Item 1. Schedule of Investments.
ClearShares OCIO ETF
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Schedule of Investments
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February 29, 2020 (Unaudited)
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Shares
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Security Description
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Value
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EXCHANGE-TRADED FUNDS - 99.8%
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Domestic Equity - 38.2%
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15,867
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iShares Core S&P 500 ETF
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$
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4,695,204
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12,806
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iShares Core S&P Small-Cap ETF
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932,149
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68,684
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iShares Edge MSCI Min Vol USA ETF
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4,208,269
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14,212
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iShares Preferred & Income Securities ETF (a)
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515,896
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147,804
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Schwab 1000 Index ETF (a)
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4,292,228
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49,538
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Schwab Fundamental U.S. Large Company Index ETF (a)
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1,870,059
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19,187
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Schwab US Dividend Equity ETF
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989,665
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102,580
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SPDR Portfolio S&P 1500 Composite Stock Market ETF
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3,743,144
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24,976
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Vanguard Growth ETF
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4,388,783
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5,658
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Vanguard Real Estate ETF
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494,113
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17,362
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Vanguard S&P 500 ETF
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4,717,950
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29,955
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Vanguard Total Stock Market ETF
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4,506,430
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44,772
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Vanguard Value ETF
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4,723,446
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40,077,336
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Global Equity - 20.5%
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75,723
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iShares Core MSCI EAFE ETF
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4,425,252
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80,712
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iShares Core MSCI Total International Stock ETF (a)
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4,498,887
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93,591
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Vanguard FTSE All-World ex-US ETF
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4,538,228
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118,330
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Vanguard FTSE Developed Markets ETF
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4,670,485
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83,978
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Vanguard FTSE Emerging Markets ETF
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3,402,788
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21,535,640
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Fixed Income - 41.1%
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19,825
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Clearshares Ultra-Short Maturity ETF (b)
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1,984,284
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24,101
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iShares 0-5 Year High Yield Corporate Bond ETF (a)
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1,100,934
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88,518
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iShares Core Total USD Bond Market ETF
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4,746,335
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43,601
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iShares Core U.S. Aggregate Bond ETF
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5,067,308
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21,996
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iShares GNMA Bond ETF
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1,112,322
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24,260
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iShares Intermediate Government/Credit Bond ETF
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2,803,001
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87,460
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Schwab U.S. Aggregate Bond ETF
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4,826,918
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18,743
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Schwab US TIPS ETF
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1,094,029
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138,436
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SPDR Portfolio Aggregate Bond ETF (a)
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4,200,148
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54,036
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Vanguard Intermediate-Term Bond ETF (a)
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4,912,953
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34,103
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Vanguard Short-Term Bond ETF (a)
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2,794,741
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42,054
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Vanguard Short-Term Corporate Bond ETF
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3,453,054
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58,457
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Vanguard Total Bond Market ETF
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5,071,729
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43,167,756
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TOTAL EXCHANGE-TRADED FUNDS (Cost $100,426,137)
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104,780,732
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SHORT-TERM INVESTMENTS - 0.2%
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183,655
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First American Government Obligations Fund, Class X, 1.49% (c)
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183,655
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TOTAL SHORT-TERM INVESTMENTS (Cost $183,655)
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183,655
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INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING - 12.9%
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13,522,637
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First American Government Obligations Fund, Class Z, 1.45% (c)
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13,522,637
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TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost $13,522,637)
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13,522,637
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TOTAL INVESTMENTS - 112.9% (Cost $114,132,429)
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118,487,024
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Liabilities in Excess of Other Assets - (12.9)%
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(13,563,830)
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NET ASSETS - 100.0%
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$
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104,923,194
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Percentages are stated as a percent of net assets.
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(a)
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All or portion of this security is out on loan as of February 29, 2020. Total value of securities out on loan is $13,225,487 or 12.6% of net assets.
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(b)
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Affiliated Exchange-Traded Fund.
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(c)
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Annualized seven-day yield as of February 29, 2020.
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ClearShares Ultra-Short Maturity ETF
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Schedule of Investments
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February 29, 2020 (Unaudited)
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Principal Amount
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Security Description
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Value
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REPURCHASE AGREEMENTS - 100.0%
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25,050,000
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Buckler Securities, LLC - 1.65%, dated 02/24/20, matures 03/02/20, repurchase price $25,058,037
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(collateralized by various government and agency obligations: Total Value $25,809,778)
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$
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25,050,000
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18,600,000
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Buckler Securities, LLC - 1.67%, dated 02/25/20, matures 03/03/20, repurchase price $18,606,040
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(collateralized by various government and agency obligations: Total Value $19,163,333)
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18,600,000
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15,750,000
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Buckler Securities, LLC - 1.67% dated 02/27/20, matures 03/05/20, repurchase price $15,755,114
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(collateralized by various government and agency obligations: Total Value $16,225,511)
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15,750,000
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15,750,000
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Mirae Asset Securities (USA), Inc. - 1.66%, dated 02/27/20, matures 03/12/20, repurchase price $15,760,168
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(collateralized by various government and agency obligations: Total Value $16,075,371)
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15,750,000
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9,150,000
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Mirae Asset Securities (USA), Inc. - 1.67% dated 02/27/20, matures 03/05/20, repurchase price $9,152,971
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(collateralized by various government and agency obligations: Total Value $9,336,031)
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9,150,000
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5,000,000
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Mirae Asset Securities (USA), Inc. - 1.68%, dated 02/28/20, matures 03/02/20, repurchase price $5,000,700
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(collateralized by various government and agency obligations: Total Value $5,100,781)
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5,000,000
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15,750,000
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South Street Securities, LLC - 1.67% dated 02/20/20, matures 03/05/20, repurchase price $15,760,229
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(collateralized by various government and agency obligations: Total Value $16,065,001)
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15,750,000
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TOTAL REPURCHASE AGREEMENTS (Cost $105,050,000)
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105,050,000
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Shares
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SHORT-TERM INVESTMENTS - 0.0% (a)
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26,462
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First American Government Obligations Fund, Class X, 1.49% (b)
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26,462
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TOTAL SHORT-TERM INVESTMENTS (Cost $26,462)
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26,462
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TOTAL INVESTMENTS - 100.0% (Cost $105,076,462)
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105,076,462
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Other Assets in Excess of Liabilities - 0.0% (a)
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7,986
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NET ASSETS - 100.0%
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$
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105,084,448
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Percentages are stated as a percent of net assets.
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(a)
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Less than 0.05%.
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(b)
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Annualized seven-day yield as of February 29, 2020.
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Summary of Fair Value Disclosure at February 29, 2020 (Unaudited)
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The Funds utilize various methods to measure the fair value of its investments on a recurring basis. U.S. GAAP establishes a hierarchy that prioritizes inputs to valuations methods. The three levels of inputs are:
Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access.
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 instruments, 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.
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 inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is
determined based on the lowest level input that is significant to the fair value measurement in its entirety.
The following is a summary of the inputs used to value the Funds’ investments as of February 29, 2020:
ClearShares OCIO ETF
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Description^
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Level 1
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Level 2
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Level 3
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Total
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Exchange-Traded Funds
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$ 104,780,732
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$ -
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$ -
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$ 104,780,732
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Short-Term Investments
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183,655
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-
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-
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183,655
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Investments Purchased with Proceeds From Securities Lending Collateral
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13,522,637
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-
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-
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13,522,637
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Total Investments in Securities
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$ 118,487,024
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$ -
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$ -
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$ 118,487,024
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^ See Schedule of Investments for further disaggregation of investment categories.
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ClearShares Ultra-Short Maturity ETF
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Description
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Level 1
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Level 2
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Level 3
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Total
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Repurchase Agreements
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$ -
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$ 105,050,000
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$ -
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$ 105,050,000
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Short-Term Investments
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26,462
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-
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-
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26,462
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Total Investments in Securities
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$ 26,462
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$ 105,050,000
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$ -
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$ 105,076,462
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For the period ended February 29, 2020, there were no transfers into or out of Level 3 for the Funds.
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The following represents gross obligations for secured borrowings by the type of collateral pledged and remaining time to maturity.
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ClearShares OCIO ETF
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Remaining Contractual Maturity of the Agreements
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Securities Lending Transactions
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Overnight and
Continuous
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Up to 30
Days
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30-90
Days
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Greater Than 90
Days
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Total
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Money Markets
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$ 13,522,637
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-
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-
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-
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$ 13,522,637
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Total Borrowings
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$ 13,522,637
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-
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-
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-
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$ 13,522,637
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Due to the absence of a master netting agreement related to the Funds’ participation in securities lending and repurchase agreements, no additional offsetting disclosures have been made on behalf of the Fund for
the total borrowings listed above.
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The ClearShares OCIO ETF’s transactions with affiliates represent holdings of which the respective Fund and the underlying investee fund have the same investment adviser or where the investee fund’s investment
adviser is under common control with the Fund’s investment adviser.
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Share Activity
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Period Ended February 29, 2020
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Security Name
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Balance
December 1, 2019
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Purchases
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Sales
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Balance
February 29, 2020
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Value
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Dividend Income
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Gain (Loss)
Realized on
Sale of
Shares
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Net Change in
Unrealized
Appreciation
(Depreciation)
on Investments
in Affiliates
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ClearShares Ultra-Short Maturity ETF
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46,286
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1,202
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27,663
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19,825
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$ 1,984,284
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$ 10,170
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$ 1,545
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$ 1,388
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Item 2. Controls and Procedures.
(a)
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The Registrant’s President and Treasurer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (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 the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17
CFR 270.30a-3(b)) and Rule 13a-15(b) or Rule 15d‑15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(d)).
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(b)
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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.
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Item 3. Exhibits.
Separate certifications for each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)). Filed herewith.
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) ETF Series Solutions
By (Signature and Title) /s/ Kristina R. Nelson
Kristina R. Nelson, President (principal executive officer)
Date 4/28/2020
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/ Kristina R. Nelson
Kristina R. Nelson, President (principal executive officer)
Date 4/28/2020
By (Signature and Title)* /s/ Kristen M. Weitzel
Kristen M. Weitzel, Treasurer (principal financial officer)
Date 4/28/2020
* Print the name and title of each signing officer under his or her signature.