GRAYSCALE FUNDS TRUST NOTES TO FINANCIAL STATEMENTS December 31, 2025
NOTE 1 – ORGANIZATION The Grayscale Funds Trust (the “Trust”) was organized as a Delaware statutory trust under a Declaration of Trust dated May 3, 2023. The Trust is registered with the Securities and Exchange Commission (“SEC”) under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company and the offering of each Fund’s shares is registered under the Securities Act of 1933, as amended (the “Securities Act”). The Grayscale Bitcoin Adopters ETF (the “Bitcoin Adopters ETF”), Grayscale Bitcoin Covered Call ETF (the “Bitcoin Covered Call ETF”), Grayscale Bitcoin Premium Income ETF (the “Bitcoin Premium Income ETF”), Grayscale Bitcoin Miners ETF (the “Bitcoin Miners ETF”), and the Grayscale Ethereum Covered Call ETF (the “Ethereum Covered Call ETF”) (each a “Fund”, and together, the “Funds”), each represent a distinct series with its own investment objective and policies within the Trust. The Grayscale Bitcoin Adopters ETF seeks investment results that track the performance (before fees and expenses) of the Indxx Bitcoin Adopters Index (the “Bitcoin Adopters Index”). The Fund commenced operations on April 30, 2025. The Grayscale Bitcoin Covered Call ETF seeks to provide current income. The Fund’s secondary objective is to participate in the returns of Bitcoin through the use of options on Bitcoin exchange-traded products whose investment objectives are to, before fees and expenses, track the price performance of Bitcoin. The Fund commenced operations on April 2, 2025. The Grayscale Bitcoin Premium Income ETF seeks to provide current income while maintaining prospects for capital appreciation through the use of options on Bitcoin exchange-traded products whose investment objectives are to, before fees and expenses, track the price performance of Bitcoin. The Fund commenced operations on April 2, 2025. The Grayscale Bitcoin Miners ETF seeks investment results that track the performance (before fees and expenses) of the Indxx Bitcoin Miners Index (the “Bitcoin Miners Index”). The Fund commenced operations on January 30, 2025. The Grayscale Ethereum Covered Call ETF seeks to provide and deliver current income. The Fund seeks to provide exposure to the return of one or more exchange-traded products that provide exposure to Ether, including, but not limited to, Grayscale Ethereum Staking Trust ETF (Ticker: ETHE) and Grayscale Ethereum Mini Trust ETF (Ticker: ETH) (the “Ethereum ETPs”). The Fund commenced operations on September 4, 2025. The end of the reporting period for the Funds is December 31, 2025, and the current fiscal periods are the periods from each Fund’s inception through December 31, 2025 (the “current fiscal period”). NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES The Funds are investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 Financial Services – Investment Companies. The following is a summary of significant accounting policies consistently followed by the Funds. These policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). A. S ecurity Valuation. All equity securities, including domestic and foreign common stocks, preferred stocks and exchange-traded funds that are traded on a national securities exchange, except those listed on the Nasdaq Global Market ® , Nasdaq Global Select Market ® , and the Nasdaq Capital Market ® exchanges (collectively, “Nasdaq”), are valued at the last reported sale price on the exchange on which the security is principally traded. Securities traded on Nasdaq will be valued at the Nasdaq Official Closing Price (“NOCP”). If, on a particular day, an exchange- traded or Nasdaq security does not trade, then the mean between the most recent quoted bid and asked prices will be used. All equity securities that are not traded on a listed exchange are valued at the last sale price in the over-the-counter market. If a non-exchange traded security does not trade on a particular day, then the mean between the last quoted closing bid and asked price will be used. Prices denominated in foreign currencies are converted to U.S. dollar equivalents at the current exchange rate, which approximates fair value. Investments in mutual funds, including money market funds, are valued at their net asset value (“NAV”) per share. Exchange-traded options contracts are valued using the midpoint of quoted bid and ask spread prices, as provided by independent pricing sources. FLEX Options, which do not have readily available quoted market prices, are valued using a pricing model that incorporates observable market inputs, including the underlying reference asset or index value, strike price, time to expiration, interest rates, and implied volatility.
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