# EDGAR Filing Document

**Accession Number:** 0001547576
**File Stem:** 0001752724-23-049420
**Filing Date:** 2023-3
**Character Count:** 11017
**Document Hash:** db56c613b7d43365c9acd9db73da78a7
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-049420.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001752724-23-049420

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230301

**PERIOD START**: 20230331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Krane Shares Trust
- **CENTRAL INDEX KEY:** 0001547576
- **IRS NUMBER:** 456861457
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0331

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22698
- **FILM NUMBER:** 23691011

**BUSINESS ADDRESS:**
- **STREET 1:** 280 PARK AVENUE
- **STREET 2:** 32ND FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10017
- **BUSINESS PHONE:** 646-479-5031

**MAIL ADDRESS:**
- **STREET 1:** 280 PARK AVENUE
- **STREET 2:** 32ND FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10017

## Series and Classes Contracts Data

### Quadratic Deflation ETF (Series ID: S000070938)

| Class ID   | Class Name              | Ticker Symbol   |
|:---|:---|:---|
| C000225265 | Quadratic Deflation ETF | BNDD            |

## Nport-Ex

Schedule of Investments (Unaudited) December 31, 2022

**Quadratic Interest Rate Volatility and Inflation Hedge ETF**

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value** |
| **EXCHANGE - TRADED FUND — 82.8%** | **EXCHANGE - TRADED FUND — 82.8%** | **EXCHANGE - TRADED FUND — 82.8%** |
| &nbsp;&nbsp;&nbsp;Schwab US TIPS ETF ‡ | 15901419 | $823534490 |
| TOTAL EXCHANGE - TRADED FUND |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $996,140,430) |  | 823534490 |
| **PURCHASED OPTIONS — 14.7%** | **PURCHASED OPTIONS — 14.7%** | **PURCHASED OPTIONS — 14.7%** |
| TOTAL PURCHASED OPTIONS |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $238,403,750) |  | 146087583 |
| TOTAL INVESTMENTS — 97.5% |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $1,234,544,180) |  | 969622073 |
| OTHER ASSETS LESS LIABILITIES – 2.5% |  | 24867644 |
| NET ASSETS - 100% |  | $994489717 |

---

‡ For financial information on the Schwab US TIPS ETF, please go to the Securities Exchange Commission's website at https://www.sec.gov.

A list of open option contracts held by the Fund at December 31, 2022 was as follows:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Counterparty** | **Number of Contracts^** | **Notional Amount†** | **Exercise Price** | **Expiration Date** | **Market Value** |
| **PURCHASED OPTIONS — 14.7%** | **PURCHASED OPTIONS — 14.7%** |  |  |  |  |  |
| **Call Options** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;CMS 10Y - 2Y | Goldman Sachs | 1550000 | $41825000 | 0.48% | 06/19/24 | $42776825 |
| &nbsp;&nbsp;&nbsp;CMS 10Y - 2Y | Morgan Stanley Capital | 1075000 | 36850000 | 0.30 | 11/13/24 | 42677781 |
| &nbsp;&nbsp;&nbsp;CMS 10Y - 2Y | Goldman Sachs | 350000 | 18637500 | 0.08 | 09/17/25 | 19438982 |
| &nbsp;&nbsp;&nbsp;CMS 10Y - 2Y | Goldman Sachs | 400000 | 18200000 | 0.27 | 03/13/25 | 17635013 |
| &nbsp;&nbsp;&nbsp;CMS 10Y - 2Y | Nomura | 500000 | 20875000 | 0.00 | 11/28/23 | 13016313 |
| &nbsp;&nbsp;&nbsp;CMS 10Y - 2Y | Nomura | 500000 | 15500000 | 0.45 | 10/03/23 | 4891749 |
| &nbsp;&nbsp;&nbsp;CMS 10Y - 2Y | Nomura | 650000 | 21970000 | (0.25) | 04/19/23 | 4166991 |
| &nbsp;&nbsp;&nbsp;CMS 10Y - 2Y | Goldman Sachs | 1100000 | 22693750 | 0.95 | 07/12/23 | 1460422 |
| &nbsp;&nbsp;&nbsp;CMS 10Y - 2Y | Nomura | 900000 | 28250000 | 0.83 | 01/25/23 |  |
| &nbsp;&nbsp;&nbsp;CMS 10Y - 2Y | Goldman Sachs | 800000 | 13500000 | 1.10 | 04/11/23 | 17939 |
| &nbsp;&nbsp;&nbsp;CMS 10Y - 2Y | Morgan Stanley Capital | 20000 | 102500 | 1.625 | 07/12/23 | 5566 |
| &nbsp;&nbsp;&nbsp;Total Purchased Options | &nbsp;&nbsp;&nbsp;Total Purchased Options |  | $238403750 |  |  | $146087583 |

---

*†* *Represents cost.* <br> *^* *Value equals 10,000 x Number of Contracts x Price*

*CMS — Constant Maturity Swap*

*ETF — Exchange-Traded Fund*

*TIPS — Treasury Inflation Protected Security*

Schedule of Investments (Unaudited) December 31, 2022 (concluded)

**Quadratic Interest Rate Volatility and Inflation Hedge ETF**

The following summarizes the market value of the Fund's investments used as of December 31, 2022, based on the inputs used to value them:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Investments in Securities** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;Exchange - Traded Fund | $823534490 | $— | $— | $823534490 |
| &nbsp;&nbsp;&nbsp;Purchased Options |  | 146087583 |  | 146087583 |
| Total Investments in Securities | $823534490 | $146087583 | $— | $969622073 |

---

Amounts designated as "—" are $0 or have been rounded to $0.

For information on the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual and annual financial statements.

KRS-QH-015-0800

Schedule of Investments (Unaudited) December 31, 2022

**Quadratic Deflation ETF**

---

| | | |
|:---|:---|:---|
|  | **Shares** | **Value** |
| **EXCHANGE - TRADED FUND — 84.8%** | **EXCHANGE - TRADED FUND — 84.8%** | **EXCHANGE - TRADED FUND — 84.8%** |
| &nbsp;&nbsp;&nbsp;Vanguard Long-Term Treasury ETF ‡ | 429083 | $26440094 |
| TOTAL EXCHANGE - TRADED FUND |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $37,632,374) |  | 26440094 |
| **PURCHASED OPTIONS — 10.4%** | **PURCHASED OPTIONS — 10.4%** | **PURCHASED OPTIONS — 10.4%** |
| TOTAL PURCHASED OPTIONS |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $3,722,000) |  | 3241624 |
| TOTAL INVESTMENTS — 95.2% |  |  |
| &nbsp;&nbsp;&nbsp;(Cost $41,354,374) |  | 29681718 |
| OTHER ASSETS LESS LIABILITIES – 4.8% |  | 1511732 |
| NET ASSETS - 100% |  | $31193450 |

---

‡ For financial information on the Vanguard Long-Term Treasury ETF, please go to the Securities Exchange Commission's website
at https://www.sec.gov.

A list of open option contracts held by the Fund at December 31, 2022 was as follows:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Counterparty** | **Number of Contracts^** | **Notional Amount†** | **Exercise Price** | **Expiration Date** | **Market Value** |
| **PURCHASED OPTIONS — 10.4%** | **PURCHASED OPTIONS — 10.4%** |  |  |  |  |  |
| **Put Options** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;CMS 30Y – 2Y | &nbsp;&nbsp;&nbsp;Nomura | 30000 | $1755000 | 0.01% | 05/07/24 | $1782384 |
| &nbsp;&nbsp;&nbsp;CMS 30Y – 2Y | &nbsp;&nbsp;&nbsp;Goldman Sachs | 35000 | 1967000 | (0.30) | 03/12/25 | 1459240 |
| &nbsp;&nbsp;&nbsp;Total Purchased Options | &nbsp;&nbsp;&nbsp;Total Purchased Options |  | $3722000 |  |  | $3241624 |

---

*†* *Represents cost.* <br> *^* *Value equals 10,000 x Number of Contracts x Price*

*CMS — Constant Maturity Swap*

*ETF — Exchange-Traded Fund*

The following summarizes the market value of the Fund's investments used as of December 31, 2022, based on the inputs used to value them:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Investments in Securities** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;Exchange - Traded Fund | $26440094 | $— | $— | $26440094 |
| &nbsp;&nbsp;&nbsp;Purchased Options |  | 3241624 |  | 3241624 |
| Total Investments in Securities | $26440094 | $3241624 | $— | $29681718 |

---

For information on the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual and annual financial statements.

KRS-QH-031-0300

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** Krane Shares Trust

- **b. Investment Company Act file number:** 811-22698

- **c. CIK number of Registrant:** 0001547576

- **d. LEI of Registrant:** 2549008E1DI99JHCCA80

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** 280 Park Ave

  - **City:** NEW YORK

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10017

  - **Telephone number:** 2129330393

**Item A.2. Information about the Series.**

- **a. Name of Series:** Quadratic Deflation ETF

- **b. EDGAR series identifier (if any):** S000070938

- **c. LEI of Series:** 549300HZDPG3D5N0QI26

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2023-03-31

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $31227950.65

**Total Liabilities:** $33688.81

**Net Assets:** $31194261.84

**Cash Not Reported:** $3328133.77

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000225265 | -0.58%               | 3.83%                | -6.59%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-4380896.14             | $3744468.38                                |
| Month 2  | $-8391076.85             | $6741990.95                                |
| Month 3  | $-1070743.20             | $-765978.98                                |

### Schedule of Portfolio Investments

| Name                                | Title                                                                    | Identifiers                  | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Vanguard Long Term Treasury ETF     | VANGUARD LONG-TERM TREASURY MUTUAL FUND                                  | CUSIP: 92206C847<br>LEI: N/A | Long             | EC               | RF                | US        |    400157 | NS      | $24657674.34  | 79.05%            |  |  |  | No            |                  1 | On Loan: No      |
| USD CMS 2-30 03/12/2025 -30 FLOOR E | USD CMS 2-30 03/12/2025 -30 FLOOR E CONSTANT MATURITY SWAP SPREAD OPTION | CUSIP: N/A<br>LEI: N/A       | N/A              | DE               |  | US        |     35000 | NC      | $1459240.09   | 4.68%             |  |  |  | No            |                  2 | On Loan: No      |
| USD CMS 2-30 05/07/2024 1 FLOOR E   | USD CMS 2-30 05/07/2024 1 FLOOR E CONSTANT MATURITY SWAP SPREAD OPTION   | CUSIP: N/A<br>LEI: N/A       | N/A              | DE               |  | US        |     30000 | NC      | $1782383.92   | 5.71%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2022-12-31

**Name of Applicant:** Krane Funds Advisors, LLC

**Signature:** Jonathan Krane

**Name of Signer:** Jonathan Krane

**Title:** CEO