GRAYSCALE BITCOIN CASH TRUST (BCH) Management’s Discussion and Analysis of Financial Condition and Results of Operations (form 10-Q)

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, which have been prepared in accordance with
generally accepted accounting principles in the United States ("U.S. 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 set forth
under Part II, Item 1A. Risk Factors in this Quarterly Report or under "Risk
Factors" or other sections of the Information Statement.

Trust Overview


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 BCH and,
from time to time on a periodic basis, issues Creation Baskets in exchange for
deposits of BCH. As a passive investment vehicle, the Trust's investment
objective is for the value of the Shares (based on BCH per Share) to reflect the
value of BCH held by the Trust, determined by reference to the Index Price, less
the Trust's expenses and other liabilities. To date, the Trust has not met its
investment objective and the Shares quoted on OTCQX have not reflected the value
of BCH held by the Trust, less the Trust's expenses and other liabilities, but
instead have traded at both premiums and discounts to such value, with
variations that have at times been substantial. The Trust is not managed like a
business corporation or an active investment vehicle.

Critical Accounting Policies and Estimates

Investment Transactions and Revenue Recognition


The Trust considers investment transactions to be the receipt of BCH for Share
creations and the delivery of BCH for Share redemptions or for payment of
expenses in BCH. At this time, the Trust is not accepting redemption requests
from shareholders. The Trust records its investment transactions on a trade date
basis and changes in fair value are reflected as net change in unrealized
appreciation or depreciation on investments. Realized gains and losses are
calculated using the specific identification method. Realized gains and losses
are recognized in connection with transactions including settling obligations
for the Sponsor's Fee in BCH.

Principal Market and Fair Value Determination


To determine which market is 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 Financial Accounting Standards Board ("FASB")
Accounting Standards Codification ("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 BCH 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 BCH 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 only receives BCH from the Authorized Participant and does not itself
transact on any Digital Asset Markets. Therefore, the Trust looks to the
Authorized Participant when assessing entity-specific and market-based volume
and level of activity for Digital Asset Markets. The Authorized Participant
transacts in a Brokered Market, a Dealer Market, Principal-to-Principal Markets
and Exchange Markets, each as defined in the FASB ASC Master Glossary. The
Authorized Participant, as a related party of the Sponsor, provides information
about the Digital Asset Markets on which it transacts to the Trust. In
determining which of the eligible Digital Asset Markets is the Trust's principal
market, the Trust reviews these criteria in the following order:

• First, the Trust reviews a list of Digital Asset Markets and excludes any


Digital Asset Markets that are non-accessible to the Trust and the

Authorized Participant(s). The Trust or the Authorized Participant does not

have access to Digital Asset Exchanges that do not have a BitLicense and has

access only to non-Digital Asset Exchange Markets that the Authorized

Participant reasonably believes are operating in compliance with applicable

      law, including federal and state licensing requirements, based upon
      information and assurances provided to it by each market.

• Second, the Trust sorts the remaining Digital Asset Markets from high to low

by entity-specific and market-based volume and activity of BCH traded on

each Digital Asset Market in the trailing twelve months.

• Third, the Trust then reviews intra-day pricing fluctuations and the degree

of variances in price on Digital Asset Markets to identify any material

      notable variances that may impact the volume or price information of a
      particular Digital Asset Market.

• Fourth, the Trust then selects a Digital Asset Market as its principal

market based on the highest market volume, activity and price stability in

comparison to the other Digital Asset Markets on the list. Based on

information reasonably available to the Trust, Exchange Markets have the

greatest volume and level of activity for the asset. The Trust therefore

looks to accessible Exchange Markets as opposed to the Brokered Market,

      Dealer Market and Principal-to-Principal Markets to determine its


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principal market. As a result of the aforementioned analysis, an Exchange

Market has been selected as the Trust’s principal market.



The Trust determines its principal market (or in the absence of a principal
market the most advantageous market) annually and conducts a quarterly analysis
to determine (i) if there have been recent changes to each Digital Asset
Market's trading volume and level of activity in the trailing twelve months,
(ii) if any Digital Asset Markets have developed that the Trust has access to,
or (iii) if recent changes to each Digital Asset Market's price stability have
occurred that would materially impact the selection of the principal market and
necessitate a change in the Trust's determination of its principal market.

The cost basis of the investment in BCH recorded by the Trust for financial
reporting purposes is the fair value of BCH at the time of transfer. The cost
basis recorded by the Trust may differ from proceeds collected by the Authorized
Participant from the sale of the corresponding Shares to investors.

Investment Company Considerations


The Trust is an investment company for GAAP purposes and follows accounting and
reporting guidance in accordance with the FASB ASC Topic 946, Financial Services
- Investment Companies. The Trust uses fair value as its method of accounting
for BCH in accordance with its classification as an investment company for
accounting purposes. The Trust is not a registered investment company under the
Investment Company Act of 1940. GAAP requires management to make estimates and
assumptions that affect the reported amounts in the financial statements and
accompanying notes. Actual results could differ from those estimates and these
differences could be material.

Review of Financial Results (unaudited)

Financial Highlights for the Three Months Ended September 30, 2021 and 2020

(All amounts in the following table and the subsequent paragraphs, except Share
and per Share, BCH and price of BCH amounts, are in thousands)


                                                        Three Months Ended 

September 30,

                                                           2021             

2020

Net realized and unrealized loss on investment in
Bitcoin Cash                                         $          (7,136 )     $        (6,868 )
Net decrease in net assets resulting from
operations                                           $          (8,262 )     $        (7,018 )
Net assets                                           $         158,328       $        38,075


Net realized and unrealized loss on investment in BCH for the three months ended
September 30, 2021 was ($7,136) which includes a realized gain of $395 on the
transfer of BCH to pay the Sponsor's Fee and net change in unrealized
depreciation on investment in BCH of ($7,531). Net realized and unrealized loss
on investment in BCH for the period was driven by BCH price depreciation from
$520.99 per BCH as of June 30, 2021 to $497.46 per BCH as of September 30, 2021.
Net decrease in net assets resulting from operations was ($8,262) for the three
months ended September 30, 2021, which consisted of the net realized and
unrealized loss on investment in BCH, plus the Sponsor's Fee of $1,126. Net
assets increased to $158,328 at September 30, 2021, a 2% increase for the
period. The increase in net assets resulted from the contribution of
approximately 21,840 BCH with a value of $11,124 to the Trust in connection with
Share creations during the period, partially offset by the aforementioned BCH
price depreciation and the withdrawal of approximately 1,972 BCH to pay the
foregoing Sponsor's Fee.

Net realized and unrealized loss on investment in BCH for the three months ended
September 30, 2020 was ($6,868) which includes a realized loss of ($85) on the
transfer of BCH to pay the Sponsor's Fee and net change in unrealized
depreciation on investment in BCH of ($6,783). Net realized and unrealized loss
on investment in BCH for the period was driven by pricing trends in BCH during
the period in which the contribution of BCH to the Trust in connection with
Share creations occurred when the price per BCH was higher during the three
months ended September 30, 2020. Net decrease in net assets resulting from
operations was ($7,018) for the three months ended September 30, 2020, which
consisted of the net realized and unrealized loss on investment in BCH, plus the
Sponsor's Fee of $150. Net assets increased to $38,075 at September 30, 2020, a
570% increase for the period. The increase in net assets resulted from the BCH
price appreciation from $221.14 per BCH as of June 30, 2020 to $225.60 per BCH
as of September 30, 2020 and the contribution of approximately 143,663 BCH with
a value of $39,409 to the Trust in connection with Share creations during the
period, partially offset by the withdrawal of approximately 597 BCH to pay the
foregoing Sponsor's Fee.

Off-Balance Sheet Arrangements

The Trust is not a party to any off-balance sheet arrangements.

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Cash Resources and Liquidity


The Trust has not had a cash balance at any time since inception. When selling
BCH, Incidental Rights and/or IR Virtual Currency in the Digital Asset Market to
pay Additional Trust Expenses, the Sponsor endeavors to sell the exact number of
BCH, Incidental Rights and/or IR Virtual Currency needed to pay expenses in
order to minimize the Trust's holdings of assets other than BCH. 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.

In exchange for the Sponsor's Fee, the Sponsor has agreed to assume most of the
expenses incurred by the Trust. As a result, the only ordinary expense of the
Trust during the periods covered by this Quarterly Report was the Sponsor's Fee.
The Trust is not aware of any trends, demands, conditions or events that are
reasonably likely to result in material changes to its liquidity needs.

Selected Operating Data

                                                      Three Months Ended September 30,
                                                         2021                   2020
Bitcoin Cash:
Opening balance                                              298,406                25,708
Creations                                                     21,840               143,663
Sponsor's Fee, related party                                  (1,972 )                (597 )
Closing balance                                              318,274        

168,774

Accrued but unpaid Sponsor's Fee, related party                    -                     -
Net closing balance                                          318,274               168,774
Number of Shares:
Opening balance                                           32,434,700             2,725,300
Creations                                                  2,378,200            15,279,400
Closing balance                                           34,812,900            18,004,700




                                         As of September 30,
                                          2021           2020

Price of BCH on principal market (2) $ 497.46 $ 225.60
NAV per Share (3)

                      $      4.55     $   2.11
Index Price                            $    492.84     $ 227.97

Digital Asset Holdings per Share (4) $ 4.51 $ 2.14




(1)  The Trust performed an assessment of the principal market at September 30,
     2021 and 2020, and identified the principal market as Coinbase Pro.

(2) As of September 30, 2021 and 2020 the NAV per Share was calculated using the

fair value of BCH based on the price provided by Coinbase Pro, the Digital

Asset Exchange that the Trust currently considers its principal market, as

of 4:00 p.m., New York time, on the valuation date.

(3) The Trust’s Digital Asset Holdings per Share is 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 Digital Asset Holdings per Share is calculated using a

non-GAAP methodology where the volume-weighted average price is derived from

multiple Digital Asset Exchanges. See “Determination of NAV” in the Trust’s

Information Statement for a description of the Trust’s Digital Asset

Holdings per Share. The Digital Asset Exchanges used to calculate the Index

Price as of September 30, 2021 and 2020 were Coinbase Pro, Bitstamp, LMAX

Digital and Kraken.



For accounting purposes, the Trust reflects creations and the BCH receivable
with respect to such creations on the date of receipt of a notification of a
creation but does not issue Shares until the requisite number of BCH is
received. At this time, the Trust is not accepting redemption requests from
shareholders. Subject to receipt of regulatory approval from the SEC and
approval by the Sponsor in its sole discretion, the Trust may in the future
operate a redemption program. The Trust currently has no intention of seeking
regulatory approval to operate an ongoing redemption program.

As of September 30, 2021, the Trust had a net closing balance with a value of
$156,858,134, based on the Index Price (non-GAAP methodology). As of September
30, 2021, the Trust had a total market value of $158,328,560, based on the
principal market (Coinbase Pro).

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As of September 30, 2020, the Trust had a net closing balance with a total value
of $38,475,318, based on the Index Price (non-GAAP methodology). As of September
30, 2020, the Trust had a total market value of $38,075,325, based on the
principal market (Coinbase Pro).

Historical Bitcoin Cash Holdings and BCH Prices


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

The following chart illustrates the movement in the Trust's Digital Asset
Holdings per Share versus the Index Price and the Trust's NAV per Share from
March 1, 2018 (date of the first Creation Basket of the Trust) to September 30,
2021.

                               [[Image Removed]]

The following table illustrates the movements in the Index Price from the
beginning of the Trust's operations on March 1, 2018 to September 30, 2021.
Since the beginning of the Trust's operations, the Index Price has ranged from
$83.82 to $1,646.79, with the straight average being $440.10 through September
30, 2021. The Sponsor has not observed a material difference between the Index
Price and average prices from the constituent Digital Asset Exchanges
individually or as a group.

                                                    High                           Low
                                                                                                                       Last
                                                                                                       End of        business
Period                      Average       Index Price        Date       Index Price         Date       period          day
March 1, 2018 to
September 30, 2018          $ 857.77     $    1,646.79     9/30/2018   $      425.98     9/18/2018    $  549.95     $   549.95
Twelve months ended
September 30, 2019          $ 282.74     $      619.64     11/7/2018   $       83.82     12/14/2018   $  223.60     $   223.60
Twelve months ended
September 30, 2020          $ 259.44     $      483.25     2/14/2020   $      164.44     3/13/2020    $  227.97     $   227.97
Twelve months ended
September 30, 2021          $ 533.73     $    1,505.55     5/12/2021   $      219.49     10/2/2020    $  492.84     $   492.84
March 1, 2018 to
September 30, 2021          $ 440.10     $    1,646.79     5/7/2018    $       83.82     12/14/2018   $  492.84     $   492.84








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The following table illustrates the movements in the Digital Asset Market price
of BCH, as reported on the Trust's principal market, from the beginning of the
Trust's operations on March 1, 2018 to September 30, 2021. Since the beginning
of the Trust's operations, the price of BCH has ranged from $76.78 to $1,719.00,
with the straight average being $440.76.

                                                    High                         Low
                                                                        Digital
                                           Digital                       Asset                                      Last
                                         Asset Market                   Market                      End of        business
Period                      Average         Price           Date         Price           Date       period          day
March 1, 2018 to
September 30, 2018          $ 859.14     $   1,719.00     5/6/2018    $    417.62     9/17/2018    $  530.02     $   542.60
Twelve months ended
September 30, 2019          $ 284.83     $     611.87     11/7/2018   $     76.78     12/15/2018   $  226.36     $   226.36
Twelve months ended
September 30, 2020          $ 258.96     $     493.09     2/14/2020   $    168.00     3/16/2020    $  225.60     $   225.60
Twelve months ended
September 30, 2021          $ 533.69     $   1,465.48     5/6/2021    $    217.41     10/2/2020    $  497.46     $   497.46
March 1, 2018 (the first
Creation Basket of the
Trust) to September 30,
2021                        $ 440.76     $   1,719.00     5/6/2018    $     

76.78 12/15/2018 $ 497.46 $ 497.46

The following chart sets out the historical closing prices for the Shares as
reported by OTCQX and the Trust’s Digital Asset Holdings per Share.


 BCHG Premium/(Discount): BCHG Share Price vs. Digital Asset Holdings per Share
                                      ($)

                               [[Image Removed]]

The following chart sets out the historical premium and discount for the Shares
as reported by OTCQX and the Trust’s Digital Asset Holdings per Share.


 BCHG Premium/(Discount): BCHG Share Price vs. Digital Asset Holdings per Share
                                      (%)

                               [[Image Removed]]





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