Grayscale Horizen Trust Switches NAV Valuation to New CoinDesk Index

What Happened

• Grayscale Horizen Trust (ZEN) filed an 8-K on August 27, 2026, announcing that, effective September 1, 2026, the Trust will value its ZEN tokens and calculate NAV/NAV per share using the CoinDesk Horizen Benchmark Extended Rate (the “Index”), replacing the prior CoinDesk Horizen Reference Rate.
• The Index Price will be determined by the Index Provider using a real‑time, algorithmic process (calculating every 5 seconds) and the Trust will record the Index Price at 4:00 p.m. New York time each business day for operational valuation.

Key Details

• Effective date: September 1, 2026; 8‑K filed: August 27, 2026 (signed by Kathryn Masci, Interim CFO of the Sponsor).
• Index mechanics: calculated every 5 seconds from Constituent Trading Platforms and reported as the Index Price at 4:00 p.m. NY time; methodology includes volume‑weighting, FX conversion to USD, outlier detection, inactivity adjustment, and manipulation‑resistance measures.
• Fallback pricing cascade if the Index is unavailable: (1) CoinDesk Index at 4:00 p.m.; (2) Coin Metrics Real‑Time Rate (Secondary Index); (3) price from the Trust’s principal market; (4) Sponsor’s good‑faith estimate.
• Governance: Index use governed by an Index License Agreement (dated Feb 1, 2022); Index Provider may change methodology at its discretion. The Sponsor will notify shareholders of material changes and determine materiality in consultation with counsel.

Why It Matters

• For investors, this is an operational change to how the Trust values ZEN and calculates NAV — a key input used to price share creation/redemption and to show NAV per share. Using the CoinDesk Horizen Benchmark Extended Rate may change short‑term NAV movements compared with the prior Reference Rate because of different data sources, weighting and outlier handling.
• The Trust relies on an external index provider with discretion to change methodology, but it has a defined fallback process (Coin Metrics, principal market, Sponsor estimate) to maintain pricing continuity if the Index is unavailable.