Company: OSOL
Filing Date: 2025-10-22
Form Type: S-1
Source: 0001493152-25-018952
Chunk: 106

Company: Osprey Solana Trust
Filing Date: 2025-10-22
Form: S-1
Chunk 106
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 other expenses in SOL.

Principal Market and Fair Value Determination

To determine which SOL market will serve as the Trust’s principal market (or in the absence of a principal market, the most advantageous market) for purposes of calculating the Trust’s NAV, the Trust follows FASB ASC 820-10, which outlines the application of fair value accounting. ASC 820-10 determines fair value to be the price that would be received for SOL 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 SOL 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 SOL directly from various counterparties, such as [Galaxy Digital, Jane Street, and Cumberland DRW LLC], and does not itself transact in any SOL markets. The purchase price of SOL from 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 SOL markets.

Thevalue of SOL held by the Trust is determined based on the estimated fair market value price for SOL, reflecting the execution price of SOL on its principal market as determined by Lukka. Lukka’s pricing methodology is designed in accordance with ASC 820-10, and its proprietary software dynamically designates principal market and derives fair value prices for financial reporting using this designation.

Lukka is designed to provide an estimated fair market value for SOL, in a manner that aligns with U.S. GAAP and IFRS accounting guidelines regarding fair market value measurements. In this regard, Lukka seeks to identify a “principal market” for SOL, by evaluating eligible SOL exchanges across a variety of different criteria, including the exchanges’ oversight and governance frameworks, microstructure efficiency, trading volume, data transparency and data integrity. The Sponsor of the Trust decided to transition to Lukka’s pricing services based on Lukka’s feature that automates the selection of the principal market in accordance with ASC 820-10. This enables the Trust to switch the principal market in real-time. Although the Trust has the discretion to change the principal market, the Trust does not expect to conduct a separate analysis to determine the principal market.

The cost basis of a Trust investment in SOL recorded by the Trust for financial reporting purposes is the fair value of the