GRAYSCALE FUNDS TRUST NOTES TO FINANCIAL STATEMENTS June 30, 2025 (Unaudited) (Continued)
D. Security Transactions and Investment Income. Investment securities transactions are accounted for on the trade date. Gains and losses realized on sales of securities are determined on a specific identification basis. Dividend income is recorded on the ex-dividend date. Non-cash dividends included in dividend income or separately disclosed, if any, are recorded at the fair value of the security received. Withholding taxes on foreign dividends, if any, have been provided for in accordance with the Funds’ understanding of the applicable tax rules and regulations. Interest income is recorded on an accrual basis. E. Distributions to Shareholders. Distributions to shareholders from net investment income and net realized gains on securities are declared and paid by the Funds at least annually. Distributions are recorded on the ex-dividend date. F. Use of Estimates. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, as well as the reported amounts of revenues and expenses during the current fiscal period. Actual results could differ from those estimates. G. Share Valuation. The NAV per share of each Fund is calculated by dividing the sum of the value of the securities held by the Fund, plus cash and other assets, minus all liabilities (including estimated accrued expenses) by the total number of shares outstanding of the Fund, rounded to the nearest cent. The Funds’ shares will not be priced on the days on which the New York Stock Exchange (“NYSE”) is closed for trading. The offering and redemption price per share of each Fund is equal to the Fund’s NAV per share. H. G uarantees and Indemnifications. In the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be against the Funds that have not yet occurred. However, based on experience, the Funds expects the risk of loss to be remote. I. Reclassification of Capital Accounts. U.S. GAAP requires that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or NAV per share. J. Consolidation of Subsidiaries. The Grayscale Bitcoin Covered Call Subsidiary and the Grayscale Bitcoin Premium Income Subsidiary (together, the "Cayman Subsidiaries"), which are organized under the laws of the Cayman Islands, are wholly owned, and controlled by each of the Grayscale Bitcoin Premium Income ETF and the Grayscale Bitcoin Covered Call ETF, respectively (the “Options Funds”). The Cayman Subsidiaries act as an investment vehicle to facilitate entering into certain investments for the Options Funds, consistent with each Option Fund's investment objectives and policies specified in its prospectus and statement of additional information and within the limitation of the U.S. federal tax requirements applicable to regulated investment companies. As of June 30, 2025, the net assets of the Bitcoin Covered Call ETF were $7,819,715, of which $4,596,839, or approximately 58.79%, represented the Bitcoin Covered Call ETF’s ownership of the shares of the Bitcoin Covered Call Subsidiary. As of June 30, 2025, the net assets of the Bitcoin Premium Income ETF were $4,051,336, of which $2,423,512, or approximately 59.82%, represented the Bitcoin Premium Income ETF’s ownership of the shares of the Bitcoin Premium Income Subsidiary. K. Derivatives. The Options Funds may buy and write (sell) options on securities and other assets for the purpose of realizing its investment objectives. Options may settle in cash or settle by a delivery of securities or other assets underlying the options. By buying a call option, the Fund has the right, in return for a premium paid during the term of the option, to buy the asset underlying the option at the exercise price. By writing (selling) a call option the Fund becomes obligated during the term of the option to sell the asset underlying the option at the exercise price if the option is exercised; conversely, by buying a put option, the Fund has the right, in return for a premium paid during the term of the option, to sell the asset underlying the option at the exercise price. By writing a put option, the Fund becomes obligated during the term of the option to purchase the asset underlying the option at the exercise price if the option is exercised.
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