N-Q 1 formnq.htm

 

 

 

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number 811-23214

 

GraniteShares ETF Trust

(Exact name of registrant as specified in charter)

 

205 Hudson Street, 7th floor

New York, New York 10013

(Address of principal executive offices) (Zip code)

 

William Rhind

GraniteShares ETF Trust

205 Hudson Street, 7th floor

New York, New York 10013

(Name and address of agent for service)

 

Copy to:

W. Thomas Conner, Esq.

Vedder Price

1633 Broadway, 31st Floor

New York, NY 10019

 

Registrant’s telephone number, including area code: 1-800-422-3554

 

Date of fiscal year end: June 30

 

Date of reporting period: September 30, 2018

 

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

 

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 

 

 

   
   

 

Item 1. Schedule of Investments.

 

The Schedule(s) of Investments is attached herewith.

 

GraniteShares ETF Trust

Consolidated Schedule of Investments

GraniteShares Bloomberg Commodity Broad Strategy No K-1 ETF

September 30, 2018 (Unaudited)

 

Investments  Principal   Value 
U.S. TREASURY OBLIGATIONS – 98.8%(a)          
U.S. Treasury Bill, 1.90%, 10/04/18(b)  $300,000   $299,950 
U.S. Treasury Bill, 1.91%, 10/04/18(b)   1,600,000    1,599,731 
U.S. Treasury Bill, 1.95%, 10/04/18(b)   1,000,000    999,832 
U.S. Treasury Bill, 1.95%, 10/11/18   1,000,000    999,432 
U.S. Treasury Bill, 1.96%, 10/11/18   2,500,000    2,498,582 
U.S. Treasury Bill, 1.97%, 10/18/18(b)   250,000    249,757 
U.S. Treasury Bill, 1.99%, 10/18/18(b)   2,200,000    2,197,857 
U.S. Treasury Bill, 2.02%, 10/18/18   700,000    699,318 
U.S. Treasury Bill, 1.98%, 10/25/18   1,300,000    1,298,201 
U.S. Treasury Bill, 2.00%, 10/25/18   1,200,000    1,198,339 
U.S. Treasury Bill, 2.03%, 10/25/18   1,100,000    1,098,477 
U.S. Treasury Bill, 1.99%, 11/01/18(b)   1,625,000    1,622,121 
U.S. Treasury Bill, 2.02%, 11/01/18(b)   1,575,000    1,572,210 
U.S. Treasury Bill, 2.01%, 11/08/18   1,000,000    997,820 
U.S. Treasury Bill, 2.02%, 11/08/18   2,000,000    1,995,641 
U.S. Treasury Bill, 2.08%, 11/08/18   700,000    698,474 
U.S. Treasury Bill, 2.00%, 11/15/18(b)   400,000    398,962 
U.S. Treasury Bill, 2.01%, 11/15/18   2,200,000    2,194,290 
U.S. Treasury Bill, 2.02%, 11/15/18   465,000    463,793 
U.S. Treasury Bill, 2.06%, 11/23/18(b)   1,950,000    1,943,961 
U.S. Treasury Bill, 2.07%, 11/23/18(b)   1,350,000    1,345,819 
U.S. Treasury Bill, 2.05%, 11/29/18   3,500,000    3,487,854 
U.S. Treasury Bill, 2.09%, 12/06/18(b)   300,000    298,833 
U.S. Treasury Bill, 2.10%, 12/06/18(b)   2,450,000    2,440,466 
U.S. Treasury Bill, 2.12%, 12/06/18(b)   150,000    149,416 
U.S. Treasury Bill, 2.15%, 12/06/18(b)   300,000    298,833 
U.S. Treasury Bill, 2.12%, 12/13/18   2,600,000    2,588,816 
U.S. Treasury Bill, 2.15%, 12/13/18(b)   500,000    497,849 
U.S. Treasury Bill, 2.11%, 12/20/18   2,900,000    2,886,281 
U.S. Treasury Bill, 2.13%, 12/20/18(b)   350,000    348,344 
U.S. Treasury Bill, 2.17%, 12/27/18(b)   3,100,000    3,083,912 
U.S. Treasury Bill, 2.18%, 12/27/18   700,000    696,367 
U.S. Treasury Bill, 2.20%, 01/03/19   3,300,000    3,281,108 
U.S. Treasury Bill, 2.22%, 01/03/19(b)   275,000    273,426 
Total United States Treasury Obligations
        (Cost $46,707,414)		        46,704,072 
Total Investments – 98.8%          
(Cost $46,707,414)        46,704,072 
Other Assets in Excess of Liabilities – 1.2%        565,005 
Net Assets – 100.0%       $47,269,077 

 

(a) Represents zero coupon bonds. Rates shown reflects the effective yield.
(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.

 

See accompanying Notes to Consolidated Schedules of Investments.

 

 
 

 

GraniteShares ETF Trust

Consolidated Schedule of Investments

GraniteShares Bloomberg Commodity Broad Strategy No K-1 ETF (continued)

September 30, 2018 (Unaudited)

 

At September 30, 2018, open futures contracts purchased were as follows:

 

Description  Number of
Contracts		  Expiration Date  Contract
Type		  Notional Amount   Value   Unrealized
Appreciation		   Unrealized Depreciation 
Brent Crude(a)  54  11/30/2018  Long  $4,440,960   $241,870   $241,870   $– 
Coffee ‘C’(a)  26  12/18/2018  Long   998,887    (67,219)   –    (67,219)
Copper(a)  42  12/27/2018  Long   2,945,250    44,038    44,038    – 
Corn(a)  166  12/14/2018  Long   2,956,875    (169,500)   –    (169,500)
Cotton No. 2(a)  18  12/06/2018  Long   687,330    (115,500)   –    (115,500)
Crude Oil(a)  57  10/22/2018  Long   4,175,250    368,290    368,290    – 
Gasoline RBOB(a)  24  10/31/2018  Long   2,102,386    177,400    177,400    – 
Gold 100 OZ(a)  43  12/27/2018  Long   5,143,660    (242,660)   –    (242,660)
KC Hard Red Winter Wheat(a)  29  12/14/2018  Long   741,313    (110,012)   –    (110,012)
Lean Hogs(a)  35  12/14/2018  Long   810,950    31,230    31,230    – 
Live Cattle(a)  43  12/31/2018  Long   2,044,220    55,950    55,950    – 
LME Nickel(a)  18  11/19/2018  Long   1,356,588    (128,790)   –    (128,790)
LME Primary Aluminum(a)  39  11/19/2018  Long   2,017,275    (9,700)   –    (9,700)
LME Zinc(a)  17  11/19/2018  Long   1,124,550    36,525    36,525    – 
Natural Gas(a)  139  10/29/2018  Long   4,181,120    46,550    46,550    – 
NY Harbour ULSD(a)  20  10/31/2018  Long   1,972,740    167,538    167,538    – 
Silver(a)  20  12/27/2018  Long   1,471,200    (58,610)   –    (58,610)
Soybean(a)  59  11/14/2018  Long   2,494,225    (275,463)   –    (275,463)
Soybean Meal(a)  45  12/14/2018  Long   1,390,500    (165,650)   –    (165,650)
Soybean Oil(a)  64  12/14/2018  Long   1,113,216    (50,418)   –    (50,418)
Sugar #11(a)  100  2/28/2019  Long   1,254,400    (102,021)   –    (102,021)
Wheat (CBD)(a)  72  12/14/2018  Long   1,832,400    (231,575)   –    (231,575)
Total Futures Contracts       $47,255,295        $1,169,391   $(1,727,118)
Net Unrealized Appreciation (Depreciation)                    $(557,727)

 

(a)

 A portion or all of the security is owned by GraniteShares BCOM Cayman Limited, a wholly-owned subsidiary of the Fund. See Note 2.

 

See accompanying Notes to Consolidated Schedules of Investments.

 

 
 

 

GraniteShares ETF Trust

Consolidated Schedule of Investments

GraniteShares Bloomberg Commodity Broad Strategy No K-1 ETF (continued)

September 30, 2018 (Unaudited)

 

The following table summarizes valuation of the Fund's investments under the fair value hierarchy levels as of September 30, 2018:

 

   Level 1   Level 2   Level 3   Total 
Asset Valuation Inputs                    
Investments in Securities                    
U.S. Treasury Obligations  $46,704,072   $–   $–   $46,704,072 
Other Investments                    
Futures   1,169,391    –    –    1,169,391 
Total  $47,873,463   $–   $–   $47,873,463 
Liability Valuation Inputs                    
Other Investments                    
Futures  $1,727,118   $–   $–   $1,727,118 
Total  $1,727,118   $–   $–   $1,727,118 

 

For the period ended September 30, 2018, there were no transfers between any levels. As of September 30, 2018 there were no Level 3 investments held in the Fund.

 

See accompanying Notes to Consolidated Schedules of Investments.

 

 
 

 

GraniteShares ETF Trust

Consolidated Schedule of Investments

GraniteShares S&P GSCI Commodity Broad Strategy No K-1 ETF

September 30, 2018 (Unaudited)

 

Investments  Principal   Value 
U.S. TREASURY OBLIGATIONS – 98.1%(a)          
U.S. Treasury Bill, 1.95%, 10/04/18  $650,000   $649,891 
U.S. Treasury Bill, 1.97%, 10/18/18(b)   100,000    99,903 
U.S. Treasury Bill, 1.99%, 11/01/18(b)   125,000    124,779 
U.S. Treasury Bill, 2.03%, 11/01/18(b)   150,000    149,734 
U.S. Treasury Bill, 2.08%, 11/08/18   400,000    399,128 
U.S. Treasury Bill, 2.02%, 11/15/18   1,585,000    1,580,886 
U.S. Treasury Bill, 2.06%, 11/23/18(b)   100,000    99,690 
U.S. Treasury Bill, 2.07%, 11/23/18(b)   150,000    149,535 
U.S. Treasury Bill, 2.10%, 12/06/18(b)   540,000    537,899 
U.S. Treasury Bill, 2.12%, 12/06/18(b)   100,000    99,611 
U.S. Treasury Bill, 2.15%, 12/06/18(b)   100,000    99,611 
U.S. Treasury Bill, 2.12%, 12/13/18   600,000    597,419 
U.S. Treasury Bill, 2.11%, 12/20/18   1,350,000    1,343,614 
U.S. Treasury Bill, 2.17%, 12/27/18(b)   150,000    149,221 
U.S. Treasury Bill, 2.18%, 12/27/18   500,000    497,405 
U.S. Treasury Bill, 2.20%, 01/03/19   900,000    894,848 
U.S. Treasury Bill, 2.22%, 01/03/19(b)   150,000    149,141 
Total United States Treasury Obligations
(Cost $7,622,812)		        7,622,315 
Total Investments – 98.1%          
(Cost $7,622,812)        7,622,315 
Other Assets in Excess of Liabilities – 1.9%        144,540 
Net Assets – 100.0%       $7,766,855 

 

(a) Represents zero coupon bonds. Rates shown reflects the effective yield.
(b) A portion or all of the security is owned by GraniteShares GSCI Cayman Limited, a wholly-owned subsidiary of the Fund. See Note 2.

 

At September 30, 2018, open future contract purchased was as follows:

 

Description  Number of Contracts  Expiration Date  Contract
Type		  Notional Amount   Value   Unrealized
Appreciation		   Unrealized Depreciation 
GOLDMAN SACHS Index(a)  64  10/15/2018  Long  $7,779,200   $294,625   $294,625   $              – 

 

(a) A portion or all of the security is owned by GraniteShares GSCI Cayman Limited, a wholly-owned subsidiary of the Fund. See Note 2.

 

See accompanying Notes to Consolidated Schedules of Investments.

 

 
 

 

GraniteShares ETF Trust

Consolidated Schedule of Investments

GraniteShares S&P GSCI Commodity Broad Strategy No K-1 ETF (continued)

September 30, 2018 (Unaudited)

 

The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of September 30, 2018:
                 
   Level 1   Level 2   Level 3   Total 
Asset Valuation Inputs                    
Investments in Securities                    
U.S. Treasury Obligations  $7,622,315   $–   $–   $7,622,315 
Other Investments                    
Futures   294,625    –    –    294,625 
Total  $7,916,940   $–   $–   $7,916,940 

 

For the period ended September 30, 2018, there were no transfers between any levels. As of September 30, 2018 there were no Level 3 investments held in the Fund.

 

See accompanying Notes to Consolidated Schedules of Investments.

 

 
 

 

GraniteShares ETF Trust

Schedule of Investments

GraniteShares HIPS US High Income ETF

September 30, 2018 (Unaudited)

 

 

Investments  Shares   Value 
COMMON STOCKS – 90.3%          
Capital Markets – 21.4%          
AllianceBernstein Holding LP(a)   1,024   $31,181 
Apollo Global Management LLC, Class A(a)   4,704    162,523 
Apollo Investment Corp.   2,421    13,170 
Ares Capital Corp.   4,820    82,856 
Ares Management LP(a)   2,161    50,135 
Arlington Asset Investment Corp., Class A   334    3,120 
Artisan Partners Asset Management, Inc., Class A   796    25,790 
Barings BDC, Inc.   618    6,186 
BlackRock Capital Investment Corp.   820    4,838 
BlackRock TCP Capital Corp.   656    9,335 
Blackstone Group LP (The)(a)   14,246    542,488 
Carlyle Group LP (The)(a)   3,910    88,171 
Cohen & Steers, Inc.   248    10,071 
Corporate Capital Trust, Inc.   1,403    21,410 
Diamond Hill Investment Group, Inc.   37    6,119 
Ellington Financial LLC(a)   332    5,315 
Federated Investors, Inc., Class B   1,102    26,580 
Fidus Investment Corp.   284    4,152 
Franklin Resources, Inc.   3,592    109,233 
FS Investment Corp.   2,687    18,943 
Gladstone Capital Corp.   284    2,698 
Gladstone Investment Corp.   365    4,172 
Goldman Sachs BDC, Inc.   442    9,804 
Golub Capital BDC, Inc.   685    12,844 
Hercules Capital, Inc.   1,032    13,581 
Invesco Ltd.   4,663    106,689 
Janus Henderson Group PLC (United Kingdom)   2,048    55,214 
Legg Mason, Inc.   979    30,574 
Main Street Capital Corp.   625    24,063 
Monroe Capital Corp.   198    2,687 
New Mountain Finance Corp.   775    10,463 
Newtek Business Services Corp.   198    4,146 
Oaktree Capital Group LLC(a)   1,790    74,106 
Oaktree Specialty Lending Corp.   1,347    6,681 
Oaktree Strategic Income Corp.   270    2,336 
Oxford Square Capital Corp.   579    4,123 
PennantPark Floating Rate Capital Ltd.   433    5,694 
PennantPark Investment Corp.   811    6,050 
Prospect Capital Corp.   3,830    28,074 

 

See accompanying Notes to Consolidated Schedules of Investments.

 

 
 

 

GraniteShares ETF Trust

Schedule of Investments (continued)

GraniteShares HIPS US High Income ETF

September 30, 2018 (Unaudited)

 

Investments  Shares   Value 
COMMON STOCKS (continued)        
Capital Markets (continued)        
Pzena Investment Management, Inc., Class A   739   $7,050 
Solar Capital Ltd.   464    9,920 
Solar Senior Capital Ltd.   185    3,091 
TCG BDC, Inc.   711    11,874 
THL Credit, Inc.   324    2,615 
TPG Specialty Lending, Inc.   557    11,357 
TriplePoint Venture Growth BDC Corp.   253    3,438 
Waddell & Reed Financial, Inc., Class A   913    19,337 
Westwood Holdings Group, Inc.   87    4,501 
WhiteHorse Finance, Inc.   105    1,460 
Total Capital Markets        1,700,258 
Energy Equipment & Services – 4.1%          
Baker Hughes a GE Co.   9,590    324,430 
USA Compression Partners LP(a)   289    4,771 
Total Energy Equipment & Services        329,201 
Equity Real Estate Investment – 34.8%(b)          
Alexander & Baldwin, Inc.(c)   748    16,972 
Alexander’s, Inc.(c)   33    11,329 
American Campus Communities, Inc.(c)   1,559    64,168 
Apple Hospitality REIT, Inc.(c)   1,887    33,004 
Armada Hoffler Properties, Inc.(c)   559    8,446 
Brandywine Realty Trust(c)   1,552    24,397 
Brixmor Property Group, Inc.(c)   2,682    46,962 
CatchMark Timber Trust, Inc., Class A(c)   552    6,309 
CBL & Associates Properties, Inc.(c)   1,499    5,981 
Chesapeake Lodging Trust(c)   536    17,190 
Colony Capital, Inc.(c)   5,596    34,080 
CoreCivic, Inc.(c)   1,388    33,770 
CorEnergy Infrastructure Trust, Inc.(c)   138    5,186 
Corporate Office Properties Trust(c)   887    26,459 
DDR Corp.(c)   1,350    18,076 
DiamondRock Hospitality Co.(c)   1,799    20,994 
Easterly Government Properties, Inc.(c)   562    10,886 
EPR Properties(c)   741    50,692 
Farmland Partners, Inc.(c)   388    2,600 
Four Corners Property Trust, Inc.(c)   737    18,934 
Front Yard Residential Corp.(c)   632    6,857 
Gaming and Leisure Properties, Inc.(c)   2,263    79,771 
GEO Group, Inc. (The)(c)   1,428    35,928 
Getty Realty Corp.(c)   298    8,511 
Gladstone Commercial Corp.(c)   321    6,147 

 

See accompanying Notes to Consolidated Schedules of Investments.

 

 
 

 

GraniteShares ETF Trust

Schedule of Investments (continued)

GraniteShares HIPS US High Income ETF

September 30, 2018 (Unaudited)

 

Investments  Shares   Value 
COMMON STOCKS (continued)        
Equity Real Estate Investment (continued)        
Global Net Lease, Inc.(c)   800   $16,680 
Government Properties Income Trust(c)   896    10,116 
Gramercy Property Trust(c)   1,425    39,102 
Hospitality Properties Trust(c)   1,449    41,789 
Host Hotels & Resorts, Inc.(c)   6,551    138,226 
Independence Realty Trust, Inc.(c)   978    10,298 
Investors Real Estate Trust(c)   1,377    8,234 
Iron Mountain, Inc.(c)   3,292    113,640 
Jernigan Capital, Inc.(c)   205    3,954 
Kimco Realty Corp.(c)   3,784    63,344 
Kite Realty Group Trust(c)   736    12,254 
LaSalle Hotel Properties(c)   987    34,140 
Lexington Realty Trust(c)   2,420    20,086 
Life Storage, Inc.(c)   537    51,101 
Macerich Co. (The)(c)   964    53,300 
Mack-Cali Realty Corp.(c)   783    16,647 
MGM Growth Properties LLC, Class A(c)   2,279    67,208 
Monmouth Real Estate Investment Corp., Class A(c)   688    11,503 
National Retail Properties, Inc.(c)   1,371    61,448 
One Liberty Properties, Inc.(c)   193    5,362 
Outfront Media, Inc.(c)   1,546    30,843 
Park Hotels & Resorts, Inc.(c)   1,821    59,765 
Pebblebrook Hotel Trust(c)   603    21,931 
Piedmont Office Realty Trust, Inc., Class A(c)   1,115    21,107 
Preferred Apartment Communities, Inc., Class A(c)   444    7,806 
QTS Realty Trust, Inc., Class A(c)   570    24,322 
Ramco-Gershenson Properties Trust(c)   698    9,493 
Realty Income Corp.(c)   2,530    143,932 
Retail Opportunity Investments Corp.(c)   1,004    18,745 
Retail Properties of America, Inc., Class A(c)   1,958    23,868 
RLJ Lodging Trust(c)   1,564    34,455 
Ryman Hospitality Properties, Inc.(c)   449    38,690 
Select Income REIT(c)   561    12,308 
Simon Property Group, Inc.(c)   2,740    484,295 
Spirit Realty Capital, Inc.(c)   3,814    30,741 
STAG Industrial, Inc.(c)   942    25,905 
STORE Capital Corp.(c)   1,970    54,746 
Summit Hotel Properties, Inc.(c)   886    11,988 
Sunstone Hotel Investors, Inc.(c)   1,977    32,344 

 

See accompanying Notes to Consolidated Schedules of Investments.

 

 
 

 

GraniteShares ETF Trust

Schedule of Investments (continued)

GraniteShares HIPS US High Income ETF

September 30, 2018 (Unaudited)

 

Investments  Shares   Value 
COMMON STOCKS (continued)        
Equity Real Estate Investment (continued)        
Tanger Factory Outlet Centers, Inc.(c)   850   $19,448 
Taubman Centers, Inc.(c)   549    32,847 
UMH Properties, Inc.(c)   380    5,943 
VEREIT, Inc.(c)   10,978    79,700 
Washington Prime Group, Inc.(c)   1,635    11,936 
Washington Real Estate Investment Trust(c)   882    27,033 
Weingarten Realty Investors(c)   1,042    31,010 
WP Carey, Inc.(c)   1,227    78,908 
Xenia Hotels & Resorts, Inc.(c)   955    22,634 
Total Equity Real Estate Investment        2,768,824 
Mortgage Real Estate Investment – 9.1%          
AG Mortgage Investment Trust, Inc.(c)   320    5,818 
AGNC Investment Corp.(c)   5,472    101,943 
Annaly Capital Management, Inc.(c)   13,729    140,448 
Anworth Mortgage Asset Corp.(c)   1,156    5,352 
Apollo Commercial Real Estate Finance, Inc.(c)   1,283    24,210 
Arbor Realty Trust, Inc.(c)   899    10,321 
ARMOUR Residential REIT, Inc.(c)   470    10,552 
Blackstone Mortgage Trust, Inc., Class A(c)   1,300    43,563 
Capstead Mortgage Corp.(c)   1,065    8,424 
Chimera Investment Corp.(c)   2,146    38,907 
Granite Point Mortgage Trust, Inc.(c)   487    9,389 
Hannon Armstrong Sustainable Infrastructure Capital, Inc.(c)   553    11,873 
Invesco Mortgage Capital, Inc.(c)   1,249    19,759 
KKR Real Estate Finance Trust, Inc.(c)   309    6,233 
Ladder Capital Corp.(c)   1,264    21,412 
MFA Financial, Inc.(c)   5,154    37,882 
New Residential Investment Corp.(c)   3,859    68,767 
New York Mortgage Trust, Inc.(c)   1,515    9,211 
PennyMac Mortgage Investment Trust(c)   701    14,188 
Redwood Trust, Inc.(c)   924    15,006 
Starwood Property Trust, Inc.(c)   3,002    64,603 
Sutherland Asset Management Corp.*,(c)   175    2,914 
TPG RE Finance Trust, Inc.(c)   500    10,010 
Two Harbors Investment Corp.(c)   2,840    42,401 
Total Mortgage Real Estate Investment        723,186 
Oil, Gas & Consumable Fuels – 20.9%          
Alliance Resource Partners LP(a)   560    11,424 
Andeavor Logistics LP(a)   751    36,469 
Black Stone Minerals LP(a)   1,433    26,095 
Buckeye Partners LP(a)   1,311    46,816 

 

See accompanying Notes to Consolidated Schedules of Investments.

 

 
 

 

GraniteShares ETF Trust

Schedule of Investments (continued)

GraniteShares HIPS US High Income ETF

September 30, 2018 (Unaudited)

 

Investments  Shares   Value 
COMMON STOCKS (continued)        
Oil, Gas & Consumable Fuels (continued)        
CNX Midstream Partners LP(a)   223   $4,293 
Crestwood Equity Partners LP(a)   398    14,626 
CVR Refining LP(a)   203    3,999 
DCP Midstream LP(a)   780    30,880 
Dominion Energy Midstream Partners LP(a)   623    11,152 
Enable Midstream Partners LP(a)   699    11,771 
Enbridge Energy Partners LP(a)   2,997    32,937 
Energy Transfer Equity LP(a)   7,971    138,934 
Energy Transfer Partners LP(a)   9,213    205,081 
EnLink Midstream LLC   549    9,031 
EnLink Midstream Partners LP(a)   1,381    25,742 
Enterprise Products Partners LP(a)   12,717    365,359 
Enviva Partners LP(a)   280    8,904 
EQT Midstream Partners LP(a)   774    40,852 
Genesis Energy LP(a)   883    20,998 
Golar LNG Partners LP (United Kingdom)(a)   426    6,105 
Hess Midstream Partners LP(a)   267    6,090 
Holly Energy Partners LP(a)   385    12,112 
MPLX LP(a)   2,462    85,382 
NGL Energy Partners LP(a)   1,030    11,948 
NuStar Energy LP(a)   775    21,545 
Plains All American Pipeline LP(a)   3,670    91,787 
Plains GP Holdings LP, Class A*   2,431    59,632 
SemGroup Corp., Class A   550    12,127 
Shell Midstream Partners LP(a)   1,144    24,459 
Ship Finance International Ltd. (Norway)   806    11,203 
Spectra Energy Partners LP(a)   768    27,425 
Summit Midstream Partners LP(a)   409    5,849 
Sunoco LP(a)   392    11,584 
Tallgrass Energy LP, Class A   1,572    37,068 
Targa Resources Corp.   1,881    105,919 
TC PipeLines LP(a)   445    13,497 
Teekay LNG Partners LP (Bermuda)(a)   474    7,916 
Viper Energy Partners LP(a)   427    17,977 
Western Gas Equity Partners LP(a)   336    10,060 
Western Gas Partners LP(a)   897    39,181 
Total Oil, Gas & Consumable Fuels        1,664,229 

Total Common Stocks

(Cost $6,912,469)

        7,185,698 
INVESTMENT COMPANIES – 9.1%          
Aberdeen Asia-Pacific Income Fund, Inc.   2,838    11,749 

 

See accompanying Notes to Consolidated Schedules of Investments.

 

 
 

 

GraniteShares ETF Trust

Schedule of Investments (continued)

GraniteShares HIPS US High Income ETF

September 30, 2018 (Unaudited)

 

Investments  Shares   Value 
INVESTMENT COMPANIES (continued)        
Advent Claymore Convertible Securities and Income Fund   223   $3,494 
AllianceBernstein Global High Income Fund, Inc.   955    11,126 
AllianzGI Convertible & Income Fund   983    6,832 
AllianzGI Convertible & Income Fund II   833    5,106 
AllianzGI Diversified Income & Convertible Fund   114    2,832 
Apollo Senior Floating Rate Fund, Inc.   153    2,445 
Apollo Tactical Income Fund, Inc.   144    2,236 
Ares Dynamic Credit Allocation Fund, Inc.   279    4,333 
Barings Global Short Duration High Yield Fund   243    4,709 
BlackRock Core Bond Trust   636    8,128 
BlackRock Corporate High Yield Fund, Inc.   1,410    14,819 
BlackRock Credit Allocation Income Trust   1,162    14,223 
BlackRock Debt Strategies Fund, Inc.   603    6,717 
BlackRock Floating Rate Income Strategies Fund, Inc.   444    6,123 
BlackRock Floating Rate Income Trust   234    3,089 
BlackRock Income Trust, Inc.   733    4,193 
BlackRock Limited Duration Income Trust   429    6,388 
BlackRock Multi-Sector Income Trust   453    7,665 
BlackRock Taxable Municipal Bond Trust   633    13,420 
Blackstone / GSO Senior Floating Rate Term Fund   184    3,310 
Blackstone / GSO Strategic Credit Fund   491    7,807 
BrandywineGLOBAL Global Income Opportunities Fund, Inc.   207    2,252 
Brookfield Real Assets Income Fund, Inc.   410    9,455 
Calamos Convertible and High Income Fund   807    10,709 
Calamos Convertible Opportunities and Income Fund   783    9,427 
Calamos Dynamic Convertible & Income Fund   271    5,886 
Cohen & Steers Limited Duration Preferred and Income Fund, Inc.   334    7,953 
Cohen & Steers Select Preferred and Income Fund, Inc.   148    3,938 
Credit Suisse High Yield Bond Fund   990    2,604 
DoubleLine Funds Trust - DoubleLine Opportunistic Credit Fund   184    3,785 
DoubleLine Income Solutions Fund   1,131    22,846 
Dreyfus High Yield Strategies Fund   720    2,318 

 

See accompanying Notes to Consolidated Schedules of Investments.

 

 
 

 

GraniteShares ETF Trust

Schedule of Investments (continued)

GraniteShares HIPS US High Income ETF

September 30, 2018 (Unaudited)

 

Investments  Shares   Value 
INVESTMENT COMPANIES (continued)        
Duff & Phelps Utility and Corporate Bond Trust, Inc.   306   $2,567 
Eagle Point Credit Co., Inc.   271    4,851 
Eaton Vance Floating-Rate 2022 Target Term Trust   263    2,435 
Eaton Vance Floating-Rate Income Trust   436    6,366 
Eaton Vance Limited Duration Income Fund   1,282    16,256 
Eaton Vance Senior Floating-Rate Trust   419    5,891 
Eaton Vance Senior Income Trust   374    2,412 
Eaton Vance Short Duration Diversified Income Fund   176    2,272 
First Trust High Income Long/Short Fund   394    5,811 
First Trust Intermediate Duration Preferred & Income Fund   675    14,553 
First Trust Senior Floating Rate 2022 Target Term Fund   401    3,729 
First Trust Senior Floating Rate Income Fund II   311    3,956 
Flaherty & Crumrine Preferred Securities Income Fund, Inc.   482    8,782 
Franklin Limited Duration Income Trust   266    2,708 
Guggenheim Taxable Municipal Managed Duration Trust   196    4,159 
Highland Floating Rate Opportunities Fund   801    12,351 
Invesco Dynamic Credit Opportunities Fund   838    9,612 
Invesco High Income 2023 Target Term Fund   234    2,319 
Invesco Senior Income Trust   2,032    8,738 
Ivy High Income Opportunities Fund   162    2,310 
John Hancock Preferred Income Fund   307    6,748 
John Hancock Preferred Income Fund II   260    5,504 
John Hancock Preferred Income Fund III   361    6,733 
KKR Income Opportunities Fund   269    4,414 
MainStay MacKay DefinedTerm Municipal Opportunities Fund   307    6,029 
MFS Charter Income Trust   631    4,897 
MFS Intermediate Income Trust   1,320    4,963 
MFS Multimarket Income Trust   865    4,783 
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.   766    5,163 
Neuberger Berman High Yield Strategies Fund, Inc.   189    2,070 
Nuveen Build America Bond Fund   311    6,220 

 

See accompanying Notes to Consolidated Schedules of Investments.

 

 
 

 

GraniteShares ETF Trust

Schedule of Investments (continued)

GraniteShares HIPS US High Income ETF

September 30, 2018 (Unaudited)

 

Investments  Shares   Value 
INVESTMENT COMPANIES (continued)        
Nuveen Credit Opportunities 2022 Target Term Fund   308   $2,941 
Nuveen Credit Strategies Income Fund   1,541    12,282 
Nuveen Floating Rate Income Fund   658    6,837 
Nuveen Floating Rate Income Opportunity Fund   496    5,114 
Nuveen Global High Income Fund, Class I   275    4,287 
Nuveen High Income December 2018 Target Term Fund   338    3,329 
Nuveen High Income December 2019 Target Term Fund   333    3,283 
Nuveen High Income November 2021 Target Term Fund   649    6,185 
Nuveen Intermediate Duration Municipal Term Fund   524    6,545 
Nuveen Mortgage Opportunity Term Fund   178    4,272 
Nuveen Preferred & Income Opportunities Fund   1,163    10,781 
Nuveen Preferred & Income Securities Fund   2,253    19,826 
Nuveen Preferred & Income Term Fund   274    6,220 
Nuveen Senior Income Fund   374    2,304 
PGIM Global Short Duration High Yield Fund, Inc.   480    6,658 
PGIM Short Duration High Yield Fund, Inc.   399    5,642 
PIMCO Corporate & Income Opportunity Fund   900    16,065 
PIMCO Corporate & Income Strategy Fund   462    8,450 
PIMCO Dynamic Credit and Mortgage Income Fund   1,573    37,941 
Pimco Dynamic Income Fund   595    19,927 
PIMCO High Income Fund   1,460    12,249 
PIMCO Income Opportunity Fund   194    5,356 
PIMCO Income Strategy Fund   318    3,759 
PIMCO Income Strategy Fund II   685    7,227 
PIMCO Strategic Income Fund, Inc.   414    4,041 
Pioneer Floating Rate Trust   243    2,680 
Pioneer High Income Trust   288    2,667 
Putnam Premier Income Trust   1,312    6,901 
Templeton Emerging Markets Income Fund   573    5,730 
Templeton Global Income Fund   1,498    9,168 
Voya Prime Rate Trust   1,626    8,097 
Wells Fargo Income Opportunities Fund   807    6,391 

 

See accompanying Notes to Consolidated Schedules of Investments.

 

 
 

 

GraniteShares ETF Trust

Schedule of Investments (continued)

GraniteShares HIPS US High Income ETF

September 30, 2018 (Unaudited)

 

Investments  Shares   Value 
INVESTMENT COMPANIES (continued)        
Wells Fargo Multi-Sector Income Fund   342   $4,159 
Western Asset Emerging Markets Debt Fund, Inc.   702    9,421 
Western Asset Global Corporate Defined Opportunity Fund, Inc.   189    3,062 
Western Asset Global High Income Fund, Inc.   510    4,646 
Western Asset High Income Fund II, Inc.   964    6,112 
Western Asset High Income Opportunity Fund, Inc.   1,462    6,959 
Western Asset High Yield Defined Opportunity Fund, Inc.   280    4,074 
Western Asset Inflation-Linked Opportunities & Income Fund   703    7,621 
Western Asset Inflation-Linked Securities & Income Fund   363    4,087 
Western Asset Mortgage Defined Opportunity Fund, Inc.   99    2,277 

Total Investment Companies

(Cost $753,896)

        727,092 
MONEY MARKET FUND – 0.4%          

BlackRock Treasury Trust, 1.93%(d)

(Cost $29,334)

   29,334    29,334 
Total Investments – 99.8%          
(Cost $7,695,699)        7,942,124 
Other Assets in Excess of Liabilities – 0.2%       14,757 
Net Assets – 100.0%       $7,956,881 

 

 

* Non-income producing security.
(a) Master Limited Partnership (“MLP”)
(b) To the extent the Fund invests more heavily in particular sectors of the economy its performance will be especially sensitive to developments that significantly affect those sectors.
(c) Real Estate Investment Trust (“REIT”)
(d) Rate shown reflects the 7-day yield as of September 30, 2018.

 

See accompanying Notes to Consolidated Schedules of Investments.

 

 
 

 

GraniteShares ETF Trust

Schedule of Investments (continued)

GraniteShares HIPS US High Income ETF

September 30, 2018 (Unaudited)

 

 

The following table summarizes valuation of the Fund’s investments under the fair value hierarchy levels as of September 30, 2018:

 

   Level 1   Level 2   Level 3   Total 
Asset Valuation Inputs                    
Investments in Securities                    
Common Stocks  $7,185,698   $–   $–   $7,185,698 
Investment Companies   727,092    –    –    727,092 
Money Market Fund   29,334    –    –    29,334 
Total  $7,942,124   $–   $–   $7,942,124 

 

For the period ended September 30, 2018, there were no transfers between any levels. As of September 30, 2018 there were no Level 3 investments held in the Fund.

 

See accompanying Notes to Consolidated Schedules of Investments.

 

 
 

 

GraniteShares ETF Trust

Notes to Consolidated Schedules of Investments

September 30, 2018 (unaudited)

 

1.ORGANIZATION

 

The GraniteShares ETF Trust (the “Trust”) was organized as a Delaware statutory trust on November 7, 2016. The Trust is registered with the Securities and Exchange Commission (the “SEC”) under the Investment Company Act of 1940, as amended (the “1940 Act”), and the offering of each Fund’s shares (“Shares”) is registered under the Securities Act of 1933, as amended (the “Securities Act”). GraniteShares Advisors LLC (the “Adviser”) serves as investment adviser to the Funds. The Trust is an open-end management investment company currently consisting of multiple investment series, of which are presented below (each, a “Fund,” and collectively, the “Funds”) and presented herein.

 

Fund   Commencement of Operations
GraniteShares Bloomberg Commodity Broad Strategy No K-1 ETF   May 19, 2017
GraniteShares S&P GSCI Commodity Broad Strategy No K-1 ETF   May 19, 2017
GraniteShares HIPS US High Income ETF   January 6, 2015

 

GraniteShares Bloomberg Commodity Broad Strategy No K-1 ETF and GraniteShares S&P GSCI Commodity Broad Strategy No K-1 ETF are non-diversified series of a management investment company under the 1940 Act. GraniteShares HIPS US High Income ETF is a diversified series of a management investment company under the 1940 Act.

 

2.CONSOLIDATED SUBSIDIARY

 

GraniteShares Bloomberg Commodity Broad Strategy No K-1 ETF and GraniteShares S&P GSCI Commodity Broad Strategy No K-1 ETF invest in certain commodity-related investments through GraniteShares BCOM Cayman Limited and GraniteShares GSCI Cayman Limited respectively, wholly-owned subsidiaries (each, a “Subsidiary”, collectively, the “Subsidiaries”).

 

The following table reflects the net assets of each Subsidiary as a percentage of each Fund’s net assets at September 30, 2018:

 

Fund 

Wholly Owned

Subsidiary

  Value   Percentage of
Fund’s Net Assets		 
GraniteShares Bloomberg Commodity Broad Strategy No K-1 ETF 

GraniteShares BCOM

Cayman Limited

  $6,027,232    12.8% 
GraniteShares S&P GSCI Commodity Broad Strategy No K-1 ETF 

GraniteShares GSCI

Cayman Limited

  $1,330,184    17.1% 

 

3.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.

 

 
 

 

GraniteShares ETF Trust

Notes to Consolidated Schedules of Investments (continued)

September 30, 2018 (unaudited)

 

The hierarchy classification of inputs used to value each Fund’s investments at September 30, 2018, is disclosed at the end of each Fund’s Consolidated Schedule of Investments.

 

4.NEW ACCOUNTING PRONOUNCEMENT

 

In August 2018, the FASB issued Accounting Standards Update (ASU) No. 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurements. The amendments in the ASU modify the disclosure requirements on fair value measurements in Topic 820. The ASU is effective for interim and annual reporting periods beginning after December 15, 2019. Management is currently evaluating the impact, if any, of applying this provision and believes the adoption of this ASU will not have a material impact on the Funds’ financial statements.

 

5.SUBSEQUENT EVENTS

 

Management has evaluated the events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosures.

 

 
 

 

Item 2. Controls and Procedures.

 

  (a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).
     
  (b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 3. Exhibits.

 

Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

 

   
   

 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(Registrant) GraniteShares ETF Trust

 

By (Signature and Title)*  /s/ William Rhind
  William Rhind, Trustee, President and Chief Financial Officer
  (principal executive officer and principal financial officer)

 

Date 11/14/2018

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title)*  /s/ William Rhind
  William Rhind, Trustee, President and Chief Financial Officer
  (principal executive officer and principal financial officer)

 

Date 11/14/2018

 

* Print the name and title of each signing officer under his or her signature.