GRAYSCALE FUNDS TRUST NOTES TO FINANCIAL STATEMENTS June 30, 2025 (Unaudited) (Continued)
As described above, the Fund utilizes various methods to measure the fair value of its investments on a recurring basis. U.S. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of inputs are: Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access. Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data. Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability and would be based on the best information available. The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The following is a summary of the inputs used to value the Fund’s investments as of the end of the current fiscal period: Grayscale Bitcoin Adopters ETF
Level 1
Level 2
Level 3
Total
Assets^ Common Stocks. . . . . . . . . . . . . . . . . . . . . . . . . . . . $4,231,853 $
— $
— $4,231,853
Investments Purchased with Proceeds from Securities Lending . . . . . . . . . . . . . . . . . . . . . . . . Short-Term Investments. . . . . . . . . . . . . . . . . . . . . .
155,612
— — 155,612 — — 2,578
2,578
Total Investments ............................ $4,390,043 $
— $
— $4,390,043
Grayscale Bitcoin Covered Call ETF
Level 1
Level 2
Level 3
Total
Assets Purchased Options . . . . . . . . . . . . . . . . . . . . . . . . . . $ Money Market Funds. . . . . . . . . . . . . . . . . . . . . . . .
— $1,389,200 $
— $1,389,200
6,546,754
— — 6,546,754
Total Investments ............................ $6,546,754 $1,389,200 $
— $7,935,954
Liabilities Written Options . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ Total Investments ............................ $
— $ (114,760) $ — $ (114,760) $
— $ (114,760) — $ (114,760)
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