Hashdex Nasdaq CME Crypto Index ETF 10-Q

Item 2. 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”). U.S. 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”). U.S. 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”). 2 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 Index Change As discussed above, effective January 20, 2026, the Fund’s reference index changed from the NCIUSS to the NCIS. Name Change 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. Mr. 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. 3 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 June 30, 2026, the crypto asset constituents of the Index Constituents and their weightings were as follows: Constituents Weight Bitcoin 78.22 % Ether 11.75 % XRP 5.34 % Solana 3.18 % Cardano 0.49 % Chainlink 0.39 % Stellar 0.38 % Bitcoin Cash 0.25 % 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. (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 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. regulators. 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. 4 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 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. 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. and 4:00 p.m. E.T. 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. 5 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. E.T. to 4:00 p.m. E.T. (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 The discussion below addresses material changes in the results of operations for the three months ended June 30, 2026 compared to the three months ended June 30, 2025 and the six months ended June 30, 2026 compared to the period from February 14, 2025 to June 30, 2025. The Trust commenced operations on February 14, 2025 and no operations occurred prior to this date. On June 30, 2026, the Trust held 8 Index Constituents with an asset fair value of $189,911,546 and cash of $189,347. Period Ended June 30, Period Ended June 30, Year Ended December 31, 2026 2025 2025 Total Net Assets $ 190,069,351 $ 125,608,529 $ 121,287,477 Shares Outstanding $ 13,040,000 $ 4,590,000 5,340,000 Net Asset Value per share $ 14.58 $ 27.37 $ 22.71 Closing Price $ 14.61 $ 27.43 $ 22.73 The Trust’s net assets increased from $125,608,529 as of June 30, 2025 to $190,069,351 as of June 30, 2026. This change was driven primarily by net capital inflows from the creation of Shares, partially offset by the net decrease in net assets resulting from operations during the period. For the three months ended June 30, 2026, compared to the three months ended June 30, 2025: Three Months Ended Three Months Ended June 30, 2026 June 30, 2025 Average daily total net assets $ 123,868,539 $ 108,653,781 Net realized and unrealized gain (loss) on Index Constituents $ (23,828,927 ) $ 27,945,817 Interest income earned on cash equivalents $ — $ — Net income (loss) $ (23,906,132 ) $ 27,878,414 Weighted average Shares outstanding 7,088,022 4,347,363 Management Fees $ 77,205 $ 134,806 Total fees and other expenses (excluding Management Fees) $ — $ — Brokerage commissions $ — $ — Total gross expense ratio 0.25 % 0.50 % Total expense ratio 0.25 % 0.25 % Net investment income (0.25 )% (0.25 )% Creation of Shares 7,350,000 340,000 Redemption of Shares — — 6 For the six months ended June 30, 2026, compared to the period from February 14, 2025 (commencement of operations) to June 30, 2025: Six Months Ended Period from February 14, 2025 to June 30, 2026 June 30, 2025^ Average daily total net assets $ 115,745,675 $ 85,399,513 Net realized and unrealized gain (loss) on Index Constituents $ (53,303,145 ) $ 24,004,431 Interest income earned on cash equivalents $ — $ — Net income (loss) $ (53,446,638 ) $ 23,925,350 Weighted average Shares outstanding 6,284,420 3,502,044 Management Fees $ 209,780 $ 158,063 Total fees and other expenses (excluding Management Fees) $ — $ 50 Brokerage commissions $ — $ — Total gross expense ratio 0.35 % 0.50 % Total expense ratio 0.25 % 0.25 % Net investment income (0.25 )% (0.25 )% Creation of Shares 7,700,000 4,640,000 Redemption of Shares — (50,000 ) ^ The Trust commenced operations on February 14, 2025 and 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 June 30, 2026 and serve to illustrate the relative changes of these components. 7 8 Index Performance The following graphs illustrate changes in the Trust’s NAV, as reflected by the graphs “Comparison of NAV to Index” for the three months ended June 30, 2026 and 2025 and the six months ended June 30, 2026 and the period from February 14, 2025 to June 30, 2025. Comparison of NAV to Index for the Three Months Ended June 30, 2026 Comparison of NAV to Index for the Six Months Ended June 30, 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 graphs above compare the return of the Trust with the Index returns for the three months ended June 30, 2026 and the six months ended June 30, 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. 9 Comparison of NAV to Index for the Three Months Ended June 30, 2025 Comparison of NAV to Index for the Period from February 14, 2025 to June 30, 2025^ ^ The Trust commenced operations on February 14, 2025 and no operations occurred prior to this date. 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. 10 The graphs above compare the return of the Trust with the Index returns for the three months ended June 30, 2025 and the period from February 14, 2025 to June 30, 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. 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. 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. E.T.). 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. Q3 2025 Q4 2025 Q1 2026 Q2 2026 Days at premium 19 21 37 29 Days at NAV 4 7 6 10 Days at discount 41 36 12 23 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, 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. 11 Critical Accounting Estimates 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. Item 3. Quantitative and Qualitative Disclosures About Market Risk Not applicable to smaller reporting companies.