Quarterly Report for Quarter Ending March 31, 2026 (Form 10-Q)

MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS.

The following discussion and analysis of our financial condition and results of operations should be read together with, and is qualified in its entirety by reference to, our unaudited financial statements and related notes included elsewhere in this Quarterly Report on Form 10-Q (this "Quarterly Report"), which have been prepared in accordance with generally accepted accounting principles in the United States ("GAAP"). The following discussion may contain forward-looking statements based on assumptions we believe to be reasonable. Our actual results could differ materially from those discussed in these forward-looking statements. Factors that could cause or contribute to these differences include, but are not limited to, those discussed below and elsewhere in this Quarterly Report, "Cautionary Note Regarding Forward-Looking Statements," and the risks described in the in Item 1A. "Risk Factors" of the Annual Report on Form 10-K of Osprey Bitcoin Trust (the "Trust") for the fiscal year ended December 31, 2025.

Overview

Osprey Funds, LLC (the "Sponsor") is the sponsor of the Trust. The investment objective of the Trust is for the shares of beneficial interest (the "Shares") to reflect the performance of Bitcoin as measured by reference to the CME CF Bitcoin Reference Rate - New York Variant (the "Index"), less the Trust's expenses and other liabilities. Each Share represents a fractional undivided beneficial interest in the net assets of the Trust. The assets of the Trust consist primarily of Bitcoin held on behalf of the Trust by Coinbase Custody Trust Company, LLC (the "Bitcoin Custodian"), the custodian for the Trust's Bitcoin holdings.

Prior to listing the Shares for trading on the Nasdaq Stock Market LLC (the "Listing Exchange"), the Shares were quoted on OTC Markets and OTC Markets Group, Inc.'s OTCQX® Best Marketplace ("OTCQX") under the ticker symbol "OBTC." The Trust's Shares were quoted on OTC Markets from February 12, 2021, and on OTCQX under the symbol OBTC from February 26, 2021, through December 18, 2025. On December 19, 2025, the Trust's Shares began trading on the Listing Exchange.

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.

Critical Accounting Policies and Estimates

Fair Value Determination

The Trust's financial statements are prepared in accordance with the Financial Accounting Standards Board Accounting Standards Codification Topic 820, "Fair Value Measurements and Disclosures" ("ASC 820-10"). ASC 820-10 determines fair value to be the price that would be received for Bitcoin in a current sale, which assumes an orderly transaction between market participants on the measurement date. ASC 820-10 requires the Trust to assume that Bitcoin is sold in its principal market to market participants or, in the absence of a principal market, the most advantageous market. Market participants are defined as buyers and sellers in the principal or most advantageous market that are independent, knowledgeable, and willing and able to transact. The Trust purchases Bitcoin directly from various counterparties, such as Coinbase, Inc. ("Coinbase") and A1, Ltd. ("Anchorage"), and does not itself transact in any Bitcoin markets. The purchase price of Bitcoin from our counterparties may vary significantly. The Trust looks to these counterparties when assessing entity-specific and market-based volume and the level of activity in the Bitcoin markets. The Trust determines the current value of Bitcoin by reference to the market price of Bitcoin as determined in accordance with ASC 820-10 on each business day on which the Listing Exchange is open for regular trading (the "Bitcoin Market Price"). The Bitcoin Market Price is determined based on the estimated fair market value price for Bitcoin, reflecting the execution price of Bitcoin on its principal market as determined by the Trust. Fair value pricing may require subjective determinations about the value of an asset or liability. Fair values determined as described herein may differ from quoted or published prices, or from prices that are used by others, for Bitcoin.

Results of Operations

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

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.

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.

Net Asset Value

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.

The Sponsor believes that the Index is reflective of a reasonable valuation of the average spot price of Bitcoin. However, in the event the Index is not available or is determined by the Sponsor to not be reliable, the Sponsor reserves the right to replace the Index with another valuation methodology which it believes will accurately track the price of Bitcoin. If the Sponsor makes the decision to materially change the valuation methodology or replace either the Index or the administrator of the Index, CF Benchmarks Ltd. (the "Index Administrator"), the Sponsor will notify Shareholders via a posting on the Trust's website, prospectus supplement, post-effective amendment, through a current report on Form 8-K or in the Trust's annual or quarterly reports.

The Sponsor publishes the NAV at https://www.rexshares.com/OBTC/ after their determination and availability. Index data and the description of the Index are based on information made publicly available by the Index Administrator on its website at https://www.cfbenchmarks.com.

The Trust's financial statements are prepared in accordance with ASC 820-10. ASC 820-10 determines fair value to be the price that would be received for Bitcoin in a current sale, which assumes an orderly transaction between market participants on the measurement date. ASC 820-10 requires the Trust to assume that Bitcoin is sold in its principal market to market participants or, in the absence of a principal market, the most advantageous market. Market participants are defined as buyers and sellers in the principal or most advantageous market that are independent, knowledgeable, and willing and able to transact. The Trust purchases Bitcoin directly from various counterparties, such as Coinbase and Anchorage, and does not itself transact in any Bitcoin markets. The purchase price of Bitcoin from our counterparties may vary significantly. The Trust looks to these counterparties when assessing entity-specific and market-based volume and the level of activity in the Bitcoin markets. The Trust determines the current value of Bitcoin by reference to the Bitcoin Market Price. The Bitcoin Market Price is determined based on the estimated fair market value price for Bitcoin, reflecting the execution price of Bitcoin on its principal market as determined by the Trust. Fair value pricing may require subjective determinations about the value of an asset or liability. Fair values determined as described herein may differ from quoted or published prices, or from prices that are used by others, for Bitcoin.

It is possible that the fair value determined for an investment may be materially different than the value that could be realized upon the sale of such investment. Information that becomes known to the Trust or its agents after the NAV has been calculated on a particular day is not used to retroactively adjust the price of an investment or the NAV determined earlier that day.

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.

As movements in the price of Bitcoin directly affect the price of the Shares, investors should understand recent movements in the price of Bitcoin. Investors, however, should also be aware that past movements in the Bitcoin price are not indicators of future movements. Movements may be influenced by various factors, including, but not limited to, government regulation and security breaches experienced by service providers, as well as political and economic uncertainties around the world.

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.

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

Period		Average				High				Date		Low				Date		End of period
From January 3, 2019 to December 31, 2019		$	7,379.15			$	13,724.33			6/26/2019		$	3,358.67			2/7/2019		$	7,153.38
Year ended December 31, 2020			11,131.27				29,026.66			12/31/2020			4,956.92			3/16/2020			29,026.66
Year ended December 31, 2021			47,524.08				67,371.70			11/9/2021			29,785.71			7/20/2021			45,867.86
Year ended December 31, 2022			28,203.59				47,982.33			3/28/2022			15,766.93			11/21/2022			16,561.21
Year ended December 31, 2023			28,831.18				44,422.02			12/8/2023			16,655.42			1/3/2023			42,014.39
Year ended December 31, 2024			65,878.39				106,716.00			12/17/2024			39,120.89			1/23/2024			93,393.01
Year ended December 31, 2025			101,739.77				125,492.00			10/6/2025			76,766.00			4/8/2025			87,315.53
Three months ended March 31, 2026			76,358.39				97,546.85			1/14/2026			63,891.62			2/5/2026			67,831.76
January 3, 2019 (the inception of the Trust's operations) to March 31, 2026		$	42,651.38			$	125,492.00			10/6/2025		$	3,358.67			2/7/2019		$	67,831.76

Liquidity and Capital Resources

The Trust's only ordinary recurring expense is the Management Fee. The Management Fee is accrued daily and paid monthly in arrears in U.S. dollars only and is calculated by the Trust Administrator. The Trust Administrator calculates the Management Fee on a daily basis by applying the 0.49% annualized rate to the Trust's NAV, as determined by reference to the Index. To cover the Management Fee, on the last day of each month, the Sponsor or its delegate causes the Trust (or its delegate) to instruct the Prime Execution Agent to convert an amount of Bitcoin held by the Trust into U.S. dollars. The NAV of the Trust, and the number of Bitcoin represented by a Share, declines each time the Trust accrues the Management Fee or any Trust expenses not assumed by the Sponsor. The Trust is not responsible for paying any costs associated with the transfer of Bitcoin, to or from the Trust, in connection with paying the Management Fee or in connection with creation and redemption transactions.

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.

We have not entered into any off-balance sheet arrangements that have or are reasonably likely to have a current or future effect on our financial condition, changes in financial condition, revenues or expenses, results of operations, liquidity, capital expenditures or capital resources and would be considered material to Shareholders.