Hashdex Nasdaq CME Crypto Index ETF Liquidation Value

Hashdex Nasdaq CME Crypto Index ETF (NCIQ) is a Delaware statutory trust operating as a passive crypto index ETF. Under the liquidation lens, the recovery posture is straightforward and positive: the Trust's balance sheet is nearly entirely composed of Level 1 crypto assets held directly in custody, with de minimis liabilities. At March 31, 2026, total assets were $98.1M (crypto fair value $98.0M plus cash $102K), against total liabilities of $21K (management fee payable). Net assets were $98.1M. Under the liquidation framework, crypto assets held at exchange-quoted fair value receive a haircut reflecting liquidation execution risk and market depth constraints; cash recovers at par. Applying a conservative haircut to crypto (say 80-85% on $98.0M given concentration and market impact) produces estimated liquidation recovery in the range of $79-83M against $21K face liabilities — materially positive equity recovery. The liability stack is immaterial: one accrued management fee line, no debt, no leases, no pension, no off-balance sheet commitments. The Trust explicitly states no off-balance sheet arrangements exist.

Compared to the prior filing (10-K, December 31, 2025), total net assets declined from $121.3M to $98.1M — a $23.2M decrease driven almost entirely by $29.2M of unrealized depreciation in crypto holdings, partially offset by $6.3M in net new share issuance proceeds. Cost basis of the crypto portfolio increased from $123.3M to $129.2M, while fair value fell from $121.2M to $98.0M, producing an unrealized loss position of $31.2M at quarter-end versus a much smaller deficit at year-end ($1.98M accumulated deficit). This marks a significant deterioration in the ratio of fair value to cost basis (75.8% at 3/31/26 vs. 98.3% at 12/31/25). The Trust's accumulated deficit expanded from $1.98M to $31.5M over the quarter, reflecting the crypto market drawdown.

Bitcoin concentration is the dominant recovery driver: 76.8% of net assets ($75.3M) is bitcoin; Ether is 12.7% ($12.5M); remaining five altcoins represent 10.4%. The Hashdex Nasdaq Crypto Index Fund (Sponsor-managed) holds 4,000,000 of the 5,690,000 shares outstanding (70.3%), creating a related-party concentration in the shareholder register. Management fee was reduced permanently from 0.50% to 0.25% effective March 16, 2026, eliminating the prior waiver mechanism. No staking, no leverage, no derivative positions. Filing does not separately tag the Coinbase Cloud staking infrastructure agreement (mentioned in prior 10-K) in the current XBRL, and the current 10-Q omits reference to staking; that arrangement appears dormant.