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Semi-Annual Report KraneShares Global Carbon Transformation ETF KraneShares Global Carbon Strategy ETF KraneShares European Carbon Allowance Strategy ETF KraneShares California Carbon Allowance Strategy ETF KraneShares Global Carbon Offset Strategy ETF September 30, 2022 |
Table of Contents
The Funds file their complete schedules of Fund holdings with the Securities and Exchange Commission (the “Commission”) for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Funds’ Form N-PORT reports are available on the Commission’s website at http://www.sec.gov.
A description of the policies and procedures that KraneShares Trust uses to determine how to vote proxies relating to Fund securities, as well as information relating to how the Funds voted proxies relating to Fund securities during the most recent 12-month year ended June 30, are available (i) without charge, upon request, by calling 855-857-2638; and (ii) on the Commission’s website at http://www.sec.gov.
Fund shares may only be purchased or redeemed from a Fund in Creation Unit aggregations. Investors who cannot transact in Creation Units of a Fund’s shares must buy or sell Fund shares in the secondary market at their market price, which may be at a premium or discount to a Fund’s net asset value, with the assistance of a broker. In doing so, the investor may incur brokerage commissions and may pay more than net asset value when buying Fund shares and receive less than net asset value when selling Fund shares.
Schedule of Investments (Unaudited) September 30, 2022
KraneShares Global Carbon Transformation ETF
| Shares | Value | |||||||
| COMMON STOCK — 98.5%‡ | ||||||||
| Australia — 2.4% | ||||||||
| Materials — 2.4% | ||||||||
| Fortescue Metals Group | 4,581 | $ | 49,541 | |||||
| TOTAL AUSTRALIA | 49,541 | |||||||
| Canada — 9.4% | ||||||||
| Energy — 1.6% | ||||||||
| Cameco | 1,321 | 35,020 | ||||||
| Industrials — 1.2% | ||||||||
| Ballard Power Systems* | 4,092 | 25,043 | ||||||
| Materials — 1.5% | ||||||||
| Teck Resources, Cl B | 1,051 | 31,961 | ||||||
| Utilities — 5.1% | ||||||||
| Atco, Cl I | 1,916 | 59,193 | ||||||
| Northland Power | 1,613 | 47,484 | ||||||
| 106,677 | ||||||||
| TOTAL CANADA | 198,701 | |||||||
| France — 10.0% | ||||||||
| Energy — 3.0% | ||||||||
| TotalEnergies | 1,315 | 62,190 | ||||||
| Industrials — 4.4% | ||||||||
| Legrand | 593 | 38,725 | ||||||
| Rexel | 3,557 | 53,942 | ||||||
| 92,667 | ||||||||
| Materials — 0.9% | ||||||||
| Air Liquide | 171 | 19,671 | ||||||
| Utilities — 1.7% | ||||||||
| Engie | 3,022 | 35,058 | ||||||
| TOTAL FRANCE | 209,586 | |||||||
The accompanying notes are an integral part of the financial statements.
1
Schedule of Investments (Unaudited) September 30, 2022
KraneShares Global Carbon Transformation ETF (continued)
| Shares | Value | |||||||
| COMMON STOCK (continued) | ||||||||
| Germany — 7.0% | ||||||||
| Industrials — 1.1% | ||||||||
| Siemens | 225 | $ | 22,307 | |||||
| Materials — 1.2% | ||||||||
| thyssenkrupp* | 5,782 | 24,844 | ||||||
| Utilities — 4.7% | ||||||||
| Encavis | 1,585 | 28,695 | ||||||
| RWE | 1,904 | 70,488 | ||||||
| 99,183 | ||||||||
| TOTAL GERMANY | 146,334 | |||||||
| India — 6.4% | ||||||||
| Energy — 3.8% | ||||||||
| Reliance Industries GDR | 1,377 | 80,365 | ||||||
| 80,365 | ||||||||
| Utilities — 2.6% | ||||||||
| ReNew Energy Global, Cl A* | 9,126 | 54,939 | ||||||
| TOTAL INDIA | 135,304 | |||||||
| Italy — 6.0% | ||||||||
| Energy — 2.4% | ||||||||
| Eni | 4,849 | 51,826 | ||||||
| Industrials — 1.8% | ||||||||
| Industrie De Nora* | 2,442 | 37,679 | ||||||
| Utilities — 1.8% | ||||||||
| Enel | 2,070 | 8,566 | ||||||
| ERG | 1,049 | 29,041 | ||||||
| 37,607 | ||||||||
| TOTAL ITALY | 127,112 | |||||||
| Luxembourg — 1.9% | ||||||||
| Materials — 1.9% | ||||||||
| ArcelorMittal | 2,011 | 40,712 | ||||||
| TOTAL LUXEMBOURG | 40,712 | |||||||
| New Zealand — 3.9% | ||||||||
| Utilities — 3.9% | ||||||||
| Contact Energy | 9,604 | 40,635 | ||||||
| Meridian Energy | 15,429 | 41,892 | ||||||
| TOTAL NEW ZEALAND | 82,527 | |||||||
The accompanying notes are an integral part of the financial statements.
2
Schedule of Investments (Unaudited) September 30, 2022
KraneShares Global Carbon Transformation ETF (continued)
| Shares | Value | |||||||
| COMMON STOCK (continued) | ||||||||
| Norway — 3.4% | ||||||||
| Energy — 0.3% | ||||||||
| Equinor | 161 | $ | 5,291 | |||||
| Industrials — 3.1% | ||||||||
| Aker, Cl A | 597 | 38,678 | ||||||
| NEL* | 24,018 | 26,669 | ||||||
| 65,347 | ||||||||
| TOTAL NORWAY | 70,638 | |||||||
| South Africa — 0.5% | ||||||||
| Materials — 0.5% | ||||||||
| Anglo American | 347 | 10,596 | ||||||
| TOTAL SOUTH AFRICA | 10,596 | |||||||
| South Korea — 2.6% | ||||||||
| Energy — 2.6% | ||||||||
| SK Innovation* | 547 | 54,864 | ||||||
| TOTAL SOUTH KOREA | 54,864 | |||||||
| Spain — 5.5% | ||||||||
| Utilities — 5.5% | ||||||||
| EDP Renovaveis | 2,238 | 46,129 | ||||||
| Grenergy Renovables* | 941 | 28,670 | ||||||
| Iberdrola | 4,266 | 40,045 | ||||||
| TOTAL SPAIN | 114,844 | |||||||
| Sweden — 1.0% | ||||||||
| Utilities — 1.0% | ||||||||
| Orron Energy ab* | 11,547 | 20,784 | ||||||
| TOTAL SWEDEN | 20,784 | |||||||
| United Kingdom — 8.7% | ||||||||
| Energy — 3.3% | ||||||||
| BP | 14,500 | 70,103 | ||||||
| Materials — 1.1% | ||||||||
| Linde | 84 | 22,975 | ||||||
| Utilities — 4.3% | ||||||||
| Drax Group | 7,891 | 52,896 | ||||||
| SSE | 2,233 | 38,076 | ||||||
| 90,972 | ||||||||
| TOTAL UNITED KINGDOM | 184,050 | |||||||
The accompanying notes are an integral part of the financial statements.
3
Schedule of Investments (Unaudited) September 30, 2022
KraneShares Global Carbon Transformation ETF (concluded)
| Shares | Value | |||||||
| COMMON STOCK (continued) | ||||||||
| United States — 29.8% | ||||||||
| Energy — 8.8% | ||||||||
| Baker Hughes, Cl A | 2,729 | $ | 57,200 | |||||
| Cheniere Energy | 248 | 41,146 | ||||||
| New Fortress Energy, Cl A | 1,491 | 65,172 | ||||||
| Schlumberger | 627 | 22,509 | ||||||
| 186,027 | ||||||||
| Industrials — 12.9% | ||||||||
| Bloom Energy, Cl A* | 1,505 | 30,085 | ||||||
| Chart Industries* | 275 | 50,696 | ||||||
| Fluence Energy, Cl A* | 2,107 | 30,741 | ||||||
| Plug Power* | 2,328 | 48,911 | ||||||
| Quanta Services | 551 | 70,192 | ||||||
| Schneider Electric | 358 | 41,013 | ||||||
| 271,638 | ||||||||
| Information Technology — 0.9% | ||||||||
| SolarEdge Technologies* | 80 | 18,517 | ||||||
| Materials — 3.4% | ||||||||
| Air Products and Chemicals | 161 | 37,469 | ||||||
| Freeport-McMoRan | 1,202 | 32,851 | ||||||
| 70,320 | ||||||||
| Utilities — 3.8% | ||||||||
| AES | 3,524 | 79,642 | ||||||
| TOTAL UNITED STATES | 626,144 | |||||||
| TOTAL COMMON STOCK | ||||||||
| (Cost $2,380,583) | 2,071,737 | |||||||
| TOTAL INVESTMENTS — 98.5% | ||||||||
| (Cost $2,380,583) | 2,071,737 | |||||||
| OTHER ASSETS LESS LIABILITIES — 1.5% | 32,336 | |||||||
| NET ASSETS — 100% | $ | 2,104,073 | ||||||
| ‡ | Industries are utilized for compliance purposes, whereas sectors are utilized for reporting. |
| * | Non-income producing security. |
Cl — Class
GDR — Global Depositary Receipt
As of September 30, 2022, all of the Fund’s investments were considered Level 1 of the fair value hierarchy, in accordance with the authoritative guidance under U.S. GAAP.
The accompanying notes are an integral part of the financial statements.
4
Consolidated Schedule of Investments (Unaudited) September 30, 2022
KraneShares Global Carbon Strategy ETF
| Shares | Value | |||||||
| EXCHANGE – TRADED FUND — 1.5% | ||||||||
| Schwab Short-Term U.S. Treasury ETF‡ | 215,000 | $ | 10,375,900 | |||||
| TOTAL EXCHANGE – TRADED FUND | ||||||||
| (Cost $10,782,250) | 10,375,900 | |||||||
| TOTAL INVESTMENTS — 1.5% | ||||||||
| (Cost $10,782,250) | 10,375,900 | |||||||
| OTHER ASSETS LESS LIABILITIES — 98.5% | 696,339,938 | |||||||
| NET ASSETS — 100% | $ | 706,715,838 | ||||||
| Unrealized | ||||||||||||||||
| Number of | Expiration | Notional | Appreciation/ | |||||||||||||
| Type of Contract | Contracts | Date | Amount | Value | (Depreciation) | |||||||||||
| Long Contracts | ||||||||||||||||
| CA Carbon Allowance 2022^ | 7,064 | Dec-2022 | $ | 216,795,335 | $ | 188,962,000 | $ | (27,833,335 | ) | |||||||
| CA Carbon Allowance 2023^ | 1,316 | Dec-2023 | 42,938,529 | 37,913,960 | (5,024,569 | ) | ||||||||||
| Euro FX 2022^ | 10 | Dec-2022 | 1,273,763 | 1,232,687 | (41,076 | ) | ||||||||||
| ICE ECX Emission 2022^ | 5,618 | Dec-2022 | 457,274,305 | 367,261,127 | (22,284,557 | ) | ||||||||||
| ICE ECX Emission 2023^ | 497 | Dec-2023 | 42,753,044 | 33,906,835 | (2,533,218 | ) | ||||||||||
| RGGI Vintage 2022^ | 3,295 | Dec-2022 | 43,331,351 | 43,329,250 | (2,101 | ) | ||||||||||
| UK Emission Allowance 2022^ | 443 | Dec-2022 | 41,244,485 | 37,103,760 | 3,952,539 | |||||||||||
| $ | 845,610,812 | $ | 709,709,619 | $ | (53,766,317 | ) | ||||||||||
| ^ | Security is held by the KFA Global Carbon Subsidiary, Ltd. as of September 30, 2022. |
| ‡ | For financial information on the Schwab Short-Term U.S. Treasury ETF, please go to the Securities Exchange Commission’s website at http://www.sec.gov. |
CA — California
ECX — European Climate Exchange
ETF — Exchange-Traded Fund
ICE — Intercontinental Exchange
RGGI — Regional Greenhouse Gas Initiative
UK — United Kingdom
The accompanying notes are an integral part of the financial statements.
5
Consolidated Schedule of Investments (Unaudited) September 30, 2022
KraneShares Global Carbon Strategy ETF (concluded)
The following summarizes the market value of the Fund’s investments and other financial instruments used as of September 30, 2022, based on the inputs used to value them:
| Investments in Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Exchange – Traded Fund | $ | 10,375,900 | $ | — | $ | — | $ | 10,375,900 | ||||||||
| Total Investments in Securities | $ | 10,375,900 | $ | — | $ | — | $ | 10,375,900 | ||||||||
| Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Futures Contracts* | ||||||||||||||||
| Unrealized Appreciation | $ | 3,952,539 | $ | — | $ | — | $ | 3,952,539 | ||||||||
| Unrealized Depreciation | (57,718,856 | ) | — | — | (57,718,856 | ) | ||||||||||
| Total Other Financial Instruments | $ | (53,766,317 | ) | $ | — | $ | — | $ | (53,766,317 | ) | ||||||
| * | Futures are valued at the unrealized appreciation (depreciation) on the instrument. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
6
Consolidated Schedule of Investments (Unaudited) September 30, 2022
KraneShares European Carbon Allowance Strategy ETF
A list of the open futures contracts held by the Fund at September 30, 2022, is as follows:
| Unrealized | ||||||||||||||||
| Number of | Expiration | Notional | Appreciation/ | |||||||||||||
| Type of Contract | Contracts | Date | Amount | Value | (Depreciation) | |||||||||||
| Long Contracts | ||||||||||||||||
| Euro FX^ | 2 | Dec-2022 | $ | 254,743 | $ | 246,537 | $ | (8,205 | ) | |||||||
| ICE ECX Emission 2022^ | 249 | Dec-2022 | 23,132,553 | 16,277,683 | (3,783,374 | ) | ||||||||||
| $ | 23,387,296 | $ | 16,524,220 | $ | (3,791,579 | ) | ||||||||||
| ^ | Security is held by the KraneShares European Carbon Subsidiary, Ltd. as of September 30, 2022. |
ECX — European Climate Exchange
ICE — Intercontinental Exchange
As of September 30, 2022, all of the Fund’s investments were considered Level 1 of the fair value hierarchy, in accordance with the authoritative guidance under U.S. GAAP.
The accompanying notes are an integral part of the financial statements.
7
Consolidated Schedule of Investments (Unaudited) September 30, 2022
KraneShares California Carbon Allowance Strategy ETF
A list of the open futures contracts held by the Fund at September 30, 2022, is as follows:
| Unrealized | ||||||||||||||||
| Number of | Expiration | Notional | Appreciation/ | |||||||||||||
| Type of Contract | Contracts | Date | Amount | Value | (Depreciation) | |||||||||||
| Long Contracts | ||||||||||||||||
| CA Carbon Allowance 2022^ | 9,452 | Dec-2022 | $ | 292,266,259 | $ | 252,841,000 | $ | (39,425,259 | ) | |||||||
| ^ | Security is held by the KraneShares California Carbon Subsidiary, Ltd. as of September 30, 2022. |
CA — California
As of September 30, 2022, all of the Fund’s investments were considered Level 1 of the fair value hierarchy, in accordance with the authoritative guidance under U.S. GAAP.
The accompanying notes are an integral part of the financial statements.
8
Consolidated Schedule of Investments (Unaudited) September 30, 2022
KraneShares Global Carbon Offset Strategy ETF
A list of the open futures contracts held by the Fund at September 30, 2022, is as follows:
| Unrealized | ||||||||||||||||
| Number of | Expiration | Notional | Appreciation/ | |||||||||||||
| Type of Contract | Contracts | Date | Amount | Value | (Depreciation) | |||||||||||
| Long Contracts | ||||||||||||||||
| CBL Global Emission Offset 2022^ | 237 | Dec-2022 | $ | 1,029,520 | $ | 938,520 | $ | (91,000 | ) | |||||||
| CBL Nature-Based Global Emission Offset 2022^ | 576 | Dec-2022 | 5,110,756 | 4,728,960 | (381,796 | ) | ||||||||||
| $ | 6,140,276 | $ | 5,667,480 | $ | (472,796 | ) | ||||||||||
| ^ | Security is held by the KraneShares Global Carbon Offset Strategy Subsidiary, Ltd. as of September 30, 2022. |
As of September 30, 2022, all of the Fund’s investments were considered Level 1 of the fair value hierarchy, in accordance with the authoritative guidance under U.S. GAAP.
The accompanying notes are an integral part of the financial statements.
9
Statements of Assets and Liabilities/Consolidated Statements of
Assets and Liabilities (Unaudited)
September 30, 2022
| KraneShares
Global Carbon Transformation ETF |
KraneShares Global Carbon Strategy ETF(1) |
KraneShares European Carbon Allowance Strategy ETF(2) |
||||||||||
| Assets: | ||||||||||||
| Investments at Value | $ | 2,071,737 | $ | 10,375,900 | $ | — | ||||||
| Cash and Cash Equivalents | 23,876 | 411,753,443 | 40,447 | |||||||||
| Foreign Currency at Value | 5,576 | 273,312,007 | 14,729,438 | |||||||||
| Cash Collateral on Futures Contracts | — | 133,227,421 | 1,181,990 | |||||||||
| Reclaim Receivable | 2,685 | — | — | |||||||||
| Dividend and Interest Receivable | 1,916 | — | — | |||||||||
| Unrealized Appreciation on Spot Contracts | 16 | — | — | |||||||||
| Variation Margin Receivable on Future Contracts | — | 8,701,726 | 248,809 | |||||||||
| Prepaid Expenses | — | 994,121 | 20,447 | |||||||||
| Total Assets | 2,105,806 | 838,364,618 | 16,221,131 | |||||||||
| Liabilities: | ||||||||||||
| Payable for Management Fees | 1,680 | 519,342 | 11,154 | |||||||||
| Payable for Trustees’ Fee | 53 | 12,275 | 234 | |||||||||
| Payable to Custodian | — | 130,273,855 | — | |||||||||
| Variation Margin Payable on Future Contracts | — | 623,818 | 10,593 | |||||||||
| Unrealized Depreciation on Spot Contracts | — | 219,490 | 30,049 | |||||||||
| Total Liabilities | 1,733 | 131,648,780 | 52,030 | |||||||||
| Net Assets | $ | 2,104,073 | $ | 706,715,838 | $ | 16,169,101 | ||||||
| Net Assets Consist of: | ||||||||||||
| Paid-in Capital | $ | 2,500,050 | $ | 707,455,813 | $ | 23,781,709 | ||||||
| Total Distributable Loss | (395,977 | ) | (739,975 | ) | (7,612,608 | ) | ||||||
| Net Assets | $ | 2,104,073 | $ | 706,715,838 | $ | 16,169,101 | ||||||
| Outstanding Shares of Beneficial Interest (unlimited authorization – no par value) | 100,002 | 18,850,000 | 700,006 | |||||||||
| Net Asset Value, Offering and Redemption Price Per Share | $ | 21.04 | $ | 37.49 | $ | 23.10 | ||||||
| Cost of Investments | $ | 2,380,583 | $ | 10,782,250 | $ | — | ||||||
| Cost of Foreign Currency | 5,608 | 283,616,504 | 15,186,182 | |||||||||
| (1) | KraneShares Global Carbon Strategy ETF includes the account of the Fund’s Subsidiary, KFA Global Carbon Subsidiary, Ltd. |
| (2) | KraneShares European Carbon Allowance Strategy ETF includes the account of the Fund’s Subsidiary, KraneShares European Carbon Subsidiary, Ltd. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
10
Consolidated
Statements of Assets and Liabilities (Unaudited) (concluded)
September 30, 2022
| KraneShares California Carbon Allowance Strategy ETF(1) |
KraneShares Global Carbon Offset Strategy ETF(2) |
|||||||
| Assets: | ||||||||
| Cash and Cash Equivalents | $ | 207,155,620 | $ | 2,716,366 | ||||
| Cash Collateral on Futures Contracts | 43,193,854 | 4,713,040 | ||||||
| Variation Margin Receivable on Future Contracts | 2,552,040 | 30,196 | ||||||
| Prepaid Expenses | 761 | — | ||||||
| Total Assets | 252,902,275 | 7,459,602 | ||||||
| Liabilities: | ||||||||
| Payable for Management Fees | 160,032 | 5,101 | ||||||
| Payable for Trustees’ Fee | 605 | — | ||||||
| Variation Margin Payable on Future Contracts | — | 2,000 | ||||||
| Other Accrued Expenses | 16,866 | 2,179 | ||||||
| Total Liabilities | 177,503 | 9,280 | ||||||
| Net Assets | $ | 252,724,772 | $ | 7,450,322 | ||||
| Net Assets Consist of: | ||||||||
| Paid-in Capital | $ | 295,364,282 | $ | 10,000,050 | ||||
| Total Distributable Loss | (42,639,510 | ) | (2,549,728 | ) | ||||
| Net Assets | $ | 252,724,772 | $ | 7,450,322 | ||||
| Outstanding Shares of Beneficial Interest (unlimited authorization – no par value) | 11,425,002 | 400,002 | ||||||
| Net Asset Value, Offering and Redemption Price Per Share | $ | 22.12 | $ | 18.63 | ||||
| Cost of Investments | $ | — | $ | — | ||||
| (1) | KraneShares California Carbon Allowance Strategy ETF includes the account of the Fund’s Subsidiary, KraneShares California Carbon Subsidiary, Ltd. |
| (2) | KraneShares Global Carbon Offset Strategy ETF includes the account of the Fund’s Subsidiary, KraneShares Global Carbon Offset Strategy Subsidiary, Ltd. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
11
Statements of Operations/Consolidated Statements of Operations
(Unaudited)
For the Period Ended September 30, 2022
| KraneShares Global Carbon Transformation ETF |
KraneShares Global Carbon Strategy ETF(1) |
KraneShares European Carbon Allowance Strategy ETF(2) |
||||||||||
| Investment Income: | ||||||||||||
| Dividend Income | $ | 40,890 | $ | 225,552 | $ | — | ||||||
| Interest Income | 311 | 1,021,309 | 15,037 | |||||||||
| Less: Foreign Taxes Withheld | (3,368 | ) | — | — | ||||||||
| Total Investment Income | 37,833 | 1,246,861 | 15,037 | |||||||||
| Expenses: | ||||||||||||
| Management Fees† | 10,680 | 4,464,461 | 95,662 | |||||||||
| Trustees’ Fees | 70 | 30,230 | 620 | |||||||||
| Insurance Expense | 14 | 8,658 | 177 | |||||||||
| Total Expenses | 10,764 | 4,503,349 | 96,459 | |||||||||
| Net Investment Income (Loss) | 27,069 | (3,256,488 | ) | (81,422 | ) | |||||||
| Net Realized Gain (Loss) on: | ||||||||||||
| Investments | (99,131 | ) | (2,246,766 | ) | — | |||||||
| Futures Contracts | — | (12,097,498 | ) | (1,264,444 | ) | |||||||
| Foreign Currency Translations | (4,202 | ) | (38,123,360 | ) | (869,754 | ) | ||||||
| Net Realized Loss | (103,333 | ) | (52,467,624 | ) | (2,134,198 | ) | ||||||
| Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||
| Investments | (515,314 | ) | 1,334,993 | — | ||||||||
| Futures Contracts | — | (113,632,764 | ) | (580,265 | ) | |||||||
| Foreign Currency Translations | (276 | ) | (12,488,633 | ) | (677,216 | ) | ||||||
| Net Change in Unrealized Appreciation (Depreciation) | (515,590 | ) | (124,786,404 | ) | (1,257,481 | ) | ||||||
| Net Realized and Unrealized Loss | (618,923 | ) | (177,254,028 | ) | (3,391,679 | ) | ||||||
| Net Decrease in Net Assets Resulting from Operations | $ | (591,854 | ) | $ | (180,510,516 | ) | $ | (3,473,101 | ) | |||
| † | See Note 4 in Notes to Financial Statements. |
| (1) | KraneShares Global Carbon Strategy ETF includes the account of the Fund’s Subsidiary, KFA Global Carbon Subsidiary, Ltd. |
| (2) | KraneShares European Carbon Allowance Strategy ETF includes the account of the Fund’s Subsidiary, KraneShares European Carbon Subsidiary, Ltd. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
12
Consolidated
Statements of Operations (Unaudited) (concluded)
For the Period Ended
September 30, 2022
| KraneShares California Carbon Allowance Strategy ETF(1) |
KraneShares Global Carbon Offset Strategy ETF(2)(3) |
|||||||
| Investment Income: | ||||||||
| Interest Income | $ | 541,367 | $ | 12,605 | ||||
| Total Investment Income | 541,367 | 12,605 | ||||||
| Expenses: | ||||||||
| Management Fees† | 787,855 | 27,678 | ||||||
| Trustees’ Fees | 3,605 | 149 | ||||||
| Insurance Expense | 577 | 11 | ||||||
| Total Expenses | 792,037 | 27,838 | ||||||
| Net Investment Loss | (250,670 | ) | (15,233 | ) | ||||
| Net Realized Gain (Loss) on: | ||||||||
| Futures Contracts | (743,338 | ) | (2,061,699 | ) | ||||
| Net Realized Loss | (743,338 | ) | (2,061,699 | ) | ||||
| Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||
| Futures Contracts | (36,926,602 | ) | (472,796 | ) | ||||
| Net Change in Unrealized Appreciation (Depreciation) | (36,926,602 | ) | (472,796 | ) | ||||
| Net Realized and Unrealized Loss | (37,669,940 | ) | (2,534,495 | ) | ||||
| Net Decrease in Net Assets Resulting from Operations | $ | (37,920,610 | ) | $ | (2,549,728 | ) | ||
| † | See Note 4 in Notes to Financial Statements. |
| (1) | KraneShares California Carbon Allowance Strategy ETF includes the account of the Fund’s Subsidiary, KraneShares California Carbon Subsidiary, Ltd. |
| (2) | Commenced operations on April 20, 2022. |
| (3) | KraneShares Global Carbon Offset Strategy ETF includes the account of the Fund’s Subsidiary, KraneShares Global Carbon Offset Strategy Subsidiary, Ltd. |
The accompanying notes are an integral part of the financial statements.
13
Statements of Changes in Net Assets
| KraneShares Global Carbon | ||||||||
| Transformation ETF | ||||||||
| Period Ended | ||||||||
| September 30, | Period Ended | |||||||
| 2022 | March 31, | |||||||
| (unaudited) | 2022(1) | |||||||
| Operations: | ||||||||
| Net Investment Income | $ | 27,069 | $ | 2,323 | ||||
| Net Realized Loss | (103,333 | ) | (12,921 | ) | ||||
| Net Change in Unrealized Appreciation (Depreciation) | (515,590 | ) | 206,475 | |||||
| Net Increase (Decrease) in Net Assets Resulting from Operations | (591,854 | ) | 195,877 | |||||
| Capital Share Transactions:(2) | ||||||||
| Issued | — | 2,500,050 | ||||||
| Increase in Net Assets from Capital Share Transactions | — | 2,500,050 | ||||||
| Total Increase (Decrease) in Net Assets | (591,854 | ) | 2,695,927 | |||||
| Net Assets: | ||||||||
| Beginning of Period | 2,695,927 | — | ||||||
| End of Period | $ | 2,104,073 | $ | 2,695,927 | ||||
| Share Transactions: | ||||||||
| Issued | — | 100,002 | ||||||
| Net Increase (Decrease) in Shares Outstanding from Share Transactions | — | 100,002 | ||||||
| (1) | Commenced operations on March 15, 2022. |
| (2) | Includes transaction costs related to creations and redemptions. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
14
Consolidated Statements of Changes in Net Assets
| KraneShares Global | ||||||||
| Carbon Strategy ETF(1) | ||||||||
| Period Ended | ||||||||
| September 30, | Year Ended | |||||||
| 2022 | March 31, | |||||||
| (unaudited) | 2022 | |||||||
| Operations: | ||||||||
| Net Investment Loss | $ | (3,256,488 | ) | $ | (8,080,173 | ) | ||
| Net Realized Gain (Loss) | (52,467,624 | ) | 193,844,669 | |||||
| Net Change in Unrealized Appreciation (Depreciation) | (124,786,404 | ) | 52,338,033 | |||||
| Net Increase (Decrease) in Net Assets Resulting from Operations | (180,510,516 | ) | 238,102,529 | |||||
| Distributions | — | (7,929,920 | ) | |||||
| Capital Share Transactions:(2) | ||||||||
| Issued | 994,979 | 1,640,898,191 | ||||||
| Redeemed | (477,020,410 | ) | (601,519,925 | ) | ||||
| Increase (Decrease) in Net Assets from Capital Share Transactions | (476,025,431 | ) | 1,039,378,266 | |||||
| Total Increase (Decrease) in Net Assets | (656,535,947 | ) | 1,269,550,875 | |||||
| Net Assets: | ||||||||
| Beginning of Year/Period | 1,363,251,785 | 93,700,910 | ||||||
| End of Year/Period | $ | 706,715,838 | $ | 1,363,251,785 | ||||
| Share Transactions: | ||||||||
| Issued | — | 40,500,000 | ||||||
| Redeemed | (10,450,000 | ) | (14,500,000 | ) | ||||
| Net Increase (Decrease) in Shares Outstanding from Share Transactions | (10,450,000 | ) | 26,000,000 | |||||
| (1) | KraneShares Global Carbon Strategy ETF includes the account of the Fund’s Subsidiary, KFA Global Carbon Subsidiary, Ltd. |
| (2) | Includes transaction costs related to creations and redemptions. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
15
Consolidated Statements of Changes in Net Assets (continued)
| KraneShares European | ||||||||
| Carbon Allowance Strategy ETF(1) | ||||||||
| Period Ended | ||||||||
| September 30, | Period Ended | |||||||
| 2022 | March 31, | |||||||
| (unaudited) | 2022(2) | |||||||
| Operations: | ||||||||
| Net Investment Loss | $ | (81,422 | ) | $ | (72,530 | ) | ||
| Net Realized Loss | (2,134,198 | ) | (1,046,086 | ) | ||||
| Net Change in Unrealized Appreciation (Depreciation) | (1,257,481 | ) | (3,020,891 | ) | ||||
| Net Decrease in Net Assets Resulting from Operations | (3,473,101 | ) | (4,139,507 | ) | ||||
| Capital Share Transactions:(3) | ||||||||
| Issued | 28,043 | 37,462,344 | ||||||
| Redeemed | (9,196,004 | ) | (4,512,674 | ) | ||||
| Increase (Decrease) in Net Assets from Capital Share Transactions | (9,167,961 | ) | 32,949,670 | |||||
| Total Increase (Decrease) in Net Assets | (12,641,062 | ) | 28,810,163 | |||||
| Net Assets: | ||||||||
| Beginning of Period | 28,810,163 | — | ||||||
| End of Period | $ | 16,169,101 | $ | 28,810,163 | ||||
| Share Transactions: | ||||||||
| Issued | — | 1,150,006 | ||||||
| Redeemed | (300,000 | ) | (150,000 | ) | ||||
| Net Increase (Decrease) in Shares Outstanding from Share Transactions | (300,000 | ) | 1,000,006 | |||||
| (1) | KraneShares European Carbon Allowance Strategy ETF includes the account of the Fund’s Subsidiary, KraneShares European Carbon Subsidiary, Ltd. |
| (2) | Commenced operations on October 4, 2021. |
| (3) | Includes transaction costs related to creations and redemptions. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
16
Consolidated Statements of Changes in Net Assets (continued)
| KraneShares California Carbon | ||||||||
| Allowance Strategy ETF(1) | ||||||||
| Period Ended | ||||||||
| September 30, | Period Ended | |||||||
| 2022 | March 31, | |||||||
| (unaudited) | 2022(2) | |||||||
| Operations: | ||||||||
| Net Investment Loss | $ | (250,670 | ) | $ | (400,866 | ) | ||
| Net Realized Loss | (743,338 | ) | (1,831,314 | ) | ||||
| Net Change in Unrealized Appreciation (Depreciation) | (36,926,602 | ) | (2,498,657 | ) | ||||
| Net Decrease in Net Assets Resulting from Operations | (37,920,610 | ) | (4,730,837 | ) | ||||
| Capital Share Transactions:(3) | ||||||||
| Issued | 160,588,959 | 143,880,285 | ||||||
| Redeemed | (9,092,725 | ) | (300 | ) | ||||
| Increase in Net Assets from Capital Share Transactions | 151,496,234 | 143,879,985 | ||||||
| Total Increase in Net Assets | 113,575,624 | 139,149,148 | ||||||
| Net Assets: | ||||||||
| Beginning of Period | 139,149,148 | — | ||||||
| End of Period | $ | 252,724,772 | $ | 139,149,148 | ||||
| Share Transactions: | ||||||||
| Issued | 6,375,000 | 5,400,002 | ||||||
| Redeemed | (350,000 | ) | — | |||||
| Net Increase in Shares Outstanding from Share Transactions | 6,025,000 | 5,400,002 | ||||||
| (1) | KraneShares California Carbon Allowance Strategy ETF includes the account of the Fund’s Subsidiary, KraneShares California Carbon Subsidiary, Ltd. |
| (2) | Commenced operations on October 4, 2021. |
| (3) | Includes transaction costs related to creations and redemptions. |
Amounts designated as “—” are $0 or have been rounded to $0.
The accompanying notes are an integral part of the financial statements.
17
Consolidated Statements of Changes in Net Assets (concluded)
| KraneShares Global | ||||
| Carbon Offset | ||||
| Strategy ETF(1) | ||||
| Period Ended | ||||
| September 30, | ||||
| 2022(2) | ||||
| Operations: | ||||
| Net Investment Loss | $ | (15,233 | ) | |
| Net Realized Loss | (2,061,699 | ) | ||
| Net Change in Unrealized Appreciation (Depreciation) | (472,796 | ) | ||
| Net Decrease in Net Assets Resulting from Operations | (2,549,728 | ) | ||
| Capital Share Transactions:(3) | ||||
| Issued | 10,000,050 | |||
| Increase in Net Assets from Capital Share Transactions | 10,000,050 | |||
| Total Increase in Net Assets | 7,450,322 | |||
| Net Assets: | ||||