What changed in this filing

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Item 1. Business

2023-03-21 compared with 2022-03-30 · 1175 added, 818 removed, 809 unchanged (71% of the section changed)

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The Trust operates pursuant to the Second Amended and Restated Declaration of Trust and Trust Agreement (the “Trust Agreement”).

Trust’s purpose is to hold Bitcoins, which are digital assets that are created and transmitted through the operations of

the peer-to-peer Bitcoin Network, a decentralized network of computers that operates on cryptographic protocols.

The Trust issues

common units of fractional undivided beneficial interest (“Units”), which represent ownership in the Trust, on an ongoing

Trust’s purpose is to hold Bitcoin, which are digital assets that are created and transmitted through the operations of the

peer-to-peer Bitcoin Network, a decentralized network of computers that operates on cryptographic protocols.

The Trust issues common

units of fractional undivided beneficial interest (“Units”), which represent ownership in the Trust, on an ongoing

basis, but only to an accredited investor (“Accredited Investor”) (as defined in Rule 501 under the Securities Act).

of 1933, as amended (the “Securities Act”)).

The Units are quoted on OTC Markets Group Inc.’s OTCQX® Best

Marketplace (“OTCQX”) under the ticker symbol “OBTC.”

Osprey Funds, LLC is the sponsor of the Trust (the “Sponsor”), Delaware Trust Company is the

trustee of the Trust (the “Trustee”), Continental Stock Transfer & Trust Company is the transfer agent of the Trust

(in such capacity, the “Transfer Agent”), Theorem Fund Services is the administrator of the Trust (in such capacity,

the “Administrator”) and Fidelity Digital Assets Services, LLC was the custodian for the Trust (the “Custodian”

or “FDAS”) for the year ended December 31, 2021.

On February 4, 2022, the Trust entered into a custodial services agreement

(the “New Custodial Services Agreement”) with Coinbase Custody Trust Company, LLC (“Coinbase Custody”).

On March 11, 2022, the Trust delivered to the Custodian notice of termination of the custodial services agreement dated May 18,

2020, pursuant to which the Custodian was engaged to keep in safe custody the Trust’s digital assets and to maintain and

operate the Trust’s custody account on behalf of the Trust.

The notice of termination will become effective on April 10,

The Units are quoted on OTC Markets Group Inc.’s OTCQX® Best Marketplace (“OTCQX”) under the ticker symbol

Funds, LLC is the sponsor of the Trust, Delaware Trust Company is the trustee of the Trust (the “Trustee”), Continental

Stock Transfer & Trust Company is the transfer agent of the Trust (in such capacity, the “Transfer Agent”),

Theorem Fund Services is the administrator of the Trust (in such capacity, the “Administrator”), and Coinbase Custody

Trust Company, LLC (the “Custodian” or “Coinbase Custody”) is the digital asset custodian of the Trust.

Fidelity Digital Assets Services, LLC (“FDAS”) served as our digital asset custodian until April 10, 2022.

4, 2022, the Trust entered into a custodial services agreement (the “Custodial Services Agreement”) with Coinbase Custody.

On March 11, 2022, the Trust delivered to FDAS a notice of termination of its custodial services agreement, dated May 18, 2020.

On March 10, 2022, the Trust transferred its custodied digital assets from FDAS to Coinbase Custody.

The notice of termination

became effective on April 10, 2022.

Trust is authorized under the Trust Agreement to create and issue an unlimited number of Units.

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connection with purchase orders for a minimum of $25,000.00 for initial investments and $10,000.00 for subsequent investments.

Although the redemption of Units is provided for in the Trust Agreement, Units may not

be redeemed from the Trust currently, and absent the granting of certain relief from the U.S.

Securities and Exchange Commission

(the “SEC”), the Trust does not currently contemplate offering a redemption program.

Due to the lack of an ongoing

redemption program as well as price volatility, low trading volume and closings of Bitcoin exchanges due to fraud, failure, security

breaches or otherwise, there can be no assurance that the market value of the Units will reflect the per Unit value of the Trust’s

Bitcoin, less the Trust’s expenses and other liabilities (“NAV per Unit”), and the Units may trade at a substantial

premium over, or a substantial discount to, the NAV per Unit.

The Units are neither interests in nor obligations of the Sponsor

or the Trustee.

The Trust may from time to time halt creations.

Trust determines the current value of Bitcoin by reference to the market price of Bitcoin traded on Coinbase Pro, the Trust’s

principal market, as determined at 4:00 p.m., New York time on each day the New York Stock Exchange is open for trading (each,

a “Business Day”) (the “Bitcoin Market Price”).

to the lack of an ongoing redemption program as well as price volatility, low trading volume and closings of Bitcoin exchanges

due to fraud, failure, security breaches or otherwise, there can be no assurance that the market value of the Units will reflect

the per Unit value of the Trust’s Bitcoin, less the Trust’s expenses and other liabilities (“NAV per Unit”),

and the Units may trade at a substantial premium over, or a substantial discount to, the NAV per Unit.

The Units are neither interests

in nor obligations of the Sponsor or the Trustee.

The Trust has from time to time halted creations of new Units, and most recently

did so on November 1, 2021 when the Trust suspended the November 2020 Offering (as defined herein).

the redemption of Units is provided for in the Trust Agreement, Units may not be redeemed from the Trust currently.

legal framework has made it difficult for the Trust to permit redemptions of our Units because we are unable to conduct concurrent

offerings and redemptions of our Units.

As of the date of this filing, the Trust has not accepted new purchases for over one year,

and we have no present intention of reopening sales of Units.

We are considering a redemption program for investors in the Trust.

Any redemption program would likely involve limited periodic redemptions of Units, although we have not ruled out the possibility

of an open-ended redemption program.

Trust determines the current value of Bitcoin by reference to the market price of Bitcoin as listed on Coinbase Pro, a digital

asset exchange for the buying and selling of cryptocurrency and the Trust’s principal digital asset market, as determined

at 4:00 p.m., New York time on each day the New York Stock Exchange is open for trading (each, a “Business Day”) (the

“Bitcoin Market Price”).

The Bitcoin Market Price is available at https://pro.coinbase.com/trade/BTC-USD.

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dollar value of the Trust’s expenses and other liabilities calculated in the manner set forth

under “Valuation of Bitcoin and Determination of the Trust’s Bitcoin Holdings.” “Bitcoin Holdings per Unit”

is calculated by dividing Bitcoin Holdings by the number of Units currently outstanding.

below under the section “Valuation of Bitcoin and Determination of the Trust’s Bitcoin Holdings.” The per Unit

value of the Trust’s Bitcoin Holdings (the “Bitcoin Holdings per Unit”) is calculated by dividing Bitcoin Holdings

by the number of Units currently outstanding.

pricing information is available on a 24-hour basis from various financial information service providers or Bitcoin Network information

sites such as Tradeblock.com or Bitcoincharts.com.

The spot price and bid/ask spreads may also be available directly from Bitcoin

Market prices for the Units will be available from a variety of sources, including brokerage firms, information websites

and other information service providers.

In addition, on each business day the Trust’s website will provide pricing information

for the Units.

The spot price and bid/ask spreads may also be available directly from various

Bitcoin exchanges.

Market prices for the Units will be available from a variety of sources, including brokerage firms, information

websites and other information service providers.

In addition, on each Business Day the Trust’s website will provide pricing

information for the Units based on the Bitcoin Market Price.

Trust is not registered as an investment company under the Investment Company Act of 1940 (“Investment Company Act”)

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The Trust will not hold or

trade in commodity futures contracts or other derivative contracts regulated by the Commodity Exchange Act (“CEA”),

as administered by the Commodity Futures Trading Commission (“CFTC”).

The Sponsor believes that the Trust is not a

commodity pool for purposes of the CEA, and that neither the Sponsor nor the Trustee is subject to regulation as a commodity pool

operator or a commodity trading adviser in connection with the operation of the Trust.

trade in commodity

futures contracts or other derivative contracts regulated by the Commodity Exchange Act (“CEA”), as administered by

the Commodity Futures Trading Commission (“CFTC”).

The Sponsor believes that the Trust is not a commodity pool for

purposes of the CEA, and that neither the Sponsor nor the Trustee is subject to regulation as a commodity pool operator or a commodity

trading adviser in connection with the operation of the Trust.

Trust has no fixed termination date.

Sponsor maintains an Internet website at www.ospreyfunds.io ,

through which the registrant annual reports on Form 10-K, quarterly reports on Form 10-Q, current reports on Form 8-K, and amendments

to those reports filed or furnished pursuant to Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended (the

“Exchange Act”), are made available free of charge after they have been filed or furnished to the SEC.

information regarding the Trust may also be found on the SEC’s EDGAR database at www.sec.gov.

Trust Objective and Key Operating

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The net asset value of the Trust determined on a GAAP basis is referred to in this Annual Report

as “NAV.” Prior to May 18, 2021, the Trust identified the Index as its principal market and used the Index for purposes

of determining the valuation of its NAV.

The Trust changed its principal market to Coinbase Pro on May 18, 2021 to facilitate its

compliance with GAAP.

The Trust selected Coinbase Pro, among other Bitcoin markets, because it provides the greatest liquidity,

with approximately 66% of daily trading volume as of January 1, 2022.

More information about the valuation of the Trust’s

NAV and the use of the Bitcoin Market Price is located herein under “Valuation of Bitcoin and Determination of NAV.”

as “NAV.” The Trust uses Coinbase Pro as its principal market.

The Trust selected Coinbase Pro, among other Bitcoin

markets, because it provides the greatest liquidity, with approximately 75% of daily trading volume in the U.S.

as of January 6,

More information about the valuation of the Trust’s NAV and the use of the Bitcoin Market Price is located herein under

“Valuation of Bitcoin and Determination of NAV.”

determine which Bitcoin market will serve as the Trust’s principal market (or in the absence of a principal market, the most

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is sold in its principal market to market participants or, in the absence of a principal market, the most advantageous market.

Market participants are defined as buyers and sellers in the principal or most advantageous market that are independent, knowledgeable

Market participants are defined as buyers and sellers in the principal or

most advantageous market that are independent, knowledgeable

and willing and able to transact.

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collected by the Sponsor from the sale of the corresponding Units to investors.

Activities of the Trust

Activities of the

activities of the Trust are limited to (i) issuing Units in exchange for cash or Bitcoin transferred to the Trust as consideration

in connection with the issuance of the Units, (ii) transferring or selling Bitcoin (including forks in the Bitcoin Network) as

necessary to pay the 0.49% Management Fee (as defined herein), as well as any Excluded Expenses and any Extraordinary Expenses

(as each is defined in the Trust Agreement, “Aggregate Trust Expenses”), (iii) transferring Bitcoin in exchange for

Units surrendered for redemption (at such time as redemptions from the Trust are permitted by the SEC and subject the approval

of the Sponsor), (iv) causing the Sponsor to sell

upon the termination of the Trust, (v) making distributions of Bitcoin (including any Additional Currency) or cash from the sale

thereof and (vi) engaging in all administrative and security procedures necessary to accomplish such activities in accordance with

the provisions of the Trust Agreement and the Custodial Services Agreement.

in connection with the issuance of the Units, (ii) transferring or selling Bitcoin [(including any Additional Currency obtained

as a result of forks in the Bitcoin Network or airdrops)] as necessary to pay the 0.49% Management Fee (as defined herein), as

well as any Excluded Expenses and any Extraordinary Expenses (as each is defined in the Trust Agreement, the “Aggregate Trust

Expenses”), (iii) transferring Bitcoin in exchange for Units surrendered for redemption (at such time as redemptions from

the Trust are permitted by the SEC and subject to the approval of the Sponsor), (iv) causing the Sponsor to sell Bitcoin upon the

termination of the Trust, (v) making distributions of Bitcoin (including any Additional Currency) or cash from the sale thereof

and (vi) engaging in all administrative and security procedures necessary to accomplish such activities in accordance with the

provisions of the Trust Agreement and the Custodial Services Agreement.

Trust is a passive investment vehicle, and its assets will not be actively managed.

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These rights are generally expected to arise in connection

with forks in the Blockchain, airdrops offered to holders of Bitcoins and other similar events and arise without any action of

the Trust or of the Sponsor or Trustee on behalf of the Trust.

with forks in the Bitcoin Network, airdrops offered to holders of Bitcoins and other similar events and arise without any action

of the Trust or of the Sponsor or Trustee on behalf of the Trust.

We refer to these rights as “Incidental Rights” and

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Holdings per Unit.

respect to any fork, airdrop or similar event, the Sponsor will, in its discretion, decide to cause the Trust to distribute the

Additional Currency in kind to an agent of the Unitholders for resale by such agent, or to irrevocably abandon the Additional Currency.

In the case of an in-kind distribution, the Unitholders’ agent would attempt to sell the Additional Currency, and if the

agent is able to do so, remit the cash proceeds to Unitholders.

There can be no assurance as to the price or prices for any Additional

Currency that the agent may realize, and the value of the Additional Currency may increase or decrease after any sale by the agent.

In the case of abandonment, the Trust would not receive any direct or indirect consideration for the Additional Currency and thus

the value of the Units will not reflect the value of the Additional Currency.

3.6 of the Amendment to Trust Agreement, dated April 15, 2022, provides that if the Trust comes to own any airdropped cryptocurrency

(other than Bitcoin), the Sponsor shall distribute such airdropped cryptocurrency within forty-five days of receipt of such assets

(or such longer time as the Sponsor reasonably requires to effect such distribution) on a pro rata basis to Unitholders.

Trust comes to own any forked versions of Bitcoin, the Sponsor shall distribute such forked version or versions of Bitcoin, the

Sponsor shall distribute such forked version or versions within forty-five days of receipt (or such longer time as the Sponsor

reasonably requires to effect such distribution) on a pro rata basis to Unitholders if and to the extent that the Sponsor determines

in its reasonable discretion that such a distribution is necessary to preserve the federal tax treatment of the Trust set forth

in Section 1.6 of the Trust Agreement, and may distribute such forked version or versions within forty-five days of receipt (or

such longer time as the Sponsor reasonably requires to effect such distribution) on a pro rata basis to Unitholders if and to the

extent the Sponsor determines it is in the best interests of the Unitholders.

Trust Expenses

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on OTCQX (the “Extraordinary Expenses”).

Although the Sponsor can provide no assurance as to the frequency or magnitude

of any Extraordinary Expenses, the Sponsor expects that they may occur infrequently, if at all.

the Sponsor can provide no assurance as to the frequency or magnitude of any Extraordinary Expenses, the Sponsor expects that they

may occur infrequently, if at all.

The Trust has not incurred or paid any Extraordinary Expenses to date.

If the Trust incurs any

Extraordinary Expenses, the Sponsor or its delegate (i) would instruct the Custodian to withdraw from the digital asset account

(the “Custodial Account”), on a monthly basis as needed, Bitcoins, Additional Currency in such quantity as necessary

to permit payment of such Extraordinary Expenses, and (ii) may either (x) cause the Trust (or its delegate) to convert such Bitcoins

or Additional Currency into U.S.

dollars or other fiat currencies at the exchange rate at the time of conversion or (y) cause the

Trust (or its delegate) to deliver

such Bitcoins or Additional Currency in kind in satisfaction of such Extraordinary Expenses.

Administrator, on behalf of the Trust, accrues the custody, index and Management Fees on a daily basis.

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the number of Units issued and outstanding.

Secondary Market Trading

Secondary Market

the Trust’s investment objective is for the Units to reflect performance of Bitcoin measured by reference to the Index, less

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market in the future) at prices that are lower or higher than the NAV per Unit.

The amount of the discount or premium in the trading

price relative to the NAV per Unit may be influenced by non-concurrent trading hours and liquidity between OTCQX and larger Bitcoin

exchanges in the Bitcoin exchange market.

Service Providers of

The Units may trade at a substantial premium over,

or substantial discount to, the NAV per Unit due to such factors as Trust fees and expenses, the quantity of Units available for

trading, the relative liquidity of the Units, and differences in the markets trading Bitcoin and Units (e.g., hours of operation,

marketplace rules, clearance and settlement, and market participants).

Service Providers

Trust’s Sponsor is Osprey Funds, LLC, a Delaware limited liability company formed on October 31, 2018.

The Sponsor’s

principal place of business is 520 White Plains Road, Suite 500, Tarrytown, New York, 10591 and its telephone number is (914) 214-4174.

principal place of business is 1241 Post Road, 2 nd Floor, Fairfield, Connecticut 06824 and its telephone number is (914)

Under the Delaware Limited Liability Company Act and the governing documents of the Sponsor, Gregory D.

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Sponsor is neither an investment adviser under the Investment Advisers Act of 1940, as amended (the “Advisers Act”)

registered with the SEC nor a commodity pool operator registered with the CFTC and will not be

acting in either such capacity with respect to the Trust, and the Sponsor’s provision of services to the Trust will not be

governed by the Advisers Act or the CEA.

registered with the SEC nor a commodity pool operator registered with the CFTC and will not be acting in either such capacity with

respect to the Trust, and the Sponsor’s provision of services to the Trust will not be governed by the Advisers Act or the

Sponsor arranged for the creation of the Trust and quotation of the Units on the OTCQX.

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In such an event, the

Sponsor will be relieved of all further liability under the Trust Agreement.

Sponsor will be

relieved of all further liability under the Trust Agreement.

Provider Agreement

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such as portfolio valuation and accounting and for display on Sponsor’s websites, social media, or mobile applications, as

we as inclusion in publications, reports, advertisements and other informational materials.

well as inclusion in publications, reports, advertisements and other informational materials.

The Trust currently uses the Index

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Index Provider Agreement is governed by the laws of the Commonwealth of Massachusetts.

Trust Company serves as Delaware trustee of the Trust under the Trust Agreement.

The Trustee has its principal office at 251 Little

Falls Drive, Wilmington, Delaware 19808.

Trust Company serves as our trustee under the Trust Agreement.

The Trustee has its principal office at 251 Little Falls Drive,

Wilmington, Delaware 19808.

The Trustee is unaffiliated with the Sponsor.

A copy of the Trust Agreement is available

for inspection at the Sponsor’s principal office identified above.

A copy of the Trust Agreement is available for inspection

at the Sponsor’s principal office identified above.

Trustee is appointed to serve as the trustee of the Trust in the State of Delaware for the sole purpose of satisfying the requirement

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The duties of the Trustee will be limited to (i) accepting legal process served on the Trust in the State of Delaware and (ii)

the execution of any certificates required to be filed with the Delaware Secretary of State which the Delaware Trustee is required

to execute under the DSTA.

To the extent that, at law or in equity, the Trustee has duties (including fiduciary duties) and liabilities

relating thereto to the Trust or the Unitholders, such duties and liabilities will be replaced by the duties and liabilities of

the Trustee expressly set forth in the Trust Agreement.

The Trustee will have no obligation to supervise, nor will it be liable

for, the acts or omissions of the Sponsor, Transfer Agent, Custodian or any other person.

the Trustee, either in its capacity as trustee on in its individual capacity, nor any director, officer or controlling person of

the execution of any certificates required to be filed with the Delaware Secretary of State which the Trustee is required to execute

under the DSTA.

To the extent that, at law or in equity, the Trustee has duties (including fiduciary duties) and liabilities relating

thereto to the Trust or the Unitholders, such duties and liabilities will be replaced by the duties and liabilities of the Trustee

expressly set forth in the Trust Agreement.

The Trustee will have no obligation to supervise, nor will it be liable for, the acts

or omissions of the Sponsor, Transfer Agent, Custodian or any other person.

the Trustee, either in its capacity as trustee or in its individual capacity, nor any director, officer or controlling person of

the Trustee is, or has any liability as, the issuer, director, officer or controlling person of the issuer of Units.

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paid to the Trustee are an Assumed Expense.

For a complete discussion of the Trust Agreement, please refer to Amendment

a complete discussion of the Trust Agreement, please refer to Amendment No.

5 to Form 10 registration statement, which is incorporated

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The Transfer Agent

Stock Transfer & Trust Company, a Delaware corporation, serves as the Transfer Agent of the Trust pursuant to the terms and

provisions of the Transfer Agency and Registrar Service Agreement.

Stock Transfer & Trust Company, a Delaware corporation, serves as the Transfer Agent of the Trust pursuant to the terms

and provisions of the Transfer Agency and Registrar Service Agreement.

The Transfer Agent has its principal office at 1 State Street,

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The Custodian

Fidelity Digital Asset Services, LLC (“FDAS”) served as a qualified custodian for purposes

of Rule 206(4)-2(d)(6) under the Advisers Act for the year ended December 31, 2021.

FDAS is authorized to serve as the Trust’s

custodian under the Trust Agreement and pursuant to the terms and provisions of the Custodial Services Agreement.

principal office at 245 Summer Street, Boston, MA 02210.

A copy of the Custodial Services Agreement is available for inspection

at the Sponsor’s principal office identified herein.

On February 4, 2022, the Trust entered into the New Custodial Services

Agreement with Coinbase Custody.

Coinbase Global, Inc.

is the parent company of Coinbase Custody and Coinbase Pro, which is the

Trust’s principal market that it uses to determine the value of Bitcoin, is a wholly-owned subsidiary of Coinbase Global,

On March 11, 2022, the Trust delivered to FDAS a notice of termination of the Custodial Services Agreement dated May 18, 2020.

The notice of termination will become effective on April 10, 2022.

On March 10, 2022, the Trust transferred its custodied digital

assets from FDAS to Coinbase Custody.

Pursuant to the terms of the New Custodial Services Agreement, the Trust’s custodied

digital assets are controlled and secured in a segregated custody account.

The segregated custody account will allow for the transfer

of ownership or control of the Trust’s Bitcoins, on the Trust’s behalf, including the withdrawal of digital assets

to pay the Trust’s expenses.

All digital asset private keys will be stored in offline storage, or “cold” storage.

“Cold” storage is a safeguarding method by which the private keys corresponding to digital assets are disconnected

and/or deleted entirely from the internet.

As a result of digital assets being stored in “cold” storage, any withdrawal

and subsequent transaction request to Coinbase Custody by the Trust requires twenty-four (24) hour notice to process.

delay between the withdrawal request and processing of the withdrawal may negatively impact the price of the digital asset upon

Under the Custodial Services Agreement, FDAS controlled and secured the Trust’s “Digital Asset

Custody Accounts,” one or more custody accounts that allow for the receipt, safekeeping and maintenance of the Trust’s

Digital Assets (as defined in the Custodial Services Agreement) and “Cash Custody Accounts,” one or more cash accounts

to hold cash and monies received for deposit, on the Trust’s behalf.

FDAS’s services (i) allowed Digital Assets to

be deposited from a public blockchain address to the Trust’s Digital Asset Custody Account and (ii) allowed the Trust or

Sponsor to withdraw Digital Assets from the Trust’s Digital Asset Custody Account to a blockchain supporting the relevant

Digital Asset (the “Custodial Services”).

A portion of the Digital Assets held for the Trust were held within an offline

storage, or “cold” storage, system to secure the Trust’s private keys.

FDAS could withdraw from the Trust’s Digital Assets Custody Account the amount of Digital Assets

necessary to pay the Trust’s expenses.

Fees paid to the Custodian are an Excluded Expense.

Under the Custodial Services Agreement with FDAS, the Trust agreed to indemnify and hold harmless FDAS

from any third-party claim or third-party demand (including all court costs and reasonable attorneys’ fees) arising out of

or in connection with the Custodial Services Agreement or any action taken or not taken pursuant thereto, except where such claim

directly results from the gross negligence, fraud or willful misconduct of the Custodian.

The Digital Assets in the Trust’s custody accounts with FDAS were treated as fungible with those

digital assets of other clients of FDAS that are based on the same cryptographic protocol or consensus rules of a computer network

that are also held in an omnibus wallet by the Custodian on behalf of such other clients.

FDAS has no fiduciary duty to the Trust,

including with respect to the assets held in the custody accounts under the Custodial Services Agreement.

FDAS provided to the Trust quarterly account statements identifying the Digital Assets in the custody

accounts and setting forth all transactions in the custody accounts during such quarter.

Upon written request from the Sponsor,

FDAS provided copies of quarterly account statements to the Sponsor.

In addition, FDAS was permitted to take such steps that it

determined necessary or advisable to inspect and protect the security of the assets and the custody accounts.

Custody serves as our qualified digital asset custodian for purposes of Section 206(4)-2(d)(6) under the Advisers Act.

4, 2022, the Trust entered into the Custodial Services Agreement with the Custodian.

Prior to March 10, 2022, FDAS served as our

digital asset custodian until April 10, 2022.

On March 10, 2022, the Trust transferred its custodied digital assets from FDAS to

Coinbase Custody.

Custody and Coinbase Pro are wholly-owned subsidiaries of Coinbase Global, Inc.

(“Coinbase Global”).

Coinbase Global

and its subsidiaries provide end-to-end financial infrastructure and technology for the crypto-economy.

Coinbase Custody is an

independently capitalized New York State limited purpose trust company that was chartered in October 2018.

Coinbase Custody is

a fiduciary under § 100 of the New York Banking Law and is add qualified custodian for purposes of Section 206(4)-2(d)(6)

of the Advisers Act.

As a New York State limited purpose trust company, Coinbase Custody is subject regulation, examination and

supervision by the New York State Department of Financial Services (“NYDFS”).

NYDFS’s regulations impose various

compliance requirements, including operational limitations related to the nature of crypto assets held under custody, capital requirements,

BSA and anti-money laundering program requirements, affiliate transaction limitations, and notice and reporting requirements.

Custody offers its clients access to secure, institutional-grade offline digital asset storage.

As of December 31, 2022, Coinbase

Global held approximately $86 billion in fiat and digital assets on its platform, the majority of which were comprised of Bitcoin,

Ethereum and other crypto assets.

According to publicly available information, Bitcoin represented 43%, 40% and 70% of the assets

held or managed in digital wallets on Coinbase’s Global platform, including its custody services, for the years ended December

31, 2022, 2021 and 2020, respectively.

The cold storage technology that Coinbase Custody uses to custody digital assets, such as

Bitcoin, shares the same framework of the technology that Coinbase Global, and its predecessor, Coinbase, Inc., have used since

2012, which is continuously improved to meet cyber and physical security best practices.

Coinbase Custody is authorized to

serve as the Trust’s custodian under the Trust Agreement and pursuant to the terms and provisions of the Custodial Services

The Trust’s digital assets are held in segregated cold storage accounts with the Custodian, and as a result, the

digital assets are segregated from both (i) the proprietary property of Coinbase Custody and its affiliates, and (ii) the assets

of any other Coinbase Custody client.

provided about Coinbase Custody and its parent company is primarily derived from Coinbase Global’s publicly available information,

including filings it makes with the SEC.

Although the Trust believes this information is reliable, the Trust has not independently

verified the accuracy of this information.

The Administrator

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These books and records are open to inspection by any person who establishes to the Sponsor’s

satisfaction that such person is a Unitholder at all reasonable times during the usual business hours of the Sponsor.

will keep a copy of the Trust Agreement on file in its office which will be available for inspection on reasonable advance notice

at all reasonable times during

usual business hours by any Unitholder.

satisfaction that

such person is a Unitholder at all reasonable times during the usual business hours of the Sponsor.

The Sponsor will keep a copy

of the Trust Agreement on file in its office which will be available for inspection on reasonable advance notice at all reasonable

times during its usual business hours by any Unitholder.

Overview of The Bitcoin Industry and Market

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and launched the Bitcoin Network).

Overview of the Bitcoin Network’s

Overview of the Bitcoin

Network’s Operations

order to own, transfer or use Bitcoin directly on the Bitcoin Network (as opposed to through an intermediary, such as a custodian),

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adds “blocks” of data, including recent transaction information, to the Blockchain.

Description of Bitcoin Transfers

Description of Bitcoin

to engaging in Bitcoin transactions directly on the Bitcoin Network, a user generally must first install on its computer or mobile

device a Bitcoin Network software program that will allow the user to generate a private and public key pair associated with a

Bitcoin address commonly referred to as a “wallet.” The Bitcoin Network software program and the Bitcoin address also

enable the user to connect to the Bitcoin Network and transfer Bitcoin to, and receive Bitcoin from, other users.

Bitcoin Network address, or wallet, is associated with a unique “public key” and “private key” pair.

receive Bitcoin, the Bitcoin recipient must provide its public key to the party initiating the transfer.

This activity is analogous

to a recipient for a transaction in U.S.

dollars providing a routing address in wire instructions to the payor so that cash may

be wired to the recipient’s account.

The payor approves the transfer to the address provided by the recipient by “signing”

a transaction that consists of the recipient’s public key with the private key of the address from where the payor is transferring

The recipient, however, does not make public or provide to the sender its related private key.

the recipient nor the sender reveals their private keys in a transaction, because the private key authorizes transfer of the funds

Bitcoin address commonly referred to as a “digital wallet.” The Bitcoin Network software program and the Bitcoin address

also enable the user to connect to the Bitcoin Network and transfer Bitcoin to, and receive Bitcoin from, other users.

Bitcoin Network address, or digital wallet, is associated with a unique “public key” and “private key”

To receive Bitcoin, the Bitcoin recipient must provide its public key to the party initiating the transfer.

This activity

is analogous to a recipient for a transaction in U.S.

dollars providing a routing address in wire instructions to the payor so

that cash may be wired to the recipient’s account.

The payor approves the transfer to the address provided by the recipient

by “signing” a transaction that consists of the recipient’s public key with the private key of the address from

where the payor is transferring the Bitcoin.

The recipient, however, does not make public or provide to the sender its related

the recipient nor the sender reveal their private keys in a transaction, because the private key authorizes transfer of the funds

in that address to other users.

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Summary of a Bitcoin Transaction

a Bitcoin transaction directly on the Bitcoin Network between two parties (as opposed to through an intermediary, such as a custodian),

the following circumstances must initially be in place:

(i) the party seeking to send Bitcoin must have a Bitcoin Network public

key, and the Bitcoin Network must recognize that public key as having sufficient Bitcoin for the transaction;

(ii) the receiving

party must have a Bitcoin Network public key;

and (iii) the spending party must have internet access with which to send its spending

an on-chain transaction, the following circumstances must initially be in place:

(i) the party seeking to send Bitcoin must have

a Bitcoin Network public key, and the Bitcoin Network must recognize that public key as having sufficient Bitcoin for the transaction;

(ii) the receiving party must have a Bitcoin Network public key;

and (iii) the spending party must have internet access with which

to send its spending transaction.

receiving party must provide the spending party with its public key and allow the Blockchain to record the sending of Bitcoin to

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be agreed upon between the two parties based on a set number of Bitcoin or an agreed upon conversion of the value of fiat currency

Since every computation on the Bitcoin Network requires the payment of Bitcoin, including verification and memorialization

computation on the Bitcoin Network requires the payment of Bitcoin, including verification and memorialization

of Bitcoin transfers, there is a transaction fee involved with the transfer, which is based on computation complexity and not on

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The initial block reward when the Bitcoin Network was introduced in 2009 was 50 Bitcoin per block.

has and will continue to halve approximately every four years until approximately 2140, when it is estimated that block rewards

will go to zero.

has and will continue to halve approximately every four years until approximately the year 2140, when it is estimated that block

rewards will go to zero.

The most recent halving occurred on May 11, 2020, which reduced the block reward from 12.5 to 6.25 Bitcoin.

deliberately controlled rate of Bitcoin creation means that the number of Bitcoin in existence will increase at a controlled rate

until the number of Bitcoin in existence reaches the pre-determined 21 million Bitcoin.

As of the date of this Annual Report, approximately

19 million Bitcoins were outstanding and the date when the 21 million Bitcoin limitation will be reached is estimated to be the

This deliberately controlled rate of Bitcoin creation means that the number of Bitcoin in existence will increase at a controlled

rate until the number of

Bitcoin in existence reaches the pre-determined 21 million Bitcoin.

As of the date of this Annual Report,

approximately 19.3 million Bitcoins are outstanding and the date when the 21 million Bitcoin limitation will be reached is estimated

to be the year 2140.

Modifications to the Bitcoin

the Bitcoin Network has no central authority, the implementation of a change in the Bitcoin Network is achieved by users and miners

downloading and running updated versions of Bitcoin Network software.

The Bitcoin Network protocol is built using open source software,

allowing for any developer to review the underlying code and suggest changes.

There is no official company or group that is responsible

for making modifications to the Bitcoin Network, however, there are a number of individual developers that regularly contribute

to a specific distribution of Bitcoin Network software dubbed “Bitcoin Core.” Significant changes to the Bitcoin Network

protocol are typically accomplished through a so-called Bitcoin Improvement Proposal or BIP.

Such proposals are generally posted

on websites, and the proposals explain technical requirements for the protocol changes as well as reasons why the change should

If a significant proportion of Bitcoin Network users and miners decide to adopt a change to the Bitcoin Network that

is not compatible with previous software, then this software will recognize and process transactions differently on a going- forward

If another significant proportion of Bitcoin Network users and miners decide not to adopt such change, then these two Bitcoin

Network groups would not process transactions in the same way on a going forward basis.

In this scenario, the blocks recognized

as valid by one group of users will be different from the blocks recognized as valid by the other group of users, which will cause

transaction records to diverge, or “fork,” on a going-forward basis.

If this were to occur, two separate Bitcoin Networks

could result, one running the pre-modification software program and the other running the modified version (i.e., a second “Bitcoin”

In the event of a permanent fork with two separate and incompatible Bitcoin Networks, the price movements of different

versions of Bitcoin on different Bitcoin Networks may deviate.

In such a case, the Sponsor will evaluate the characteristics of

each Bitcoin Network to determine in its sole discretion which Bitcoin Network will provide exposure that best comports with the

Trust’s investment objective.

the Bitcoin Network has no central authority, the implementation of a change in Bitcoin Network is achieved by users and miners

downloading and running updated versions of the Bitcoin Network software.

The Bitcoin Network protocol is built using open source

software, allowing for any developer to review the underlying code and suggest changes.

There is no official company or group that

is responsible for making modifications to the Bitcoin Network, however, there are a number of individual developers that regularly

contribute to a specific distribution of Bitcoin Network software dubbed “Bitcoin Core.” Significant changes to the

Bitcoin Network protocol are typically accomplished through a so-called Bitcoin Improvement Proposal or BIP.

Such proposals are

generally posted on websites, and the proposals explain technical requirements for the protocol changes as well as reasons why

the change should be accepted.

If a significant proportion of Bitcoin Network users and miners decide to adopt a change to the

Bitcoin Network that is not compatible with previous software, then this software will recognize and process transactions differently

on a going-forward basis.

If another significant proportion of Bitcoin Network users and miners decide not to adopt such change,

then these two Bitcoin Network groups would not process transactions in the same way on a going-forward basis.

In this scenario,

the blocks recognized as valid by one group of users will be different from the blocks recognized as valid by the other group of

users, which will cause transaction records to diverge, or “fork,” on a going-forward basis.

If this were to occur,

two separate Bitcoin Networks could result, one running the pre-modification software program and the other running the modified

version (i.e., a second “Bitcoin” network).

In the event of a permanent fork with two separate and incompatible Bitcoin

Networks, the price movements of different versions of Bitcoin on different Bitcoin Networks may deviate.

In such a case, the Sponsor

will evaluate the characteristics of each Bitcoin Network to determine in its sole discretion which Bitcoin Network will provide

exposure that best comports with the Trust’s investment objective.

On August 1, 2017, the Bitcoin Network was forked by a

of developers and miners accepting changes to the Bitcoin Network software intended to increase transaction capacity.

25, 2017, the Bitcoin Network was forked by a group of developers accepting changes to the Bitcoin Network software intended to

reduce the use of specialized hardware in the Bitcoin mining process.

Blocks mined on these networks now diverge from blocks mined

on the Bitcoin Network, which has resulted in the creation of new blockchains whose digital assets are referred to as “Bitcoin

group of developers and miners accepting changes to the Bitcoin Network software intended to increase transaction capacity.

October 25, 2017, the Bitcoin Network was forked by a group of developers accepting changes to the Bitcoin Network software intended

to reduce the use of specialized hardware in the Bitcoin mining process.

Blocks mined on these networks now diverge from blocks

mined on the Bitcoin Network, which has resulted in the creation of new blockchains whose digital assets are referred to as “Bitcoin

Cash” and “Bitcoin Gold,” respectively.

The Bitcoin Network, the Bitcoin Cash network and the Bitcoin Gold network

now operate as separate, independent networks.

The Bitcoin Network, the Bitcoin Cash network and the Bitcoin

Gold network now operate as separate, independent networks.

In mid-November of 2017, an additional protocol change labeled “Segwit2x,”

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transportation costs and low-to-zero storage costs.

Bitcoin Exchange Public Market

Bitcoin Exchange Public

each online Bitcoin exchange, Bitcoin is traded with publicly disclosed valuations for each executed trade, measured by one or

more fiat currencies such as the U.S.

dollar or Euro.

dollar or the Euro.

Over-the-counter dealers or market makers do not typically disclose their

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established exchanges such as BitStamp, Coinbase Pro and itBit, which provide a number of options for buying and selling Bitcoins.

The below table reflects the trading volume (in Bitcoins) and market share of the BTC-U.S.

The below table reflects the trading volume (in Bitcoin) and market share of the BTC-U.S.

dollar trading pair of each of the Bitcoin

exchanges included in the Index as of February 24, 2022, using data reported by the Index Provider as of February 24, 2022 (Source:

exchanges included in the Index as of January 8, 2023, using data reported by the Index Provider as of January 8, 2023 (Source:

Coin Metrics Bletchley Indexes (CMBI) and CM Market Data Feed):

Major Worldwide Bitcoin Exchanges included in the Index as of

February 24, 2022

Major Worldwide Bitcoin Exchanges included in

the Index as of January 8, 2023

BitStamp USA, Inc.

Bittrex, Inc.

Coinbase Global, Inc.

Gemini Trust Company, LLC

Total BTC-U.S.

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domicile, regulation and legal compliance of the Bitcoin exchanges included in the Index varies.

Information regarding each Bitcoin

exchange may be found, where available, on the websites for such Bitcoin exchanges, among other places.

BAM Trading Services Inc.,

doing business as, “Binance U.S.,” based in San Francisco, California, is licensed as a money services business in

and, as a money transmitter in the majority of U.S.

The Trust is not in a position

to determine the extent to which the Bitcoin exchanges included in the Index are in compliance with the regulatory requirements,

as those exchanges are not affiliated with or managed by the Trust or the Sponsor.

Information regarding each Bitcoin exchange

may be found, where available, on the websites for such Bitcoin exchanges, among other places.

BAM Trading Services Inc., d/b/a,

“Binance U.S.,” based in San Francisco, California, is registered as a money services business with the Financial Crimes

Enforcement Network (“FinCEN”) and has obtained licenses to engage in money transmission, or the state equivalent,

in the majority of U.S.

states (see https://www.binance.us/en/home).

BitStamp USA, Inc.

in New York, New York, is a wholly owned subsidiary of Bitstamp Ltd., a Luxembourg-based exchange.

BitStamp USA, Inc.

as a money services business in the U.S.

and, as a money transmitter in applicable U.S.

States (see https://www.bitstamp.net/).

(“BitStamp”) based in New York,

New York, is a wholly-owned subsidiary of BitStamp Ltd., a Luxembourg-based exchange.

BitStamp is registered as a money services

business with FinCEN and, has obtained licenses to engage in money transmission, or the state equivalent, in applicable U.S.

(see https://www.bitstamp.net/).

Bittrex, Inc.

based in Seattle, Washington, is licensed as a money services business in the U.S.

and as a money transmitter in

applicable U.S.

states (see https://bittrex.com/).

Coinbase Global, Inc.

is a U.S-based exchange headquartered in Wilmington, Delaware,

and is a money services business in the U.S.

and is licensed as a money transmitter in the majority of U.S.

(“Bittrex”) based in Seattle, Washington, is registered as a money services

business with FinCEN and has obtained licenses to engage in money transmission, or the state equivalent, in applicable U.S.

(see https://bittrex.com/).

Coinbase Global is a U.S.-based exchange headquartered in Wilmington, Delaware, and is registered as

a money services business with FinCEN and has obtained licenses to engage in money transmission, or the state equivalent, in the

majority of U.S.

states (see https://www.coinbase.com/).

Gemini is a New York-based trust company that is regulated by the New York State Department of Financial Services (see https://www.gemini.com/).

itBit is a New York-based trust company regulated by the New York State Department of Financial Services and a wholly owned subsidiary

of Paxo, Trust Company, LLC, a New York-based trust company (see https://www.paxos.com/).

Payward, Inc, doing business as “Kraken,”

is a San Francisco, California-based exchange that is a regulated money services business in the U.S.

and as a money transmitter

in the majority of U.S.

Gemini Trust Company, LLC is a New York limited purpose trust charter

regulated by the NYDFS (see https://www.gemini.com/).

itBit is a digital asset exchange and wholly-owned subsidiary of Paxos Trust

Company, LLC, a New York limited purpose trust company regulated by the NYDFS (see https://www.paxos.com/).

Payward, Inc., d/b/a

“Kraken,” is a San Francisco, California-based exchange that is registered as a money services business with FinCEN

and has obtained licenses to engage in money transmission, or the state equivalent, in the majority of U.S.

the Bank Secrecy Act, as amended by the Uniting and Strengthening America by Providing Appropriate Tools Required to Intercept

and Obstruct Terrorism (“USA PATRIOT”) Act, Bitcoin exchanges that are registered as money services businesses with

the Financial Crimes Enforcement Network (“FinCEN”), a bureau of the U.S.

Department of the Treasury that is responsible

for anti-money laundering (“AML”) regulation and administration are required to adopt and implement an AML program

that is reasonably designed to prevent the money service business from being used to facilitate money laundering and the financing

of terrorist activities.

The AML program must be commensurate with the risks posed by the location and size of, and the nature

in volume of, the financial services provided by the money services business.

The AML program, which must be in writing, at a minimum

must incorporate policies and procedures and internal controls reasonably designed to assure compliance with applicable AML regulations.

These policies and procedures must, among other things, include requirements for (i) verifying customer identification, (ii) filing

reports, (iii) creating and retaining records and (iv) responding to law enforcement requests.

In addition, the AML program must

designate a compliance official to assure day-to-day compliance with the program and FinCEN regulations.

Further, the AML program

must provide for education and/or training of appropriate personnel concerning their responsibilities under the AML program, including

training in the detection of suspicious transactions to the extent that these transactions are required to be reported.

program must also provide for independent review to monitor and maintain an adequate risk-based program.

Money services businesses

must also file specified reports with FinCEN, including currency transaction reports and suspicious transaction reports.

state agencies that license and regulate money transmitter businesses may have their own separate AML compliance requirements.

the FinCEN, a bureau of the U.S.

Department of the Treasury that is responsible for anti-money laundering and counter-terrorism

financing (“AML”) regulation and administration, are required to adopt and implement an AML program that is reasonably

designed to prevent the money services business from being used to facilitate money laundering and the financing of terrorist activities.

The AML program must be commensurate with the risks posed by the location and size of, and the nature in volume of, the financial

services provided by the money services business.

The AML program, which must be in writing, at a minimum must incorporate policies

and procedures and internal controls reasonably designed to ensure compliance with applicable AML regulations.

These policies and

procedures must, among other things, include requirements for (i) verifying customer identification, (ii) filing reports, (iii)

creating and retaining records and (iv) responding to law enforcement requests.

In addition, the AML program must designate a compliance

official to ensure day-to-day compliance with the program and FinCEN regulations.

Further, the AML program must provide for education

and/or training of appropriate personnel concerning their responsibilities under the AML program, including training in the detection

of suspicious transactions to the extent that these transactions are required to be reported.

The AML program must also provide

for independent review to monitor and maintain an adequate risk-based program.

Money services businesses must also file specified

reports with FinCEN, including currency transaction reports and suspicious activity transaction reports.

In addition, state agencies

that license and regulate money transmitter businesses may have their own separate AML compliance requirements.

Provider relies on its Market Selection Framework (https://coinmetrics.io/reference-rates-market-selection-framework/) to select

constituent markets for the Index.

The Market Selection Framework consists of 36 features which represent individual measurable

properties that provide an indication of the suitability for a market to serve as an input data source, which are combined to form

a market rating.

The Index Provider’s Oversight Committee evaluates a number of qualitative and quantitative features, including

features related to

the exchange’s technology, legal and compliance, business model, data availability, price, and volume.

For each asset, the Committee selects the highest quality markets using a selection algorithm.

Detailed information about all of

the 36 features is contained in the full text of the Market Selection Framework.

Since the Index Provider

began calculating the index, the Index Provider has made one change to the constituent markets for the CMBI Bitcoin Index.

31, 2020, BitFlyer’s BTC-USD market was removed and Binance’s BTC-USD market was added.

The decision was made based

on the results of the Index Provider’s Market Selection Framework, volume analysis and empirical testing of data.

to the Index Provider, in determining to replace BitFlyer’s BTC-USD with Binance’s BTC-USD, the Index Provider ran

the output from its Market Selection Framework, which scored all eligible markets in its coverage universe according to a total

of 36 qualitative and quantitative features.

The Index Committee of the Index Provider evaluated the output.

Binance’s USD=BTC

scored a market score of 27.99 as compared with BitFlyer’s BTC-USD, which scored a market score of 24.07.

The Index Committee

also reviewed the relative BTC-USD volumes on each of BitFlyer and Binance (along with the other market in its coverage universe)

from March 1, 2021 through July 31, 2021.

Binance’s BTC-USD volumes were consistently higher during that time period.

on these results, the Index Committee determined to replace BitFlyer’s BTC-USD with Binance’s BTC-USD in the Index.

The resulting changes were deemed to improve the robustness, accuracy and quality of the market data that supports the determination

of index levels.

The Index Provider backfilled historical values for the CMBI Bitcoin Index back to July 2011.

Trust’s principal market, and the most liquid Bitcoin exchange is Coinbase Pro.

Coinbase Pro, a wholly-owned subsidiary of

Coinbase Global, Inc.

(“Coinbase Global”), is Coinbase Global’s market for active, professional traders.

in 2012 (and known until 2016 as Coinbase Exchange and from 2016-2018 as Coinbase Digital Asset Exchange), Coinbase Pro is the

most liquid U.S.

market for Bitcoin, with approximately 46% of daily trading volume as of September 8, 2021.

Historically,

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Pro on May 18, 2021 to facilitate its compliance with GAAP.

The Trust selected Coinbase Pro, among other Bitcoin markets, because

it provides the greatest liquidity, with approximately 50% of daily trading volume as of February 27, 2023.

Index is a U.S.

dollar-denominated composite reference rate for the price of Bitcoin.

The Index is designed to (i) mitigate instances

of fraud, manipulation and other anomalous trading activity, (ii) provide a real-time, trade-weighted fair value of Bitcoin and

(iii) appropriately handle and adjust for non-market related events.

The Index was launched on January 1, 2020, with a first value

date and base date of July 18, 2010.

The constituent market closing prices are not materially different from the Index prices.

method by which the Index Provider selects constituent markets for its indexes is contained in Section 3.1 Constituent Market Eligibility

Criteria in the Index Provider’s CMBI Single Asset Series Methodology, available at https://coinmetrics.io/wp-content/uploads/2021/12/CMBI-Single-Asset-Methodology.pdf.

The Index is designed to (1) mitigate instances

of fraud, manipulation and other anomalous trading activity, (2) provide a real-time, trade-weighted fair value of Bitcoin and

(3) appropriately handle and adjust for non-market related events.

Index was launched on January 1, 2020, with a first value date and base date of July 18, 2010.

The constituent market closing prices

are not materially different from the Index prices.

Constituent Exchange Selection

The method by which

the Index Provider selects constituent markets for its indexes is contained in Section 3.1 Constituent Market Eligibility Criteria

in the Index Provider’s CMBI Single Asset Series Methodology, available at https://cmbi-indexes.coinmetrics.io/cmbibtc .

The constituent markets for CMBI indexes are derived from the constituent markets for the CM Reference Rates, available at https://coinmetrics.io/wp-content/uploads/2021/05/reference-rates-methodology.pdf ,

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a specific traded asset pair on a specific exchange.

The Market Selection Framework consists of 36 features which represent individual

measurable properties that provide an indication of the suitability for a market to serve as an input data source, which are combined

to form a market rating.

The Index Provider evaluates a number of qualitative and quantitative features, including features related

to the exchange’s technology, legal and compliance, business model, data availability, price and volume.

For each asset,

the Index Provider selects the highest quality markets using a selection algorithm.

Detailed information is contained in the full

text of the Market Selection Framework, available at https://coinmetrics.io/wp-content/uploads/2021/04/reference-rates-market-selection-framework.pdf.

the Index Provider began calculating the index, the Index Provider has made one change to the constituent markets for the CMBI

Bitcoin Index.

On July 31, 2020, bitflyer’s BTC-USD market was removed and Binance’s BTC-USD market was added.

decision was made based on the results of the Index Provider’s Market Selection Framework, volume analysis and empirical

testing of data.

According to the Index Provider, in determining to replace bitflyer’s BTC-USD with Binance’s BTC-USD,

the Index Provider ran the output from its Market Selection Framework.

The Index Committee of the Index Provider evaluated the

output, and Binance’s USD-

scored a market score of 27.99 as compared with bitflyer’s BTC-USD, which scored a market score of 24.07.

The Index Committee

also reviewed the relative BTC-USD volumes on each of bitflyer and Binance (along with the other market in its coverage universe)

from March 1, 2021 through July 31, 2021.

Binance’s BTC-USD volumes were consistently higher during that time period.

on these results, the Index Committee determined to replace bitflyer’s BTC-USD with Binance’s BTC-USD in the Index.

The resulting changes were deemed to improve the robustness, accuracy and quality of the market data that supports the determination

of index levels.

The Index Provider backfilled historical values for the CMBI Bitcoin Index back to July 2011.

Coin Metrics Index Committee reviews the constituent markets from the CM Reference Rates to determine the constituent markets for

CMBI’s indexes.

This review applies considerations surrounding the investability of each of the markets and takes into consideration

all the available data.

Although the Trust believes that the information provided by the Index Provider

is reliable, the Trust has not independently verified the accuracy of this information.

The Market Selection

Framework consists of 36 features which represent individual measurable properties that provide an indication of the suitability

for a market to serve as an input data source, which are combined to form a market rating.

The Market Selection Framework evaluates

markets based on the following criteria:

An assessment of whether the technology infrastructure of the market’s exchange

provides sufficient availability and reliability for input data collection.

Evaluates whether the exchange offers a REST API,

Websocket feed, or FIX API suitable for data collection.

Evaluates the performance of the API in terms of reliability and

Legal and Compliance:

An assessment of whether the market’s exchange complies with laws

and regulations.

Evaluates the exchange’s legal risk exposure, and whether it adheres to regulatory best practices.

Evaluates whether the exchange has publicly disclosed trading policies, uses market surveillance technology, and complies

with national regulatory organizations, and enforces KYC and AML requirements.

Evaluates whether the exchange has functioning

fiat and cryptocurrency withdrawals processed within a normal timeframe.

Evaluates whether a data sharing license can be executed

with the exchange.

Business Model:

An assessment of the market’s exchange with respect to its business

model, including its fee structure and asset listing standards.

Data Availability:

An assessment of the available data the market’s exchange offers

for the given asset, including the number of markets where the given asset is the base currency, whether the markets are quoted

in fiat currencies or other cryptocurrencies, and the type of markets offered.

An assessment of the quality of the market’s price data, including testing for

the occurrence of price outliers and impactful price deviations from other markets, and implementing tests that determine

whether the market functions as an active market in the underlying asset and are anchored by observable transactions entered

into at arm’s length between buyers and sellers.

An assessment of the quality of the market’s volume data, including testing

for manipulated volume figures, and implementing tests that determine whether the market functions as an active market in

the underlying asset and are anchored by observable transactions entered into at arm’s length between buyers and sellers.

The size of the exchange’s markets is also considered.

An assessment of the quality of the market’s order book data, including

tests for manipulated orders, and implementing tests that determine whether the market functions as an active market in the

underlying asset and are anchored by observable transactions entered into at arm’s length between buyers and sellers.

The liquidity of the market is also considered.

For each asset, the

Index Provider selects the highest quality markets using a rating algorithm and a selection algorithm.

Detailed information is

contained in the full text of the Market Selection Framework, available at https://coinmetrics.io/wp-content/uploads/2021/04/reference-rates-market-selection-framework.pdf .

The Coin Metrics Index

Committee reviews the constituent markets from the CM Reference Rates to determine the constituent markets for CMBI’s indexes.

This review applies considerations surrounding the investability of each of the markets and takes into consideration all the available

The Coin Metrics Oversight Committee reviews these decisions.

In the case of the CMBI Bitcoin Index, the

constituent markets are identical to the constituent markets for CMBI’s Bitcoin reference rate.

Forms of Attack Against the

Bitcoin Network

In the case of the CMBI Bitcoin Index, the constituent markets

are identical to the constituent markets for CMBI’s Bitcoin reference rate.

Determination of the Index Price

Index levels and returns

are determined using transacted crypto asset prices from the Index Provider’s vetted markets as determined by the Market

Selection Framework.

No quote data, derivative data or estimations are used as an estimation of constituent price levels.

index pricing is not streaming but conducted at fixed intervals (e.g., every 15 seconds) as defined in the Index’s methodology.

An Intraday index level means the level of an index observed by a calculation agent at any time during the regular trading session

hours of the relevant exchange, without regard to after hours or any other trading outside of the regular trading session hours.

Intraday Index level and return calculations leverage the real-time reference rates.

Real-time reference rates are a collection

of reference rates quoted in U.S.

dollars published once per second, every day of the year for a set of cryptocurrencies and fiat

As such, the real-time reference rates represent the reference rate of one unit of the asset quoted in U.S.

The collection of reference rates is derived from the most recent trade data available from markets traded on cryptocurrency exchanges

that are approved to serve as pricing sources (“whitelisted markets”) by the Coin Metrics Oversight Committee (“Index

Provider Oversight Committee”) and by applying an exchange volume-weighted median as calculated within the CoinMetrics Real-Time

Reference Rate Methodology, version 0.10, last revised May 27, 2021 (the “Reference Rate Methodology”).

The Reference Rate Methodology

and Coin Metrics Market Selection Framework, version 1.0.2, last revised April 25, 2021 (the

“Market Selection Framework”)

lays out the criteria for the whitelisted market selection framework.

The Index Provider Oversight Committee is responsible for

evaluating new markets for inclusion as a selected whitelisted markets and reassessing current whitelisted markets on a quarterly

basis and during interim periods if market conditions warrant.

The evaluation of whitelisted markets is based on the following

An assessment of whether the technology infrastructure of the market’s exchange

provides sufficient availability and reliability for input data collection.

Legal and Compliance:

An assessment of whether the market’s exchange complies with laws

and regulations.

Evaluates the exchange’s legal risk exposure, and whether it adheres to regulatory best practices.

Evaluates whether the exchange has publicly disclosed trading policies, uses market surveillance technology, and complies

with national regulatory organizations, and enforces KYC and AML requirements.

Evaluates whether the exchange has functioning

fiat and cryptocurrency withdrawals processed within a normal timeframe.

Evaluates whether a data sharing license can be executed

with the exchange.

Business Model:

An assessment of the market’s exchange with respect to its business

model, including its fee structure and asset listing standards.

Data Availability:

An assessment of the available data the market’s exchange offers

for the given asset, including the number of markets where the given asset is based on currency, whether the markets are quoted

in fiat currencies or other cryptocurrencies, and the type of markets offered.

An assessment of the quality of the market’s price data, including testing for

the occurrence of price outliers and impactful price deviations from other markets, and implementing tests that determine

whether the market functions as an active market in the underlying asset and are anchored by observable transactions entered

into at arm’s length between buyers and sellers.

An assessment of the quality of the market’s volume data, including testing

for manipulated volume figures, and implementing tests that determine whether the market functions as an active market in

the underlying asset and are anchored by observable transactions entered into at arm’s length between buyers and sellers.

The size of the exchange’s markets are also considered.

An assessment of the quality of the market’s order book data, including

tests for manipulated orders, and implementing tests that determine whether the market functions as an active market in the

underlying asset and are anchored by observable transactions entered into at arm’s length between buyers and sellers.

The liquidity of the market is also considered.

The following is a description

of the calculation algorithm of the CM Reference Rates, showing how price data from each separate market is combined:

Calculate the volume denominated in units of the given asset from observable transactions

that occurred over the trailing 60 minutes for each of the constituent markets.

Calculate the volume weight for each of the

constituent markets by dividing the volume figure for each of the constituent markets by the total volume across all constituent

The resulting figure is referred to as the volume weight.

Convert the trade price of all observable transactions over the trailing 60 minutes for each

of the constituent markets to U.S.

dollars, if necessary, using the Reference Rate calculated for Bitcoin (BTC).

the inverse variance of the trade price converted to U.S.

dollars for each of the constituent markets using the population

mean in the calculation of variance, where the population mean is defined as the mean price of all trades from constituent

markets over the trailing 60 minutes.

If a constituent market has an infinite or undefined inverse price variance, the inverse

price variance for that constituent market is set to zero.

Calculate the inverse price variance weight for each of the constituent

markets by dividing the inverse price variance by the total inverse price variance across all constituent markets.

The resulting

figure is referred to as the inverse price variance weight.

Calculate the final weight for each of the constituent markets by taking a mean of the volume

weight and the inverse price variance weight.

Extract the most recent observable transaction from each of the constituent markets.

the trade price of the most recent observable transactions to U.S.

dollars, if necessary, using the Reference Rate calculated

for Bitcoin (BTC).

Calculate the weighted median price of the most recent observable transactions using the price

calculated in step 4 and the final weight calculated in step 3.

The weighted median price is calculated by ordering the transactions

from lowest to highest price, and identifying the price associated with the trades at the 50th percentile of final weight.

The resulting figure is the Reference Rate for the given asset.

Adjustments to the pricing

data are made (1) if observable transactions from a constituent market are unable to be collected due to technical problems specific

to the constituent market’s exchange during the calculation of a Reference rate, the observable transactions from the constituent

market are not included in the calculation of the specific instance of the given Refence Rate and (2) if no observable transactions

from constituent markets exist during the trailing 60 minutes, the value of the Reference Rate will be determined to equal the

value calculated during the previous second.

If potential errors or anomalies in the data are detected, the exercise of expert

judgment will be applied by Coin Metrics to determine if the potentially erroneous data is included in the calculation of the Reference

If errors are discovered in the calculation process subsequent to the publication of the Reference Rate, a recalculated reference

rate may be published.

Official Index levels

are produced daily at 4:00 pm, New York time.

End-of-day Index level and return calculations leverage the hourly reference rates,

which are derived by applying a volume-weighted median price to trade data that has been collected over a 61-minute interval.

Determination of Index

levels is dependent on the availability of data from CM Reference Rates.

To the extent that there are not enough markets to inform

a CM Reference Rate, the Index Provider will act as follows:

In the case of a market’s closure, temporary suspension of trading or an outage, the

Index Provider will reference the latest available hourly reference rate.

In the case of on-chain events, such as a fork, that result in a market’s trading suspension,

the Index Provider will reference the latest available hourly reference rate.

All decisions relating to

unavailability of data for the determination of the Index level will be made by the Coin Metrics Index Committee who may exercise

expert judgment in exceptional circumstances or in the event of prolonged data unavailability.

The Trust is not affiliated with,

sponsored, promoted, sold or supported in any other manner with Coin Metrics, Inc., the Index Provider.

Forms of Attack Against

the Bitcoin Network

networked systems are vulnerable to various kinds of attacks.

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sector includes companies that provide a variety of services including the buying, selling, payment processing and storing of Bitcoin.

Bitfmex, Bitstamp, Coinbase Pro, Kraken and itBit are some of the largest Bitcoin exchanges by volume traded.

Fidelity Digital

Asset Services, the Custodian for the Trust, is a digital asset custodian that provides custodial accounts that store Bitcoin for

As the Bitcoin Network continues to grow in acceptance, it is anticipated that service providers will expand the currently

available range of services and that additional parties will enter the service sector for the Bitcoin Network.

Bittrex, BitStamp, Coinbase Pro, Kraken and itBit are some of the largest Bitcoin exchanges by volume traded.

Coinbase Custody

serves as the Trust’s custodian providing hot and cold digital wallet storage for the Trust’s Bitcoin.

As the Bitcoin

Network continues to grow in acceptance, it is anticipated that service providers will expand the currently available range of

services and that additional parties will enter the service sector for the Bitcoin Network.

is not the only available decentralized digital asset.

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investments currently enjoyed by the market leader.

As of February 11, 2022, the Bitcoin network market share of the total digital

As of January 6, 2023, the Bitcoin network market share of the total digital

market capitalization was estimated to be approximately 40%.

Further, many Bitcoin exchanges use Bitcoin as the exchange comparison

cryptocurrencies.

For example, to purchase certain cryptocurrencies you first need to purchase Bitcoin on an exchange and then use the Bitcoin to

purchase other cryptocurrencies.

Government Oversight – Regulation

for other cryptocurrencies.

For example, to purchase certain cryptocurrencies you first need to purchase Bitcoin on an exchange

and then use the Bitcoin to purchase other cryptocurrencies.

Government Oversight –

Regulation of Bitcoin

regulators, at both the state and federal level, and foreign regulators and legislatures have taken action against digital asset

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example, concerns have been raised about the electricity required to secure and maintain the Bitcoin Network.

On February 12, 2022,

On January 3, 2023,

in connection with the mining process, an all-time high of over 271 million tera hashing operations were performed every second,

non-stop on the Bitcoin Network, before falling back to 209 million per second by February 14, 2022.

Although measuring the electricity

consumed by this process is difficult because these operations are performed by various machines with varying levels of efficiency,

the process consumes a significant amount of energy.

Further, in addition to the direct energy costs of performing these calculations,

there are indirect costs that impact the Bitcoin Network’s total energy consumption, including the costs of cooling the machines

that perform these calculations.

In recent months, due to these concerns around energy consumption, particularly as such concerns

relate to public utilities companies, various states and cities have implemented, or are considering implementing, moratoriums

on Bitcoin mining in their jurisdictions.

A significant reduction in mining activity as a result of such actions could adversely

affect the security of the Bitcoin Network by making it easier for a malicious actor or botnet to manipulate the Blockchain.

“Risk Factors—Risk Factors Related to Digital Assets—If a malicious actor or botnet obtains control of more than

50% of the processing power on the Bitcoin Network, or otherwise obtains control over the Bitcoin Network through its influence

over core developers or otherwise, such actor or botnet could manipulate the Blockchain to adversely affect an investment in the

Shares or the ability of the Trust to operate.”

Legal and Regulatory Treatment

non-stop on the Bitcoin Network.

Although measuring the electricity consumed by this process is difficult because these operations

are performed by various machines with varying levels of efficiency, the process consumes a significant amount of energy.

in addition to the direct energy costs of performing these calculations, there are indirect costs that impact the Bitcoin Network’s

total energy consumption, including the costs of cooling the machines that perform these calculations.

In recent months, due to

these concerns around energy consumption, particularly as such concerns relate to public utilities companies, various states and

cities have implemented, or are considering implementing, moratoriums on Bitcoin mining in their jurisdictions.

A significant reduction

in mining activity as a result of such actions could adversely affect the security of the Bitcoin Network by making it easier for

a malicious actor or botnet to manipulate the Blockchain.

See “Risk Factors—Risk Factors Related to Digital Assets—If

a malicious actor or botnet obtains control of more than 50% of the processing power on the Bitcoin Network, or otherwise obtains

control over the Bitcoin Network through its influence over core developers or otherwise, such actor or botnet could manipulate

the Blockchain to adversely affect an investment in the Shares or the ability of the Trust to operate.”

Legal and Regulatory

Treatment of Bitcoin

digital assets have grown in both popularity and market size, the U.S.

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therefore be within the jurisdiction of the SEC.

In addition, there have been a number of SEC enforcement actions brought that

involve crypto assets and related activities.

CFTC has regulatory jurisdiction over transactions in Bitcoin futures and the Bitcoin futures markets.

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Beyond instances of fraud or manipulation, the CFTC generally does not oversee

cash or spot market exchanges or transactions involving Bitcoin that do not use margin, leverage, or financing with respect to

market exchanges or transactions involving Bitcoin that do not use margin, leverage, or financing with respect to

retail market participants.

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staff on trade activities, including providing the CFTC surveillance team with trade settlement data upon request.

March 9, 2022, President Biden signed an Executive Order on Ensuring Responsible Development of Digital Assets (the “Executive

Order”), which outlined a unified federal regulatory approach to addressing the risks and benefits of digital assets.

Executive Order articulated various policy objectives related to digital assets, including investor protections, financial and national

and responsible development and use of digital assets.

The Executive Order directed federal government departments and agencies

to produce various reports, frameworks, analyses, and regulatory and legislative recommendations to the Biden Administration.

policies and objectives of the Executive Order are very broad and, at this time, it is unclear what impact it may have

on the regulation of Bitcoin and other digital assets.

2022, President Biden signed an Executive Order on Ensuring Responsible Development of Digital Assets (the “Executive Order”),

which outlined a unified federal regulatory approach to addressing the risks and benefits of digital assets.

The Executive Order

articulated various policy objectives related to digital assets, including investor protections and financial and national security.

On June 7, 2022, U.S.

Senators Kirsten Gillibrand and Cynthia Lummis introduced the “Responsible Financial Innovation Act,”

a bipartisan proposed legislation that would create a regulatory framework for digital assets, including a standard for determining

which digital assets are commodities and what are securities, and would assign regulatory authority over digital asset spot markets

effect of any future regulatory change on the Trust or Bitcoin is impossible to predict, but such change could be substantial and

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financial crime.

In addition to ETNs, the proposed ban would affect financial products including contracts for difference, options

In addition to ETNs, the proposed ban would affect financial products including contracts for differences, options

Public consultation on the proposed restriction closed in October 2019.

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or foreign law could adversely affect an investment in the Units.

Custody of The Trust’s Bitcoins

Not a Regulated Commodity Pool

The Trust will

not trade, buy, sell or hold Bitcoin derivatives, including Bitcoin futures contracts, swaps or options.

solely to take immediate delivery of actual Bitcoin.

The Sponsor does not believe the Trust’s activities are required to

be regulated by the CFTC under the CEA as a “commodity pool” under current law, regulation and interpretation.

Trust will not be operated by a CFTC-regulated commodity pool operator because it will not trade, buy, sell or hold Bitcoin derivatives,

including Bitcoin futures contracts, swaps or options.

Unitholders of the Trust will not receive the regulatory protections afforded

to investors in regulated commodity pools, nor may any futures exchange enforce its rules with respect to the Trust’s activities.

In addition, Unitholders of the Trust will not benefit from the protections afforded to investors in Bitcoin futures contracts

on regulated futures exchanges.

Custody of The Trust’s

assets and digital asset transactions are recorded and validated on blockchains, the public transaction ledgers of a digital asset

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Key Generation

addresses and their corresponding private keys are generated by the Custodian in secret key generation ceremonies at secure locations

inside faraday cages, which are enclosures used to block electromagnetic fields and thus mitigate against attacks.

The Custodian

uses quantum random number generators to generate the public and private key pairs.

addresses and their corresponding private keys are generated by the Custodian in a proprietary key generation protocol that generates

cold storage addresses for Coinbase Custody digital wallets.

This key generation architecture is performed completely offline,

affording maximum protection against malicious attacks and illicit actors.

generated, private keys are encrypted, separated into “shards” and then further encrypted.

After the key generation,

ceremony, all materials used to generate private keys, including computers, are destroyed.

All key generation ceremonies are performed

No party other than the Custodian has access to the private key shards of the Trust.

all materials used to generate private keys are generally destroyed.

All key generation ceremonies are performed offline.

other than the Custodian has access to the private key shards of the Trust.

key shards are distributed geographically in secure vaults around the world, including in the United States.

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secure vaults may change regularly and are kept confidential by the Custodian for security purposes.

Bitcoin Account uses offline storage, or cold storage, mechanisms to secure the Trust’s private keys.

The term cold storage

refers to a safeguarding method by which the private keys corresponding to digital assets are disconnected and/or deleted entirely

from the internet.

Cold storage of private keys may involve keeping such keys on a non-networked (or “airgapped”) computer

or electronic device or storing the private keys on a storage device (for example, a USB thumb drive) or printed medium (for example,

papyrus, paper or a metallic object).

A digital wallet may receive deposits of digital assets but may not send digital assets without

use of the digital assets’ corresponding private keys.

In order to send digital assets from a digital wallet in which the

private keys are kept in cold storage, either the private keys must be retrieved from cold storage and entered into an online,

or “hot,” digital asset software program to sign the transaction, or the unsigned transaction must be transferred to

the cold server in which the private keys are held for signature by the private keys and then transferred back to the online digital

asset software program.

Custodial Account uses offline storage, or “cold storage,” mechanisms to secure the Trust’s private keys.

term cold storage refers to a safeguarding method by which the private keys corresponding to digital assets are disconnected and/or

deleted entirely from the internet.

Cold storage of private keys may involve keeping such keys on a non-networked (or “airgapped”)

computer or electronic device or storing the private keys on a storage device (for example, a USB thumb drive) or printed medium

(for example, papyrus, paper or a metallic object).

A digital wallet may receive deposits of digital assets but may not send digital

assets without use of the digital assets’ corresponding private keys.

In order to send digital assets from a digital wallet

in which the private keys are kept in cold storage, either the private keys must be retrieved from cold storage and entered into

an online, or “hot,” digital asset software program to sign the transaction, or the unsigned transaction must be transferred

to the cold server in which the private keys are held for signature by the private keys and then transferred back to the online

digital asset software program.

At that point, the user of the digital wallet can transfer its digital assets.

the Custodial Services Agreement, the Custodian holds Bitcoin for the Trust in an omnibus account.

A portion of the Bitcoin held

by the Custodian is held in cold storage, but the Custodian does not disclose what amount of Bitcoin is held in cold storage, and

the Trust has no discretion as to the amount of Bitcoin held by the Custodian in cold storage and what percentage are held “hot”

storage, enabling such Bitcoin to be transferred.

the Custodial Services Agreement, the Custodian holds Bitcoin for the Trust in a segregated account.

The Custodian stores all private

keys in cold storage and requires up to 24 hours between any request to withdraw Bitcoin from the Custodial Account and submission

of the withdrawal to the Bitcoin Network.

As of the date of this filing, the Trust holds one (1) cold storage wallet with the Custodian.

The Custodial Services Agreement states that the Custodian’s maximum liability for each cold storage wallet shall be limited

to $100,000,000.

Our trading department, which monitors the value within each cold storage wallet on a daily basis, will engage

the Custodian for the creation of an additional cold storage wallet once the value exceeds $75,000,000.

The Custodian recommends

that, as a best practice, each cold storage wallet should not exceed $80,000,000 notwithstanding the Custodian’s maximum

liability of $100,000,000 for each cold storage wallet.

Security Procedures

Custodian is the custodian of the Trust’s private keys in accordance with the terms and provisions of the Custodial Services

Transfers from the Bitcoin Account requires certain security procedures, including but not limited to, multiple encrypted

private key shards, usernames, passwords and 2-step verification.

Transfers from the Custodial Account requires certain security procedures, including but not limited to, multiple encrypted

private key shards, usernames, passwords and two-step verification.

Multiple private key shards held by the Custodian must be combined

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a result, if any one secure vault is ever compromised, this event will have no impact on the ability of the Trust to access its

assets, other than a possible delay in operations, while one or more of the other secure vaults is used instead.

other than a possible delay in operations, while one or more of the other secure vaults is used instead.

These security

procedures are intended to remove single points of failure in the protection of the Trust’s assets.

of Bitcoins to the Bitcoin Account will be available to the Trust once processed on the Blockchain.

of Bitcoins to the Custodial Account will be available to the Trust once processed on the Blockchain.

to obtaining regulatory approval to operate a redemption program and authorization of the Sponsor, the process of accessing and

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See “Description of Issuance of Units.”

Description of Issuance of Units

Description of Issuance of

following is a description of the material terms of the Trust documents as they relate to the issuance of the Trust’s Units

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of the Securities Act.

Units are offered by the Trust and the Sponsor and its officers, in reliance upon the exemption from broker registration contained

in Rule 3a4-1 of the Securities Exchange Act of 1934 (the “Exchange Act”).

Currently, the Trust does not expect to

use underwriters, finders or other intermediaries to offer or sell Units, but it may choose to do so, and in any such case pay

the fees of such intermediaries itself or pass some or all of such fees on to purchasers (in which case the Trust will make advanced

disclosure of such fee arrangements to such purchasers).

Trust Documents also provide procedures for the redemption of Units.

However, the Trust does not currently operate a redemption

program and the Units are not currently redeemable.

Subject to receipt of regulatory approval from the SEC and approval by the

Sponsor in its sole discretion, the Trust may in the future operate a redemption program.

Because the Trust does not believe that

the SEC would, at this time, entertain an application for the waiver of rules needed in order to operate an ongoing redemption

program, the Trust currently has no intention of seeking regulatory approval from the SEC to operate an ongoing redemption program.

Units are offered directly by the Trust and the Sponsor and its officers, in reliance upon the exemption from broker registration

contained in Rule 3a4-1 of the Exchange Act.

Currently, the Trust does not expect to use intermediaries such as underwriters, finders

or other such intermediaries to offer or sell Units, but it may choose to do so, and in any such case pay the fees of such intermediaries

itself or pass some or all of such fees on to purchasers (in which case the Trust will make advanced disclosure of

such fee arrangements to such purchasers).

current legal framework has made it difficult for the Trust to permit redemptions of our Units because we are unable to conduct

concurrent offerings and redemptions of our Units.

As of the date of this filing, the Trust has not accepted new purchases for

over one year, and we have no present intention of reopening sales of Units.

We are considering a redemption program for investors

in the Trust.

Any redemption program would likely involve limited periodic redemptions of Units, although we have not ruled out

the possibility of an open-ended redemption program.

Trust is authorized under the Trust Agreement to issue an unlimited number of Units.

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with purchase orders for a minimum of $25,000 initial investment ($10,000 minimum for additional investments).

represent common units of fractional undivided beneficial interest in and ownership of the Trust and have no par value.

Units may be purchased from the Trust on an ongoing basis, but only upon the order of an Accredited Investor to purchase a

The Units represent

common units of fractional undivided beneficial interest in and ownership of the Trust and have no par value.

Units may be purchased from the Trust on an ongoing basis, but only upon the order of an Accredited Investor to purchase a minimum

of $25,000 of Units initial investment ($10,000 minimum for additional investments).

As of December 31, 2021, each Unit represented

As of January 6, 2023, each Unit represented

0.00033 of a Bitcoin.

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Each Purchaser must (i)

enter into a Subscription Agreement with the Sponsor and the Trust and (ii) if purchasing in-kind, has access to a Bitcoin wallet

address previously known to the Custodian as belonging to the Purchaser (the “Purchaser Self-Administered Account”).

creation of Units requires the delivery to the Trust of the amount of cash or Bitcoin to purchase Units (the “Bitcoin Purchase

The Trust uses the cash invested to purchase Units to purchase Bitcoin at the applicable Bitcoin Market Price on

the date of purchase and issues the corresponding number of whole Units to the investor.

enter into a subscription agreement with the Sponsor and the Trust, and (ii) if purchasing in-kind, have access to a Bitcoin digital

wallet address previously

known to the Custodian as belonging to the Purchaser (the “Purchaser Self-Administered Account”).

creation of Units requires the delivery to the Trust of the Bitcoin Purchase Amount.

subscription agreement provides the procedures for the creation of Units and for the delivery of the whole and fractional Bitcoins

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liabilities, including liabilities under the Securities Act.

If and when the Trust has an active offering of Units and the Trust

determines an announcement of a halting of subscription agreement offerings is necessary for the best interest of the Trust and

the investors, such as when the Units are trading at a discount to the NAV, it will post such information on its website at https://ospreyfunds.io/onboarding/.

do not pay a transaction fee to the Trust in connection with the creation of Units, but there may be transaction fees associated

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the Trust, and no such person has any obligation or responsibility to the Sponsor or the Trust to effect any sale or resale of

following description of the procedures for the creation of Units is only a summary and Unitholders should refer to the relevant

provisions of the Trust Agreement and the form of Subscription Agreement for more detail.

The following description of the procedures for the creation of Units is only a summary and Unitholders should refer to

the relevant provisions of the Trust Agreement and the form of subscription agreement for more detail.

Purchase Procedures

any business day, a Purchaser may deposit the Bitcoin Purchase Amount with Signature Bank, the Trust’s bank, and submit an

order to create Units (a “Purchase Order”) from the Trust via notification to the Sponsor or its delegate in the manner

provided in the Subscription Agreement.

An investor’s cash for a Purchase Order must be cleared in the Trust’s account

at Signature Bank by 1:00 p.m., Eastern time on a business day for the investor to obtain that day’s Bitcoin Market Price.

The Sponsor or its delegate will process Purchase Orders only from Purchasers with respect to whom a Subscription Agreement is

in full force and effect.

the Sponsor or its delegate confirms the total amount of purchase funds for a Purchase Order, it will choose a counterparty to

purchase Bitcoin on agreed upon terms.

The Sponsor has full discretion to determine the Trust’s counterparties for Bitcoin

transactions.

The Sponsor considers various counterparties for trades, including Cumberland DRW, LLC, Jane Street, Galaxy Digital

and Wintermute Trading Ltd., based on various factors including, but not limited to, price quoted, ease of liquidity, marketplace

slippage (i.e., price certainty) and ease and certainty of settlement.

Upon receiving a trade confirmation from the counterparty,

the Sponsor will instruct Signature Bank to wire funds to the trading counterparty and confirm the wallet address for the Trust

On any Business Day,

a Purchaser may deposit the amount of cash to purchase Units (the “Bitcoin Purchase Amount”) with the Trust’s

bank (i.e., the bank providing the Trust with banking services) and submit an order to create Units (a “Purchase Order”)

from the Trust via notification to the Sponsor or its delegate in the manner provided in the subscription agreement.

An investor’s

cash for a Purchase

Order must be cleared in the Trust’s bank account by 1:00 p.m., Eastern time on a Business Day for the

investor to obtain that day’s Bitcoin Market Price.

The Sponsor or its delegate will process Purchase Orders only from Purchasers

with respect to whom a subscription agreement is in full force and effect.

Once the Sponsor or

its delegate confirms the total amount of purchase funds for a Purchase Order, it will choose a counterparty to purchase Bitcoin

on agreed upon terms.

The Sponsor has full discretion to determine the Trust’s counterparties for Bitcoin transactions.

Sponsor considers various counterparties for trades, including Cumberland DRW, LLC;

Galaxy Digital;

and Wintermute

Trading Ltd., based on various factors including, but not limited to, price quoted, ease of liquidity, marketplace slippage (i.e.,

price certainty) and ease and certainty of settlement.

Upon receiving a trade confirmation from the counterparty, the Sponsor will

instruct the Trust’s bank to wire funds to the trading counterparty and confirm the digital wallet address for the Trust

to receive Bitcoin at the Custodian.

Purchase Orders are generally accepted (or rejected) by the Sponsor within one business day of the day on which the relevant Purchase

Order is placed.

If a Purchase Order is accepted, the Sponsor generally will fill the Purchaser’s Purchase Order within five

business days immediately following the day on which the relevant Purchase Order is placed.

Completed Purchase Orders

are generally accepted (or rejected) by the Sponsor within one Business Day of the day on which the relevant Purchase Order is

If a Purchase Order is accepted, the Sponsor generally will fill the Purchaser’s Purchase Order within five Business

Days immediately following the day on which the relevant Purchase Order is placed.

The expense and risk of delivery, ownership

and safekeeping of Bitcoins will be borne solely by the Purchaser until such Bitcoin have been received by the Trust.

Suspension or Rejection of

Purchase Orders and Bitcoin Purchase Amount

delivery of the Units against deposit of the Bitcoin Purchase Amount may be suspended generally, or refused with respect to particular

requested creations, during any period when the transfer books of the Sponsor or its delegate are closed or if any such action

is deemed necessary or advisable by the Sponsor or its delegate or for any reason at any time or from time to time.

Sponsor, its delegates, or the Custodian shall be liable for the rejection or acceptance of any Purchase Order or Bitcoin Purchase

In-Kind Subscriber Subscriptions

Units may be purchased

through in-kind contributions of Bitcoin, at the sole discretion of the Sponsor.

The minimum initial subscription amount is $25,000

and an existing Unitholder may make additional subscriptions in a minimum amount of $10,000, subject in all cases to increase,

decrease and waiver of such requirements by the Sponsor, in its sole discretion.

Our calculation surrounding

the number of Units issued upon each purchase through in-kind contributions is described and demonstrated below, which illustrates

a hypothetical transaction taking place on January 5, 2023:

Use 4:00 pm, New York time price of the principal market to determine

USD value of in-kind subscription received.

For example, 2 Bitcoins received on January 5, 2023 (2*$16,854.30 = $33,708.60);

Use 4:00 pm, New York time, NAV per Unit price:

$5.6138 NAV per Unit

on January 5, 2023;

Calculate the maximum number of whole Units that can be purchased

at the price determined in step 2 with the proceeds determined in step 1:

($33,708.60/$5.6138

= 6,004 whole Units);

Calculate the total value of those Units:

6,004 whole Units * $5.6138

NAV per Unit = $33,705.26;

Calculate the difference between the proceeds received in step 1

and the value of the Units in Step 4:

$33,708.60 - $33,705.26 = $3.34;

The unapplied USD amount for purchase of new Units (rounding difference)

is allocated to the Trust as “Other Earnings”:

Pursuant to the representations and

warranties made in the Subscription Agreement, investors are not permitted to withdraw either the cash subscriptions or in-kind

subscriptions after the Bitcoin has been valued.

Suspension or Rejection of Purchase

Orders and Bitcoin Purchase Amount

The delivery of the

Units against deposit of the Bitcoin Purchase Amount may be suspended generally, or refused with respect to particular requested

creations, during any period when the transfer books of the Sponsor or its delegate are closed or if any such action is deemed

necessary or advisable by the Sponsor or its delegate or for any reason at any time or from time to time.

None of the Sponsor,

its delegates, or the Custodian shall be liable for the rejection or acceptance of any Purchase Order or Bitcoin Purchase Amount.

Tax Responsibility

are responsible for any transfer tax, sales or use tax, stamp tax, recording tax, value-added tax or similar tax or governmental

charge applicable to the creation of Units, regardless of whether such tax or charge is imposed directly on the Purchasers, and

agree to indemnify the Sponsor and the Trust if the Sponsor or the Trust is required by law to pay any such tax, together with

any applicable penalties, additions to tax or interest thereon.

Federal Income Tax

Purchasers are responsible

for any transfer tax, sales or use tax, stamp tax, recording tax, value-added tax or similar tax or governmental charge applicable

to the creation of Units, regardless of whether such tax or charge is imposed directly on the Purchasers, and agree to indemnify

the Sponsor and the Trust if the Sponsor or the Trust is required by law to pay any such tax or charge, together with any applicable

penalties, additions to tax or interest thereon.

Federal Income

Tax Consequences

following discussion addresses the material U.S.

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• dealers in securities or commodities;

traders in securities or commodities that have elected to apply a mark-to-market method of tax accounting in respect thereof;

persons holding Units as part of a hedge, “straddle,” integrated transaction or similar transaction;

• traders in securities or commodities that have elected to apply

a mark-to-market method of tax accounting in respect thereof;

• persons holding Units as part of a hedge, “straddle,”

integrated transaction or similar transaction;

• Accredited Investors;

Holders (as defined below) whose functional currency is not the U.S.

Holders (as defined below) whose functional currency is

• entities or arrangements classified as partnerships for U.S.

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• persons receiving Units as compensation;

persons that are expatriates or former citizens or long-term residents of the U.S.;

a “controlled foreign corporation” or a person who is treated as a “United States shareholder” thereof, a “passive foreign investment company” or a shareholder thereof, or a corporation that accumulates earnings to avoid U.S.

• persons that are expatriates or former citizens or long-term

residents of the United States;

• a “controlled foreign corporation” or a person who

is treated as a “United States shareholder” thereof, a “passive foreign investment company” or a shareholder

thereof, or a corporation that accumulates earnings to avoid U.S.

federal income tax;

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tax consequences of owning Units.

discussion is based on the Code, administrative pronouncements, judicial decisions and final, temporary and proposed Treasury regulations

as of the date hereof.

discussion is based on the Internal Revenue Code of 1986, as amended (the “IRC”), administrative pronouncements, judicial

decisions, and final, temporary and proposed Treasury regulations as of the date hereof.

Changes in U.S.

federal income tax law, prospective or retroactive Treasury regulations and future published

rulings and administrative procedures of the IRS in response to these changes in U.S.

federal income tax laws, could materially

affect the tax consequences of an investor’s investment in the Units, and the tax treatment of the Trust’s investments.

While some of these changes may be beneficial, others could negatively affect the after-tax returns of the Trust and its investors.

Accordingly, no assurance can be given that the currently anticipated tax treatment of an investment in the Trust, or of investments

made by the Trust, will not be modified by legislative, judicial, or administrative changes, possibly with retroactive effect,

to the detriment of the investors.

For the avoidance of doubt, this summary does not discuss any tax consequences arising under

the laws of any state, local or foreign taxing jurisdiction.

Unitholders are urged to consult their tax advisers about the application

federal income tax laws to their particular situations, as well as any tax consequences arising under the laws of any

state, local or foreign taxing jurisdiction.

federal income tax law,

Treasury regulations and future published rulings and administrative procedures of the Internal Revenue Service (“IRS”)

in response to these changes in U.S.

federal income tax laws, could materially affect the tax consequences of an investor’s

investment in the Units, and the tax treatment of the Trust’s investments.

While some of these changes may be beneficial,

others could negatively affect the after-tax returns of the Trust and its investors.

Accordingly, no assurance can be given that

the currently anticipated tax treatment of an investment in the Trust, or of investments made by the Trust, will not be modified

by legislative, judicial, or administrative changes, possibly with retroactive effect, to the detriment of the investors.

avoidance of doubt, this summary does not discuss any tax consequences arising under the laws of any state, local or foreign taxing

jurisdiction.

Unitholders are urged to consult their tax advisers about the application of the U.S.

federal income tax laws to

their particular situations, as well as any tax consequences arising under the laws of any state, local or foreign taxing jurisdiction.

Tax Treatment of the Trust

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The Trust has not obtained a ruling from the IRS or an opinion of counsel as to the status of the Trust, and there cannot be any

assurances as to the federal income tax classification of the Trust.

as to the federal income tax classification of the Trust.

Assuming that the Trust is a grantor trust, the Trust will

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federal income tax.

Rather, if the Trust is a grantor trust, each beneficial owner of Units will be treated

as directly owning its pro rata share

the Trust’s assets and a pro rata portion of the Trust’s income, gain, losses and deductions will “flow through”

to each beneficial owner of Units.

Trust will take certain positions with respect to the tax consequences of Incidental Rights and its receipt of Additional Currency.

The Trust does not expect to take any Additional Currency it may hold into account for purposes of determining the Trust’s

Bitcoin Holdings or the Bitcoin Holdings per Unit.

With respect to any fork, airdrop or similar event, the Sponsor may, in its

discretion, decide to cause the Trust to distribute the Additional Currency in-kind to an agent of the Unitholders for resale by

such agent, or to irrevocably abandon the Additional Currency.

In the case of a distribution in-kind, the Unitholders’ agent

would attempt to sell the Additional Currency, and if the agent is able to do so, remit the cash proceeds to Unitholders.

IRS were to disagree with, and successfully challenge, any of these positions, the Trust might not qualify as a grantor trust.

If the Trust were treated as owning any asset other than Bitcoins as of any date on which it creates Units, it would likely cease

to qualify as a grantor trust for U.S.

Rather, each beneficial owner of Units will be treated as directly owning its pro rata

share of the Trust’s assets and a pro rata portion of the Trust’s income, gain, losses and deductions will “flow

through” to each beneficial owner of Units.

The Trust expects

to take certain positions with respect to the tax consequences of Incidental Rights and its receipt of Additional Currency.

Trust does not expect to take into account any Additional Currency it may hold for purposes of determining the Trust’s Bitcoin

Holdings or the Bitcoin Holdings per Unit.

With respect to any fork, airdrop or similar event, the Sponsor may, in its discretion,

accept the assets and distribute the Additional Currency on a pro rata basis to Unitholders pursuant to the Trust Agreement.

the IRS were to disagree with, and successfully challenge, any of these positions, the Trust might not qualify as a grantor trust

federal income tax purposes.

If the Trust were treated as owning any asset other than Bitcoins as of any date on which

it creates Units, it would likely cease to qualify as a grantor trust for U.S.

federal income tax purposes.

of the evolving nature of digital currencies, it is not possible to predict potential future developments that may arise with respect

22 unchanged sentences

income and certain distributions made by the Trust to Unitholders would be treated as taxable dividends to the extent of the Trust’s

current and accumulated earnings and profits.

Any such dividend distributed to a beneficial owner of Units that is a non-U.S.

current and accumulated earnings and profits (as calculated for U.S.

federal income tax purposes).

Any such dividend distributed

to a beneficial owner of Units that is a non-U.S.

person for U.S.

federal income tax purposes would be subject to U.S.

federal withholding tax at a rate of 30% (or such lower rate as provided

in an applicable tax treaty).

remainder of this discussion is based on the assumption that the Trust will be treated as a grantor trust for U.S.

federal income

tax purposes.

Uncertainty Regarding the U.S.

withholding tax at a rate of 30% (or such lower rate as provided in an applicable tax treaty).

remainder of this discussion assumes the Trust will be treated as a grantor trust for U.S.

federal income tax purposes.

Uncertainty Regarding the

Federal Income Tax Treatment of Digital Currency

6 unchanged sentences

are uncertain.

2014, the IRS released a Notice discussing certain aspects of “convertible virtual currency” (that is, digital currency

that has an equivalent value in fiat currency or that acts as a substitute for fiat currency) for U.S.

2014, the IRS released Notice 2014-21, 2014-16 I.R.B.

938 (the “Notice”) discussing certain aspects of the treatment

of “convertible virtual currency” (that is, digital currency that has an equivalent value in fiat currency or that

acts as a substitute for fiat currency) for U.S.

federal income tax purposes.

and, in particular, stating that such digital currency (i) is “property” (ii) is “not treated as currency”

for purposes of the rules relating to foreign currency gain or loss and (iii) may be held as a capital asset.

In 2019, the IRS

released a Revenue Ruling in which the IRS concluded that a hard fork on a digital currency blockchain (i) does not create taxable

income if the taxpayer does not subsequently receive new units of digital currency and (ii) creates taxable ordinary income if

the taxpayer receives new units of cryptocurrency by airdrop.

Simultaneously with the release of the Revenue Ruling, the IRS also

published the FAQs, which address, among other issues, how to determine the fair market value of digital currencies and the proper

method of determining a holder’s holding period and tax basis for units of digital currency (including those acquired at

different times or at varying prices.

However, the Notice, Revenue Ruling and FAQs do not address other significant aspects of

federal income tax treatment of digital currencies, including:

(i) whether convertible virtual currencies are properly

treated as “commodities” for U.S.

The IRS stated in the Notice that such digital currency

(i) is “property” (ii) is “not treated as currency” for purposes of the IRC rules relating to foreign currency

gain or loss and (iii) may be held as a capital asset.

In 2019, the IRS released Revenue Ruling 2019-24, 2019-44 I.R.B.

“Revenue Ruling”) that supplements the Notice, in which the IRS concluded that a hard fork on a digital currency blockchain

(i) does not create taxable income if the taxpayer does not subsequently receive new units of digital currency and (ii) creates

taxable ordinary income if the taxpayer receives new units of cryptocurrency by airdrop following the hard fork.

Simultaneously

with the release of the Revenue Ruling, the IRS also published a set of “Frequently Asked Questions” (the “FAQs”),

which address, among other issues, how to determine the fair market value of digital currencies and the proper method of determining

a holder’s holding period and tax basis for units of digital currency (including those acquired at different times or at

varying prices).

However, the Notice, Revenue Ruling and FAQs do not address other significant aspects of the U.S.

federal income

tax treatment of digital currencies, including:

(i) whether convertible virtual currencies are properly treated as “commodities”

federal income tax purposes;

(ii) whether convertible virtual currencies are properly

treated as “collectibles” for U.S.

(ii) whether convertible virtual currencies are properly treated as “collectibles”

federal income tax purposes;

(iii) the proper method of determining a holder’s

holding period and tax basis for convertible virtual currencies acquired at different times or at varying prices;

and (iv) whether

and how a holder of convertible virtual currencies acquired at different times or at varying prices may designate, for U.S.

income tax purposes, which of the convertible virtual currencies is transferred in a subsequent sale, exchange or other disposition.

The uncertainty surrounding the U.S.

federal income tax treatment of digital currencies and other digital assets could affect the

performance of the Trust.

Moreover, although the Revenue Ruling and FAQs address the treatment of hard forks, there continues to

be uncertainty with respect to the timing and amount of the income inclusions.

(iii) the proper method of determining a holder’s holding period and tax basis for

convertible virtual currencies acquired at different times or at varying prices;

and (iv) whether and how a holder of convertible

virtual currencies acquired at different times or at varying prices may designate, for U.S.

federal income tax purposes, which

of the convertible virtual currencies is transferred in a subsequent sale, exchange or other disposition.

The uncertainty surrounding

federal income tax treatment of digital currencies and other digital assets could affect the performance of the Trust.

Moreover, although the Revenue Ruling and FAQs address the treatment of hard forks, there continues to be uncertainty with respect

to the timing and amount of the income inclusions.

can be no assurance that the IRS will not alter its position with respect to digital currencies in the future or that a court would

4 unchanged sentences

Any such alteration of the current IRS

guidance could result in adverse tax consequences for Unitholders and could have an adverse effect on the prices of digital currencies,

including the price of Bitcoin in the Bitcoin markets, and therefore could have an adverse effect on the value of Units.

developments that may arise with respect to digital currencies may increase the uncertainty with respect to the treatment of digital

currencies for U.S.

positions or additional guidance could result in adverse tax consequences for Unitholders and could have an adverse effect on the

prices of digital currencies, including the price of Bitcoin in the Bitcoin markets, and therefore could have an adverse effect

on the value of Units.

Future developments that may arise with respect to digital currencies may increase the uncertainty with

respect to the treatment of digital currencies for U.S.

federal income tax purposes.

1 unchanged sentence

federal income tax purposes as property that may be held as a capital asset and that is not currency for purposes of the provisions

of the Code relating to foreign currency gain and loss.

of the IRC relating to foreign currency gain and loss.

are urged to consult their tax advisers regarding the tax consequences of an investment in the Trust and in digital currencies

1 unchanged sentence

federal income taxation, whether such Unitholders

may recognize UBTI as a consequence of a fork, airdrop or similar occurrence.

may recognize “unrelated business taxable income” (“UBTI”) within the meaning of IRC Section 512 as a consequence

of a fork, airdrop or similar occurrence.

Uncertainty Regarding the State Tax

Treatment of Digital Currency

A number of states have

issued their own guidance regarding the tax treatment of certain digital assets for state income and sales tax purposes.

on December 5, 2014, the New York State Department of Taxation and Finance issued guidance regarding the application of New York

State tax law to virtual currencies such as Bitcoin.

The Department determined that New York State would follow the Notice with

respect to the treatment of virtual currencies such as Bitcoin for state income tax purposes.

Furthermore, the agency took the

position that virtual currencies such as Bitcoin are a form of “intangible property,” with the result that the purchase

and sale of Bitcoin for fiat currency is not subject to state sales tax (although transactions of Bitcoin for other goods and services

may be subject to sales tax under barter transaction treatment).

It is unclear if other states will follow the guidance of the

New York State Department of Taxation and Finance with respect to the treatment of virtual currencies such as Bitcoin for income

tax and sales tax purposes.

If a state adopts a different treatment, such treatment may have negative consequences, including the

imposition of a greater tax burden on investors in Bitcoin or the imposition of a greater cost on the acquisition and disposition

of Bitcoin generally.

Any such treatment may have a negative effect on prices of Bitcoin in the digital asset exchange market and

a negative impact on the Units.

The treatment of virtual

currencies such as Bitcoin for tax purposes by foreign jurisdictions may differ from the treatment of virtual currencies by the

IRS or the New York State Department of Taxation and Finance.

If a foreign jurisdiction with a significant share of the market

of Bitcoin users imposes onerous tax burdens on Bitcoin users or imposes sales or value-added tax on purchases and sales of Bitcoin

for fiat currency, such actions could result in decreased demand for Bitcoin in such jurisdiction, which could affect the price

of Bitcoin and negatively affect an investment in the Units.

Additional Currency

is possible that, in the future, the Trust will hold Additional Currency that it receives in connection with its investment in

The uncertainties with respect to the treatment of digital currency for U.S.

federal income tax purposes, described above,

apply to Additional Currency, as well as to Bitcoins.

As described above, the Notice addressed only digital currency that is “convertible

virtual currency,” defined as digital currency that has an equivalent value in fiat currency or that acts as a substitute

for fiat currency.

It is conceivable that certain Additional Currency the Trust may receive in the future would not be within the

scope of the Notice.

general, it is expected that the Trust would receive Additional Currency as a consequence of a fork, an airdrop or a similar occurrence

related to its ownership of Bitcoins.

As described above, the Revenue Ruling and FAQs include guidance to the effect that, under

certain circumstances, forks (and, presumably, airdrops) of digital currencies are taxable events giving rise to ordinary income,

but there continues to be uncertainty with respect to the timing and amount of the income inclusions.

The Trust’s receipt

of Additional Currency may give rise to other tax issues.

The possibility that the Trust will receive Additional Currency thus

increases the uncertainties and risks with respect to the U.S.

It is possible that,

in the future, the Trust will hold Additional Currency that it receives in connection with its investment in Bitcoins.

The uncertainties

with respect to the treatment of digital currency for U.S.

federal income tax purposes, described above, apply to Additional Currency,

as well as to Bitcoins.

As described above, the Notice addressed only digital currency that is “convertible virtual currency,”

defined as digital currency that has an equivalent value in fiat currency or that acts as a substitute for fiat currency.

It is conceivable that certain Additional Currency

the Trust may receive in the future would not be within the scope of the Notice.

In general, it is expected

that the Trust would receive Additional Currency as a consequence of a fork, an airdrop or a similar occurrence related to its

ownership of Bitcoins.

As described above, the Revenue Ruling and FAQs include guidance to the effect that, under certain circumstances,

forks (and, presumably, airdrops) of digital currencies are taxable events giving rise to ordinary income, but there continues

to be uncertainty with respect to the timing and amount of the income inclusions.

The Trust’s receipt of Additional Currency

may give rise to other tax issues.

The possibility that the Trust will receive Additional Currency thus increases the uncertainties

and risks with respect to the U.S.

federal income tax consequences of an investment in Units.

Trust may distribute Additional Currency, or cash from the sale of Additional Currency, to the Unitholders.

Alternatively, the

Trust may form a liquidating trust to which it contributes Additional Currency and distribute interests in the liquidating trust

to the Unitholders.

Any such distribution will not be a taxable event for a U.S.

The Trust may distribute

Additional Currency to the Unitholders.

Alternatively, the Trust may form a liquidating trust to which it contributes Additional

Currency and distributes interests in the liquidating trust to the Unitholders.

Any such distribution will not be a taxable event

Holder (as defined below).

tax basis in the Additional Currency distributed, whether directly or through the medium of a liquidating trust, will be the same

Holder’s tax basis in the distributed assets immediately prior to the distribution, and the U.S.

tax basis in its pro rata share of the Trust’s remaining assets will not include the amount of such basis.

Immediately after

any such distribution, the U.S.

Holder’s holding period with respect to the distributed Additional Currency will be the same

Holder’s holding period with respect to the distributed assets immediately prior to the distribution.

sale of the distributed Additional Currency will generally be a taxable event for a U.S.

simplicity of presentation, the remainder of this discussion assumes that the Trust will hold only Bitcoins.

However, the principles

set forth in the discussion below apply to all of the assets that the Trust may hold at any time, including Additional Currency,

as well as Bitcoins.

Without limiting the generality of the foregoing, each beneficial owner of Units generally will be treated

federal income tax purposes as owning an undivided interest in any Additional Currency held in the Trust, and any transfers

or sales of Additional Currency by the Trust (other than distributions by the Trust, as described in the preceding paragraph) will

be taxable events to Unitholders with respect to which Unitholders will generally recognize gain or loss in a manner similar to

the recognition of gain or loss on a taxable disposition of Bitcoins, as described below.

Holder’s tax basis in the Additional Currency distributed, whether directly

or through the medium of a liquidating trust, will be the same as the U.S.

Holder’s tax basis in the distributed assets immediately

prior to the distribution, and the U.S.

Holder’s tax basis in its pro rata share of the Trust’s remaining assets will

not include the amount of such basis.

Immediately after any such distribution, the U.S.

Holder’s holding period with respect

to the distributed Additional Currency will be the same as the U.S.

Holder’s holding period with respect to the distributed

assets immediately prior to the distribution.

A subsequent sale of the distributed Additional Currency will generally be a taxable

event for a U.S.

For simplicity of presentation,

the remainder of this discussion assumes that the Trust will hold only Bitcoins.

principles set forth in the discussion

below apply to all of the assets that the Trust may hold at any time, including Additional Currency, as well as Bitcoins.

limiting the generality of the foregoing, each beneficial owner of Units generally will be treated for U.S.

federal income tax

purposes as owning an undivided interest in any Additional Currency held in the Trust, and any transfers or sales of Additional

Currency by the Trust (other than distributions by the Trust, as described in the preceding paragraph) will be taxable events to

Unitholders with respect to which Unitholders will generally recognize gain or loss in a manner similar to the recognition of gain

or loss on a taxable disposition of Bitcoins, as described below.

Tax Consequences to U.S.

used herein, the term “U.S.

As used herein, the

Holder” means a beneficial owner of a Unit for U.S.

3 unchanged sentences

● a corporation, or other entity treated as a corporation for U.S.

federal income tax purposes, created or organized in or under the laws of the United States or of any political subdivision thereof;

federal income tax purposes, created

or organized in or under the laws of the United States or of any political subdivision thereof;

● an estate the income of which is subject to U.S.

federal income taxation regardless of its source;

a trust if (a) a court within the U.S.

is able to exercise primary supervision over the administration of the trust and one (1) or more U.S.

persons have the authority to control all substantial decisions of the trust, or (b) it has in effect a valid election to be treated as a U.S.

● a trust if (a) a court within the United States is able to exercise primary supervision over the

administration of the trust and one (1) or more U.S.

persons have the authority to control all substantial decisions of the trust,

or (b) it has in effect a valid election to be treated as a U.S.

person for U.S.

federal income tax purposes.

as specifically noted, the discussion below assumes that each U.S.

Holder will acquire all of its Units on the same date for the

same price per Unit and either solely for cash or solely for Bitcoins that were originally acquired by the U.S.

Holder for cash

on the same date.

discussed in the section entitled “Description of Issuance of Units,” a U.S.

Holder may be able to acquire Units of

the Trust by contributing Bitcoins in-kind to the Trust.

Except as specifically

noted, the discussion below assumes that each U.S.

Holder will acquire all of its Units on the same date for the same price per

Unit and either solely for cash or solely for Bitcoins that were originally acquired by the U.S.

Holder for cash on the same date.

As discussed in the

section titled “Description of Issuance of Units,” a U.S.

Holder may be able to acquire Units of the Trust by contributing

Bitcoins in-kind to the Trust.

Assuming that the Trust is properly treated as a grantor trust for U.S.

federal income tax purposes, such a contribution should not be a taxable event to the U.S.

federal income tax purposes, each U.S.

Holder will be treated as owning an undivided interest in the Bitcoins held in the

Trust and will be treated as directly realizing its pro rata share of the Trust’s income, gains, losses and deductions.

Holder purchases Units solely for cash, (i) the U.S.

Holder’s initial tax basis in its pro rata share of the Bitcoins

held in the Trust will be equal to the amount paid for the Units and (ii) the U.S.

Holder’s holding period for its pro rata

share of such Bitcoins will begin on the date of such purchase.

Holder acquires Units in exchange for Bitcoins, (i)

Holder’s initial tax basis in its pro rata share of the Bitcoins held in the Trust will be equal to the U.S.

tax basis in the Bitcoins that the U.S.

federal income tax purposes,

such a contribution should not be a taxable event to the U.S.

federal income

tax purposes, each U.S.

Holder will be treated as owning an undivided interest in the Bitcoins held in the Trust and will be treated

as directly realizing its pro rata share of the Trust’s income, gains, losses and deductions.

Holder purchases

Units solely for cash, (i) the U.S.

Holder’s initial tax basis in its pro rata share of the Bitcoins held in the Trust will

be equal to the amount paid for the Units and (ii) the U.S.

Holder’s holding period for its pro rata share of such Bitcoins

will begin on the date of such purchase.

Holder acquires Units in exchange for Bitcoins, (i) the U.S.

initial tax basis in its pro rata share of the Bitcoins held in the Trust will be equal to the U.S.

Holder’s tax basis in

the Bitcoins that the U.S.

Holder transferred to the Trust and (ii) the U.S.

Holder’s holding period for its

pro rata share of such Bitcoins generally will include the period during which the U.S.

Holder’s holding period for its pro rata share

of such Bitcoins generally will include the period during which the U.S.

Holder held the Bitcoins that the U.S.

Holder transferred to the Trust.

The Revenue Ruling and FAQs confirm that if a taxpayer acquires tokens of a digital currency at

different times and for different prices, the taxpayer has a separate tax basis in each lot of such tokens.

Under the Revenue Ruling

and FAQs, if a U.S.

Holder that owns more than one lot of Bitcoins contributes a portion of its Bitcoins to the Trust in exchange

for Units, the U.S.

Holder transferred

to the Trust.

The Revenue Ruling and FAQs confirm that if a taxpayer acquires tokens of a digital currency at different times and

for different prices, the taxpayer has a separate tax basis in each lot of such tokens.

Under the Revenue Ruling and FAQs, if a

Holder that owns more than one lot of Bitcoins contributes a portion of its Bitcoins to the Trust in exchange for Units, the

Holder may designate the lot(s) from which such contribution will be made, provided that the U.S.

able to identify specifically which Bitcoins it is contributing and to substantiate its tax basis in those Bitcoins.

Holder acquires Units (i) solely for cash at different prices, (ii) partly for cash and partly in exchange for a contribution

of Bitcoins or (iii) in exchange for a contribution of Bitcoins with different tax bases, the U.S.

Holder’s share of the

Trust’s Bitcoins will consist of separate lots with separate tax bases.

Holder is able to identify

specifically which Bitcoins it is contributing and to substantiate its tax basis in those Bitcoins.

In general, if a U.S.

acquires Units (i) solely for cash at different prices, (ii) partly for cash and partly in exchange for a contribution of Bitcoins

or (iii) in exchange for a contribution of Bitcoins with different tax bases, the U.S.

Holder’s share of the Trust’s

Bitcoins will consist of separate lots with separate tax bases.

In addition, in this situation, the U.S.

holding period for the separate lots may be different.

In addition, the Additional Currency that the Trust acquires in a hard fork

or airdrop that is treated as a taxable event will constitute a separate lot with a separate tax basis and holding period.

the Trust transfers Bitcoins to the Sponsor as payment of the Management Fee, or sells Bitcoins to fund payment of any Extraordinary

Expenses, each U.S.

Holder will be treated as having sold its pro rata share of those Bitcoins for their fair market value at that

time (which, in the case of Bitcoins sold by the Trust, generally will be equal to the cash proceeds received by the Trust in respect

Holder’s holding

period for the separate lots may be different.

In addition, the Additional Currency that the Trust acquires in a hard fork or airdrop

that is treated as a taxable event will constitute a separate lot with a separate tax basis and holding period.

When the Trust transfers

Bitcoins to the Sponsor as payment of the Management Fee, or sells Bitcoins to fund payment of any Extraordinary Expenses, each

Holder will be treated as having sold its pro rata share of those Bitcoins for their fair market value at that time (which,

in the case of Bitcoins sold by the Trust, generally will be equal to the cash proceeds received by the Trust in respect thereof).

As a result, each U.S.

Holder will recognize gain or loss in an amount equal to the difference between (i) the fair market

value of the U.S.

Holder will recognize gain or loss in an amount equal to the difference between (i) the fair market value

Holder’s pro rata share of the Bitcoins transferred and (ii) the U.S.

Holder’s tax basis for its

pro rata share of the Bitcoins transferred.

Holder’s tax basis for its pro rata

share of the Bitcoins transferred.

Any such gain or loss will be short-term capital gain or loss if the U.S.

holding period for its pro rata share of the Bitcoins is one year or less and long-term capital gain or loss if the U.S.

Holder’s holding

period for its pro rata share of the Bitcoins is one year or less and long-term capital gain or loss if the U.S.

holding period for its pro rata share of the Bitcoins is more than one year.

8 unchanged sentences

immediately prior to the transfer, less the portion of that tax basis allocable to its pro rata share of the Bitcoins transferred.

noted above, the IRS has taken the position in the Revenue Ruling and FAQs that, under certain circumstances, a hard fork of a

digital currency constitutes a taxable event giving rise to ordinary income, and it is clear from the reasoning of the Revenue

Ruling and FAQs that the IRS generally would treat an airdrop as a taxable event giving rise to ordinary income.

Under the Revenue

Ruling and FAQs, a U.S.

Holder will have a basis in any Additional Currency received in a fork or airdrop equal to the amount of

income the U.S.

As noted above, the

IRS has taken the position in the Revenue Ruling and FAQs that, under certain circumstances, a hard fork of a

digital currency

constitutes a taxable event giving rise to ordinary income, and it is clear from the reasoning of the Revenue Ruling and FAQs that

the IRS generally would treat an airdrop as a taxable event giving rise to ordinary income.

Under the Revenue Ruling and FAQs,

Holder will have a basis in any Additional Currency received in a fork or airdrop equal to the amount of income the U.S.

Holder recognizes as a result of such fork or airdrop and the U.S.

Holder’s holding period for such Additional

Currency will begin as of the time it recognizes such income.

Holders’ pro rata shares of the expenses incurred by the Trust will be treated as “miscellaneous itemized deductions”

Holder’s holding period for such Additional Currency will

begin as of the time it recognizes such income.

pro rata shares of the expenses incurred by the Trust will be treated as “miscellaneous itemized deductions” for U.S.

federal income tax purposes.

12 unchanged sentences

minimum tax purposes and will be subject to certain other limitations on deductibility.

a sale or other disposition of Units and although unclear due to lack of guidance, a U.S.

Holder will be treated as having sold

the Bitcoins underlying such Units.

On a sale or other disposition

of Units and although unclear due to lack of guidance, a U.S.

Holder will be treated as having sold the Bitcoins underlying such

Accordingly, the U.S.

Holder generally will recognize gain or loss in an amount equal to the

difference between (i) the amount realized on the sale of the Units and (ii) the portion of the U.S.

Holder’s tax basis in

its pro rata share of the Bitcoins held in the Trust that is attributable to the Units that were sold or otherwise subject to a

Such tax basis generally will be

by multiplying the tax basis of the U.S.

Holder’s pro rata share of all of the Bitcoins held in the Trust immediately prior

to such sale or other disposition by a fraction the numerator of which is the number of Units disposed of and the denominator of

which is the total number of Units held by such U.S.

Holder immediately prior to such sale or other disposition (such fraction,

expressed as a percentage, the “Unit Percentage”).

Holder’s share of the Trust’s Bitcoins consists

of separate lots with separate tax bases and/or holding periods, the U.S.

Holder should be treated as having sold the Unit Percentage

of each such lot.

Holder generally will recognize gain or loss in an amount equal to the difference between (i) the

amount realized on the sale of the Units and (ii) the portion of the U.S.

Holder’s tax basis in its pro rata share of the

Bitcoins held in the Trust that is attributable to the Units that were sold or otherwise subject to a disposition.

Such tax basis

generally will be determined by multiplying the tax basis of the U.S.

Holder’s pro rata share of all of the Bitcoins held

in the Trust immediately prior to such sale or other disposition by a fraction the numerator of which is the number of Units disposed

of and the denominator of which is the total number of Units held by such U.S.

Holder immediately prior to such sale or other disposition

(such fraction, expressed as a percentage, the “Unit Percentage”).

Holder’s share of the Trust’s

Bitcoins consists of separate lots with separate tax bases and/or holding periods, the U.S.

Holder should be treated as having

sold the Unit Percentage of each such lot.

Gain or loss recognized by a U.S.

Holder on a sale or other disposition of Units will generally be short-term

capital gain or loss if the U.S.

Holder’s holding period for the Bitcoins underlying such Units is one year or less and long-term

capital gain or loss if the U.S.

Holder’s holding period for the Bitcoins underlying such Units is more than one year.

deductibility of capital losses is subject to significant limitations.

any sale or other disposition of fewer than all of a U.S.

Holder on a sale or other disposition of Units will

generally be short-term capital gain or loss if the U.S.

Holder’s holding period for the Bitcoins underlying such Units is

one year or less and long-term capital gain or loss if the U.S.

Holder’s holding period for the Bitcoins underlying such

Units is more than one year.

The deductibility of capital losses is subject to significant limitations.

After any sale or other

disposition of fewer than all of a U.S.

Holder’s Units, the U.S.

Holder’s tax basis in its pro rata

share of the Bitcoins held in the Trust immediately after the disposition will equal the tax basis in its pro rata share of the

total amount of the Bitcoins held in the Trust immediately prior to the disposition, less the portion of that tax basis that is

taken into account in determining the amount of gain or loss recognized by the U.S.

Holder’s tax basis in its pro rata share of the Bitcoins

held in the Trust immediately after the disposition will equal the tax basis in its pro rata share of the total amount of the Bitcoins

held in the Trust immediately prior to the disposition, less the portion of that tax basis that is taken into account in determining

the amount of gain or loss recognized by the U.S.

Holder on the disposition.

brokerage or other transaction fee incurred by a U.S.

Any brokerage or other

transaction fee incurred by a U.S.

Holder in purchasing Units generally will be added to the U.S.

tax basis in the underlying assets of the Trust.

Holder’s tax basis in the

underlying assets of the Trust.

Similarly, any brokerage fee or other transaction fee incurred by a U.S.

in selling Units generally will reduce the amount realized by the U.S.

Holder in selling Units

generally will reduce the amount realized by the U.S.

Holder with respect to the sale.

the absence of guidance to the contrary, it is possible that any income recognized by a U.S.

tax-exempt Unitholder as a consequence

of a hard fork, airdrop or similar occurrence would constitute UBTI.

A tax-exempt Unitholder should consult its tax advisor regarding

whether such Unitholder may recognize some UBTI as a consequence of an investment in Units.

In the absence of guidance

to the contrary, it is possible that any income recognized by a U.S.

tax-exempt Unitholder as a consequence of a hard fork, airdrop

or similar occurrence would constitute UBTI.

A tax-exempt Unitholder should consult its tax advisor regarding whether such Unitholder

may recognize some UBTI as a consequence of an investment in Units.

Tax Consequences to Non-U.S.

used herein, the term “non-U.S.

As used herein, the

term “non-U.S.

Holder” means a beneficial owner of a Unit for U.S.

federal income tax purposes that

is not a U.S.

federal income tax purposes that is not a U.S.

The term “non-U.S.

Holder” does not include (i) a nonresident alien individual who is present

in the United States for 183 days or more in a taxable year, (ii) a former U.S.

Holder” does not include (i) a nonresident alien individual who is present in the United States

for 183 days or more in a taxable year, (ii) a former U.S.

citizen or U.S.

resident or an entity that has

expatriated from the United States;

(iii) a person whose income in respect of Units is effectively connected with the conduct of

a trade or business in the United States;

resident or an entity that has expatriated from the

United States;

(iii) a person whose income in respect of Units is effectively connected with the conduct of a trade or business

in the United States;

or (iv) an entity that is treated as a partnership for U.S.

federal income tax purposes.

Unitholders described in the preceding sentence should consult their tax advisers regarding the U.S.

federal income tax consequences

of owning Units.

Holder generally will not be subject to U.S.

federal income or withholding tax with respect to its share of any gain recognized

on the Trust’s transfer of Bitcoins in payment of the Management Fee or any Excluded Expense or on the Trust’s sale

or other disposition of Bitcoins, subject to compliance with certification as a non-U.S.

In addition, assuming that the

Trust holds no asset other than Bitcoins, a non-U.S.

Unitholders described

in the preceding sentence should consult their tax advisers regarding the U.S.

federal income tax consequences of owning Units.

Holder generally

will not be subject to U.S.

federal income or withholding tax with respect to its share of any gain recognized on the Trust’s

transfer of Bitcoins in payment of the Management Fee or any additional Trust expenses or on the Trust’s sale or other disposition

of Bitcoins, subject to compliance with certification as a non-U.S.

In addition, assuming that the Trust holds no asset

other than Bitcoins, a non-U.S.

Holder generally will not be subject to U.S.

federal income or withholding

tax with respect to any gain it recognizes on a sale or other disposition of Units.

Holder also will generally not be

subject to U.S.

federal income or withholding tax with respect to any distribution received from the Trust, whether in cash or

that it does not constitute income that is treated as “effectively connected” with the conduct of a trade or business

in the United States, U.S.-source “fixed or determinable annual or periodical” (“FDAP”) income received,

or treated as received, by a non-U.S.

federal income or withholding tax with respect to

any gain it recognizes on a sale or other disposition of Units.

Holder also will generally not be subject to U.S.

income or withholding tax with respect to any distribution received from the Trust, whether in cash or in-kind.

Provided that it does

not constitute income that is treated as “effectively connected” with the conduct of a trade or business in the United

States, U.S.-source “fixed or determinable annual or periodical” (“FDAP”) income received, or treated as

received, by a non-U.S.

Holder will generally be subject to U.S.

withholding tax at the rate of 30% (subject to possible

reduction or elimination pursuant to an applicable tax treaty and to statutory exemptions such as the portfolio interest exemption).

Although there is no guidance on point, it is likely that any ordinary income recognized by a non-U.S.

Holder as a result of a

fork, airdrop or similar occurrence may constitute FDAP income.

It is unclear, however, whether any such FDAP income would be properly

treated as U.S.-source or foreign-source FDAP income.

Holders in the Trust should assume that, in the absence of guidance,

a withholding agent (including the Sponsor) is likely to withhold 30% from a non-U.S.

Holder’s pro rata share of any such

income, including by deducting such withheld amounts from proceeds that such non-U.S.

Holder would otherwise be entitled to receive

in connection with a distribution of Additional Currency or proceeds from the disposition of Additional Currency.

that is a resident of a country that maintains an income tax treaty with the United States may be eligible to claim the benefits

of that treaty to reduce or eliminate, or to obtain a partial or full refund of, the 30% U.S.

withholding tax on its share of any

such income, but only if the non-U.S.

withholding tax at the rate of 30% (subject to possible reduction

or elimination pursuant to an applicable tax treaty and to statutory exemptions such as the portfolio interest exemption).

there is no guidance on point, it is likely

that any ordinary income recognized by a non-U.S.

Holder as a result of a fork, airdrop

or similar occurrence may constitute FDAP income.

It is unclear, however, whether any such FDAP income would be properly treated

as U.S.-source or foreign-source FDAP income.

Holders in the Trust should assume that, in the absence of guidance, a withholding

agent (including the Sponsor) is likely to withhold 30% from a non-U.S.

Holder’s pro rata share of any such income, including

by deducting such withheld amounts from proceeds that such non-U.S.

Holder would otherwise be entitled to receive in connection

with a distribution of Additional Currency or proceeds from the disposition of Additional Currency.

Holder that is a

resident of a country that maintains an income tax treaty with the United States may be eligible to claim the benefits of that

treaty to reduce or eliminate, or to obtain a partial or full refund of, the 30% U.S.

withholding tax on its share of any such

income, but only if the non-U.S.

Holder’s home country treats the Trust as “fiscally transparent,” as defined

in applicable Treasury regulations.

the nature of the Additional Currency that the Trust may hold in the future is uncertain, it is unlikely that any such asset would

give rise to income that is treated as “effectively connected” with the conduct of a trade or business in the United

States or that any income derived by a non-U.S.

Although the nature

of the Additional Currency that the Trust may hold in the future is uncertain, it is unlikely that any such asset would give rise

to income that is treated as “effectively connected” with the conduct of a trade or business in the United States or

that any income derived by a non-U.S.

Holder from any such asset would otherwise be subject to U.S.

income or withholding

tax, except as discussed above in connection with the fork, airdrop or similar occurrence giving rise to Additional Currency.

income or withholding tax,

except as discussed above in connection with the fork, airdrop or similar occurrence giving rise to Additional Currency.

can, however, be no complete assurance in this regard.

order to prevent the possible imposition of U.S.

“backup” withholding and (if applicable) to qualify for a reduced

rate of withholding tax at source under a treaty, a non-U.S.

Holder must comply with certain certification requirements (generally,

by delivering

In order to prevent

the possible imposition of U.S.

“backup” withholding and (if applicable) to qualify for a reduced rate of withholding

tax at source under a treaty, a non-U.S.

Holder must comply with certain certification requirements (generally, by delivering a

properly executed IRS Form W-8BEN or W-8BEN-E to the relevant withholding agent).

Information Reporting

and Backup Withholding

Trust or the appropriate broker will file certain information returns with the IRS and provide Unitholders with information regarding

their annual income (if any) and expenses with respect to the Trust in accordance with applicable Treasury regulations.

Holder will generally be subject to information reporting requirements and backup withholding unless (i) the U.S.

a corporation or other exempt recipient or (ii) in the case of backup withholding, the U.S.

Holder provides a correct taxpayer

identification number and certifies that it is not subject to backup withholding.

In order to avoid the information reporting and

backup withholding requirements, a non-U.S.

Holder may have to comply with certification procedures to establish that it is not

The amount of any backup withholding will be allowed as a credit against the Unitholder’s U.S.

federal income

tax liability and may entitle the holder to a refund, provided that the required information is furnished to the IRS.

Information Reporting and Backup

The Trust or the appropriate

broker will file certain information returns with the IRS and provide Unitholders with information regarding their annual income

(if any) and expenses with respect to the Trust in accordance with applicable Treasury regulations.

Holder will generally

be subject to information reporting requirements and backup withholding unless (i) the U.S.

Holder is a corporation or other exempt

recipient or (ii) in the case of backup withholding, the U.S.

Holder provides a correct taxpayer identification number and certifies

that it is not subject to backup withholding.

In order to avoid the information reporting and backup withholding requirements,

Holder may have to comply with certification procedures to establish that it is not a U.S.

The amount of any

backup withholding will be allowed as a credit against the Unitholder’s U.S.

federal income tax liability and may entitle

the holder to a refund, provided that the required information is furnished to the IRS.

As discussed above,

it is unclear whether any ordinary income recognized by a non-U.S.

Holder as a result of a fork, airdrop or similar occurrence

would constitute U.S.-source FDAP income.

Pursuant to IRC Sections 1471-1474 (commonly referred to as “FATCA”), accompanying

Treasury regulations, and other guidance from the U.S.

Department of Treasury and IRS, the United States imposes a withholding

tax of 30% on “withholdable payments” (generally, U.S.-source FDAP income) to “foreign financial institutions”

(which is broadly defined to generally include investment vehicles) and certain non-U.S.

entities unless various U.S.

reporting and due diligence requirements (generally relating to ownership by U.S.

persons of interests in or accounts with those

entities) have been satisfied, or an exception otherwise applies.

An intergovernmental agreement between the United States and

an applicable foreign country may modify these requirements.

While such withholding would have applied also to payments of gross

proceeds from the sale or other disposition on or after January 1, 2019, of property of a type which can produce US-source dividends

and interest, recently proposed Treasury Regulations eliminate such withholding on payments of gross proceeds entirely.

generally may rely on these proposed Treasury Regulations until final Treasury Regulations are issued.

If FATCA withholding

is imposed, a beneficial owner that is not a foreign financial institution generally may obtain a refund of any amounts withheld

by filing a U.S.

federal income tax return (which may entail significant administrative burden).

Since the enactment

of FATCA, other jurisdictions have instituted similar regimes.

The Trust may incur taxes or may be required to withhold tax pursuant

to such regimes.

Unitholders should consult their tax advisors regarding the effects of FACTA and similar information reporting

regimes on an investment in the Trust.

ERISA and Related Considerations

following section sets forth certain consequences under ERISA and the Code which a fiduciary of an “employee benefit plan”

as defined in and subject to the fiduciary responsibility provisions of ERISA, or of a “plan” as defined in and subject

to Section 4975 of the Code, who has investment discretion should consider before deciding to acquire Units with plan assets (such

“employee benefit plans” and “plans” being referred to herein as “Plans,” and such fiduciaries

with investment discretion being referred to herein as “Plan Fiduciaries”).

The following summary is not intended to

be complete, but only to address certain questions under ERISA and the Code that are likely to be raised by the Plan Fiduciary’s

general, the terms “employee benefit plan” as defined in ERISA and “plan” as defined in Section 4975 of

the Code together refer to any plan or account of various types which provides retirement benefits or welfare benefits to an individual

The following

section sets forth certain consequences under the Employee Retirement Income Security Act of 1974, as amended (“ERISA”)

and the IRC which a fiduciary of an “employee benefit plan” as defined in and subject to the fiduciary responsibility

provisions of ERISA, or of a “plan” as defined in and subject to Section 4975 of the IRC, who has investment discretion

should consider before

deciding to acquire Units with plan assets (such “employee benefit plans” and “plans”

being referred to herein as “Plans,” and such fiduciaries with investment discretion being referred to herein as “Plan

Fiduciaries”).

The following summary is not intended to be complete, but only to address certain questions under ERISA and

the IRC that are likely to be raised by the Plan Fiduciary’s own counsel.

the terms “employee benefit plan” as defined in ERISA and “plan” as defined in Section 4975 of the IRC

together refer to any plan or account of various types which provides retirement benefits or welfare benefits to an individual

or to an employer’s employees and their beneficiaries.

1 unchanged sentence

pension and profit sharing plans, “simplified employee pension plans,” Keogh plans for self-employed individuals (including

partners), individual retirement accounts described in Section 408 of the Code and medical benefit plans.

Plan Fiduciary must give appropriate consideration to the facts and circumstances that are relevant to an investment in the Trust,

including the role an investment in the Trust plays in the Plan’s investment portfolio.

To the extent required by applicable

law, each Plan Fiduciary must be satisfied that investment in the Trust is a prudent investment for the Plan, that the investments

of the Plan, including the investment in the Trust, are diversified so as to minimize the risks of large losses, that an investment

in the Trust complies with the documents and instruments of the Plan and related trust and that an investment in the Trust does

not give rise to a transaction prohibited by Section 406 of ERISA or Section 4975 of the Code for which no exemption is available.

PLAN FIDUCIARY CONSIDERING ACQUIRING UNITS SHOULD CONSULT ITS OWN LEGAL AND TAX ADVISERS BEFORE DOING SO.

Restrictions on Investments

by Benefit Plan Investors

and a regulation issued thereunder contain rules for determining when an investment by a Plan in an entity will result in the underlying

assets of the entity being deemed assets of the Plan for purposes of ERISA and Section 4975 of the Code (i.e., “plan assets”).

partners), individual retirement accounts described in Section 408 or 408A of the IRC and medical benefit plans.

Fiduciary must give appropriate consideration to the facts and circumstances that are relevant to an investment in the Trust, including

the role an investment in the Trust plays in the Plan’s investment portfolio.

To the extent required by applicable law, each

Plan Fiduciary must be satisfied that investment in the Trust is a prudent investment for the Plan, that the investments of the

Plan, including the investment in the Trust, are diversified so as to minimize the risks of large losses, that an investment in

the Trust complies with the documents and instruments of the Plan and related trust and that an investment in the Trust does not

give rise to a transaction prohibited by Section 406 of ERISA or Section 4975 of the IRC for which no exemption is available.

EACH PLAN FIDUCIARY CONSIDERING ACQUIRING

UNITS SHOULD CONSULT ITS OWN LEGAL AND TAX ADVISERS BEFORE DOING SO.

Restrictions on Investments by Benefit Plan Investors

ERISA and a regulation

issued thereunder contain rules for determining when an investment by a Plan in an entity will result in the underlying assets

of the entity being deemed assets of the Plan for purposes of ERISA and Section 4975 of the IRC (i.e., “plan assets”).

Those rules provide that assets of an entity will not be plan assets of a Plan that purchases an interest therein if the investment

2 unchanged sentences

subject to the fiduciary responsibility provisions of ERISA and all “plans” as defined in and subject to Section 4975

of the Code) and all entities that hold “plan assets” (each, a “Plan Assets Entity”) due to investments

of the IRC) and all entities that hold “plan assets” (each, a “Plan Assets Entity”) due to investments

made in such entities by already described benefit plan investors.

10 unchanged sentences

from such calculation).

order to avoid causing assets of the Trust to be “plan assets,” the Sponsor intends to restrict the aggregate investment

by “benefit plan investors” to under 25% of the total value of the Units of the Trust (not including the investments

of the Trustee, the Sponsor, any

person who provides investment advice for a fee (direct or indirect) with respect to the assets of the Trust, any other person

who has discretionary authority or control over the assets of the Trust and any entity (other than a benefit plan investor) that

is directly or indirectly through one or more intermediaries controlling, controlled by or under common control with any of such

entities (including a partnership or other entity for which the Sponsor is the general partner, managing member, investment adviser

or provides investment advice) and each of the principals, officers and employees of any of the foregoing entities who has the

power to exercise a controlling influence over the management or policies of such entity or the Trust).

Furthermore, because the

25% test is ongoing, it not only restricts additional investments by benefit plan investors, but also can cause the Sponsor to

require that existing benefit plan investors redeem from the Trust in the event that other investors redeem their Units.

of subscriptions or such compulsory redemptions are necessary, as determined by the Sponsor, to avoid causing the assets of the

Trust to be “plan assets,” the Sponsor will effect such rejections or redemptions in such manner as the Sponsor, in

its sole discretion, determines.

there is no assurance that the Sponsor will succeed in avoiding the assets of the Trust being treated as “plan assets.”

If the assets of the Trust were to constitute “plan assets” for purposes of ERISA and/or Section 4975 of the Code,

the fiduciary responsibility rules of ERISA and the prohibited transaction rules of ERISA and Section 4975 of the Code, as applicable,

could potentially limit the investments and operations of the Trust, which could result in a lower return than might otherwise

In addition, if ERISA were to apply, the fiduciary who made the decision to invest a Plan Asset Entity’s assets

in the Trust could, under certain circumstances, be liable under ERISA as a co-fiduciary for actions taken by the Trustee or Sponsor

on behalf of the Trust.

In order to avoid causing

assets of the Trust to be “plan assets,” the Sponsor intends to restrict the aggregate investment by “benefit

plan investors” to under 25% of the total value of the Units of the Trust (not including the investments of the Trustee,

the Sponsor, any other person who provides investment advice for a fee (direct or indirect) with respect to the assets of the Trust,

any other person who has discretionary authority or control over the assets of the Trust, and any entity (other than a benefit

plan investor) that is directly or indirectly through one or more intermediaries controlling, controlled by or under common control

with any of such entities (including a partnership or other entity for which the Sponsor is the general partner, managing member,

investment adviser or provides investment advice), and each of the principals, officers, and employees of any of the foregoing

entities who has the power to exercise a controlling influence over the management or policies of such entity or the Trust).

because the 25% test is ongoing, it not only restricts additional investments by benefit plan investors, but also can cause the

Sponsor to require that existing benefit plan investors redeem from the Trust in the event that other investors redeem their Units.

If rejection of subscriptions or such compulsory redemptions are necessary, as determined by the Sponsor, to avoid causing the

assets of the Trust to be “plan assets,” the Sponsor will effect such rejections or redemptions in such manner as the

Sponsor, in its sole discretion, determines.

However, there is no

assurance that the Sponsor will succeed in avoiding the assets of the Trust being treated as “plan assets.” If the

assets of the Trust were to constitute “plan assets” for purposes of ERISA and/or Section 4975 of the IRC, the fiduciary

responsibility rules of ERISA and the prohibited transaction rules of ERISA and Section 4975 of the IRC, as applicable, could potentially

limit the investments and operations of the Trust, which could result in a lower return than might otherwise be the case.

if ERISA were to apply, the fiduciary who made the decision to invest an ERISA Plan’s or Plan Asset Entity’s assets

in the Trust could, under certain circumstances, be liable under ERISA as

a co-fiduciary for actions taken by the Trustee or Sponsor on behalf of the Trust.

Ineligible Purchasers

general, Units may not be purchased with the assets of a Plan if the Trustee, the Sponsor, any of their respective affiliates or

any of their respective employees either:

In general, Units may

not be purchased with the assets of a Plan if the Trustee, the Sponsor, any of their respective affiliates or any of their respective

employees either:

(i) has investment discretion with respect to the investment of such Plan assets;

has authority or responsibility to give or regularly gives investment advice with respect to such Plan assets, for a fee, and pursuant

to an agreement or understanding that such advice will serve as a primary basis for investment decisions with respect to such Plan

assets and that such advice will be based on the particular investment needs of the Plan;

or (iii) is an employer maintaining or

contributing to such Plan.

A party that is described in clause (i) or (ii) of the preceding sentence is a fiduciary under ERISA

and the Code with respect to the Plan, and any such purchase might result in a “prohibited transaction” under ERISA

and the Code, resulting in possible liabilities and penalties for the responsible Plan fiduciaries and the parties engaging in

the transaction with the Plan.

A prohibited transaction involving an individual retirement account (“IRA”) and the

individual who established the IRA, or his or her beneficiaries, could result in loss of the IRA’s tax-exempt status and

assessment of taxes and penalties.

Reporting Requirements

are required to determine the fair market value of their assets as of the close of each Plan’s fiscal year.

ERISA Plans and

IRAs are also required to file annual reports (Form 5500 series and Form 5498) with the U.S.

Department of Labor or the Internal

Revenue Service.

To facilitate fair market value determinations, and to enable fiduciaries of Plans to satisfy their annual reporting

requirements as they relate to an investment in the Trust, Unitholders will be furnished annually with audited financial statements

as described in this Annual Report.

There can be no assurance (i) that any value established on the basis of such statements could

or will actually be realized by investors upon the liquidation of Units, (ii) that investors could realize such value if they were

able to, and were to sell their Units, or (iii) that such value will in all circumstances satisfy the applicable ERISA or Code

(ii) has authority or

responsibility

to give or regularly gives investment advice with respect to such Plan assets, for a fee, and pursuant to an agreement or understanding

that such advice will serve as a primary basis for investment decisions with respect to such Plan assets and that such advice will

be based on the particular investment needs of the Plan;

or (iii) is an employer maintaining or contributing to such Plan.

that is described in clause (i) or (ii) of the preceding sentence is a fiduciary under ERISA and the IRC with respect to the Plan,

and any such purchase might result in a “prohibited transaction” under ERISA and the IRC, resulting in possible liabilities

and penalties for the responsible Plan fiduciaries and the parties engaging in the transaction with the Plan in the absence of

an available exemption.

A non-exempt prohibited transaction involving an individual retirement account (“IRA”) and

the individual who established the IRA, or his or her beneficiaries, could result in loss of the IRA’s tax-exempt status

and assessment of taxes and penalties.

Reporting Requirements

addition, the fiduciaries of an ERISA Plan investing in the Trust are notified that the information in this Annual Report in relation

to (i) the compensation or other amounts received by the Trustee, the Sponsor and other parties in connection with their services

rendered to the Trust or their position with the Trust;

(ii) the services provided by them to the Trust for such compensation or

in connection with such other amounts received, and the purpose therefor;

(iii) a description of the formula or other bases used

to calculate the compensation or other amounts received;

and (iv) the identity of the parties paying and receiving the compensation

or other amounts, is intended to satisfy the alternative reporting option with respect to payments to such parties that are reportable

on Schedule C of the Plan’s Form 5500.

Plans are required to

determine the fair market value of their assets as of the close of each Plan’s fiscal year.

ERISA Plans and IRAs are also

required to file annual reports (Form 5500 series and Form 5498) with the U.S.

Department of Labor or the IRS.

To facilitate fair

market value determinations, and to enable fiduciaries of Plans to satisfy their annual reporting requirements as they relate to

an investment in the Trust, Unitholders will be furnished annually with audited financial statements as described in this Annual

There can be no assurance (i) that any value established on the basis of such statements could or will actually be realized

by investors upon the liquidation of Units, (ii) that investors could realize such value if they were able to, and were to sell

their Units, or (iii) that such value will in all circumstances satisfy the applicable ERISA or IRC reporting requirements.

In addition, the fiduciaries

of an ERISA Plan investing in the Trust are notified that the information in this Annual Report in relation to (i) the compensation

or other amounts received by the Trustee, the Sponsor, and other parties in connection with their services rendered to the Trust

or their position with the Trust;

(ii) the services provided by them to the Trust for such compensation or in connection with such

other amounts received, and the purpose therefor;

(iii) a description of the formula or other bases used to calculate the compensation

or other amounts received;

and (iv) the identity of the parties paying and receiving the compensation or other amounts is intended

to satisfy the alternative reporting option with respect to payments to such parties that are reportable on Schedule C of the Plan’s

Non-ERISA Plans

plans, certain church plans (those that have not elected to become subject to ERISA), and non-U.S.

plans, while not subject to

the fiduciary responsibility provisions of ERISA or the prohibited transaction rules of Section 4975 of the Code, may nevertheless

be subject to state, local, or other federal laws, or foreign laws, that are substantially similar to some or all of the foregoing

provisions of ERISA and the Code.

Thus, while the above-described prohibited transaction provisions of ERISA and the Code may not

apply to such plans, those responsible for the investment of the assets of such plans should consider other potentially applicable

similar restrictions under other laws.

Such potential restrictions may include prohibitions against certain related-party transactions

under Section 503 of the Code, applicable state, local, federal, or non-U.S.

Governmental plans,

certain church plans (those that have not elected to become subject to ERISA), and non-U.S.

plans, while not subject to the fiduciary

responsibility provisions of ERISA or the prohibited transaction rules of Section 4975 of the IRC, may nevertheless be subject

to state, local, or other federal laws, or foreign laws, that are substantially similar to some or all of the foregoing provisions

of ERISA and the IRC.

Thus, while the above-described prohibited transaction provisions of ERISA and the IRC may not apply to such

plans, those responsible for the investment of the assets of such plans should consider other potentially applicable similar restrictions

under other laws.

Such potential restrictions may include prohibitions against certain related-party transactions under Section

503 of the IRC, applicable state, local, federal, or non-U.S.

laws, and the restrictions and duties of common law.

as otherwise set forth, the foregoing statements regarding the consequences under ERISA and the Code of an investment in the Trust

are based on the provisions of the Code and ERISA as currently in effect, and the existing administrative and judicial

interpretations

No assurance can be given that administrative, judicial or legislative changes will not occur that may make the foregoing

statements incorrect or incomplete.

Except as otherwise

set forth, the foregoing statements regarding the consequences under ERISA and the IRC of an investment in the Trust are based

on the provisions of the IRC and ERISA as currently in effect, and the existing administrative and judicial interpretations thereunder.

No assurance can be given that administrative, judicial or legislative changes will not occur that may make the foregoing statements

incorrect or incomplete.

Trust has no employees.

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-K

Item 1. Business