0001493152-23-018849.txt : 20230524 0001493152-23-018849.hdr.sgml : 20230524 20230524102025 ACCESSION NUMBER: 0001493152-23-018849 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20230331 FILED AS OF DATE: 20230524 DATE AS OF CHANGE: 20230524 PERIOD START: 20230630 FILER: COMPANY DATA: COMPANY CONFORMED NAME: GraniteShares ETF Trust CENTRAL INDEX KEY: 0001689873 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-23214 FILM NUMBER: 23951523 BUSINESS ADDRESS: STREET 1: 205 HUDSON STREET 7TH FLOOR, CITY: NEW YORK STATE: NY ZIP: 10013 BUSINESS PHONE: 9173380565 MAIL ADDRESS: STREET 1: 205 HUDSON STREET 7TH FLOOR, CITY: NEW YORK STATE: NY ZIP: 10013 0001689873 S000076355 GraniteShares 1.75x Long AAPL Daily ETF C000236101 GraniteShares 1.75x Long AAPL Daily ETF AAPB NPORT-P 1 primary_doc.xml NPORT-P false 0001689873 XXXXXXXX S000076355 C000236101 GraniteShares ETF Trust 811-23214 0001689873 549300ODHHSS5JB0RB94 205 Hudson Street 7th floor New York 10013 1-646-876-5143 GraniteShares 1.75x Long AAPL Daily ETF S000076355 549300T23484L2NYG349 2023-06-30 2023-03-31 N 1593717.97 5689.28 1588028.69 0 0 0 0 0 0 0 0 0 0 0 0 0 0 USD N iShares US Tech IYW N/A N/A AAPL Total Return Swap N/A 16853.0000 NS USD 2779059.700000 175.0000 N/A DE US N 2 Cowen Financial Products LLC 549300KKMNDUVLY8OR56 N/A AAPL Total Return Swap Y 2023-08-09 0 USD 0 USD 2779059.7 USD 0 N N N 2023-05-24 GraniteShares ETF Trust /s/ William Rhind William Rhind President GraniteShares ETF Trust XXXX NPORT-EX 2 partf.htm

 

GraniteShares ETF Trust  
Schedule of Investments  
GraniteShares 1.75x Long AAPL Daily ETF  
March 31, 2023 (Unaudited)  

 

Other Assets In Excess Of Liabilities - (100.00%)  $1,589,820 
NET ASSETS (100.00%)  $1,589,820 

 

TOTAL RETURN SWAP CONTRACTS

 

Counterparty  Reference Entity/Obligation(a)  Currency   Notional Amount   Floating Rate Index  Spread   Termination Date  Value   Net Unrealized Depreciation 
Cowen  Apple, Inc.   USD   $2,779,060   OBFR01   100 bps   08/09/2023  $2,779,060   $              – 
TOTAL          $2,779,060              $2,779,060   $– 

 

(a) Includes cash which is being held as collateral for total return swap contracts.

 

Investment Abbreviations:

 

OBFR – Overnight Bank Funding Rate

 

GraniteShares 1.75x Long AAPL Daily ETF

 

Other Financial Instruments   Level 1    Level 2    Level 3    Total 
Liabilities                    
Total Return Swap Contracts  $–   $–   $–   $– 
Total  $–   $–   $–   $– 

 

 
 

 

GraniteShares ETF Trust

Notes to Quarterly Schedules of Investments

March 31, 2023 (Unaudited)

 

1. FAIR VALUE MEASUREMENT

 

The Financial Accounting Standards Board (FASB) established a framework for measuring fair value in accordance with U.S. GAAP. Under Fair Value Measurements and Disclosures, various inputs are used in determining the value of the exchange traded fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The three Levels of inputs of the fair value hierarchy are defined as follows:

 

Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities.
   
Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
   
Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

 

A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement.

 

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

 

The hierarchy classification of inputs used to value each Fund’s investments is disclosed at the end of the Fund’s Schedule of Investments.