0001493152-23-042331.txt : 20231121 0001493152-23-042331.hdr.sgml : 20231121 20231121161428 ACCESSION NUMBER: 0001493152-23-042331 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: 231428269 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 S000076347 GraniteShares 1.25x Long TSLA Daily ETF C000236093 GraniteShares 1.25x Long TSLA Daily ETF TSL NPORT-P 1 primary_doc.xml NPORT-P false 0001689873 XXXXXXXX S000076347 C000236093 GraniteShares ETF Trust 811-23214 0001689873 549300ODHHSS5JB0RB94 222 Broadway, 21st Floor New York 10038 1-646-876-5143 GraniteShares 1.25x Long TSLA Daily ETF S000076347 549300G1ZXTYRZXFDM60 2024-06-30 2023-09-30 N 5985932.83 30673.35 5955259.48 0 0 0 0 0 0 0 0 0 0 0 0 0 0 USD N S&P US Auto SP500.2510 N/A N/A TSLA Total Return Swap N/A 29743.0000 NS USD 7442293.460000 125.0000 N/A DE US N 2 Cowen Financial Products LLC 549300KKMNDUVLY8OR56 N/A TSLA Total Return Swap Y 2024-08-09 0 USD 0 USD 7442293.46 USD 0 N N N 2023-11-21 GraniteShares ETF Trust /s/ William Rhind William Rhind President GraniteShares ETF Trust XXXX NPORT-EX 2 partf.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
             
GraniteShares 1.25x Long TSLA Daily ETF
September 30, 2023 (Unaudited)

 

Other Assets In Excess Of Liabilities - (100.00%)  $5,955,259 
NET ASSETS (100.00%)  $5,955,259 

 

TOTAL RETURN SWAP CONTRACTS

 

Counterparty  Reference Entity/Obligation(a)  Currency  Notional Amount   Floating Rate Index  Spread  Termination Date  Value   Net Unrealized Depreciation 
Cowen  Tesla, Inc.  USD  $7,442,293   OBFR01  100 bps  08/09/2024  $7,442,293   $– 
TOTAL        $7,442,293            $7,442,293   $– 

 

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

 

Investment Abbreviations:

OBFR - Overnight Bank Funding Rate

 

GraniteShares 1.25x Long TSLA Daily ETF

 

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