fair Value Event, the Trust’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, VWAP or Volume Weighted Median

Prices (VWMP) from another index administrator (“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 Trust’s principal market

as of 4:00 p.m.

ET, 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 Trust’s principal market (or in the absence

of a principal market, the most advantageous market) for crypto assets consistent with the application of fair value measurement framework

in FASB (Financial Accounting Standards Board) Accounting standards codification (ASC) 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.

The Sponsor has the exclusive authority to determine the Trust’s NAV, which it has delegated to the Administrator.

The Administrator of the Trust will calculate the NAV once each Business Day, as of the earlier of the close of the Exchange or 4:00 p.m.

Eastern Time (“E.T.”).

In determining the value of the Trust’s holdings, the Administrator will value the Index Constituents held by the Trust based on the Index Constituents’ settlement prices, unless the prices are not available or the Administrator, in its sole discretion, determines that the Index Constituents’ settlement prices are unreliable (“Fair Value Event”).

In the instance of a Fair Value Event, the Trust’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 (VWAP) or volume weighted median prices (VWMP) from another index administrator (“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 Trust’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 Trust’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 Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 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.

The reporting entity is the Trust.

If the Index Constituent Settlement Price is not

used to determine the Trust’s crypto asset holdings, Shareholders will be notified through a prospectus supplement, a current report

on Form 8-K, the Trust’s periodic Exchange Act reports and/or on the Trust’s website and, if this index change is on a permanent

basis, a filing with the Commission under Rule 19b-4 of the Act will be required.

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 Trust 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 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 Trust 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 spot trade that occurs during the

observation window between 3:00 p.m.

dollar spot trade that occurs during the observation window between 3:00 p.m.

and 4:00 p.m.

ET on a Core Crypto Platform in the BTC/USD pair that is reported and disseminated

by a Core Crypto Platform through its publicly available application programming interface and observed by the Index Provider.

on a Core Crypto Platform in the bitcoin/U.S.

dollar pair that is reported and disseminated by a Core Crypto Platform through its publicly available application programming interface and observed by the Index Provider.

A “Core Crypto Platform” is a crypto asset platform that, in the opinion of the Index, exhibits at a minimum the following characteristics:

(1) has strong forking controls;

(2) has effective anti-money laundering controls;

(3) has a reliable and transparent application programming interface (API) that provides real-time and historical trading data;

(4) charges fees for trading and structure trading incentives that do not interfere with the forces of supply and demand;

(5) is licensed by a public independent governing body;

(6) includes surveillance for manipulative trading practices and erroneous transactions;

(7) evidences a robust information technology infrastructure;

(8) demonstrates active capacity management;

(9) evidences cooperation with regulators and law enforcement;

(10) has a minimum market representation for trading volume;

and (11) maintains a comprehensive Information Sharing Agreement with the Chicago Mercantile Exchange.

Indicative Trust Value

In order to provide updated information relating

to the Trust for use by Shareholders and market professionals, the Sponsor will engage an independent calculator to calculate an updated

Indicative Trust Value (“ITV”).

The ITV will be calculated by using the prior day’s closing NAV per Share of the

Trust as a base and will be updated throughout the regular market session of 9:30 a.m.

(the “Regular

Market Session”) to reflect changes in the value of the Trust’s holdings during the trading day.

For purposes of calculating

the ITV, the Trust’s crypto asset holdings will be priced using a real time version of the Index.

The ITV will be disseminated on a per Share basis

every 15 seconds during the Regular Market Session and be widely disseminated by one or more major market data vendors during the Regular

Market Session.

Several major market data vendors display and/or make widely available ITVs taken from the Consolidated Tape Association

(CTA) or other data feeds.

In order to provide updated information relating to the Trust for use by shareholders and market professionals, the Sponsor will engage an independent calculator to calculate an updated Indicative Trust Value (“ITV”).

The ITV will be calculated by using the prior day’s closing NAV per Share of the Trust as a base and will be updated throughout the regular market session of 9:30 a.m.

(the “Regular Market Session”) to reflect changes in the value of the Trust’s holdings during the trading day.

For purposes of calculating the ITV, the Trust’s crypto asset holdings will be priced using a real time version of the Index.

Results of Operations

As the Trust commenced operations in 2025, the

following discussion does not include a comparison to the corresponding periods in the prior fiscal year.

For the three months ended September 30, 2025

The Trust’s net assets increased from $125,608,529

as of June 30, 2025, to $153,538,950 as of September 30, 2025.

This total increase of $27,930,421 was primarily driven by a net increase

from operations of $ 16,459,378.

During the quarter, a total of 470,000 shares (47 baskets) were created and 90,000 shares (9 baskets)

were redeemed, resulting in a total net increase of 380,000 shares (38 baskets).

For the period from January 21, 2025 through

September 30, 2025

Since its inception on January 21, 2025, the Trust’s

net assets grew to $153,538,950 as of September 30, 2025.

This growth resulted from a net increase from operations of $40,384,728 a net

increase from capital share transactions of $113,154,222.

Since inception, a total of 5,120,000 shares have been created and 150,000 shares

have been redeemed, resulting in a net increase of 4,970,000 shares as of September 30, 2025.

period from July 1,2025 through September 30, 2025

The 12.86% increase in the NAV for purposes of

the Trust’s periodic financial statements (“Financial Statement NAV”), from $27.37 at July 1, 2025 to $30.89 as of September

30, 2025, reflects the appreciation in the prices of the crypto assets in the NCIUS.

The NAV increase is also partially offset by the

Sponsor’s fee, which totaled $90,155 net of waiver, for the period.

The discussion below addresses material changes in the results of operations for the three months ended March 31, 2026 compared to the period from February 14, 2025 to March 31, 2025.

The Trust commenced operations on February 14, 2025 and no operations occurred prior to this date.

On March 31, 2026, the Trust held 8,796,626Index Constituents with an asset fair value of $98,000,953 and cash of $102,236.

March 31, March 31, December 31,

2026 2025 2025

Total Net Assets $ 98,081,994 $ 88,730,642 $ 121,287,477

Shares Outstanding $ 5,690,000 $ 4,250,000 5,340,000

Net Asset Value per share $ 17.24 $ 20.88 $ 22.71

Closing Price $ 17.23 $ 20.89 $ 22.73

The Trust’s net assets decreased from $121,287,477 as of December 31, 2025 to $98,081,994 as of March 31, 2026.

For the comparable period, net assets were $88,730,642 for the period from February 14, 2025 (commencement of operations) to March 31, 2025.

This change was driven primarily by net capital share transactions totaling $6,335,023, reflecting capital inflows during the Trust’s inaugural year.

These inflows were partially offset by a net decrease in net assets resulting from operations of $(29,540,506), which was attributable to the combined effects of the Trust’s operating expenses and the market performance of the underlying Index Constituents held in the portfolio.

For the three months ended March 31, 2026, compared to the period from February 14, 2025 (commencement of operations) to March 31, 2025:

Period Ended Period from

March 31, 2026 March 31, 2025

Average daily total net assets $ 107,533,113 $ 30,505,476

Net realized and unrealized gain (loss) on Index Constituents $ (29,474,218 ) $ (3,941,386 )

Interest income earned on cash equivalents $ - $ -

Net income (loss) $ (29,540,505 ) $ (3,953,064 )

Weighted average Shares outstanding 5,471,889 1,871,556

Management Fees $ 132,575 $ 23,257

Total fees and other expenses (excluding Management Fees) $ - $ 50

Brokerage commissions $ - $ -

Total gross expense ratio 0.50 % 0.50 %

Total expense ratio 0.25 % 0.25%

Net investment income (0.25 )% (0.25 )%

Creation of Shares 350,000 4,300,000

Redemption of Shares - (50,000 )

Commencement of operations.

No Operations occurred prior to this date.

The graphs below show the actual Shares outstanding, total net assets and NAV per Share for the Trust from commencement of operations to March 31, 2026 and serves to illustrate the relative changes of these components.

Index Performance

The following graphs illustrate changes in the Trust’s NAV, as reflected by the graph “Comparison of NAV to Index” for the period ended March 31, 2026 and the period from February 14, 2025 (commencement of operations) to March 31, 2025.

Comparison of NAV to Index

for the Period Ended March 31, 2026

NEITHER THE PAST PERFORMANCE OF THE TRUST NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE TRUST’S FUTURE PERFORMANCE.

The graph above compares the return of the Trust with the Index returns for the period ended March 31, 2026.

The difference in the NAV price and the Index value often results in the appearance of a NAV premium or discount to the Index.

Differences in the Index and the Trust’s NAV per Share are due to such factors as the Trust’s operating expenses and transaction costs associated with portfolio rebalancing and cash creation and redemption activities.

Comparison of NAV to index

for the period from february 14, 2025 (commencement of operations)

to March 31, 2025

NEITHER THE PAST PERFORMANCE OF THE TRUST NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE TRUST’S FUTURE PERFORMANCE.

The graph above compares the return of the Trust with the Index returns for the period from February 14, 2025 (commencement of operations) to March 31, 2025.

The difference in the NAV price and the Index value often results in the appearance of a NAV premium or discount to the Index.

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 Trust and the Trust’s reported NAV per Share.

The amount that the Trust’s market price is above the reported NAV is called the premium.

The amount that the Trust’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 the Trust’s NAV is calculated (usually 4:00 p.m.

The chart shows the number of trading days in which the Trust traded within the premium/discount range indicated.

NEITHER THE PAST PERFORMANCE OF THE TRUST NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE TRUST’S FUTURE PERFORMANCE.

Q2 2025 Q3 2025 Q4 2025 Q1 2026

Days at premium 21 19 21 37

Days at NAV 7 4 7 6

Days at discount 34 41 36 12

The performance data above for the Trust represents past performance.

Past performance is not a guarantee of future results.

Investment return and value of the Trust’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.

Liquidity and Capital Resources

The Trust is not aware of any trends, demands,

commitments, events, or uncertainties that are reasonably likely to result in material changes to its liquidity needs.

only ordinary recurring expense is the management fee paid to the Sponsor, monthly in arrears, in an amount equal to 0.50% per annum of

the daily NAV of the Trust (the “Management Fee”).

The Sponsor may, at its sole discretion and from time to time, waive all

or a portion of the Management Fee for stated periods of time.

The Sponsor is under no obligation to waive any portion of its fees, and

any such waiver shall create no obligation to waive any such fees during any period not covered by the waiver.

The Sponsor has agreed

to temporarily reduce its Management Fee to 0.25% per annum through December 31, 2025.

After December 31, 2025, the standard 0.50% annual

Management Fee will apply.

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

Trust’s business and affairs.

Creation with cash may cause the Trust 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 Trust might not have incurred if it

had made redemptions in-kind.

For the quarter ended September 30, 2025, the Sponsor’s fee, net of the temporary fee waiver, was

The Trust pays all of its respective brokerage commissions, including applicable exchange fees and give-up fees, and

other transaction related fees and expenses charged in connection with trading activities.

The Trust also pays all fees and commissions

related to the sale and purchase of spot crypto assets, including any transaction fees for on-chain transfers of the Index Constituent.

The Sponsor pays all other routine operational, administrative and other ordinary expenses of the Trust, including but not limited to,

fees and expenses of the Administrator, Trustee, Custodians, Marketing Agent, Transfer Agent, licensors, accounting and audit fees and

expenses, tax preparation expenses, ongoing SEC registration fees, report preparation and mailing expenses, and up to $250,000 per annum

in ordinary legal fees and expenses.

The Sponsor may determine in its sole discretion to assume legal fees and expenses of the Trust in

excess of the $250,000 per annum.

The Trust pays all of its non-recurring and unusual fees and expenses, if any, as determined by

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 Trust.

Routine operational, administrative and other ordinary expenses are not

deemed extraordinary expenses.

General expenses of the Trust will be allocated

to the Trust as determined by the Sponsor in its discretion.

The Trust may be required to indemnify the Sponsor, and the Trust and/or

the Sponsor may be required to indemnify the Trust’s service providers under certain circumstances.

Unless such expenses are specifically

attributable to the Trust or arise out of the Trust’s operations, any such expenses will be allocated by the Sponsor using a pro

rata methodology that allocates certain Trust expenses to the Trust.

Expenses paid by Sponsor are not subject to any caps or limits.

Off-Balance Sheet Arrangements

The Trust does not have any off-balance sheet

arrangements.

The Trust is not aware of any trends, demands, conditions or events that are reasonably likely to result in material changes to its liquidity needs.

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

As a result, the only ordinary expense of the Trust during the period covered by this Quarterly Report on Form 10-Q (the “Report”) was the Sponsor’s Management Fee.

The Trust’s only source of liquidity is its transfers and sales of Index Constituents.

Only an Authorized Participant may engage in creation or redemption transactions directly with the Trust.

The Trust has a limited number of institutions that act as Authorized Participants.

To the extent that these institutions exit the business or are unable to proceed with creation and/or redemption orders with respect to the Trust and no other Authorized Participant is able to step forward to create or redeem creation units, 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 Trust or a decision by a secondary market purchaser to sell a significant number of the Trust’s Shares could adversely affect liquidity, the spread between the bid and ask quotes, and potentially the price of the Shares.

The Sponsor can make no guarantees that participation by Authorized Participants or market makers will continue.

A market disruption, such as a government taking regulatory or other actions that disrupt the market in Index Constituents, 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 Trust 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.

Critical Accounting Estimates

The financial statements and accompanying notes

are prepared in accordance with accounting principles generally accepted in the United States of America.

The preparation of these financial

statements relies on estimates and assumptions that impact the Trust’s financial position and results of operations.

These estimates

and assumptions affect the Trust’s application of accounting policies.

Below is a summary of accounting policies on cash and investment

There were no material estimates involving a significant level of estimation uncertainty that had or are reasonably likely

to have had a material impact on the Trust’s financial condition used in the preparation of the financial statements.

please refer to Note 2 to the Financial Statements included in this report for further discussion of the Trust’s accounting policies.

Cash includes non-interest bearing, non-restricted

cash maintained with one financial institution that does not exceed U.S.

federally insured limits.

Investment Valuation

The Trust’s policy is to value investments

held at fair value.

The Trust follows the provisions of ASC 820, Fair Value Measurements (“ASC 820”).

ASC 820 provides guidance

for determining fair value and requires increased disclosure regarding the inputs to valuation techniques used to measure fair value.

ASC 820 determines fair value to be the price that would be received for the subject crypto asset in a current sale, which assumes an

exit price resulting from an orderly transaction between market participants on the measurement date.

ASC 820-10 requires the assumption

that the subject crypto asset is sold in its principal market to market participants (or in the absence of a principal market, the most

advantageous market).

and Qualitative Disclosures About Market Risk

We are a smaller reporting

company as defined by Rule 12b-2 of the Securities Exchange Act of 1934 and are not required to provide the information under this

In preparing financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”), 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 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.

Off-Balance Sheet Arrangements

The Trust has no off-balance sheet arrangements that have or are reasonably likely to have a current or future effect on the Trust’s financial condition, changes in financial condition, revenues or expenses, results of operations, liquidity, capital expenditures, or capital resources that are material to investors.

Quantitative and Qualitative Disclosures About Market Risk

Not applicable to smaller reporting companies.

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