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.
2. CONSOLIDATED SUBSIDIARY
The GraniteShares Bloomberg Commodity Broad Strategy No K-1 ETF invests in certain commodity-related investments through GraniteShares BCOM Cayman Limited, a wholly-owned subsidiary (the “Subsidiary”).
The following table reflects the net assets of the Subsidiary as a percentage of the GraniteShares Bloomberg Commodity Broad Strategy No K-1 ETF’s net assets at September 30, 2023:
| Fund | Wholly Owned Subsidiary | Value | Percentage of Fund’s Net Assets | |||||||
| GraniteShares Bloomberg Commodity Broad Strategy No K-1 ETF | GraniteShares BCOM Cayman Limited | $ | 19,480,151 | 17.7 | % | |||||
| GraniteShares ETF Trust | |
| Consolidated Schedule of Investments | |
| GraniteShares Bloomberg Commodity Broad Strategy No K-1 ETF | |
| September 30, 2023 (Unaudited) | |
| Investments | Principal Amount | Value | ||||||
| UNITED STATES TREASURY OBLIGATIONS - 72.32%(a) | ||||||||
| United States Treasury Bill, 0.231% , 10/05/2023 | $ | 30,000,000 | $ | 29,986,847 | ||||
| United States Treasury Bill, 1.073% , 10/19/2023 (b) | 30,000,000 | 29,925,271 | ||||||
| United States Treasury Bill, 2.694% , 11/16/2023 | 20,000,000 | 19,867,754 | ||||||
| TOTAL UNITED STATES TREASURY OBLIGATIONS | ||||||||
| (Cost $79,769,389) | 79,779,872 | |||||||
| TOTAL INVESTMENTS - 72.32% | ||||||||
| (Cost $79,769,389) | $ | 79,779,872 | ||||||
| Other Assets In Excess Of Liabilities - 27.68% | 30,541,847 | (c) | ||||||
| NET ASSETS (100.00%) | $ | 110,321,719 | ||||||
| (a) | Rate shown represents the bond equivalent yield to maturity at date of purchase. |
| (b) | A portion or all of the security is owned by GraniteShares BCOM Cayman Limited, a wholly-owned subsidiary of the Fund. See Note 2. |
| (c) | Includes cash which is being held as collateral for futures contracts. |
At September 30, 2023, open futures contracts were as follows:
| Description | Number of Contracts | Expiration Date | Contract Type | Notional Amount | Value/Unrealized Appreciation | Value/Unrealized Depreciation | ||||||||||||
| Brent Crude(a) | 104 | 11/30/23 | Long | $ | 9,397,440 | – | $ | (480 | ) | |||||||||
| Coffee C(a) | 54 | 12/18/23 | Long | 2,959,538 | – | (272,587 | ) | |||||||||||
| Copper(a) | 60 | 12/27/23 | Long | 5,606,250 | – | (95,450 | ) | |||||||||||
| Corn(a) | 190 | 12/14/23 | Long | 4,529,125 | – | (158,800 | ) | |||||||||||
| Cotton No.2(a) | 41 | 12/06/23 | Long | 1,786,575 | 106,335 | – | ||||||||||||
| Gasoline RBOB(a) | 26 | 10/31/23 | Long | 2,620,254 | – | (146,194 | ) | |||||||||||
| Gold 100 Oz(a) | 90 | 12/27/23 | Long | 16,794,899 | – | (1,162,640 | ) | |||||||||||
| KC Hard Red Winter Wheat(a) | 48 | 12/14/23 | Long | 1,593,000 | – | (264,013 | ) | |||||||||||
| Lean Hogs(a) | 61 | 12/14/23 | Long | 1,751,310 | – | (92,310 | ) | |||||||||||
| Live Cattle(a) | 60 | 12/29/23 | Long | 4,510,200 | – | (13,640 | ) | |||||||||||
| LME Lead Nov23(a) | 22 | 11/13/23 | Long | 1,192,400 | 19,481 | – | ||||||||||||
| LME Nickel Nov23(a) | 20 | 11/13/23 | Long | 2,229,720 | – | (249,411 | ) | |||||||||||
| LME Primary Aluminum(a) | 90 | 11/13/23 | Long | 5,279,625 | 325,025 | – | ||||||||||||
| LME Zinc Nov23(a) | 48 | 11/13/23 | Long | 3,179,100 | 230,831 | – | ||||||||||||
| Low Sulphur Gasoil(a) | 37 | 11/10/23 | Long | 3,575,125 | 352,175 | – | ||||||||||||
| Natural Gas(a) | 264 | 10/27/23 | Long | 7,732,560 | – | (989,160 | ) | |||||||||||
| NY Harbor ULSD(a) | 19 | 10/31/23 | Long | 2,633,879 | 213,062 | – | ||||||||||||
| Silver(a) | 43 | 12/27/23 | Long | 4,826,750 | – | (184,805 | ) | |||||||||||
| Soybean(a) | 88 | 11/14/23 | Long | 5,610,000 | 193,775 | – | ||||||||||||
| Soybean Meal(a) | 83 | 12/14/23 | Long | 3,163,960 | 58,420 | – | ||||||||||||
| Soybean Oil(a) | 97 | 12/14/23 | Long | 3,249,306 | 159,066 | – | ||||||||||||
| Sugar #11(a) | 136 | 02/29/24 | Long | 4,033,434 | – | (61,454 | ) | |||||||||||
| Wheat(a) | 85 | 12/14/23 | Long | 2,301,375 | – | (514,263 | ) | |||||||||||
| WTI Crude(a) | 119 | 10/20/23 | Long | 10,804,010 | 1,048,721 | – | ||||||||||||
| Total Futures Contracts | $ | 2,706,891 | $ | (4,205,207 | ) | |||||||||||||
| Net Unrealized Depreciation | $ | - | $ | (1,498,316 | ) | |||||||||||||
| Description | Number of Contracts | Expiration Date | Contract Type | Notional Amount | Value/Unrealized Appreciation | Value/Unrealized Depreciation | ||||||||||||
| LME Lead Nov23(a) | (3) | 11/13/23 | Short | $ | (162,600 | ) | $ | – | $ | (2,394 | ) | |||||||
| LME Nickel Nov23(a) | (1) | 11/13/23 | Short | (111,486 | ) | 10,056 | – | |||||||||||
| LME Primary Aluminum(a) | (9) | 11/13/23 | Short | (527,963 | ) | – | (31,472 | ) | ||||||||||
| LME Zinc Nov23(a) | (5) | 11/13/23 | Short | (331,156 | ) | – | (20,400 | ) | ||||||||||
| Total Futures Contracts | $ | 10,056 | $ | (54,266 | ) | |||||||||||||
| Net Unrealized Depreciation | $ | - | $ | (44,210 | ) | |||||||||||||
| (a) | A portion or all of the security is owned by GraniteShares BCOM Cayman Limited, a wholly-owned subsidiary of the Fund. See Note 1. |
GraniteShares Bloomberg Commodity Broad Strategy No K-1 ETF
| Investments in Securities at Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| United States Treasury Obligations | $ | 79,779,872 | $ | – | $ | – | $ | 79,779,872 | ||||||||
| Total | $ | 79,779,872 | $ | – | $ | – | $ | 79,779,872 | ||||||||
| Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Assets | ||||||||||||||||
| Futures Contracts | $ | 2,716,947 | $ | – | $ | – | $ | 2,716,947 | ||||||||
| Liabilities | ||||||||||||||||
| Futures Contracts | $ | (4,259,473 | ) | $ | – | $ | – | $ | (4,259,473 | ) | ||||||
| Total | $ | (1,542,526 | ) | $ | – | $ | – | $ | (1,542,526 | ) | ||||||