The Grail or Holy Grail was first mentioned by the writings of Chrétien de Troyes.
Knights Templar
According to some sources, at the time, the powerful Knights Templar had the Grail. After their demise, many Masonic organizations held the Grail until it fell into the Hands of Current Masonic Leader Red Green who hid it somewhere unknown.
Vatican
According to others, the Holy Grail is hidden in the vaults of the Vatican.