The Index and the Index Price
The Index is a U.S. dollar-denominated composite reference rate for the price of ZEC. The Index is designed to (1) mitigate the effects of fraud, manipulation and other anomalous trading activity from impacting the ZEC reference rate, (2) provide a real-time, volume-weighted fair value of ZEC and (3) appropriately handle and adjust for non- market related events. The Index Price is determined by the Index Provider through a process in which trade data is cleansed and compiled in such a manner as to algorithmically reduce the impact of anomalistic or manipulative trading. This is accomplished by adjusting the weight of each data input based on price deviation relative to the observable set, as well as recent and long-term trading volume at each venue relative to the observable set. The Index Price is calculated using non-GAAP methodology and is not used in the Trust’s financial statements. All references to the NAV and NAV per Share of the Trust in this prospectus prior to April 1, 2026 have been calculated using the Index Price based on the CoinDesk Zcash Price Index (ZCX) unless otherwise indicated. As of April 1, 2026, the NAV and NAV per Share of the Trust calculated using the Index Price based on the CoinDesk Zcash Benchmark Rate.
Constituent Trading Platform Selection
Digital Asset Trading Platforms are selected for inclusion in the Index based on a methodology developed by the Index Provider in alignment with the International Organization of Securities Commissions (“IOSCO”) Principles for Financial Benchmarks. To qualify as a Constituent Trading Platform, a platform is evaluated across the following core criteria listed below (the “Inclusion Criteria”): Market Quality: Overall liquidity, trading activity, price reliability, and market stability. Security: Cybersecurity safeguards, custody practices, and operational risk controls. Legal and Regulatory: Licensing status, regulatory compliance, and legal transparency. KYC: Assessment of anti-money laundering (“AML”) and know-your-customer (“KYC”) frameworks, transaction monitoring capabilities, and market oversight. Data Provision: Quality, accessibility, and reliability of trading data and technical infrastructure. Transparency: Financial and operational disclosures, including reserve and governance transparency. Team: Assessment of executive leadership, relevant experience, organizational structure, and service offerings across institutional and retail markets. Negative Events: The Index Provider may apply a downward adjustment for material adverse events, including data breaches, regulatory penalties, withdrawal freezes, or other significant incidents. Trading platforms that meet these Inclusion Criteria are also required to be licensed and able to serve customers in one or more of the following jurisdictions: United States (FinCEN, state regulatory authorities) United Kingdom (FCA) European Union (MiCA passport) Hong Kong (SFC) Singapore (MAS) United Arab Emirates, including the emirates of Dubai and Abu Dhabi (VARA, ADGM) Gibraltar (GFSC)
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