Fair Value of Horizen

9 Months Ended

Jun. 30, 2022

3. Fair Value of Horizen

ZEN is held by the Custodian on behalf of the Trust and is carried at fair value. As of June 30, 2022 and September 30, 2021, the Trust held 620,253.26703461 and 615,585.26478971 ZEN, respectively.

The Trust determined the fair value per ZEN to be $12.67 and $69.53 on June 30, 2022 and September 30, 2021, respectively, using the price provided at 4:00 p.m., New York time, by the Digital Asset Market considered to be the Trust’s principal market.

Historically, the Trust considered the Digital Asset Brokered Market to be its principal market. The Trust performed an assessment of the principal market at December 31, 2021 and identified a change in the principal market from the Digital Asset Brokered Market to Coinbase Pro.

The following represents the changes in quantity of ZEN and the respective fair value:


(Amounts in thousands, except Horizen amounts)	Horizen			Fair Value
Balance at October 1, 2020		441,290.85330434		$	2,502
ZEN contributed		188,580.88160629			4,318
ZEN distributed for Sponsor's Fee, related party		(14,286.47012092	)		(816	)
Net change in unrealized appreciation on investment in ZEN		-			36,229
Net realized gain on investment in ZEN		-			568
Balance at September 30, 2021		615,585.26478971		$	42,801
ZEN contributed, including repayment of ZEN receivable, related party		16,375.40469036			1,139
ZEN distributed for Sponsor's Fee, related party		(11,707.40244546	)		(600	)
Net change in unrealized depreciation on investment in ZEN		-			(35,842	)
Net realized gain on investment in ZEN		-			361
Balance at June 30, 2022		620,253.26703461		$	7,859

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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