GTAO 10-K & 10-Q changes, risk factors and insider trading

The Trust is a passive entity that is managed and administered by the Sponsor and does not have any officers, directors or employees. The Trust holds TAO and, from time to time on a periodic basis, issues Creation Baskets in exchange for deposits of TAO. As a passive investment vehicle, the Trust’s investment objective is for the value of the Shares (based on TAO per Share) to reflect the value of the TAO held by the Trust, determined by reference to the Index Price, less the Trust’s expenses and other liabilities. While an investment in the Shares is not a direct investment in TAO, the Shares are designed to provide investors with a cost-effective and convenient way to gain investment exposure to TAO. To date, the Trust has not met its investment objective and the Shares quoted on OTCQXOTC Markets have not reflected the value of the TAO held by the Trust, less the Trust’s expenses and other liabilities, but instead have traded at premiums to such value, which at times have been substantial. The Trust is not managed like a business corporation or an active investment vehicle. The Trust will not utilize leverage, derivatives or any similar arrangements in seeking to meet its investment objective.

Financial Highlights for the Three and Six Months Ended MarchJune 31,30, 2026 and 2025 (All amounts in the following table and the subsequent paragraphs, except Share, TAO and price of TAO amounts, are in thousands)

Net realized and unrealized gainloss on investment in TAO for the three months ended MarchJune 31,30, 2026 was $3,110,($4,612), which includes a realized loss of ($30$26) on the transfer of TAO to pay the Sponsor’s Fee and net change in unrealized appreciation/depreciation on investment in TAO of $3,140.($4,586). Net realized and unrealized gainloss on investment in TAO for the period was driven by TAO price appreciationdepreciation from $220.32 per TAO as of December 31, 2025, to $306.80 per TAO as of March 31, 2026, to $202.57 per TAO as of June 30, 2026. Net increasedecrease in net assets resulting from operations was $3,058($4,681) for the three months ended MarchJune 31,30, 2026, which consisted of the net realized and unrealized gainloss on investment in TAO, lessplus the Sponsor’s Fee of $52.$69. Net assets increaseddecreased to $11,747$9,385 at MarchJune 31,30, 2026, a 47%20% increasedecrease for the three-month period. The increasedecrease in net assets resulted from the aforementioned TAO price appreciationdepreciation and the withdrawal of approximately 271 TAO to pay the foregoing Sponsor’s Fee, partially offset by the contribution of approximately 2,3238,313 TAO with a value of $715$2,319 to the Trust in connection with Share creations during the period, partially offset by the withdrawal of approximately 226 TAO to pay the foregoing Sponsor’s Fee.period.

Net realized and unrealized lossgain on investment in TAO for the three months ended MarchJune 31,30, 2025 was ($4,311),$3,302, which includes a realized loss of ($2) on the transfer of TAO to pay the Sponsor’s Fee, net change in unrealized appreciation/depreciation on the Sponsor’s Fee payable of ($2), and net change in unrealized appreciation/depreciation on investment in TAO of ($4,307).$3,302. Net realized and unrealized lossgain on investment in TAO for the period was driven by TAO price depreciationappreciation from $444.19 per TAO as of December 31, 2024, to $222.27 per TAO as of March 31, 2025, to $342.29 per TAO as of June 30, 2025. Net decreaseincrease in net assets resulting from operations was ($4,345)$3,241 for the three months ended MarchJune 31,30, 2025, which consisted of the net realized and unrealized lossgain on investment in TAO, plus the Sponsor’s Fee of $34.$61. Net assets increased to $5,004$9,701 at MarchJune 31,30, 2025, a 14%94% increase for the three-month period. The increase in net assets resulted from the aforementioned TAO price appreciation, and the contribution of approximately 12,7175,999 TAO with a value of $4,953$1,456 to the Trust in connection with Share creations during the period, partially offset by the aforementioned TAO price depreciation and the withdrawal of approximately 118172 TAO to pay the foregoing Sponsor’s Fee.

The Principal Market NAV and Principal Market NAV per Share are calculated using the fair value of BitcoinTAO based on the price provided by the Digital Asset Trading Platform that the Trust considered its principal market, as of 4:00 p.m., New York time, on the valuation date, in accordance with U.S. GAAP.

The Trust’s NAV and NAV per Share are derived from the Index Price, as represented by the Index as of 4:00 p.m., New York time, on the valuation date. The Trust’s NAV per Share is calculated using a non-GAAP methodology where the price is derived from multiple Digital Asset Trading Platforms. The Digital Asset Trading Platforms included in the Index (the “Constituent Trading Platforms”) as of bothJune March 31,30, 2026 and 2025 were Kraken, Binance, Crypto.com and Crypto.com.Bitstamp Onby AprilRobinhood. 21,The 2026,Digital Asset Trading Platforms included in the Index Provideras addedof BitstampJune to30, 2025 were Kraken and Crypto.com. The Digital Asset Trading Platforms included in the Index dueas toof theJuly trading30, platform2026 meetingwere theKraken, IndexBinance, Provider’sCrypto.com, conditionsBitstamp forby inclusion,Robinhood, and did not remove any Constituent Trading Platforms as part of its scheduled monthly review.OKX. See “Item 1. Business—Overview of the TAO Industry and Market—TAO Value—The Index and the Index Price” in our Annual Report for a description of the Index and the Index Price.

The following chart illustrates the movement in the Trust’s NAV per Share versus the Index Price and the Trust’s Principal Market NAV per Share from June 10, 2024 (the commencement of the Trust’s operations) to MarchJune 31,30, 2026. For more information on the determination of the Trust’s NAV, see “Item 1. Business—Overview of the TAO Industry and Market—TAO Value—The Index and the Index Price” in our Annual Report.

The following table illustrates the movements in the Index Price from June 10, 2024 to MarchJune 31,30, 2026. The Sponsor has not observed a material difference between the Index Price and average prices from the Constituent Trading Platforms individually, or as a group.

The following table illustrates the movements in the Digital Asset Market price of TAO, as reported on the Trust’s principal market, from June 10, 2024 to MarchJune 31,30, 2026.

The following chart sets out the historical closing prices for the Shares as reported by OTCQXOTC Markets and the Trust’s NAV per Share from December 12, 2025 to MarchJune 31,30, 2026.

The following chart sets out the historical premium for the Shares calculated as a percentage of the historical closing prices for the Shares as reported by OTCQXOTC Markets divided by the Trust’s NAV per Share from December 12, 2025 to MarchJune 31,30, 2026.