Osprey Bitcoin Trust 10-K

ITEM 7. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS The following discussion and analysis of our financial condition and results of operations should be read together with our financial statements and related notes included elsewhere in this Annual Report, which have been prepared in accordance with GAAP. The following discussion may contain forward-looking statements based on assumptions we believe to be reasonable. Our actual results could differ materially from those discussed in these forward-looking statements. Factors that could cause or contribute to these differences include, but are not limited to, those set forth under “Risk Factors” starting on page 31 of this Annual Report. Financial Highlights for Years Ended December 31, 2025 and 2024 Net realized and unrealized loss on investment in Bitcoin for the year ended December 31, 2025 was $11,315,457 which includes a realized gain of $31,706,586 on the transfer of Bitcoin to pay the Management Fee, redemptions and other expenses and net change in unrealized depreciation on investment in Bitcoin of $43,022,043. Net realized and unrealized loss on investment in Bitcoin for the period was driven by Bitcoin price depreciation from $93,393 per Bitcoin as of December 31, 2024, to $87,316 per Bitcoin as of December 31, 2025. Net decrease in net assets resulting from operations was $13,448,292 for the year ended December 31, 2025, which consisted of the net realized gain and unrealized depreciation on investment in Bitcoin, the Management Fee of $954,927 and other expenses of $1,177,908. Net assets decreased to $136,695,615 on December 31, 2025, a 24% decrease for the period. The decrease in net assets resulted from the aforementioned Bitcoin price depreciation, the Trust’s expenses of $2,132,835 and capital redemptions of $30,635,576 for the period. Net realized and unrealized gain on investment in Bitcoin for the year ended December 31, 2024 was $120,959,062 which includes a realized gain of $52,607,095 on the transfer of Bitcoin to pay the Management Fee, redemptions and other expenses and net change in unrealized appreciation on investment in Bitcoin of $68,351,967. Net realized and unrealized gain on investment in Bitcoin for the period was driven by Bitcoin price appreciation from $42,014 per Bitcoin as of December 31, 2023, to $93,393 per Bitcoin as of December 31, 2024. Net increase in net assets resulting from operations was $119,372,537 for the year ended December 31, 2024, which consisted of the net realized and unrealized gain on investment in Bitcoin, less the Management Fee of $678,610 and other expenses of $907,915. Net assets increased to $180,779,483 on December 31, 2024, a 57% increase for the period. The increase in net assets resulted from the aforementioned Bitcoin price appreciation partially offset by the Trust’s expenses of $1,586,525 for the period and capital redemption of $54,057,318 for the period. Cash Resources and Liquidity The Management Fee is paid in U.S. dollars. When selling Bitcoin to pay expenses, the Sponsor endeavors to sell the exact number of Bitcoin needed to pay expenses in order to minimize the Trust’s holdings of assets other than Bitcoin. As a consequence, the Sponsor expects that the Trust will not record any cash flow from its operations and that its cash balance will be zero at the end of each reporting period. The prices of digital assets, specifically Bitcoin, have experienced substantial volatility, which may reflect “bubble” type volatility, meaning that high or low prices may have little or no relationship to identifiable market forces, may be subject to rapidly changing investor sentiment, and may be influenced by factors such as technology, regulatory void or changes, fraudulent actors, manipulation, and media reporting. Bitcoin may have value based on various factors, including their acceptance as a means of exchange by consumers and others, scarcity, and market demand. In exchange for the Management Fee, the Sponsor has agreed to pay all routine and ordinary administrative and operating expenses of the Trust including the fees of the Trustee, the Trust Administrator, Fund Accountant, Transfer Agent, the Custodians’ Fees, Listing Exchange fees, SEC registration fees, printing and mailing costs, tax reporting fees, audit fees, license fees and ordinary legal fees and expenses. The Trust is not aware of any trends, demands, conditions or events that are reasonably likely to result in material changes to its liquidity needs. Historical Digital Asset Holdings and Bitcoin Prices As movements in the price of Bitcoin directly affects the price of the Shares, investors should understand recent movements in the price of Bitcoin. Investors, however, should also be aware that past movements in the Bitcoin price are not indicators of future movements. Movements may be influenced by various factors, including, but not limited to, government regulation and security breaches experienced by service providers, as well as political and economic uncertainties around the world. The following chart illustrates the historical movements in the NAV of the Trust from the beginning of the Trust’s operations on January 3, 2019, to December 31, 2025. Prior to trading on the Listing Exchange on December 19, 2025, NAV was 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, which uses pricing methodology designed in accordance with ASC 820-10. From December 19, 2025, through December 31, 2025, NAV is determined based on the Index. 63 The table below illustrates the movements in the Bitcoin Market Price since the beginning of the Trust’s operations on January 3, 2019 through December 18, 2025. Beginning on December 19, 2025, the performance of Bitcoin is measured by reference to the Index. Since the beginning of the Trust’s operations through December 18, 2025, the Bitcoin Market Price has ranged from $3,358.67 to $125,492.00, with the straight average being $41,482.46. From December 19, 2025 through December 31, 2025, the Index price has ranged from $87,218.24 to $88,121.12. The Sponsor has not observed a material difference between the Bitcoin Market Price, the Index price and average prices from the constituent Bitcoin exchanges individually or as a group. Period Average High Date Low Date End of period From January 3, 2019 to December 31, 2019 $ 7,379.15 $ 13,724.33 6/26/2019 $ 3,358.67 2/7/2019 $ 7,153.38 Year ended December 31, 2020 11,131.27 29,026.66 12/31/2020 4,956.92 3/16/2020 29,026.66 Year ended December 31, 2021 47,524.08 67,371.70 11/9/2021 29,785.71 7/20/2021 45,867.86 Year ended December 31, 2022 28,203.59 47,982.33 3/28/2022 15,766.93 11/21/2022 16,561.21 Year ended December 31, 2023 28,831.18 44,422.02 12/8/2023 16,655.42 1/3/2023 42,014.39 Year ended December 31, 2024 65,878.39 106,716.00 12/17/2024 39,120.89 1/23/2024 93,393.01 Year ended December 31, 2025 101,739.77 125,492.00 10/6/2025 76,766.00 4/8/2025 87,315.53 January 3, 2019 (the inception of the Trust’s operations) to December 31, 2025 $ 41,482.46 $ 125,492.00 10/6/2025 $ 3,358.67 2/7/2019 $ 87,315.53 Secondary Market Trading The Trust’s Shares were quoted on OTC Markets from February 12, 2021, and on OTCQX under the symbol OBTC from February 26, 2021, through December 18, 2025. On December 19, 2025, the Trust’s Shares began trading on the Listing Exchange. Historically, the price of the Shares as quoted on OTCQX (and OTC Markets) varied significantly from the NAV per Share. From February 12, 2021, to December 18, 2025, the maximum premium of the closing price of the Shares quoted on OTCQX (and OTC Markets) over the value of the Trust’s NAV per Share by reference to the Bitcoin Market Price was approximately 240% and the average daily discount was approximately -11.65%. As of December 31, 2025, the Trust’s Shares have been traded on the Listing Exchange at a premium of approximately 0.14% to the Trust’s NAV per Share. 64 While quoted on OTCQX and OTC Markets, the historical premium of the closing price of the Shares as compared with the NAV per Share has varied, from a high of 240.16% on February 16, 2021, (closing price $56.39 per Share on OTCQX (and OTC Markets) and NAV per Share $16.58) to a low (i.e., discount) of -46.15% on November 18, 2022 (closing price $3 per Share on OTCQX (and OTC Markets) and NAV per Share $5.56). The following table sets out the range of high and low closing prices for the Shares as reported by OTCQX, the Trust’s NAV per Share for the period from February 12, 2021, to December 18, 2025. High Low OTC Markets NAV per Share OTC Markets NAV per Share 2/16/2021 10/6/2025 11/18/2022 11/21/2022 $ 56.39 $ 40.56 $ 3.00 $ 5.28 Market Risk See “Section 1A—Risk Factors” for a discussion of market risk. Credit Risk The Trust holds one type of investment - Bitcoin. To 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, the Trust may acquire Trade Credits from the Lender on a short-term basis pursuant to the Coinbase Trade Financing Agreement (the “Trade Financing Agreement”). The Trust must fully repay to the Lender the Trade Credits extended during a Defined Interval by the Settlement Deadline for that Defined Interval. “Defined Interval” means a twenty-four (24) hour period starting at 6:00 a.m. ET (or such other time as may be notified by the Lender to the Trust from time to time) on any day that the Lender has extended Trade Credit to the Trust. The “Settlement Deadline” shall mean 6:00 p.m. ET on the calendar day immediately following the start of a Defined Interval. The Trust is permitted to repay the Trade Credits at any time during the Defined Interval. Failure of the Trust to fully repay the Trade Credits by the Settlement Deadline may result in an Event of Default (as such term is defined in the agreement). The Trust must repay the Lender with the same type of asset that the Lender provided in extending the applicable Trade Credit. The Trust’s repayment obligation shall be satisfied only when the Lender receives good funds for cash Trade Credits or Bitcoin for Trade Credits. All cash repayments must be made to the Lender in good funds by the Settlement Deadline, regardless of whether the Federal Reserve wire transfer system is open for business. Trading and Other Risks See “Section 1A—Risk Factors” for a discussion of trading and other related risks. ITEM 7A. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK The Trust does not hold securities and does not invest in derivative instruments. ITEM 8. FINANCIAL STATEMENTS See “Index to Financial Statements” on page F-1 for a list of the financial statements being filed therein. ITEM 9. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL DISCLOSURE None.