Osprey Bitcoin Trust

Previous wording

The following discussion and analysis was prepared to supplement information contained in the accompanying financial statements and is intended to explain certain items regarding the Trust’s financial condition as of March 31, 2026, and its results of operations for the three months ended March 31, 2026, and March 31, 2025. It should be read in conjunction with the audited financial statements and related notes thereto contained in this Quarterly Report.

Current wording

The following discussion and analysis were prepared to supplement information contained in the accompanying financial statements and is intended to explain certain items regarding the Trust’s financial condition as of June 30, 2026, and its results of operations for the three months and six months ended June 30, 2026, and June 30, 2025. It should be read in conjunction with the unaudited financial statements and related notes thereto contained in this Quarterly Report and the financial statements and related notes thereto contained in the Trust’s Annual Report on Form 10-K for the fiscal year ended December 31, 2025.

Previous wording

Financial Highlights for Three Months Ended March 31, 2026 and 2025

Current wording

Financial Highlights for the Three and Six Months Ended June 30, 2026 and 2025

Previous wording

Net realized and unrealized loss on investment in Bitcoin for the three months ended March 31, 2025, was $21,157,211 which includes a realized gain of $599,279 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 $21,756,490. 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 $82,445 per Bitcoin as of March 31, 2025. Net decrease in net assets resulting from operations was $21,720,710 for the three months ended March 31, 2025, which consisted of the net realized and unrealized depreciation on investment in Bitcoin, less the Management Fee of $218,107 and other expenses of $345,392. Net assets decreased to $159,058,773 on March 31, 2025, a 12.01% decrease for the period. The decrease in net assets resulted from the aforementioned Bitcoin price depreciation, and the Trust’s expenses of $563,499 for the period.

Current wording

Net realized and unrealized loss on investment in Bitcoin for the three months ended June 30, 2026, was $8,716,608, which includes a realized gain of $18,291 on the transfer of Bitcoin to pay the fee owed to the Sponsor (the “Management Fee”) and net change in unrealized depreciation on investment in Bitcoin of $8,734,899. Net realized and unrealized loss on investment in Bitcoin for the period was driven by Bitcoin price depreciation from $67,832 per Bitcoin as of March 31, 2026, to $58,605 per Bitcoin as of June 30, 2026. Net decrease in net assets resulting from operations was $8,799,520 for the three months ended June 30, 2026, which consisted of the net realized gain and net unrealized depreciation on investment in Bitcoin, and the Management Fee of $82,912. Net assets decreased to $55,366,014 as of June 30, 2026, a 13.7% decrease for the period. The decrease in net assets resulted from the aforementioned Bitcoin price depreciation and the Trust’s expenses of $82,912 for the period.

Previous wording

Net realized and unrealized loss on investment in Bitcoin for the three months ended March 31, 2026, was $21,646,683, which includes a realized gain of $30,979,300 on the transfer of Bitcoin to pay the fee owed to the Sponsor (the “Management Fee”) and redemptions and net change in unrealized depreciation on investment in Bitcoin of $52,625,983. Net realized and unrealized loss on investment in Bitcoin for the period was driven by Bitcoin price depreciation from $87,316 per Bitcoin as of December 31, 2025, to $67,832 per Bitcoin as of March 31, 2026. Net decrease in net assets resulting from operations was $21,755,174 for the three months ended March 31, 2026, which consisted of the net realized gain and unrealized depreciation on investment in Bitcoin, and the Management Fee of $108,491. Net assets decreased to $64,165,534 on March 31, 2026, a 53.1% decrease for the period. The decrease in net assets resulted from the aforementioned Bitcoin price depreciation, the Trust’s expenses of $108,491 and capital redemptions of $50,774,907 for the period.

Current wording

Net realized and unrealized loss on investment in Bitcoin for the six months ended June 30, 2026, was $30,363,291, which includes a realized gain of $30,997,591 on the transfer of Bitcoin to pay the fee owed to the Sponsor (the “Management Fee”) and redemptions and net change in unrealized depreciation on investment in Bitcoin of $61,360,882. Net realized and unrealized loss on investment in Bitcoin for the period was driven by Bitcoin price depreciation from $87,316 per Bitcoin as of December 31, 2025, to $58,605 per Bitcoin as of June 30, 2026. Net decrease in net assets resulting from operations was $30,554,694 for the six months ended June 30, 2026, which consisted of the net realized gain and net unrealized depreciation on investment in Bitcoin, and the Management Fee of $191,403. Net assets decreased to $55,366,014 as of June 30, 2026, a 59.5% decrease for the period. The decrease in net assets resulted from the aforementioned Bitcoin price depreciation, the Trust’s expenses of $191,403 and capital redemptions of $50,774,907 for the period.

Previous wording

The Trust’s net asset value (“NAV”) divided by the number of outstanding Shares (“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. U.S. Bancorp Fund Services, LLC (d/b/a U.S. Bank Global Fund Services) (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 day. The methodology used to calculate the Index price to value Bitcoin in determining the NAV of the Trust may not be deemed consistent with GAAP. As of March 31, 2026, the Trust’s NAV per Share was $21.82 based on the Index.

Current wording

The Trust’s net asset value (“NAV”) divided by the number of outstanding Shares (“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. U.S. Bancorp Fund Services, LLC (d/b/a U.S. Bank Global Fund Services) (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 day. The methodology used to calculate the Index price to value Bitcoin in determining the NAV of the Trust may not be deemed consistent with GAAP. As of June 30, 2026, the Trust’s NAV per Share was $18.83 based on the Index.

Previous wording

The Trust creates and redeems Shares only in blocks of 10,000 or integral multiples thereof (each, a “Basket”), based on the quantity of Bitcoin attributable to each Share (net of accrued but unpaid Management Fee and any accrued but unpaid expenses or liabilities). These transactions take place in exchange for Bitcoin or cash. Baskets are offered continuously at the index-based net asset value (“Index-based NAV”) per Share for 10,000 Shares. For purposes of creating and redeeming Baskets, the Trust uses an Index-based NAV calculated based on the value of Bitcoin as reflected by the Index. The amount of cash necessary for the creation of a Basket changes from day to day based on the Basket Amount. As of March 31, 2026, a Basket required delivery of 3.21693566 Bitcoin or $218,210.41.

Current wording

The Trust creates and redeems Shares only in blocks of 10,000 or integral multiples thereof (each, a “Basket”), based on the quantity of Bitcoin attributable to each Share (net of accrued but unpaid Management Fee and any accrued but unpaid expenses or liabilities). These transactions take place in exchange for Bitcoin or cash. Baskets are offered continuously at the index-based net asset value (“Index-based NAV”) per Share for 10,000 Shares. For purposes of creating and redeeming Baskets, the Trust uses an Index-based NAV calculated based on the value of Bitcoin as reflected by the Index. The amount of cash necessary for the creation of a Basket changes from day to day based on the Basket Amount. As of June 30, 2026, a Basket required delivery of 3.21276675 Bitcoin or $188,286.

Previous wording

The following chart illustrates the movements in the NAV of the Trust from the beginning of the Trust’s operations for the three months ended March 31, 2026.

Current wording

The following chart illustrates the movements in the NAV of the Trust from the beginning of the Trust’s operations through the period ended June 30, 2026.

Previous wording

The table below illustrates the movements in the Bitcoin Market Price for the three months ended March 31, 2026.

Current wording

The table below illustrates the movements in the Bitcoin Market Price for the six months ended June 30, 2026.

Previous wording

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.

Current wording

The Management Fee is paid in U.S. dollars. When selling Bitcoin to pay expenses, the Sponsor endeavors to sell the exact amount 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.