What changed in this filing

/stocks — the workspaceLOADING

Item 1. Business

2026-04-01 compared with 2023-03-21 · 1875 added, 1939 removed, 45 unchanged (99% of the section changed)

Trust Overview

Bitcoin Trust (the “Trust”) is a Delaware Statutory Trust that was formed on January 3, 2019 by the filing of the Certificate

of Trust with the Delaware Secretary of State in accordance with the provisions of the Delaware Statutory Trust Act (“DSTA”).

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 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).

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.

The Trust issues Units only in

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

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.

Trust uses the Bitcoin Market Price to calculate its “Bitcoin Holdings,” which is the aggregate value, expressed in

dollars, of the Trust’s assets (other than U.S.

dollars, other fiat currency and Additional Currency (as that term is

defined herein)), less the U.S.

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

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 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”)

and the Sponsor believes that the Trust is not required to register under the Investment Company Act.

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.

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

investment objective of the Trust, which is a passive investment vehicle, is for the Units to reflect the performance of Bitcoin

as measured by reference to Coin Metrics CMBI Bitcoin Index (the “Index”) provided by Coin Metrics Inc.

Provider”), less the Aggregate Trust Expenses (defined below) and other liabilities.

The Units have been quoted on OTC Markets

since February 12, 2021, and on OTCQX under the symbol “OBTC” since February 26, 2021, and to date have not met their

Bitcoin Trust (the “Trust”) is an exchange-traded fund that issues shares of beneficial interest (“Shares”) that

are listed on The Nasdaq Stock Market LLC (the “Listing Exchange”) and which began trading under the ticker symbol “OBTC”

on December 19, 2025.

The investment objective of the Trust is for the Shares to reflect the performance of Bitcoin as measured by reference

to the CME CF Bitcoin Reference Rate - New York Variant (the “Index”), less the Trust’s expenses and other liabilities.

Each Share represents a fractional undivided beneficial interest in the net assets of the Trust.

The assets of the Trust consist primarily

of Bitcoin held by the Bitcoin Custodian (as defined below) on behalf of the Trust.

Trust was formed as a Delaware statutory trust on January 3, 2019, pursuant to the Delaware Statutory Trust Act.

The Trust is governed

by the provisions of the Trust Agreement, dated as of November 1, 2020, as amended on April 15, 2022, January 18, 2024, December 18,

2025, and January 9, 2026.

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

CSC Delaware Trust Company (the

“Trustee”) is the trustee of the Trust;

Coinbase Custody Trust Company, LLC (the “Bitcoin Custodian”) is the

custodian for the Trust’s Bitcoin holdings;

Bank National Association (the “Cash Custodian” and, together

with the Bitcoin Custodian, the “Custodians”) is the custodian for the Trust’s cash holdings and U.S.

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

Bank Global Fund Services) (the “Trust Administrator” and the “Transfer Agent”) is

the administrator of, and the transfer agent for, the Trust.

Continental Stock Transfer & Trust Company serves as the sub-transfer

agent of the Trust.

to listing the Shares for trading on the Listing Exchange, the Trust issued Shares pursuant to Regulation D under the Securities Act.

The Shares were quoted on OTC Markets and OTC Markets Group, Inc.’s OTCQX® Best Marketplace (“OTCQX”) under the

ticker symbol “OBTC.” The Trust’s Shares were quoted on OTC Markets since February 12, 2021, and on OTCQX under the

symbol OBTC since February 26, 2021.

fiscal year of the Trust is the calendar year and the Trust has no fixed termination date.

The Sponsor may select an alternate fiscal

The Trust does not have any directors, officers or employees.

The Trust is managed by the Sponsor and pays the Sponsor a management

fee (the “Management Fee”).

Trust is not registered as an investment company under the 1940 Act and the Sponsor is not registered as an investment adviser under

the Investment Advisers Act of 1940.

The Trust does not hold or trade in commodity futures contracts regulated by the CEA, as administered

The Trust is not a commodity pool for purposes of the CEA and neither the Sponsor, nor the Trustee is subject to regulation

as a commodity pool operator or a commodity trading adviser in connection with the Shares.

number of outstanding Shares is expected to increase and decrease from time to time as a result of the creation and redemption of Baskets.

The Trust issues and redeems Shares only in Baskets, based on the quantity of Bitcoin attributable to each Share (net of any accrued

but unpaid Management Fees, expenses and liabilities).

Baskets may be redeemed by the Trust in exchange for the amount of Bitcoin corresponding

to their redemption value or the cash proceeds from selling the amount of Bitcoin corresponding to their redemption value.

information about the Trust or the Shares can be obtained from the website at https://www.rexshares.com/OBTC.

Our annual reports on Form

10-K, quarterly reports on Form 10-Q and current reports on Form 8-K (including any amendments thereto) filed with, or furnished to,

the Securities and Exchange Commission (the “SEC”), are made available, free of charge, at that website as soon as reasonably

practicable after such documents are so filed or furnished.

Additional information regarding the Trust may also be found on the SEC’s

EDGAR database at www.sec.gov.

contents of the websites referred to above and any websites referred to herein are not incorporated into this filing.

Further, any reference

to the URLs of a website is intended to be inactive textual references only.

Trust’s Investment Objective and Strategies

investment objective of the Trust, which is a passive investment vehicle, is for the Shares to reflect the performance of Bitcoin as

measured by reference to the Index, less the Trust’s expenses and other liabilities.

Historically, the Trust measured the performance

of Bitcoin by reference to the CMBI Bitcoin Index.

Upon effectiveness of the Trust’s registration statement on Form S-1, as amended

333-289334), effective as of December 18, 2025, the performance of Bitcoin was measured by reference to the Index.

trading on the Listing Exchange, the Shares were quoted on OTC Markets since February 12, 2021, and on OTCQX under the symbol “OBTC”

since February 26, 2021, and did not meet their investment objective.

Since trading on the Listing Exchange, the Shares have met their

investment objective.

an investment in the Units is not a direct investment in Bitcoin, the Units are intended to constitute a cost-effective and convenient

an investment in the Shares is not a direct investment in Bitcoin, the Shares are intended to constitute a cost-effective and convenient

means of gaining investment exposure to Bitcoin.

The logistics of accepting, transferring and safekeeping of Bitcoin are dealt

with by the Sponsor and the Custodian, and the related expenses are built into the price of the Units.

Therefore, Unitholders do

not have additional tasks or costs over and above those generally associated with investing in any other privately placed security.

However, an investment in the Units may operate and perform differently over time, or at any specific point in time, than an investment

directly in Bitcoin 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).

Units are restricted securities that may not be resold except in transactions exempt from registration under the Securities Act

and state securities laws and any such transaction must be approved by the Sponsor.

In determining whether to grant approval, the

Sponsor will specifically look at whether the conditions of Rule 144 under the Securities Act and any other applicable laws have

Any attempt to sell Units without the approval of the Sponsor in its sole discretion will be void ab initio.

Trust’s assets consist solely of Bitcoins, Additional Currency (as defined below), proceeds from the sale of Bitcoins and

Additional Currency pending use of such cash for payment of Extraordinary Expenses or distribution to the Unitholders and any rights

of the Trust pursuant to any agreements, other than the Trust Agreement, to which the Trust is a party.

Each Unit represents a

proportional interest, based on the total number of Units outstanding, in each of the Trust’s assets as determined in the

case of Bitcoin by reference to the Bitcoin Market Price, less the Trust’s expenses and other liabilities (which include

accrued but unpaid fees and expenses).

The Sponsor expects that the market price of the Units will fluctuate over time in response

to the market price of Bitcoins.

In addition, because the Units reflect the estimated accrued but unpaid expenses of the Trust,

the number of Bitcoins represented by a Unit will gradually decrease over time as the Trust’s Bitcoins are used to pay the

Trust’s expenses.

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.

Trust’s Bitcoins are carried, for financial statement purposes, at fair value, as required by the U.S.

generally accepted

accounting principles (“GAAP”).

The Trust values its Bitcoin Holdings at the Bitcoin Market Price as of 4:00 p.m.,

New York time on each Business Day.

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

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

advantageous market) for purposes of calculating the Trust’s NAV, the Trust follows Financial Accounting Standards Board

(“FASB”) Accounting Standards Codification (“ASC”) 820-10, which outlines the application of fair value

ASC 820-10 determines fair value to be the price that would be received for Bitcoin in a current sale, which assumes

an orderly transaction between market participants on the measurement date.

ASC 820-10 requires the Trust to assume that Bitcoin

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

and willing and able to transact.

cost basis of a Trust investment in Bitcoin recorded by the Trust for financial reporting purposes is the fair value of the Bitcoin

at the time of contribution to the Trust.

The Bitcoin cost basis recorded by the Trust may differ from the value of the proceeds

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

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 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.

As a result, it will not engage in any activities

designed to obtain a profit from, or to ameliorate losses caused by, changes in the market prices of Bitcoin.

Sponsor calculates the Trust’s NAV per Unit as of 4:00 p.m., New York time on each Business Day, and publishes the NAV per

Unit on the Trust’s website (www.ospreyfunds.io) shortly thereafter.

Additional Currency

time to time, the Trust may come into possession of rights incident to its ownership of Bitcoins, which permit the Trust to acquire,

or otherwise establish dominion and control over, other virtual currencies.

These rights are generally expected to arise in connection

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

any such virtual currency acquired through Incidental Rights as “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.

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

Trust will pay as an ordinary recurring charge the remuneration due to the Sponsor (the “Management Fee” or “Sponsor

The Management Fee equals an annualized 0.49% of the average daily NAV of the Trust for each year.

The Management

Fee will accrue daily in Bitcoin and will be payable, at the Sponsor’s sole discretion, in Bitcoin or in U.S.

the Bitcoin Market Price in effect at the time of such payment.

The Sponsor expects that the Trust will pay the Management Fee

in monthly installments in arrears.

If the Trust holds any Additional Currency, the Trust may pay the Management Fee, in whole

or in part, with such Additional Currency by entering into an agreement with the Sponsor and transferring such Additional Currency

to the Sponsor at a value to be determined in accordance with the terms of such agreement, but only if such agreement and transfer

do not conflict with the terms of the Trust Agreement.

Sponsor will bear the routine operational, administrative and other ordinary fees and expenses of the Trust (the “Assumed

provided, however, that the Trust shall be responsible for audit fees, index license fees, aggregate legal fees

in excess of $50,000 per annum and the fees of the Custodian (the “Excluded Expenses”) and certain extraordinary expenses

of the Trust, including but not limited to taxes and governmental charges, expenses and costs, expenses and indemnities related

to any extraordinary services performed by the Sponsor (or any other Service Provider, including the Trustee) on behalf of the

Trust to protect the Trust or the interest of Unitholders, indemnification expenses, fees and expenses related to public quotation

on OTCQX (the “Extraordinary Expenses”).

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.

Custody fees are calculated

based on the total assets held in the Trust as of the end of the day and according to the agreed upon fee schedule with the Custodian.

Management Fees are calculated daily net of the current day-accrued Custody fees.

All expenses are allocated pro rata based on

the number of Units issued and outstanding.

Secondary Market

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

the Aggregate Trust Expenses and other liabilities, the Units may trade in the secondary market on the OTCQX (or on another secondary

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

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 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.

King is not responsible

for the debts, obligations and liabilities of the Sponsor solely by reason of being the sole member of the Sponsor.

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

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

The Management Fee is paid by the Trust

to the Sponsor for services performed under the Trust Agreement and as partial consideration for Sponsor’s agreement to pay

the Assumed Expenses.

After payment of the Assumed Expenses for the Trust, the Sponsor may use the remaining portion of the Management

Fee received from the Trust at its discretion, which may include the payment of fees from time to time for the referral of new

investors in the Trust.

Sponsor is generally responsible for the day-to-day administration of the Trust under the provisions of the Trust Agreement.

includes (i) preparing and providing periodic reports and financial statements on behalf of the Trust for investors, (ii) processing

orders to create (and, should the Trust commence a redemption program, redeem) Units and coordinating the processing of such orders

with the Custodian and the Transfer Agent, (iii) calculating and publishing the NAV per Unit and the Bitcoin Holdings per Unit

of the Trust each Business Day as of 4:00 p.m., New York time, or as soon thereafter as practicable, (iv) selecting and monitoring

the Trust’s service providers and from time to time engaging additional, successor or replacement service providers (including

without limitation the Administrator, Custodian, Cash Custodian, Transfer Agent and Index Provider), (v) instructing the Custodian

to withdraw the Trust’s Bitcoin as needed to pay the Management Fee and the other Aggregate Trust Expenses, (vi) upon dissolution

of the Trust, distributing the Trust’s remaining Bitcoin or the cash proceeds of the sale thereof to the owners of record

of the Units and (vii) when applicable, establishing the principal market for GAAP valuation.

In addition, if there is a fork in

the Bitcoin Network after which there is a dispute as to which network resulting from the fork is the Bitcoin Network, the Sponsor

has the authority to select the network that it believes in good faith is the Bitcoin Network, unless such selection or authority

would otherwise conflict with the Trust Agreement.

Sponsor does not store, hold or maintain custody or control of the Trust’s Bitcoin but instead has entered into the Custodial

Services Agreement with the Custodian to facilitate the security of the Trust’s Bitcoin.

Sponsor may transfer all or substantially all of its assets to an entity that carries on the business of the Sponsor if at the

time of the transfer the successor assumes all of the obligations of the Sponsor under the Trust Agreement.

In such an event, the

Sponsor will be

relieved of all further liability under the Trust Agreement.

Provider Agreement

Index Provider and the Sponsor have entered into an index provider agreement (the “Index Provider Agreement”) governing

the Sponsor’s use of the Index.

The Index Provider may adjust the calculation methodology for the Index without notice to,

or consent of, the Trust or its Unitholders.

Under the Index Provider Agreement, the Sponsor pays a monthly fee and a fee based

on the Bitcoin Holdings of the Trust to the Index Provider in consideration of its license to the Sponsor of Index-related intellectual

The Trust reimburses the Sponsor the index license fees as part of the Excluded Expenses.

the Index Provider Agreement, the Index Provider generally disclaims all warranties, including non-infringement and fitness for

a particular purpose.

The Index is provided on an “as-is,” “as available,” and “with all faults”

The Index Provider, however, agreed to indemnify the Sponsor and the Trust against any claim, demand suit, investigation

or proceeding made or brought by a third party, alleging that the use of the service permitted under the Index Provider Agreement

infringes or misappropriates a third-party copyright, trade secret, trademark or United States patent.

The Index Provider will

pay all costs, including reasonable attorneys’ fees and any settlement amounts agreed to by the Index Provider or damages

award in connection with such third-party claim.

Trust will notify Unitholders of material changes to Index methodology or composition, upon being notified of such change by the

Index Provider, through a filing of a current report on Form 8-K with the SEC.

to the Trust Agreement, the Sponsor has general discretion to select a different index (or otherwise change the fund’s investment

the Index Provider Agreement, the Sponsor may use the Index, including without limitation, for use in internal fund administration

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

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

The Trust currently uses the Index

solely as the basis for determining the Trust’s investment objective.

It does not currently rely on the Index for determining

NAV or otherwise valuing Trust assets.

Sponsor is required to indemnify the Index Provider, including its officers, directors, employees, agents, contractors, representatives

and affiliates against any claims made or brought against the Index Provider arising from Sponsor’s breach, or alleged breach,

of the Index Provider Agreement.

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

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.

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

of Section 3807(a) of the DSTA that the Trust have at least one trustee with a principal place of business in the State of Delaware.

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 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.

The Trustee’s

liability in connection with the issuance and sale of Units is limited solely to the express obligations of the Trustee as set

forth in the Trust Agreement.

Trustee has not prepared or verified, and will not be responsible or liable for, any information, disclosure or other statement

in this Annual Report or in any other document issued or delivered in connection with the sale or transfer of the Units.

Agreement provides that the Trustee will not be responsible or liable for the genuineness, enforceability, collectability, value,

sufficiency, location or existence of any of the Bitcoins or other assets of the Trust.

Trustee is permitted to resign upon at least 60 days’ notice to the Trust.

The Trustee will be compensated by the Sponsor

and indemnified by the Sponsor and the Trust against any expenses it incurs relating to or arising out of the formation, operation

or termination of the Trust, or the performance of its duties pursuant to the Trust Agreement except to the extent that such expenses

result from gross negligence, willful misconduct or bad faith of the Trustee.

The Sponsor has the discretion to replace the Trustee.

paid to the Trustee are an Assumed Expense.

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

5 to Form 10 registration statement, which is incorporated

by reference herein.

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.

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

30th Floor, New York, New York 10004.

A copy of the Transfer Agency and Registrar Service Agreement is available for inspection

at the Sponsor’s principal office identified herein.

Transfer Agent holds the Units primarily in book-entry form.

The Sponsor directs the Transfer Agent to credit the number of Units

to the investor in response to a creation order.

The Transfer Agent will issue the Units.

The Transfer Agent will also assist with

the preparation of Unitholders’ account and tax statements.

Sponsor will indemnify and hold harmless the Transfer Agent, and the Transfer Agent will incur no liability for the refusal, in

good faith, to make transfers which it, in its judgment, deems improper or unauthorized.

paid to the Transfer Agent are an Assumed Expense.

The Custodian

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 logistics of accepting, transferring and safekeeping of Bitcoin are dealt with by

the Sponsor and the Bitcoin Custodian, and the related expenses are built into the price of the Shares.

Therefore, Shareholders do not

have additional tasks or costs over and above those generally associated with investing in any other publicly listed security.

an investment in the Shares may operate and perform differently over time, or at any specific point in time, than an investment directly

in Bitcoin due to such factors as Trust fees and expenses, the quantity of Shares available for trading, the relative liquidity of the

Shares and differences in the markets trading Bitcoin and Shares (e.g., hours of operation, marketplace rules, clearance and settlement

and market participants).

Index is an independently calculated value based on an aggregation of executed trade flow of major Bitcoin spot platforms.

The administrator

Fund Services serves as the Administrator.

The Administrator has offices at 141 W.

Jackson Blvd Suite 4120, Chicago, IL 60604.

Administrator is generally responsible for the day-to-day administration of the Trust, including keeping the Trust’s operational

The Administrator’s principal responsibilities include:

(i) valuing the Trust’s Bitcoin and calculating the

NAV per Unit;

(ii) supplying pricing information to the Sponsor for the Trust’s website;

(iii) receiving and reviewing reports

on the custody of and transactions in cash and Bitcoin from the Cash Custodian and Trust, respectively, and taking such other actions

in connection with the custody of cash as the Sponsor instructs;

and (iv) accounting and other fund administrative services.

Administrator also provides know your customer, anti-money laundering, and Office of Foreign Assets Control (“OFAC”)

compliance check services to the Trust and Sponsor.

Administrator will liaise with the Trust’s legal, accounting and other professional service providers as needed.

Administrator will keep proper books of registration and transfer of Units at its office located in New York or such office as

it may subsequently designate.

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.

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

Introduction to Bitcoin and the Bitcoin Network

is a digital asset and the first so-called cryptocurrency.

It uses peer-to-peer technology and cryptographic security features

to decentralize control of the overall Bitcoin computer network (the “Bitcoin Network”), and blockchain technology

to ensure the secure transfer and authenticity of each Bitcoin.

Bitcoin are stored in digital wallets and can be used to pay for

goods and services.

They can also be purchased, sold and traded on websites that facilitate the transfer of Bitcoin in exchange

for government-issued currencies or other cryptocurrencies, traded on cryptocurrency exchanges and transferred in individual end-user-to-end-user

transactions under a barter system.

Bitcoin benefits include security, decentralization, low transaction costs compared to many

other payment systems, the potential for universal use and the ability to divide a single Bitcoin by up to eight decimal places.

blockchain is a decentralized, distributed ledger that records the provenance of digital assets.

The ledger is public and accessible

to all, and portions and copies of it are stored in a decentralized manner on the several thousand computers comprising the Bitcoin

Transaction data is permanently recorded in data files called “blocks,” which reflect transactions that have

been recorded and authenticated by Bitcoin Network participants known as “miners.” Each newly recorded block of transactions

refers back to and “connects” with the immediately preceding recorded block in the ledger.

Each new block records outstanding

Bitcoin transactions, and outstanding transactions are settled and validated through such recording.

The Blockchain is designed

to represent a complete, transparent, secure and unbroken history of all the transactions that have occurred on the Bitcoin Network.

The Bitcoin Network software source code includes the protocols that govern the creation, or “mining,” of new Bitcoin

and the cryptographic system that secures and verifies Bitcoin transactions.

New Bitcoin are allocated by the Bitcoin Network protocol

through the mining process, subject to a well-known issuance schedule contained within the protocol.

Blockchain constitutes a record of every Bitcoin, every Bitcoin transaction (including the mining of new Bitcoin) and every Bitcoin

address associated with a quantity of Bitcoin.

The Bitcoin Network and Bitcoin Network software programs can interpret the Blockchain

to determine the exact Bitcoin balance, if any, of any public Bitcoin address listed in the Blockchain as having taken part in

a transaction on the Bitcoin Network.

Bitcoin Network miners engage in a set of prescribed, complex mathematical calculations in

order to add a block to the Blockchain and thereby confirm Bitcoin transactions included in that block’s data.

to confirming the authenticity of recent transactions and referencing the preceding block, each block also contains an answer to

a mathematical problem.

Miners generate potential answers to this mathematical problem at a rapid rate, effectively searching for

a correct answer via computational trial-and-error.

New blocks cannot be submitted to the network without a correct answer to the

mathematical problem.

The mathematical problem in each block is extremely difficult to solve, but once a valid solution is found,

it is very easy for the rest of the network to confirm that the solution is correct.

Once the mathematical problem has been solved,

the miner may then transmit a copy of the newly-formed block to peers on the Bitcoin Network, which then update their respective

copies of the Blockchain by appending the new block.

A new block that is added to the Blockchain serves to take recent, but as

yet unconfirmed, transactions and verify that none are fraudulent, and the miner that first solves such block receives a reward

of a fixed number of Bitcoin for the miner’s effort.

In addition to the block reward, end users pay fees as an incentive

for a miner to confirm their transactions in newly created blocks.

History of Bitcoin

Bitcoin Network was initially contemplated in a white paper that also described Bitcoin and the operating software to govern the

Bitcoin Network.

of the Index is CF Benchmarks Ltd.

(the “Index Administrator”).

The Index currently uses substantially the same methodology

as the CME CF Bitcoin Reference Rate (“BRR”), including utilizing the same eight Bitcoin platforms, which is the underlying

rate to determine settlement of CME Bitcoin futures contracts, except that the Index is calculated as of 4:00 p.m.

New York time, whereas

the BRR is calculated as of 4:00 p.m.

There can be no assurance that the Trust will achieve its investment objective.

Sponsor believes that the use of the Index is reflective of a reasonable valuation of the average spot price of Bitcoin and that resistance

to manipulation is a priority aim of its design methodology.

The methodology:

(i) takes an observation period and divides it into equal

partitions of time;

(ii) then calculates the volume-weighted median of all transactions within each partition;

and (iii) the value is

determined from the equally weighted average of the volume-weighted medians.

By employing the foregoing steps, the Index thereby seeks

to ensure that transactions in Bitcoin conducted at outlying prices do not have an undue effect on the value of a specific partition,

large trades or clusters of trades transacted over a short period of time will not have an undue influence on the index level, and the

effect of large trades at prices that deviate from the prevailing price are mitigated from having an undue influence on the benchmark

In addition, the Sponsor notes that an oversight function is implemented by the Index Administrator in seeking to ensure that

the Index is administered through codified policies for Index integrity.

Bitcoin Market, Bitcoin Platforms and Regulation of Bitcoin

is a digital asset that is created and transmitted through the operations of the peer-to-peer Bitcoin network, a decentralized network

of computers that operates on cryptographic protocols.

No single entity owns or operates the Bitcoin network, the infrastructure of which

is collectively maintained by its user base.

The Bitcoin network allows people to exchange tokens of value, called Bitcoin, which are

recorded on a public transaction ledger (the “Bitcoin blockchain”).

Bitcoin can be used to pay for goods and services, or it can

be converted to fiat currencies, such as the U.S.

dollar, at rates determined on Bitcoin platforms that enable trading in Bitcoin or

in individual end-user-to-end-user transactions under a barter system.

Bitcoin network is commonly understood to be decentralized and does not require governmental authorities or financial institution intermediaries

to create, transmit or determine the value of Bitcoin.

Rather, Bitcoin is created and allocated by the Bitcoin network protocol through

a “mining” process.

The value of Bitcoin is determined by the supply of and demand for Bitcoin-on-Bitcoin platforms or in

private end-user-to-end-user transactions.

Bitcoin are created and rewarded to the miners of a block in the Bitcoin blockchain for verifying transactions.

The Bitcoin blockchain

is a shared database that includes all blocks that have been solved by miners and it is updated to include new blocks as they are solved.

Each Bitcoin transaction is broadcast to the Bitcoin network and, when included in a block, recorded in the Bitcoin blockchain.

new block records outstanding Bitcoin transactions, and outstanding transactions are settled and validated through such recording, the

Bitcoin blockchain represents a complete, transparent and unbroken history of all transactions of the Bitcoin network.

Bitcoin network was initially contemplated in a white paper that also described Bitcoin and the operating software to govern the Bitcoin

The white paper was purportedly authored by Satoshi Nakamoto.

however, no individual with that name has been reliably

identified as Bitcoin’s creator, and the general consensus is that the name is a pseudonym for the actual inventor or inventors.

The first Bitcoin was created in 2009 after Nakamoto released the Bitcoin Network source code (the software and protocol that created

and launched the Bitcoin Network).

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),

a person generally must have internet access to connect to the Bitcoin Network.

Bitcoin transactions may be made directly between

end-users without the need for a third-party intermediary.

To prevent the possibility of double-spending Bitcoin, a user must notify

the Bitcoin Network of the transaction by broadcasting the transaction data to its network peers.

The Bitcoin Network provides

confirmation against double-spending by memorializing every transaction in the Blockchain, which is publicly accessible and transparent.

This memorialization and verification against double-spending is accomplished through the Bitcoin Network mining process, which

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

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 “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.

Therefore, if a user loses his private key, the user may permanently lose access to the Bitcoin

contained in the associated address.

Likewise, Bitcoins are irretrievably lost if the private key associated with them is deleted

and no backup has been made.

When sending Bitcoin, a user’s Bitcoin Network software program must validate the transaction

with the associated private key.

The resulting digitally validated transaction is sent by the user’s Bitcoin Network software

program to the Bitcoin Network to allow transaction confirmation.

Bitcoin transactions are conducted “off-blockchain” and are therefore not recorded in the Blockchain.

However, no individual with that name has been reliably identified

as Bitcoin’s creator, and the general consensus is that the name is a pseudonym for the actual inventor or inventors.

Bitcoin was created in 2009 after Nakamoto released the Bitcoin network source code (the software and protocol that created and launched

the Bitcoin network).

The Bitcoin network has been under active development since that time by a loose group of software developers who

have come to be known as core developers.

of Bitcoin Network Operations

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

person generally must have internet access to connect to the Bitcoin network.

Bitcoin transactions may be made directly between end-users

without the need for a third-party intermediary.

To prevent the possibility of double-spending Bitcoin, a user must notify the Bitcoin

network of the transaction by broadcasting the transaction data to its network peers.

The Bitcoin network provides confirmation against

double-spending by memorializing every transaction in the Bitcoin blockchain, which is publicly accessible and transparent.

This memorialization

and verification against double-spending is accomplished through the Bitcoin network mining process, which adds “blocks”

of data, including recent transaction information, to the Bitcoin blockchain.

of Bitcoin Transfers

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.

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

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 private key.

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

that address to other users.

Therefore, if a user loses his private key, the user may permanently lose access to the Bitcoin contained

in the associated address.

Likewise, Bitcoin is irretrievably lost if the private key associated with them is deleted and no backup has

When sending Bitcoin, a user’s Bitcoin network software program must validate the transaction with the associated private

The resulting digitally validated transaction is sent by the user’s Bitcoin network software program to the Bitcoin network

to allow transaction confirmation.

Bitcoin transactions are conducted “off-blockchain” and are therefore not recorded in the Bitcoin blockchain.

Some “off-blockchain

transactions” involve the transfer of control over, or ownership of, a specific digital wallet holding Bitcoin or the reallocation

of ownership of certain Bitcoin in a pooled-ownership digital wallet, such as a digital wallet owned by a Bitcoin exchange.

contrast to on-blockchain transactions, which are publicly recorded on the Blockchain, information and data regarding off-blockchain

transactions are generally not publicly available.

Therefore, off-blockchain transactions are not truly Bitcoin transactions in

that they do not involve the transfer of transaction data on the Bitcoin Network and do not reflect a movement of Bitcoin between

addresses recorded in the Blockchain.

For these reasons, off-blockchain transactions are subject to risks as any such transfer

of Bitcoin ownership is not protected by the protocol behind the Bitcoin Network or recorded in, and validated through, the blockchain

Summary of a Bitcoin Transaction

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

that public key.

of ownership of certain Bitcoin in a digital wallet containing assets owned by multiple persons, such as a digital wallet maintained

by a digital assets platform.

In contrast to on-blockchain transactions, which are publicly recorded on the Bitcoin blockchain, information

and data regarding off-blockchain transactions are generally not publicly available.

Therefore, off-blockchain transactions are not truly

Bitcoin transactions in that they do not involve the transfer of transaction data on the Bitcoin network and do not reflect a movement

of Bitcoin between addresses recorded in the Bitcoin blockchain.

For these reasons, off-blockchain transactions are subject to risks

as any such transfer of Bitcoin ownership is not protected by the protocol behind the Bitcoin network or recorded in, and validated through,

the blockchain mechanism.

of a Bitcoin Transaction

a Bitcoin transaction directly on the Bitcoin network between two parties (as opposed to through an intermediary, such as a platform

or 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

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

to that public key.

After the provision of a recipient’s Bitcoin network public key, the spending party must enter the address

1 unchanged sentence

The number of Bitcoin to be sent will typically

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

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

the value of the transfer and is paid by the payor with a fractional number of Bitcoin.

the entry of the Bitcoin Network address, the number of Bitcoin to be sent and the transaction fees, if any, to be paid, will be

transmitted by the spending party.

The transmission of the spending transaction results in the creation of a data packet by the

spending party’s Bitcoin Network software program, which is transmitted onto the decentralized Bitcoin Network, resulting

in the distribution of the information among the software programs of users across the Bitcoin Network for eventual inclusion in

the Blockchain.

discussed in greater detail below in “—Creation of New Bitcoin,” Bitcoin Network miners record transactions when

they solve for and add blocks of information to the Blockchain.

When a miner solves for a block, it creates that block, which includes

data relating to (i) the solution to the block, (ii) a reference to the prior block in the Blockchain to which the new block is

being added and (iii) transactions that have occurred but have not yet been added to the Blockchain.

The miner becomes aware of

outstanding, unrecorded transactions through the data packet transmission and distribution discussed above.

the addition of a block included in the Blockchain, the Bitcoin Network software program of both the spending party and the receiving

party will show confirmation of the transaction on the Blockchain and reflect an adjustment to the Bitcoin balance in each party’s

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 to

Since every 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 the value

of the transfer, and is paid by the payor with a fractional number of Bitcoin.

the entry of the Bitcoin network address, the number of Bitcoin to be sent and the transaction fees, if any, to be paid, will be transmitted

by the spending party.

The transmission of the spending transaction results in the creation of a data packet by the spending party’s

Bitcoin network software program, which is transmitted onto the decentralized Bitcoin network, resulting in the distribution of the information

among the software programs of users across the Bitcoin network for eventual inclusion in the Bitcoin blockchain.

discussed in greater detail below in “Creation of New Bitcoin,” Bitcoin network miners record transactions when they solve

for and add blocks of information to the Bitcoin blockchain.

When a miner solves for a block, it creates that block, which includes data

relating to (i) the solution to the block;

(ii) a reference to the prior block in the Bitcoin blockchain to which the new block is being

and (iii) transactions that have occurred but have not yet been added to the Bitcoin blockchain.

The miner becomes aware of outstanding,

unrecorded transactions through the data packet transmission and distribution discussed above.

the addition of a block included in the Bitcoin blockchain, the Bitcoin network software program of both the spending party and the receiving

party will show confirmation of the transaction on the Bitcoin blockchain and reflect an adjustment to the Bitcoin balance in each party’s

Bitcoin network public key, completing the Bitcoin transaction.

Once a transaction is confirmed on the Blockchain, it is irreversible.

Creation of New Bitcoin

Bitcoins are created through the mining process as discussed below.

Once a transaction is confirmed on the Bitcoin blockchain, it is irreversible.

addition to using Bitcoin to engage in transactions, investors may purchase and sell Bitcoin to speculate as to the value of Bitcoin

in the Bitcoin market, or as a long-term investment to diversify their portfolio.

The value of Bitcoin within the market is determined,

in part, by the supply of and demand for Bitcoin in the global Bitcoin market, market expectations for the adoption of Bitcoin as a store

of value, the number of merchants that accept Bitcoin as a form of payment, and the volume of peer-to-peer transactions, among other

spot Bitcoin markets typically permit investors to open accounts with the trading platform and then purchase and sell Bitcoin via websites

or through mobile applications.

Prices for trades on centralized spot Bitcoin markets are typically reported publicly.

An investor opening

a trading account must deposit an accepted government-issued currency into their account with the spot market, or a previously acquired

digital asset, before they can purchase or sell assets on the spot market.

The process of establishing an account with a centralized

Bitcoin market and trading Bitcoin is different from, and should not be confused with, the process of users sending Bitcoin from one

Bitcoin address to another Bitcoin address on the Blockchain or decentralized on-chain trading platforms.

This latter process is an activity

that occurs on the Bitcoin network, while the former is an activity that occurs entirely within the order book operated by the centralized

The centralized spot market typically records the investor’s ownership of Bitcoin in its internal books and records,

rather than on the Blockchain.

The centralized spot market ordinarily does not transfer Bitcoin to the investor on the Blockchain unless

the investor makes a request to the digital asset trading platform to withdraw the Bitcoin in their account to an off-exchange Bitcoin

addition, Bitcoin futures and options trading occurs on exchanges in the U.S.

regulated by the CFTC.

The market for CFTC regulated trading

of Bitcoin derivatives has developed substantially.

Through the common membership of the Listing Exchange and the CME Bitcoin Futures

market in the Intermarket Surveillance Group (“ISG”), the Listing Exchange may obtain information regarding trading in the

Shares and listed Bitcoin derivatives from the CME Bitcoin Futures market via the ISG and from other exchanges who are members or affiliates

Such an arrangement with the ISG and the CME Bitcoin Futures market allows for the surveillance of Bitcoin futures market

conditions and price movements on a real-time and ongoing basis in order to detect and prevent price distortions, including price distortions

caused by manipulative efforts.

The sharing of surveillance information between the Listing Exchange and the CME Bitcoin Futures market

regarding market trading activity, clearing activity and customer identity assists in detecting, investigating and deterring fraudulent

and manipulative misconduct, as well as violations of the Listing Exchange’s rules and the applicable federal securities laws and

The Listing Exchange has also implemented surveillance procedures to monitor the trading of the Shares on the Listing Exchange

during all trading sessions and to deter and detect violations of The Listing Exchange rules and the applicable federal securities laws.

of New Bitcoin

Bitcoin are created through the mining process as discussed below.

Bitcoin network is kept running by computers all over the world.

In order to incentivize those who incur the computational costs

of securing the network by validating transactions, there is a reward that is given to the computer that was able to create the

latest block on the chain.

Every 10 minutes, on average, a new block is added to the Blockchain with the latest transactions processed

by the network, and the computer that generated this block is currently awarded 6.25 Bitcoin.

Due to the nature of the algorithm

for block generation, this process (generating a “proof-of-work”) is guaranteed to be random.

Over time, rewards are

expected to be proportionate to the computational power of each machine.

process by which Bitcoin is “mined” results in new blocks being added to the Blockchain and new Bitcoin tokens being

In order to incentivize those who incur the computational costs of securing

the network by validating transactions, there is a reward that is given to the computer that was able to create the latest block on the

Every ten minutes, on average, a new block is added to the Bitcoin blockchain with the latest transactions processed by the network,

and the computer that generated this block is currently awarded 3.125 Bitcoin.

Due to the nature of the algorithm for block generation,

this process (generating a “proof-of-work”) is random.

Over time, rewards are expected to be proportionate to the computational

power of each machine.

process by which Bitcoin is “mined” results in new blocks being added to the Bitcoin blockchain and new Bitcoin tokens being

issued to the miners.

Computers on the Bitcoin Network engage in a set of prescribed complex mathematical calculations in order

to add a block to the Blockchain and thereby confirm Bitcoin transactions included in that block’s data.

Computers on the Bitcoin network engage in a set of prescribed complex mathematical calculations in order to add

a block to the Bitcoin blockchain and thereby confirm Bitcoin transactions included in that block’s data.

begin mining, a user can download and run Bitcoin network mining software, which turns the user’s computer into a “node”

on the Bitcoin network that validates blocks.

Each block contains the details of some or all of the most recent transactions that

are not memorialized in prior blocks, as well as a record of the award of Bitcoin to the miner who added the new block.

block can be solved and added to the Blockchain by only one miner.

Each block contains the details of some or all of the most recent transactions that are

not memorialized in prior blocks, as well as a record of the award of Bitcoin to the miner who added the new block.

Each unique block

can be solved and added to the Bitcoin blockchain by only one miner.

Therefore, all individual miners and mining pools on the Bitcoin

Network are engaged in a competitive process of constantly increasing their computing power to improve their likelihood of solving

for new blocks.

As more miners join the Bitcoin Network and its processing power increases, the Bitcoin Network adjusts the complexity

of the block-solving equation to maintain a predetermined pace of adding a new block to the Blockchain approximately every ten

A miner’s proposed block is added to the Blockchain once a majority of the nodes on the Bitcoin Network confirms

the miner’s work.

Miners that are successful in adding a block to the Blockchain are automatically awarded Bitcoin for their

effort and may also receive transaction fees paid by transferors whose transactions are recorded in the block.

This reward system

is the method by which new Bitcoin enter into circulation to the public.

Bitcoin Network is designed in such a way that the reward for adding new blocks to the Blockchain decreases over time.

Bitcoin tokens are no longer awarded for adding a new block, miners will only have transaction fees to incentivize them, and as

a result, it is expected that miners will need to be better compensated with higher transaction fees to ensure that there is adequate

incentive for them to continue mining.

Limits on Bitcoin Supply

supply of new Bitcoin is mathematically controlled so that the number of Bitcoin grows at a limited rate pursuant to a pre-set

The number of Bitcoin awarded for solving a new block is automatically halved after every 210,000 blocks are added to

the blockchain.

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 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.

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 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

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.

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

which had substantial support from large numbers of Bitcoin users, was cancelled by its proponents shortly before it was due to

be implemented.

Multiple proposals for increasing the capacity of the Bitcoin Network still exist, and it is possible that one

or more of these proposals could result in further network forks, which may become increasingly frequent.

Bitcoin Value

Bitcoin Exchange Valuation

value of Bitcoin, as with most assets, is influenced by several factors, including the supply of and demand for Bitcoin, costs

associated with mining Bitcoin, rewards issued to miners for verifying transactions, the number of competing cryptocurrencies,

how Bitcoin trades, regulations governing its sale and trade and the protocol itself.

Due to the dynamic nature of these factors

as well as others, the value of a Bitcoin is difficult to determine, and the price of a Bitcoin can fluctuate significantly and

over short periods of time.

In all events, benefits of transacting in Bitcoin typically include low transaction costs, near-zero

transportation costs and low-to-zero storage costs.

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 the Euro.

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

there are several Bitcoin exchanges operating worldwide and online Bitcoin exchanges represent a substantial percentage of Bitcoin

buying and selling activity and provide the most data with respect to prevailing valuations of Bitcoins.

These exchanges include

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 Bitcoin) and market share of the BTC-U.S.

dollar trading pair of each of the Bitcoin

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 January 8, 2023

BitStamp USA, Inc.

Bittrex, Inc.

Coinbase Global, Inc.

Gemini Trust Company, LLC

Total BTC-U.S.

dollar trading pair

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

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.

(“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.

(“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 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 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,

a large percentage of the global Bitcoin trading volume occurred on self-reported, unregulated Bitcoin exchanges located in China.

Throughout 2017, however, the Chinese government took several steps to tighten controls on Bitcoin exchanges, culminating in a

ban on domestic cryptocurrency exchanges in November 2017, which forced such exchanges to cease their operations or relocate.

a result, reported Bitcoin trading volume on Chinese exchanges is now substantially lower, representing a de minimis share of the

global trade volume.

time to time, there may be intra-day price fluctuations across Bitcoin exchanges.

However, they are generally relatively immaterial.

For example, the variance of prices on Bitcoin exchanges with the highest transaction volumes on average is less than 2%.

variances usually stem from small changes in the fee structures on different Bitcoin exchanges or differences in administrative

procedures required to deposit and withdraw fiat currency in exchange for Bitcoins and vice versa.

The greatest variances are found

at (i) smaller exchanges with relatively low transaction volumes where even small trades can be large relative to an exchange’s

transaction volume and as a result impact the trading price on those exchanges and (ii) exchanges that are inaccessible to the

Trust because they do not meet the Trust’s regulatory requirements, and as a result are accessed and used by a captured market

or by parties that do not have regulatory or compliance requirements.

Historically, the Trust has not needed to make any changes

in the determination of its principal market due to variances in pricing, although it 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 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 (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 ,

which in turn evaluates markets traded on digital asset exchanges as potential input data sources using CMBI’s Market Selection

The framework consists of a fully systematized process for evaluating markets.

In this framework, a market refers to

a specific traded asset pair on a specific exchange.

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.

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

network are engaged in a competitive process of constantly increasing their computing power to improve their likelihood of solving for

As more miners join the Bitcoin network and its processing power increases, the Bitcoin network adjusts the complexity of

the block-solving equation to maintain a predetermined pace of adding a new block to the Bitcoin blockchain approximately every ten minutes.

A miner’s proposed block is added to the Bitcoin blockchain once a majority of the nodes on the Bitcoin network confirm the miner’s

Miners that are successful in adding a block to the Bitcoin blockchain are automatically awarded Bitcoin for their effort and may

also receive transaction fees paid by transferors whose transactions are recorded in the block.

This reward system is the method by which

new Bitcoin enter into circulation to the public.

Bitcoin network is designed in such a way that the reward for adding new blocks to the Bitcoin blockchain decreases over time.

Bitcoin tokens are no longer awarded for adding a new block, miners will only have transaction fees to incentivize them, and as a result,

it is expected that miners will need to be better compensated with higher transaction fees to ensure that there is adequate incentive

for them to continue mining.

on Bitcoin Supply

the source code that governs the Bitcoin network, the supply of new Bitcoin is mathematically controlled so that the number of Bitcoin

grows at a limited rate pursuant to a pre-set schedule.

The number of Bitcoin awarded for solving a new block is automatically halved

after every 210,000 blocks are added to the Bitcoin blockchain, approximately every four years.

Currently, the fixed reward for solving

a new block is 3.125 Bitcoin per block and this is expected to decrease by half to become 1.5625 Bitcoin in approximately mid-2028.

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 twenty-one million Bitcoin.

However, the twenty-one million supply cap

could be changed in a hard fork.

In the past, there have been several forks in the Bitcoin network, including, but not limited to, forks

resulting in the creation of Bitcoin Cash (August 1, 2017), Bitcoin Gold (October 24, 2017) and Bitcoin SegWit2X (December 28, 2017),

among others.

For further information, see “Risk Factors —Risk Factors Related to Digital Assets—A hard fork could

change the source code to the Bitcoin network, including the twenty-one million Bitcoin supply cap.” As of December 31, 2025, approximately

19.970 million Bitcoin were outstanding and the date when the twenty-one million Bitcoin limitation will be reached is estimated to be

the year 2140.

Modifications

to the Bitcoin Protocol

is an open-source project with no official developer or group of developers that controls the Bitcoin network.

However, the Bitcoin network’s

development is overseen by a core group of developers.

The core developers are able to access, and can alter, the Bitcoin network source

code and, as a result, they are responsible for quasi-official releases of updates and other changes to the Bitcoin network’s source

The release of updates to the Bitcoin network’s source code does not guarantee that the updates will be automatically adopted.

Users and miners must accept any changes made to the Bitcoin source code by downloading the proposed modification of the Bitcoin network’s

A modification of the Bitcoin network’s source code is effective only with respect to the Bitcoin users and miners

that download it.

If a modification is accepted by only a percentage of users and miners, a division in the Bitcoin network will occur

such that one network will run the pre-modification source code and the other network will run the modified source code.

Such a division

is known as a “fork.” See “Risk Factors—Risk Factors Related to Digital Assets—A temporary or permanent

“fork” could adversely affect the value of the Shares.” In addition, Shareholders will not receive the benefits of

any Incidental Rights or any IR Virtual Currency, including any forked or airdropped assets.

Consequently, as a practical matter, a modification

to the source code becomes part of the Bitcoin network only if accepted by participants collectively having most of the processing power

on the Bitcoin network.

There have been several forks in the Bitcoin network, including, but not limited to, forks resulting in the creation

of Bitcoin Cash (August 1, 2017), Bitcoin Gold (October 24, 2017) and Bitcoin SegWit2X (December 28, 2017), among others.

development of the Bitcoin network source code has increasingly focused on modifications of the Bitcoin network protocol to increase

speed and scalability and also allow for non-financial, next generation uses.

For example, following the activation of Segregated Witness

on the Bitcoin network, an alpha version of the Lightning Network was released.

The Lightning Network is an open-source decentralized

network that enables instant off-Bitcoin blockchain transfers of the ownership of Bitcoin without the need of a trusted third-party.

The system utilizes bidirectional payment channels that consist of multi-signature addresses.

One on-blockchain transaction is needed

to open a channel and another on-blockchain transaction can close the channel.

Once a channel is open, value can be transferred instantly

between counterparties, who are engaging in real Bitcoin transactions without broadcasting them to the Bitcoin network.

New transactions

will replace previous transactions and the counterparties will store everything locally as long as the channel stays open to increase

transaction throughput and reduce computational burden on the Bitcoin network.

Other efforts include increased use of smart contracts

and distributed registers built into, built atop or pegged alongside the Bitcoin blockchain.

The Trust’s activities will not directly

relate to such projects, though such projects may utilize Bitcoin as tokens for the facilitation of their non-financial uses, thereby

potentially increasing demand for Bitcoin and the utility of the Bitcoin network as a whole.

Conversely, projects that operate and are

built within the Bitcoin blockchain may increase the data flow on the Bitcoin network and could either “bloat” the size of

the Bitcoin blockchain or slow confirmation times.

At this time, such projects remain in early stages and have not been materially integrated

into the Bitcoin blockchain or the Bitcoin network.

of Attack Against the Bitcoin Network

networked systems are vulnerable to various kinds of attacks.

As with any computer network, the Bitcoin Network contains certain

For example, the Bitcoin Network is currently vulnerable to a “51% attack” where, if a mining pool were to gain

control of more than 50% of the hash rate for a digital asset, a malicious actor would be able to gain full control of the network

and the ability to manipulate the Blockchain.

addition, many digital asset networks have been subjected to a number of denial-of-service attacks, which has led to temporary

delays in block creation and in the transfer of Bitcoin.

Any similar attacks on the Bitcoin Network that impact the ability to

transfer Bitcoin could have a material adverse effect on the price of Bitcoin and the value of the Units.

Market Participants

range from Bitcoin enthusiasts to professional mining operations that design and build dedicated machines and data centers, including

mining pools, which are groups of miners that act cohesively and combine their processing to solve blocks.

When a pool solves a

new block, the pool operator receives the Bitcoin and, after taking a nominal fee, splits the resulting reward among the pool participants

based on the processing power each of them contributed to solve for such block.

Mining pools provide participants with access to

smaller, but steadier and more frequent, Bitcoin payouts.

See “—Creation of New Bitcoin” above.

Investment and Speculative

As with any computer network, the Bitcoin network contains certain flaws.

For example, the Bitcoin network is currently vulnerable to a “51% attack” where, if a mining pool were to gain control of

more than 50% of the hash rate for a digital asset, a malicious actor would be able to prevent new transactions from confirmation, and

reverse new transactions that are completed while they are in control of the network, effectively enabling them to double-spend their

addition, many digital asset networks have been subjected to a number of denial of service attacks, which has led to temporary delays

in block creation and in the transfer of Bitcoin.

Any similar attacks on the Bitcoin network that impact the ability to transfer Bitcoin

could have a material adverse effect on the price of Bitcoin and the value of the Shares.

are primarily professional mining operations that design and build dedicated machines and data centers, including mining pools, which

are groups of miners that act cohesively and combine their processing to solve blocks.

When a pool solves a new block, the pool operator

receives the Bitcoin and, after taking a nominal fee, splits the resulting reward among the pool participants based on the processing

power each of them contributed to solve for such block.

Mining pools provide participants with access to smaller, but steadier and more

frequent, Bitcoin payouts.

and Speculative Sector

sector includes the investment and trading activities of both private and professional investors and speculators.

Historically,

larger financial services institutions are publicly reported to have limited involvement in investment and trading in digital assets,

although the participation landscape is beginning to change.

Retail Sector

retail sector includes users transacting in direct peer-to-peer Bitcoin transactions through the direct sending of Bitcoin over

the Bitcoin Network.

The retail sector also includes transactions in which consumers pay for goods or services from commercial

or service businesses through direct transactions or third-party service providers.

Service Sector

Historically, larger

financial services institutions are publicly reported to have limited involvement in investment and trading in digital assets, although

the participation landscape is beginning to change.

retail sector includes users transacting in direct peer-to-peer Bitcoin transactions through the direct sending of Bitcoin over the Bitcoin

network, as well as users accessing Bitcoin through digital asset platforms.

The retail sector also includes transactions in which consumers

pay for goods or services from commercial or service businesses through direct transactions or third-party service providers.

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

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

Bitstamp, Coinbase, Kraken and LMAX Digital are some of the larger Bitcoin trading platforms by volume traded.

Coinbase Custody Trust

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

If the Bitcoin network grows in adoption, it is anticipated that service providers may 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.

Other digital assets have been developed since the inception of the Bitcoin,

including, but not limited to, Ethereum, Litecoin, Monero and Zcash.

Although a competitive digital asset could displace the market

share Bitcoin currently occupies, it would face significant headwinds due to the network effect and financial and intellectual

investments currently enjoyed by the market leader.

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

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

businesses or enacted restrictive regimes in response to adverse publicity arising from cybersecurity risks, potential consumer

harm or digital assets used in connection with criminal activity.

The value of Bitcoin could be impacted by such adverse publicity.

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

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.

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

than 10,000 other digital assets have been developed since the inception of Bitcoin, currently the most developed digital asset because

of the length of time it has been in existence, the investment in the infrastructure that supports it, and the network of individuals

and entities that are using Bitcoin in transactions.

Some industry groups are also creating private, permissioned blockchain versions

of digital assets.

See “Risk Factors—Risk Factors Related to the Digital Asset Markets—Competition from the emergence or growth

of other digital assets or methods of investing in Bitcoin could have a negative impact on the price of Bitcoin and adversely affect

the value of the Shares.”

Oversight, Though Increasing, Remains Limited

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

Congress and a number of U.S.

federal and state agencies

(including FinCEN, SEC, CFTC, the Financial Industry Regulatory Authority (“FINRA”), the Consumer Financial Protection

Bureau (“CFPB”), the Department of Justice, the Department of Homeland Security, the Federal Bureau of Investigation,

the IRS and state financial institution regulators) have been examining the operations of digital asset networks, digital asset

users and the digital asset spot markets, with particular focus on the extent to which digital assets can be used to launder the

proceeds of illegal activities or fund criminal or terrorist enterprises and the safety and soundness of spot markets or other

service-providers that hold digital assets for users.

Many of these state and federal agencies have issued consumer advisories

regarding the risks posed by digital assets to investors.

In addition, federal and state agencies, and other countries have issued

rules or guidance about the treatment of digital asset transactions or requirements for businesses engaged in digital asset activity.

As noted previously, the SEC has not asserted regulatory authority over Bitcoin or trading or ownership of Bitcoin and has not

expressed the view that Bitcoin should be classified or treated as a security for purposes of U.S.

federal securities laws.

the SEC has asserted that certain investment activities involving Bitcoin, including offering investments related to the mining

of Bitcoin or offering participation in pools lending Bitcoin may implicate the investment contract definition of security and

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.

In addition, because the

CFTC has determined that Bitcoin is a “commodity” under the CEA and the rules thereunder, it has jurisdiction to prosecute

fraud and manipulation in the cash, or spot, market for Bitcoin.

The CFTC has pursued enforcement actions relating to fraud and

manipulation involving Bitcoin and Bitcoin markets.

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

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

retail market participants.

December 1, 2017, two designated contract markets (“DCMs”) registered with the CFTC self-certified new contracts for

Bitcoin futures products.

DCMs are boards of trades (or futures exchanges) that operate under the regulatory oversight of the CFTC,

pursuant to Section 5 of the CEA.

To obtain and maintain designation as a DCM, an exchange must comply on an initial and ongoing

basis, with twenty-three Core Principles established in Section 5(d) of the CEA.

Among other things, DCMs are required to establish

self-regulatory programs designed to enforce the DCM’s rules, prevent market manipulation and customer and market abuses

and ensure the recording and safe storage of trade information.

The CFTC engaged in a “heightened review” of the self-certification

of Bitcoin futures, which required DCMs to enter direct information sharing agreements with spot market platforms to (i) allow

access to trade and trader data, (ii) monitor data from cash markets with respect to price settlements and other Bitcoin prices

more broadly and identify anomalies and disproportionate moves in the cash markets compared to the futures markets, (iii) engage

in inquiries, including at the trade settlement level when necessary and (iv) agree to regular coordination with CFTC surveillance

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

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

adverse to the Trust and the value of the Units.

Foreign Legal and Regulatory

Treatment of Bitcoin

foreign jurisdictions have, and may continue to, in the near future, adopt laws, regulations or directives that affect the Bitcoin

Network, the Bitcoin markets and their users, particularly Bitcoin spot markets and service providers that fall within such jurisdictions’

federal and state agencies (including

Department of the Treasury Financial Crimes Enforcement Network (“FinCEN”), SEC, the Office of the Comptroller of the Currency (“OCC”), the Commodity Futures Trading Commission (“CFTC”),

The Financial Industry Regulatory Authority (“FINRA”), the Consumer Financial Protection Bureau (“CFPB”), the

Department of Justice, the Department of Homeland Security, the Federal Bureau of Investigation, the IRS and state financial institution

regulators) have been examining the operations of digital asset networks, digital asset users and the digital asset platform markets,

with particular focus on the extent to which digital assets can be used to launder the proceeds of illegal activities or fund criminal

or terrorist enterprises and the safety and soundness of exchanges or other service-providers that hold digital assets for users.

of these state and federal agencies have issued consumer advisories regarding the risks posed by digital assets to investors.

federal and state agencies, and other countries have issued rules or guidance about the treatment of digital asset transactions or requirements

for businesses engaged in digital asset activity.

However, no U.S.

federal or state agency exercises comprehensive supervisory jurisdiction

over global or domestic markets for Bitcoin.

addition, the SEC, U.S.

state securities regulators and several foreign governments have issued warnings that certain digital assets

or activities involving them, including, without limitation, those sold in ICOs, may be classified as securities and that both those

digital assets and ICOs may be subject to securities regulations.

On-going and future regulatory actions may alter, perhaps to a materially

adverse extent, the nature of an investment in the Shares or the ability of the Trust to continue to operate.

Additionally, U.S.

and federal, and foreign regulators and legislatures have taken action against virtual currency businesses or enacted restrictive regimes

in response to adverse publicity arising from hacks, consumer harm, or criminal activity stemming from virtual currency activity.

Treasury Department has expressed concern regarding digital assets’ potential to be used to fund illicit activities and may

seek to implement new regulations governing digital asset activities to address these concerns.

See “Risk Factors—Risk Factors

Related to the Regulation of the Trust and the Shares—Digital asset markets in the United States exist in a state of regulatory uncertainty,

and adverse legislative or regulatory developments could significantly harm the value of Bitcoin or the Shares, such as by banning, restricting

or imposing onerous conditions or prohibitions on the use of Bitcoin, mining activity, digital wallets, the provision of services related

to trading and custodying Bitcoin, the operation of the Bitcoin network, or the digital asset markets generally.”

foreign jurisdictions have, and may continue to, in the near future, adopt laws, regulations or directives that may affect the Bitcoin

network, digital asset platforms, and their users, particularly digital asset platforms and service providers that fall within such jurisdictions’

regulatory scope.

Such laws, regulations or directives may conflict with those of the United States and may negatively impact the

acceptance of Bitcoin by users, merchants and service providers outside the United States and may therefore impede the growth or

sustainability of the Bitcoin economy globally, or otherwise negatively affect the value of Bitcoin.

The regulatory uncertainty

surrounding the treatment of Bitcoin creates risks for the Trust.

March 5, 2020, South Korea voted to amend its Financial Information Act to require virtual asset service providers to register

and comply with its AML and Combating the Financing of Terrorism (“CFT”) framework.

These measures also provide the

government with the authority to close digital asset exchanges that do not comply with specified processes.

The Chinese and South

Korean governments have also banned initial coin offerings (“ICOs”) and there are reports that Chinese regulators have

taken action to shut down a number of China-based digital asset exchanges.

Further, on January 19, 2018, a Chinese news organization

reported that the People’s Bank of China had ordered financial institutions to stop providing banking or funding to “any

activity related to cryptocurrencies.” Similarly, in April 2018, the Reserve Bank of India banned the entities it regulates

from providing services to any individuals or business entities dealing with or settling digital assets.

On March 5, 2020, this

ban was overturned in the Indian Supreme Court, although the Reserve Bank of India is currently challenging this ruling and, in

December 2021, reportedly informed its central board of directors that it favors a complete ban on cryptocurrencies.

There remains

significant uncertainty regarding the South Korean, Indian and Chinese governments’ future actions with respect to the regulation

of digital assets and digital asset exchanges.

Such laws, regulations or directives may conflict with those of the United States

and may negatively impact the acceptance of bitcoin by users, merchants and service providers outside the United States, and may

therefore impede the growth or sustainability of the Bitcoin economy in the European Union, China, Japan, Russia and the United

States and globally, or otherwise negatively affect the value of Bitcoin.

Other foreign jurisdictions including Canada, Germany

and Sweden have also approved exchange-traded Bitcoin products.

July 2019, the United Kingdom’s Financial Conduct Authority proposed rules to address harm to retail consumers deriving from

the sale of derivatives and exchange traded notes (“ETNs”) that reference certain types of digital assets, contending

that they are “ill-suited” to retail investors citing extreme volatility, valuation challenges and association with

financial crime.

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.

A determination that Bitcoin is a security

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

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

Each digital asset blockchain serves as a record of ownership for all of the units of such digital asset, even in the

case of certain privacy-focused digital assets, where the transactions themselves are not publicly viewable.

All digital assets

recorded on a blockchain are associated with a public blockchain address, also referred to as a digital wallet.

Digital assets

held at a particular public blockchain address may be accessed and transferred using a corresponding private key.

Key Generation

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,

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.

The locations of the

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

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 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 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

to reconstitute the private key to sign any transaction in order to transfer the Trust’s assets.

Private key shards are distributed

geographically in secure vaults around the world, including in the United States.

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

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 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

withdrawing Bitcoins from the Trust to redeem a Unit by a Unitholder will follow the same general procedure as transferring Bitcoins

to the Trust to create a Unit by a Unitholder, only in reverse.

See “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

on an ongoing basis from time to time through sales in private placement transactions exempt from the registration requirements

of the Securities Act.

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.

The Trust issues Units only in connection

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

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 January 6, 2023, each Unit represented

0.00033 of a Bitcoin.

Investors are the only persons that may place orders to purchase Units (the “Purchasers”).

Each Purchaser must (i)

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

required for such creations.

The subscription agreement and the related procedures attached thereto may be amended by the Sponsor

and the relevant Purchaser.

Under the subscription agreement, the Sponsor has agreed to indemnify each Purchaser against certain

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

with the validation of the transfer of Bitcoins by the Bitcoin Network.

Purchasers who deposit Bitcoins with the Trust in exchange

for Units will receive no fees, commissions or other form of compensation or inducement of any kind from either the Sponsor or

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

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

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.

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.

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:

There remains significant uncertainty regarding foreign governments’ future actions with respect to the regulation

of digital assets and digital asset platforms.

Such laws, regulations or directives may conflict with those of the United States and

may negatively impact the acceptance of Bitcoin by users, merchants and service providers outside the United States and may therefore

impede the growth or sustainability of the Bitcoin economy in their jurisdictions or globally, or otherwise negatively affect the value

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

and adverse to the Trust and the value of the Shares.

Index is a once-a-day benchmark index price for Bitcoin denominated in U.S.

Dollars that synchronizes with the traditional close of U.S.

financial markets.

The Index is calculated and published once a day at 4:00 p.m.

New York time and has been since its launch on February

The Index is provided by CF Benchmarks Ltd., a Registered Benchmark under the UK Benchmarks Regulation overseen by the UK Financial

Conduct Authority (“UK FCA”).

The Index was created to facilitate financial products based on Bitcoin.

Specifically, the

Index is calculated based on the “Relevant Transactions” (as defined below) of all of its constituent Bitcoin platforms (the

“Constituent Bitcoin Platforms” or “Constituent Platforms”), as follows:

Relevant Transactions that are executed between 3:00 p.m.

and 4:00 p.m.

New York time are added to a joint list, recording the trade

price and size for each transaction.

list is partitioned into a number of equally sized, twelve individual time intervals of five-minute length.

each of the twelve partitions separately, the volume-weighted median trade price is calculated from the trade prices and sizes of

all Relevant Transactions, i.e., across all Constituent Bitcoin Platforms.

A volume-weighted median differs from a standard median

in that a weighting factor, in this case trade size, is factored into the calculation.

Index is then given by the equally-weighted average of the volume-weighted medians of all partitions.

Index does not include any futures prices in its methodology.

A “Relevant Transaction” is any cryptocurrency versus U.S.

dollar spot trade (the “Relevant Pair”) that occurs during the “TWAP Period” on a Constituent Bitcoin Platform

in the BTC/USD pair that is reported and disseminated by a Constituent Bitcoin Platform through its publicly available application programming

interface and observed by the Index Administrator.

“TWAP” refers to the Time Weighted Average Price period for which trade

data is observed, or the 60-minute observation window between 3:00 p.m.

and 4:00 p.m., New York time.

oversight function is implemented by the Index Administrator in seeking to ensure that the Index is administered through the Index

Administrator’s codified policies for Index integrity.

The Index Administrator’s codified policies have been developed

to ensure compliance with the UK BMR regulations, which the Index Administrator is subject to as a Registered Benchmark.

codified policies include the following:

Data Policy :

The Input Data Policy governs the data that the Index Administrator uses in benchmark determinations.

The Surveillance Policy governs Benchmark Surveillance, which is accomplished through a series of measures that are the

product of an analysis of the Benchmark Administrator’s methodologies and their susceptibility to manipulation.

of Interest Policy :

The Conflicts of Interest Policy governs the measures by which the Index Administrator identifies, records,

mitigates, and escalates potential and actual conflicts of interest that might impact the integrity of the benchmarks.

& Oversight Framework :

This framework sets forth the measures by which the Index Administrator manages the benchmark life

cycle including the relevant junctures where Oversight Committee notification, escalation, review and resolution is relevant and

required including the manner in which the Benchmark Administrator identifies risks to benchmark integrity and the processes and

procedures it follows to mitigate and eliminate such risks.

Index Administrator’s compliance with such regulations has been subject to a Reasonable Assurance Audit under the ISAE 3000

standard as of September 12, 2024, which is publicly available.

Index is also subject to oversight by the Oversight Committee.

The Oversight Committee was jointly established by the Index Administrator

and the Chicago Mercantile Exchange (“CME”) and is comprised of five members, including two who are representatives of CME,

one who is a representative of the Index Administrator, and two others, who bring expertise and industry knowledge relating to benchmark

determination, issuance, and operations.

The Oversight Committee’s Founding Charter and quarterly meeting minutes are publicly

The Oversight Committee meets on at least a quarterly basis, and more frequently as needed, to review and make determinations

of cryptocurrency pricing products, including the Index, and attend to all other matters relating to such determination, including their

definition, setting, scope, methodology, and distribution.

platform must meet a set of predefined criteria to be approved by the Oversight Committee, and the operation of existing Constituent

Platforms are also monitored against the same criteria:

platform’s spot trading volume of the Relevant Pair for an index must meet the minimum thresholds as detailed below for it

to be admitted as a constituent platform:

average daily volume the venue would have contributed during the observation window for the Index of the Relevant Pair exceeds 3%

for two consecutive calendar quarters.

platform has policies to ensure fair and transparent market conditions at all times and has processes in place to identify and impede

illegal, unfair or manipulative trading practices.

platform does not impose undue barriers to entry or restrictions on market participants, and utilizing the platform does not expose

market participants to undue credit risk, operational risk, legal risk or other risks.

platform complies with applicable law and regulations, including, but not limited to, capital markets regulations, money transmission

regulations, client money custody regulations, KYC regulations and anti-money laundering regulations.

platform cooperates with inquiries and investigations of regulators and the Index Administrator upon request and must execute data

sharing agreements with CME Group.

admittance, a Constituent Platform must demonstrate that it continues to fulfill criteria two through five.

In cases where a

Constituent Platform’s average daily contribution falls below three percent for the Index, then the continued inclusion of the

platform as a Constituent Platform to the Relevant Pair shall be assessed by the Oversight Committee.

The Constituent Platforms have

changed over time.

For example, the BRR previously included OKCoin.com (HK) and Bitfinex, both of which were removed in April 2017

due to trading restrictions.

As of December 31, 2025, the Constituent Platforms include:

Crypto.com Exchange is the product name of FORIS DAX, a Singapore based company that is licensed as a Major Payment

Institution by the Monetary Authority of Singapore.

A U.K.-based platform registered as a money services business with FinCEN and licensed as a virtual currency business under the NYDFS

BitLicense as well as money transmitter in various U.S.

It is also regulated as a Payments Institution within the European

Union and is registered as a Crypto Asset business with the UK FCA.

A Gibraltar-based platform regulated by the Gibraltar Financial Services Commission (‟GFSCˮ) operated by Bullish (GI)

Limited as a DLT.

A U.S.-based platform registered as a money services business with FinCEN and licensed as a virtual currency business under the NYDFS

BitLicense as well as a money transmitter in various U.S.

Subsidiaries operating internationally are further regulated as

an e-money provider (Republic of Ireland, Central Bank of Ireland) and Major Payment Institution (Singapore, Monetary Authority of

A U.S.-based platform that is registered as a money services business with FinCEN in various U.S.

states, Kraken is registered with

the FCA as a Crypto Asset Business and is authorized by the Central Bank of Ireland as a virtual asset service provider.

holds a variety of other licenses and regulatory approvals, including from the Canadian Securities Administrators.

A U.S.-based platform that is licensed as a virtual currency business under the NYDFS BitLicense.

It is also registered with FinCEN

as a money services business and is licensed as a money transmitter in various U.S.

A Gibraltar based platform regulated by the GFSC as a DLT provider for execution and custody services.

does not hold a BitLicense and is part of LMAX Group, a U.K-based operator of a FCA regulated Multilateral Trading Facility and Broker-Dealer.

A U.S.-based platform that is licensed as a virtual currency business under the NYDFS BitLicense.

It is also registered with FinCEN

as a money services business and is licensed as a money transmitter in various U.S.

It is also registered with the FCA as

a Crypto Asset Business.

the Sponsor has actual knowledge of material changes to the Constituent Bitcoin Platforms used to calculate the Index, the Sponsor will

post an announcement with respect to such change on its website.

eight Constituent Platforms that contribute transaction data to the Index with the aggregate volumes traded on their respective BTC-USD

markets over the preceding four calendar quarters are listed in the table below:

Trading Volume of BTC-USD Markets of Constituent Platforms

14,477,591,026

= 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:

15,621,692,912

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

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.

federal income tax consequences of the ownership of Units.

This discussion does

not describe all of the tax consequences that may be relevant to a beneficial owner of Units in light of the beneficial owner’s

particular circumstances, including tax consequences applicable to beneficial owners subject to special rules, such as:

• financial institutions;

• 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;

• Accredited Investors;

Holders (as defined below) whose functional currency is

• entities or arrangements classified as partnerships for U.S.

federal income tax purposes;

• S corporations;

• persons receiving Units as compensation;

• 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;

• real estate investment trusts;

• regulated investment companies;

• tax-exempt entities, including individual retirement accounts.

discussion applies only to Units that are held as capital assets and does not address alternative minimum tax consequences or consequences

of the tax on net investment income.

an entity or arrangement that is classified as a partnership for U.S.

federal income tax purposes holds Units, the U.S.

income tax treatment of a partner will generally depend on the status of the partner and the activities of the partnership.

holding Units and partners in those partnerships are urged to consult their tax advisers about the particular U.S.

federal income

tax consequences of owning Units.

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,

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

Sponsor intends to take the position that the Trust is properly treated as a grantor trust for U.S.

federal income tax purposes.

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

as to the federal income tax classification of the Trust.

Assuming that the Trust is a grantor trust, the Trust will

not be subject to U.S.

94,635,582,496

7,306,366,610

1,101,275,922

17,525,260,799

9,804,590,131

10,585,362,523

9,065,766,963

62,097,548,243

60,060,401,437

4,607,793,882

12,383,175,403

7,867,820,828

15,577,871,806

3,993,245,940

82,586,972,012

62,328,764,021

4,709,972,379

12,265,610,700

9,758,238,679

23,272,669,351

9,557,076,628

78,293,912,816

105,086,222,287

3,964,106,275

1,037,472,441

18,126,225,065

10,668,812,131

market share for BTC-USD trading of the eight Constituent Platforms over the past four calendar quarters is shown in the table below:

Bitcoin Trading Platform Market Share of BTC-USD Trading

Bullish Global

BENCHMARKS LTD.

DATA IS USED UNDER LICENSE AS A SOURCE OF INFORMATION FOR THE TRUST’S PRODUCTS.

CF BENCHMARKS LTD., ITS AGENTS

AND LICENSORS HAVE NO OTHER CONNECTION TO THE TRUST’S PRODUCTS AND SERVICES AND DO NOT SPONSOR, ENDORSE, RECOMMEND OR PROMOTE ANY

OF THE TRUST’S PRODUCTS OR SERVICES.

CF BENCHMARKS LTD., ITS AGENTS AND LICENSORS HAVE NO OBLIGATION OR LIABILITY IN CONNECTION

WITH THE TRUST’S PRODUCTS AND SERVICES.

CF BENCHMARKS LTD., ITS AGENTS AND LICENSORS DO NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS

OF ANY INDEX LICENSED TO THE TRUST AND SHALL NOT HAVE ANY LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN.

Trust’s NAV per Share is calculated by multiplying the number of Bitcoin held by the Trust by the Index for such day, adding any

additional receivables and subtracting the accrued but unpaid expenses and liabilities of the Trust.

The Trust’s NAV per Share

is calculated by dividing the Trust’s NAV by the number of Shares then outstanding.

The Trust Administrator determines the price

of the Trust’s Bitcoin by reference to the Index, which is published between 4:00 p.m.

and 4:30 p.m., New York time, on every calendar

The methodology used to calculate the Index price to value Bitcoin in determining the NAV of the Trust may not be deemed consistent

As of December 31, 2025, the Trust’s NAV per Share was $28.12 based on the Index.

Trust’s financial statements are prepared in accordance with the Financial Accounting Standards Board Accounting Standards Codification

Topic 820, “Fair Value Measurements and Disclosures” (“ASC 820-10”).

ASC 820-10 determines fair value to be the

price that would be received for Bitcoin in a current sale, which assumes an orderly transaction between market participants on the measurement

ASC 820-10 requires the Trust to assume that Bitcoin 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, and willing and able to transact.

The Trust purchases Bitcoin directly from various counterparties,

such as Coinbase and Anchorage, and does not itself transact in any Bitcoin markets.

The purchase price of Bitcoin from our counterparties

may vary significantly.

The Trust looks to these counterparties when assessing entity-specific and market-based volume and the level

of activity in the Bitcoin markets.

The Trust determines the current value of Bitcoin by reference to the Bitcoin Market Price.

Market Price is determined based on the estimated fair market value price for Bitcoin, reflecting the execution price of Bitcoin on its

principal market as determined by the Trust.

Fair value pricing may require subjective determinations about the value of an asset or

Fair values determined as described herein may differ from quoted or published prices, or from prices that are used by others,

is possible that the fair value determined for an investment may be materially different than the value that could be realized upon the

sale of such investment.

Information that becomes known to the Trust or its agents after the NAV has been calculated on a particular

day is not used to retroactively adjust the price of an investment or the NAV determined earlier that day.

Information About the Trust

Trust’s Fees and Expenses

Trust’s only ordinary recurring expense is the Management Fee.

The Management Fee is accrued daily and paid monthly in arrears

dollars only and is calculated by the Trust Administrator.

The Trust Administrator calculates the Management Fee on a daily basis

by applying the 0.49% annualized rate to the Trust’s NAV, as determined by reference to the Index.

To cover the Management Fee,

on the last day of each month, the Sponsor or its delegate causes the Trust (or its delegate) to instruct the Prime Execution Agent to

convert an amount of Bitcoin held by the Trust into U.S.

The NAV of the Trust and the number of Bitcoin represented by a Share

declines each time the Trust accrues the Management Fee or any Trust expenses not assumed by the Sponsor.

The Trust is not responsible

for paying any costs associated with the transfer of Bitcoin, to or from the Trust, in connection with paying the Management Fee or in

connection with creation and redemption transactions.

partial consideration for its receipt of the Management Fee, the Sponsor bears the routine operational, administrative and other ordinary

fees and expenses of the Trust, including the fees of the Trustee, Trust Administrator, Fund Accountant, Transfer Agent, Custodians and,

Listing Exchange fees, SEC registration fees, printing and mailing costs, tax reporting fees, audit fees, license fees and ordinary legal

fees and expenses (the “Assumed Expenses”);

provided, however, that the Trust shall remain responsible for any certain extraordinary

expenses of the Trust, including, but not limited to, taxes and governmental charges, expenses and costs, expenses and indemnities related

to any extraordinary services performed by the Sponsor (or any other service provider, including the Trustee) on behalf of the Trust

to protect the Trust or the interests of Shareholders, and indemnification expenses (the “Extraordinary Expenses”).

the Trust incurs any Extraordinary Expenses, the Sponsor or its delegate (i) will instruct the Bitcoin Custodian to withdraw from the

Bitcoin account, on a monthly basis as needed, Bitcoin in such quantity as necessary to permit payment of such Extraordinary Expenses;

and (ii) cause the Trust (or its delegate) to convert such Bitcoin into U.S.

dollars or other fiat currencies at the exchange rate at

the time of conversion.

Indicative Value

order to provide updated information relating to the Trust for use by Shareholders, the Trust publishes an intraday indicative value

(“IIV”) using the CME CF Bitcoin Real Time Index (“BRTI”).

One or more major market data vendors provide an IIV

updated every 15 seconds, as calculated by the Exchange or a third-party financial data provider during the Exchange’s Regular

Market Session.

The IIV is calculated by using the prior day’s closing NAV as a base and updating that value during the Regular

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

IIV’s dissemination during the Regular Market Session should not be viewed as an actual real time update of the NAV, which is calculated

only once at the end of each trading day.

The IIV is widely disseminated every 15 seconds during the Regular Market Session by one or

more major market data vendors.

In addition, the IIV is available through online information services.

time to time, there may be intra-day price fluctuations across Bitcoin platforms.

However, they are generally relatively immaterial.

These variances usually stem from small changes in the fee structures on different Bitcoin platforms or differences in administrative

procedures required to deposit and withdraw fiat currency in exchange for Bitcoin and vice versa.

The greatest variances are found at

(i) smaller platforms with relatively low transaction volumes where even small trades can be large relative to a Bitcoin platform’s

transaction volume and as a result impact the trading price on those platforms;

and (ii) Bitcoin platforms that are inaccessible to the

aspects of the BRTI methodology are publicly available at the website of the provider CF Benchmarks (www.cfbenchmarks.com).

is calculated once per second, in real time by utilizing the order books of Bitcoin - U.S.

dollar trading pairs operated by all Constituent

An “order bookˮ is a list of buy and sell orders with associated limit prices and sizes that have not yet been

matched, that is reported and disseminated by CF Benchmarks Ltd., as the BRTI calculation agent.

The order books are aggregated into

one consolidated order book by the BRTI calculation agent.

The mid-price volume curve, which is the average of the bid price-volume curve

(which maps transaction volume to the marginal price per cryptocurrency unit a seller is required to accept in order to sell this volume

to the consolidated order book) and the ask price-volume curve (which maps a transaction volume to the marginal price per cryptocurrency

unit a buyer is required to pay in order to purchase this volume from the consolidated order book).

The mid-price-volume curve is weighted

by the normalized probability density of the exponential distribution up to the utilized depth (utilized depth being calculated as the

maximum cumulative volume for which the mid spread-volume curve does not exceed a certain percentage deviation from the mid-price).

BRTI is then given by the sum of the weighted mid-price-volume curve obtained in the previous step.

Trust will dissolve if any of the following events occur:

federal or state regulator requires the Trust to shut down or forces the Trust to liquidate its Bitcoin or seizes, impounds

or otherwise restricts access to Trust assets;

Trust is determined to be a “money services business” under the regulations promulgated by FinCEN under the authority

of the BSA and is required to comply with certain FinCEN regulations thereunder, and the Sponsor has made the determination that

dissolution of the Trust is advisable;

Trust is required to obtain a license or make a registration under any state law regulating money transmitters, money services businesses,

providers of prepaid or stored value, virtual currency businesses or similar entities, and the Sponsor has made the determination

that dissolution of the Trust is advisable;

ongoing event exists that either prevents the Trust from making or makes impractical the Trust’s reasonable efforts to make

a fair determination of the Bitcoin Market Price;

ongoing event exists that either prevents the Trust from converting or makes impractical the Trust’s reasonable efforts to

convert Bitcoin to U.S.

filing of a certificate of dissolution or revocation of the Sponsor’s charter (and

the expiration of 90 days after the date of notice to the Sponsor of revocation without a

reinstatement of its charter) or upon an Event of Withdrawal unless at the time there is

at least one remaining Sponsor;

the Bitcoin Custodian

resigns or is removed without replacement.

Sponsor may, in its sole discretion, dissolve the Trust if any of the following events occur:

SEC determines that the Trust is an investment company required to be registered under the Investment Company Act;

CFTC determines that the Trust is a commodity pool under the Commodity Exchange Act;

Trust becomes insolvent or bankrupt;

of the Trust’s assets are sold;

determination of the Sponsor that the aggregate net assets of the Trust in relation to the operating expenses of the Trust make it

unreasonable or imprudent to continue the activities of the Trust;

Sponsor receives notice from the IRS or from counsel for the Trust or the Sponsor that the Trust fails to qualify for treatment,

or will not be treated, as a grantor trust under the Internal Revenue Code of 1986, as amended;

the Trustee notifies the Sponsor of the Trustee’s election to resign and the Sponsor does not appoint a successor trustee within

60 days, the Trust will dissolve.

death, legal disability, bankruptcy, insolvency, dissolution, or withdrawal of any Shareholder (as long as such Shareholder is not the

sole Shareholder of the Trust) shall not result in the termination of the Trust, and such Shareholder, his/her estate, custodian or personal

representative shall have no right to withdraw or value such Shareholder’s Shares.

Each Shareholder (and any assignee thereof)

expressly agrees that in the event of his death, he waives on behalf of himself and his estate, and he/she directs the legal representative

of his estate and any person interested therein to waive the furnishing of any inventory, accounting or appraisal of the assets of the

Trust and any right to an audit or examination of the books of the Trust, except for such rights as are set forth in Article VIII of

the Trust Agreement relating to the books of account and reports of the Trust.

Upon dissolution of the Trust and surrender of

Shares by the Shareholders, Shareholders will receive a distribution in U.S.

dollars after the Sponsor has paid or made provision for

the Trust’s obligations.

Sponsor may amend the Trust Agreement without the consent of any Shareholder if the amendment does not adversely affect the interests

of the Shareholders or affect the allocation of profits and losses among the Shareholders or between the Shareholders and the Sponsor.

Any amendment that adversely affects the rights of Shareholders, dissolves the Trust or makes any material change to the Trust’s

basic investment policies or structure must be approved by the affirmative vote of Shareholders owning at least 50% of the outstanding

Trust’s 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 777 Brickell Ave., Suite 500, Miami, FL 33131, and its telephone number is (914) 214-4174.

Sponsor is neither an investment adviser registered with the SEC, nor a commodity pool operator registered with the CFTC, and does not

act in either such capacity with respect to the Trust, and the Sponsor’s provision of services to the Trust is not governed by

the Advisers Act or the Commodity Exchange Act.

Sponsor’s experience in crypto asset markets is evidenced by its history managing private and OTC-traded crypto funds since 2019.

The executive officers of the Sponsor also serve as officers of the Sponsor’s affiliate, REX Financial, LLC (together with its

subsidiaries, “REX Financial”), which has been sponsoring and managing ETFs and ETNs since 2016.

REX Financial also manages

the REX-Osprey suite of crypto ETFs and sponsors certain T-REX leveraged ETFs that focus on crypto assets.

Sponsor arranged for the creation of the Trust and the registration of the Shares for their public offering in the United States and

the listing of the Shares on the Listing Exchange.

As partial consideration for its receipt of the 0.49% Management Fee from the Trust,

the Sponsor is obligated to pay the Assumed Expenses.

Sponsor is generally responsible for the day-to-day administration of the Trust under the provisions of the Trust Agreement.

The Sponsor’s

responsibilities include:

(i) preparing and providing periodic reports and financial statements on behalf of the Trust for investors;

(ii) selecting and monitoring the Trust’s service providers and from time to time engaging additional, successor or replacement

service providers (including without limitation the Trust Administrator, the Custodians, Transfer Agent and Index Administrator);

instructing the Bitcoin Custodian to withdraw the Trust’s Bitcoin as needed to pay the Management Fee;

(iv) upon dissolution of

the Trust, distributing the Trust’s cash proceeds from the sale of the remaining Bitcoin to the owners of record of the Shares;

and (v) when applicable, establishing the principal market for GAAP valuation.

In addition, if there is a fork in the Bitcoin network

after which there is a dispute as to which network resulting from the fork is the Bitcoin network, the Sponsor has the authority to select

the network that it believes in good faith is the Bitcoin network, unless such selection or authority would otherwise conflict with the

Trust Agreement.

Sponsor does not store, hold, or maintain custody or control of the Trust’s Bitcoin but instead has entered into the Custodial

Services Agreement with the Bitcoin Custodian to facilitate the security of the Trust’s Bitcoin.

Sponsor may transfer all or substantially all of its assets to an entity that carries on the business of the Sponsor if at the time of

the transfer the successor assumes all of the obligations of the Sponsor under the Trust Agreement.

In such an event, the Sponsor will

be relieved of all further liability under the Trust Agreement.

Management Fee is paid by the Trust to the Sponsor as compensation for services performed under the Trust Agreement and as partial consideration

for the Sponsor’s agreement to pay the specified Sponsor-paid Expenses of the Trust.

Delaware Trust Company serves as trustee of the Trust 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.

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

of Section 3807(a) of the DSTA that the Trust have at least one trustee with a principal place of business in the State of Delaware.

The duties of the Trustee are 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 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 Shareholders, such duties and liabilities will be replaced by the duties and liabilities of the Trustee expressly set forth

in the Trust Agreement.

The Trustee has no obligation to supervise, nor is it 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 Shares.

The Trustee’s

liability in connection with the issuance and sale of Shares is limited solely to the express obligations of the Trustee as set forth

in the Trust Agreement.

Trustee has not prepared or verified, and will not be responsible or liable for, any information, disclosure or other statement in this

Annual Report or in any other document issued or delivered in connection with the sale or transfer of the Shares.

Trustee is permitted to resign upon at least 60 days’ notice to the Trust.

The Trustee is compensated by the Sponsor and indemnified

by the Sponsor and the Trust against any expenses it incurs relating to or arising out of the formation, operation or termination of

the Trust, or the performance of its duties pursuant to the Trust Agreement except to the extent that such expenses result from gross

negligence, willful misconduct or bad faith of the Trustee.

The Sponsor has the discretion to replace the Trustee.

paid to the Trustee are an Assumed Expense.

Sponsor and its affiliates may from time-to-time purchase or sell Shares for their own account, as an agent for their customers and for

accounts over which they exercise investment discretion.

Trust Administrator

Bank Global Fund Services serves as the Trust Administrator.

The Trust Administrator has offices at 615 E.

Michigan Street, Milwaukee,

Trust Administrator is generally responsible for the day-to-day administration of the Trust, including keeping the Trust’s operational

The Trust Administrator’s principal responsibilities include:

(1) valuing the Trust’s Bitcoin and calculating the

NAV per Share;

(2) supplying pricing information to the Sponsor for the Trust’s website;

(3) receiving and reviewing reports on

the custody of and transactions in cash and Bitcoin from the Cash Custodian and Trust, respectively, and taking such other actions in

connection with the custody of cash as the Sponsor instructs;

and (4) accounting and other fund administrative services.

The Trust Administrator

also provides know your customer, anti-money laundering, and OFAC compliance check services to the Trust and Sponsor.

The Trust Administrator

is also responsible for various accounting services such as portfolio accounting, expense accrual and payment, trust valuation and financial

reporting, tax accounting, and compliance control services pursuant to the Fund Accountant Agreement.

Trust Administrator liaises with the Trust’s legal, accounting and other professional service providers as needed.

Trust Administrator keeps proper books of registration and transfer of Shares at its office located in Milwaukee or such office as it may

subsequently designate.

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

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

The Sponsor keeps a copy of

the Trust Agreement on file in its office, which is available for inspection on reasonable advance notice at all reasonable times during

its usual business hours by any Shareholder.

Transfer Agent

Global Fund Services serves as the Transfer Agent of the Trust pursuant to the terms and provisions of the Transfer Agent Servicing

Agreement (as defined below).

The Transfer Agent has its principal office at 615 E.

Michigan Street, Milwaukee, WI 53202.

the agreement between the Trust and the Transfer Agent is available for inspection at the Sponsor’s principal office

identified herein.

Continental Stock Transfer & Trust Company serves as the sub-transfer agent.

Transfer Agent holds the Shares primarily in book-entry form.

The Sponsor directs the Transfer Agent to credit the number of Shares to

the investor in response to a creation order and the Transfer Agent issues the Shares.

The Transfer Agent also assists with the preparation

of Shareholders’ account and tax statements.

Sponsor indemnifies and holds harmless the Transfer Agent, and the Transfer Agent will incur no liability for the refusal, in good faith,

to make transfers which it, in its judgment, deems improper or unauthorized.

paid to the Transfer Agent are an Assumed Expense.

Marketing Agent

Fund Services, LLC serves as the Marketing Agent for the Trust.

The Marketing Agent provides the following services to the Sponsor:

assists the Trust in facilitating Participant Agreements between and among Authorized Participants, the Trust, and the Transfer Agent;

(ii) provides prospectuses to Authorized Participants;

(iii) works with the Transfer Agent to review and approve orders placed by the

Authorized Participants and transmitted to the Transfer Agent;

(iv) reviews and files applicable marketing materials with FINRA and (v)

maintains, reproduces and stores applicable books and records related to the services provided under the Marketing Agent Agreement.

of the Trust’s Assets and Certain Other Operational Matters

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

On November 26,

2025, the Trust entered into a Custodial Services Agreement by and among Coinbase Custody and the Trust, which replaced the Trust’s

prior Custodial Services Agreement, dated as of February 4, 2022, between the Trust and Coinbase Custody, and which is a part of the

Prime Execution Agreement.

Custody is a wholly-owned subsidiary 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 Section 100 of the New

York Banking Law and a qualified custodian for purposes of Rule 206(4)-2(d)(6) under the Investment Advisers Act, and is licensed to

custody Digital Assets on behalf of the Trust.

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

examination and supervision by the NYDFS.

The NYDFS’ regulations impose various compliance requirements, including operational

limitations related to the nature of digital assets held under custody, capital requirements, BSA and anti-money laundering program requirements,

and notice and reporting requirements.

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

As of December 31, 2025, Coinbase Global held approximately $376 billion in fiat and digital assets on its platform, the majority

of which were comprised of Bitcoin, Ethereum and other digital assets.

According to publicly available information, Bitcoin represented

approximately 67%, 58% and 47% of the assets held or managed in digital wallets on Coinbase’s Global platform, including

its custody services, for the years ended December 31, 2025, 2024 and 2023, respectively.

The offline (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.

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 Agreement.

The Trust’s digital assets are held in segregated offline (cold) storage accounts with the Bitcoin

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.

Bank National Association serves as the Cash Custodian pursuant to the Cash Custody Agreement.

The Cash Custodian is the custodian for

the Trust’s cash holdings.

The Trust may retain additional cash custodians from time to time pursuant to a cash custodian agreement

to perform certain services that are typical of a cash custodian.

The Sponsor may, in its sole discretion, add or terminate cash custodians

Custodial Matters

Trust may engage third-party custodians or vendors besides the Bitcoin Custodian and the Cash Custodian to provide custody and security

services for all or a portion of its Bitcoin and/or cash, and the Sponsor will pay the custody fees and any other expenses associated

with any such third-party custodian or vendor.

The Sponsor may, in its sole discretion, add or terminate custodians at any time.

Sponsor may, in its sole discretion, change the custodian for the Trust’s holdings, but it will have no obligation whatsoever to

do so or to seek any particular terms for the Trust from other such custodians.

Prime Execution Agent

Prime Execution Agent, Coinbase Inc., an affiliate of the Bitcoin Custodian, provides prime execution agent services, including Bitcoin

trade execution, from time to time as requested by the Sponsor, although the Sponsor may also trade directly with other third parties

and/or market makers.

The Trust may engage in purchases of Bitcoin (creation of Baskets) or sales of Bitcoin (redemptions of Baskets,

Trust expenses, or the Management Fee, as necessary) by placing orders with the Prime Execution Agent.

The Prime Execution Agent routes

orders placed by the Trust through the Prime Execution Agent’s execution platform, where the order is executed.

Each order placed

by the Trust is sent, processed and settled at each Connected Trading Venue to which it is routed.

Subject to the foregoing, the Prime

Execution Agent (as well as the Trust and the Sponsor) shall have no liability, obligation, or responsibility whatsoever for the selection

or performance of any trading venue, and that other trading venues not used for the specific execution and/or trading venues not used

by Coinbase may offer better prices and/or lower costs than the trading venue used to execute the Trust’s orders.

Credit Lender

avoid having to pre-fund purchases or sales of Bitcoin in connection with cash creations and redemptions and sales of Bitcoin to pay

the Management Fee and any other Trust expenses not assumed by the Sponsor, to the extent applicable, pursuant to that certain Trade

Financing Agreement, dated as of November 26, 2025, which is part of the Prime Execution Agreement (the “Trade Financing Agreement”),

the Trust may borrow Bitcoin or cash as Trade Credit from Coinbase Credit, Inc.

(the “Lender”) on a short-term basis, allowing

the Trust to avoid having to pre-fund purchases or sales of Bitcoin.

Shareholders’ recourse against the Sponsor, the Trustee, and the Trust’s other service providers for the services they provide

to the Trust, including, without limitation, those relating to the holding of Bitcoin or the provision of instructions relating to the

movement of Bitcoin, is limited.

For the avoidance of doubt, neither the Sponsor, the Trustee, nor any of their affiliates, nor any other

party has guaranteed the assets or liabilities, or otherwise assumed the liabilities, of the Trust, or the obligations or liabilities

of any service provider to the Trust, including, without limitation, the Bitcoin Custodian.

Consequently, a loss may be suffered with

respect to the Trust’s Bitcoin that is not covered by the Bitcoin Custodian’s insurance and for which no person is liable

As a result, the recourse of the Trust or the Shareholders, under applicable law, is limited.

and Redemption of Shares

Trust creates and redeems Shares on a continuous basis but only in Baskets based on the quantity of Bitcoin attributable to each Share

of the Trust (net of accrued but unpaid expenses and liabilities) multiplied by the number of Shares comprising a Basket (10,000) (the

“Basket Amount”).

Fractions of a Bitcoin smaller than .00000001 (known as a “satoshi”) are disregarded for purposes

of the computation of the Basket Amount.

Only Authorized Participants, which are registered broker-dealers who have entered into written

agreements with the Sponsor and the Trust, can place orders to receive or redeem Baskets.

connection with cash creations and redemptions, an Authorized Participant shall deliver to the Transfer Agent the amount of U.S.

needed to purchase the Basket Amount of Bitcoin, and the Trust engages in Bitcoin transactions for converting cash into Bitcoin (in association

with purchase orders) and Bitcoin into cash (in association with redemption orders).

The Trust conducts its Bitcoin purchase and sale

transactions by purchasing Bitcoin directly from third parties (each, a “Bitcoin Trading Counterparty”), pursuant to written

agreements between such Bitcoin Trading Counterparties and the Trust, or through purchases from the Prime Execution Agent through its

Coinbase Prime service pursuant to the Prime Execution Agreement.

The Trust’s criteria for engaging one or more Bitcoin Trading

Counterparties includes the completion of due diligence that considers each such Bitcoin Trading Counterparty’s Bitcoin trading

capabilities, organizational structure, operating history, lines of business, controls, and other details necessary to evaluate their

ability to facilitate cash creations.

The Bitcoin Trading Counterparties are Coinbase, Anchorage and JSCT, LLC.

Bitcoin Trading Counterparties

may be added at any time, subject to the discretion of the Sponsor.

The Sponsor will notify investors whether and when it has engaged

additional Bitcoin Trading Counterparties by filing a current report on Form 8-K or via a posting on the Trust’s website.

Street Capital, LLC, an Authorized Participant, is an affiliate of JSCT, LLC, a Bitcoin Trading Counterparty.

Aside from JSCT, LLC, the

Trust is not aware of any other affiliation or material relationship between a Bitcoin Trading Counterparty and the Authorized Participants

or other service providers of the Trust in executing a transaction in Bitcoin with the Trust.

Current or future Bitcoin Trading Counterparties

may be affiliates of, or have material relationships with, the Trust’s current or future Authorized Participants.

In connection

with cash creations and redemptions, each Bitcoin Trading Counterparty represents to the Trust that it is acting for itself and not for

another person and is not acting as an agent or at the direction of any Authorized Participant.

Upon receipt of an order from an Authorized

Participant to create or redeem Baskets, the Trust may obtain quotes for a price to purchase or sell Bitcoin from one or more Bitcoin

Trading Counterparties.

A Bitcoin Trading Counterparty may respond to the Trust’s request with an offer of a quote at which it

is willing to sell the specified quantity of Bitcoin, or a portion thereof, in the case of a creation, or a quote at which it is willing

to buy the specified quantity of Bitcoin, or a portion thereof, in the case of a redemption, as indicated in such offer.

Trading Counterparties are not contractually obligated to participate in cash orders for creations or redemptions by placing any offers

to buy or sell Bitcoin with the Trust.

The Trust then determines, in its sole discretion, whether to utilize one of the Bitcoin Trading

Counterparties that provided a quote or to trade through the Prime Execution Agent to execute a Bitcoin trade.

Once an offer is accepted,

it becomes a trade that is binding on both the Trust and the Bitcoin Trading Counterparty.

Each Bitcoin Trading Counterparty is required

to comply with U.S.

federal and/or state laws including licensing and registration requirements or similar laws in non-U.S.

jurisdictions

and maintain practices and policies designed to comply with AML and KYC regulations or similar laws in non-U.S.

jurisdictions.

Prime Execution Agent may facilitate the purchase and sale or settlement of the Trust’s Bitcoin transactions.

Bitcoin Trading Counterparties

may settle trades with the Trust using their own accounts at the Prime Execution Agent or directly with the Trust when trading with the

of Baskets - Transaction Fees

compensate for expenses incurred in connection with the creation and redemption of Baskets, an Authorized Participant is required to

pay a standard transaction fee in cash to create or redeem Baskets, which is not expected to vary in accordance with the number of Baskets

in such order.

The total transaction fee also includes applicable taxes, brokerage and any other commissions, transaction fees (including

financing), trade slippage and market impact costs, as applicable, and may be reduced, increased or otherwise changed by the Sponsor

and the Trust based on changes to the costs or inputs associated with the total transaction fee.

The Sponsor will notify Authorized Participants

of any change in the transaction fee and will not implement any change in the fee until after the date of notice.

of Baskets - In-Kind Creations

connection with an in-kind creation, an Authorized Participant is required to submit the creation order by an order cutoff time (the

“In-Kind Order Cutoff Time”).

The In-Kind Order Cutoff Time is 3:59 p.m.

ET on the trade date.

The Authorized Participant

must submit an in-kind purchase order to the Transfer Agent indicating the number of Baskets it intends to acquire.

date the Transfer Agent receives the in-kind purchase order determines the amount of Bitcoin that the Authorized Participant or its designated

agent or client needs to deposit.

However, orders received by the Transfer Agent after the In-Kind Order Cutoff Time will not be accepted

and should be resubmitted on the following Business Day.

the Trust and the Marketing Agent accept the in-kind purchase order, the Transfer Agent transmits to the Authorized Participant, via

electronic mail message or other electronic communication, no later than 8:00 p.m.

ET on the date such purchase order is received, or

deemed received, a copy of the purchase order endorsed “Accepted” by the Trust and indicating the Basket Amount that the

Authorized Participant or its designated agent or client must deliver to the Prime Execution Agent in exchange for each Basket.

to the Trust’s acceptance, a purchase order only represents the Authorized Participant’s unilateral offer to deposit Bitcoin

in exchange for Baskets and has no binding effect upon the Trust, the Trustee, the Trust Administrator, the Transfer Agent, the Marketing

Agent, the Bitcoin Custodian, the Prime Execution Agent or any other party.

amount of Bitcoin necessary for the creation of a Basket changes from day to day.

As of December 31, 2025, a Basket required delivery

of 3.22083471 Bitcoin.

On each day that the Listing Exchange is open for regular trading, the Trust Administrator adjusts the quantity

of Bitcoin constituting the Basket Amount as appropriate to reflect sales of Bitcoin, any loss of Bitcoin that may occur, and accrued

The computation is made by the Trust as promptly as practicable after 4:00 p.m.

The Trust Administrator determines the

amount of Bitcoin necessary for the creation of a Basket for a given day by multiplying the NAV per Share by the number of Shares in

each Basket (10,000) and dividing the resulting product by that day’s Index.

The Basket Amount so determined is made available

to all Authorized Participants and is made available on the Sponsor’s website for the Shares.

Authorized Participant or its designated agent or client deposit Bitcoin related to the Authorized Participant’s purchase

order to the Trust’s Trading Account.

This transfer is an “off-chain” transaction that is represented in the books

and records of the Prime Execution Agent.

In the event that the Authorized Participant, its designated agent or client, has not

deposited the Bitcoin to the Trust’s Trading Account at the Prime Execution Agent by the applicable time on the settlement

date of the in-kind creation order, the Authorized Participant is given the option to (1) cancel the in-kind creation order;

delay settlement of the order to enable delivery of Bitcoin at a later date approved by the Trust Administrator;

or (3) accept that

the Trust will execute a Bitcoin transaction required for the creation and the Authorized Participant will deliver the U.S.

required for this purchase.

The Authorized Participant is liable to the Trust for and shall bear all slippage costs as well as all

other costs, expenses, liabilities, and losses, suffered or incurred by the Trust in connection with the events described in the

foregoing sentence, including, without limitation, the dollar cost of the difference between the Bitcoin price utilized in

calculating NAV per Share on the trade date and the price at which the Trust receives the Bitcoin to the extent the price realized

in buying the Bitcoin is higher than the Bitcoin price utilized in the NAV, if applicable.

To the extent the price realized in

buying the Bitcoin is lower than the price utilized in the NAV, the Authorized Participant shall get to keep the dollar impact of

any such difference.

of Baskets - Cash Creations

connection with a cash creation, the Authorized Participant is required to submit the purchase order by an early order cutoff time (the

“Cash Order Cutoff Time”).

The Cash Order Cutoff Time is 5:30 p.m.

ET on the Business Day prior to the trade date.

The Authorized

Participant may submit a purchase order to the Transfer Agent, indicating the number of Baskets it intends to acquire.

connection with a cash creation, the date the Transfer Agent receives that order determines the estimated cash amount the Authorized

Participant needs to deposit and the amount of Bitcoin the Trust needs to purchase from the Bitcoin Trading Counterparty or through the

Prime Execution Agent for the Basket Amount.

The final cash amounts are determined after the NAV of the Trust is struck and the Trust’s

Bitcoin transactions have settled.

However, orders received by the Transfer Agent after the Cash Order Cutoff Time will not be accepted

and should be resubmitted on the following Business Day.

the Trust and the Marketing Agent accept the cash purchase order, the Transfer Agent transmits to the Authorized Participant, via electronic

mail message or other electronic communication, no later than 8:00 p.m.

ET on the date such purchase order is received, or deemed received,

a copy of the purchase order endorsed “Accepted” by the Trust and indicating the amount of U.S.

dollars that the Authorized

Participant must deliver to the Custodians or Prime Execution Agent in exchange for each Basket.

Prior to the Trust’s acceptance

as specified above, a purchase order only represents the Authorized Participant’s unilateral offer to deposit cash in exchange

for Baskets and has no binding effect upon the Trust, the Trustee, the Trust Administrator, the Transfer Agent, the Marketing Agent,

the Bitcoin Custodian or any other party.

amount of cash necessary for the creation of a Basket changes from day to day based on the Basket Amount.

As of December 31, 2025, a

Basket required delivery of $ 281,228.89.

On each day that the Listing Exchange is open for regular trading, the Trust Administrator

adjusts the amount of U.S.

dollars needed to purchase the Basket Amount.

The Trust Administrator determines the amount of Bitcoin necessary

for the creation of a Basket for a given day by multiplying the NAV per Share by the number of Shares in each Basket (10,000) and dividing

the resulting product by that day’s Index.

The Trust Administrator then determines the amount of U.S.

dollars equal to the required

amount of Bitcoin as described above on each date the Transfer Agent receives the cash creation order.

The final cash amounts are determined

after the NAV of the Trust is struck and the Trust’s Bitcoin transactions have settled.

The amount of U.S.

dollars needed to purchase

the Basket Amount so determined is made available to all Authorized Participants and Bitcoin Trading Counterparties and is made available

on the Sponsor’s website for the Shares.

the date of the Cash Order Cutoff Time, the Trust enters into a transaction with a Bitcoin Trading Counterparty or the Prime

Execution Agent to buy Bitcoin in exchange for the cash proceeds from such purchase order.

For settlement of a cash creation, the

Trust delivers Shares to the Authorized Participant in exchange for cash received from the Authorized Participant.

Meanwhile, the

Bitcoin Trading Counterparty or Prime Execution Agent, as applicable, delivers the required Bitcoin pursuant to its trade with the

Trust into the Trust’s Trading Account with the Prime Execution Agent in exchange for cash.

In the event that the Trust has

not been able to successfully execute and complete settlement of a Bitcoin transaction by the settlement date of the purchase order,

the Authorized Participant will be given the option to (1) cancel the purchase order;

or (2) accept that the Trust will continue to

attempt to complete the execution, which will delay the settlement date of the purchase order.

With respect to a purchase order, as

between the Trust and the Authorized Participant, the Authorized Participant is responsible for the dollar cost of the difference

between the Bitcoin price utilized in calculating NAV on the trade date and the price at which the Trust acquires the Bitcoin to the

extent the price realized in buying the Bitcoin is higher than the Bitcoin price utilized in the NAV.

To the extent the price

realized in buying the Bitcoin is lower than the price utilized in the NAV, the Authorized Participant shall keep the dollar impact

of any such difference.

the purchase of Bitcoin was entered into with a Bitcoin Trading Counterparty or via the Prime Execution Agent, such party shall deliver

Bitcoin related to such transaction to the Trust’s Trading Account.

This transfer is an “off-chain” transaction that

is recorded in the books and records of the Prime Execution Agent.

the Trust’s Trading Account may not be funded with cash on the trade date for the purchase of Bitcoin associated with the cash

purchase order, the Trust may borrow Trade Credits in the form of cash from the Lender (as defined herein) pursuant to the Trade Financing

Agreement or may require the Authorized Participant to deliver the required cash for the cash purchase order on the trade date.

The extension

of Trade Credits on the trade date allows the Trust to purchase Bitcoin through the Prime Execution Agent on the trade date, with such

Bitcoin being deposited in the Trust’s Trading Account.

For settlement of a cash creation, the Trust delivers Shares to the Authorized

Participant in exchange for cash received from the Authorized Participant.

To the extent Trade Credits were utilized, the Trust uses

the cash to repay the Trade Credits borrowed from the Lender.

of Baskets - Settlement and Bitcoin Vault Transfers

the deposit by the Authorized Participant or its designated agent or client in connection with an in-kind purchase order or the Bitcoin

Trading Counterparty or the Prime Execution Agent in connection with a cash purchase order of the corresponding amount of Bitcoin with

the Trust’s Trading Account, and the payment of the applicable ETF servicing fee, and of any expenses, taxes or charges (such as

stamp taxes or stock transfer taxes or fees), the Cash Custodian delivers the appropriate number of Baskets to the DTC account of the

depositing Authorized Participant.

As of the date of this Annual Report, the Authorized Participants are Macquarie and Jane Street.

Authorized Participants may be added at any time, subject to the discretion of the Sponsor.

connection with the paragraph above, the deposit of Bitcoin is initially credited to the Trust’s Trading Account with the Prime

Execution Agent before being swept to the Trust’s Vault Account with the Bitcoin Custodian pursuant to a regular end-of-day sweep

Transfers of Bitcoin into the Trust’s Trading Account are off-chain transactions and transfers from the Trust’s

Trading Account to the Trust’s Vault Account are “on-chain” transactions represented on the Bitcoin blockchain.

costs related to transactions and transfers from the Trust’s Trading Account to the Trust’s Vault Account are borne by the

Prime Execution Agent (and not the Trust or its Shareholders).

the Sponsor has assumed what are expected to be most of the Trust’s expenses, and the Management Fee accrues daily at the same

rate, in the absence of any Extraordinary Expenses or liabilities, the amount of Bitcoin by which the Basket Amount will decrease each

day is predictable.

In connection with a cash purchase order, the Trust intends to have the Trust Administrator make available on each

Business Day an indicative Basket Amount for the next Business Day.

Authorized Participants may use that indicative Basket Amount as

guidance regarding the amount of cash that they may expect to have to deposit with the Trust Administrator in respect of cash purchase

orders placed by them on such next Business Day and accepted by the Trust.

The agreement entered into with each Authorized Participant

provides, however, that once a purchase order has been accepted by the Trust, the Authorized Participant is required to deposit with

the Trust Administrator the amount of U.S.

dollars necessary to purchase the Basket Amount of Bitcoin in connection with a cash purchase

order, as determined by the Trust on the effective date of the purchase order.

Shares can be issued unless and until the Prime Execution Agent has informed the Trust that it has allocated to the Trust’s account

the corresponding amount of Bitcoin.

Disruption of services at the Prime Execution Agent or Bitcoin Custodian would have the potential

to delay settlement of the Bitcoin related to Share creations.

transactions that occur on the blockchain are susceptible to delays due to Bitcoin network outage, congestion, spikes in transaction

fees demanded by miners, or other problems or disruptions.

To the extent that Bitcoin transfers from the Trust’s Trading Account

to the Trust’s Vault Account are delayed due to congestion or other issues with the Bitcoin network, such Bitcoin will not be held

in offline (cold) storage in the Vault Account until such transfers can occur.

of Baskets - In-Kind Redemptions

connection with an in-kind redemption, an Authorized Participant is required to submit a redemption order by the In-Kind Order Cutoff

An Authorized Participant must submit an in-kind redemption order to the Transfer Agent indicating the number of Baskets it intends

The date the Transfer Agent receives that order determines the Basket Amount in connection with an in-kind redemption to be

received in exchange.

However, orders received by the Transfer Agent after the In-Kind Order Cutoff Time on a Business Day will not be

accepted and should be resubmitted on the following Business Day.

the order date the Trust instructs the Bitcoin Custodian to prepare to move the associated Bitcoin from the Trust’s Vault Account

with the Bitcoin Custodian to the Trust’s Trading Account with the Prime Execution Agent.

For settlement of a redemption, the Authorized

Participant delivers the necessary Shares to the Trust, the Trust instructs the Prime Execution Agent to deliver Bitcoin to the account

of the Authorized Participant or its designated agent or client’s account at the Prime Execution Agent.

of Bitcoin from the Trust’s Vault Account to the Trust’s Trading Account are “on-chain” transactions represented

on the Bitcoin blockchain.

transactions that occur on the blockchain are susceptible to delays due to Bitcoin network outages, congestion, spikes in transaction

fees demanded by miners, or other problems or disruptions.

To the extent that Bitcoin transfers from the Trust’s Vault Account

to the Trust’s Trading Account are delayed due to congestion or other issues with the Bitcoin network or the Trust’s operations,

redemptions in the Trust could be delayed.

of services at the Prime Execution Agent or Bitcoin Custodian would have the potential to delay settlement of the Bitcoin related to

Share redemptions.

of Baskets - Cash Redemptions

connection with a cash redemption, an Authorized Participant is required to submit a cash redemption order by the Cash Order Cutoff Time.

An Authorized Participant must submit a redemption order to the Transfer Agent indicating the number of Baskets it intends to redeem.

The date the Transfer Agent receives that order determines the Basket Amount in connection with a cash redemption to be received in exchange.

However, orders received by the Transfer Agent after the Cash Order Cutoff Time on a Business Day will not be accepted and should be

resubmitted on the following Business Day.

the date of the Cash Order Cutoff Time, the Trust may choose, in its sole discretion, to enter into a transaction with a Bitcoin

Trading Counterparty or the Prime Execution Agent to sell Bitcoin in exchange for cash.

Also, on the date of the Cash Order Cutoff

Time, the Trust instructs the Bitcoin Custodian to prepare to move the associated Bitcoin from the Trust’s Vault Account with

the Bitcoin Custodian to the Trust’s Trading Account with the Prime Execution Agent.

For settlement of a redemption, the

Authorized Participant delivers the necessary Shares to the Trust, a Bitcoin Trading Counterparty or the Prime Execution Agent, as

applicable, delivers the cash to the Trust associated with the Trust’s sale of Bitcoin, the Trust delivers Bitcoin to the

Bitcoin Trading Counterparty’s account at the Prime Execution Agent or directly to the Prime Execution Agent, as applicable,

and the Trust delivers cash to the Authorized Participant.

In the event that the Trust has not been able to successfully execute and

complete settlement of a Bitcoin transaction by the settlement date, the Authorized Participant will be given the option to (1)

cancel the redemption order;

or (2) accept that the Trust will continue to attempt to complete the execution, which will delay the

settlement date.

With respect to a redemption order, between the Trust and the Authorized Participant, the Authorized Participant

will be responsible for the dollar cost of the difference between the Bitcoin price utilized in calculating the NAV on the trade

date and the price realized in selling the Bitcoin to raise the cash needed for the cash redemption order to the extent the price

realized in selling the Bitcoin is lower than the Bitcoin price utilized in the NAV.

To the extent the price realized in selling the

Bitcoin is higher than the price utilized in the NAV, the Authorized Participant shall get to keep the dollar impact of any such

transfers of Bitcoin from the Trust’s Trading Account to the Bitcoin Trading Counterparty’s account at the Prime Execution

Agent or to the Prime Execution Agent is an “off-chain” transaction that is recorded in the books and records of the Prime

Execution Agent.

Trust’s Trading Account with the Prime Execution Agent may not be funded with Bitcoin on the trade date for the sale of Bitcoin

in connection with the redemption order, when Bitcoin remains in the Trust’s Vault Account with the Bitcoin Custodian at the point

of intended execution of a sale of Bitcoin.

In those circumstances the Trust may borrow Trade Credits in the form of Bitcoin from the

Lender, which allows the Trust to sell Bitcoin through the Prime Execution Agent on the trade date, and the cash proceeds are deposited

in the Trust’s Trading Account with the Prime Execution Agent.

For settlement of a redemption where Trade Credits were utilized,

the Trust delivers cash to the Authorized Participant in exchange for Shares received from the Authorized Participant.

In the event Trade

Credits were used, the Trust will use the Bitcoin moved from the Trust’s Vault Account with the Bitcoin Custodian to the Trading

Account with the Prime Execution Agent to repay the Trade Credits borrowed from the Lender.

of Bitcoin from the Trust’s Vault Account to the Trust’s Trading Account are “on-chain” transactions represented

on the Bitcoin blockchain.

transactions that occur on the blockchain are susceptible to delays due to Bitcoin network outages, congestion, spikes in transaction

fees demanded by miners, or other problems or disruptions.

To the extent that Bitcoin transfers from the Trust’s Vault Account

to the Trust’s Trading Account are delayed due to congestion or other issues with the Bitcoin network or the Trust’s operations,

redemptions in the Trust could be delayed.

of services at the Prime Execution Agent, Bitcoin Custodian, Cash Custodian or the Authorized Participant’s banks would have the

potential to delay settlement of the Bitcoin related to Share redemptions.

of Baskets - Settlement

the surrender of Shares and the payment of the applicable transaction fee and of any expenses, taxes or charges (such as stamp taxes

or stock transfer taxes or fees) by the redeeming Authorized Participant, and the completion of the sale of Bitcoin in exchange for cash

by the Trust in connection with a cash redemption order, the Trust (1) instructs the Prime Execution Agent to deliver from the Trust’s

Trading Account to the account of the Authorized Participant or its agent or client, the amount of Bitcoin corresponding to the redeemed

Baskets in connection with an in-kind redemption order;

or (2) instructs the delivery of cash to the Authorized Participant in connection

with a cash redemption order.

Shares can only be surrendered for redemption in Baskets.

or Rejection of Creation or Redemption Orders

Sponsor may, in its discretion, suspend the right of creation or redemption, or postpone the redemption settlement date, (1) for any

period during which the Listing Exchange is closed other than customary weekend or holiday closings, or trading on the Listing Exchange

is suspended or restricted;

(2) for any period during which an emergency (for example, an interruption in services or availability of

the Bitcoin Custodian, Cash Custodian, Trust Administrator, or other service providers to the Trust, act of God, catastrophe, civil disturbance,

government prohibition, war, terrorism, strike or other labor dispute, fire, force majeure, interruption in telecommunications, order

entry systems, internet services, or network provider services, unavailability of Fedwire, SWIFT or banks’ payment processes, significant

technical failure, bug, error, disruption or fork of the Bitcoin network, hacking, cybersecurity breach, or power, internet, or Bitcoin

network outage, or similar event) exists as a result of which delivery, disposal or evaluation of Bitcoin is not reasonably practicable;

or (3) for such other period as the Sponsor determines to be necessary for the protection of the Shareholders.

For example, the Sponsor

may determine that it is necessary to suspend redemptions to allow for the orderly liquidation of the Trust’s assets.

If the Sponsor

has difficulty liquidating the Trust’s positions (e.g., because of a market disruption event or an unanticipated delay in the liquidation

of a position in an over-the-counter contract), it may be appropriate to suspend redemptions until such time as such circumstances are

None of the Sponsor, the person authorized to take redemption orders in the manner provided in the Authorized Participant

Agreement, or the Custodians are liable to any person or in any way for any loss or damages that may result from any such suspension

or postponement.

Sponsor acting by itself or through the person authorized to take creation or redemption orders in the manner provided in the Authorized

Participant Agreement may, in its sole discretion, reject any creation redemption order (1) the Sponsor determines not to be in proper

(2) the fulfillment of which its counsel advises may be illegal under applicable laws and regulations;

or (3) if circumstances

outside the control of the Sponsor, the person authorized to take creation or redemption orders in the manner provided in the Authorized

Participant Agreement or the Bitcoin Custodian make it for all practical purposes not feasible for the Shares to be delivered under the

creation or redemption order.

The Sponsor may also reject a redemption order if the number of Shares being redeemed would reduce the

remaining outstanding Shares to 10,000 Shares (i.e., 1 Basket) or less.

of the Trust, the Sponsor, the Transfer Agent, or the Custodians are liable for the rejection of any purchase order or

the event that the Sponsor intends to suspend or postpone creations or redemptions, it will provide Shareholders with notice in a prospectus

supplement and/or through a current report on Form 8-K or in the Trust’s annual or quarterly reports.

and Redemption Transaction Fee

compensate for expenses incurred in connection with the creation and redemption of Baskets, an Authorized Participant is required to

pay a standard transaction fee to create or redeem Baskets, which is not expected to vary in accordance with the number of Baskets in

The total transaction fee also includes applicable taxes, brokerage and any other commissions, transaction fees (including

financing), trade slippage and market impact costs, as applicable, and may be reduced, increased or otherwise changed by the Sponsor

and the Trust based on changes to the costs or inputs associated with the total transaction fee.

The Sponsor will notify Authorized Participants

of any change in the transaction fee and will not implement any change in the fee until after the date of notice.

Responsibility

Participants 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 or redemption of Baskets, regardless of whether or not such tax or charge is imposed directly on the

Authorized Participant, and agree to indemnify the Sponsor and the Trust if they are required by law to pay any such tax, together with

any applicable penalties, additions to tax and interest thereon.

Market Transactions

discussed above, Authorized Participants are the only persons that may place orders to create and redeem Baskets.

Authorized Participants

must be registered broker-dealers or other securities market participants, such as banks and other financial institutions that are not

required to register as broker-dealers to engage in securities transactions.

An Authorized Participant is under no obligation to create

or redeem Baskets, and an Authorized Participant is under no obligation to offer to the public Shares of any Baskets it does create.

Participants that do offer to the public Shares from the Baskets they create do so at per-Share offering prices that are expected to

reflect, among other factors, the trading price of the Shares on the Listing Exchange, the NAV of the Trust at the time the Authorized

Participant purchased the Baskets, the NAV of the Shares at the time of the offer of the Shares to the public, the supply of and demand

for Shares at the time of sale, and the liquidity of Bitcoin or other portfolio investments.

Baskets are generally redeemed when the

price per Share is at a discount to the NAV per Share.

Shares initially comprising the same Basket but offered by Authorized Participants

to the public at different times may have different offering prices.

An order for one or more Baskets may be placed by an Authorized

Participant on behalf of multiple clients.

Authorized Participants who make deposits with the Trust in exchange for Baskets receive no

fees, commissions or other forms of compensation or inducement of any kind from either the Trust or the Sponsor and no such person has

any obligation or responsibility to the Sponsor or the Trust to effect any sale or resale of Shares.

Shares trade in the secondary market

on the Listing Exchange.

of the Shares and the Trust Agreement

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

Shares are issued only in Baskets and

only upon the order of an Authorized Participant.

The Shares represent common units of fractional undivided beneficial interest in and

ownership of the Trust and have no par value.

of Limited Rights

Shares do not represent a traditional investment and should not be viewed as similar to “shares” of a corporation operating

a business enterprise with management and a board of directors.

A Shareholder does not have the statutory rights normally associated

with the ownership of Shares of a corporation.

Each Share is transferable (except to the extent restricted under the Securities Act),

is fully paid and non-assessable and entitles the holder to vote on the limited matters upon which Shareholders may vote under the Trust

For example, Shareholders do not have the right to elect directors and are not entitled to receive dividends.

The Shares do

not entitle their holders to any conversion or preemptive rights or, except as discussed below, any redemption rights or rights to distributions.

and Approvals

Shareholders take no part in the management or control of the Trust.

Under the Trust Agreement, Shareholders have limited voting rights.

However, no amendments to the Trust Agreement that materially adversely affect the interests of Shareholders may be made without the

vote of at least a majority (over 50%) of the Shares (not including any Shares held by the Sponsor or its affiliates).

The Sponsor may

generally make any other amendments to the Trust Agreement in its sole discretion without Shareholders’ consent.

Distributions

to the terms of the Trust Agreement, the Trust may make distributions on its Shares in cash or in Shares, with such frequency as the

Sponsor may determine.

addition, if the Trust is terminated and liquidated, the Sponsor will distribute to the Shareholders any amounts of the cash proceeds

(or Bitcoin) of the liquidation remaining after the satisfaction of all outstanding liabilities of the Trust and the establishment of

reserves for applicable taxes, other governmental charges and contingent or future liabilities as the Sponsor will determine.

of record on the record date fixed by the Transfer Agent for a distribution will be entitled to receive their pro rata portions of any

distribution.

of the Trust are held in book-entry form by the Transfer Agent.

Transfers are made in accordance with standard securities industry practice.

The Sponsor or its delegate shall (i) direct the Transfer Agent to credit or debit the number of creation Baskets or redemption Baskets

to the account of the applicable purchaser;

and (ii) issue or cancel creation Baskets or redemption Baskets, as applicable, at the direction

of the Sponsor or its delegate.

The Transfer Agent shall issue or cancel each purchaser’s Shares, as applicable.

its discretion, the Sponsor may direct the Transfer Agent to declare a split or reverse split in the number of Shares outstanding and

to make a corresponding change in the number of Shares constituting a Basket.

For example, if the Sponsor believes that the per Share

price in the secondary market for Shares has risen or fallen outside a desirable trading price range, it may declare such a split or

reverse split.

of the Trust Agreement

following is a description of the material terms of the Trust Agreement.

The Trust Agreement establishes the roles, rights and duties

of the Sponsor and the Trustee.

of the Sponsor and Indemnification

Covered Person is not liable to the Trust or any Shareholder for any action taken, or for refraining from taking any action in good faith,

having determined that such course of conduct was in the best interests of the Trust.

However, the preceding liability exclusion does

not protect the Sponsor against any liability resulting from its own willful misconduct, bad faith or gross negligence in the performance

of its duties.

Covered Person is indemnified by the Trust and held harmless against any loss, judgment, liability, expense incurred or amount paid in

settlement of any claim sustained by it in connection with the Covered Person’s activities for the Trust, without fraud, gross

negligence, bad faith, willful misconduct or a material breach of the Trust Agreement on the part of such indemnified party arising out

of or in connection with the performance of its obligations under the Trust Agreement and under each other agreement entered into by

the Sponsor in furtherance of the administration of the Trust (including, without limiting the scope of the foregoing, any subscription

agreement) or any actions taken in accordance with the provisions of the Trust Agreement.

Such indemnity shall include payment from the

Trust of the costs and expenses incurred by such indemnified party in defending itself against any claim or liability in its capacity

Any amounts payable to an indemnified party may be payable in advance or shall be secured by a lien on the Trust.

may, in its discretion, undertake any action that it may deem necessary or desirable in respect of the Trust Agreement and the interests

of the Shareholders and, in such event, the legal expenses and costs of any such actions shall be expenses and costs of the Trust and

the Sponsor shall be entitled to be reimbursed therefor by the Trust.

and Regulatory Duties of the Sponsor

Sponsor is not effectively subject to the duties and restrictions imposed on “fiduciaries” under both statutory and common

Rather, the general fiduciary duties that would apply to the Sponsor are defined and limited in scope by the Trust Agreement.

Delaware law, a Shareholder may bring a derivative action if the Shareholder is a Shareholder at the time the action is brought and either

(i) was a Shareholder at the time of the transaction at issue;

or (ii) acquired the status of Shareholder by operation of law or the

Trust’s governing instrument from a person who was a Shareholder at the time of the transaction at issue.

Additionally, Section

3816(e) of the DSTA specifically provides that “a beneficial owner’s right to bring a derivative action may be subject to

such additional standards and restrictions, if any, as are set forth in the governing instrument of the statutory trust, including, without

limitation, the requirement that beneficial owners owning a specified beneficial interest in the statutory trust join in the bringing

of the derivative action.” The Trust Agreement provides that in addition to any other requirements of applicable law, no Shareholder

shall have the right, power or authority to bring or maintain a derivative action, suit or other proceeding on behalf of the Trust unless

two or more Shareholders who (i) are not affiliates of one another;

and (ii) collectively hold at least 10% of the outstanding Shares

join in the bringing or maintaining of such action, suit or other proceeding.

provision does not apply to derivative actions brought in the name of the Trust under the federal securities laws and the rules and regulations

The Sponsor is not aware of any reason to believe that Section 7.4 of the Trust Agreement is not enforceable under state

or federal law.

Although the Court of Chancery of Delaware has stated that “[t]he DSTA is enabling in nature and, as such, permits

a trust through its declarations of trust to delineate additional standards and requirements with which a stockholder-plaintiff must

comply to proceed derivatively in the name of the trust.” Hartsel v.

Vanguard Group., Inc.

June 15, 2011, there

is limited case law addressing the enforceability of provisions similar to Section 7.4.

As such, it is possible that this provision would

not be enforced by a court in another jurisdiction or under other circumstances.

owners may have the right, subject to certain legal requirements, to bring class actions in federal court to enforce their rights under

the federal securities laws and the rules and regulations promulgated thereunder by the SEC.

Beneficial owners who have suffered losses

in connection with the purchase or sale of their beneficial interests may be able to recover such losses from the Sponsor where the losses

result from a violation by the Sponsor of the anti-fraud provisions of the federal securities laws.

Taken to Protect the Trust

Sponsor may, in its own discretion, prosecute, defend, settle or compromise actions or claims at law or in equity that it considers necessary

or proper to protect the Trust or the interests of the Shareholders.

The expenses incurred by the Sponsor in connection therewith (including

the fees and disbursements of legal counsel) are expenses of the Trust and are deemed to be Extraordinary Expenses.

The Sponsor is entitled

to be reimbursed for the Extraordinary Expenses.

the Sponsor is adjudged bankrupt or insolvent, the Sponsor may terminate and liquidate the Trust and distribute its remaining assets

in the Sponsor’s capacity as liquidating trustee.

Trustee is a fiduciary under the Trust Agreement and must satisfy the requirements of Section 3807 of the DSTA.

However, the fiduciary

duties, responsibilities and liabilities of the Trustee are limited by, and are only those specifically set forth in, the Trust Agreement.

on Trustee’s Liability

the Trust Agreement, the Sponsor has exclusive control of the management of all aspects of the activities of the Trust and the Trustee

has only nominal duties and liabilities to the Trust.

The Trustee is appointed to serve as the trustee for the sole purpose of satisfying

Section 3807(a) of the DSTA, which requires that the Trust have at least one trustee with a principal place of business in the State

The duties of the Trustee are limited to (i) accepting legal process served on the Trust in the State of Delaware;

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.

the extent the Trustee has duties (including fiduciary duties) and liabilities to the Trust or the Shareholders under the DSTA, such

duties and liabilities are replaced by the duties and liabilities of the Trustee expressly set forth in the Trust Agreement.

has no obligation to supervise, nor will it be liable for, the acts or omissions of the Sponsor, 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 Shares.

The Trustee’s

liability is limited solely to the express obligations of the Trustee as set forth in the Trust Agreement.

the Trust Agreement, the Sponsor has the exclusive management, authority and control of all aspects of the activities of the Trust.

Trustee has no duty or liability to supervise or monitor the performance of the Sponsor, nor does the Trustee have any liability for

the acts or omissions of the Sponsor.

The existence of a trustee should not be taken as an indication of any additional level of management

or supervision over the Trust.

The Trust Agreement provides that the management authority with respect to the Trust is vested directly

in the Sponsor.

The Trust Agreement provides that the Trustee is not responsible or liable for the genuineness, enforceability, collectability,

value, sufficiency, location or existence of any of the Bitcoin or other assets of the Trust.

Repayment of Distributions Received by Shareholders;

Indemnification by Shareholders

Shares are limited liability investments.

Investors may not lose more than the amount that they invest plus any profits recognized on

their investment.

Although it is unlikely, the Sponsor may, from time to time, make distributions to the Shareholders.

However, Shareholders

could be required, as a matter of bankruptcy law, to return to the estate of the Trust any distribution they received at a time when

the Trust was in fact insolvent or in violation of its Trust Agreement.

In addition, the Trust Agreement provides that Shareholders will

indemnify the Trust for any harm suffered by it as a result of Shareholders’ actions unrelated to the activities of the Trust.

foregoing repayment of distributions and indemnity provisions (other than the provision for Shareholders indemnifying the Trust for taxes

imposed upon it by a state, local or foreign taxing authority, which is included only as a formality due to the fact that many states

do not have statutory trust statutes, and therefore the tax status of the Trust in such states might, theoretically, be challenged) are

commonplace in statutory trusts and limited partnerships.

Indemnification

of the Trustee

Trustee and any of the officers, directors, employees and agents of the Trustee shall be indemnified by the Trust as primary obligor

and held harmless against any loss, damage, liability, claim, action, suit, cost, expense, disbursement (including the reasonable fees

and expenses of counsel), tax or penalty of any kind and nature whatsoever, arising out of, imposed upon or asserted at any time against

such indemnified person in connection with the performance of its obligations under the Trust Agreement, the creation, operation or termination

of the Trust or the transactions contemplated therein;

provided, however, that neither shall the Trust be required to indemnify any such

indemnified person for any such expenses which are a result of the willful misconduct, bad faith or gross negligence of such indemnified

of Trust Property

Trust holds and records the ownership of the Trust’s assets in a manner such that it is owned for the benefit of the Shareholders

for the purposes of, and subject to and limited by the terms and conditions set forth in, the Trust Agreement.

Other than issuance of

the Shares, the Trust does not create, incur or assume any indebtedness or borrow money from or loan money to any person.

may not commingle its assets with those of any other person.

Neither the Trust, the Sponsor, nor any other entity is permitted to lend,

pledge, hypothecate or rehypothecate any of the Trust’s assets.

Trustee may employ agents, attorneys, accountants, auditors and nominees and will not be answerable for the conduct or misconduct of

any such custodians, agents, attorneys or nominees if such custodians, agents, attorneys and nominees have been selected with reasonable

Discharge or Removal of Trustee;

Successor Trustees

Trustee may resign as Trustee by written notice of its election to do so, delivered to the Sponsor with at least 60 days’ notice.

The Sponsor may remove the Trustee in its discretion.

If the Trustee resigns or is removed, the Sponsor, acting on behalf of the Shareholders,

shall appoint a successor trustee.

The successor Trustee will become fully vested with all of the rights, powers, duties and obligations

of the outgoing Trustee.

Trust Agreement and the rights of the Sponsor, Trustee, and Shareholders under the Trust Agreement are governed by the laws of the State

Income Tax Considerations

following is a discussion of certain U.S.

federal income tax consequences that generally apply to the purchase, ownership and disposition

of Shares for Shareholders.

The discussion below is based on the Code, Treasury Regulations promulgated thereunder and judicial and administrative

interpretations of the Code, all as in effect on the date of this Annual Report and all of which are subject to change either prospectively

or retroactively.

The tax treatment of Shareholders may vary depending upon their own particular circumstances.

Certain Shareholders

(including, but not limited to, banks, financial institutions, insurance companies, regulated investment companies, real estate investment

Tax-Exempt Shareholders (as defined below) who acquire their Shares with acquisition indebtedness tax-exempt or tax-advantaged

retirement plans or accounts, brokers or dealers, traders, partnerships or S corporations for U.S.

federal income tax purposes, persons

holding Shares as a position in a “hedging,” “straddle,” “conversion,” “constructive sale”

or other integrated transaction for U.S.

federal income tax purposes, persons whose “functional currency” is not the U.S.

dollar, persons required for U.S.

federal income tax purposes to accelerate the recognition of any item of gross income with respect

to the Shares as a result of such income being recognized on an applicable financial statement, or other investors with special circumstances)

may be subject to special rules not discussed below.

In addition, the following discussion applies only to investors who hold Shares

as “capital assets” (generally, property held for investment).

Moreover, the discussion below does not address the effect

of any state, local or foreign tax, or any U.S.

federal non-income tax law consequences that may apply to an investment in Shares, or

the Medicare contribution tax imposed on certain net investment income.

Purchasers of Shares are urged to consult their own tax advisers

with respect to all U.S.

federal, state, local and foreign tax law considerations potentially applicable to their investment in Shares.

purposes of this discussion, a “U.S.

Shareholder” is a Shareholder that is (or is treated as), for U.S.

federal income tax

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.

individual who is a citizen or resident of the United States;

corporation created or organized in or under the laws of the United States, any state thereof

or the District of Columbia;

estate, the income of which is includible in gross income 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

to digital currencies, including forks, airdrops and other similar occurrences.

Assuming that the Trust is currently a grantor

trust for U.S.

federal income tax purposes, certain future developments could render it impossible, or impracticable, for the Trust

to continue to be treated as a grantor trust for such purposes.

the Trust is not properly classified as a grantor trust, the Trust might be classified as a partnership for U.S.

regardless of its source;

trust, if a court within the United States is able to exercise primary supervision over the

administration of the trust and one or more United States persons have the authority to control

all substantial decisions of the trust.

purposes of this discussion, a “U.S.

Tax-Exempt Shareholder” is a U.S.

Shareholder that is exempt from tax under Section

501(a) of the Code.

purposes of this discussion, a “Non-U.S.

Shareholder” is a Shareholder that is (or is treated as), for U.S.

federal income

tax purposes:

However, due to the uncertain treatment of digital currency for U.S.

federal income tax purposes, there can be no

assurance in this regard.

If the Trust were classified as a partnership for U.S.

federal income tax purposes, the tax consequences

of owning Units generally would not be materially different from the tax consequences described herein, although there might be

certain differences, including with respect to timing of the recognition of taxable income or loss.

In addition, tax information

reports provided to beneficial owners of Units would be made in a different form.

If the Trust were not classified as either a

grantor trust or a partnership for U.S.

federal income tax purposes, it would be classified as a corporation for such purposes.

In that event, the Trust would be subject to entity-level U.S.

federal income tax (currently at the rate of 21%) on its net taxable

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 (as calculated for U.S.

non-resident alien individual;

foreign corporation;

estate or trust whose income is not subject to U.S.

federal income tax on a net income basis.

an entity or arrangement treated as a partnership for U.S.

federal income tax purposes holds Shares, the tax treatment of a partner generally

depends upon the status of the partner and the activities of the partnership.

If you are a partner of a partnership holding Shares, the

discussion below may not be applicable and we urge you to consult your own tax adviser for the U.S.

federal income tax implications of

the purchase, ownership and disposition of such Shares.

Sponsor treats the Trust as a “grantor trust” 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.

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.

Although not free from doubt, due to

the lack of directly governing authority, the Trust should be classified as a “grantor trust” for U.S.

federal income tax

purposes (and the following discussion assumes such classification).

If the Trust is properly treated as a grantor trust for U.S.

income tax purposes, the Trust itself should not be subject to U.S.

federal income tax.

Instead, the Trust’s income and expenses

should “flow through” to the Shareholders, and the Trustee reports the Trust’s income, gains, losses and deductions

to the IRS on that basis.

It is possible that the IRS or another tax authority could assert a position contrary to one or all of those

conclusions and that a court could sustain that contrary position.

Neither the Sponsor nor the Trustee intends to request a ruling from

the IRS with respect to the classification of the Trust for U.S.

federal income tax purposes or with respect to any other matter.

the IRS were to assert successfully that the Trust is not classified as a “grantor trust,” the Trust would likely be classified

as either a partnership for U.S.

federal income tax purposes, in which case there might be different timing or other tax consequences

to the Shareholders, or as a publicly traded partnership that would be taxable as a corporation for U.S.

federal income tax purposes,

Uncertainty Regarding the

Federal Income Tax Treatment of Digital Currency

beneficial owner of Units will be treated for U.S.

federal income tax purposes as the owner of an undivided interest in the Bitcoins

(and any Additional Currency) held in the Trust.

Due to the new and evolving nature of digital currencies and the absence of comprehensive

guidance with respect to digital currencies, many significant aspects of the U.S.

in which case the Trust would be taxed in the same manner as a regular corporation on its taxable income and distributions to Shareholders

out of the earnings and profits of the Trust generally would be taxed to Shareholders as ordinary dividend income (which may be eligible

for preferential rates, in the case of non-corporate taxpayers, or a dividends received deduction, in the case of corporate taxpayers).

However, due to the uncertain treatment of digital currency for U.S.

federal income tax purposes, there can be no assurance in this regard.

Except as otherwise indicated, the remainder of this discussion assumes that the Trust is classified as a grantor trust for U.S.

income tax purposes.

Regarding the U.S.

Federal Income Tax Treatment of Digital Currency

are uncertain.

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.

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”

stated above, in 2014, the IRS released 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.

income tax purposes.

The IRS stated in the Notice that such digital currency (i) is “property” (ii) is “not treated

as currency” for purposes of the Code rules relating to foreign currency gain or loss and (iii) may be held as a capital asset.

In 2019, the IRS released the Ruling & FAQs that provide some additional guidance, including guidance to the effect that, under certain

circumstances, hard forks of digital currencies are taxable events giving rise to ordinary income and guidance with respect to the determination

of the tax basis of digital currency.

However, the Notice and the Ruling & FAQs do not address other significant aspects of the U.S.

federal income tax treatment of digital currencies.

Moreover, although the Ruling & FAQs address the treatment of hard forks, there

continues to be uncertainty with respect to the timing and amount of the income inclusions.

The IRS and Treasury department have also

released the Regulations.

The Regulations provide guidance with respect to the calculation of gain or loss and the basis of digital assets

under Section 1001 and 1012 of the Code.

Existing IRS Guidance, however, does not address other significant aspects of the U.S.

federal income tax treatment of digital currencies,

(i) whether convertible virtual currencies are properly treated as “commodities” for U.S.

federal income tax purposes;

(ii) whether convertible virtual currencies are properly treated as “collectibles”

(ii) whether convertible virtual currencies are properly treated as “collectibles” for U.S.

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.

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

uphold the treatment set forth in the Notice, Revenue Ruling and FAQs.

It is also unclear what additional guidance on the treatment

of digital currencies for U.S.

and (iii) the proper method of determining a holder’s holding period for convertible virtual currencies acquired at different times

or at varying prices.

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, there continues to be uncertainty with respect to the timing and amount of the income

inclusions from the receipt of digital assets.

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 uphold

the treatment set forth in the Existing IRS Guidance.

It is also unclear what additional guidance on the treatment of digital currencies

federal income tax purposes may be issued in the future.

Any such alteration of the current IRS

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.

Any such alteration of the current IRS positions or additional guidance

could result in adverse tax consequences for Shareholders 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 Shares.

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.

remainder of this discussion assumes that Bitcoin, and any Additional Currency that the Trust may hold, is properly treated for

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 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

in general, including, in the case of Unitholders that are generally exempt from U.S.

federal income taxation, whether such Unitholders

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

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.

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).

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.

are treated, for U.S.

federal income tax purposes, as if they directly owned a pro rata share of the underlying assets held in the Trust.

Except with respect to redemptions discussed below, Shareholders also are treated as if they directly received their respective pro rata

shares of the Trust’s income, if any, and as if they directly incurred their respective pro rata shares of the Trust’s expenses.

For purposes of this discussion, and unless stated otherwise, it is assumed that all of a Shareholder’s Shares are acquired on

the same date and at the same price per Share.

Shareholders that hold multiple lots of Shares, or that are contemplating acquiring multiple

lots of Shares, should consult their own tax advisers as to the determination of the tax basis and holding period for the underlying

Bitcoin related to such Shares.

IRS guidance on the treatment of convertible virtual currencies classifies Bitcoin as “property” that is not currency for

federal income tax purposes and clarifies that Bitcoin could be held as a capital asset, but it does not address several other aspects

federal income tax treatment of Bitcoin.

Because Bitcoin is a recent technological innovation, the 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.

As used herein, the

Holder” means a beneficial owner of a Unit for U.S.

federal income tax purposes that is:

● an individual who is a citizen or resident of the United States for U.S.

federal income tax purposes;

● 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;

● 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 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.

treatment of Bitcoin or transactions relating to investments in Bitcoin may evolve and change from those discussed below, possibly with

retroactive effect.

In this regard, the IRS indicated that it has made it a priority to issue additional guidance related to the taxation

of virtual currency transactions, such as transactions involving Bitcoin.

While it has started to issue such additional guidance, whether

any future guidance will adversely affect the U.S.

federal income tax treatment of an investment in Bitcoin or in transactions relating

to investments in Bitcoin is unknown.

Moreover, 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.

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.

This discussion assumes that any

Bitcoin the Trust may hold is properly treated for U.S.

federal income tax purposes as property that may be held as a capital asset and

is not currency for purposes of the provisions of the Code relating to foreign currency gain and loss.

Trust sells or uses Bitcoin to pay certain expenses of the Trust or to fund cash redemptions, though the Trust does not intend to sell

Bitcoin for other purposes.

If the Trust sells Bitcoin (for example to generate cash to pay fees or expenses) or is treated as selling

Bitcoin (for example by using Bitcoin to pay fees or expenses), a Shareholder generally recognizes gain or loss in an amount equal to

the difference between (a) the Shareholder’s pro rata share of the amount realized by the Trust upon the sale and (b) the Shareholder’s

tax basis for its pro rata share of the Bitcoin that was sold.

A Shareholder’s tax basis for its share of any Bitcoin sold by the

Trust should generally be determined by multiplying the Shareholder’s total basis for its share of all of the Bitcoin held in the

Trust immediately prior to the sale, by a fraction the numerator of which is the amount of Bitcoin sold, and the denominator of which

is the total amount of the Bitcoin held in the Trust immediately prior to the sale.

After any such sale, a Shareholder’s tax basis

for its pro rata share of the Bitcoin remaining in the Trust should be equal to its tax basis for its share of the total amount of the

Bitcoin held in the Trust immediately prior to the sale, less the portion of such basis allocable to its share of the Bitcoin that was

a Shareholder’s sale of some or all of its Shares (other than a redemption), the Shareholder is treated as having sold the portion

or all, respectively, of its pro rata share of the Bitcoin held in the Trust at the time of the sale that is attributable to the Shares

Accordingly, the Shareholder generally recognizes gain or loss on the sale in an amount equal to the difference between (a) the

amount realized pursuant to the sale of the Shares, and (b) the Shareholder’s tax basis for the portion of its pro rata share of

the Bitcoin held in the Trust at the time of sale that is attributable to the Shares sold, as determined in the manner described in the

preceding paragraph.

Based on current IRS guidance, such gain or loss (as well as any gain or loss realized by a Shareholder on account

of the Trust selling Bitcoin) is generally a long-term or short-term capital gain or loss, depending upon whether the Shareholder has

a holding period of greater than one year in its pro rata share of the Bitcoin that was sold.

or losses from the sale of Bitcoin to fund cash redemptions are treated as incurred by the Shareholder that is being redeemed, and the

amount of such gain or loss generally equals the difference between (a) the amount realized pursuant to the sale of the Bitcoin, and

(b) the Shareholder’s tax basis for the portion of its pro rata share of the Bitcoin held in the Trust that is sold to fund the

redemption, as determined in the manner described in the paragraph that is two paragraphs above this one.

A redemption of some or all

of a Shareholder’s Shares in exchange for the cash received from such sale is not treated as a separate taxable event to the Shareholder.

in-kind redemption of some or all of a Shareholder’s Shares in exchange for the underlying Bitcoin represented by the Shares redeemed

is generally not a taxable event to the Shareholder.

The Shareholder’s tax basis for the Bitcoin received in the in-kind redemption

is generally the same as the Shareholder’s tax basis for the portion of its pro rata share of the Bitcoin held in the Trust immediately

prior to the in-kind redemption that is attributable to the Shares redeemed.

The Shareholder’s holding period with respect to the

Bitcoin received generally should include the period during which the Shareholder held the Shares redeemed in kind.

A subsequent sale

of the Bitcoin received by the Shareholder is generally a taxable event, unless a nonrecognition provision of the Code or Treasury Regulations

applies to such sale.

any sale or redemption of less than all of a Shareholder’s Shares, the Shareholder’s tax basis for its pro rata share of

the Bitcoin held in the Trust immediately after such sale or redemption is generally equal to its tax basis for its share of the total

amount of the Bitcoin held in the Trust immediately prior to the sale or redemption, less the portion of such basis which is taken into

account in determining the amount of gain or loss recognized by the Shareholder upon such sale or redemption for money or, in the case

of an in-kind redemption, that is treated as the basis of the Bitcoin received by the Shareholder in the redemption.

a hard fork occurs in the Bitcoin blockchain, the Trust could temporarily hold both the original Bitcoin and the alternative new asset

as the Sponsor determines, in its sole discretion, which asset it believes is generally accepted as Bitcoin.

The other asset will be

treated as an Incidental Right and/or IR Virtual Currency, in accordance with the procedures specified herein.

The IRS has held that

a hard fork resulting in the creation of new units of cryptocurrency is a taxable event giving rise to ordinary income.

distribution and/or sale of the new alternative asset may cause Shareholders to incur a U.S.

federal income tax liability.

IRS has not addressed all situations in which airdrops occur, it is clear from the reasoning of the IRS’s current guidance that

it generally would treat an airdrop as a taxable event giving rise to ordinary income, and it is anticipated that any gain or loss from

disposition of any assets received in the airdrop would generally be treated as giving rise to capital gain or loss that generally would

be short-term capital gain or loss, unless the holding period of those assets were treated as being greater than one year as of the time

they are sold.

If in consultation with legal advisors and tax consultants, the Trust determines that the IR Virtual Currency is, or is

likely to be deemed, a security under federal or state securities laws or cause the Trust to lose its status as an investment trust classified

as a grantor trust for federal income tax purposes, the Sponsor will cause the Trust to permanently and irrevocably abandon any Incidental

Rights and IR Virtual Currency to which the Trust may become entitled in the future.

However, there can be no assurance that these abandonments

would be treated as effective for U.S.

federal income tax purposes, or that the Sponsor will continue to cause the Trust to permanently

and irrevocably abandon any Incidental Rights and IR Virtual Currency if there are future regulatory developments that would make it

feasible for the Trust to retain those assets.

Fees and Trust Expenses

brokerage, financing or other transaction fee incurred by a Shareholder in purchasing Shares is treated as part of the Shareholder’s

tax basis in the underlying assets of the Trust.

Similarly, any brokerage fee incurred by a Shareholder in selling Shares reduces the

amount realized by the Shareholder with respect to the sale.

It is also possible that, based on the mechanics associated with redemptions,

a Shareholder may recognize some amount of income, expense, gain or loss in connection with redemptions of other Shareholders, based

on differences between the prices at which Shares generally are redeemed and the actual prices at which the Trust sells Bitcoin.

are required to recognize the full amount of gain or loss upon a sale or deemed sale of Bitcoin by the Trust (as discussed above), even

though some or all of the proceeds of such sale are used by the Sponsor to pay Trust expenses.

Shareholders may deduct their respective

pro rata shares of each expense incurred by the Trust to the same extent as if they directly incurred the expense.

Shareholders who are

individuals, estates or trusts, however, may be required to treat some or all of the expenses of the Trust as miscellaneous itemized

An individual may not deduct miscellaneous itemized deductions.

Tax-Exempt Shareholders

retirement accounts (“IRAs”) and participant-directed accounts under tax-qualified retirement plans are limited in the types

of investments they may make under the Code.

Potential purchasers of Shares that are IRAs or participant-directed accounts under a Code

Section 401(a) plan should consult with their own tax advisors as to the ability to purchase Shares and the tax consequences of a purchase

Tax-Exempt Shareholders

recognized by U.S.

Tax-Exempt Shareholders is generally exempt from U.S.

federal income tax except to the extent of such Shareholders’

UBTI is defined generally as income from a trade or business regularly carried on by a tax-exempt entity that is unrelated to the

entity’s exempt purpose.

Dividends, interest and, with certain exceptions, gains or losses from the sale, exchange or other disposition

of property are generally excluded from UBTI (so long as not derived from debt-financed property).

Tax-Exempt Shareholder

owns an interest in a grantor trust, such as the Trust, the activities of the Trust (and any pass-through entities or disregarded entities

in which the Trust owns an interest) are attributed to the U.S.

Tax-Exempt Shareholder for purposes of determining whether such Shareholder’s

share of income is of the grantor trust UBTI.

Trust’s investments and activities relating thereto may cause a U.S.

Tax-Exempt Shareholder to realize UBTI.

In the absence of

any guidance on the matter, a U.S.

Tax-Exempt Shareholder’s share of income from a fork, airdrop, or similar event may be treated

If the Trust were to incur liabilities, and thus, be treated as holding property constituting debt-financed property (generally,

assets purchased with borrowed funds), income attributable to such property generally would constitute UBTI.

generally is separately calculated for each trade or business of a U.S.

Tax-Exempt Shareholder.

Tax Exempt Shareholder generally

cannot use deductions relating to one trade or business to offset income from another trade or business.

private foundation considering an investment should be aware that, if such a foundation acquires a sufficiently large number of

Shares, such Shares could become an “excess business holding” that could subject the foundation to a U.S.

foundation should consult its tax advisors regarding the excess business holdings provisions of the Code and other respects in which

the provisions of Chapter 42 of the Code could affect the consequences to such foundation of acquiring and holding Shares.

investors who are U.S.

Tax Exempt Shareholders should consult their tax advisors with respect to the U.S.

federal income tax consequences

of an investment in Shares.

Trust does not expect (though no assurance can be given) to be treated as engaged in a trade or business within the United States or

recognize income that is treated as “effectively connected” with the conduct of a trade or business in the United States

However, while it is unlikely that any income that the Trust might recognize as a result of a fork, airdrop or similar

event would give rise to effectively connected income, there has been no guidance as to how such events may be treated.

Therefore, there

can be no assurance that the Trust will not be treated as engaged in a U.S.

trade or business or will not otherwise generate income treated

as effectively connected with a U.S.

trade or business for U.S.

federal income tax purposes.

such a contribution should not be a taxable event to the U.S.

that the Trust is not engaged in the conduct of a U.S.

trade or business, and that it does not otherwise generate income treated as effectively

connected with a U.S.

trade or business, the U.S.

federal income tax liability of a Non-U.S.

Shareholder with respect to that Shareholder’s

Shares are generally limited to withholding tax on certain gross income from U.S.

sources (if any) generated by the Trust.

Shareholder’s allocable share of U.S.

source dividend, interest, rental and other “fixed or determinable annual

or periodical gains, profits and income” (“FDAP”) that is not ECI is generally subject to U.S.

federal withholding

tax at a rate of 30% (unless reduced or eliminated by an applicable income tax treaty or statutory exemption).

There is currently no

guidance as to whether income recognized by the Trust as a result of a fork, airdrop or similar event would constitute U.S.

Shareholder resident in a jurisdiction with which the U.S.

has an income tax treaty may be entitled to the benefits of that

treaty in order to reduce or eliminate the 30% U.S.

withholding tax with respect to that Shareholder’s distributive share of income

that the Trust treats as U.S.-source FDAP if under the laws of that non-U.S.

jurisdiction, the Trust is treated as tax-transparent and

certain other conditions are met.

In order to secure the benefits of an applicable income tax treaty through a reduction or elimination

of withholding, Non-U.S.

Shareholders are generally required to certify their non-U.S.

status by providing the Trust with an executed

IRS Form W-8BEN or W-8BEN-E.

However, if a Non-U.S.

Shareholder fails to provide such IRS Forms, the Trust intends to withhold at a full

30% rate on any Non-U.S.

Shareholder’s share of U.S.-source FDAP, in which case the Non-U.S.

Shareholder must file a refund claim

with the IRS in order to obtain the benefit of a reduced rate or exemption.

the proper amounts are withheld and remitted to the U.S.

government and the Trust does not recognize ECI, Non-U.S.

Shareholders that

are individuals or corporations are generally not required to file U.S.

federal income tax returns or pay additional 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 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

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.

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.

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

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.

Any such gain or loss will be short-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.

Although unclear due to lack of guidance, a U.S.

tax basis in its pro rata share of any Bitcoins transferred by the Trust generally will be determined by multiplying the tax basis

Holder’s pro rata share of all of the Bitcoins held in the Trust immediately prior to the transfer by a fraction

the numerator of which is the amount of Bitcoins transferred and the denominator of which is the total amount of Bitcoins held

in the Trust immediately prior to the transfer.

Immediately after the transfer, the U.S.

Holder’s tax basis in its pro rata

share of the Bitcoins remaining in the Trust will be equal to the tax basis of its pro rata share of the Bitcoins held in the Trust

immediately prior to the transfer, less the portion of that tax basis allocable to its pro rata share of the Bitcoins transferred.

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.

pro rata shares of the expenses incurred by the Trust will be treated as “miscellaneous itemized deductions” for U.S.

federal income tax purposes.

As a result, for taxable years beginning before January 1, 2026, a non-corporate U.S.

share of these expenses will not be deductible for U.S.

federal income tax purposes.

For taxable years beginning on or after January

1, 2026, a non-corporate U.S.

Holder’s share of these expenses will be deductible for regular U.S.

federal income tax purposes

only to the extent that the U.S.

Holder’s share of the expenses, when combined with other “miscellaneous itemized deductions,”

exceeds 2% of the U.S.

Holder’s adjusted gross income for the particular year, will not be deductible for U.S.

federal alternative

minimum tax purposes and will be subject to certain other limitations on deductibility.

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 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.

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 on the disposition.

Any brokerage or other

transaction fee incurred by a U.S.

Holder in purchasing Units generally will be added to the U.S.

Holder’s tax basis in the

underlying assets of the Trust.

Similarly, any brokerage fee or other transaction fee incurred by a U.S.

Holder in selling Units

generally will reduce the amount realized by the U.S.

Holder with respect to the sale.

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.

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.

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.

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;

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 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.

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).

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.

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.

can, however, be no complete assurance in this regard.

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

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.

taxes solely as a result of their investments in the Trust (though Non-U.S.

Shareholders treated as trusts for U.S.

federal income purposes

are subject to special rules).

the Trust is treated as a partnership (for U.S.

federal income tax purposes), a Non-U.S.

Shareholder is treated as disposing of Shares,

and any portion of the gain realized on the disposition would be treated as ECI, such Shares may be subject to a withholding tax equal

to 10% of the amount realized on the disposition (subject to reduction or elimination in certain circumstances).

are urged to consult with their tax advisers regarding the application of this withholding tax.

the Trust is treated as having any ECI (or any portion of the gain realized on a Non-U.S.

Shareholder’s disposition of Shares is

treated as ECI), then if such Non-U.S.

Shareholder is treated as a corporation, it may also be subject to U.S.

federal branch profits

tax on its effectively connected earnings and profits (which, with respect to the Shares, would generally be such Non-U.S.

Shareholder’s

share of ECI from such Shares, reduced by deductions taken into account by the Shareholder in computing its ECI, and further reduced

federal income taxes imposed on such ECI).

federal branch profits tax is generally imposed at a 30% rate, though it

may be reduced under the Code or pursuant to an applicable income tax treaty.

States Information Reporting and Backup Withholding

Trustee files certain information returns with the IRS, and provides certain tax-related information to Shareholders, in connection with

To the extent required by applicable regulations, each Shareholder is provided with information regarding its allocable portion

of the Trust’s annual income, expenses, gains and losses (if any).

Shareholders generally may comply with these identification

procedures by providing the Trust with a duly completed and executed IRS Form W-9 (Request for Taxpayer Identification Number and Certification).

Shareholders generally may comply with these identification procedures by providing the Trust with the relevant IRS Form W-8,

duly completed and executed.

Shareholders may be required to satisfy certain information reporting or certification requirements, e.g.,

those imposed by the “Foreign Account Tax Compliance Act” or “FATCA,” to avoid certain information reporting

and withholding tax requirements.

amount of any backup withholding is allowed as a credit against a Shareholder’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.

the Shareholder to a refund, provided that the required information is furnished to the IRS in a timely manner.

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 or staking would constitute U.S.-source FDAP income.

Provisions of the Code commonly referred to as “FATCA” require

withholding of 30% on payments of U.S.-source FDAP income and, subject to the discussion of proposed U.S.

Treasury regulations below,

of gross proceeds of dispositions of certain types of property that produce U.S.-source FDAP income to, “foreign financial institutions”

(which is broadly defined for this purpose and in general includes investment vehicles) and certain other non-U.S.

entities unless various

information 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 exemption applies.

An intergovernmental agreement between the United States and an applicable

foreign country may modify these requirements.

In addition, regulations proposed by the U.S.

Treasury Department (the preamble to which

indicates that taxpayers may rely on the regulations pending their finalization) would eliminate the requirement under FATCA of withholding

on gross proceeds.

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

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.

Such plans and accounts include, but are not limited to, corporate

pension and profit sharing plans, “simplified employee pension plans,” Keogh plans for self-employed individuals (including

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

in the entity by all “benefit plan investors” is not “significant” or certain other exceptions apply.

term “benefit plan investors” includes all Plans (i.e., all “employee benefit plans” as defined in and

subject to the fiduciary responsibility provisions of ERISA and all “plans” as defined in and subject to Section 4975

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.

ERISA provides that a Plan Assets Entity is considered to hold

plan assets only to the extent of the percentage of the Plan Assets Entity’s equity interests held by benefit plan investors.

In addition, all or part of an investment made by an insurance company using assets from its general account may be treated as

a benefit plan investor.

Investments by benefit plan investors will be deemed not significant if benefit plan investors own, in

the aggregate, less than 25% of the total value of each class of equity interests of the entity (determined by not including the

investments of persons with discretionary authority or control over the assets of such entity, of any person who provides investment

advice for a fee (direct or indirect) with respect to such assets, and “affiliates” (as defined in the regulations

issued under ERISA) of such persons;

provided, however, that under no circumstances are investments by benefit plan investors excluded

from such calculation).

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

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:

should consult their tax advisers regarding the effects of FATCA on an investment in the Trust.

SHAREHOLDERS ARE URGED TO CONSULT THEIR TAX ADVISERS TO DISCUSS ALL TAX CONSIDERATIONS THAT MAY BE RELEVANT TO THEM ASSOCIATED WITH ANY

PURCHASE, HOLDING, SALE, REDEMPTION OR OTHER DEALING IN THE SHARES BEFORE DECIDING WHETHER TO INVEST IN THE SHARES.

and Related Considerations

and Section 4975 of the Code impose certain requirements on employee benefit plans and certain other plans and arrangements, including

IRAs and annuities, Keogh plans, and certain collective investment funds or insurance company general or separate accounts in which such

plans or arrangements are invested, that are subject to ERISA and/or Section 4975 of the Code (collectively, “Plans”), and

on persons who are fiduciaries with respect to the investment of Plan assets.

plans, non-U.S.

plans and certain church plans (collectively, “Non-ERISA Arrangements”) are not subject to the fiduciary

responsibility or prohibited transaction provisions of ERISA or Section 4975 of the Code, but may be subject to similar rules under other

federal, state, local, non-U.S.

or other applicable laws (“Similar Laws”).

Fiduciary Matters

contemplating an investment of a portion of Plan assets in Shares, the Plan fiduciary responsible for making such investment should carefully

consider, taking into account the facts and circumstances of the Plan, the risks discussed in this Annual Report, and whether such investment

is consistent with its fiduciary responsibilities, including, but not limited to (i) whether the fiduciary has the authority to make

the investment under the appropriate governing plan instrument, (ii) whether the investment would constitute a direct or indirect non-exempt

prohibited transaction under ERISA or the Code, (iii) the Plan’s funding objectives, and (iv) whether under the general fiduciary

standards of investment prudence and diversification such investment is appropriate for the Plan, taking into account the overall investment

policy of the Plan, the composition of the Plan’s investment portfolio and the Plan’s need for sufficient liquidity to pay

benefits when due.

Fiduciaries of Non-ERISA Arrangements should carefully consider whether an investment in Shares would violate any

applicable Similar Laws.

Department of Labor’s regulations in Section 2510.3-101, as amended by Section 3(42) of ERISA (the “Plan Asset Regulations”),

if a Plan invests in an equity interest of an entity that is “a publicly-offered security,” the entity will not be deemed

to hold “plan assets” subject to ERISA, and a party managing the assets of such entity will not be subject to the fiduciary

responsibility and prohibited transaction rules of ERISA and Section 4975 of the Code.

A “publicly-offered security” is a

security that is freely transferable, part of a class of securities that is widely held, and is either (i) part of a class of securities

registered under Section 12(b) or 12(g) of the Exchange Act or (ii) sold to the plan as part of an offering of securities to the public

pursuant to an effective registration statement under the Securities Act and the class of securities of which such security is a part

is registered under the Exchange Act within 120 days (or such later time as may be allowed by the SEC) after the end of the fiscal year

of the issuer during which the offering of such securities to the public occurred.

Whether a security is “freely transferable”

is a factual question determined on the basis of facts and circumstances.

A class of securities is “widely-held” if it is

a class of securities that is owned by 100 or more investors independent of the issuer and of one another.

It is anticipated that the

Shares constitute “publicly-offered securities” as defined in the Plan Asset Regulations, because the Shares (i) are being

timely registered under the Exchange Act, (ii) should be considered “freely transferable” because they may be freely bought

and sold on the Listing Exchange, and (iii) should be considered “widely held” because they are owned by at least 100 investors

independent of the Trust and of each other.

Accordingly, only Shares held by a Plan, and not the underlying Bitcoin held in the Trust

represented by the Shares, should be treated as assets of the Plan, for purposes of applying the fiduciary responsibility and prohibited

transaction rules of ERISA and the Code.

by Certain Retirement Plans

and participant-directed accounts under tax-qualified retirement plans are limited in the types of investments they may make under the

Potential purchasers of Shares that are IRAs or participant-directed accounts under a Code Section 401(a) plan should consult with

their own advisors as to the consequences of an investment in Shares.

general, Shares may not be purchased with the assets of a Plan if the Trustee, the Sponsor, the distributor or any of their respective

affiliates or employees either:

(i) has investment discretion with respect to the investment of such Plan assets;

(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;

(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

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

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.

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.

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/or the Code, unless an exemption is available.

Representation

by acceptance of Shares, each purchaser and subsequent transferee of Shares is deemed to represent and warrant that either (i) no portion

of the assets used by such purchaser or transferee to acquire or hold the Shares constitutes assets of any Plan or Non-ERISA Arrangement

or (ii) the acquisition, holding and subsequent disposition of the Shares by such purchaser or transferee does not constitute or result

in any non-exempt prohibited transaction under Section 406 of ERISA or Section 4975 of the Code or violate any applicable Similar Law.

ERISA Plans may be required to report certain compensation paid by the Trust to the Trust’s service providers on Schedule C to

the ERISA Plan’s annual Form 5500.

To the extent applicable, any descriptions of such compensation herein are intended to satisfy

the disclosure requirements for “eligible indirect compensation” for purposes of the alternative reporting option on Schedule

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 ERISA and the Code 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