Grayscale positions its funds as an easy way to invest assets of traditional investors in cryptocurrencies. The company manages $18.7 billion in assets, including $40 million in the three cryptocurrencies mentioned. The regulator's attention "casts a shadow over the viability of the funds at a time when the world's largest cryptocurrency manager already has to deal with a sharp decline in asset values due to the current 'cryptozyma,'" CoinDesk notes. At its peak last November, Grayscale had an asset value of $60 billion.

Grayscale's comments to the SEC were drafted in June and mid-August, and it was the latest revision that revealed important changes. Grayscale had previously stated that the SEC had not provided clarification regarding the legal status of Zcash, and only hypothetically allowed for the cryptocurrency to be recognized as a security in the future.

"Grayscale has received a third-party legal brief regarding ZEC's status under the federal securities laws. Grayscale acknowledges that ZEC as it stands today may be a security, regardless of our earlier conclusions," the company wrote.

Similar comments are contained in the document regarding Stellar and Horizen.

In May, the SEC said it would significantly expand its efforts to combat securities law violations in the cryptocurrency industry. In July, the regulator accused a former Coinbase exchange employee of insider trading while calling nine cryptocurrencies securities.

"Other changes in Grayscale's responses from June through August suggest a rapid development around ZEC, ZEN and XLM from the SEC's perception," CoinDesk adds.