0001493152-23-042322.txt : 20231121 0001493152-23-042322.hdr.sgml : 20231121 20231121161428 ACCESSION NUMBER: 0001493152-23-042322 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20230930 FILED AS OF DATE: 20231121 DATE AS OF CHANGE: 20231121 PERIOD START: 20240630 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: 231428267 BUSINESS ADDRESS: STREET 1: 222 BROADWAY STREET 2: 21ST FLOOR CITY: NEW YORK STATE: NY ZIP: 10038 BUSINESS PHONE: 9173380565 MAIL ADDRESS: STREET 1: 222 BROADWAY STREET 2: 21ST FLOOR CITY: NEW YORK STATE: NY ZIP: 10038 0001689873 S000076352 GraniteShares 1.75x Long BABA Daily ETF C000236098 GraniteShares 1.75x Long BABA Daily ETF BABX NPORT-P 1 primary_doc.xml NPORT-P false 0001689873 XXXXXXXX S000076352 C000236098 GraniteShares ETF Trust 811-23214 0001689873 549300ODHHSS5JB0RB94 222 Broadway, 21st Floor New York 10038 1-646-876-5143 GraniteShares 1.75x Long BABA Daily ETF S000076352 5493006RKRPWT7AIMH26 2024-06-30 2023-09-30 N 6361940.62 27356.38 6334584.24 0 0 0 0 0 0 0 0 0 0 0 0 0 0 USD N KraneShares CSI Overseas Internet (KWEB) KWEB N/A N/A BABA Total Return Swap N/A 127896.0000 NS USD 11093699.040000 175.1000 N/A DE US N 2 0.00 549300KKMNDUVLY8OR56 N/A BABA Total Return Swap Y 2024-08-09 0 USD 0 USD 11093699.04 USD 0 N N N 2023-11-21 GraniteShares ETF Trust /s/ William Rhind William Rhind President GraniteShares ETF Trust XXXX NPORT-EX 2 part-f.htm

 

GraniteShares ETF Trust

Notes to Quarterly Schedules of Investments

September 30, 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.

 

 

 

 

GraniteShares ETF Trust
Schedule of Investments
GraniteShares 1.75x Long BABA Daily ETF
September 30, 2023 (Unaudited)

 

Other Assets In Excess Of Liabilities - (100.00%)  $6,334,584 
      
NET ASSETS (100.00%)  $6,334,584 

 

TOTAL RETURN SWAP CONTRACTS

 

Counterparty  Reference Entity/Obligation(a)  Currency  Notional Amount   Floating Rate Index  Spread  Termination Date  Value   Net Unrealized Depreciation 
Cowen  Alibaba Group Holding, Ltd.  USD  $11,093,699   OBFR01  100 bps  08/09/2024  $11,093,699   $- 
TOTAL        $11,093,699            $11,093,699   $          - 

 

(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 BABA Daily ETF                
Other Financial Instruments  Level 1   Level 2   Level 3   Total 
Liabilities                
Total Return Swap Contracts  $–   $–   $–   $– 
Total  $–   $–   $–   $–