- Track your favorite companies
- Receive email alerts for new filings
- Personalized dashboard of news and more
- Access all data and search results
- 28 Oct 20 Franklin K2 Long Short Credit Fund (Aug 2020 report)
- 28 Jul 20 Franklin K2 Alternative Strategies Fund (May 2020 report)
- 28 Jul 20 Franklin K2 Long Short Credit Fund (May 2020 report)
- 28 Apr 20 Franklin K2 Alternative Strategies Fund (Feb 2020 report)
- 28 Apr 20 Franklin K2 Long Short Credit Fund (Feb 2020 report)
- 27 Jan 20 Franklin K2 Alternative Strategies Fund (Nov 2019 report)
- 27 Jan 20 Franklin K2 Long Short Credit Fund (Nov 2019 report)
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
Consolidated Statement of Investments, February 29, 2020 (unaudited)
Franklin K2 Alternative Strategies Fund
|
| Shares/ |
|
|
| Country | Rights |
| Value |
|
|
|
|
|
Common Stocks and Other Equity Interests 38.6% |
|
|
|
|
Aerospace & Defense 0.8% |
|
|
|
|
aBombardier Inc., B | Canada | 609,589 | $ | 435,989 |
Heico Corp. | United States | 24,307 |
| 2,621,510 |
L3harris Technologies Inc. | United States | 3,492 |
| 690,473 |
Lockheed Martin Corp. | United States | 29 |
| 10,726 |
United Technologies Corp. | United States | 39,784 |
| 5,195,393 |
aVirgin Galactic Holdings Inc. | United States | 15,557 |
| 382,702 |
|
|
|
| 9,336,793 |
Air Freight & Logistics 0.4% |
|
|
|
|
|
|
|
| |
aAtlas Air Worldwide Holdings Inc. | United States | 42,910 |
| 1,146,555 |
DSV Panalpina A/S | Denmark | 30,568 |
| 3,101,571 |
Expeditors International of Washington Inc. | United States | 576 |
| 40,562 |
FedEx Corp. | United States | 9,117 |
| 1,287,047 |
|
|
|
|
|
|
|
|
| 5,575,735 |
Airlines 0.2% |
|
|
|
|
|
|
|
| |
Delta Air Lines Inc. | United States | 63,445 |
| 2,926,718 |
Auto Components 0.1% |
|
|
|
|
|
|
|
| |
BorgWarner Inc. | United States | 33,050 |
| 1,044,380 |
Automobiles 0.3% |
|
|
|
|
|
|
|
| |
bHarley-Davidson Inc. | United States | 108,798 |
| 3,315,075 |
Thor Industries Inc. | United States | 1,489 |
| 112,286 |
|
|
|
|
|
|
|
|
| 3,427,361 |
Banks 0.5% |
|
|
|
|
|
|
|
| |
bBank of America Corp. | United States | 114,633 |
| 3,267,041 |
Barclays PLC | United Kingdom | 108,406 |
| 207,759 |
Citigroup Inc. | United States | 159 |
| 10,090 |
Citizens Financial Group Inc. | United States | 144 |
| 4,563 |
bJPMorgan Chase & Co. | United States | 26,274 |
| 3,050,674 |
Popular Inc. | Puerto Rico | 160 |
| 7,677 |
|
|
|
|
|
|
|
|
| 6,547,804 |
Beverages 0.3% |
|
|
|
|
|
|
|
| |
Davide Campari-Milano SpA | Italy | 315,714 |
| 2,639,614 |
aPrimo Water Corp. | United States | 2,332 |
| 32,648 |
Remy Cointreau SA | France | 7,383 |
| 752,092 |
|
|
|
|
|
|
|
|
| 3,424,354 |
Biotechnology 2.3% |
|
|
|
|
|
|
|
| |
AbbVie Inc. | United States | 140 |
| 11,999 |
aAcadia Pharmaceuticals Inc. | United States | 4,333 |
| 185,192 |
aAgios Pharmaceuticals Inc. | United States | 13,547 |
| 643,212 |
a,d,eAlder Biopharmaceuticals Inc., rts., 2/20/49 | United States | 50,624 |
| 44,549 |
aAlexion Pharmaceuticals Inc. | United States | 8,965 |
| 842,979 |
Amgen Inc. | United States | 52 |
| 10,386 |
aAmicus Therapeutics Inc. | United States | 56,310 |
| 537,479 |
aApellis Pharmaceuticals Inc. | United States | 35,960 |
| 1,244,935 |
aArgenx SE, ADR | Netherlands | 6,535 |
| 923,918 |
aAssembly Biosciences Inc. | United States | 54,198 |
| 982,068 |
aBiogen Inc. | United States | 1,954 |
| 602,594 |
aBioMarin Pharmaceutical Inc. | United States | 30,706 |
| 2,774,901 |
a,eBlack Diamond Therapeutics Inc. | United States | 10,447 |
| 281,965 |
aBlueprint Medicines Corp. | United States | 1,686 |
| 91,263 |
aCRISPR Therapeutics AG | Switzerland | 2,190 |
| 117,055 |
a,eCytokinetics Inc. | United States | 14,108 |
| 196,665 |
aDeciphera Pharmaceuticals Inc. | United States | 1,986 |
| 105,735 |
aDenali Therapeutics Inc. | United States | 8,481 |
| 167,669 |
aExact Sciences Corp. | United States | 17,802 |
| 1,441,072 |
aFate Therapeutics Inc. | United States | 30,784 |
| 898,893 |
Quarterly Consolidated Statement of Investments | See Notes to the Consolidated Statements of Investments.
1
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
|
| Shares/ |
|
|
| Country | Rights |
| Value |
|
|
|
|
|
Common Stocks and Other Equity Interests (continued) |
|
|
|
|
Biotechnology (continued) |
|
|
|
|
aGossamer Bio Inc. | United States | 16,762 | $ | 220,085 |
aImmunomedics Inc. | United States | 69,424 |
| 1,110,784 |
a,fInnovent Biologics Inc., 144A | China | 73,859 |
| 339,759 |
aIntercept Pharmaceuticals Inc. | United States | 2,972 |
| 273,246 |
a,eInvitae Corp. | United States | 8,635 |
| 175,981 |
aMadrigal Pharmaceuticals Inc. | United States | 3,939 |
| 339,424 |
aMirati Therapeutics Inc. | United States | 8,575 |
| 767,377 |
aMomenta Pharmaceuticals Inc. | United States | 14,226 |
| 402,454 |
aNatera Inc. | United States | 35,848 |
| 1,358,818 |
aNeurocrine Biosciences Inc. | United States | 6,407 |
| 606,743 |
aNextcure Inc. | United States | 5,435 |
| 226,966 |
a,bPDL BioPharma Inc. | United States | 141,208 |
| 480,107 |
aPrincipia Biopharma Inc. | United States | 10,247 |
| 661,546 |
aProQR Therapeutics NV | Netherlands | 46,914 |
| 332,620 |
aRa Pharmaceuticals Inc. | United States | 75,527 |
| 3,531,643 |
aSage Therapeutics Inc. | United States | 9,681 |
| 455,007 |
a,bSarepta Therapeutics Inc. | United States | 18,983 |
| 2,172,984 |
aSpringWorks Therapeutics Inc. | United States | 6,838 |
| 218,542 |
aTurning Point Therapeutics Inc. | United States | 9,959 |
| 493,668 |
auniQure NV | Netherlands | 2,992 |
| 153,968 |
aVertex Pharmaceuticals Inc. | United States | 7,393 |
| 1,656,254 |
a,eZai Lab Ltd., ADR | China | 5,100 |
| 280,347 |
|
|
|
| 28,362,852 |
Building Products 0.0%† |
|
|
|
|
|
|
|
| |
aJohnson Controls International PLC | United States | 306 |
| 11,190 |
Capital Markets 0.9% |
|
|
|
|
fAmundi SA, 144A | France | 26,813 |
| 1,926,685 |
fAnima Holding SpA, 144A | Italy | 102,616 |
| 453,048 |
Ares Capital Corp. | United States | 9,464 |
| 162,686 |
The Blackstone Group Inc., A | United States | 68,600 |
| 3,693,424 |
Bolsas y Mercados Espanoles SHMSF SA | Spain | 23,282 |
| 887,964 |
E*Trade Financial Corp. | United States | 21,586 |
| 988,207 |
Invesco Ltd. | United States | 727 |
| 10,469 |
LPL Financial Holdings Inc. | United States | 132 |
| 10,491 |
Moody's Corp. | United States | 10,097 |
| 2,423,583 |
T Rowe Price Group Inc. | United States | 93 |
| 10,975 |
TD Ameritrade Holding Corp. | United States | 23,401 |
| 988,224 |
|
|
|
|
|
|
|
|
| 11,555,756 |
Chemicals 0.7% |
|
|
|
|
|
|
|
| |
aIngevity Corp. | United States | 9,228 |
| 415,629 |
aLivent Corp. | United States | 42,762 |
| 381,865 |
LyondellBasell Industries NV, A | United States | 21 |
| 1,501 |
The Sherwin-Williams Co. | United States | 15,014 |
| 7,758,484 |
|
|
|
|
|
|
|
|
| 8,557,479 |
Commercial Services & Supplies 1.3% |
|
|
|
|
|
|
|
| |
aAdvanced Disposal Services Inc. | United States | 263,464 |
| 8,710,120 |
bCintas Corp. | United States | 14,823 |
| 3,953,887 |
Republic Services Inc., A | United States | 33,464 |
| 3,020,460 |
|
|
|
|
|
|
|
|
| 15,684,467 |
Communications Equipment 0.2% |
|
|
|
|
|
|
|
| |
Accton Technology Corp. | Taiwan | 67,000 |
| 361,779 |
Cisco Systems Inc. | United States | 14,893 |
| 594,678 |
aLumentum Holdings Inc. | United States | 14,716 |
| 1,145,199 |
|
|
|
| 2,101,656 |
|
|
|
|
|
2
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
|
| Shares/ |
|
|
| Country | Rights |
| Value |
|
|
|
|
|
Common Stocks and Other Equity Interests (continued) |
|
|
|
|
Construction Materials 0.2% |
|
|
|
|
Cemex SAB de CV, ADR | Mexico | 72,599 | $ | 238,125 |
LafargeHolcim Ltd., B | Switzerland | 61,741 |
| 2,873,640 |
|
|
|
|
|
|
|
|
| 3,111,765 |
Containers & Packaging 0.6% |
|
|
|
|
|
|
|
| |
Ball Corp. | United States | 105,664 |
| 7,445,085 |
aCrown Holdings Inc. | United States | 3,488 |
| 245,904 |
|
|
|
| 7,690,989 |
Distributors 0.1% |
|
|
|
|
|
|
|
| |
bPool Corp. | United States | 8,084 |
| 1,705,401 |
Diversified Financial Services 0.1% |
|
|
|
|
aARYA Sciences Acquisition Corp. | United States | 20,099 |
| 241,188 |
a,d,gOne Call Corp. | United States | 4,965 |
| 595,597 |
|
|
|
| 836,785 |
Diversified Telecommunication Services 1.1% |
|
|
|
|
|
|
|
| |
AT&T Inc. | United States | 323 |
| 11,376 |
aBandwidth Inc., A | United States | 8,673 |
| 545,445 |
fChina Tower Corp. Ltd., H, 144A | China | 3,046,000 |
| 752,305 |
aTelecom Italia SpA | Italy | 77,432 |
| 43,065 |
Verizon Communications Inc. | United States | 223 |
| 12,078 |
a,bZayo Group Holdings Inc. | United States | 343,589 |
| 12,022,180 |
|
|
|
| 13,386,449 |
Electric Utilities 1.5% |
|
|
|
|
|
|
|
| |
a,d,hBruce Mansfield, Contingent Distribution | United States | 6,394,000 |
| — |
Duke Energy Corp. | United States | 129 |
| 11,829 |
EDP - Energias de Portugal SA | Portugal | 494,627 |
| 2,309,260 |
bEl Paso Electric Co. | United States | 174,899 |
| 11,870,395 |
aEnergy Harbor Corp. | United States | 144,987 |
| 4,066,885 |
Entergy Corp. | United States | 39 |
| 4,560 |
Evergy Inc. | United States | 174 |
| 11,371 |
FirstEnergy Corp. | United States | 155 |
| 6,902 |
|
|
|
|
|
|
|
|
| 18,281,202 |
Electrical Equipment 0.1% |
|
|
|
|
|
|
|
| |
Eaton Corp. PLC | United States | 123 |
| 11,158 |
aOsram Licht AG | Germany | 16,862 |
| 759,776 |
|
|
|
| 770,934 |
Electronic Equipment, Instruments & Components 1.1% |
|
|
|
|
|
|
|
| |
aAnixter International Inc. | United States | 47,885 |
| 4,669,266 |
aCoherent Inc. | United States | 1,506 |
| 193,837 |
Corning Inc. | United States | 17,897 |
| 427,023 |
aFlex Ltd. | United States | 124,218 |
| 1,380,062 |
aTech Data Corp. | United States | 47,336 |
| 6,740,173 |
|
|
|
| 13,410,361 |
Entertainment 0.6% |
|
|
|
|
|
|
|
| |
Cineplex Inc. | Canada | 146,933 |
| 3,611,339 |
aNetFlix Inc. | United States | 2,761 |
| 1,018,892 |
aSpotify Technology SA | United States | 1,223 |
| 167,697 |
The Walt Disney Co. | United States | 20,983 |
| 2,468,650 |
|
|
|
|
|
|
|
|
| 7,266,578 |
Equity Real Estate Investment Trusts (REITs) 0.1% |
|
|
|
|
|
|
|
| |
Gaming and Leisure Properties Inc. | United States | 182 |
| 8,130 |
cIron Mountain Inc. | United States | 374 |
| 11,373 |
Taubman Centers Inc. | United States | 15,765 |
| 820,726 |
VICI Properties Inc. | United States | 16,182 |
| 405,521 |
|
|
|
|
|
|
|
|
| 1,245,750 |
|
|
|
|
|
3
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
|
| Shares/ |
|
|
| Country | Rights |
| Value |
|
|
|
|
|
Common Stocks and Other Equity Interests (continued) |
|
|
|
|
Food & Staples Retailing 0.3% |
|
|
|
|
bCostco Wholesale Corp. | United States | 13,198 | $ | 3,710,486 |
Food Products 0.1% |
|
|
|
|
China Agri-Industries Holdings Ltd. | Hong Kong | 2,131,764 |
| 1,172,853 |
Chocoladefabriken Lindt & Spruengli AG | Switzerland | 6 |
| 522,033 |
Tyson Foods Inc., A | United States | 137 |
| 9,293 |
|
|
|
|
|
|
|
|
| 1,704,179 |
Health Care Equipment & Supplies 1.6% |
|
|
|
|
|
|
|
| |
Abbott Laboratories | United States | 19,906 |
| 1,533,359 |
aAlcon Inc. | Switzerland | 3,112 |
| 190,766 |
aAlign Technology Inc. | United States | 1,240 |
| 270,754 |
aBoston Scientific Corp. | United States | 44,647 |
| 1,669,351 |
Danaher Corp., W | United States | 5,988 |
| 865,745 |
aDexCom Inc. | United States | 6,821 |
| 1,882,596 |
aEdwards Lifesciences Corp. | United States | 3,382 |
| 692,769 |
a,bIntuitive Surgical Inc. | United States | 3,575 |
| 1,908,907 |
aiRhythm Technologies Inc. | United States | 2,228 |
| 193,769 |
aShockwave Medical Inc. | United States | 13,067 |
| 524,509 |
aSilk Road Medical Inc. | United States | 15,000 |
| 597,750 |
aTandem Diabetes Care Inc. | United States | 7,645 |
| 570,776 |
Teleflex Inc. | United States | 1,738 |
| 582,265 |
aWright Medical Group NV | United States | 272,020 |
| 8,228,605 |
Zimmer Biomet Holdings Inc. | United States | 3,466 |
| 471,896 |
|
|
|
|
|
|
|
|
| 20,183,817 |
Health Care Providers & Services 0.6% |
|
|
|
|
|
|
|
| |
AmerisourceBergen Corp., A | United States | 135 |
| 11,383 |
Anthem Inc. | United States | 3,815 |
| 980,798 |
aCentene Corp. | United States | 6,570 |
| 348,341 |
Cigna Corp. | United States | 6,309 |
| 1,154,169 |
aGuardant Health Inc. | United States | 10,655 |
| 926,559 |
Humana Inc. | United States | 5,069 |
| 1,620,458 |
a,fJinxin Fertility Group Ltd., 144A | China | 117,677 |
| 153,374 |
UnitedHealth Group Inc. | United States | 8,315 |
| 2,119,992 |
|
|
|
|
|
|
|
|
| 7,315,074 |
Health Care Technology 0.1% |
|
|
|
|
|
|
|
| |
Cerner Corp. | United States | 2,257 |
| 156,342 |
aPhreesia Inc. | United States | 7,548 |
| 234,290 |
aTabula Rasa HealthCare Inc. | United States | 4,070 |
| 228,612 |
aTeladoc Health Inc. | United States | 4,810 |
| 601,058 |
|
|
|
| 1,220,302 |
Hotels, Restaurants & Leisure 1.2% |
|
|
|
|
|
|
|
| |
aCaesars Entertainment Corp. | United States | 546,896 |
| 6,951,048 |
Domino's Pizza Inc. | United States | 7,867 |
| 2,670,532 |
McDonald's Corp. | United States | 54 |
| 10,485 |
Starbucks Corp. | United States | 583 |
| 45,725 |
aThe Stars Group Inc. | Canada | 186,166 |
| 4,272,510 |
Wynn Resorts Ltd. | United States | 5,804 |
| 626,716 |
Yum China Holdings Inc. | China | 989 |
| 43,308 |
Yum! Brands Inc. | United States | 95 |
| 8,479 |
|
|
|
|
|
|
|
|
| 14,628,803 |
Household Durables 0.3% |
|
|
|
|
|
|
|
| |
D.R. Horton Inc. | United States | 2,710 |
| 144,362 |
Garmin Ltd. | United States | 119 |
| 10,518 |
bKB Home | United States | 63,123 |
| 2,057,179 |
a,bNVR Inc. | United States | 500 |
| 1,833,590 |
|
|
|
| 4,045,649 |
|
|
|
|
|
4
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
|
| Shares/ |
|
|
| Country | Rights |
| Value |
|
|
|
|
|
Common Stocks and Other Equity Interests (continued) |
|
|
|
|
Household Products 0.0%† |
|
|
|
|
The Procter & Gamble Co. | United States | 105 | $ | 11,889 |
Independent Power & Renewable Electricity Producers 0.3% |
|
|
|
|
|
|
|
| |
The AES Corp. | United States | 458 |
| 7,662 |
Clearway Energy Inc., C | United States | 64,319 |
| 1,353,272 |
Pattern Energy Group Inc., A | United States | 58,931 |
| 1,594,084 |
Terraform Power Inc., A | United States | 18,036 |
| 338,896 |
|
|
|
|
|
|
|
|
| 3,293,914 |
Industrial Conglomerates 0.0%† |
|
|
|
|
|
|
|
| |
Honeywell International Inc. | United States | 72 |
| 11,676 |
Smiths Group PLC | United Kingdom | 17,888 |
| 356,456 |
|
|
|
|
|
|
|
|
| 368,132 |
Insurance 0.0%† |
|
|
|
|
|
|
|
| |
The Allstate Corp. | United States | 103 |
| 10,841 |
Fidelity National Financial Inc. | United States | 292 |
| 11,318 |
cMetLife Inc. | United States | 245 |
| 10,466 |
Prudential Financial Inc. | United States | 26 |
| 1,962 |
RSA Insurance Group PLC | United Kingdom | 44,331 |
| 296,511 |
a,eTrupanion Inc. | United States | 6,550 |
| 201,347 |
|
|
|
| 532,445 |
Interactive Media & Services 1.0% |
|
|
|
|
|
|
|
| |
a,bAlphabet Inc., A | United States | 2,339 |
| 3,132,505 |
aAlphabet Inc., C | United States | 802 |
| 1,074,143 |
a,bFacebook Inc., A | United States | 16,657 |
| 3,205,973 |
a,eMatch Group Inc. | United States | 1,600 |
| 104,000 |
Tencent Holdings Ltd. | China | 76,794 |
| 3,893,817 |
aYandex NV, A | Russia | 8,847 |
| 359,277 |
|
|
|
| 11,769,715 |
Internet & Direct Marketing Retail 0.7% |
|
|
|
|
|
|
|
| |
a,bAlibaba Group Holding Ltd., ADR | China | 19,091 |
| 3,970,928 |
aAmazon.com Inc. | United States | 968 |
| 1,823,470 |
aBooking Holdings Inc. | United States | 701 |
| 1,188,658 |
beBay Inc. | United States | 33,886 |
| 1,173,811 |
Expedia Group Inc. | United States | 101 |
| 9,961 |
aMercadoLibre Inc. | Argentina | 242 |
| 149,079 |
|
|
|
| 8,315,907 |
IT Services 3.3% |
|
|
|
|
|
|
|
| |
Accenture PLC, A | United States | 1,680 |
| 303,392 |
Automatic Data Processing Inc. | United States | 2,450 |
| 379,113 |
Edenred | France | 9,639 |
| 504,581 |
aEPAM Systems Inc. | United States | 1,966 |
| 438,811 |
aExlService Holdings Inc. | United States | 22,321 |
| 1,666,263 |
Fidelity National Information Services Inc. | United States | 82 |
| 11,457 |
aFleetCor Technologies Inc. | United States | 8,761 |
| 2,328,586 |
Genpact Ltd. | United States | 56,481 |
| 2,172,259 |
Global Payments Inc. | United States | 27,942 |
| 5,140,490 |
aGoDaddy Inc., A | United States | 14,065 |
| 984,269 |
aInterXion Holding NV | Netherlands | 39,361 |
| 3,341,355 |
Leidos Holdings Inc. | United States | 105 |
| 10,778 |
bMasterCard Inc., A | United States | 39,087 |
| 11,345,002 |
Paychex Inc. | United States | 146 |
| 11,312 |
a,bPayPal Holdings Inc. | United States | 39,614 |
| 4,277,915 |
aStoneCo. Ltd. | Brazil | 12,656 |
| 504,848 |
a,bVeriSign Inc. | United States | 4,939 |
| 937,175 |
Visa Inc., A | United States | 10,393 |
| 1,889,032 |
aWEX Inc. | United States | 12,261 |
| 2,295,750 |
5
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
|
| Shares/ |
|
|
| Country | Rights |
| Value |
|
|
|
|
|
Common Stocks and Other Equity Interests (continued) |
|
|
|
|
IT Services (continued) |
|
|
|
|
Wirecard AG | Germany | 13,796 | $ | 1,777,079 |
aWix.com Ltd. | Israel | 400 |
| 53,612 |
|
|
|
| 40,373,079 |
Life Sciences Tools & Services 1.3% |
|
|
|
|
|
|
|
| |
Eurofins Scientific SE | Luxembourg | 3,799 |
| 1,920,959 |
Gerresheimer AG | Germany | 61,603 |
| 4,477,715 |
aIllumina Inc. | United States | 4,443 |
| 1,180,372 |
aIQVIA Holdings Inc. | United States | 7,725 |
| 1,077,560 |
aMettler-Toledo International Inc. | United States | 3,691 |
| 2,589,975 |
aPacific Biosciences of California Inc. | United States | 3,255 |
| 11,067 |
aPPD Inc. | United States | 8,831 |
| 246,208 |
aQIAGEN NV | United States | 23,300 |
| 836,470 |
aRepligen Corp. | United States | 5,221 |
| 446,918 |
Thermo Fisher Scientific Inc. | United States | 8,774 |
| 2,551,479 |
a,fWuxi Biologics Cayman Inc., 144A | China | 50,031 |
| 745,198 |
|
|
|
| 16,083,921 |
Machinery 1.5% |
|
|
|
|
|
|
|
| |
Caterpillar Inc. | United States | 85 |
| 10,560 |
bDeere & Co. | United States | 13,601 |
| 2,128,284 |
Illinois Tool Works Inc. | United States | 70 |
| 11,745 |
aNavistar International Corp. | United States | 44,681 |
| 1,622,367 |
Oshkosh Corp. | United States | 21,759 |
| 1,569,912 |
Parker-Hannifin Corp. | United States | 4,950 |
| 914,612 |
bThe Toro Co. | United States | 19,004 |
| 1,357,456 |
Trinity Industries Inc. | United States | 44,275 |
| 900,996 |
Volvo AB, B | Sweden | 24,576 |
| 385,761 |
a,bWabco Holdings Inc. | United States | 59,627 |
| 8,055,608 |
bWestinghouse Air Brake Technologies Corp. | United States | 25,326 |
| 1,739,896 |
|
|
|
| 18,697,197 |
Marine 0.1% |
|
|
|
|
|
|
|
| |
Star Bulk Carriers Corp. | Greece | 144,120 |
| 1,249,520 |
Media 0.2% |
|
|
|
|
|
|
|
| |
aCharter Communications Inc., A | United States | 1,555 |
| 766,879 |
cComcast Corp., A | United States | 288 |
| 11,644 |
The Interpublic Group of Cos. Inc. | United States | 134 |
| 2,862 |
ITV PLC | United Kingdom | 293,248 |
| 445,639 |
Omnicom Group Inc. | United States | 158 |
| 10,946 |
aPostmedia Network Canada Corp., B | Canada | 666,338 |
| 1,260,941 |
Sinclair Broadcast Group Inc., A | United States | 6,014 |
| 139,585 |
Stroeer SE & Co. KGaA | Germany | 998 |
| 74,700 |
ViacomCBS Inc., B | United States | 8,100 |
| 199,342 |
|
|
|
|
|
|
|
|
| 2,912,538 |
Metals & Mining 0.1% |
|
|
|
|
|
|
|
| |
Lundin Mining Corp., Common Subscription Receipt | Canada | 39,464 |
| 201,399 |
Reliance Steel & Aluminum Co. | United States | 23 |
| 2,353 |
Teck Resources Ltd., B | Canada | 147,938 |
| 1,497,133 |
|
|
|
|
|
|
|
|
| 1,700,885 |
Multiline Retail 0.1% |
|
|
|
|
|
|
|
| |
Nordstrom Inc. | United States | 27,106 |
| 940,578 |
Target Corp. | United States | 110 |
| 11,330 |
|
|
|
|
|
|
|
|
| 951,908 |
Multi-Utilities 0.0%† |
|
|
|
|
|
|
|
| |
Dominion Energy Inc. | United States | 145 |
| 11,336 |
Oil, Gas & Consumable Fuels 0.4% |
|
|
|
|
|
|
|
| |
aBattalion Oil Corp. | United States | 3,790 |
| 28,349 |
6
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
|
| Shares/ |
|
|
| Country | Rights |
| Value |
|
|
|
|
|
Common Stocks and Other Equity Interests (continued) |
|
|
|
|
Oil, Gas & Consumable Fuels (continued) |
|
|
|
|
a,dBellatrix Exploration Ltd. | Canada | 56,646 | $ | — |
Enterprise Products Partners LP | United States | 440 |
| 10,270 |
Magellan Midstream Partners LP | United States | 199 |
| 10,855 |
b,cOccidental Petroleum Corp. | United States | 42,636 |
| 1,395,903 |
Phillips 66 | United States | 114 |
| 8,534 |
Tallgrass Energy LP, A | United States | 162,401 |
| 3,584,190 |
a,eWhiting Petroleum Corp. | United States | 4,509 |
| 8,342 |
|
|
|
| 5,046,443 |
Paper & Forest Products 0.6% |
|
|
|
|
|
|
|
| |
bLouisiana-Pacific Corp. | United States | 138,027 |
| 3,926,868 |
a,dTopco Associates LLC | United Kingdom | 144,632 |
| — |
West Fraser Timber Co. Ltd. | Canada | 92,167 |
| 3,441,542 |
|
|
|
|
|
|
|
|
| 7,368,410 |
Personal Products 0.1% |
|
|
|
|
|
|
|
| |
The Estee Lauder Cos. Inc., A | United States | 4,741 |
| 870,447 |
Unilever NV | United Kingdom | 6,879 |
| 363,192 |
|
|
|
|
|
|
|
|
| 1,233,639 |
Pharmaceuticals 1.6% |
|
|
|
|
|
|
|
| |
Allergan PLC | United States | 46,483 |
| 8,862,914 |
AstraZeneca PLC, ADR | United Kingdom | 41,505 |
| 1,817,919 |
Bristol-Myers Squibb Co. | United States | 198 |
| 11,694 |
aBristol-Myers Squibb Co., Contingent Value, rts., 4/24/20 | United States | 19,459 |
| 65,188 |
Eli Lilly & Co., W | United States | 14,452 |
| 1,822,831 |
Hikma Pharmaceuticals PLC | Jordan | 16,262 |
| 378,581 |
Johnson & Johnson | United States | 87 |
| 11,700 |
Merck & Co. Inc. | United States | 7,620 |
| 583,387 |
Novartis AG, ADR | Switzerland | 14,081 |
| 1,182,241 |
Novo Nordisk AS, ADR | Denmark | 28,364 |
| 1,648,799 |
aPassage Bio Inc. | United States | 3,922 |
| 87,068 |
a,eRevance Therapeutics Inc. | United States | 9,333 |
| 215,779 |
aRevolution Medicines Inc. | United States | 4,995 |
| 156,194 |
bZoetis Inc., A | United States | 19,291 |
| 2,570,139 |
|
|
|
| 19,414,434 |
Professional Services 0.9% |
|
|
|
|
|
|
|
| |
aCoStar Group Inc. | United States | 1,106 |
| 738,355 |
Equifax Inc. | United States | 9,887 |
| 1,404,350 |
Experian PLC | United Kingdom | 26,925 |
| 896,169 |
aHuron Consulting Group Inc. | United States | 12,104 |
| 718,251 |
fIntertrust NV, 144A | Netherlands | 269,665 |
| 4,523,532 |
bTransUnion | United States | 15,202 |
| 1,351,762 |
aTriNet Group Inc. | United States | 36,549 |
| 1,931,980 |
|
|
|
| 11,564,399 |
Real Estate Management & Development 0.1% |
|
|
|
|
|
|
|
| |
Savills PLC | United Kingdom | 91,600 |
| 1,281,644 |
Road & Rail 1.1% |
|
|
|
|
|
|
|
| |
Canadian Pacific Railway Ltd. | Canada | 2,387 |
| 593,814 |
bCSX Corp. | United States | 64,589 |
| 4,550,295 |
bKansas City Southern | United States | 17,106 |
| 2,577,532 |
bOld Dominion Freight Line Inc. | United States | 7,913 |
| 1,533,539 |
aUber Technologies Inc. | United States | 9,232 |
| 312,688 |
bUnion Pacific Corp. | United States | 24,445 |
| 3,906,556 |
|
|
|
| 13,474,424 |
Semiconductors & Semiconductor Equipment 1.6% |
|
|
|
|
|
|
|
| |
aAdvanced Micro Devices Inc. | United States | 6,836 |
| 310,901 |
Applied Materials Inc. | United States | 191 |
| 11,101 |
7
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
|
| Shares/ |
|
|
| Country | Rights |
| Value |
|
|
|
|
|
Common Stocks and Other Equity Interests (continued) |
|
|
|
|
Semiconductors & Semiconductor Equipment (continued) |
|
|
|
|
ASM International NV | Netherlands | 4,218 | $ | 484,722 |
ASM Pacific Technology Ltd. | Hong Kong | 56,000 |
| 677,228 |
ASML Holding NV, N.Y. shares, G | Netherlands | 4,064 |
| 1,124,549 |
aAxcelis Technologies Inc. | United States | 26,480 |
| 635,255 |
BE Semiconductor Industries NV | Netherlands | 37,314 |
| 1,451,270 |
Broadcom Inc. | United States | 38 |
| 10,360 |
aFormFactor Inc. | United States | 380 |
| 8,501 |
Globalwafers Co. Ltd. | Taiwan | 63,000 |
| 852,012 |
Intel Corp. | United States | 194 |
| 10,771 |
KLA Corp. | United States | 4,273 |
| 656,803 |
LAM Research Corp. | United States | 39 |
| 11,444 |
aLattice Semiconductor Corp. | United States | 44,291 |
| 795,023 |
Marvell Technology Group Ltd. | Bermuda | 69,213 |
| 1,474,237 |
Mediatek Inc. | Taiwan | 84,635 |
| 1,006,245 |
aMicron Technology Inc. | United States | 10,348 |
| 543,891 |
NVIDIA Corp. | United States | 2,546 |
| 687,598 |
QUALCOMM Inc. | United States | 36,843 |
| 2,884,806 |
aRambus Inc. | United States | 18,161 |
| 253,891 |
Realtek Semiconductor Corp. | Taiwan | 49,000 |
| 364,108 |
aRenesas Electronics Corp. | Japan | 236,900 |
| 1,429,834 |
SK Hynix Inc. | South Korea | 15,787 |
| 1,142,591 |
Skyworks Solutions Inc. | United States | 5,526 |
| 553,595 |
a,d,f,hSunEdison Inc., Contingent Distribution, 144A | United States | 35,000 |
| 700 |
bTexas Instruments Inc. | United States | 16,669 |
| 1,902,600 |
|
|
|
| 19,284,036 |
Software 2.1% |
|
|
|
|
|
|
|
| |
a8x8 Inc. | United States | 16,065 |
| 297,203 |
aAdobe Inc. | United States | 2,450 |
| 845,544 |
aAlteryx Inc., A | United States | 976 |
| 136,269 |
aAtlassian Corp. PLC, A | United States | 5,840 |
| 846,566 |
aAvalara Inc. | United States | 1,000 |
| 84,750 |
Blackbaud Inc. | United States | 3,528 |
| 239,198 |
aCeridian HCM Holding Inc. | United States | 11,155 |
| 788,993 |
aGuidewire Software Inc. | United States | 11,075 |
| 1,213,931 |
aHubSpot Inc. | United States | 1,941 |
| 348,313 |
Intuit Inc. | United States | 11,703 |
| 3,111,242 |
Logmein Inc. | United States | 18,348 |
| 1,563,892 |
bMicrosoft Corp. | United States | 56,125 |
| 9,092,812 |
NortonLifeLock Inc. | United States | 20,708 |
| 394,073 |
cOracle Corp. | United States | 220 |
| 10,881 |
a,bSalesforce.com Inc. | United States | 7,177 |
| 1,222,961 |
SAP SE | Germany | 6,174 |
| 770,776 |
a,bServiceNow Inc. | United States | 4,480 |
| 1,460,883 |
aSlack Technologies Inc., A | United States | 29,747 |
| 803,764 |
aSplunk Inc. | United States | 5,849 |
| 861,733 |
aSVMK Inc. | United States | 24,353 |
| 443,955 |
aWorkday Inc., A | United States | 6,439 |
| 1,115,557 |
a,eZscaler Inc. | United States | 5,004 |
| 260,158 |
|
|
|
| 25,913,454 |
Specialty Retail 2.0% |
|
|
|
|
|
|
|
| |
Best Buy Co. Inc. | United States | 142 |
| 10,742 |
aCarmax Inc. | United States | 15,766 |
| 1,376,529 |
aFrasers Group PLC | United Kingdom | 180,900 |
| 888,359 |
fGrandvision NV, 144A | Netherlands | 149,993 |
| 4,578,166 |
The Home Depot Inc. | United States | 30,628 |
| 6,672,004 |
bL Brands Inc. | United States | 76,219 |
| 1,650,904 |
Pets at Home Group PLC | United Kingdom | 63,108 |
| 210,990 |
8
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
|
| Shares/ |
|
|
| Country | Rights |
| Value |
|
|
|
|
|
Common Stocks and Other Equity Interests (continued) |
|
|
|
|
Specialty Retail (continued) |
|
|
|
|
bTiffany & Co. | United States | 60,163 | $ | 8,037,175 |
a,bUlta Beauty Inc. | United States | 6,772 |
| 1,741,013 |
|
|
|
| 25,165,882 |
Technology Hardware, Storage & Peripherals 0.6% |
|
|
|
|
|
|
|
| |
Apple Inc. | United States | 3,402 |
| 929,971 |
Hewlett Packard Enterprise Co. | United States | 340 |
| 4,349 |
bHP Inc. | United States | 221,805 |
| 4,611,326 |
aPure Storage Inc., A | United States | 7,667 |
| 116,998 |
Western Digital Corp. | United States | 23,649 |
| 1,313,938 |
|
|
|
|
|
|
|
|
| 6,976,582 |
Textiles, Apparel & Luxury Goods 0.3% |
|
|
|
|
|
|
|
| |
aCapri Holdings Ltd. | United States | 41,550 |
| 1,072,821 |
LVMH Moet Hennessy Louis Vuitton SE | France | 2,895 |
| 1,208,170 |
Nike Inc., B | United States | 425 |
| 37,986 |
bTapestry Inc. | United States | 38,673 |
| 906,882 |
|
|
|
| 3,225,859 |
Tobacco 0.0%† |
|
|
|
|
|
|
|
| |
Altria Group Inc. | United States | 283 |
| 11,425 |
Philip Morris International Inc. | United States | 144 |
| 11,789 |
|
|
|
|
|
|
|
|
| 23,214 |
Trading Companies & Distributors 0.4% |
|
|
|
|
|
|
|
| |
Brenntag AG | Germany | 93,055 |
| 4,222,179 |
IMCD Group NV | Netherlands | 12,673 |
| 1,037,088 |
|
|
|
|
|
|
|
|
| 5,259,267 |
Wireless Telecommunication Services 0.5% |
|
|
|
|
|
|
|
| |
aSprint Corp. | United States | 429,684 |
| 3,948,796 |
aT-Mobile U.S. Inc. | United States | 11,302 |
| 1,018,988 |
cVodafone Group PLC, ADR | United Kingdom | 36,378 |
| 636,615 |
|
|
|
| 5,604,399 |
Total Common Stocks and Other Equity Interests |
|
|
|
|
|
|
|
| |
(Cost $389,531,005) |
|
|
| 476,179,541 |
Exchange Traded Funds (Cost $178,528) 0.0%† |
|
|
|
|
|
|
|
| |
eVanEck Vectors Oil Services ETF | United States | 15,084 |
| 135,454 |
Convertible Preferred Stocks 0.5% |
|
|
|
|
Diversified Financial Services 0.3% |
|
|
|
|
a,d,gOne Call Corp., cvt. pfd. | United States | 33,337 |
| 3,999,099 |
Electric Utilities 0.1% |
|
|
|
|
NextEra Energy Inc., 5.279%, cvt. pfd. | United States | 26,234 |
| 1,192,642 |
Food Products 0.1% |
|
|
|
|
|
|
|
| |
Bunge Ltd., 4.875%, cvt. pfd. | United States | 3,973 |
| 397,300 |
Gas Utilities 0.0%† |
|
|
|
|
|
|
|
| |
El Paso Energy Capital Trust I, 4.75%, cvt. pfd. | United States | 114 |
| 5,812 |
Oil, Gas & Consumable Fuels 0.0%† |
|
|
|
|
|
|
|
| |
Chesapeake Energy Corp., 5.75%, cvt. pfd. | United States | 139 |
| 18,070 |
Total Convertible Preferred Stocks (Cost $3,318,628) |
|
|
|
|
|
|
| 5,612,923 | |
Preferred Stocks 0.0%† |
|
|
|
|
|
|
|
| |
Electric Utilities 0.0%† |
|
|
|
|
SCE Trust II, 5.10%, pfd. | United States | 10,492 |
| 250,654 |
9
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
|
| Shares/ |
|
|
| Country | Rights |
| Value |
|
|
|
|
|
Preferred Stocks (continued) |
|
|
|
|
Electric Utilities (continued) |
|
|
|
|
SCE Trust VI, 5.00%, pfd. | United States | 4,345 | $ | 99,848 |
Total Preferred Stocks (Cost $351,072) |
|
|
|
|
|
|
| 350,502 | |
|
| Principal |
|
|
|
|
|
| |
|
| Amount* |
|
|
Convertible Bonds 12.8% |
|
|
|
|
Air Freight & Logistics 0.2% |
|
|
|
|
bAir Transport Services Group Inc., senior note, 1.125%, 10/15/24 | United States | 1,310,000 |
| 1,183,609 |
bAtlas Air Worldwide Holdings Inc., senior note, 1.875%, 6/01/24 | United States | 1,654,000 |
| 1,447,514 |
|
|
|
| 2,631,123 |
Automobiles 0.1% |
|
|
|
|
|
|
|
| |
fWinnebago Industries Inc., senior note, 144A, 1.50%, 4/01/25 | United States | 841,000 |
| 901,502 |
Banks 0.1% |
|
|
|
|
Hope Bancorp Inc., senior bond, 2.00%, 5/15/38 | United States | 1,622,000 |
| 1,509,577 |
Biotechnology 1.2% |
|
|
|
|
|
|
|
| |
fApellis Pharmaceuticals Inc., senior note, 144A, 3.50%, 9/15/26 | United States | 666,000 |
| 806,422 |
BioMarin Pharmaceutical Inc., senior sub. note, 0.599%, 8/01/24 | United States | 746,000 |
| 818,735 |
Cytokinetics Inc., senior note, 4.00%, 11/15/26 | United States | 294,000 |
| 451,580 |
Exact Sciences Corp., senior note, |
|
|
|
|
0.375%, 3/15/27 | United States | 360,000 |
| 371,510 |
0.375%, 3/01/28 | United States | 828,000 |
| 807,729 |
Flexion Therapeutics Inc., senior note, 3.375%, 5/01/24 | United States | 979,000 |
| 950,903 |
fHalozyme Therapeutics Inc., senior note, 144A, 1.25%, 12/01/24 | United States | 1,312,000 |
| 1,414,467 |
Insmed Inc., senior note, 1.75%, 1/15/25 | United States | 1,311,000 |
| 1,315,097 |
Intercept Pharmaceuticals Inc., senior note, |
|
|
|
|
3.25%, 7/01/23 | United States | 671,000 |
| 641,374 |
2.00%, 5/15/26 | United States | 753,000 |
| 854,988 |
Ironwood Pharmaceuticals Inc., senior note, |
|
|
|
|
2.25%, 6/15/22 | United States | 1,007,000 |
| 1,139,169 |
f144A, 1.50%, 6/15/26 | United States | 1,203,000 |
| 1,379,001 |
Karyopharm Therapeutics Inc., senior note, 3.00%, 10/15/25 | United States | 647,000 |
| 847,061 |
Ligand Pharmaceuticals Inc., senior note, 0.75%, 5/15/23 | United States | 1,499,000 |
| 1,308,189 |
Neurocrine Biosciences Inc., senior note, 2.25%, 5/15/24 | United States | 741,000 |
| 1,033,583 |
Radius Health Inc., senior note, 3.00%, 9/01/24 | United States | 748,000 |
| 650,731 |
|
|
|
|
|
|
|
|
| 14,790,539 |
Building Products 0.1% |
|
|
|
|
|
|
|
| |
Patrick Industries Inc., senior note, 1.00%, 2/01/23 | United States | 1,309,000 |
| 1,259,290 |
Commercial Services & Supplies 0.1% |
|
|
|
|
|
|
|
| |
bTeam Inc., senior note, 5.00%, 8/01/23 | United States | 1,255,000 |
| 1,223,962 |
Communications Equipment 0.1% |
|
|
|
|
CalAmp Corp., senior note, 2.00%, 8/01/25 | United States | 260,000 |
| 221,116 |
Infinera Corp., senior note, 2.125%, 9/01/24 | United States | 719,000 |
| 716,372 |
|
|
|
|
|
|
|
|
| 937,488 |
Construction & Engineering 0.0%† |
|
|
|
|
|
|
|
| |
Dycom Industries Inc., senior note, 0.75%, 9/15/21 | United States | 597,000 |
| 562,961 |
Consumer Finance 0.7% |
|
|
|
|
|
|
|
| |
Encore Capital Group Inc., senior note, |
|
|
|
|
2.875%, 3/15/21 | United States | 623,000 |
| 621,919 |
3.25%, 3/15/22 | United States | 1,879,000 |
| 1,985,560 |
f144A, 3.25%, 10/01/25 | United States | 536,000 |
| 598,645 |
10
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
|
| Principal |
|
|
|
| Country | Amount* |
|
| Value |
Convertible Bonds (continued) |
|
|
|
|
|
Consumer Finance (continued) |
|
|
|
|
|
EZCORP Inc., senior note, |
|
|
|
|
|
2.875%, 7/01/24 | United States | 915,000 | $ | 764,362 | |
2.375%, 5/01/25 | United States | 467,000 |
|
| 357,738 |
PRA Group Inc., senior note, |
|
|
|
|
|
b3.00%, 8/01/20 | United States | 1,804,000 |
|
| 1,807,226 |
3.50%, 6/01/23 | United States | 1,828,000 |
|
| 1,985,782 |
|
|
|
|
|
|
|
|
|
|
| 8,121,232 |
Diversified Consumer Services 0.1% |
|
|
|
|
|
|
|
|
|
| |
fChegg Inc., senior note, 144A, 0.125%, 3/15/25 | United States | 1,049,000 |
|
| 1,096,730 |
Diversified Financial Services 0.2% |
|
|
|
|
|
Element Fleet Management Corp., sub. note, |
|
|
|
|
|
4.25%, 6/30/20 | Canada | 468,000 | CAD | 349,244 | |
4.25%, 6/30/24 | Canada | 853,000 | CAD | 784,048 | |
bHorizon Pharma Investment Ltd., senior note, 2.50%, 3/15/22 | United States | 1,496,000 |
|
| 1,928,185 |
|
|
|
|
| 3,061,477 |
Diversified Telecommunication Services 0.1% |
|
|
|
|
|
|
|
|
|
| |
fBandwidth Inc., senior note, 144A, 0.25%, 3/01/26 | United States | 704,000 |
|
| 689,450 |
fIAC Financeco 2 Inc., senior note, 144A, 0.875%, 6/15/26 | United States | 436,000 |
|
| 448,089 |
fIAC Financeco 3 Inc., senior bond, 144A, 2.00%, 1/15/30 | United States | 524,000 |
|
| 558,803 |
|
|
|
|
| 1,696,342 |
Electronic Equipment, Instruments & Components 0.5% |
|
|
|
|
|
|
|
|
|
| |
II-VI Inc., senior note, 0.25%, 9/01/22 | United States | 1,573,000 |
|
| 1,566,118 |
Knowles Corp., senior note, 3.25%, 11/01/21 | United States | 1,049,000 |
|
| 1,189,448 |
OSI Systems Inc., senior note, 1.25%, 9/01/22 | United States | 1,310,000 |
|
| 1,336,904 |
TTM Technologies Inc., senior note, 1.75%, 12/15/20 | United States | 351,000 |
|
| 486,067 |
Vishay Intertechnology Inc., senior note, 2.25%, 6/15/25 | United States | 1,440,000 |
|
| 1,428,336 |
|
|
|
|
|
|
|
|
|
|
| 6,006,873 |
Energy Equipment & Services 0.0%† |
|
|
|
|
|
|
|
|
|
| |
SEACOR Holdings Inc., senior bond, 3.25%, 5/15/30 | United States | 245,000 |
|
| 212,468 |
Entertainment 0.7% |
|
|
|
|
|
|
|
|
|
| |
fiQIYI Inc., senior note, 144A, 2.00%, 4/01/25 | China | 698,000 |
|
| 728,786 |
b,fLiberty Media Corp., senior bond, 144A, |
|
|
|
|
|
2.25%, 12/01/48 | United States | 2,552,000 |
|
| 2,765,965 |
2.75%, 12/01/49 | United States | 2,229,000 |
|
| 2,244,603 |
fLive Nation Entertainment Inc., senior note, 144A, 2.00%, 2/15/25 | United States | 1,573,000 |
|
| 1,553,627 |
fSea Ltd., senior note, 144A, 1.00%, 12/01/24 | Taiwan | 1,049,000 |
|
| 1,217,229 |
fZynga Inc., senior note, 144A, 0.25%, 6/01/24 | United States | 698,000 |
|
| 760,726 |
|
|
|
|
| 9,270,936 |
Equity Real Estate Investment Trusts (REITs) 0.3% |
|
|
|
|
|
|
|
|
|
| |
b,fIIP Operating Partnership LP, senior note, 144A, 3.75%, 2/21/24 | United States | 2,652,000 |
|
| 3,875,094 |
Food & Staples Retailing 0.1% |
|
|
|
|
|
fThe Chefs' Warehouse Inc., senior note, 144A, 1.875%, 12/01/24 | United States | 1,413,000 |
|
| 1,397,987 |
Health Care Equipment & Supplies 0.6% |
|
|
|
|
|
bDexCom Inc., senior note, 0.75%, 12/01/23 | United States | 1,247,000 |
|
| 2,212,203 |
b,fInsulet Corp., senior note, 144A, 0.375%, 9/01/26 | United States | 803,000 |
|
| 903,278 |
fIntegra Lifesciences Holdings Corp., senior note, 144A, 0.50%, |
|
|
|
|
|
8/15/25 | United States | 1,049,000 |
|
| 1,032,432 |
fNuvasive Inc., senior note, 144A, 0.375%, 3/15/25 | United States | 828,000 |
|
| 817,240 |
Wright Medical Group Inc., senior note, 1.625%, 6/15/23 | United States | 441,000 |
|
| 463,468 |
bWright Medical Group NV, senior note, 2.25%, 11/15/21 | United States | 1,309,000 |
|
| 1,882,040 |
|
|
|
|
| 7,310,661 |
Health Care Technology 0.2% |
|
|
|
|
|
|
|
|
|
| |
fAllscripts Healthcare Solutions Inc., senior note, 144A, 0.875%, |
|
|
|
|
|
1/01/27 | United States | 1,224,000 |
|
| 1,059,525 |
Evolent Health Inc., senior note, 1.50%, 10/15/25 | United States | 524,000 |
|
| 377,681 |
11
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
|
| Principal |
|
|
| Country | Amount* |
| Value |
Convertible Bonds (continued) |
|
|
|
|
Health Care Technology (continued) |
|
|
|
|
fTabula Rasa Healthcare Inc., senior sub. note, 144A, 1.75%, |
|
|
|
|
2/15/26 | United States | 1,311,000 | $ | 1,422,601 |
|
|
|
|
|
|
|
|
| 2,859,807 |
Hotels, Restaurants & Leisure 0.3% |
|
|
|
|
|
|
|
| |
fLuckin Coffee Inc., senior note, 144A, 0.75%, 1/15/25 | China | 1,748,000 |
| 1,728,409 |
Marriott Vacations Worldwide Corp., senior note, 1.50%, 9/15/22 | United States | 1,573,000 |
| 1,556,365 |
|
|
|
|
|
|
|
|
| 3,284,774 |
Independent Power & Renewable Electricity Producers 0.1% |
|
|
|
|
|
|
|
| |
bNRG Energy Inc., senior bond, 2.75%, 6/01/48 | United States | 1,310,000 |
| 1,388,286 |
Interactive Media & Services 0.6% |
|
|
|
|
fJoyy Inc., senior note, 144A, 0.75%, 6/15/25 | China | 838,000 |
| 769,591 |
fSnap Inc., senior note, 144A, 0.75%, 8/01/26 | United States | 1,311,000 |
| 1,335,902 |
Twitter Inc., senior note, 0.25%, 6/15/24 | United States | 734,000 |
| 729,824 |
Zillow Group Inc., senior note, |
|
|
|
|
2.00%, 12/01/21 | United States | 1,245,000 |
| 1,523,344 |
1.50%, 7/01/23 | United States | 1,312,000 |
| 1,376,682 |
f144A, 0.75%, 9/01/24 | United States | 1,048,000 |
| 1,501,250 |
|
|
|
| 7,236,593 |
Internet & Direct Marketing Retail 0.1% |
|
|
|
|
|
|
|
| |
eWayfair Inc., senior note, 0.375%, 9/01/22 | United States | 1,178,000 |
| 1,084,526 |
IT Services 0.7% |
|
|
|
|
fAkamai Technologies Inc., senior note, 144A, 0.375%, 9/01/27 | United States | 1,311,000 |
| 1,309,164 |
Cardtronics Inc., senior note, 1.00%, 12/01/20 | United States | 2,447,000 |
| 2,441,335 |
CSG Systems International Inc., senior bond, 4.25%, 3/15/36 | United States | 1,321,000 |
| 1,430,511 |
KBR Inc., senior note, 2.50%, 11/01/23 | United States | 1,123,000 |
| 1,344,458 |
fOkta Inc., senior note, 144A, 0.125%, 9/01/25 | United States | 1,049,000 |
| 1,061,457 |
Perficient Inc., senior note, 2.375%, 9/15/23 | United States | 572,000 |
| 714,830 |
|
|
|
|
|
|
|
|
| 8,301,755 |
Life Sciences Tools & Services 0.1% |
|
|
|
|
|
|
|
| |
eIllumina Inc., senior note, zero cpn., 8/15/23 | United States | 349,000 |
| 360,891 |
Repligen Corp., senior note, 0.375%, 7/15/24 | United States | 1,048,000 |
| 1,098,490 |
|
|
|
|
|
|
|
|
| 1,459,381 |
Machinery 0.1% |
|
|
|
|
|
|
|
| |
The Greenbrier Cos. Inc., senior note, 2.875%, 2/01/24 | United States | 853,000 |
| 788,084 |
Media 0.3% |
|
|
|
|
|
|
|
| |
DISH Network Corp., |
|
|
|
|
senior bond, 3.375%, 8/15/26 | United States | 325,000 |
| 314,602 |
senior note, 2.375%, 3/15/24 | United States | 395,000 |
| 368,701 |
Liberty Interactive LLC, |
|
|
|
|
senior bond, 4.00%, 11/15/29 | United States | 1,249,000 |
| 910,209 |
senior note, 3.75%, 2/15/30 | United States | 407,000 |
| 295,584 |
fLiberty Latin America Ltd., senior note, 144A, 2.00%, 7/15/24 | Chile | 1,312,000 |
| 1,252,960 |
|
|
|
| 3,142,056 |
Metals & Mining 0.4% |
|
|
|
|
|
|
|
| |
fEndeavour Mining Corp., senior note, 144A, 3.00%, 2/15/23 | Ivory Coast | 700,000 |
| 733,670 |
First Majestic Silver Corp., senior note, 1.875%, 3/01/23 | Canada | 1,245,000 |
| 1,331,216 |
Pretium Resources Inc., senior sub. note, 2.25%, 3/15/22 | Canada | 1,303,000 |
| 1,216,741 |
fSSR Mining Inc., senior bond, 144A, 2.50%, 4/01/39 | Canada | 1,036,000 |
| 1,223,128 |
|
|
|
| 4,504,755 |
Mortgage Real Estate Investment Trusts (REITs) 0.4% |
|
|
|
|
|
|
|
| |
b,fArbor Realty Trust Inc., senior note, 144A, 4.75%, 11/01/22 | United States | 1,704,000 |
| 1,649,446 |
fPennyMac Corp., senior note, 144A, 5.50%, 11/01/24 | United States | 1,248,000 |
| 1,230,060 |
Redwood Trust Inc., senior note, 4.75%, 8/15/23 | United States | 1,594,000 |
| 1,647,798 |
|
|
|
|
|
|
|
|
| 4,527,304 |
|
|
|
|
|
12
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
|
| Principal |
|
|
|
| Country | Amount* |
|
| Value |
Convertible Bonds (continued) |
|
|
|
|
|
Oil, Gas & Consumable Fuels 0.1% |
|
|
|
|
|
Chesapeake Energy Corp., senior note, 5.50%, 9/15/26 | United States | 95,000 | $ | 27,253 | |
bShip Finance International Ltd., senior note, 5.75%, 10/15/21 | Norway | 1,752,000 |
|
| 1,788,792 |
|
|
|
|
| 1,816,045 |
Personal Products 0.2% |
|
|
|
|
|
|
|
|
|
| |
Herbalife Nutrition Ltd., senior note, 2.625%, 3/15/24 | United States | 2,623,000 |
|
| 2,416,744 |
Pharmaceuticals 1.0% |
|
|
|
|
|
|
|
|
|
| |
fAerie Pharmaceuticals Inc., senior note, 144A, 1.50%, 10/01/24 | United States | 1,294,000 |
|
| 1,319,974 |
fAphria Inc., senior note, 144A, 5.25%, 6/01/24 | Canada | 1,622,000 |
|
| 1,133,372 |
bAurora Cannabis Inc., senior note, 5.50%, 2/28/24 | Canada | 2,322,000 |
|
| 1,158,097 |
fCanopy Growth Corp., senior note, 144A, 4.25%, 7/15/23 | Canada | 2,031,000 | CAD | 1,318,315 | |
Collegium Pharmaceutical Inc., senior note, 2.625%, 2/15/26 | United States | 830,000 |
|
| 919,744 |
bInnoviva Inc., sub. note, 2.125%, 1/15/23 | United States | 1,496,000 |
|
| 1,497,561 |
Pacira Biosciences Inc., senior note, 2.375%, 4/01/22 | United States | 1,573,000 |
|
| 1,621,709 |
fRevance Therapeutics Inc., senior note, 144A, 1.75%, 2/15/27 | United States | 831,000 |
|
| 835,839 |
Theravance Biopharma Inc., senior note, 3.25%, 11/01/23 | United States | 831,000 |
|
| 872,458 |
Tilray Inc., senior note, 5.00%, 10/01/23 | Canada | 2,060,000 |
|
| 1,164,449 |
|
|
|
|
|
|
|
|
|
|
| 11,841,518 |
Real Estate Management & Development 0.1% |
|
|
|
|
|
|
|
|
|
| |
bRedfin Corp., senior note, 1.75%, 7/15/23 | United States | 1,355,000 |
|
| 1,556,624 |
Semiconductors & Semiconductor Equipment 0.6% |
|
|
|
|
|
Cree Inc., senior note, 0.875%, 9/01/23 | United States | 979,000 |
|
| 1,032,233 |
fEnphase Energy Inc., senior note, 144A, 1.00%, 6/01/24 | United States | 504,000 |
|
| 1,244,275 |
fImpinj Inc., senior note, 144A, 2.00%, 12/15/26 | United States | 441,000 |
|
| 499,187 |
bMicrochip Technology Inc., senior sub. bond, 1.625%, 2/15/27 | United States | 1,311,000 |
|
| 1,693,264 |
Rambus Inc., senior note, 1.375%, 2/01/23 | United States | 914,000 |
|
| 944,251 |
fSMART Global Holdings Inc., senior note, 144A, 2.25%, 2/15/26 | United States | 1,311,000 |
|
| 1,309,361 |
Synaptics Inc., senior note, 0.50%, 6/15/22 | United States | 1,049,000 |
|
| 1,176,069 |
|
|
|
|
|
|
|
|
|
|
| 7,898,640 |
Software 1.9% |
|
|
|
|
|
|
|
|
|
| |
8x8 Inc., senior note, 0.50%, 2/01/24 | United States | 1,247,000 |
|
| 1,263,336 |
fAlteryx Inc., senior note, 144A, 0.50%, 8/01/24 | United States | 1,468,000 |
|
| 1,589,317 |
Avaya Holdings Corp., senior note, 2.25%, 6/15/23 | United States | 1,574,000 |
|
| 1,434,159 |
Benefitfocus Inc., senior note, 1.25%, 12/15/23 | United States | 831,000 |
|
| 679,259 |
fBlackline Inc., senior note, 144A, 0.125%, 8/01/24 | United States | 1,310,000 |
|
| 1,441,303 |
fCoupa Software Inc., senior note, 144A, 0.125%, 6/15/25 | United States | 1,049,000 |
|
| 1,268,273 |
fEverbridge Inc., senior note, 144A, 0.125%, 12/15/24 | United States | 1,078,000 |
|
| 1,261,627 |
fI3 Verticals LLC, senior note, 144A, 1.00%, 2/15/25 | United States | 1,005,000 |
|
| 989,858 |
fJ2 Global Inc., senior note, 144A, 1.75%, 11/01/26 | United States | 612,000 |
|
| 607,666 |
fLivePerson Inc., senior note, 144A, 0.75%, 3/01/24 | United States | 1,312,000 |
|
| 1,350,294 |
New Relic Inc., senior note, 0.50%, 5/01/23 | United States | 711,000 |
|
| 668,301 |
bNuance Communications Inc., senior bond, 1.00%, 12/15/35 | United States | 1,663,000 |
|
| 1,830,028 |
Nutanix Inc., senior note, zero cpn., 1/15/23 | United States | 1,268,000 |
|
| 1,191,265 |
Palo Alto Networks Inc., senior note, 0.75%, 7/01/23 | United States | 1,012,000 |
|
| 1,033,668 |
fPegasystems Inc., senior note, 144A, 0.75%, 3/01/25 | United States | 331,000 |
|
| 330,106 |
b,fPluralsight Inc., senior note, 144A, 0.375%, 3/01/24 | United States | 1,573,000 |
|
| 1,414,401 |
fPROS Holdings Inc., senior note, 144A, 1.00%, 5/15/24 | United States | 687,000 |
|
| 692,237 |
bRapid7 Inc., senior note, 1.25%, 8/01/23 | United States | 930,000 |
|
| 1,209,277 |
fRingCentral Inc., senior note, 144A, zero cpn., 3/01/25 | United States | 1,242,000 |
|
| 1,230,356 |
fSailPoint Technologies Holding Inc., senior note, 144A, 0.125%, |
|
|
|
|
|
9/15/24 | United States | 998,000 |
|
| 1,121,855 |
fWorkiva Inc., senior note, 144A, 1.125%, 8/15/26 | United States | 683,000 |
|
| 630,651 |
|
|
|
|
| 23,237,237 |
Specialty Retail 0.1% |
|
|
|
|
|
|
|
|
|
| |
fRH, senior note, 144A, zero cpn., 9/15/24 | United States | 734,000 |
|
| 786,300 |
13
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
|
| Principal |
|
|
|
| Country | Amount* |
|
| Value |
Convertible Bonds (continued) |
|
|
|
|
|
Technology Hardware, Storage & Peripherals 0.1% |
|
|
|
|
|
Pure Storage Inc., senior note, 0.125%, 4/15/23 | United States | 966,000 | $ | 945,617 | |
Western Digital Corp., senior note, 1.50%, 2/01/24 | United States | 498,000 |
|
| 490,032 |
|
|
|
|
|
|
|
|
|
|
| 1,435,649 |
Tobacco 0.1% |
|
|
|
|
|
|
|
|
|
| |
fTurning Point Brands Inc., senior note, 144A, 2.50%, 7/15/24 | United States | 1,387,000 |
|
| 1,205,450 |
Trading Companies & Distributors 0.1% |
|
|
|
|
|
bKaman Corp., senior note, 3.25%, 5/01/24 | United States | 1,573,000 |
|
| 1,742,036 |
Total Convertible Bonds (Cost $157,732,497) |
|
|
|
| 158,379,806 |
Corporate Bonds and Notes 7.4% |
|
|
|
|
|
|
|
|
|
| |
Aerospace & Defense 0.2% |
|
|
|
|
|
The Boeing Co., senior note, 2.70%, 5/01/22 | United States | 375,000 |
|
| 383,710 |
fLeonardo US Holdings Inc., senior bond, 144A, 6.25%, 1/15/40 | Italy | 236,000 |
|
| 263,730 |
fRolls-Royce PLC, senior note, 144A, 2.375%, 10/14/20 | United Kingdom | 400,000 |
|
| 401,607 |
Spirit Aerosystems Inc., senior bond, 4.60%, 6/15/28 | United States | 20,000 |
|
| 19,874 |
Triumph Group Inc., |
|
|
|
|
|
fsecured note, 144A, 6.25%, 9/15/24 | United States | 445,000 |
|
| 463,172 |
senior note, 5.25%, 6/01/22 | United States | 1,065,000 |
|
| 1,046,695 |
|
|
|
|
|
|
|
|
|
|
| 2,578,788 |
Air Freight & Logistics 0.0%† |
|
|
|
|
|
|
|
|
|
| |
FedEx Corp., senior note, 3.40%, 1/14/22 | United States | 170,000 |
|
| 176,061 |
Airlines 0.0%† |
|
|
|
|
|
|
|
|
|
| |
United Airlines Pass-Through Trust, 2019-2, B, 3.50%, 5/01/28 | United States | 410,000 |
|
| 425,404 |
Automobiles 0.4% |
|
|
|
|
|
|
|
|
|
| |
American Honda Finance Corp., senior note, |
|
|
|
|
|
1.95%, 5/20/22 | United States | 325,000 |
|
| 328,491 |
jFRN, 2.104%, (3-Month USD LIBOR + 0.37%), 5/10/23 | United States | 500,000 |
|
| 499,269 |
f,jBMW US Capital LLC, senior note, 144A, FRN, 2.258%, (3-Month |
|
|
|
|
|
USD LIBOR + 0.41%), 4/12/21 | Germany | 465,000 |
|
| 466,782 |
fDaimler Finance North America LLC, senior note, 144A, |
|
|
|
|
|
3.40%, 2/22/22 | Germany | 385,000 |
|
| 396,585 |
jFRN, 2.592%, (3-Month USD LIBOR + 0.90%), 2/15/22 | Germany | 400,000 |
|
| 403,785 |
General Motors Financial Co. Inc., senior note, |
|
|
|
|
|
3.70%, 11/24/20 | United States | 155,000 |
|
| 156,358 |
jFRN, 2.728%, (3-Month USD LIBOR + 0.85%), 4/09/21 | United States | 275,000 |
|
| 275,964 |
fHyundai Capital America, senior note, 144A, |
|
|
|
|
|
3.95%, 2/01/22 | United States | 375,000 |
|
| 390,264 |
2.375%, 2/10/23 | United States | 170,000 |
|
| 171,575 |
fNissan Motor Acceptance Corp., senior note, 144A, 3.65%, |
|
|
|
|
|
9/21/21 | United States | 375,000 |
|
| 386,063 |
Toyota Motor Credit Corp., senior note, |
|
|
|
|
|
3.05%, 1/08/21 | United States | 325,000 |
|
| 329,807 |
jFRN, 2.164%, (3-Month USD LIBOR + 0.29%), 10/07/21 | United States | 415,000 |
|
| 416,594 |
f,jVolkswagen Group of America Finance LLC, senior note, 144A, |
|
|
|
|
|
FRN, 2.795%, (3-Month USD LIBOR + 0.86%), 9/24/21 | Germany | 410,000 |
|
| 413,964 |
|
|
|
|
|
|
|
|
|
|
| 4,635,501 |
Banks 0.6% |
|
|
|
|
|
|
|
|
|
| |
f,kBanco Macro SA, senior note, 144A, 17.50%, 5/08/22 | Argentina | 1,740,000 | ARS | 12,096 | |
i,jBank of America Corp., MM, junior sub. bond, FRN, 4.30%, (3- |
|
|
|
|
|
Month USD LIBOR + 2.66%), Perpetual | United States | 540,000 |
|
| 522,113 |
Capital One NA, senior note, 2.15%, 9/06/22 | United States | 440,000 |
|
| 444,612 |
Citibank NA, senior note, |
|
|
|
|
|
3.05%, 5/01/20 | United States | 435,000 |
|
| 435,441 |
jFRN, 3.165%, (3-Month USD LIBOR + 0.53%), 2/19/22 | United States | 250,000 |
|
| 253,696 |
14
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
|
| Principal |
|
|
|
| Country | Amount* |
|
| Value |
Corporate Bonds and Notes (continued) |
|
|
|
|
|
Banks (continued) |
|
|
|
|
|
jCitigroup Inc., senior note, FRN, 2.454%, (SOFR + 0.87%), |
|
|
|
|
|
11/04/22 | United States | 205,000 | $ | 206,672 | |
jHSBC Holdings PLC, senior note, FRN, 2.537%, (3-Month USD |
|
|
|
|
|
LIBOR + 0.65%), 9/11/21 | United Kingdom | 375,000 |
|
| 375,383 |
jJPMorgan Chase & Co., senior note, FRN, 2.26%, (3-Month USD |
|
|
|
|
|
LIBOR + 0.68%), 6/01/21 | United States | 140,000 |
|
| 140,180 |
Keybank NA, senior note, 3.30%, 2/01/22 | United States | 250,000 |
|
| 258,712 |
jMitsubishi UFJ Financial Group Inc., senior note, FRN, 2.444%, |
|
|
|
|
|
(3-Month USD LIBOR + 0.65%), 7/26/21 | Japan | 380,000 |
|
| 382,342 |
jPNC Bank NA, senior note, FRN, 2.252%, (3-Month USD LIBOR |
|
|
|
|
|
+ 0.45%), 7/22/22 | United States | 835,000 |
|
| 837,652 |
f,jStandard Chartered PLC, senior note, 144A, FRN, |
|
|
|
|
|
3.091%, (3-Month USD LIBOR + 1.20%), 9/10/22 | United Kingdom | 410,000 |
|
| 413,668 |
2.969%, (3-Month USD LIBOR + 1.15%), 1/20/23 | United Kingdom | 200,000 |
|
| 201,684 |
4.247%, (3-Month USD LIBOR + 1.15%), 1/20/23 | United Kingdom | 200,000 |
|
| 208,284 |
jSumitomo Mitsui Financial Group Inc., senior note, FRN, 2.808%, |
|
|
|
|
|
(3-Month USD LIBOR + 0.97%), 1/11/22 | Japan | 115,000 |
|
| 116,368 |
US Bank NA, senior note, |
|
|
|
|
|
3.00%, 2/04/21 | United States | 375,000 |
|
| 379,698 |
jFRN, 2.285%, (3-Month USD LIBOR + 0.40%), 12/09/22 | United States | 415,000 |
|
| 417,073 |
lVTB Bank OJSC Via VTB Capital SA, loan participation, sub. |
|
|
|
|
|
senior note, Reg S, 6.95%, 10/17/22 | Russia | 486,000 |
|
| 521,971 |
jWells Fargo & Co., senior note, FRN, |
|
|
|
|
|
3.24%, (3-Month USD LIBOR + 1.34%), 3/04/21 | United States | 230,000 |
|
| 232,737 |
2.661%, (3-Month USD LIBOR + 0.93%), 2/11/22 | United States | 495,000 |
|
| 498,508 |
Wells Fargo Bank NA, senior note, 3.625%, 10/22/21 | United States | 250,000 |
|
| 258,456 |
|
|
|
|
|
|
|
|
|
|
| 7,117,346 |
Biotechnology 0.0%† |
|
|
|
|
|
|
|
|
|
| |
f,jAbbVie Inc., senior note, 144A, FRN, 2.346%, (3-Month USD |
|
|
|
|
|
LIBOR + 0.65%), 11/21/22 | United States | 415,000 |
|
| 419,161 |
Building Products 0.0%† |
|
|
|
|
|
|
|
|
|
| |
fCarrier Global Corp., senior note, 144A, 1.923%, 2/15/23 | United States | 60,000 |
|
| 60,818 |
Capital Markets 0.1% |
|
|
|
|
|
Ares Capital Corp., senior note, 3.25%, 7/15/25 | United States | 420,000 |
|
| 423,177 |
eG Global Finance PLC, senior secured note, |
|
|
|
|
|
f144A, 4.375%, 2/07/25 | United Kingdom | 100,000 | EUR | 103,059 | |
f144A, 6.25%, 10/30/25 | United Kingdom | 144,000 | EUR | 155,050 | |
lReg S, 6.25%, 10/30/25 | United Kingdom | 539,000 | EUR | 580,359 | |
fMSCI Inc., senior bond, 144A, |
|
|
|
|
|
4.00%, 11/15/29 | United States | 80,000 |
|
| 83,052 |
m3.625%, 9/01/30 | United States | 345,000 |
|
| 346,078 |
|
|
|
|
| 1,690,775 |
Chemicals 0.0%† |
|
|
|
|
|
|
|
|
|
| |
fTPC Group Inc., senior secured note, 144A, 10.50%, 8/01/24 | United States | 259,000 |
|
| 263,425 |
Commercial Services & Supplies 1.4% |
|
|
|
|
|
R.R. Donnelley & Sons Co., senior bond, 6.00%, 4/01/24 | United States | 1,615,000 |
|
| 1,619,708 |
United Rentals North America Inc., senior bond, 4.00%, 7/15/30 | United States | 715,000 |
|
| 696,160 |
fVericast Corp., 144A, |
|
|
|
|
|
senior note, 9.25%, 3/01/21 | United States | 12,338,500 |
|
| 12,369,346 |
senior secured note, 8.375%, 8/15/22 | United States | 2,275,000 |
|
| 1,927,352 |
|
|
|
|
|
|
|
|
|
|
| 16,612,566 |
Communications Equipment 0.0%† |
|
|
|
|
|
|
|
|
|
| |
fRiverbed Technology Inc., senior note, 144A, 8.875%, 3/01/23 | United States | 343,000 |
|
| 234,098 |
fVF Ukraine PAT via VFU Funding PLC, loan participation, sub. |
|
|
|
|
|
senior note, 144A, 6.20%, 2/11/25 | Ukraine | 200,000 |
|
| 200,408 |
|
|
|
|
|
|
|
|
|
|
| 434,506 |
|
|
|
|
|
|
15
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
|
| Principal |
|
|
|
| Country | Amount* |
|
| Value |
Corporate Bonds and Notes (continued) |
|
|
|
|
|
Construction & Engineering 0.0%† |
|
|
|
|
|
lGMR Hyderabad International Airport Ltd., senior secured note, |
|
|
|
|
|
Reg S, 5.375%, 4/10/24 | India | 200,000 | $ | 209,389 | |
Consumer Finance 0.1% |
|
|
|
|
|
|
|
|
|
| |
American Express Co., senior note, |
|
|
|
|
|
3.00%, 2/22/21 | United States | 165,000 |
|
| 167,109 |
jFRN, 2.341%, (3-Month USD LIBOR + 0.60%), 11/05/21 | United States | 260,000 |
|
| 261,815 |
jCapital One Bank USA NA, senior note, FRN, 2.014%, (SOFR + |
|
|
|
|
|
0.62%), 1/27/23 | United States | 405,000 |
|
| 408,331 |
PACCAR Financial Corp., senior note, 2.65%, 5/10/22 | United States | 420,000 |
|
| 432,961 |
fShriram Transport Finance Co. Ltd., senior secured note, 144A, |
|
|
|
|
|
5.10%, 7/16/23 | India | 200,000 |
|
| 201,546 |
|
|
|
|
|
|
|
|
|
|
| 1,471,762 |
Distributors 0.1% |
|
|
|
|
|
|
|
|
|
| |
f,nAmerican News Co. LLC, senior note, 144A, PIK, 8.50%, 9/01/26 | United States | 719,260 |
|
| 756,929 |
Diversified Financial Services 0.5% |
|
|
|
|
|
f,j,kBanco Supervielle SA, senior note, 144A, FRN, 38.708%, (ARS |
|
|
|
|
|
BADLAR + 4.50%), 8/09/20 | Argentina | 1,900,000 | ARS | 21,405 | |
Citizens Bank NA, senior note, 3.25%, 2/14/22 | United States | 390,000 |
|
| 402,386 |
fFinanciera de Desarrollo Territorial SA Findeter, senior bond, |
|
|
|
|
|
144A, 7.875%, 8/12/24 | Colombia | 795,000,000 | COP | 240,739 | |
fLadder Capital Finance Holdings LLLP / Ladder Capital Finance |
|
|
|
|
|
Corp., senior note, 144A, 4.25%, 2/01/27 | United States | 155,000 |
|
| 147,444 |
lMDC-GMTN BV, senior bond, Reg S, 4.50%, 11/07/28 | United Arab Emirates | 261,000 |
|
| 302,677 |
fMitsubishi UFJ Lease & Finance Co. Ltd., senior note, 144A, |
|
|
|
|
|
3.406%, 2/28/22 | Japan | 320,000 |
|
| 329,511 |
fOne Call Corp., senior secured note, first lien, 144A, 7.50%, |
|
|
|
|
|
7/01/24 | United States | 4,092,583 |
|
| 4,031,194 |
fRefinitiv U.S. Holdings Inc., senior note, 144A, 8.25%, 11/15/26 | United States | 794,000 |
|
| 875,663 |
fUSAA Capital Corp., senior note, 144A, 2.625%, 6/01/21 | United States | 180,000 |
|
| 183,251 |
|
|
|
|
| 6,534,270 |
Diversified Telecommunication Services 0.6% |
|
|
|
|
|
|
|
|
|
| |
AT&T Inc., senior note, |
|
|
|
|
|
3.80%, 3/15/22 | United States | 530,000 |
|
| 554,488 |
jFRN, 2.33%, (3-Month USD LIBOR + 0.75%), 6/01/21 | United States | 155,000 |
|
| 155,737 |
fCincinnati Bell Inc., senior note, 144A, 8.00%, 10/15/25 | United States | 1,567,000 |
|
| 1,688,121 |
Frontier Communications Corp., |
|
|
|
|
|
senior bond, 7.125%, 1/15/23 | United States | 132,000 |
|
| 61,380 |
senior bond, 7.625%, 4/15/24 | United States | 84,000 |
|
| 40,110 |
senior bond, 6.875%, 1/15/25 | United States | 33,000 |
|
| 15,854 |
senior bond, 9.00%, 8/15/31 | United States | 361,000 |
|
| 174,982 |
fsenior secured note, 144A, 8.00%, 4/01/27 | United States | 752,000 |
|
| 781,591 |
fIntelsat Jackson Holdings SA, senior secured note, 144A, |
|
|
|
|
|
9.50%, 9/30/22 | Luxembourg | 2,663,000 |
|
| 3,023,336 |
8.00%, 2/15/24 | Luxembourg | 214,000 |
|
| 219,796 |
fKenbourne Invest SA, senior note, 144A, 6.875%, 11/26/24 | Chile | 200,000 |
|
| 204,750 |
|
|
|
|
| 6,920,145 |
Electric Utilities 0.3% |
|
|
|
|
|
|
|
|
|
| |
fAdani Electricity Mumbai Ltd., senior secured bond, 144A, |
|
|
|
|
|
3.949%, 2/12/30 | India | 200,000 |
|
| 201,699 |
fCentrais Eletricas Brasileiras SA, senior bond, 144A, 4.625%, |
|
|
|
|
|
2/04/30 | Brazil | 200,000 |
|
| 202,900 |
fEnel SpA, sub. bond, 144A, 8.75% to 9/24/23, FRN thereafter, |
|
|
|
|
|
9/24/73 | Italy | 200,000 |
|
| 233,020 |
lEskom Holdings SOC Ltd., senior bond, Reg S, |
|
|
|
|
|
5.75%, 1/26/21 | South Africa | 917,000 |
|
| 919,579 |
16
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
|
| Principal |
|
|
|
| Country | Amount* |
|
| Value |
Corporate Bonds and Notes (continued) |
|
|
|
|
|
Electric Utilities (continued) |
|
|
|
|
|
lEskom Holdings SOC Ltd., senior bond, Reg S, (continued) |
|
|
|
|
|
8.45%, 8/10/28 | South Africa | 1,244,000 | $ | 1,319,541 | |
jFlorida Power & Light Co., senior note, FRN, 2.137%, (3-Month |
|
|
|
|
|
USD LIBOR + 0.40%), 5/06/22 | United States | 415,000 |
|
| 414,563 |
fVistra Operations Co. LLC, senior secured note, 144A, 3.70%, |
|
|
|
|
|
1/30/27 | United States | 655,000 |
|
| 665,412 |
|
|
|
|
|
|
|
|
|
|
| 3,956,714 |
Energy Equipment & Services 0.1% |
|
|
|
|
|
|
|
|
|
| |
fTransocean Inc., senior note, 144A, 7.50%, 1/15/26 | United States | 918,000 |
|
| 731,942 |
fVantage Drilling International, senior secured note, 144A, 9.25%, |
|
|
|
|
|
11/15/23 | United States | 655,000 |
|
| 582,678 |
|
|
|
|
|
|
|
|
|
|
| 1,314,620 |
Entertainment 0.1% |
|
|
|
|
|
|
|
|
|
| |
jThe Walt Disney Co., senior note, FRN, 1.97%, (3-Month USD |
|
|
|
|
|
LIBOR + 0.39%), 9/01/22 | United States | 800,000 |
|
| 804,369 |
Equity Real Estate Investment Trusts (REITs) 0.2% |
|
|
|
|
|
|
|
|
|
| |
fNeiman Marcus Group Ltd. LLC / Neiman Marcus Group LLC / |
|
|
|
|
|
Mariposa Borrower, secured note, 144A, 8.00%, 10/25/24 | United States | 718,000 |
|
| 211,810 |
fUniti Group LP / Uniti Fiber Holdings Inc. / CSL Capital LLC, |
|
|
|
|
|
senior secured note, 144A, 7.875%, 2/15/25 | United States | 204,000 |
|
| 210,793 |
eUniti Group LP / Uniti Group Finance Inc. / CSL Capital LLC, |
|
|
|
|
|
senior note, 8.25%, 10/15/23 | United States | 1,181,000 |
|
| 1,101,282 |
fVICI Properties LP / VICI Note Co. Inc., senior note, 144A, |
|
|
|
|
|
3.50%, 2/15/25 | United States | 279,000 |
|
| 279,956 |
|
|
|
|
|
|
|
|
|
|
| 1,803,841 |
Food & Staples Retailing 0.1% |
|
|
|
|
|
|
|
|
|
| |
lCasino Guichard Perrachon SA, Reg S, |
|
|
|
|
|
i,jjunior sub. bond, E, FRN, 3.992%, (EUR 5 Year Swap + |
|
|
|
|
|
3.82%), Perpetual | France | 500,000 | EUR | 287,303 | |
senior bond, E, 4.048%, 8/05/26 | France | 100,000 | EUR | 86,219 | |
fNBM US Holdings Inc., senior note, 144A, 7.00%, 5/14/26 | Brazil | 325,000 |
|
| 340,396 |
Unilever Capital Corp., senior note, 3.00%, 3/07/22 | United Kingdom | 380,000 |
|
| 393,127 |
|
|
|
|
|
|
|
|
|
|
| 1,107,045 |
Food Products 0.2% |
|
|
|
|
|
|
|
|
|
| |
jCampbell Soup Co., senior note, FRN, 2.394%, (3-Month USD |
|
|
|
|
|
LIBOR + 0.50%), 3/16/20 | United States | 235,000 |
|
| 235,040 |
fJBS USA LLC / Finance Inc., senior bond, 144A, 5.75%, 6/15/25 | United States | 1,078,000 |
|
| 1,106,745 |
fJBS USA LUX SA / JBS USA Food Co. / JBS USA Finance Inc., |
|
|
|
|
|
senior bond, 144A, 5.50%, 1/15/30 | United States | 160,000 |
|
| 169,146 |
Kraft Heinz Foods Co., senior bond, |
|
|
|
|
|
5.00%, 6/04/42 | United States | 45,000 |
|
| 45,258 |
4.375%, 6/01/46 | United States | 95,000 |
|
| 87,894 |
f144A, 4.875%, 10/01/49 | United States | 150,000 |
|
| 147,259 |
|
|
|
|
| 1,791,342 |
Health Care Providers & Services 0.1% |
|
|
|
|
|
|
|
|
|
| |
Cigna Corp., senior note, 3.40%, 9/17/21 | United States | 380,000 |
|
| 389,961 |
CVS Health Corp., senior note, |
|
|
|
|
|
2.80%, 7/20/20 | United States | 390,000 |
|
| 391,155 |
2.125%, 6/01/21 | United States | 400,000 |
|
| 402,362 |
fRede D'or Finance Sarl, senior bond, 144A, 4.50%, 1/22/30 | Brazil | 400,000 |
|
| 391,100 |
|
|
|
|
| 1,574,578 |
Hotels, Restaurants & Leisure 0.1% |
|
|
|
|
|
|
|
|
|
| |
f1011778 BC ULC/New Red Finance Inc., secured note, 144A, |
|
|
|
|
|
4.375%, 1/15/28 | Canada | 310,000 |
|
| 309,024 |
fBoyd Gaming Corp., senior note, 144A, 4.75%, 12/01/27 | United States | 235,000 |
|
| 233,014 |
Marriott International Inc., senior note, 2.125%, 10/03/22 | United States | 200,000 |
|
| 201,140 |
17
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
|
| Principal |
|
|
| Country | Amount* |
| Value |
Corporate Bonds and Notes (continued) |
|
|
|
|
Hotels, Restaurants & Leisure (continued) |
|
|
|
|
fScientific Games International Inc., senior secured note, 144A, |
|
|
|
|
5.00%, 10/15/25 | United States | 539,000 | $ | 542,032 |
|
|
|
|
|
|
|
|
| 1,285,210 |
Household Durables 0.1% |
|
|
|
|
|
|
|
| |
fK. Hovnanian Enterprises Inc., senior secured note, 144A, |
|
|
|
|
10.00%, 11/15/25 | United States | 703,000 |
| 514,948 |
Industrial Conglomerates 0.1% |
|
|
|
|
|
|
|
| |
Honeywell International Inc., |
|
|
|
|
jsenior note, FRN, 2.104%, (3-Month USD LIBOR + 0.37%), |
|
|
|
|
8/08/22 | United States | 415,000 |
| 417,371 |
senior note, 2.15%, 8/08/22 | United States | 415,000 |
| 424,564 |
|
|
|
|
|
|
|
|
| 841,935 |
Insurance 0.3% |
|
|
|
|
|
|
|
| |
AEGON Funding Co. LLC, senior bond, 5.75%, 12/15/20 | Netherlands | 220,000 |
| 227,048 |
f,jAIA Group Ltd., senior note, 144A, FRN, 2.428%, (3-Month USD |
|
|
|
|
LIBOR + 0.52%), 9/20/21 | Hong Kong | 200,000 |
| 200,243 |
fAIG Global Funding, secured note, 144A, 2.30%, 7/01/22 | United States | 220,000 |
| 222,827 |
e,jGenworth Holdings Inc., senior bond, FRN, 3.694%, (3-Month |
|
|
|
|
USD LIBOR + 2.00%), 11/15/36 | United States | 1,623,000 |
| 963,145 |
fJackson National Life Global Funding, secured note, 144A, |
|
|
|
|
3.30%, 2/01/22 | United States | 375,000 |
| 387,756 |
Marsh & McLennan Cos. Inc., senior note, 3.50%, 12/29/20 | United States | 185,000 |
| 187,797 |
fMetropolitan Life Global Funding I, secured note, 144A, |
|
|
|
|
3.375%, 1/11/22 | United States | 210,000 |
| 217,624 |
2.40%, 6/17/22 | United States | 290,000 |
| 297,714 |
jFRN, 2.146%, (SOFR + 0.57%), 1/13/23 | United States | 335,000 |
| 335,981 |
fNew York Life Global Funding, 144A, |
|
|
|
|
secured note, 2.95%, 1/28/21 | United States | 230,000 |
| 233,097 |
jsecured note, FRN, 2.057%, (3-Month USD LIBOR + 0.32%), |
|
|
|
|
8/06/21 | United States | 380,000 |
| 381,552 |
jsenior secured note, FRN, 2.099%, (3-Month USD LIBOR + |
|
|
|
|
0.28%), 1/21/22 | United States | 155,000 |
| 155,555 |
fReliance Standard Life Global Funding II, secured note, 144A, |
|
|
|
|
2.15%, 1/21/23 | United States | 200,000 |
| 203,809 |
|
|
|
|
|
|
|
|
| 4,014,148 |
IT Services 0.1% |
|
|
|
|
|
|
|
| |
International Business Machines Corp., senior note, 2.50%, |
|
|
|
|
1/27/22 | United States | 785,000 |
| 802,978 |
Machinery 0.1% |
|
|
|
|
|
|
|
| |
Caterpillar Financial Services Corp., senior note, |
|
|
|
|
3.15%, 9/07/21 | United States | 265,000 |
| 272,310 |
1.95%, 11/18/22 | United States | 585,000 |
| 593,132 |
John Deere Capital Corp., senior note, 3.125%, 9/10/21 | United States | 750,000 |
| 770,869 |
|
|
|
|
|
|
|
|
| 1,636,311 |
Media 0.0%† |
|
|
|
|
|
|
|
| |
fFox Corp., senior note, 144A, 3.666%, 1/25/22 | United States | 230,000 |
| 239,558 |
fiHeartCommunications Inc., senior secured note, 144A, 4.75%, |
|
|
|
|
1/15/28 | United States | 175,000 |
| 174,449 |
fOutfront Media Capital LLC / Outfront Media Capital Corp., senior |
|
|
|
|
bond, 144A, 4.625%, 3/15/30 | United States | 65,000 |
| 65,301 |
|
|
|
|
|
|
|
|
| 479,308 |
Metals & Mining 0.1% |
|
|
|
|
|
|
|
| |
fCSN Islands XI Corp., senior note, 144A, 6.75%, 1/28/28 | Brazil | 414,000 |
| 375,808 |
fFirst Quantum Minerals Ltd., senior note, 144A, 6.875%, 3/01/26 | Zambia | 200,000 |
| 187,630 |
fMinera Mexico SA de CV, senior bond, 144A, 4.50%, 1/26/50 | Mexico | 220,000 |
| 222,544 |
18
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
|
| Principal |
|
|
|
| Country | Amount* |
|
| Value |
Corporate Bonds and Notes (continued) |
|
|
|
|
|
Metals & Mining (continued) |
|
|
|
|
|
e,fPOSCO, senior note, 144A, 2.375%, 11/12/22 | South Korea | 415,000 | $ | 419,934 | |
|
|
|
|
| 1,205,916 |
Oil, Gas & Consumable Fuels 0.6% |
|
|
|
|
|
|
|
|
|
| |
fAKER BP ASA, senior bond, 144A, 3.75%, 1/15/30 | Norway | 200,000 |
|
| 203,870 |
fBruin E&P Partners LLC, senior note, 144A, 8.875%, 8/01/23 | United States | 590,000 |
|
| 314,420 |
fCalifornia Resources Corp., secured note, second lien, 144A, |
|
|
|
|
|
8.00%, 12/15/22 | United States | 785,000 |
|
| 182,512 |
fCheniere Corpus Christi Holdings LLC, senior secured bond, |
|
|
|
|
|
144A, 3.70%, 11/15/29 | United States | 335,000 |
|
| 336,000 |
i,jEnergy Transfer Operating LP, F, junior sub. bond, FRN, 6.75%, |
|
|
|
|
|
(US 5 Year CMT T-Note + 5.13%), Perpetual | United States | 540,000 |
|
| 535,950 |
e,jExxon Mobil Corp., senior note, FRN, 2.022%, (3-Month USD |
|
|
|
|
|
LIBOR + 0.33%), 8/16/22 | United States | 405,000 |
|
| 406,576 |
fLonestar Resources America Inc., senior note, 144A, 11.25%, |
|
|
|
|
|
1/01/23 | United States | 95,000 |
|
| 62,463 |
fMoss Creek Resources Holdings Inc., senior note, 144A, |
|
|
|
|
|
7.50%, 1/15/26 | United States | 14,000 |
|
| 8,440 |
10.50%, 5/15/27 | United States | 813,000 |
|
| 549,058 |
Petrobras Global Finance BV, |
|
|
|
|
|
senior bond, 6.90%, 3/19/49 | Brazil | 1,146,000 |
|
| 1,374,369 |
senior note, 8.75%, 5/23/26 | Brazil | 1,055,000 |
|
| 1,354,989 |
fPetroleos Mexicanos, senior bond, 144A, |
|
|
|
|
|
5.95%, 1/28/31 | Mexico | 359,000 |
|
| 351,820 |
6.95%, 1/28/60 | Mexico | 415,000 |
|
| 399,956 |
fSinopec Group Overseas Development 2018 Ltd., senior note, |
|
|
|
|
|
144A, 2.50%, 11/12/24 | China | 415,000 |
|
| 426,258 |
Whiting Petroleum Corp., senior note, 6.625%, 1/15/26 | United States | 505,000 |
|
| 185,600 |
fYPF Sociedad Anonima, 144A, |
|
|
|
|
|
senior bond, 6.95%, 7/21/27 | Argentina | 105,000 |
|
| 84,300 |
jsenior note, FRN, 44.438%, (ARS BADLAR + 4.00%), 7/07/20 | Argentina | 245,000 |
|
| 42,982 |
|
|
|
|
| 6,819,563 |
Paper & Forest Products 0.0%† |
|
|
|
|
|
|
|
|
|
| |
Paper Industries Financing SARL, senior note, 0.25%, 2/04/28 | Luxembourg | 48,210 |
|
| 66,527 |
Paper Industries Intermediate Financing SARL, senior secured |
|
|
|
|
|
note, 6.00%, 3/01/25 | Luxembourg | 76,000 |
|
| 75,671 |
|
|
|
|
|
|
|
|
|
|
| 142,198 |
Pharmaceuticals 0.2% |
|
|
|
|
|
|
|
|
|
| |
fBristol-Myers Squibb Co., senior note, 144A, 2.60%, 5/16/22 | United States | 410,000 |
|
| 420,733 |
Pfizer Inc., senior note, 3.00%, 9/15/21 | United States | 755,000 |
|
| 774,884 |
fTeva Pharmaceutical Finance Netherlands II BV, senior note, |
|
|
|
|
|
144A, 6.00%, 1/31/25 | Israel | 155,000 | EUR | 179,023 | |
Teva Pharmaceutical Finance Netherlands III BV, |
|
|
|
|
|
senior bond, 3.15%, 10/01/26 | Israel | 220,000 |
|
| 192,439 |
senior bond, 4.10%, 10/01/46 | Israel | 1,145,000 |
|
| 893,215 |
fsenior note, 144A, 7.125%, 1/31/25 | Israel | 200,000 |
|
| 211,917 |
|
|
|
|
| 2,672,211 |
Real Estate Management & Development 0.1% |
|
|
|
|
|
|
|
|
|
| |
lEasy Tactic Ltd., senior secured note, Reg S, 8.125%, 2/27/23 | China | 200,000 |
|
| 197,882 |
fKaisa Group Holdings Ltd., senior secured note, 144A, 11.95%, |
|
|
|
|
|
10/22/22 | China | 345,000 |
|
| 369,799 |
lSunac China Holdings Ltd., senior secured note, Reg S, 7.25%, |
|
|
|
|
|
6/14/22 | China | 200,000 |
|
| 205,327 |
|
|
|
|
|
|
|
|
|
|
| 773,008 |
|
|
|
|
|
|
19
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
|
| Principal |
|
|
| Country | Amount* |
| Value |
Corporate Bonds and Notes (continued) |
|
|
|
|
Road & Rail 0.1% |
|
|
|
|
fPenske Truck Leasing Co. LP / PTL Finance Corp., senior note, |
|
|
|
|
144A, 3.65%, 7/29/21 | United States | 285,000 | $ | 292,841 |
fUber Technologies Inc., senior note, 144A, |
|
|
|
|
8.00%, 11/01/26 | United States | 355,000 |
| 370,151 |
7.50%, 9/15/27 | United States | 255,000 |
| 266,481 |
Union Pacific Corp., senior note, 2.95%, 3/01/22 | United States | 230,000 |
| 236,164 |
|
|
|
|
|
|
|
|
| 1,165,637 |
Semiconductors & Semiconductor Equipment 0.0%† |
|
|
|
|
|
|
|
| |
fBroadcom Inc., senior bond, 144A, 4.75%, 4/15/29 | United States | 385,000 |
| 428,521 |
Software 0.0%† |
|
|
|
|
Adobe Inc., senior note, 1.70%, 2/01/23 | United States | 325,000 |
| 329,545 |
Specialty Retail 0.3% |
|
|
|
|
|
|
|
| |
Bed Bath & Beyond Inc., senior bond, 5.165%, 8/01/44 | United States | 177,000 |
| 122,264 |
fCarvana Co., senior note, 144A, 8.875%, 10/01/23 | United States | 708,000 |
| 734,557 |
jThe Home Depot Inc., senior note, FRN, 1.89%, (3-Month USD |
|
|
|
|
LIBOR + 0.31%), 3/01/22 | United States | 310,000 |
| 311,073 |
L Brands Inc., senior bond, 6.875%, 11/01/35 | United States | 1,024,000 |
| 1,041,178 |
fStaples Inc., senior secured note, 144A, 7.50%, 4/15/26 | United States | 1,340,000 |
| 1,333,734 |
|
|
|
| 3,542,806 |
Technology Hardware, Storage & Peripherals 0.1% |
|
|
|
|
|
|
|
| |
Apple Inc., senior note, 1.70%, 9/11/22 | United States | 530,000 |
| 536,810 |
jHewlett Packard Enterprise Co., senior note, FRN, 2.567%, (3- |
|
|
|
|
Month USD LIBOR + 0.68%), 3/12/21 | United States | 415,000 |
| 416,703 |
|
|
|
|
|
|
|
|
| 953,513 |
Tobacco 0.0%† |
|
|
|
|
|
|
|
| |
Pyxus International Inc., senior note, 9.875%, 7/15/21 | United States | 170,000 |
| 65,450 |
Trading Companies & Distributors 0.0%† |
|
|
|
|
|
|
|
| |
Aircastle Ltd., senior note, 4.25%, 6/15/26 | United States | 310,000 |
| 333,296 |
Wireless Telecommunication Services 0.0%† |
|
|
|
|
|
|
|
| |
lBharti Airtel Ltd., senior note, Reg S, 4.375%, 6/10/25 | India | 200,000 |
| 214,385 |
Total Corporate Bonds and Notes (Cost $91,631,748) |
|
|
| 90,880,242 |
Corporate Bonds and Notes in Reorganization 0.5% |
|
|
|
|
|
|
|
| |
Electric Utilities 0.4% |
|
|
|
|
oPacific Gas & Electric Co., |
|
|
|
|
senior bond, 5.80%, 3/01/37 | United States | 1,191,000 |
| 1,360,836 |
senior bond, 5.40%, 1/15/40 | United States | 597,000 |
| 680,640 |
senior bond, 4.45%, 4/15/42 | United States | 1,108,000 |
| 1,199,759 |
bsenior bond, 4.75%, 2/15/44 | United States | 1,250,000 |
| 1,415,500 |
esenior note, 3.30%, 12/01/27 | United States | 2,000 |
| 2,070 |
|
|
|
| 4,658,805 |
Media 0.1% |
|
|
|
|
|
|
|
| |
oThe McClatchy Co., senior secured note, 9.00%, 7/15/26 | United States | 1,432,000 |
| 1,349,621 |
Oil, Gas & Consumable Fuels 0.0%† |
|
|
|
|
d,oBellatrix Exploration Ltd., secured note, |
|
|
|
|
8.50%, 9/11/23 | Canada | 141,000 |
| 84,600 |
12.50%, 12/15/23 | Canada | 154,000 |
| — |
|
|
|
|
|
|
|
|
| 84,600 |
Total Corporate Bonds and Notes in Reorganization |
|
|
|
|
|
|
|
| |
(Cost $5,348,060) |
|
|
| 6,093,026 |
|
|
|
|
|
20
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
|
| Principal |
|
|
|
| Country | Amount* |
|
| Value |
jSenior Floating Rate Interests 0.1% |
|
|
|
|
|
Building Products 0.0%† |
|
|
|
|
|
Jeld-Wen Inc., Term Loan B, 3.945%, (3-Month USD LIBOR + |
|
|
|
|
|
2.00%), 12/14/24 | United States | 167,603 | $ | 167,464 | |
Diversified Financial Services 0.0%† |
|
|
|
|
|
|
|
|
|
| |
Ziggo BV, Term Loan H, 3.00%, (3-Month EURIBOR + 3.00%), |
|
|
|
|
|
1/31/29 | United States | 115,000 |
|
| 124,415 |
Equity Real Estate Investment Trusts (REITs) 0.0%† |
|
|
|
|
|
|
|
|
|
| |
Iron Mountain Inc., Term Loan B, 3.353%, (1-Month USD LIBOR |
|
|
|
|
|
+ 1.75%), 1/02/26 | United States | 216,150 |
|
| 211,422 |
Household Products 0.0%† |
|
|
|
|
|
|
|
|
|
| |
Reynolds Consumer Products Inc., Term Loan B, 3.501%, (1- |
|
|
|
|
|
Month USD LIBOR + 1.75%), 2/04/27 | United States | 50,000 |
|
| 49,555 |
Media 0.0%† |
|
|
|
|
|
|
|
|
|
| |
Lamar Media Corp., Term Loan B, 3.166%, (1-Month USD LIBOR |
|
|
|
|
|
+ 1.50%), 2/05/27 | United States | 51,036 |
|
| 51,061 |
Oil, Gas & Consumable Fuels 0.1% |
|
|
|
|
|
|
|
|
|
| |
California Resources Corp., Initial Term Loan, 6.363%, (1-Month |
|
|
|
|
|
USD LIBOR + 4.75%), 12/31/22 | United States | 873,000 |
|
| 773,332 |
Gavilan Resources LLC, Initial Term Loan, second lien, 7.603%, |
|
|
|
|
|
(1-Month USD LIBOR + 6.00%), 3/01/24 | United States | 200,000 |
|
| 71,000 |
|
|
|
|
|
|
|
|
|
|
| 844,332 |
Road & Rail 0.0%† |
|
|
|
|
|
|
|
|
|
| |
Uber Technologies Inc., Term Loan, 5.103%, (1-Month USD |
|
|
|
|
|
LIBOR + 3.50%), 7/13/23 | United States | 170,525 |
|
| 169,353 |
Total Senior Floating Rate Interests (Cost $1,819,332) |
|
|
|
|
|
|
|
|
| 1,617,602 | |
Credit-Linked Notes 0.2% |
|
|
|
|
|
|
|
|
|
| |
fICBC Standard Bank PLC, (Ukraine), 144A, 15.36%, 10/01/21 | Ukraine | 21,939,000 | UAH | 940,351 | |
fJPMorgan Chase Bank NA, senior note, (Egypt Treasury Bill), 144A, |
|
|
|
|
|
16.00%, 6/13/22 | Egypt | 7,267,000 | EGP | 480,402 | |
13.536%, 1/16/25 | Egypt | 6,458,000 | EGP | 407,111 | |
14.35%, 9/12/24 | Egypt | 14,270,000 | EGP | 917,180 | |
Total Credit-Linked Notes (Cost $2,657,462) |
|
|
|
|
|
|
|
|
| 2,745,044 | |
Foreign Government and Agency Securities 1.8% |
|
|
|
|
|
|
|
|
|
| |
jThe Export-Import Bank of Korea, senior note, FRN, 2.472%, (3- |
|
|
|
|
|
Month USD LIBOR + 0.53%), 6/25/22 | South Korea | 215,000 |
|
| 216,118 |
fGovernment of Angola, senior bond, 144A, 8.00%, 11/26/29 | Angola | 328,000 |
|
| 329,532 |
j,kGovernment of Argentina, senior note, FRN, 70.941%, |
|
|
|
|
|
(ARLLMONP), 6/21/20 | Argentina | 2,275,000 | ARS | 17,701 | |
lGovernment of Bahrain, senior bond, Reg S, 7.00%, 1/26/26 | Bahrain | 467,000 |
|
| 540,262 |
Government of Colombia, senior bond, 5.20%, 5/15/49 | Colombia | 238,000 |
|
| 300,103 |
fGovernment of Egypt, senior bond, 144A, |
|
|
|
|
|
7.053%, 1/15/32 | Egypt | 293,000 |
|
| 298,713 |
8.15%, 11/20/59 | Egypt | 215,000 |
|
| 218,751 |
Government of Italy, senior note, 2.375%, 10/17/24 | Italy | 350,000 |
|
| 353,121 |
21
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
| Principal |
|
Country | Amount* | Value |
Foreign Government and Agency Securities (continued)
lGovernment of Nigeria, senior note, Reg S, 7.625%, 11/21/25 | Nigeria | 363,000 | $ | 398,604 | |
lGovernment of Paraguay, senior bond, Reg S, 4.625%, 1/25/23 | Paraguay | 1,736,000 |
|
| 1,843,068 |
Government of Russia, |
|
|
|
|
|
senior bond, 7.25%, 5/10/34 | Russia | 426,293,000 | RUB | 6,770,601 | |
senior note, 7.40%, 7/17/24 | Russia | 154,594,000 | RUB | 2,436,332 | |
fGovernment of Saudi Arabia, senior bond, 144A, |
|
|
|
|
|
2.75%, 2/03/32 | Saudi Arabia | 910,000 |
|
| 907,725 |
3.75%, 1/21/55 | Saudi Arabia | 354,000 |
|
| 359,752 |
Government of South Africa, R186, senior bond, 10.50%, |
|
|
|
|
|
12/21/26 | South Africa | 49,358,806 | ZAR | 3,539,596 | |
Government of Turkey, senior note, 6.35%, 8/10/24 | Turkey | 788,000 |
|
| 809,957 |
Government of Ukraine, senior bond, |
|
|
|
|
|
f144A, 4.375%, 1/27/30 | Ukraine | 453,000 |
|
| 473,533 |
lReg S, 7.375%, 9/25/32 | Ukraine | 820,000 |
|
| 881,306 |
j,lReg S, FRN, zero cpn., 5/31/40 | Ukraine | 924,000 |
|
| 916,012 |
j,kProvincia de Buenos Aires, FRN, |
|
|
|
|
|
lReg S, 53.398%, (ARS BADLAR + 3.75%), 4/12/25 | Argentina | 3,670,000 | ARS | 23,608 | |
42.501%, (ARS BADLAR + 3.83%), 5/31/22 | Argentina | 18,295,000 | ARS | 104,284 | |
lZAR Sovereign Capital Fund Property Ltd., senior note, Reg S, |
|
|
|
|
|
3.903%, 6/24/20 | South Africa | 573,000 |
|
| 574,941 |
Total Foreign Government and Agency Securities |
|
|
|
|
|
|
|
|
|
| |
(Cost $23,643,967) |
|
|
|
| 22,313,620 |
Asset-Backed Securities and Commercial Mortgage-Backed |
|
|
|
|
|
|
|
|
|
| |
Securities 6.0% |
|
|
|
|
|
Airlines 0.0%† |
|
|
|
|
|
Latam Airlines Pass Through Trust, 2015-1, B, secured note, |
|
|
|
|
|
4.50%, 8/15/25 | Chile | 474,871 |
|
| 477,780 |
Banks 0.0%† |
|
|
|
|
|
|
|
|
|
| |
f,p,kBanco Hipotecario SA, senior note, 144A, FRN, 35.063%, (ARS |
|
|
|
|
|
BADLAR + 4.00%), 11/07/22 | Argentina | 3,160,000 | ARS | 36,320 | |
Consumer Finance 0.2% |
|
|
|
|
|
|
|
|
|
| |
American Express Credit Account Master Trust, 2019-1, A, |
|
|
|
|
|
2.87%, 10/15/24 | United States | 115,000 |
|
| 118,978 |
Capital One Multi-Asset Execution Trust, 2019-A1, A1, 2.84%, |
|
|
|
|
|
12/15/24 | United States | 165,000 |
|
| 170,077 |
Citibank Credit Card Issuance Trust, 2017-A8, A8, 1.86%, |
|
|
|
|
|
8/08/22 | United States | 425,000 |
|
| 425,804 |
Discover Card Execution Note Trust, |
|
|
|
|
|
p2018-A3, A3, FRN, 1.889%, (1-Month USD LIBOR + 0.23%), |
|
|
|
|
|
12/15/23 | United States | 345,000 |
|
| 345,655 |
2019-A1, A1, 3.04%, 7/15/24 | United States | 155,000 |
|
| 160,321 |
f,pOHA Loan Funding Ltd., 2020-1A, CR, 144A, FRN, 3.683%, (3- |
|
|
|
|
|
Month USD LIBOR + 1.95%), 1/20/33 | United States | 390,000 |
|
| 386,738 |
World Financial Network Credit Card Master Trust, 2019-C, M, |
|
|
|
|
|
2.71%, 7/15/26 | United States | 415,000 |
|
| 422,414 |
|
|
|
|
|
|
|
|
|
|
| 2,029,987 |
Diversified Financial Services 4.4% |
|
|
|
|
|
|
|
|
|
| |
fAccelerated Assets LLC, 2018-1, B, 144A, 4.51%, 12/02/33 | United States | 70,322 |
|
| 73,315 |
fAdams Outdoor Advertising LP, 2018-1, A, 144A, 4.81%, |
|
|
|
|
|
11/15/48 | United States | 186,092 |
|
| 198,474 |
f,m,pAGL CLO 3 Ltd., 2020-3A, C, 144A, FRN, 4.19%, (3-Month USD |
|
|
|
|
|
LIBOR + 2.15%), 1/15/33 | United States | 285,000 |
|
| 285,000 |
fAIM Aviation Finance Ltd., 2015-1A, B1, 144A, 5.072%, 2/15/40 | United States | 180,131 |
|
| 179,445 |
22
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
|
| Principal |
|
|
| Country | Amount* |
| Value |
Asset-Backed Securities and Commercial Mortgage-Backed |
|
|
|
|
Securities (continued) |
|
|
|
|
Diversified Financial Services (continued) |
|
|
|
|
f,pAllegro CLO VI Ltd., 2018-2A, D, 144A, FRN, 4.586%, (3-Month |
|
|
|
|
USD LIBOR + 2.75%), 1/17/31 | United States | 250,000 | $ | 238,450 |
Ally Auto Receivables Trust, 2019-4, A3, 1.84%, 6/17/24 | United States | 390,000 |
| 394,184 |
Alternative Loan Trust, 2006-6CB, 2A11, 5.50%, 5/25/36 | United States | 337,957 |
| 219,107 |
AmeriCredit Automobile Receivables Trust, |
|
|
|
|
2018-2, D, 4.01%, 7/18/24 | United States | 155,000 |
| 164,277 |
p2018-3, A2B, FRN, 1.908%, (1-Month USD LIBOR + 0.25%), |
|
|
|
|
1/18/22 | United States | 56,448 |
| 56,450 |
2018-3, D, 4.04%, 11/18/24 | United States | 205,000 |
| 218,060 |
f,pAnchorage Capital CLO 7 Ltd., 2017-7A, DR, 144A, FRN, |
|
|
|
|
4.531%, (3-Month USD LIBOR + 2.70%), 10/15/27 | United States | 2,000,000 |
| 1,981,593 |
f,pAres XXXIV CLO Ltd., 2015-2A, E1, 144A, FRN, 8.275%, (3- |
|
|
|
|
Month USD LIBOR + 6.50%), 7/29/26 | United States | 2,020,000 |
| 2,021,424 |
pArgent Securities Inc., 2004-W3, M4, FRN, 4.247%, (1-Month |
|
|
|
|
USD LIBOR + 4.58%), 2/25/34 | United States | 258,604 |
| 262,420 |
fAscentium Equipment Receivables Trust, 2017-2A, C, 144A, |
|
|
|
|
2.87%, 8/10/22 | United States | 25,000 |
| 25,523 |
f,pAtrium XII, 2017-12A, AR, 144A, FRN, 2.632%, (3-Month USD |
|
|
|
|
LIBOR + 0.83%), 4/22/27 | United States | 250,000 |
| 250,266 |
f,q,rBANK, 2019-BN21, XF, 144A, IO, FRN, 1.052%, 10/17/52 | United States | 11,400,000 |
| 609,034 |
fBayview Opportunity Master Fund IVA Trust, 2019-RN2, A1, |
|
|
|
|
144A, 3.967%, 3/28/34 | United States | 21,880 |
| 21,953 |
qBear Stearns Alt-A Trust, 2006-3, 21A1, FRN, 3.904%, 5/25/36 | United States | 1,385,972 |
| 1,216,446 |
fBlackbird Capital Aircraft Lease Securitization Ltd., 2016-1A, A, |
|
|
|
|
144A, 4.213%, 12/16/41 | United States | 205,859 |
| 210,886 |
California Republic Auto Receivables Trust, 2018-1, D, 4.33%, |
|
|
|
|
4/15/25 | United States | 115,000 |
| 121,108 |
f,pCarlyle Global Market Strategies CLO Ltd., 2018-2A, A1R, 144A, |
|
|
|
|
FRN, 2.574%, (3-Month USD LIBOR + 0.78%), 4/27/27 | United States | 201,066 |
| 201,171 |
Carmax Auto Owner Trust, |
|
|
|
|
2018-2, D, 3.99%, 4/15/25 | United States | 100,000 |
| 104,580 |
2018-4, D, 4.15%, 4/15/25 | United States | 60,000 |
| 63,496 |
2019-1, A3, 3.05%, 3/15/24 | United States | 355,000 |
| 365,054 |
f,pCatamaran CLO 2013-1 Ltd., 2017-1A, CR, 144A, FRN, 3.594%, |
|
|
|
|
(3-Month USD LIBOR + 1.80%), 1/27/28 | United States | 250,000 |
| 249,380 |
fChesapeake Funding II LLC, 144A, |
|
|
|
|
p2017-4A, A2, FRN, 1.998%, (1-Month USD LIBOR + 0.34%), |
|
|
|
|
11/15/29 | Canada | 78,844 |
| 78,935 |
2018-1A, D, 3.92%, 4/15/30 | Canada | 115,000 |
| 119,376 |
CHL Mortgage Pass-Through Trust, |
|
|
|
|
p2003-15, 1A1, FRN, 2.127%, (1-Month USD LIBOR + 0.50%), |
|
|
|
|
6/25/42 | United States | 102,529 |
| 100,030 |
2004-4, M, 5.50%, 5/25/34 | United States | 1,540,622 |
| 1,106,849 |
q2006-HYB4, 3B, FRN, 4.29%, 6/20/36 | United States | 2,234,015 |
| 2,051,985 |
fCIG Auto Receivables Trust, 2017-1A, A, 144A, 2.71%, 5/15/23 | United States | 4,638 |
| 4,647 |
fCoinstar Funding LLC, 2017-1A, A2, 144A, 5.216%, 4/25/47 | United States | 238,263 |
| 248,256 |
fCoreVest American Finance Trust, 2019-2, B, 144A, 3.424%, |
|
|
|
|
6/15/52 | United States | 100,000 |
| 108,048 |
fCPS Auto Receivables Trust, 144A, |
|
|
|
|
2018-D, C, 3.83%, 9/15/23 | United States | 100,000 |
| 102,609 |
2019-A, D, 4.35%, 12/16/24 | United States | 100,000 |
| 105,433 |
2019-D, D, 2.72%, 9/15/25 | United States | 105,000 |
| 106,821 |
fCSMC Trust, 144A, |
|
|
|
|
2018-RPL2, A1, 4.03%, 8/25/62 | United States | 194,377 |
| 194,666 |
q2019-RP10, A1, FRN, 3.318%, 12/26/59 | United States | 164,013 |
| 166,631 |
23
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
|
| Principal |
|
|
| Country | Amount* |
| Value |
Asset-Backed Securities and Commercial Mortgage-Backed |
|
|
|
|
Securities (continued) |
|
|
|
|
Diversified Financial Services (continued) |
|
|
|
|
f,pCVP Cascade Ltd., 2017-2A, A1R, 144A, FRN, 3.019%, (3-Month |
|
|
|
|
USD LIBOR + 1.20%), 7/18/26 | United States | 107,524 | $ | 107,641 |
fDB Master Finance LLC, 2019-1A, A23, 144A, 4.352%, 5/20/49 | United States | 49,625 |
| 53,426 |
f,qDBUBS Mortgage Trust, 2017-BRBK, D, 144A, FRN, 3.53%, |
|
|
|
|
10/10/34 | United States | 100,000 |
| 105,324 |
fDomino's Pizza Master Issuer LLC, 144A, |
|
|
|
|
2017-1A, A23, 4.118%, 7/25/47 | United States | 166,175 |
| 178,332 |
2018-1A, A2II, 4.328%, 7/25/48 | United States | 78,800 |
| 85,106 |
2019-1A, A2, 3.668%, 10/25/49 | United States | 169,575 |
| 178,925 |
Drive Auto Receivables Trust, |
|
|
|
|
2018-1, D, 3.81%, 5/15/24 | United States | 220,000 |
| 224,368 |
2018-3, D, 4.30%, 9/16/24 | United States | 25,000 |
| 25,874 |
2018-5, D, 4.30%, 4/15/26 | United States | 125,000 |
| 130,267 |
fDriven Brands Funding LLC, 2018-1A, A2, 144A, 4.739%, |
|
|
|
|
4/20/48 | United States | 58,950 |
| 63,271 |
fDT Auto Owner Trust, 144A, |
|
|
|
|
2018-2A, D, 4.15%, 3/15/24 | United States | 90,000 |
| 92,837 |
2018-3A, C, 3.79%, 7/15/24 | United States | 120,000 |
| 122,801 |
fEducation Funding Trust Trust, 2020-A, A, 144A, 2.79%, 7/25/41 | United States | 216,700 |
| 220,695 |
f,pElevation CLO Ltd., 2019-4A, AR, 144A, FRN, 2.809%, (3-Month |
|
|
|
|
USD LIBOR + 0.99%), 4/18/27 | United States | 193,754 |
| 193,853 |
fFairstone Financial Issuance Trust I, 2019-1A, A, 144A, 3.948%, |
|
|
|
|
3/21/33 | Canada | 150,000 | CAD | 112,927 |
qFNMA, 2004-T5, AB7, FRN, 2.292%, 5/28/35 | United States | 378,607 |
| 359,105 |
fFirst Investors Auto Owner Trust, 2019-2A, D, 144A, 2.80%, 12/15/25 | United States | 40,000 |
| 41,189 |
fFive Guys Funding LLC, 2017-1A, A2, 144A, 4.60%, 7/25/47 | United States | 129,025 |
| 137,467 |
fFlagship Credit Auto Trust, 144A, |
|
|
|
|
2019-2, D, 3.53%, 5/15/25 | United States | 165,000 |
| 172,964 |
2019-4, D, 3.12%, 1/15/26 | United States | 90,000 |
| 93,371 |
2020-1, D, 2.48%, 3/16/26 | United States | 140,000 |
| 142,472 |
f,pGalaxy XXVI CLO Ltd., 2018-26A, E, 144A, FRN, 7.533%, (3- |
|
|
|
|
Month USD LIBOR + 5.85%), 11/22/31 | United States | 260,000 |
| 244,739 |
fGCAT LLC, 2020-1, A1, 144A, 2.981%, 1/26/60 | United States | 118,035 |
| 119,273 |
f,qGCAT Trust, 2019-RPL1, A1, 144A, FRN, 2.65%, 10/25/68 | United States | 172,205 |
| 175,122 |
fGLS Auto Receivables Trust, 144A, |
|
|
|
|
2018-3A, B, 3.78%, 8/15/23 | United States | 70,000 |
| 71,515 |
2019-2A, C, 3.54%, 2/18/25 | United States | 255,000 |
| 263,794 |
2020-1A, C, 2.72%, 11/17/25 | United States | 150,000 |
| 152,260 |
f,pGosforth Funding PLC, 2018-1A, A1, 144A, FRN, 2.129%, (3- |
|
|
|
|
Month USD LIBOR + 0.45%), 8/25/60 | United Kingdom | 118,016 |
| 118,028 |
f,pGPMT Ltd., 144A, FRN, |
|
|
|
|
2018-FL1, C, 3.779%, (1-Month USD LIBOR + 2.15%), |
|
|
|
|
11/19/35 | United States | 1,250,000 |
| 1,251,562 |
2019-FL2, D, 4.608%, (1-Month USD LIBOR + 2.95%), |
|
|
|
|
2/22/36 | United States | 1,000,000 |
| 1,005,495 |
l,pGreat Hall Mortgages No 1 PLC, 2006-1, DA, FRN, Reg S, |
|
|
|
|
1.61%, (3-Month GBP LIBOR + 0.82%), 6/18/38 | United Kingdom | 1,330,000 | GBP | 1,552,564 |
f,pGSRPM Mortgage Loan Trust, 2002-1A, M1, 144A, FRN, |
|
|
|
|
3.577%, (1-Month USD LIBOR + 1.95%), 11/25/31 | United States | 1,082,232 |
| 1,082,409 |
f,pHalcyon Loan Advisors Funding Ltd., 144A, FRN, |
|
|
|
|
2014-1A, D, 5.319%, (3-Month USD LIBOR + 3.50%), 4/18/26 | United States | 2,190,000 |
| 2,177,577 |
2017-2A, A1BR, 2.975%, (3-Month USD LIBOR + 1.18%), |
|
|
|
|
4/28/25 | United States | 46,523 |
| 46,543 |
fHertz Vehicle Financing II LP, 144A, |
|
|
|
|
2017-2A, A, 3.29%, 10/25/23 | United States | 100,000 |
| 104,130 |
2017-2A, C, 5.31%, 10/25/23 | United States | 105,000 |
| 112,189 |
24
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
|
| Principal |
|
|
| Country | Amount* |
| Value |
Asset-Backed Securities and Commercial Mortgage-Backed |
|
|
|
|
Securities (continued) |
|
|
|
|
Diversified Financial Services (continued) |
|
|
|
|
fHertz Vehicle Financing II LP, 144A, (continued) |
|
|
|
|
2018-1A, C, 4.39%, 2/25/24 | United States | 75,000 | $ | 78,775 |
Honda Auto Receivables Owner Trust, |
|
|
|
|
2017-3, A3, 1.79%, 9/20/21 | United States | 47,843 |
| 47,866 |
2019-1, A3, 2.83%, 3/20/23 | United States | 150,000 |
| 152,969 |
fHorizon Aircraft Finance I Ltd., 2018-1, A, 144A, 4.458%, |
|
|
|
|
12/15/38 | United States | 237,042 |
| 245,668 |
f,pHPLY Trust, 2019-HIT, C, 144A, FRN, 3.259%, (1-Month USD |
|
|
|
|
LIBOR + 1.60%), 11/15/36 | United States | 96,099 |
| 96,166 |
f,pJamestown CLO VII Ltd., 2017-7A, A1R, 144A, FRN, 2.624%, (3- |
|
|
|
|
Month USD LIBOR + 0.83%), 7/25/27 | United States | 203,289 |
| 203,400 |
fKestrel Aircraft Funding Ltd., 2018-1A, A, 144A, 4.25%, 12/15/38 | United States | 227,306 |
| 236,712 |
fLegacy Mortgage Asset Trust, 144A, |
|
|
|
|
2019-GS3, A1, 3.75%, 4/25/59 | United States | 117,415 |
| 119,621 |
2020-GS1, A1, 2.882%, 10/25/59 | United States | 268,942 |
| 272,339 |
f,pLoanCore Issuer Ltd., 2018-CRE1, D, 144A, FRN, 4.609%, (1- |
|
|
|
|
Month USD LIBOR + 2.95%), 5/15/28 | United States | 1,600,000 |
| 1,607,325 |
fMarlette Funding Trust, 144A, |
|
|
|
|
2019-3A, A, 2.69%, 9/17/29 | United States | 135,465 |
| 136,723 |
2019-4A, B, 2.95%, 12/17/29 | United States | 290,000 |
| 296,080 |
pMerrill Lynch Mortgage Investors Trust Series, 2007-MLN1, A2D, |
|
|
|
|
FRN, 1.947%, (1-Month USD LIBOR + 0.32%), 3/25/37 | United States | 1,136,104 |
| 1,078,637 |
qMorgan Stanley Mortgage Loan Trust, 2004-11AR, 2A, FRN, |
|
|
|
|
3.201%, 1/25/35 | United States | 454,823 |
| 443,944 |
fNavient Private Education Refi Loan Trust, 2019-FA, B, 144A, |
|
|
|
|
3.12%, 8/15/68 | United States | 210,000 |
| 219,175 |
f,pNavistar Financial Dealer Note Master Owner Trust II, 2018-1, A, |
|
|
|
|
144A, FRN, 2.257%, (1-Month USD LIBOR + 0.63%), 9/25/23 | United States | 60,000 |
| 60,123 |
f,pNeuberger Berman CLO XIV Ltd., 2020-14A, CR2, 144A, FRN, |
|
|
|
|
3.516%, (3-Month USD LIBOR + 1.90%), 1/28/30 | United States | 410,000 |
| 410,000 |
f,pNextGear Floorplan Master Owner Trust, 144A, FRN, |
|
|
|
|
2017-1A, A1, 2.508%, (1-Month USD LIBOR + 0.85%), |
|
|
|
|
4/18/22 | United States | 240,000 |
| 240,104 |
2017-2A, A1, 2.338%, (1-Month USD LIBOR + 0.68%), |
|
|
|
|
10/17/22 | United States | 220,000 |
| 220,515 |
2018-1A, A1, 2.298%, (1-Month USD LIBOR + 0.64%), |
|
|
|
|
2/15/23 | United States | 500,000 |
| 501,291 |
Nissan Auto Receivables Owner Trust, |
|
|
|
|
2018-A, A3, 2.65%, 5/16/22 | United States | 208,866 |
| 210,132 |
p2018-C, A2B, FRN, 1.828%, (1-Month USD LIBOR + 0.17%), |
|
|
|
|
10/15/21 | United States | 160,143 |
| 160,191 |
pNomura Home Equity Loan Inc. Home Equity Loan Trust Series, |
|
|
|
|
2006-WF1, M4, FRN, 1.997%, (1-Month USD LIBOR + |
|
|
|
|
0.37%), 3/25/36 | United States | 1,293,940 |
| 1,260,313 |
f,qOBX Trust, 2019-EXP3, 1A8, 144A, FRN, 3.50%, 10/25/59 | United States | 127,013 |
| 129,993 |
f,pOCP CLO 0 Ltd., 2017-10A, A1R, 144A, FRN, 2.614%, (3-Month |
|
|
|
|
USD LIBOR + 0.82%), 10/26/27 | United States | 221,930 |
| 221,885 |
f,pOFSI Fund VII Ltd., 2017-7A, AR, 144A, FRN, 2.719%, (3-Month |
|
|
|
|
USD LIBOR + 0.90%), 10/18/26 | United States | 89,670 |
| 89,720 |
fOneMain Financial Issuance Trust, 2015-3A, B, 144A, 4.16%, |
|
|
|
|
11/20/28 | United States | 155,000 |
| 156,246 |
fOxford Finance Funding LLC, 2019-1A, A2, 144A, 4.459%, |
|
|
|
|
2/15/27 | United States | 50,000 |
| 51,520 |
fPlanet Fitness Master Issuer LLC, 144A, |
|
|
|
|
2018-1A, A2I, 4.262%, 9/05/48 | United States | 167,875 |
| 173,995 |
2019-1A, A2, 3.858%, 12/05/49 | United States | 150,000 |
| 156,961 |
25
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
|
| Principal |
|
|
| Country | Amount* |
| Value |
Asset-Backed Securities and Commercial Mortgage-Backed |
|
|
|
|
Securities (continued) |
|
|
|
|
Diversified Financial Services (continued) |
|
|
|
|
fProgress Residential Trust, 2019-SFR1, E, 144A, 4.466%, |
|
|
|
|
8/17/35 | United States | 115,000 | $ | 120,092 |
RALI Series Trust, 2007-QS2, AP, zero cpn., 1/25/37 | United States | 219,521 |
| 162,501 |
f,qRBSSP Resecuritization Trust, 2009-12, 17A2, 144A, FRN, |
|
|
|
|
4.117%, 10/25/35 | United States | 1,947,233 |
| 1,964,553 |
fRCO V Mortgage LLC, 2019-1, A1, 144A, 3.721%, 5/24/24 | United States | 166,005 |
| 167,975 |
fRepublic Finance Issuance Trust, 2019-A, A, 144A, 3.43%, |
|
|
|
|
11/22/27 | United States | 240,000 |
| 245,625 |
Santander Drive Auto Receivables Trust, |
|
|
|
|
2018-2, D, 3.88%, 2/15/24 | United States | 275,000 |
| 284,322 |
2018-3, D, 4.07%, 8/15/24 | United States | 210,000 |
| 217,272 |
2018-5, C, 3.81%, 12/16/24 | United States | 150,000 |
| 152,746 |
2019-2, D, 3.22%, 7/15/25 | United States | 210,000 |
| 215,789 |
fSCF Equipment Leasing LLC, 2018-1A, C, 144A, 4.21%, 4/20/27 | United States | 255,000 |
| 261,779 |
f,qSecurity National Mortgage Loan Trust, 2004-1A, AF3, 144A, |
|
|
|
|
FRN, 6.42%, 6/25/32 | United States | 2,038,150 |
| 1,792,363 |
f,qSequoia Mortgage Trust, 144A, FRN, |
|
|
|
|
2018-CH1, A1, 4.00%, 2/25/48 | United States | 60,178 |
| 62,013 |
2019-CH1, A1, 4.50%, 3/25/49 | United States | 207,066 |
| 212,800 |
f,pSilvermore CLO Ltd., 2014-1A, C, 144A, FRN, 5.142%, (3-Month |
|
|
|
|
USD LIBOR + 3.45%), 5/15/26 | United States | 1,250,000 |
| 1,222,196 |
fS-Jets Ltd., 2017-1, A, 144A, 3.967%, 8/15/42 | Bermuda | 228,329 |
| 235,127 |
pSLM Private Credit Student Loan Trust, 2003-B, FRN, |
|
|
|
|
A3, 5.06%, (28-Day T-Bill + 1.00%), 3/15/33 | United States | 300,000 |
| 300,250 |
A4, 5.06%, (28-Day T-Bill + 1.00%), 3/15/33 | United States | 50,000 |
| 50,042 |
f,pSMB Private Education Loan Trust, 2017-B, A2B, 144A, FRN, |
|
|
|
|
2.409%, (1-Month USD LIBOR + 0.75%), 10/15/35 | United States | 82,325 |
| 82,317 |
fSoFi Consumer Loan Program Trust, 144A, |
|
|
|
|
2018-1, B, 3.65%, 2/25/27 | United States | 100,000 |
| 103,155 |
2018-2, A2, 3.35%, 4/26/27 | United States | 134,179 |
| 135,093 |
2019-4, C, 2.84%, 8/25/28 | United States | 130,000 |
| 133,032 |
fSoFi Professional Loan Program LLC, 2016-A, B, 144A, 3.57%, |
|
|
|
|
1/26/38 | United States | 61,670 |
| 63,090 |
pSoundview Home Loan Trust, 2006-WF2, M3, FRN, 2.077%, (1- |
|
|
|
|
Month USD LIBOR + 0.45%), 12/25/36 | United States | 1,743,230 |
| 1,839,350 |
fSprite Ltd., 2017-1, B, 144A, 5.75%, 12/15/37 | United States | 169,666 |
| 177,895 |
fStack Infrastructure Issuer LLC, 2019-1A, A2, 144A, 4.54%, |
|
|
|
|
2/25/44 | United States | 123,750 |
| 132,000 |
f,pStaniford Street CLO Ltd.,144A, FRN, |
|
|
|
|
2014-1A, D, 5.394%, (3-Month USD LIBOR + 3.50%), 6/15/25 | United States | 1,650,000 |
| 1,647,977 |
2017-1A, AR, 3.074%, (3-Month USD LIBOR + 1.18%), |
|
|
|
|
6/15/25 | United States | 62,657 |
| 62,710 |
qSTARM Mortgage Loan Trust, 2007-3, 2A1, FRN, 4.274%, |
|
|
|
|
6/25/37 | United States | 1,146,600 |
| 1,138,555 |
f,pStarwood Retail Property Trust, 2014-STAR, E, 144A, FRN, |
|
|
|
|
6.059%, (1-Month USD LIBOR + 4.40%), 11/15/27 | United States | 200,000 |
| 91,163 |
fTaco Bell Funding LLC, 2018-1A, A2II, 144A, 4.94%, 11/25/48 | United States | 187,625 |
| 208,471 |
fTAL Advantage V LLC, 2013-2A, A, 144A, 3.55%, 11/20/38 | United States | 37,500 |
| 37,876 |
f,pTICP CLO II-2 Ltd., 2018-IIA, C, 144A, FRN, 4.769%, (3-Month |
|
|
|
|
USD LIBOR + 2.95%), 4/20/28 | United States | 1,020,000 |
| 1,008,926 |
f,qTowd Point Mortgage Trust, 2015-2, 1A13, 144A, FRN, 2.50%, |
|
|
|
|
11/25/60 | United States | 76,884 |
| 77,286 |
fTricon American Homes Trust, 2019-SFR1, A, 144A, 2.75%, |
|
|
|
|
3/17/38 | United States | 100,000 |
| 104,428 |
26
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
| Principal |
|
Country | Amount* | Value |
Asset-Backed Securities and Commercial Mortgage-Backed
Securities (continued)
Diversified Financial Services (continued)
f,pTRTX Issuer Ltd., 144A, FRN, |
|
|
|
|
2019-FL3, B, 3.408%, (1-Month USD LIBOR + 1.75%), |
|
|
|
|
9/15/34 | United States | 1,300,000 | $ | 1,301,502 |
2019-FL3, C, 3.758%, (1-Month USD LIBOR + 2.10%), |
|
|
|
|
9/15/34 | United States | 1,160,000 |
| 1,164,055 |
fUnited Auto Credit Securitization Trust, 2019-1, C, 144A, 3.16%, |
|
|
|
|
8/12/24 | United States | 155,000 |
| 156,136 |
f,pVenture XII CLO Ltd., 2018-12A, ARR, 144A, FRN, 2.413%, (3- |
|
|
|
|
Month USD LIBOR + 0.80%), 2/28/26 | United States | 166,843 |
| 166,813 |
fVericrest Opportunity Loan Trust, 2019-NPL5, A1A, 144A, |
|
|
|
|
3.352%, 9/25/49 | United States | 338,022 |
| 340,470 |
f,pVerizon Owner Trust, 144A, FRN, |
|
|
|
|
2017-3A, A1B, 1.917%, (1-Month USD LIBOR + 0.27%), |
|
|
|
|
4/20/22 | United States | 174,925 |
| 175,206 |
2018-1A, A1B, 1.907%, (1-Month USD LIBOR + 0.26%), |
|
|
|
|
9/20/22 | United States | 175,000 |
| 175,138 |
f,pVMC Finance LLC, 144A, FRN, |
|
|
|
|
2018-FL1, C, 3.908%, (1-Month USD LIBOR + 2.25%), |
|
|
|
|
3/15/35 | United States | 65,056 |
| 65,097 |
2019-FL3, C, 3.708%, (1-Month USD LIBOR + 2.05%), |
|
|
|
|
9/15/36 | United States | 588,199 |
| 590,694 |
fVOLT LXXXIII LLC, 2019-NPL9, A1A, 144A, 3.327%, 11/26/49 | United States | 100,470 |
| 101,271 |
fVOLT LXXXVII LLC, 2020-NPL3, A1A, 144A, 2.981%, 2/25/50 | United States | 259,105 |
| 260,879 |
fWendy's Funding LLC, 2018-1A, A2II, 144A, 3.884%, 3/15/48 | United States | 215,600 |
| 228,348 |
f,pWest CLO Ltd., 2017-1A, A1R, 144A, FRN, 2.739%, (3-Month |
|
|
|
|
USD LIBOR + 0.92%), 7/18/26 | United States | 122,083 |
| 122,162 |
fWestlake Automobile Receivables Trust, 144A, |
|
|
|
|
2018-1A, D, 3.41%, 5/15/23 | United States | 60,000 |
| 60,778 |
2018-2A, D, 4.00%, 1/16/24 | United States | 50,000 |
| 51,592 |
p2018-3A, A2B, FRN, 2.008%, (1-Month USD LIBOR + 0.35%), |
|
|
|
|
1/18/22 | United States | 82,631 |
| 82,642 |
|
|
|
|
|
|
|
|
| 54,576,738 |
Equity Real Estate Investment Trusts (REITs) 0.1%
fAmerican Homes 4 Rent, 144A, |
|
|
|
2014-SFR2, E, 6.231%, 10/17/36 | United States | 250,000 | 277,627 |
2014-SFR3, E, 6.418%, 12/17/36 | United States | 100,000 | 112,223 |
2015-SFR1, E, 5.639%, 4/17/52 | United States | 210,000 | 232,446 |
fColony American Finance Ltd., 2015-1, D, 144A, 5.649%, |
|
|
|
10/15/47 | United States | 115,000 | 117,909 |
fDiamond Resorts Owner Trust, 144A, |
|
|
|
2017-1A, C, 6.07%, 10/22/29 | United States | 30,902 | 32,016 |
2018-1, C, 4.53%, 1/21/31 | United States | 80,526 | 83,605 |
2019-1A, B, 3.53%, 2/20/32 | United States | 85,071 | 87,109 |
|
|
|
|
|
|
| 942,935 |
Mortgage Real Estate Investment Trusts (REITs) 1.2%
f,qAjax Mortgage Loan Trust, 2017-B, A, 144A, FRN, 3.163%, |
|
|
|
9/25/56 | United States | 98,666 | 100,110 |
pAmerican Home Mortgage Investment Trust, 2006-1, 11A1, FRN, |
|
|
|
1.907%, (1-Month USD LIBOR + 0.28%), 3/25/46 | United States | 215,944 | 207,028 |
Banc of America Alternative Loan Trust, 2003-8, 1CB1, 5.50%, |
|
|
|
10/25/33 | United States | 6,089 | 6,276 |
Banc of America Funding Trust, |
|
|
|
2003-1, B2, 6.00%, 5/20/33 | United States | 298,762 | 218,704 |
2007-4, 5A1, 5.50%, 11/25/34 | United States | 90,381 | 91,741 |
27
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
|
| Principal |
|
|
| Country | Amount* |
| Value |
Asset-Backed Securities and Commercial Mortgage-Backed |
|
|
|
|
Securities (continued) |
|
|
|
|
Mortgage Real Estate Investment Trusts (REITs) (continued) |
|
|
|
|
qBanc of America Mortgage Trust, 2005-A, 2A1, FRN, 3.682%, |
|
|
|
|
2/25/35 | United States | 4,922 | $ | 5,017 |
f,pBCAP LLC Trust, 2012-RR4, 9A7, 144A, FRN, 1.741%, (1-Month |
|
|
|
|
USD LIBOR + 0.08%), 11/26/36 | United States | 553,781 |
| 533,158 |
qBear Stearns ARM Trust, 2007-4, 12A1, FRN, 4.713%, 5/25/37 | United States | 2,072,702 |
| 2,053,434 |
f,qCCRESG Commercial Mortgage Trust, 2016-HEAT, D, 144A, |
|
|
|
|
FRN, 5.488%, 4/10/29 | United States | 100,000 |
| 102,225 |
fCitigroup Mortgage Loan Trust, 144A, |
|
|
|
|
q2009-10, 6A2, FRN, 4.606%, 9/25/34 | United States | 28,696 |
| 30,007 |
q2018-A, A1, FRN, 4.00%, 1/25/68 | United States | 93,593 |
| 93,949 |
2018-C, A1, 4.125%, 3/25/59 | United States | 153,518 |
| 155,741 |
q2019-B, A1, FRN, 3.258%, 4/25/66 | United States | 108,724 |
| 109,120 |
2019-E, A1, 3.228%, 11/25/70 | United States | 246,229 |
| 247,906 |
Countrywide Alternative Loan Trust, |
|
|
|
|
2003-22CB, 1A1, 5.75%, 12/25/33 | United States | 40,754 |
| 42,145 |
2004-16CB, 1A1, 5.50%, 7/25/34 | United States | 24,813 |
| 25,565 |
2004-16CB, 3A1, 5.50%, 8/25/34 | United States | 26,683 |
| 27,510 |
2004-J10, 2CB1, 6.00%, 9/25/34 | United States | 76,619 |
| 79,443 |
2005-J1, 2A1, 5.50%, 2/25/25 | United States | 4,134 |
| 4,272 |
2005-J14, A3, 5.50%, 12/25/35 | United States | 391,665 |
| 336,104 |
pCountrywide Asset-Backed Certificates, 2005-15, M3, FRN, |
|
|
|
|
2.147%, (1-Month USD LIBOR + 0.52%), 4/25/36 | United States | 2,340,000 |
| 2,163,177 |
qCountrywide Home Loans Mortgage Pass-Through Trust, 2004- |
|
|
|
|
HYB4, 2A1, FRN, 4.10%, 9/20/34 | United States | 62,638 |
| 62,795 |
Credit Suisse First Boston Mortgage Securities Corp., |
|
|
|
|
2002-10, 1B, 7.00%, 5/25/32 | United States | 155,358 |
| 139,578 |
2003-27, 4A4, 5.75%, 11/25/33 | United States | 18,518 |
| 19,152 |
fCSMC OA LLC, 144A, |
|
|
|
|
2014-USA, A2, 3.953%, 9/15/37 | United States | 150,000 |
| 164,234 |
2014-USA, E, 4.373%, 9/15/37 | United States | 400,000 |
| 391,388 |
pDSLA Mortgage Loan Trust, 2005-AR5, 2A1A, FRN, 1.977%, (1- |
|
|
|
|
Month USD LIBOR + 0.33%), 9/19/45 | United States | 40,448 |
| 33,312 |
l,pDukinfield II PLC, 2016-2, A, FRN, Reg S, 2.048%, (3-Month |
|
|
|
|
GBP LIBOR + 1.25%), 12/20/52 | United Kingdom | 157,216 | GBP | 203,632 |
pFHLMC Structured Agency Credit Risk Debt Notes, FRN, |
|
|
|
|
2015-DNA1, M2, 3.477%, (1-Month USD LIBOR + 1.85%), |
|
|
|
|
10/25/27 | United States | 99,055 |
| 99,688 |
2015-DNA1, M3, 4.927%, (1-Month USD LIBOR + 3.30%), |
|
|
|
|
10/25/27 | United States | 250,000 |
| 268,304 |
f,qGS Mortgage Securities Trust, 2011-GC5, D, 144A, FRN, |
|
|
|
|
5.389%, 8/10/44 | United States | 195,000 |
| 196,368 |
GSR Mortgage Loan Trust, |
|
|
|
|
2005-4F, 6A1, 6.50%, 2/25/35 | United States | 8,929 |
| 9,084 |
q2005-AR6, 4A5, FRN, 4.507%, 9/25/35 | United States | 54,992 |
| 56,582 |
pHarborview Mortgage Loan Trust, 2004-11, 2A2A, FRN, 2.287%, |
|
|
|
|
(1-Month USD LIBOR + 0.64%), 1/19/35 | United States | 94,165 |
| 91,635 |
IndyMac INDX Mortgage Loan Trust, FRN, |
|
|
|
|
p2004-AR12, A1, 2.407%, (1-Month USD LIBOR + 0.78%), |
|
|
|
|
12/25/34 | United States | 1,952,567 |
| 1,734,426 |
p2004-AR7, A5, 2.847%, (1-Month USD LIBOR + 1.22%), |
|
|
|
|
9/25/34 | United States | 47,908 |
| 45,598 |
q2005-AR11, A3, 3.608%, 8/25/35 | United States | 51,009 |
| 46,425 |
p2006-AR2, 2A1, 1.837%, (1-Month USD LIBOR + 0.21%), |
|
|
|
|
2/25/46 | United States | 232,802 |
| 203,076 |
28
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
| Principal |
|
Country | Amount* | Value |
Asset-Backed Securities and Commercial Mortgage-Backed
Securities (continued)
Mortgage Real Estate Investment Trusts (REITs) (continued)
f,pInvitation Homes Trust, 144A, FRN, |
|
|
|
|
2018-SFR1, E, 3.659%, (1-Month USD LIBOR + 2.00%), |
|
|
|
|
3/17/37 | United States | 99,986 | $ | 100,228 |
2018-SFR2, E, 3.659%, (1-Month USD LIBOR + 2.00%), |
|
|
|
|
6/17/37 | United States | 200,000 |
| 199,361 |
JP Morgan Mortgage Trust, |
|
|
|
|
2004-S1, 2A1, 6.00%, 9/25/34 | United States | 97,542 |
| 101,112 |
q2007-A1, 4A2, FRN, 4.629%, 7/25/35 | United States | 2,977 |
| 3,116 |
pLehman XS Trust Series, 2006-2N, 1A1, FRN, 1.887%, (1-Month |
|
|
|
|
USD LIBOR + 0.26%), 2/25/46 | United States | 41,325 |
| 38,721 |
MASTR Alternative Loan Trust, |
|
|
|
|
2004-2, 8A4, 5.50%, 3/25/34 | United States | 157,574 |
| 162,979 |
2004-8, 2A1, 6.00%, 9/25/34 | United States | 49,419 |
| 52,099 |
qMerrill Lynch Mortgage Investors MLCC, 2006-2, 2A, FRN, |
|
|
|
|
3.877%, 5/25/36 | United States | 3,756 |
| 3,853 |
f,qMorgan Stanley Capital I Trust, 2011-C2, E, 144A, FRN, 5.488%, |
|
|
|
|
6/15/44 | United States | 150,000 |
| 147,537 |
fPRPM LLC, 2019-4A, A1, 144A, 3.351%, 11/25/24 | United States | 111,931 |
| 113,022 |
qRFMSI Trust, 2005-SA1, 1A1, FRN, 4.581%, 3/25/35 | United States | 100,548 |
| 72,363 |
pStructured ARM Loan Trust, 2005-14, A1, FRN, 1.937%, (1- |
|
|
|
|
Month USD LIBOR + 0.31%), 7/25/35 | United States | 240,931 |
| 190,313 |
qWachovia Mortgage Loan Trust LLC Series Trust, 2007-A, 2A1, |
|
|
|
|
FRN, 4.37%, 3/20/37 | United States | 1,911,623 |
| 1,883,310 |
f,qWells Fargo Commercial Mortgage Trust, 2019-JWDR, C, 144A, |
|
|
|
|
FRN, 3.139%, 9/15/31 | United States | 290,000 |
| 297,616 |
qWF-RBS Commercial Mortgage Trust, FRN, |
|
|
|
|
f2011-C2, D, 144A, 5.662%, 2/15/44 | United States | 35,000 |
| 35,732 |
f2011-C3, D, 144A, 5.68%, 3/15/44 | United States | 90,000 |
| 78,564 |
f2012-C6, D, 144A, 5.579%, 4/15/45 | United States | 150,000 |
| 158,872 |
2012-C7, C, 4.813%, 6/15/45 | United States | 25,000 |
| 25,713 |
f2012-C7, E, 144A, 4.813%, 6/15/45 | United States | 75,000 |
| 65,036 |
|
|
|
| 14,127,456 |
Thrifts & Mortgage Finance 0.1%
f,pBX Commercial Mortgage Trust, 2019-XL, E, 144A, FRN, |
|
|
3.459%, (1-Month USD LIBOR + 1.80%), 10/15/36 | United States 1,242,021 | 1,249,100 |
Total Asset-Backed Securities and Commercial Mortgage- |
|
|
|
Backed Securities (Cost $73,091,336) |
|
| 73,440,316 |
Municipal Bonds in Reorganization 0.5% |
|
|
|
|
|
| |
Puerto Rico 0.5% |
|
|
|
oPuerto Rico Commonwealth GO, Public Improvement, Refunding, Series A, |
|
|
|
5.50%, 7/01/39 | United States | 715,000 | 565,744 |
5.00%, 7/01/41 | United States | 1,000,000 | 757,500 |
oPuerto Rico Commonwealth GO, Refunding, Series A, 8.00%, 7/01/35 | United States | 5,300,000 | 3,882,250 |
oPuerto Rico Electric Power Authority Power Revenue, |
|
|
|
A-RSA-1, 5.00%, 7/01/42 | United States | 563,000 | 449,696 |
TT-RSA-1, 5.00%, 7/01/37 | United States | 295,000 | 235,631 |
WW-RSA-1, 5.25%, 7/01/33 | United States | 10,000 | 8,013 |
XX, 5.25%, 7/01/40 | United States | 405,000 | 324,506 |
Total Municipal Bonds in Reorganization (Cost $4,549,675) |
|
|
|
|
| 6,223,340 | |
|
|
|
|
29
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
| Number of | Notional |
|
|
|
| Contracts | Amount# |
|
| Value |
Options Purchased 0.2% |
|
|
|
|
|
Calls - Exchange-Traded 0.0%† |
|
|
|
|
|
Apellis Pharmaceuticals Inc., April Strike Price $45.00, Expires |
|
|
|
|
|
4/17/20 | 17 | 1,700 | $ | 1,148 | |
Carnival Corp., April Strike Price $40.00, Expires 4/17/20 | 64 | 6,400 |
|
| 6,080 |
Cemex SAB de CV, ADR, April Strike Price $4.00, Expires |
|
|
|
|
|
4/17/20 | 175 | 17,500 |
|
| 1,225 |
Energy Transfer LP, July Strike Price $12.00, Expires 7/17/20 | 223 | 22,300 |
|
| 15,387 |
Enterprise Products Partners LP, June Strike Price $24.00, |
|
|
|
|
|
Expires 6/19/20 | 222 | 22,200 |
|
| 22,644 |
The Greenbrier Cos. Inc., March Strike Price $30.00, Expires |
|
|
|
|
|
3/20/20 | 41 | 4,100 |
|
| 820 |
Hertz Global Holdings Inc., July Strike Price $15.00, Expires |
|
|
|
|
|
7/17/20 | 88 | 8,800 |
|
| 13,200 |
Industrial Select Sector SPDR Fund, March Strike Price $87.00, |
|
|
|
|
|
Expires 3/20/20 | 74 | 7,400 |
|
| 444 |
Infinera Corp., April Strike Price $9.00, Expires 4/17/20 | 36 | 3,600 |
|
| 540 |
Mellanox Technologies Ltd., January Strike Price $125.00, |
|
|
|
|
|
Expires 1/15/21 | 85 | 8,500 |
|
| 46,665 |
Nuance Communications Inc., April Strike Price $20.00, Expires |
|
|
|
|
|
4/17/20 | 73 | 7,300 |
|
| 16,060 |
Occidental Petroleum Corp., March Strike Price $38.50, Expires |
|
|
|
|
|
3/20/20 | 147 | 14,700 |
|
| 6,688 |
Occidental Petroleum Corp., May Strike Price $45.00, Expires |
|
|
|
|
|
5/15/20 | 18 | 1,800 |
|
| 504 |
Pacira BioSciences Inc., March Strike Price $55.00, Expires |
|
|
|
|
|
3/20/20 | 26 | 2,600 |
|
| 312 |
Pluralsight Inc., A, April Strike Price $22.50, Expires 4/17/20 | 42 | 4,200 |
|
| 1,050 |
STOXX Europe 600 Automobiles & Parts Index, December Strike |
|
|
|
|
|
Price 500.00 EUR, Expires 12/18/20 | 100 | 5,000 |
|
| 48,574 |
ViacomCBS Inc., B, June Strike Price $47.50, Expires 6/19/20 | 302 | 30,200 |
|
| 1,812 |
Vodafone Group PLC, March Strike Price 1.55 GBP, Expires |
|
|
|
|
|
3/20/20 | 1,539 | 1,539,000 |
|
| 14,799 |
Vodafone Group PLC, ADR, April Strike Price $21.00, Expires |
|
|
|
|
|
4/17/20 | 331 | 33,100 |
|
| 2,648 |
|
|
|
|
|
|
|
|
|
|
| 200,600 |
Calls - Over-the-Counter 0.0%† |
|
|
|
|
|
|
|
|
|
| |
Currency Options 0.0%† |
|
|
|
|
|
AUD/USD, Counterparty JPHQ, March Strike Price $0.72, |
|
|
|
|
|
Expires 3/25/20 | 1 | 350,000 | AUD | 34 | |
AUD/USD, Counterparty JPHQ, June Strike Price $0.68, Expires |
|
|
|
|
|
6/24/20 | 1 | 4,000,000 | AUD | 16,160 | |
AUD/USD, Counterparty JPHQ, June Strike Price $0.68, Expires |
|
|
|
|
|
6/25/20 | 1 | 1,300,000 | AUD | 4,521 | |
AUD/USD, Counterparty JPHQ, June Strike Price $0.68, Expires |
|
|
|
|
|
6/26/20 | 1 | 3,300,000 | AUD | 12,777 | |
AUD/USD, Counterparty JPHQ, June Strike Price $0.68, Expires |
|
|
|
|
|
6/30/20 | 1 | 2,000,000 | AUD | 8,957 | |
EUR/CHF, Counterparty JPHQ, May Strike Price 1.12 CHF, |
|
|
|
|
|
Expires 5/14/20 | 1 | 4,000,000 | EUR | 711 | |
EUR/USD, Counterparty JPHQ, April Strike Price $1.15, Expires |
|
|
|
|
|
4/23/20 | 1 | 5,000,000 | EUR | 9,935 | |
EUR/USD, Counterparty JPHQ, June Strike Price $1.11, Expires |
|
|
|
|
|
6/19/20 | 1 | 2,100,000 | EUR | 33,673 | |
GBP/JPY, Counterparty JPHQ, July Strike Price 150.00 JPY, |
|
|
|
|
|
Expires 7/08/20 | 1 | 4,772,727 | GBP | 7,111 |
30
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Number of | Notional |
|
Contracts | Amount# | Value |
Options Purchased (continued)
Calls - Over-the-Counter (continued)
Currency Options (continued)
NZD/USD, Counterparty JPHQ, September Strike Price $0.65, |
|
|
|
|
|
Expires 9/02/20 | 1 | 3,200,000 | NZD $ | 20,408 | |
USD/CNY, Counterparty JPHQ, July Strike Price 7.15 CNY, |
|
|
|
|
|
Expires 7/07/20 | 1 | 4,500,000 |
|
| 24,381 |
USD/TWD, Counterparty JPHQ, May Strike Price 30.30 TWD, |
|
|
|
|
|
Expires 5/27/20 | 1 | 2,500,000 |
|
| 13,847 |
USD/TWD, Counterparty JPHQ, May Strike Price 30.33 TWD, |
|
|
|
|
|
Expires 5/27/20 | 1 | 2,500,000 |
|
| 13,312 |
|
|
|
|
|
|
|
|
|
|
| 165,827 |
|
|
|
|
|
|
Puts - Exchange-Traded 0.2%
Bombardier Inc., B, January Strike Price 1.00 CAD, Expires |
|
|
|
|
1/15/21 | 435 | 43,500 |
| 10,695 |
DJ EURO STOXX 50 Index, April Strike Price 3,200.00 EUR, |
|
|
|
|
Expires 4/17/20 | 101 | 1,010 |
| 135,136 |
HP Inc., May Strike Price $19.00, Expires 5/15/20 | 457 | 45,700 |
| 34,275 |
Infinera Corp., April Strike Price $6.00, Expires 4/17/20 | 108 | 10,800 |
| 3,240 |
Invesco QQQ Trust 1, March Strike Price $194.00, Expires |
|
|
|
|
3/20/20 | 498 | 49,800 |
| 310,752 |
Invesco QQQ Trust 1, March Strike Price $195.00, Expires |
|
|
|
|
3/20/20 | 766 | 76,600 |
| 347,764 |
KAR Auction Services Inc., January Strike Price $17.50, Expires |
|
|
|
|
1/15/21 | 34 | 3,400 |
| 6,460 |
KAR Auction Services Inc., January Strike Price $20.00, Expires |
|
|
|
|
1/15/21 | 17 | 1,700 |
| 3,868 |
NRG Energy Inc., January Strike Price $33.00, Expires 1/16/21 | 88 | 8,800 |
| 38,720 |
Occidental Petroleum Corp., March Strike Price $32.00, Expires |
|
|
|
|
3/20/20 | 147 | 14,700 |
| 35,721 |
Pluralsight Inc., A, April Strike Price $15.00, Expires 4/17/20 | 18 | 1,800 |
| 1,080 |
Pure Storage Inc., A, March Strike Price $15.00, Expires 3/20/20 | 23 | 2,300 |
| 1,955 |
Radius Health Inc., March Strike Price $17.50, Expires 3/20/20 | 22 | 2,200 |
| 1,540 |
S&P 500 Index, April Strike Price $2,800.00, Expires 4/17/20 | 32 | 3,200 |
| 277,792 |
STOXX Europe 600 Food & Beverage Index, December Strike |
|
|
|
|
Price 760.00 EUR, Expires 12/18/20 | 100 | 5,000 |
| 546,454 |
U.S. Treasury 5 Yr. Note Futures, May Strike Price $118.75, |
|
|
|
|
Expires 5/22/20 | 336 | 336,000 |
| 18,375 |
U.S. Treasury 5 Yr. Note Futures, May Strike Price $119.00, |
|
|
|
|
Expires 5/22/20 | 84 | 84,000 |
| 5,250 |
U.S. Treasury 5 Yr. Note Futures, May Strike Price $119.50, |
|
|
|
|
Expires 5/22/20 | 63 | 63,000 |
| 5,906 |
U.S. Treasury 5 Yr. Note Futures, May Strike Price $119.75, |
|
|
|
|
Expires 5/22/20 | 84 | 84,000 |
| 9,844 |
WESCO International Inc., July Strike Price $45.00, Expires |
|
|
|
|
7/17/20 | 68 | 6,800 |
| 49,980 |
WESCO International Inc., July Strike Price $50.00, Expires |
|
|
|
|
7/17/20 | 46 | 4,600 |
| 47,610 |
|
|
|
|
|
|
|
|
| 1,892,417 |
Puts - Over-the-Counter 0.0%† |
|
|
|
|
|
|
|
| |
Currency Options 0.0%† |
|
|
|
|
EUR/GBP, Counterparty JPHQ, March Strike Price 0.80 GBP, |
|
|
|
|
Expires 3/17/20 | 1 | 10,500,000 | EUR | 61 |
EUR/NOK, Counterparty JPHQ, March Strike Price 9.75 NOK, |
|
|
|
|
Expires 3/17/20 | 1 | 6,250,000 | EUR | 48 |
USD/BRL, Counterparty JPHQ, March Strike Price 3.95 BRL, |
|
|
|
|
Expires 3/06/20 | 1 | 5,500,000 |
| 1 |
31
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
| Number of | Notional |
|
|
|
| Contracts | Amount# |
|
| Value |
Options Purchased (continued) |
|
|
|
|
|
Puts - Over-the-Counter (continued) |
|
|
|
|
|
Currency Options (continued) |
|
|
|
|
|
USD/CLP, Counterparty JPHQ, May Strike Price 725.00 CLP, |
|
|
|
|
|
Expires 5/13/20 | 1 | 700,000 | $ | 112 | |
Puts - Over-the-Counter 0.0%† |
|
|
|
|
|
|
|
|
| 222 | |
SoftBank Group Corp., Counterparty CITI, June Strike Price |
|
|
|
|
|
4,360.00 JPY, Expires 6/11/20 | 9,800 | 9,800 |
|
| 14,117 |
Total Options Purchased (Cost $2,600,333) |
|
|
|
|
|
|
|
|
| 2,273,183 | |
Total Investments before Short Term Investments |
|
|
|
|
|
|
|
|
|
| |
(Cost $756,453,643) |
|
|
|
| 846,244,599 |
|
| Principal |
|
|
|
|
|
|
|
| |
| Country | Amount* |
|
|
|
Short Term Investments 28.1% |
|
|
|
|
|
Corporate Bonds and Notes (Cost $195,876) 0.0%† |
|
|
|
|
|
Pharmaceuticals 0.0%† |
|
|
|
|
|
fBristol-Myers Squibb Co., senior note, 144A, 2.875%, 8/15/20 | United States | 195,000 |
|
| 196,156 |
Credit-Linked Notes 0.7% |
|
|
|
|
|
fCitigroup Global Markets Holdings Inc., senior note, 144A, |
|
|
|
|
|
d(Arab Republic of Egypt), zero cpn., 3/19/20 | Egypt | 16,767,729 | EGP | 1,064,693 | |
d(Arab Republic of Egypt), zero cpn., 4/09/20 | Egypt | 17,838,565 | EGP | 1,123,513 | |
d(Government of Ukraine), 14.30%, 4/14/20 | Ukraine | 21,747,376 | UAH | 870,513 | |
(Government of Ukraine), 14.64%, 6/12/20 | Ukraine | 23,087,704 | UAH | 971,094 | |
fHSBC Bank PLC, senior note, (Arab Republic of Egypt), 144A, |
|
|
|
|
|
zero cpn., 5/07/20 | Egypt | 16,550,000 | EGP | 1,036,777 | |
fJPMorgan Chase Bank NA, senior note, 144A, |
|
|
|
|
|
(Egypt Treasury Bill), zero cpn.,10/08/20 | Egypt | 29,450,000 | EGP | 1,736,604 | |
(Egypt Treasury Bill), zero cpn., 7/09/20 | Egypt | 8,316,000 | EGP | 508,200 | |
d,fStandard Chartered Bank, (Government of Pakistan), 144A, zero |
|
|
|
|
|
cpn., 4/15/20 | Pakistan | 144,700,000 | PKR | 922,455 | |
Total Credit-Linked Notes (Cost $8,127,020) |
|
|
|
|
|
|
|
|
| 8,233,849 | |
|
| Shares |
|
|
|
|
|
|
|
| |
Money Market Funds 21.6% |
|
|
|
|
|
|
|
|
|
| |
s,tDreyfus Government Cash Management, Institutional, 1.49% | United States | 16,001,700 |
|
| 16,001,700 |
sFidelity Investments Money Market Government Portfolio, |
|
|
|
|
|
Institutional, 1.46% | United States | 250,051,362 |
|
| 250,051,362 |
Total Money Market Funds (Cost $266,053,062) |
|
|
|
|
|
|
|
|
| 266,053,062 | |
|
|
|
|
|
|
32
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
|
| Principal |
|
|
| Country | Amount* |
| Value |
Short Term Investments (continued) |
|
|
|
|
Repurchase Agreements (Cost $32,526,709) 2.6% |
|
|
|
|
uJoint Repurchase Agreement, 1.594%, 3/02/20 (Maturity Value $32,531,029) | United States | 32,526,709 | $ | 32,526,709 |
BNP Paribas Securities Corp. (Maturity Value $15,248,920) |
|
|
|
|
Deutsche Bank Securities Inc. (Maturity Value $5,082,973) |
|
|
|
|
HSBC Securities (USA) Inc. (Maturity Value $12,199,136) |
|
|
|
|
Collateralized by U.S. Government Agency Securities, 3.00% - 5.00%, |
|
|
|
|
8/20/49 - 2/20/50; and U.S. Treasury Notes, 1.375% - 1.875%, 5/31/21 |
|
|
|
|
- 3/31/22 (valued at $33,206,765) |
|
|
|
|
Investments from Cash Collateral Received for Loaned |
|
|
|
|
Securities 0.2% |
|
|
|
|
Money Market Funds 0.1% |
|
|
|
|
s,wInstitutional Fiduciary Trust Money Market Portfolio, 1.23% | United States | 1,757,000 |
| 1,757,000 |
Repurchase Agreements 0.1% |
|
|
|
|
uJoint Repurchase Agreement, 1.59%, 3/02/20 (Maturity Value $1,598,608) | United States | 1,598,396 |
| 1,598,396 |
J.P. Morgan Securities LLC |
|
|
|
|
Collateralized by U.S. Government Agency Obligations, 0.00%-2.75%, |
|
|
|
|
3/24/20-9/09/49 (valued at $1,629,255) |
|
|
|
|
Total Investments from Cash Collateral Received for Loaned |
|
|
|
|
|
|
|
| |
Securities (Cost $3,355,396) |
|
|
| 3,355,396 |
U.S. Government and Agency Securities 1.3% |
|
|
|
|
|
|
|
| |
vU.S. Treasury Bill, zero cpn., |
|
|
|
|
b4/23/20 | United States | 14,000,000 |
| 13,972,897 |
10/08/20 – 12/03/20 | United States | 2,110,000 |
| 2,095,337 |
Total U.S. Government and Agency Securities (Cost $16,057,503)
Total Investments (Cost $1,082,769,209) 95.0% Options Written (0.1)%
Securities Sold Short (16.2)% Other Assets, less Liabilities 21.3% Net Assets 100.0%
16,068,234
1,172,678,005
(1,864,457)
(200,296,192)
262,252,049
$ 1,232,769,405
Number of | Notional |
Contracts | Amount# |
Options Written (0.1)%
Calls - Exchange-Traded (0.0)%†
AT&T Inc., April Strike Price $39.00, Expires 4/17/20 | 2 | 200 | (84) |
Bombardier Inc., B, April Strike Price 1.25 CAD, Expires 4/17/20 | 34 | 3,400 | (304) |
Bombardier Inc., B, January Strike Price 2.00 CAD, Expires |
|
|
|
1/15/21 | 435 | 43,500 | (6,482) |
33
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
| Number of | Notional |
|
|
|
| Contracts | Amount# |
|
| Value |
Options Written (continued) |
|
|
|
|
|
Calls - Exchange-Traded (continued) |
|
|
|
|
|
Bristol-Myers Squibb Co., April Strike Price $67.50, Expires 4/17/20 | 1 | 100 | $ | (28) | |
Comcast Corp., A, April Strike Price $47.50, Expires 4/17/20 | 2 | 200 |
|
| (40) |
HP Inc., May Strike Price $22.00, Expires 5/15/20 | 457 | 45,700 |
|
| (41,130) |
Intel Corp., April Strike Price $67.50, Expires 4/17/20 | 1 | 100 |
|
| (21) |
Invesco Ltd., April Strike Price $19.00, Expires 4/17/20 | 3 | 300 |
|
| (21) |
Iron Mountain Inc., April Strike Price $35.00, Expires 4/17/20 | 1 | 100 |
|
| (15) |
Johnson Controls International PLC, April Strike Price $44.00, |
|
|
|
|
|
Expires 4/17/20 | 1 | 100 |
|
| (10) |
Magellan Midstream Partners LP, April Strike Price $62.50, |
|
|
|
|
|
Expires 4/17/20 | 1 | 100 |
|
| (15) |
Mellanox Technologies Ltd., June Strike Price $125.00, Expires |
|
|
|
|
|
6/19/20 | 37 | 3,700 |
|
| (11,063) |
MetLife Inc., April Strike Price $52.50, Expires 4/17/20 | 1 | 100 |
|
| (11) |
Omnicom Group Inc., April Strike Price $80.00, Expires 4/17/20 | 1 | 100 |
|
| (50) |
Oracle Corp., April Strike Price $57.50, Expires 4/17/20 | 1 | 100 |
|
| (35) |
Pure Storage Inc., March Strike Price $17.50, Expires 3/20/20 | 15 | 1,500 |
|
| (3,750) |
QIAGEN NV, March Strike Price $37.00, Expires 3/20/20 | 233 | 23,300 |
|
| (55,920) |
STOXX Europe 600 Food & Beverage Index, December Strike |
|
|
|
|
|
Price 760.00 EUR, Expires 12/18/20 | 100 | 5,000 |
|
| (60,165) |
U.S. Treasury 5 Yr. Note Futures, May Strike Price $121.50, |
|
|
|
|
|
Expires 5/22/20 | 84 | 84,000 |
|
| (140,437) |
U.S. Treasury 5 Yr. Note Futures, May Strike Price $122.00, |
|
|
|
|
|
Expires 5/22/20 | 42 | 42,000 |
|
| (57,094) |
U.S. Treasury 5 Yr. Note Futures, May Strike Price $122.25, |
|
|
|
|
|
Expires 5/22/20 | 21 | 21,000 |
|
| (25,758) |
|
|
|
|
|
|
|
|
|
|
| (402,433) |
Calls - Over-the-Counter (0.0)%† |
|
|
|
|
|
|
|
|
|
| |
Currency Options (0.0)%† |
|
|
|
|
|
EUR/NOK, Counterparty JPHQ, March Strike Price 10.25 NOK, |
|
|
|
|
|
Expires 3/17/20 | 1 | 1,250,000 | EUR | (22,017) | |
USD/BRL, Counterparty JPHQ, June Strike Price 4.50 BRL, |
|
|
|
|
|
Expires 6/08/20 | 1 | 1,100,000 |
|
| (27,375) |
USD/CLP, Counterparty JPHQ, May Strike Price 850.00 CLP, |
|
|
|
|
|
Expires 5/13/20 | 1 | 175,000 |
|
| (1,762) |
USD/TWD, Counterparty JPHQ, May Strike Price 30.50 TWD, |
|
|
|
|
|
Expires 5/27/20 | 1 | 3,750,000 |
|
| (15,186) |
USD/ZAR, Counterparty JPHQ, April Strike Price 15.50 ZAR, |
|
|
|
|
|
Expires 4/23/20 | 1 | 500,000 |
|
| (15,580) |
USD/ZAR, Counterparty JPHQ, May Strike Price 16.50 ZAR, |
|
|
|
|
|
Expires 5/15/20 | 1 | 500,000 |
|
| (6,780) |
|
|
|
|
|
|
|
|
|
|
| (88,700) |
Puts - Exchange-Traded (0.1)% |
|
|
|
|
|
|
|
|
|
| |
Allscripts Healthcare Solutions Inc., March Strike Price $9.00, |
|
|
|
|
|
Expires 3/20/20 | 52 | 5,200 |
|
| (8,424) |
Apellis Pharmaceuticals Inc., April Strike Price $35.00, Expires |
|
|
|
|
|
4/17/20 | 19 | 1,900 |
|
| (7,980) |
Cardtronics PLC, A, March Strike Price $40.00, Expires 3/20/20 | 50 | 5,000 |
|
| (22,000) |
DJ EURO STOXX 50 Index, April Strike Price 2,950.00 EUR, |
|
|
|
|
|
Expires 4/17/20 | 101 | 1,010 |
|
| (73,924) |
Industrial Select Sector SPDR Fund, March Strike Price $80.00, |
|
|
|
|
|
Expires 3/20/20 | 37 | 3,700 |
|
| (30,266) |
Pacira BioSciences Inc., March Strike Price $45.00, Expires |
|
|
|
|
|
3/20/20 | 26 | 2,600 |
|
| (11,180) |
S&P 500 Index, April Strike Price $2,600.00, Expires 4/17/20 | 32 | 3,200 |
|
| (187,840) |
S&P 500 Index, April Strike Price $2,700.00, Expires 4/17/20 | 7 | 700 |
|
| (42,770) |
34
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
| Number of | Notional |
|
|
|
|
| Contracts | Amount# |
|
|
| Value |
Options Written (continued) |
|
|
|
|
|
|
Puts - Exchange-Traded (continued) |
|
|
|
|
|
|
STOXX Europe 600 Automobiles & Parts Index, December Strike |
|
|
|
|
|
|
Price 500.00 EUR, Expires 12/18/20 | 100 | 5,000 | $ | (590,612) | ||
U.S. Treasury 5 Yr. Note Futures, May Strike Price $119.25, |
|
|
|
|
|
|
Expires 5/22/20 | 84 | 84,000 |
|
|
| (6,562) |
U.S. Treasury 5 Yr. Note Futures, May Strike Price $120.00, |
|
|
|
|
|
|
Expires 5/22/20 | 21 | 21,000 |
|
|
| (2,953) |
U.S. Treasury 5 Yr. Note Futures, May Strike Price $120.25, |
|
|
|
|
|
|
Expires 5/22/20 | 21 | 21,000 |
|
|
| (3,445) |
WESCO International Inc., July Strike Price $55.00, Expires |
|
|
|
|
|
|
7/17/20 | 22 | 2,200 |
|
|
| (33,330) |
WESCO International Inc., July Strike Price $60.00, Expires |
|
|
|
|
|
|
7/17/20 | 92 | 9,200 |
|
|
| (185,840) |
|
|
|
|
|
|
|
|
|
|
|
|
| (1,207,126) |
Puts - Over-the-Counter (0.0)%† |
|
|
|
|
|
|
|
|
|
|
|
| |
Currency Options (0.0)%† |
|
|
|
|
|
|
AUD/USD, Counterparty JPHQ, June Strike Price $0.64, Expires |
|
|
|
|
|
|
6/24/20 | 1 | 4,000,000 | AUD | (32,419) | ||
AUD/USD, Counterparty JPHQ, June Strike Price $0.64, Expires |
|
|
|
|
|
|
6/25/20 | 1 | 1,300,000 | AUD | (10,589) | ||
AUD/USD, Counterparty JPHQ, June Strike Price $0.64 , Expires |
|
|
|
|
|
|
6/26/20 | 1 | 3,300,000 | AUD | (24,688) | ||
AUD/USD, Counterparty JPHQ, June Strike Price $0.64, Expires |
|
|
|
|
|
|
6/30/20 | 1 | 2,000,000 | AUD | (14,368) | ||
EUR/USD, Counterparty JPHQ, June Strike Price $1.07, Expires |
|
|
|
|
|
|
6/19/20 | 1 | 2,100,000 | EUR | (5,271) | ||
GBP/JPY, Counterparty JPHQ, July Strike Price 132.50 JPY, |
|
|
|
|
|
|
Expires 7/08/20 | 1 | 2,727,273 | GBP | (37,286) | ||
GBP/USD, Counterparty JPHQ, March Strike Price $1.28, |
|
|
|
|
|
|
Expires 3/25/20 | 1 | 1,750,000 | GBP | (11,373) | ||
NZD/USD, Counterparty JPHQ, September Strike Price $0.60, |
|
|
|
|
|
|
Expires 9/02/20 | 1 | 3,200,000 | NZD | (21,668) | ||
USD/CLP, Counterparty JPHQ, May Strike Price 660.00 CLP, |
|
|
|
|
|
|
Expires 5/13/20 | 1 | 700,000 |
|
|
| (1) |
USD/TWD, Counterparty JPHQ, May Strike Price 29.45 TWD, |
|
|
|
|
|
|
Expires 5/27/20 | 1 | 2,500,000 |
|
|
| (8,086) |
USD/ZAR, Counterparty JPHQ, April Strike Price 13.75 ZAR, |
|
|
|
|
|
|
Expires 4/23/20 | 1 | 500,000 |
|
|
| (65) |
USD/ZAR, Counterparty JPHQ, May Strike Price 14.00 ZAR, |
|
|
|
|
|
|
Expires 5/15/20 | 1 | 500,000 |
|
|
| (384) |
|
|
|
|
|
|
|
|
|
|
|
|
| (166,198) |
Total Options Written (Premiums Received $1,150,104) |
|
|
|
|
|
|
|
|
|
|
| (1,864,457) | |
| Country | Shares |
|
|
|
|
|
|
|
|
| ||
Securities Sold Short (16.2)% |
|
|
|
|
|
|
|
|
|
|
|
| |
Common Stocks (6.8)% |
|
|
|
|
|
|
Aerospace & Defense (0.3)% |
|
|
|
|
|
|
Raytheon Co. | United States | 17,039 |
|
|
| (3,212,874) |
35
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
| Country | Shares |
| Value |
|
|
|
|
|
Securities Sold Short (continued) |
|
|
|
|
Common Stocks (continued) |
|
|
|
|
Aerospace & Defense (continued) |
|
|
|
|
Spirit AeroSystems Holdings Inc., A | United States | 5,150 | $ | (272,126) |
|
|
|
|
|
|
|
|
| (3,485,000) |
Air Freight & Logistics (0.1)% |
|
|
|
|
|
|
|
| |
Air Transport Services Group Inc. | United States | 19,009 |
| (340,261) |
Atlas Air Worldwide Holdings Inc. | United States | 10,312 |
| (275,537) |
C.H. Robinson Worldwide Inc. | United States | 3,609 |
| (248,660) |
XPO Logistics Inc. | United States | 3,208 |
| (237,296) |
|
|
|
|
|
|
|
|
| (1,101,754) |
Airlines (0.0)%† |
|
|
|
|
|
|
|
| |
Deutsche Lufthansa AG | Germany | 19,387 |
| (256,391) |
Auto Components (0.1)% |
|
|
|
|
|
|
|
| |
Delphi Technologies PLC | United States | 72,894 |
| (1,029,263) |
Automobiles (0.1)% |
|
|
|
|
|
|
|
| |
Ford Motor Co. | United States | 34,534 |
| (240,357) |
Winnebago Industries Inc. | United States | 8,691 |
| (450,976) |
|
|
|
|
|
|
|
|
| (691,333) |
Banks (0.0)%† |
|
|
|
|
|
|
|
| |
Hope Bancorp Inc. | United States | 811 |
| (9,902) |
Beverages (0.0)%† |
|
|
|
|
|
|
|
| |
The Coca-Cola Co. | United States | 2,146 |
| (114,790) |
Cott Corp. | United States | 1,526 |
| (21,745) |
|
|
|
|
|
|
|
|
| (136,535) |
Biotechnology (0.8)% |
|
|
|
|
|
|
|
| |
AbbVie Inc. | United States | 40,254 |
| (3,450,170) |
Apellis Pharmaceuticals Inc. | United States | 12,826 |
| (444,036) |
BioMarin Pharmaceutical Inc. | United States | 1,061 |
| (95,883) |
Cytokinetics Inc. | United States | 23,386 |
| (326,001) |
Exact Sciences Corp. | United States | 5,398 |
| (436,968) |
Flexion Therapeutics Inc. | United States | 18,319 |
| (289,257) |
Halozyme Therapeutics Inc. | United States | 31,100 |
| (608,627) |
Insmed Inc. | United States | 16,647 |
| (414,510) |
Intercept Pharmaceuticals Inc. | United States | 6,709 |
| (616,825) |
Ironwood Pharmaceuticals Inc., A | United States | 98,426 |
| (1,185,049) |
Karyopharm Therapeutics Inc. | United States | 33,683 |
| (550,380) |
Ligand Pharmaceuticals Inc. | United States | 1,408 |
| (131,789) |
Neurocrine Biosciences Inc. | United States | 5,964 |
| (564,791) |
PDL BioPharma Inc. | United States | 141,208 |
| (480,107) |
Radius Health Inc. | United States | 7,379 |
| (155,402) |
|
|
|
|
|
|
|
|
| (9,749,795) |
Building Products (0.0)%† |
|
|
|
|
|
|
|
| |
Patrick Industries Inc. | United States | 3,970 |
| (209,735) |
Capital Markets (0.2)% |
|
|
|
|
|
|
|
| |
The Charles Schwab Corp. | United States | 25,360 |
| (1,033,420) |
Morgan Stanley | United States | 22,519 |
| (1,014,031) |
|
|
|
|
|
|
|
|
| (2,047,451) |
Chemicals (0.0)%† |
|
|
|
|
|
|
|
| |
Dow Inc. | United States | 4,468 |
| (180,552) |
Commercial Services & Supplies (0.0)%† |
|
|
|
|
|
|
|
| |
Team Inc. | United States | 28,668 |
| (364,944) |
|
|
|
|
|
36
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
| Country | Shares |
| Value |
|
|
|
|
|
Securities Sold Short (continued) |
|
|
|
|
Common Stocks (continued) |
|
|
|
|
Communications Equipment (0.1)% |
|
|
|
|
Acacia Communications Inc. | United States | 9,249 | $ | (633,649) |
Infinera Corp. | United States | 50,683 |
| (344,644) |
|
|
|
|
|
|
|
|
| (978,293) |
Construction Materials (0.1)% |
|
|
|
|
|
|
|
| |
LafargeHolcim Ltd., B | Switzerland | 19,874 |
| (925,005) |
Consumer Finance (0.2)% |
|
|
|
|
|
|
|
| |
Encore Capital Group Inc. | United States | 34,774 |
| (1,292,202) |
EZCORP Inc., A | United States | 56,238 |
| (269,942) |
PRA Group Inc. | United States | 23,695 |
| (919,840) |
|
|
|
|
|
|
|
|
| (2,481,984) |
Diversified Consumer Services (0.0)%† |
|
|
|
|
|
|
|
| |
Chegg Inc. | United States | 7,455 |
| (292,310) |
Diversified Financial Services (0.0)%† |
|
|
|
|
|
|
|
| |
Element Fleet Management Corp. | Canada | 42,977 |
| (402,154) |
Diversified Telecommunication Services (0.0)%† |
|
|
|
|
|
|
|
| |
Bandwidth Inc., A | United States | 3,551 |
| (223,322) |
Electronic Equipment, Instruments & Components (0.1)% |
|
|
|
|
|
|
|
| |
II-VI Inc. | United States | 5,738 |
| (170,361) |
Knowles Corp. | United States | 29,549 |
| (491,104) |
OSI Systems Inc. | United States | 5,424 |
| (440,809) |
TTM Technologies Inc. | United States | 32,025 |
| (416,005) |
Vishay Intertechnology Inc. | United States | 6,074 |
| (113,584) |
|
|
|
|
|
|
|
|
| (1,631,863) |
Energy Equipment & Services (0.0)%† |
|
|
|
|
|
|
|
| |
SEACOR Holdings Inc. | United States | 1,086 |
| (40,508) |
Entertainment (0.2)% |
|
|
|
|
|
|
|
| |
iQIYI Inc., ADR | China | 15,454 |
| (346,633) |
Live Nation Entertainment Inc. | United States | 24,034 |
| (1,460,546) |
Sea Ltd., ADR | Taiwan | 14,342 |
| (646,251) |
Zynga Inc., A | United States | 38,237 |
| (256,570) |
|
|
|
|
|
|
|
|
| (2,710,000) |
Equity Real Estate Investment Trusts (REITs) (0.3)% |
|
|
|
|
|
|
|
| |
Innovative Industrial Properties Inc., A | United States | 31,103 |
| (2,859,610) |
Weyerhaeuser Co. | United States | 12,802 |
| (332,596) |
|
|
|
|
|
|
|
|
| (3,192,206) |
Food & Staples Retailing (0.0)%† |
|
|
|
|
|
|
|
| |
The Chefs' Warehouse Inc. | United States | 17,007 |
| (520,754) |
Food Products (0.1)% |
|
|
|
|
|
|
|
| |
Campbell Soup Co. | United States | 8,159 |
| (368,134) |
The Hershey Co. | United States | 385 |
| (55,436) |
Maple Leaf Foods Inc. | Canada | 8,583 |
| (143,109) |
Mondelez International Inc., A | United States | 5,840 |
| (308,352) |
|
|
|
|
|
|
|
|
| (875,031) |
Health Care Equipment & Supplies (0.4)% |
|
|
|
|
|
|
|
| |
DexCom Inc. | United States | 6,417 |
| (1,771,092) |
Insulet Corp. | United States | 2,436 |
| (462,767) |
Integra Lifesciences Holdings Corp. | United States | 6,294 |
| (327,917) |
NuVasive Inc. | United States | 4,200 |
| (276,402) |
37
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
| Country | Shares |
| Value |
|
|
|
|
|
Securities Sold Short (continued) |
|
|
|
|
Common Stocks (continued) |
|
|
|
|
Health Care Equipment & Supplies (continued) |
|
|
|
|
Wright Medical Group NV | United States | 46,362 | $ | (1,402,451) |
|
|
|
|
|
|
|
|
| (4,240,629) |
Health Care Technology (0.1)% |
|
|
|
|
|
|
|
| |
Allscripts Healthcare Solutions Inc. | United States | 42,644 |
| (321,536) |
Evolent Health Inc., A | United States | 8,370 |
| (77,339) |
Tabula Rasa HealthCare Inc. | United States | 13,700 |
| (769,529) |
|
|
|
|
|
|
|
|
| (1,168,404) |
Hotels, Restaurants & Leisure (0.3)% |
|
|
|
|
|
|
|
| |
Chipotle Mexican Grill Inc., A | United States | 57 |
| (44,094) |
Eldorado Resorts Inc. | United States | 39,424 |
| (1,978,296) |
Luckin Coffee Inc., ADR | China | 20,646 |
| (816,756) |
Marriott Vacations Worldwide Corp. | United States | 2,139 |
| (207,012) |
Norwegian Cruise Line Holdings Ltd. | United States | 4,306 |
| (160,442) |
Royal Caribbean Cruises Ltd. | United States | 1,975 |
| (158,810) |
Yum China Holdings Inc. | China | 10,694 |
| (468,290) |
|
|
|
|
|
|
|
|
| (3,833,700) |
Independent Power & Renewable Electricity Producers (0.0)%† |
|
|
|
|
|
|
|
| |
NRG Energy Inc. | United States | 5,100 |
| (169,371) |
Interactive Media & Services (0.3)% |
|
|
|
|
|
|
|
| |
IAC/InterActiveCorp | United States | 1,827 |
| (372,598) |
Joyy Inc., ADR | China | 3,942 |
| (212,750) |
Snap Inc., A | United States | 36,631 |
| (519,061) |
Twitter Inc. | United States | 5,537 |
| (183,829) |
Zillow Group Inc., C | United States | 40,125 |
| (2,239,376) |
|
|
|
|
|
|
|
|
| (3,527,614) |
Internet & Direct Marketing Retail (0.0)%† |
|
|
|
|
|
|
|
| |
Wayfair Inc., A | United States | 6,226 |
| (393,545) |
IT Services (0.2)% |
|
|
|
|
|
|
|
| |
Akamai Technologies Inc. | United States | 2,838 |
| (245,515) |
Cardtronics PLC, A | United States | 5,691 |
| (206,412) |
CSG Systems International Inc. | United States | 6,976 |
| (308,688) |
I3 Verticals Inc., A | United States | 14,614 |
| (423,514) |
KBR Inc. | United States | 30,200 |
| (783,992) |
Okta Inc., A | United States | 2,795 |
| (357,928) |
Perficient Inc. | United States | 10,867 |
| (445,221) |
|
|
|
|
|
|
|
|
| (2,771,270) |
Life Sciences Tools & Services (0.0)%† |
|
|
|
|
|
|
|
| |
Repligen Corp. | United States | 4,512 |
| (386,227) |
Machinery (0.1)% |
|
|
|
|
|
|
|
| |
Cummins Inc. | United States | 595 |
| (90,017) |
The Greenbrier Cos. Inc. | United States | 3,446 |
| (83,497) |
Kennametal Inc. | United States | 31,611 |
| (878,786) |
The Timken Co. | United States | 13,284 |
| (595,654) |
|
|
|
|
|
|
|
|
| (1,647,954) |
Marine (0.1)% |
|
|
|
|
|
|
|
| |
Kuehne + Nagel International AG | Switzerland | 5,860 |
| (857,796) |
Media (0.1)% |
|
|
|
|
|
|
|
| |
Liberty Latin America Ltd., C | Chile | 33,095 |
| (502,713) |
Sirius XM Holdings Inc. | United States | 109,873 |
| (696,595) |
|
|
|
|
|
|
|
|
| (1,199,308) |
|
|
|
|
|
38
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
| Country | Shares |
| Value |
|
|
|
|
|
Securities Sold Short (continued) |
|
|
|
|
Common Stocks (continued) |
|
|
|
|
Metals & Mining (0.2)% |
|
|
|
|
Endeavour Mining Corp. | Ivory Coast | 14,034 | $ | (247,797) |
First Majestic Silver Corp. | Canada | 80,828 |
| (609,443) |
Kaiser Aluminum Corp. | United States | 1,363 |
| (128,872) |
Kumba Iron Ore Ltd. | South Africa | 6,034 |
| (111,197) |
Pretium Resources Inc. | Canada | 18,700 |
| (132,770) |
SSR Mining Inc. | Canada | 36,117 |
| (571,732) |
|
|
|
|
|
|
|
|
| (1,801,811) |
Mortgage Real Estate Investment Trusts (REITs) (0.0)%† |
|
|
|
|
|
|
|
| |
Redwood Trust Inc. | United States | 23,219 |
| (396,580) |
Oil, Gas & Consumable Fuels (0.1)% |
|
|
|
|
|
|
|
| |
Apache Corp. | United States | 13,243 |
| (330,015) |
Diamondback Energy Inc. | United States | 4,117 |
| (255,254) |
Pioneer Natural Resources Co. | United States | 5,133 |
| (630,230) |
SFL Corp. Ltd. | Norway | 5,666 |
| (68,785) |
Suncor Energy Inc. | Canada | 4,291 |
| (118,432) |
|
|
|
|
|
|
|
|
| (1,402,716) |
Personal Products (0.0)%† |
|
|
|
|
|
|
|
| |
Herbalife Nutrition Ltd. | United States | 12,072 |
| (390,650) |
Pharmaceuticals (0.3)% |
|
|
|
|
|
|
|
| |
Aerie Pharmaceuticals Inc. | United States | 31,931 |
| (558,793) |
Aphria Inc. | Canada | 3,281 |
| (12,008) |
Aurora Cannabis Inc. | Canada | 2,867 |
| (3,842) |
Canopy Growth Corp. | Canada | 1,043 |
| (19,558) |
Collegium Pharmaceutical Inc. | United States | 20,169 |
| (479,014) |
Horizon Therapeutics PLC | United States | 26,211 |
| (896,940) |
Innoviva Inc. | United States | 31,304 |
| (421,665) |
Pacira Biosciences Inc. | United States | 8,407 |
| (364,696) |
Revance Therapeutics Inc. | United States | 18,856 |
| (435,951) |
Theravance Biopharma Inc. | Cayman Islands | 14,903 |
| (362,888) |
|
|
|
|
|
|
|
|
| (3,555,355) |
Real Estate Management & Development (0.1)% |
|
|
|
|
|
|
|
| |
Redfin Corp. | United States | 27,293 |
| (738,549) |
Road & Rail (0.1)% |
|
|
|
|
|
|
|
| |
Avis Budget Group Inc. | United States | 33,043 |
| (1,069,767) |
Union Pacific Corp. | United States | 287 |
| (45,866) |
|
|
|
|
|
|
|
|
| (1,115,633) |
Semiconductors & Semiconductor Equipment (0.5)% |
|
|
|
|
|
|
|
| |
Cree Inc. | United States | 8,769 |
| (392,237) |
Cypress Semiconductor Corp. | United States | 49,545 |
| (1,143,994) |
Enphase Energy Inc. | United States | 22,632 |
| (1,108,289) |
Impinj Inc. | United States | 9,811 |
| (301,688) |
Microchip Technology Inc. | United States | 14,065 |
| (1,275,836) |
Rambus Inc. | United States | 20,675 |
| (289,037) |
SMART Global Holdings Inc. | United States | 19,771 |
| (530,654) |
Synaptics Inc. | United States | 7,749 |
| (511,821) |
|
|
|
|
|
|
|
|
| (5,553,556) |
Software (0.6)% |
|
|
|
|
|
|
|
| |
8x8 Inc. | United States | 26,991 |
| (499,333) |
Alteryx Inc., A | United States | 4,669 |
| (651,886) |
Avaya Holdings Corp. | United States | 2,836 |
| (36,755) |
Benefitfocus Inc. | United States | 2,260 |
| (28,205) |
Blackline Inc. | United States | 11,659 |
| (729,504) |
Coupa Software Inc. | United States | 4,790 |
| (717,302) |
39
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
| Country | Shares |
| Value |
|
|
|
|
|
Securities Sold Short (continued) |
|
|
|
|
Common Stocks (continued) |
|
|
|
|
Software (continued) |
|
|
|
|
Everbridge Inc. | United States | 5,731 | $ | (605,537) |
J2 Global Inc. | United States | 1,141 |
| (99,644) |
LivePerson Inc. | United States | 19,875 |
| (525,892) |
New Relic Inc. | United States | 1,138 |
| (64,024) |
Nuance Communications Inc. | United States | 43,133 |
| (932,535) |
Nutanix Inc., A | United States | 18,718 |
| (446,237) |
Palo Alto Networks Inc. | United States | 1,151 |
| (212,498) |
Pegasystems Inc. | United States | 427 |
| (38,644) |
Pluralsight Inc., A | United States | 12,713 |
| (226,673) |
PROS Holdings Inc. | United States | 3,754 |
| (171,896) |
Rapid7 Inc. | United States | 16,164 |
| (748,393) |
RingCentral Inc., A | United States | 1,686 |
| (397,475) |
SailPoint Technologies Holding Inc. | United States | 24,548 |
| (621,555) |
Workiva Inc., A | United States | 3,802 |
| (162,497) |
|
|
|
|
|
|
|
|
| (7,916,485) |
Specialty Retail (0.0)%† |
|
|
|
|
|
|
|
| |
RH | United States | 2,484 |
| (450,598) |
Technology Hardware, Storage & Peripherals (0.1)% |
|
|
|
|
|
|
|
| |
Apple Inc. | United States | 2,949 |
| (806,139) |
Pure Storage Inc., A | United States | 11,697 |
| (178,496) |
Western Digital Corp. | United States | 537 |
| (29,836) |
|
|
|
|
|
|
|
|
| (1,014,471) |
Tobacco (0.0)%† |
|
|
|
|
|
|
|
| |
Turning Point Brands Inc. | United States | 11,189 |
| (292,592) |
Trading Companies & Distributors (0.1)% |
|
|
|
|
|
|
|
| |
GATX Corp. | United States | 6,451 |
| (461,440) |
Kaman Corp. | United States | 10,791 |
| (598,469) |
|
|
|
|
|
|
|
|
| (1,059,909) |
Transportation Infrastructure (0.1)% |
|
|
|
|
|
|
|
| |
Westshore Terminals Investment Corp. | Canada | 107,836 |
| (1,131,987) |
Wireless Telecommunication Services (0.3)% |
|
|
|
|
|
|
|
| |
T-Mobile U.S. Inc. | United States | 35,099 |
| (3,164,526) |
Total Common Stocks (Proceeds $90,145,107) |
|
|
|
|
|
|
| (83,717,321) | |
Exchange Traded Funds (9.1)% |
|
|
|
|
|
|
|
| |
Consumer Discretionary Select Sector SPDR Fund | United States | 3,985 |
| (461,583) |
ETFMG Prime Cyber Security ETF | United States | 46,822 |
| (1,858,365) |
Health Care Select Sector SPDR Fund | United States | 136,654 |
| (12,655,527) |
Invesco QQQ Series 1 ETF | United States | 13,728 |
| (2,825,222) |
iShares Core S&P Small-Cap ETF | United States | 23,186 |
| (1,687,709) |
iShares Edge MSCI USA Momentum Factor ETF | United States | 20,200 |
| (2,442,180) |
iShares MSCI Taiwan ETF | Taiwan | 69,615 |
| (2,604,993) |
iShares NASDAQ Biotechnology ETF | United States | 44,004 |
| (5,011,176) |
iShares North American Tech ETF | United States | 16,789 |
| (3,945,583) |
iShares North American Tech-Multimedia Networking ETF | United States | 40,168 |
| (1,947,947) |
iShares North American Tech-Software ETF | United States | 18,419 |
| (4,320,729) |
iShares PHLX Semiconductor ETF | United States | 23,806 |
| (5,517,993) |
iShares Russell 2000 Growth ETF | United States | 11,934 |
| (2,351,356) |
iShares Russell Mid-Cap Growth ETF | United States | 10,593 |
| (1,518,189) |
iShares S&P Small-Cap 600 Growth ETF | United States | 6,205 |
| (1,074,023) |
iShares U.S. Technology ETF | United States | 2,364 |
| (534,808) |
iShares U.S. Telecommunications ETF | United States | 34,800 |
| (974,052) |
SPDR S&P 500 ETF Trust | United States | 192,518 |
| (57,035,383) |
40
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
| Country | Shares |
| Value | |
|
|
|
|
|
|
Securities Sold Short (continued) |
|
|
|
|
|
Exchange Traded Funds (continued) |
|
|
|
|
|
SPDR S&P MidCap 400 ETF Trust | United States | 3,460 |
| $ | (1,145,571) |
SPDR S&P Oil & Gas Exploration & Production ETF | United States | 1,383 |
|
| (21,271) |
Vanguard Small-Cap Growth ETF | United States | 13,418 |
|
| (2,478,170) |
Total Exchange Traded Funds (Proceeds $119,256,507) |
|
|
|
|
|
|
|
|
| (112,411,830) | |
|
| Principal |
|
| |
|
|
|
| ||
|
| Amount* |
|
| |
Corporate Bonds and Notes (Proceeds $143,508) (0.0)%† |
|
|
|
|
|
Apparel (0.0)%† |
|
|
|
|
|
fHanesbrands Inc., senior bond, 144A, 4.875%, 5/15/26 | United States | 137,000 |
|
| (143,761) |
U.S. Government and Agency Securities (0.3)% |
|
|
|
|
|
U.S. Treasury Note, |
|
|
|
|
|
1.75%, 11/15/29 | United States | 2,518,000 |
|
| (2,659,146) |
1.50%, 2/15/30 | United States | 1,319,000 |
|
| (1,364,134) |
Total U.S. Government and Agency Securities |
|
|
|
|
|
|
|
|
|
| |
(Proceeds $3,858,830) |
|
|
|
| (4,023,280) |
Total Securities Sold Short (Proceeds $213,403,952) |
|
|
|
|
|
|
|
| $ | (200,296,192) |
†Rounds to less than 0.1% of net assets.
*The principal amount is stated in U.S. dollars unless otherwise indicated.
#Notional amount is the number of units specified in the contract, and can include currency units, bushels, shares, pounds, barrels or other units. Currency units are stated in U.S. dollars unless otherwise indicated.
aNon-income producing.
bA portion or all of the security has been segregated as collateral for securities sold short, open swap contracts, open forward exchange contracts, open futures contracts and/or open written option contracts. At February 29, 2020, the aggregate value of these securities and/or cash pledged amounted to $345,850,699, representing 28.1% of net assets.
cA portion or all of the security is held in connection with written option contracts open at period end. dFair valued using significant unobservable inputs. See Note 8 regarding fair value measurements. eA portion or all of the security is on loan at February 29, 2020.
fSecurity was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from registration only to qualified institutional buyers or in public offering registered under the Securities Act of 1933. At February 29, 2020, the net value of these securities was $188,625,693, representing 15.3% of net assets.
gSee Note 4 regarding restricted securities.
hContingent distributions represent the right to receive additional distributions, if any, during the reorganization of the underlying company. iPerpetual security with no stated maturity date.
jThe coupon rate shown represents the rate at period end.
kSecurities denominated in Argentine Peso have been designated as Level 3 investments. See Note 8 regarding fair value measurements. lSecurity was purchased pursuant to Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. Such a security cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. At February 29, 2020, the aggregate value of these securities was $11,778,629, representing 1.0% of net assets.
mA portion or all of the security purchased on a delayed delivery basis. nIncome may be received in additional securities and/or cash.
oDefaulted security or security for which income has been deemed uncollectible.
pThe coupon rate shown represents the rate inclusive of any caps or floors, if applicable, in effect at period end.
qAdjustable rate security with an interest rate that is not based on a published reference index and spread. The rate is based on the structure of the agreement and current market conditions. The coupon rate shown represents the rate at period end.
rInvestment in an interest-only security entitles holders to receive only the interest payments of the underlying instruments. The principal amount shown is the notional amount of the underlying instruments.
sThe rate shown is the annualized seven-day effective yield at period end.
tA portion or all of the security is owned by K2 Holdings Investment Corp., a wholly-owned subsidiary of the Fund. See Note 7.
uInvestment is through participation in a joint account with other funds managed by the investment manager or an affiliate of the investment manager. At February 29, 2020, all repurchase agreements had been entered into on February 28, 2020.
vThe security was issued on a discount basis with no stated coupon rate.
wSee Note 6 regarding investments in affiliated management investment companies.
41
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
At February 29, 2020, the Fund had the following futures contracts outstanding. See Note 3.
Futures Contracts
|
|
|
|
| Value/Unrealized | |
|
| Number of | Notional | Expiration |
| Appreciation |
Description | Type | Contracts | Amount* | Date |
| (Depreciation) |
Commodity Contractsa |
|
|
|
|
|
|
Aluminum . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | Long | 46 | $ 1,938,325 | 3/16/20 | $ | (119,920) |
Aluminum . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | Short | 46 | 1,938,325 | 3/16/20 |
| 152,370 |
Aluminum . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | Long | 5 | 212,469 | 6/15/20 |
| (1,784) |
Aluminum . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | Short | 5 | 212,469 | 6/15/20 |
| 2,828 |
Brent Crude Oil . . . . . . . . . . . . . . . . . . . . . . . . . | Short | 40 | 1,986,800 | 3/31/20 |
| 309,609 |
Cocoa. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | Long | 24 | 601,584 | 5/13/20 |
| (11,237) |
Coffee . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | Short | 8 | 334,050 | 5/18/20 |
| (9,135) |
Copper . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | Long | 21 | 2,955,225 | 3/16/20 |
| (222,658) |
Copper . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | Short | 21 | 2,955,225 | 3/16/20 |
| 151,437 |
Copper . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | Long | 1 | 141,025 | 6/15/20 |
| (753) |
Copper . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | Short | 14 | 1,974,350 | 6/15/20 |
| 30,913 |
Gold 100 Oz . . . . . . . . . . . . . . . . . . . . . . . . . . . | Long | 4 | 626,680 | 4/28/20 |
| (28,619) |
Low Sulphur Gas Oil . . . . . . . . . . . . . . . . . . . . . . | Short | 11 | 483,450 | 4/08/20 |
| 33,208 |
Natural Gas . . . . . . . . . . . . . . . . . . . . . . . . . . . . | Short | 25 | 421,000 | 3/27/20 |
| 48,395 |
Silver . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | Long | 39 | 3,209,115 | 5/27/20 |
| (362,018) |
Zinc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | Long | 24 | 1,207,800 | 3/16/20 |
| (126,911) |
Zinc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | Short | 24 | 1,207,800 | 3/16/20 |
| 297,186 |
Zinc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | Long | 1 | 50,525 | 6/15/20 |
| 1,047 |
Zinc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | Short | 24 | 1,212,600 | 6/15/20 |
| 60,851 |
|
|
|
|
|
| 204,809 |
Equity Contracts |
|
|
|
|
|
|
|
|
|
|
|
| |
CAC 40 10 Euro Indexa . . . . . . . . . . . . . . . . . . . . | Long | 10 | 585,810 | 3/20/20 |
| (77,575) |
CME E-Mini Russell 2000 Indexa . . . . . . . . . . . . . . | Long | 6 | 442,470 | 3/20/20 |
| (50,166) |
CME E-Mini Russell 2000 Index . . . . . . . . . . . . . . | Short | 157 | 11,577,965 | 3/20/20 |
| 1,363,454 |
DAX Indexa . . . . . . . . . . . . . . . . . . . . . . . . . . . . | Long | 31 | 10,111,858 | 3/20/20 |
| (1,239,781) |
DJ EURO STOXX 50 Indexa . . . . . . . . . . . . . . . . . | Long | 270 | 9,877,903 | 3/20/20 |
| (1,212,939) |
DJ EURO STOXX 50 Index . . . . . . . . . . . . . . . . . | Short | 445 | 16,280,248 | 3/20/20 |
| 2,018,588 |
DJIA Mini E-CBOT Indexa . . . . . . . . . . . . . . . . . . | Short | 6 | 760,920 | 3/20/20 |
| (10,787) |
FTSE 100 Indexa . . . . . . . . . . . . . . . . . . . . . . . . | Long | 41 | 3,431,912 | 3/20/20 |
| (499,577) |
FTSE 100 Index . . . . . . . . . . . . . . . . . . . . . . . . . | Short | 67 | 5,608,246 | 3/20/20 |
| 857,100 |
FTSE/MIB Index . . . . . . . . . . . . . . . . . . . . . . . . . | Short | 4 | 486,311 | 3/20/20 |
| 38,874 |
Hang Seng Indexa. . . . . . . . . . . . . . . . . . . . . . . . | Long | 15 | 2,517,960 | 3/30/20 |
| (33,384) |
Hang Seng Index . . . . . . . . . . . . . . . . . . . . . . . . | Short | 1 | 167,864 | 3/30/20 |
| 3,764 |
MSCI Emerging Market Index . . . . . . . . . . . . . . . . | Long | 51 | 2,572,440 | 3/20/20 |
| (163,190) |
MSCI Singapore Index . . . . . . . . . . . . . . . . . . . . | Long | 51 | 1,259,714 | 3/30/20 |
| (64,391) |
MSCI Singapore Index . . . . . . . . . . . . . . . . . . . . | Short | 11 | 271,703 | 3/30/20 |
| 4,188 |
MSCI Taiwan Index. . . . . . . . . . . . . . . . . . . . . . . | Long | 2 | 84,220 | 3/30/20 |
| (4,019) |
NASDAQ 100 E-Mini Indexa . . . . . . . . . . . . . . . . . | Long | 20 | 3,381,600 | 3/20/20 |
| (14,827) |
NASDAQ 100 E-Mini Index . . . . . . . . . . . . . . . . . | Short | 1 | 169,080 | 3/20/20 |
| 3,060 |
Nikkei 225 Indexa . . . . . . . . . . . . . . . . . . . . . . . . | Long | 13 | 2,540,701 | 3/12/20 |
| (271,860) |
S&P 500 E-Mini Indexa . . . . . . . . . . . . . . . . . . . . | Long | 62 | 9,148,410 | 3/20/20 |
| (644,874) |
S&P 500 E-Mini Index . . . . . . . . . . . . . . . . . . . . . | Short | 519 | 76,581,045 | 3/20/20 |
| 5,596,258 |
STOXX 600 Banks Index . . . . . . . . . . . . . . . . . . . | Long | 1,985 | 13,564,371 | 3/20/20 |
| (2,021,918) |
STOXX 600 Banks Index . . . . . . . . . . . . . . . . . . . | Short | 129 | 881,513 | 3/20/20 |
| 140,637 |
STOXX Europe 600 Index . . . . . . . . . . . . . . . . . . | Short | 26 | 535,591 | 3/20/20 |
| 55,041 |
TOPIX Indexa . . . . . . . . . . . . . . . . . . . . . . . . . . . | Long | 77 | 10,704,756 | 3/12/20 |
| (1,543,297) |
TOPIX Index . . . . . . . . . . . . . . . . . . . . . . . . . . . | Short | 45 | 6,256,026 | 3/12/20 |
| 906,298 |
|
|
|
|
|
| 3,134,677 |
Interest Rate Contracts |
|
|
|
|
|
|
|
|
|
|
|
| |
3 Month EURIBORa . . . . . . . . . . . . . . . . . . . . . . | Long | 300 | 83,226,618 | 6/14/21 |
| 77,802 |
90 Day Eurodollara . . . . . . . . . . . . . . . . . . . . . . . | Long | 600 | 148,830,000 | 6/14/21 |
| 1,207,716 |
90 Day Sterlinga . . . . . . . . . . . . . . . . . . . . . . . . . | Long | 450 | 71,814,419 | 6/16/21 |
| 118,467 |
Australian 10 Yr. Bonda . . . . . . . . . . . . . . . . . . . . | Long | 27 | 2,633,879 | 3/16/20 |
| 65,566 |
42
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Futures Contracts (continued)
|
|
|
|
| Value/Unrealized |
| |
|
| Number of | Notional | Expiration | Appreciation |
| |
Description | Type | Contracts | Amount* | Date | (Depreciation) |
| |
Interest Rate Contracts (continued) |
|
|
|
|
|
|
|
Euro-BOBL . . . . . . . . . . . . . . . . . . . . . . . . . . . . | Short | 80 | $ 11,980,924 | 3/06/20 $ | (103,931) |
| |
Euro-BTP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | Long | 187 | 30,090,436 | 3/06/20 |
| 475,300 |
|
Euro-BTP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | Long | 8 | 1,291,707 | 6/08/20 |
| (10,474) |
|
Euro-Bund. . . . . . . . . . . . . . . . . . . . . . . . . . . . . | Short | 86 | 16,847,964 | 3/06/20 |
| (406,209) |
|
Euro-SCHATZ . . . . . . . . . . . . . . . . . . . . . . . . . . | Short | 52 | 6,447,474 | 3/06/20 |
| (18,011) |
|
Euro-SCHATZ . . . . . . . . . . . . . . . . . . . . . . . . . . | Short | 7 | 868,277 | 6/08/20 |
| (1,451) |
|
Long Gilt . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | Short | 9 | 1,562,428 | 6/26/20 |
| (13,083) |
|
U.S. Treasury 5 Yr. Note . . . . . . . . . . . . . . . . . . . | Short | 348 | 42,717,000 | 6/30/20 |
| (552,367) |
|
U.S. Treasury 10 Yr. Note . . . . . . . . . . . . . . . . . . | Short | 34 | 4,581,500 | 6/19/20 |
| (69,165) |
|
U.S. Treasury Long Bonda . . . . . . . . . . . . . . . . . . | Long | 155 | 26,388,750 | 6/19/20 |
| 698,679 |
|
U.S. Treasury Long Bond. . . . . . . . . . . . . . . . . . . | Short | 22 | 3,745,500 | 6/19/20 |
| (86,122) |
|
U.S. Treasury Ultra Bond . . . . . . . . . . . . . . . . . . . | Long | 22 | 4,565,000 | 6/19/20 |
| 127,728 |
|
U.S. Treasury Ultra Bond . . . . . . . . . . . . . . . . . . . | Short | 12 | 2,490,000 | 6/19/20 |
| 1,079 |
|
|
|
|
|
|
| 1,511,524 |
|
|
|
|
|
|
|
|
|
Total Futures Contracts . . . . . . . . . . . . . . . . . | . . . . . . . . . | . . . . . . . . . | . . . . . . . . . . . . | . . . . . . . . $ | 4,851,010 |
| |
|
|
|
|
|
|
|
|
*As of period end.
aA portion or all of the contracts are owned by K2 Holdings Investment Corp., a wholly-owned subsidiary of the Fund. See Note 7.
At February 29, 2020, the Fund had the following forward exchange contracts outstanding. See Note 3.
Forward Exchange Contracts
|
|
|
| Contract | Settlement | Unrealized |
| Unrealized |
Currency | Counterpartya | Type | Quantity | Amount* | Date Appreciation | Depreciation | ||
OTC Forward Exchange Contracts |
|
|
|
|
|
|
|
|
Australian Dollar. . . . . . . . . . . . . . | JPHQ | Sell | 154 | 100 | 3/02/20 $ | – | $ | – |
Brazilian Real . . . . . . . . . . . . . . . | JPHQ | Buy | 48,177,901 | 11,063,947 | 3/03/20 | 31,027 |
| (323,627) |
Brazilian Real . . . . . . . . . . . . . . . | JPHQ | Sell | 48,177,901 | 10,996,608 | 3/03/20 | 256,287 |
| (31,026) |
Canadian Dollar . . . . . . . . . . . . . . | BOFA | Sell | 513,690 | 382,003 | 3/06/20 | – |
| (707) |
Canadian Dollar . . . . . . . . . . . . . . | GSCO | Sell | 1,476,450 | 1,104,829 | 3/06/20 | 5,232 |
| (390) |
Canadian Dollar . . . . . . . . . . . . . . | JPHQ | Sell | 3,638,684 | 2,732,368 | 3/06/20 | 22,256 |
| (788) |
Canadian Dollar . . . . . . . . . . . . . . | MSCO | Sell | 3,999,802 | 3,000,168 | 3/06/20 | 22,348 |
| (2,122) |
Canadian Dollar . . . . . . . . . . . . . . | UBSW | Buy | 13,108,033 | 9,947,661 | 3/06/20 | – |
| (181,886) |
Canadian Dollar . . . . . . . . . . . . . . | UBSW | Sell | 1,126,324 | 843,183 | 3/06/20 | 4,462 |
| (415) |
Turkish Lira . . . . . . . . . . . . . . . . . | JPHQ | Buy | 5,488,821 | 897,189 | 3/06/20 | – |
| (18,915) |
Turkish Lira . . . . . . . . . . . . . . . . . | JPHQ | Sell | 5,488,821 | 910,857 | 3/06/20 | 32,583 |
| – |
Chilean Peso . . . . . . . . . . . . . . . . | JPHQ | Buy | 450,197,568 | 578,837 | 3/10/20 | – |
| (28,383) |
Chilean Peso . . . . . . . . . . . . . . . . | JPHQ | Sell | 450,197,568 | 581,981 | 3/10/20 | 31,528 |
| – |
Colombian Peso. . . . . . . . . . . . . . | JPHQ | Buy | 3,473,416,122 | 1,006,349 | 3/10/20 | – |
| (19,823) |
Colombian Peso. . . . . . . . . . . . . . | JPHQ | Sell | 796,896,563 | 244,028 | 3/10/20 | 17,692 |
| – |
British Pound . . . . . . . . . . . . . . . . | MSCO | Sell | 515,000 | 688,345 | 3/16/20 | 27,726 |
| – |
Malaysian Ringgit . . . . . . . . . . . . . | BZWS | Buy | 3,445,000 | 827,687 | 3/16/20 | – |
| (10,709) |
Malaysian Ringgit . . . . . . . . . . . . . | BZWS | Sell | 3,445,000 | 829,122 | 3/16/20 | 12,144 |
| – |
Swiss Franc. . . . . . . . . . . . . . . . . | JPHQ | Buy | 455,625 | 468,614 | 3/17/20 | 4,228 |
| – |
Swiss Franc. . . . . . . . . . . . . . . . . | MSCO | Buy | 7,247,164 | 7,470,599 | 3/17/20 | 52,219 |
| (1,784) |
Swiss Franc. . . . . . . . . . . . . . . . . | MSCO | Sell | 241,929 | 247,858 | 3/17/20 | – |
| (3,213) |
Swiss Franc. . . . . . . . . . . . . . . . . | UBSW | Sell | 10,233,205 | 10,481,619 | 3/17/20 | – |
| (138,298) |
Brazilian Real . . . . . . . . . . . . . . . | JPHQ | Buy | 3,413,313 | 780,104 | 3/18/20 | – |
| (17,728) |
British Pound . . . . . . . . . . . . . . . . | BNYM | Buy | 34,037 | 44,692 | 3/18/20 | – |
| (1,029) |
British Pound . . . . . . . . . . . . . . . . | BNYM | Sell | 1,089,792 | 1,457,970 | 3/18/20 | 59,951 |
| – |
British Pound . . . . . . . . . . . . . . . . | MSCO | Sell | 1,200,000 | 1,604,774 | 3/18/20 | 65,377 |
| – |
Chinese Yuan . . . . . . . . . . . . . . . | JPHQ | Buy | 23,718,446 | 3,379,820 | 3/18/20 | 25,211 |
| (7,829) |
43
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Forward Exchange Contracts (continued)
|
|
|
| Contract | Settlement | Unrealized |
| Unrealized |
Currency | Counterpartya | Type | Quantity | Amount* | Date Appreciation | Depreciation | ||
OTC Forward Exchange Contracts (continued) |
|
|
|
|
|
|
| |
Chinese Yuan . . . . . . . . . . . . . . . | JPHQ | Sell | 23,718,446 | 3,427,917 | 3/18/20 $ | 30,715 | $ | – |
Euro . . . . . . . . . . . . . . . . . . . . . . | BNYM | Buy | 422,632 | 465,766 | 3/18/20 | 3,835 |
| (2,495) |
Euro . . . . . . . . . . . . . . . . . . . . . . | BNYM | Sell | 4,729,103 | 5,294,014 | 3/18/20 | 73,148 |
| (5,879) |
Euro . . . . . . . . . . . . . . . . . . . . . . | JPHQ | Buy | 904,981 | 983,563 | 3/18/20 | 18,304 |
| (1,655) |
Euro . . . . . . . . . . . . . . . . . . . . . . | JPHQ | Sell | 1,357,981 | 1,510,860 | 3/18/20 | 9,979 |
| – |
Euro . . . . . . . . . . . . . . . . . . . . . . | MSCO | Sell | 50,000 | 55,937 | 3/18/20 | 676 |
| – |
Euro . . . . . . . . . . . . . . . . . . . . . . | JPHQ | Sell | 1,079,732 | 363,297,991HUF | 3/18/20 | 14,050 |
| (20,708) |
Indian Rupee . . . . . . . . . . . . . . . . | JPHQ | Sell | 105,124,005 | 1,465,000 | 3/18/20 | 11,110 |
| – |
Indonesian Rupiah . . . . . . . . . . . . | JPHQ | Buy | 12,955,016,497 | 907,786 | 3/18/20 | – |
| (6,376) |
Indonesian Rupiah . . . . . . . . . . . . | JPHQ | Sell 117,956,106,229 | 8,382,763 | 3/18/20 | 175,377 |
| – | |
Mexican Peso . . . . . . . . . . . . . . . | JPHQ | Buy | 34,964,090 | 1,802,590 | 3/18/20 | 6,554 |
| (37,995) |
Mexican Peso . . . . . . . . . . . . . . . | JPHQ | Sell | 17,624,507 | 891,816 | 3/18/20 | – |
| (975) |
Polish Zloty . . . . . . . . . . . . . . . . . | JPHQ | Buy | 3,064,701 | 795,063 | 3/18/20 | – |
| (13,608) |
Polish Zloty . . . . . . . . . . . . . . . . . | JPHQ | Sell | 3,064,701 | 792,803 | 3/18/20 | 11,348 |
| – |
Russian Ruble . . . . . . . . . . . . . . . | JPHQ | Buy | 20,800,144 | 327,794 | 3/18/20 | – |
| (17,613) |
Russian Ruble . . . . . . . . . . . . . . . | JPHQ | Sell | 534,059,661 | 8,293,804 | 3/18/20 | 337,873 |
| (8,199) |
South African Rand. . . . . . . . . . . . | JPHQ | Buy | 1,935,050 | 133,897 | 3/18/20 | – |
| (10,202) |
South African Rand. . . . . . . . . . . . | JPHQ | Sell | 98,306,250 | 6,682,747 | 3/18/20 | 398,662 |
| – |
Swiss Franc. . . . . . . . . . . . . . . . . | BNYM | Buy | 84,399 | 87,254 | 3/18/20 | 341 |
| – |
Swiss Franc. . . . . . . . . . . . . . . . . | BNYM | Sell | 496,654 | 507,642 | 3/18/20 | – |
| (7,819) |
Taiwan Dollar. . . . . . . . . . . . . . . . | JPHQ | Buy | 15,790,713 | 527,500 | 3/18/20 | – |
| (5,614) |
Thai Baht . . . . . . . . . . . . . . . . . . | JPHQ | Sell | 44,871,048 | 1,436,172 | 3/18/20 | 13,676 |
| – |
Turkish Lira . . . . . . . . . . . . . . . . . | JPHQ | Buy | 11,016,506 | 1,795,710 | 3/18/20 | – |
| (43,585) |
Turkish Lira . . . . . . . . . . . . . . . . . | JPHQ | Sell | 11,016,506 | 1,753,234 | 3/18/20 | 1,247 |
| (138) |
Japanese Yenb. . . . . . . . . . . . . . . | MSCO | Buy | 2,147,416,000 | 19,648,249 | 3/19/20 | 282,924 |
| (250) |
Japanese Yenb. . . . . . . . . . . . . . . | MSCO | Sell | 2,500,180,000 | 22,713,111 | 3/19/20 | – |
| (491,943) |
Australian Dollarb . . . . . . . . . . . . . | MSCO | Buy | 23,684,000 | 16,378,767 | 3/20/20 | – |
| (942,280) |
Australian Dollarb . . . . . . . . . . . . . | MSCO | Sell | 43,495,000 | 29,622,218 | 3/20/20 | 1,273,535 |
| – |
British Pound . . . . . . . . . . . . . . . . | BNYM | Buy | 96,160 | 123,896 | 3/20/20 | – |
| (531) |
British Pound . . . . . . . . . . . . . . . . | BNYM | Sell | 2,510,557 | 3,258,854 | 3/20/20 | 38,043 |
| – |
British Pound . . . . . . . . . . . . . . . . | BZWS | Buy | 1,750,000 | 2,298,277 | 3/20/20 | – |
| (53,190) |
British Pound . . . . . . . . . . . . . . . . | BZWS | Sell | 1,761,000 | 2,310,046 | 3/20/20 | 50,846 |
| – |
British Poundb . . . . . . . . . . . . . . . | MSCO | Buy | 9,079,000 | 11,913,484 | 3/20/20 | – |
| (265,972) |
British Poundb . . . . . . . . . . . . . . . | MSCO | Sell | 4,366,000 | 5,665,796 | 3/20/20 | 64,625 |
| – |
Canadian Dollar . . . . . . . . . . . . . . | BZWS | Buy | 6,175,000 | 4,712,852 | 3/20/20 | – |
| (112,275) |
Canadian Dollar . . . . . . . . . . . . . . | BZWS | Sell | 11,642,000 | 8,853,229 | 3/20/20 | 179,560 |
| – |
Canadian Dollarb . . . . . . . . . . . . . | MSCO | Buy | 15,340,000 | 11,754,174 | 3/20/20 | 89 |
| (325,465) |
Canadian Dollarb . . . . . . . . . . . . . | MSCO | Sell | 16,698,000 | 12,620,104 | 3/20/20 | 179,551 |
| – |
Euro . . . . . . . . . . . . . . . . . . . . . . | BNYM | Buy | 2,984,632 | 3,270,888 | 3/20/20 | 28,242 |
| – |
Euro . . . . . . . . . . . . . . . . . . . . . . | BNYM | Sell | 21,947,180 | 23,905,966 | 3/20/20 | – |
| (353,839) |
Euro . . . . . . . . . . . . . . . . . . . . . . | BZWS | Buy | 1,293,000 | 1,433,967 | 3/20/20 | 5,554 |
| (10,270) |
Euro . . . . . . . . . . . . . . . . . . . . . . | BZWS | Sell | 6,365,000 | 7,097,006 | 3/20/20 | 67,646 |
| (6,332) |
Eurob . . . . . . . . . . . . . . . . . . . . . | MSCO | Buy | 10,258,000 | 11,455,090 | 3/20/20 | 14,980 |
| (131,162) |
Eurob . . . . . . . . . . . . . . . . . . . . . | MSCO | Sell | 29,264,000 | 32,544,527 | 3/20/20 | 263,861 |
| (66,949) |
Hong Kong Dollar . . . . . . . . . . . . . | BNYM | Buy | 524,734 | 67,341 | 3/20/20 | – |
| (20) |
Hong Kong Dollar . . . . . . . . . . . . . | BNYM | Sell | 18,296,759 | 2,355,617 | 3/20/20 | 8,213 |
| – |
Mexican Pesob . . . . . . . . . . . . . . . | MSCO | Buy | 20,899,000 | 1,091,345 | 3/20/20 | – |
| (33,027) |
Mexican Pesob . . . . . . . . . . . . . . . | MSCO | Sell | 2,359,000 | 122,277 | 3/20/20 | 2,858 |
| (39) |
New Zealand Dollarb . . . . . . . . . . . | MSCO | Buy | 7,315,000 | 4,856,738 | 3/20/20 | 39 |
| (283,559) |
New Zealand Dollarb . . . . . . . . . . . | MSCO | Sell | 9,365,000 | 5,980,374 | 3/20/20 | 125,529 |
| – |
Swiss Franc. . . . . . . . . . . . . . . . . | BNYM | Buy | 38,353 | 39,555 | 3/20/20 | 256 |
| – |
Swiss Franc. . . . . . . . . . . . . . . . . | BNYM | Sell | 2,989,501 | 3,065,054 | 3/20/20 | – |
| (38,108) |
Swiss Francb . . . . . . . . . . . . . . . . | MSCO | Buy | 17,085,000 | 17,649,300 | 3/20/20 | 86,507 |
| (1,229) |
Swiss Francb . . . . . . . . . . . . . . . . | MSCO | Sell | 7,513,000 | 7,715,296 | 3/20/20 | 142 |
| (83,493) |
Australian Dollar. . . . . . . . . . . . . . | BZWS | Sell | 76,233 | 51,113 | 3/23/20 | 1,423 |
| – |
Australian Dollar. . . . . . . . . . . . . . | MSCO | Sell | 2,367,976 | 1,610,376 | 3/23/20 | 66,889 |
| – |
Australian Dollar. . . . . . . . . . . . . . | UBSW | Buy | 3,334,268 | 2,305,723 | 3/23/20 | – |
| (132,391) |
Australian Dollar. . . . . . . . . . . . . . | UBSW | Sell | 890,059 | 611,208 | 3/23/20 | 31,053 |
| – |
44
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Forward Exchange Contracts (continued)
|
|
|
| Contract | Settlement | Unrealized |
| Unrealized |
Currency | Counterpartya | Type | Quantity | Amount* | Date Appreciation | Depreciation | ||
OTC Forward Exchange Contracts (continued) |
|
|
|
|
|
|
| |
Canadian Dollar . . . . . . . . . . . . . . | BOFA | Sell | 145,000 | 109,467 | 3/23/20 $ | 1,437 | $ | – |
Euro . . . . . . . . . . . . . . . . . . . . . . | BOFA | Sell | 155,000 | 167,542 | 3/23/20 | – |
| (3,824) |
Euro . . . . . . . . . . . . . . . . . . . . . . | BZWS | Buy | 304,314 | 331,377 | 3/23/20 | 5,068 |
| – |
Euro . . . . . . . . . . . . . . . . . . . . . . | BZWS | Sell | 115,000 | 124,285 | 3/23/20 | – |
| (2,857) |
Euro . . . . . . . . . . . . . . . . . . . . . . | GSCO | Buy | 936,603 | 1,020,291 | 3/23/20 | 15,204 |
| – |
Euro . . . . . . . . . . . . . . . . . . . . . . | JPHQ | Buy | 508,127 | 553,899 | 3/23/20 | 7,879 |
| – |
Euro . . . . . . . . . . . . . . . . . . . . . . | MSCO | Buy | 1,042,249 | 1,135,614 | 3/23/20 | 16,682 |
| – |
Euro . . . . . . . . . . . . . . . . . . . . . . | MSCO | Sell | 4,238,269 | 4,583,579 | 3/23/20 | – |
| (102,192) |
Euro . . . . . . . . . . . . . . . . . . . . . . | UBSW | Buy | 903,282 | 984,063 | 3/23/20 | 14,593 |
| – |
Euro . . . . . . . . . . . . . . . . . . . . . . | UBSW | Sell | 491,437 | 535,318 | 3/23/20 | – |
| (8,008) |
Japanese Yen . . . . . . . . . . . . . . . | BZWS | Sell | 30,455,696 | 277,013 | 3/23/20 | – |
| (5,722) |
Japanese Yen . . . . . . . . . . . . . . . | MSCO | Buy | 344,245,578 | 3,149,953 | 3/23/20 | 45,842 |
| – |
South Korean Won . . . . . . . . . . . . | JPHQ | Buy | 502,316,294 | 414,588 | 3/25/20 | – |
| (847) |
Taiwan Dollar. . . . . . . . . . . . . . . . | JPHQ | Sell | 105,935,707 | 3,479,577 | 3/25/20 | – |
| (22,633) |
Indian Rupee . . . . . . . . . . . . . . . . | JPHQ | Sell | 38,358,029 | 531,179 | 3/26/20 | 1,129 |
| – |
Australian Dollar. . . . . . . . . . . . . . | JPHQ | Sell | 102,305 | 67,655 | 3/30/20 | 959 |
| – |
British Pound . . . . . . . . . . . . . . . . | JPHQ | Buy | 4,160,846 | 5,400,907 | 3/30/20 | – |
| (61,355) |
Canadian Dollar . . . . . . . . . . . . . . | JPHQ | Buy | 3,397,918 | 2,580,062 | 3/30/20 | – |
| (48,478) |
Canadian Dollar . . . . . . . . . . . . . . | JPHQ | Sell | 7,978,969 | 6,007,752 | 3/30/20 | 63,101 |
| – |
Chinese Yuan . . . . . . . . . . . . . . . | JPHQ | Sell | 11,422,034 | 1,624,020 | 3/30/20 | – |
| (9,262) |
Euro . . . . . . . . . . . . . . . . . . . . . . | BOFA | Sell | 7,092,421 | 7,865,261 | 3/30/20 | 20,444 |
| – |
Euro . . . . . . . . . . . . . . . . . . . . . . | JPHQ | Buy | 758,785 | 829,659 | 3/30/20 | 9,622 |
| – |
Euro . . . . . . . . . . . . . . . . . . . . . . | JPHQ | Sell | 6,198,845 | 6,747,025 | 3/30/20 | – |
| (109,421) |
Euro . . . . . . . . . . . . . . . . . . . . . . | UBSW | Buy | 5,810,309 | 6,367,390 | 3/30/20 | 59,303 |
| – |
Hungarian Forint . . . . . . . . . . . . . | JPHQ | Buy | 386,377,712 | 1,247,055 | 3/30/20 | 15,498 |
| – |
Japanese Yen . . . . . . . . . . . . . . . | JPHQ | Buy | 232,788,499 | 2,121,950 | 3/30/20 | 40,000 |
| – |
Japanese Yen . . . . . . . . . . . . . . . | JPHQ | Sell | 949,436,758 | 8,602,636 | 3/30/20 | – |
| (214,959) |
Mexican Peso . . . . . . . . . . . . . . . | JPHQ | Buy | 297,252,069 | 15,494,761 | 3/30/20 | – |
| (466,622) |
New Israeli Shekel . . . . . . . . . . . . | JPHQ | Sell | 1,811,629 | 529,827 | 3/30/20 | 6,688 |
| – |
New Zealand Dollar . . . . . . . . . . . | JPHQ | Sell | 5,852,576 | 3,712,202 | 3/30/20 | 52,878 |
| – |
Norwegian Krone . . . . . . . . . . . . . | JPHQ | Buy | 82,281,526 | 8,768,892 | 3/30/20 | – |
| (22,293) |
South African Rand. . . . . . . . . . . . | JPHQ | Buy | 4,292,824 | 280,820 | 3/30/20 | – |
| (6,920) |
Swiss Franc. . . . . . . . . . . . . . . . . | JPHQ | Sell | 12,710,833 | 13,040,456 | 3/30/20 | – |
| (163,409) |
Swiss Franc. . . . . . . . . . . . . . . . . | UBSW | Sell | 2,195,900 | 2,273,424 | 3/30/20 | – |
| (7,651) |
Turkish Lira . . . . . . . . . . . . . . . . . | JPHQ | Buy | 12,881,504 | 2,076,778 | 3/30/20 | – |
| (40,476) |
British Pound . . . . . . . . . . . . . . . . | BNYM | Sell | 589,000 | 774,241 | 3/31/20 | 18,369 |
| – |
Canadian Dollar . . . . . . . . . . . . . . | BNYM | Sell | 1,063,000 | 801,649 | 3/31/20 | 9,673 |
| – |
Euro . . . . . . . . . . . . . . . . . . . . . . | BNYM | Sell | 3,500,000 | 3,933,930 | 3/31/20 | 62,411 |
| – |
Euro . . . . . . . . . . . . . . . . . . . . . . | JPHQ | Sell | 1,470,000 | 1,627,080 | 3/31/20 | 1,042 |
| – |
Hong Kong Dollar . . . . . . . . . . . . . | BNYM | Sell | 8,890,000 | 1,143,126 | 3/31/20 | 2,533 |
| – |
Japanese Yen . . . . . . . . . . . . . . . | JPHQ | Sell | 6,200,000 | 56,890 | 3/31/20 | – |
| (694) |
Taiwan Dollar. . . . . . . . . . . . . . . . | JPHQ | Sell | 61,540,395 | 2,059,854 | 3/31/20 | 24,854 |
| – |
Canadian Dollar . . . . . . . . . . . . . . | BOFA | Buy | 7,882,888 | 5,962,783 | 4/03/20 | – |
| (89,758) |
Colombian Peso. . . . . . . . . . . . . . | MSCS | Sell | 780,000,000 | 233,470 | 4/07/20 | 12,266 |
| – |
South Korean Won . . . . . . . . . . . . | JPHQ | Sell | 453,204,615 | 388,520 | 4/08/20 | 15,145 |
| – |
Canadian Dollar . . . . . . . . . . . . . . | HSBC | Buy | 1,100,000 | 843,216 | 4/13/20 | – |
| (23,692) |
Canadian Dollar . . . . . . . . . . . . . . | HSBC | Sell | 1,100,000 | 826,744 | 4/13/20 | 7,220 |
| – |
Euro . . . . . . . . . . . . . . . . . . . . . . | BZWS | Buy | 760,000 | 850,007 | 4/14/20 | – |
| (8,656) |
Euro . . . . . . . . . . . . . . . . . . . . . . | BZWS | Sell | 760,000 | 833,743 | 4/14/20 | – |
| (7,608) |
Indonesian Rupiah . . . . . . . . . . . . | BOFA | Buy | 5,788,190,000 | 418,282 | 4/14/20 | – |
| (16,547) |
Indonesian Rupiah . . . . . . . . . . . . | BOFA | Sell | 5,788,190,000 | 417,950 | 4/14/20 | 16,215 |
| – |
Mexican Peso . . . . . . . . . . . . . . . | GSCO | Buy | 7,895,000 | 414,784 | 4/14/20 | – |
| (16,591) |
Mexican Peso . . . . . . . . . . . . . . . | GSCO | Sell | 7,895,000 | 412,390 | 4/14/20 | 14,197 |
| – |
New Zealand Dollar . . . . . . . . . . . | MSCS | Buy | 635,000 | 421,938 | 4/14/20 | – |
| (24,843) |
New Zealand Dollar . . . . . . . . . . . | MSCS | Sell | 635,000 | 416,458 | 4/14/20 | 19,363 |
| – |
Japanese Yen . . . . . . . . . . . . . . . | BOFA | Buy | 184,190,000 | 1,690,555 | 4/15/20 | 21,519 |
| – |
Japanese Yen . . . . . . . . . . . . . . . | BOFA | Sell | 184,190,000 | 1,684,038 | 4/15/20 | – |
| (28,036) |
Norwegian Krone . . . . . . . . . . . . . | BOFA | Buy | 7,175,000 | 806,136 | 4/15/20 | – |
| (43,448) |
45
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Forward Exchange Contracts (continued)
|
|
|
| Contract | Settlement | Unrealized |
|
| Unrealized | |
Currency | Counterpartya | Type | Quantity | Amount* | Date Appreciation |
| Depreciation | |||
OTC Forward Exchange Contracts (continued) |
|
|
|
|
|
|
|
|
| |
Norwegian Krone . . . . . . . . . . . . . | BOFA | Sell | 7,175,000 | 772,540 | 4/15/20 $ | 9,852 | $ | – | ||
Polish Zloty . . . . . . . . . . . . . . . . . | BOFA | Buy | 1,605,000 | 421,459 | 4/15/20 |
| – |
|
| (12,204) |
Polish Zloty . . . . . . . . . . . . . . . . . | BOFA | Sell | 1,605,000 | 411,412 | 4/15/20 |
| 2,157 |
|
| – |
Swedish Krona. . . . . . . . . . . . . . . | HSBC | Buy | 3,995,000 | 422,917 | 4/15/20 |
| – |
|
| (6,277) |
Swedish Krona. . . . . . . . . . . . . . . | HSBC | Sell | 3,995,000 | 414,043 | 4/15/20 |
| – |
|
| (2,597) |
British Pound . . . . . . . . . . . . . . . . | GSCO | Buy | 1,681,659 | 2,181,345 | 4/20/20 |
| – |
|
| (22,249) |
British Pound . . . . . . . . . . . . . . . . | JPHQ | Buy | 197,977 | 257,229 | 4/20/20 |
| – |
|
| (3,045) |
British Pound . . . . . . . . . . . . . . . . | MSCO | Buy | 200,245 | 258,629 | 4/20/20 |
| – |
|
| (1,533) |
British Pound . . . . . . . . . . . . . . . . | MSCO | Sell | 2,079,882 | 2,699,067 | 4/20/20 |
| 28,690 |
|
| – |
New Zealand Dollar . . . . . . . . . . . | BZWS | Buy | 501,525 | 323,701 | 4/20/20 |
| – |
|
| (10,055) |
New Zealand Dollar . . . . . . . . . . . | JPHQ | Sell | 501,511 | 313,587 | 4/20/20 |
| – |
|
| (50) |
Australian Dollar. . . . . . . . . . . . . . | HSBC | Buy | 1,200,000 | 827,866 | 4/22/20 |
| – |
|
| (45,254) |
Australian Dollar. . . . . . . . . . . . . . | HSBC | Sell | 1,200,000 | 802,818 | 4/22/20 |
| 20,206 |
|
| – |
Canadian Dollar . . . . . . . . . . . . . . | BNYM | Sell | 3,556,000 | 2,671,451 | 4/22/20 |
| 22,195 |
|
| – |
Thai Baht . . . . . . . . . . . . . . . . . . | UBSW | Sell | 25,860,000 | 851,050 | 4/22/20 |
| 30,669 |
|
| – |
Brazilian Real . . . . . . . . . . . . . . . | JPHQ | Buy | 1,629,713 | 380,525 | 4/27/20 |
| – |
|
| (17,163) |
Brazilian Real . . . . . . . . . . . . . . . | JPHQ | Sell | 1,840,391 | 438,926 | 4/27/20 |
| 28,591 |
|
| – |
Indonesian Rupiah . . . . . . . . . . . . | JPHQ | Sell | 7,274,386,928 | 520,255 | 4/27/20 |
| 15,959 |
|
| – |
Brazilian Real . . . . . . . . . . . . . . . | CITI | Buy | 1,690,000 | 398,754 | 4/30/20 |
| – |
|
| (21,998) |
Brazilian Real . . . . . . . . . . . . . . . | CITI | Sell | 1,690,000 | 389,715 | 4/30/20 |
| 12,959 |
|
| – |
British Pound . . . . . . . . . . . . . . . . | DBAB | Sell | 166,000 | 216,566 | 4/30/20 |
| 3,389 |
|
| – |
British Pound . . . . . . . . . . . . . . . . | MSCO | Buy | 342,059 | 442,835 | 4/30/20 |
| – |
|
| (3,562) |
British Pound . . . . . . . . . . . . . . . . | MSCO | Sell | 344,001 | 442,931 | 4/30/20 |
| 1,165 |
|
| – |
Canadian Dollar . . . . . . . . . . . . . . | MSCO | Buy | 625,101 | 470,986 | 4/30/20 |
| – |
|
| (5,286) |
Canadian Dollar . . . . . . . . . . . . . . | MSCO | Sell | 3,803,343 | 2,868,847 | 4/30/20 |
| 35,420 |
|
| (66) |
Danish Krone. . . . . . . . . . . . . . . . | MSCO | Buy | 7,153,184 | 1,049,196 | 4/30/20 |
| 11,879 |
|
| – |
Danish Krone. . . . . . . . . . . . . . . . | MSCO | Sell | 27,994,446 | 4,064,118 | 4/30/20 |
| – |
|
| (88,466) |
Euro . . . . . . . . . . . . . . . . . . . . . . | MSCO | Buy | 290,858 | 316,969 | 4/30/20 |
| 5,318 |
|
| – |
Euro . . . . . . . . . . . . . . . . . . . . . . | MSCO | Sell | 68,658 | 75,644 | 4/30/20 |
| – |
|
| (433) |
Japanese Yen . . . . . . . . . . . . . . . | MSCO | Buy | 70,036,815 | 638,762 | 4/30/20 |
| 12,755 |
|
| – |
Japanese Yen . . . . . . . . . . . . . . . | MSCO | Sell | 70,036,815 | 628,893 | 4/30/20 |
| – |
|
| (22,624) |
South African Rand. . . . . . . . . . . . | MSCO | Buy | 2,696,484 | 177,318 | 4/30/20 |
| – |
|
| (6,042) |
South African Rand. . . . . . . . . . . . | MSCS | Buy | 17,835,000 | 1,128,719 | 4/30/20 |
| 4,127 |
|
| – |
South African Rand. . . . . . . . . . . . | MSCS | Sell | 17,835,000 | 1,206,919 | 4/30/20 |
| 74,073 |
|
| – |
Swedish Krona. . . . . . . . . . . . . . . | MSCO | Buy | 32,828,394 | 3,404,299 | 4/30/20 |
| 21,433 |
|
| – |
Swedish Krona. . . . . . . . . . . . . . . | MSCO | Sell | 36,580,533 | 3,736,399 | 4/30/20 |
| – |
|
| (80,879) |
Swiss Franc. . . . . . . . . . . . . . . . . | MSCO | Buy | 1,792,808 | 1,838,242 | 4/30/20 |
| 27,963 |
|
| – |
Swiss Franc. . . . . . . . . . . . . . . . . | MSCO | Sell | 84,753 | 87,778 | 4/30/20 |
| – |
|
| (445) |
Swiss Franc. . . . . . . . . . . . . . . . . | UBSW | Sell | 2,261,455 | 2,329,533 | 4/30/20 |
| – |
|
| (24,506) |
Euro . . . . . . . . . . . . . . . . . . . . . . | HSBC | Sell | 40,000 | 43,921 | 5/13/20 |
| – |
|
| (432) |
South Korean Won . . . . . . . . . . . . | JPHQ | Sell | 4,258,651,367 | 3,609,027 | 6/18/20 |
| 95,755 |
|
| – |
Total Forward Exchange Contracts | . . . . . . . . . . . . | . . . . . | . . . . . . . . . . . . . . | . . . . . . . |
| $ | 5,615,220 |
| $ | (6,235,825) |
Net unrealized appreciation (depreciation) . . | . . . . . | . . . . . . . . . . . . . . | . . . . . . . |
|
|
|
| $ | (620,605) |
*In U.S. dollars unless otherwise indicated.
aMay be comprised of multiple contracts with the same counterparty, currency and settlement date.
bA portion or all of the contracts are owned by K2 Holdings Investment Corp., a wholly-owned subsidiary of the Fund. See Note 7.
46
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
At February 29, 2020, the Fund had the following credit default swap contracts outstanding. See Note 3.
Credit Default Swap Contracts
| Periodic |
|
|
|
|
|
|
|
|
|
|
|
| Payment |
|
|
|
|
|
| Unamortized |
|
|
| |
| Rate |
|
|
|
|
|
|
| Upfront |
| Unrealized |
|
| Received | Payment |
| Maturity | Notional |
|
|
| Payments |
| Appreciation |
|
Description | (Paid) | Frequency |
| Date | Amounta |
| Value |
| (Receipts) (Depreciation) | Ratingb | ||
Centrally Cleared Swap Contracts |
|
|
|
|
|
|
|
|
|
|
| |
Contracts to Buy Protectionc |
|
|
|
|
|
|
|
|
|
|
| |
Single Name |
|
|
|
|
|
|
|
|
|
|
|
|
Government of Malaysia . . | (1.00)% | Quarterly |
| 12/20/24 | 1,796,000 | $ | (33,091) | $ | (47,585) | $ | 14,494 |
|
Government of Mexico . . . | (1.00)% | Quarterly |
| 6/20/23 | 1,763,000 |
| (12,856) |
| (441) |
| (12,415) |
|
Government of Mexico . . . | (1.00)% | Quarterly |
| 12/20/23 | 4,066,000 |
| (22,229) |
| (11,463) |
| (10,766) |
|
Government of Mexico . . . | (1.00)% | Quarterly |
| 12/20/23 | 61,000 |
| (334) |
| (945) |
| 611 |
|
Government of South Africa | (1.00)% | Quarterly |
| 12/20/24 | 3,065,000 |
| 161,008 |
| 90,737 |
| 70,271 |
|
Government of South Africa | (1.00)% | Quarterly |
| 12/20/24 | 4,478,000 |
| 235,235 |
| 132,619 |
| 102,616 |
|
Government of South Korea | (1.00)% | Quarterly |
| 6/20/24 | 2,481,367 |
| (72,382) |
| (83,106) |
| 10,724 |
|
Government of South Korea | (1.00)% | Quarterly |
| 12/20/24 | 1,632,000 |
| (50,005) |
| (53,378) |
| 3,373 |
|
Government of Turkey. . . . | (1.00)% | Quarterly |
| 9/20/20 | 1,976,000 |
| 10,435 |
| 157,717 |
| (147,282) |
|
Government of Turkey. . . . | (1.00)% | Quarterly |
| 6/20/24 | 141,000 |
| 14,579 |
| 14,153 |
| 426 |
|
Neiman Marcus Group LLC |
|
|
|
|
|
|
|
|
|
|
|
|
(The) . . . . . . . . . . . . . . | (5.00)% | Quarterly |
| 6/20/24 | 718,000 |
| 502,071 |
| 563,458 |
| (61,387) |
|
Traded Index |
|
|
|
|
|
|
|
|
|
|
|
|
CDX.HY.33 . . . . . . . . . . | (5.00)% | Quarterly |
| 12/20/24 | 2,514,600 |
| (128,205) |
| (205,191) |
| 76,986 |
|
Contracts to Sell Protectionc,d |
|
|
|
|
|
|
|
|
|
|
| |
Single Name |
|
|
|
|
|
|
|
|
|
|
|
|
Government of South Africa | 1.00% | Quarterly |
| 12/20/24 | 874,000 |
| (45,912) |
| (25,494) |
| (20,418) | BB+ |
Government of Turkey. . . . | 1.00% | Quarterly |
| 12/20/22 | 826,000 |
| (48,968) |
| (37,352) |
| (11,616) | B+ |
Traded Index |
|
|
|
|
|
|
|
|
|
|
|
|
CDX.NA.33 . . . . . . . . . . | 1.00% | Quarterly |
| 12/20/24 | 59,220,000 |
| 878,956 |
| 1,077,351 |
| (198,395) Investment | |
|
|
|
|
|
|
|
|
|
|
|
| Grade |
|
|
|
|
|
|
|
|
|
|
| ||
Total Centrally Cleared Swap Contracts . . . . . |
|
|
| $ | 1,388,302 | $ | 1,571,080 | $ | (182,778) |
| ||
OTC Swap Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
Contracts to Buy Protectionc |
|
|
|
|
|
|
|
|
|
|
| |
Single Name |
|
| Counterparty |
|
|
|
|
|
|
|
| |
Enel SpA . . . . . . . . . . . | (1.00)% | Quarterly | BOFA | 6/20/23 | 85,000EUR |
| (1,810) |
| (33) |
| (1,777) |
|
Enel SpA . . . . . . . . . . . | (1.00)% | Quarterly | MSCS | 12/20/23 | 330,000EUR |
| (6,992) |
| 1,680 |
| (8,672) |
|
Government of Italy . . . . . | (1.00)% | Quarterly | JPHQ | 6/20/24 | 218,000 |
| 3,297 |
| 2,057 |
| 1,240 |
|
Government of Mexico . . . | (1.00)% | Quarterly | CITI | 12/20/24 | 425,000 |
| 816 |
| (4,263) |
| 5,079 |
|
Groupe Casino . . . . . . . . | (5.00)% | Quarterly | BZWS | 12/20/24 | 189,000EUR |
| 22,412 |
| 13,843 |
| 8,569 |
|
Groupe Casino . . . . . . . . | (5.00)% | Quarterly | BZWS | 12/20/24 | 211,000EUR |
| 25,021 |
| 15,455 |
| 9,566 |
|
Groupe Casino . . . . . . . . | (5.00)% | Quarterly | BZWS | 12/20/24 | 210,000EUR |
| 24,903 |
| 19,214 |
| 5,689 |
|
Groupe Casino . . . . . . . . | (5.00)% | Quarterly | JPHQ | 12/20/24 | 190,000EUR |
| 22,531 |
| 15,540 |
| 6,991 |
|
Hertz Corp. (The) . . . . . . | (5.00)% | Quarterly | BZWS | 12/20/21 | 398,000 |
| (31,341) |
| (29,621) |
| (1,720) |
|
Hertz Corp. (The) . . . . . . | (5.00)% | Quarterly | BZWS | 12/20/24 | 719,000 |
| (11,369) |
| (59,431) |
| 48,062 |
|
Hertz Corp. (The) . . . . . . | (5.00)% | Quarterly | BZWS | 12/20/24 | 138,362 |
| (2,188) |
| (13,488) |
| 11,300 |
|
Hertz Corp. (The) . . . . . . | (5.00)% | Quarterly | BZWS | 12/20/24 | 34,638 |
| (548) |
| (3,377) |
| 2,829 |
|
Hertz Corp. (The) . . . . . . | (5.00)% | Quarterly | BZWS | 12/20/24 | 18,000 |
| 177 |
| (357) |
| 534 |
|
Hertz Corp. (The) . . . . . . | (5.00)% | Quarterly | BZWS | 12/20/24 | 18,000 |
| (180) |
| – |
| (180) |
|
Hertz Corp. (The) . . . . . . | (5.00)% | Quarterly | CITI | 12/20/24 | 69,000 |
| (1,091) |
| (6,110) |
| 5,019 |
|
Hertz Corp. (The) . . . . . . | (5.00)% | Quarterly | GSCO | 12/20/24 | 180,000 |
| (2,846) |
| (14,521) |
| 11,675 |
|
Hertz Corp. (The) . . . . . . | (5.00)% | Quarterly | JPHQ | 12/20/24 | 22,000 |
| (348) |
| (1,409) |
| 1,061 |
|
Hertz Corp. (The) . . . . . . | (5.00)% | Quarterly | JPHQ | 12/20/24 | 18,000 |
| 177 |
| (357) |
| 534 |
|
Intrum AB . . . . . . . . . . . | (5.00)% | Quarterly | GSCO | 12/20/24 | 136,000EUR |
| (4,826) |
| (15,672) |
| 10,846 |
|
Intrum AB . . . . . . . . . . . | (5.00)% | Quarterly | GSCO | 12/20/24 | 57,000EUR |
| (2,022) |
| (7,251) |
| 5,229 |
|
Intrum AB . . . . . . . . . . . | (5.00)% | Quarterly | GSCO | 12/20/24 | 2,000EUR |
| (71) |
| (196) |
| 125 |
|
47
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Credit Default Swap Contracts (continued)
| Periodic |
|
|
|
|
|
|
|
|
|
|
| Payment |
|
|
|
|
| Unamortized |
|
|
| |
| Rate |
|
|
|
|
|
| Upfront |
| Unrealized |
|
| Received | Payment |
| Maturity | Notional |
|
| Payments |
| Appreciation |
|
Description | (Paid) | Frequency Counterparty | Date | Amounta | Value |
| (Receipts) (Depreciation) | Ratingb | |||
OTC Swap Contracts (continued) |
|
|
|
|
|
|
|
|
|
| |
Contracts to Buy Protectionc (continued) |
|
|
|
|
|
|
|
|
| ||
Single Name (continued) |
|
|
|
|
|
|
|
|
|
|
|
Jaguar Land Rover. . . . . . | (5.00)% | Quarterly | GSCO | 12/20/24 | 50,000EUR $ | 2,442 | $ | (776) | $ | 3,218 |
|
Jaguar Land Rover. . . . . . | (5.00)% | Quarterly | GSCO | 12/20/24 | 20,000EUR | 977 |
| (550) |
| 1,527 |
|
Jaguar Land Rover. . . . . . | (5.00)% | Quarterly | GSCO | 12/20/24 | 13,000EUR | 635 |
| (202) |
| 837 |
|
JC Penney Corp. . . . . . . . | (5.00)% | Quarterly | MSCO | 12/20/20 | 23,000 | 2,294 |
| 3,047 |
| (753) |
|
JC Penney Corp. . . . . . . . | (5.00)% | Quarterly | MSCO | 12/20/20 | 29,000 | 2,893 |
| 3,770 |
| (877) |
|
K. Hovnanian Enterprises |
|
|
|
|
|
|
|
|
|
|
|
Inc. . . . . . . . . . . . . . . . | (5.00)% | Quarterly | BZWS | 12/20/24 | 121,000 | 30,061 |
| 25,266 |
| 4,795 |
|
K. Hovnanian Enterprises |
|
|
|
|
|
|
|
|
|
|
|
Inc. . . . . . . . . . . . . . . . | (5.00)% | Quarterly | BZWS | 12/20/24 | 121,000 | 30,061 |
| 26,442 |
| 3,619 |
|
K. Hovnanian Enterprises |
|
|
|
|
|
|
|
|
|
|
|
Inc. . . . . . . . . . . . . . . . | (5.00)% | Quarterly | BZWS | 12/20/24 | 360,000 | 89,437 |
| 98,985 |
| (9,548) |
|
Kimco Realty Corp. . . . . . | (1.00)% | Quarterly | JPHQ | 6/20/24 | 122,000 | (898) |
| – |
| (898) |
|
Kohl's Corp. . . . . . . . . . . | (1.00)% | Quarterly | GSCO | 12/20/24 | 1,151,000 | 34,545 |
| 23,800 |
| 10,745 |
|
Kohl's Corp. . . . . . . . . . . | (1.00)% | Quarterly | MSCO | 12/20/24 | 153,000 | 4,592 |
| 2,787 |
| 1,805 |
|
Lloyds Bank PLC . . . . . . . | (1.00)% | Quarterly | JPHQ | 12/20/24 | 540,000EUR | 8,549 |
| 2,257 |
| 6,292 |
|
Macy's . . . . . . . . . . . . . | (1.00)% | Quarterly | BZWS | 12/20/24 | 50,000 | 2,844 |
| 2,044 |
| 800 |
|
Macy's . . . . . . . . . . . . . | (1.00)% | Quarterly | BZWS | 12/20/24 | 105,000 | 5,973 |
| 4,367 |
| 1,606 |
|
Macy's . . . . . . . . . . . . . | (1.00)% | Quarterly | MSCO | 12/20/24 | 100,000 | 5,688 |
| 4,130 |
| 1,558 |
|
MBIA Inc. . . . . . . . . . . . | (1.00)% | Quarterly | CITI | 6/20/21 | 340,000 | (22,988) |
| (20,271) |
| (2,717) |
|
MBIA Inc. . . . . . . . . . . . | (5.00)% | Quarterly | CITI | 12/20/24 | 216,000 | (33,215) |
| (36,518) |
| 3,303 |
|
MBIA Inc. . . . . . . . . . . . | (5.00)% | Quarterly | GSCO | 12/20/24 | 360,000 | (55,358) |
| (57,262) |
| 1,904 |
|
NRG Energy Inc. . . . . . . . | (5.00)% | Quarterly | BZWS | 6/20/24 | 288,000 | (51,359) |
| (50,519) |
| (840) |
|
Simon Property Group LP. . | (1.00)% | Quarterly | BZWS | 12/20/24 | 540,000 | (9,217) |
| (13,887) |
| 4,670 |
|
Simon Property Group LP. . | (1.00)% | Quarterly | GSCO | 12/20/24 | 25,000 | (427) |
| (588) |
| 161 |
|
Simon Property Group LP. . | (1.00)% | Quarterly | MSCO | 12/20/24 | 370,000 | (6,316) |
| (8,699) |
| 2,383 |
|
Softbank Group Corp. . . . . | (1.00)% | Quarterly | CITI | 12/20/24 | 96,500,000JPY | 43,864 |
| 50,098 |
| (6,234) |
|
Staples Inc. . . . . . . . . . . | (5.00)% | Quarterly | GSCO | 12/20/24 | 143,000 | 5,955 |
| (549) |
| 6,504 |
|
Staples Inc. . . . . . . . . . . | (5.00)% | Quarterly | GSCO | 12/20/24 | 443,000 | 17,648 |
| 21,904 |
| (4,256) |
|
Staples Inc. . . . . . . . . . . | (5.00)% | Quarterly | GSCO | 6/20/25 | 353,000 | 26,088 |
| 6,418 |
| 19,670 |
|
Staples Inc. . . . . . . . . . . | (5.00)% | Quarterly | JPHQ | 12/20/24 | 63,000 | 2,624 |
| 1,180 |
| 1,444 |
|
Staples Inc. . . . . . . . . . . | (5.00)% | Quarterly | MSCO | 12/20/24 | 63,000 | 2,623 |
| 1,526 |
| 1,097 |
|
Staples Inc. . . . . . . . . . . | (5.00)% | Quarterly | MSCO | 12/20/24 | 63,000 | 2,623 |
| 1,640 |
| 983 |
|
Staples Inc. . . . . . . . . . . | (5.00)% | Quarterly | MSCS | 12/20/24 | 360,000 | 14,992 |
| 2,076 |
| 12,916 |
|
Telecom Italia SpA . . . . . . | (1.00)% | Quarterly | GSCO | 12/20/24 | 122,000EUR | 3,663 |
| 3,217 |
| 446 |
|
Transocean Inc. . . . . . . . | (5.00)% | Quarterly | GSCO | 12/20/24 | 84,000 | 19,446 |
| 3,661 |
| 15,785 |
|
Transocean Inc. . . . . . . . | (5.00)% | Quarterly | GSCO | 12/20/24 | 185,000 | 42,828 |
| 26,880 |
| 15,948 |
|
Transocean Inc. . . . . . . . | (5.00)% | Quarterly | GSCO | 12/20/24 | 534,000 | 123,622 |
| 44,980 |
| 78,642 |
|
Transocean Inc. . . . . . . . | (5.00)% | Quarterly | JPHQ | 12/20/24 | 434,000 | 100,471 |
| 69,953 |
| 30,518 |
|
Unisys Corp. . . . . . . . . . | (5.00)% | Quarterly | BZWS | 12/20/24 | 20,000 | (3,057) |
| (3,151) |
| 94 |
|
Unisys Corp. . . . . . . . . . | (5.00)% | Quarterly | CITI | 12/20/24 | 20,000 | (3,058) |
| (3,250) |
| 192 |
|
Unisys Corp. . . . . . . . . . | (5.00)% | Quarterly | CITI | 12/20/24 | 20,000 | (3,057) |
| (3,103) |
| 46 |
|
Uniti Group . . . . . . . . . . | (5.00)% | Quarterly | BZWS | 12/20/24 | 141,000 | 9,695 |
| 19,191 |
| (9,496) |
|
Traded Index |
|
|
|
|
|
|
|
|
|
|
|
CDX.EM.32 . . . . . . . . . . | (1.00)% | Quarterly | BOFA | 12/20/24 | 1,690,000 | 106,108 |
| 77,519 |
| 28,589 |
|
CDX.EM.32 . . . . . . . . . . | (1.00)% | Quarterly | CITI | 12/20/24 | 845,000 | 53,054 |
| 41,672 |
| 11,382 |
|
Contracts to Sell Protectionc,d |
|
|
|
|
|
|
|
|
|
| |
Single Name |
|
|
|
|
|
|
|
|
|
|
|
Transocean Inc. . . . . . . . | 1.00% | Quarterly | MSCS | 12/20/24 | 45,000 | (15,633) |
| (15,741) |
| 108 | CCC+ |
48
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Credit Default Swap Contracts (continued)
| Periodic |
|
|
|
|
|
|
|
|
|
|
|
| Payment |
|
|
|
|
|
| Unamortized |
|
|
| |
| Rate |
|
|
|
|
|
|
| Upfront |
| Unrealized | |
| Received | Payment |
| Maturity | Notional |
|
|
| Payments | Appreciation | ||
Description | (Paid) | Frequency Counterparty | Date | Amounta |
| Value |
| (Receipts) (Depreciation) Ratingb | ||||
OTC Swap Contracts (continued) |
|
|
|
|
|
|
|
|
|
|
| |
Contracts to Sell Protectionc,d (continued) |
|
|
|
|
|
|
|
|
|
| ||
Traded Index |
|
|
|
|
|
|
|
|
|
|
|
|
CDX.NA.IG.33 . . . . . . . . | 1.00% | Quarterly | JPHQ | 12/20/24 | 9,400,000 | $ | 158,317 | $ | 173,505 | $ | (15,188) Investment | |
CDX.NA.IG.33 . . . . . . . . |
|
|
|
|
|
|
|
|
|
|
| Grade |
1.00% | Quarterly | MSCS | 12/20/24 | 9,400,000 |
| 158,317 |
| 169,228 |
| (10,911) Investment | ||
ITRX.EUR.32 . . . . . . . . . |
|
|
|
|
|
|
|
|
|
|
| Grade |
1.00% | Quarterly | JPHQ | 12/20/24 | 1,800,000EUR |
| 37,890 |
| 13,575 |
| 24,315 Investment | ||
|
|
|
|
|
|
|
|
|
|
|
| Grade |
Total OTC Swap Contracts . . . . . . . . . . . . . |
|
|
| $ | 979,938 | $ | 621,755 | $ | 358,183 |
| ||
Total Credit Default Swap Contracts . . . . . . . . . . . . . . . . . . . . . |
| $ | 2,368,240 | $ | 2,192,835 | $ | 175,405 |
|
aIn U.S. dollars unless otherwise indicated. For contracts to sell protection, the notional amount is equal to the maximum potential amount of the future payments and no recourse provisions have been entered into in association with the contracts.
bBased on Standard and Poor's (S&P) Rating for single name swaps and internal ratings for index swaps. Internal ratings based on mapping into equivalent ratings from external vendors.
cPerformance triggers for settlement of contract include default, bankruptcy or restructuring for single name swaps and failure to pay or bankruptcy of the underlying securities for traded index swaps.
dThe Fund enters contracts to sell protection to create a long credit position.
At February 29, 2020, the Fund had the following interest rate swap contracts outstanding. See Note 3.
Interest Rate Swap Contracts
|
|
|
|
| Value/Unrealized | ||
| Payment | Maturity | Notional |
|
| Appreciation | |
Description | Frequency | Date | Amount |
|
| (Depreciation) | |
|
|
|
|
|
|
|
|
Centrally Cleared Swap Contracts |
|
|
|
|
|
|
|
Receive Fixed 4.86% |
|
|
|
|
|
|
|
Pay Floating rate BZDIOVRA . . . . . . . . | Annually | 1/03/22 | 12,408,248 | BRL | $ | 17,017 | |
Receive Fixed 4.88% |
|
|
|
|
|
|
|
Pay Floating rate BZDIOVRA . . . . . . . . | Annually | 1/03/22 | 12,443,104 | BRL |
| 17,724 | |
Receive Fixed 5.57% |
|
|
|
|
|
|
|
Pay Floating rate BZDIOVRA . . . . . . . . | Annually | 1/02/23 | 5,328,897 | BRL |
| 13,717 | |
Receive Fixed 5.63% |
|
|
|
|
|
|
|
Pay Floating rate BZDIOVRA . . . . . . . . | Annually | 1/02/23 | 5,005,809 | BRL |
| 14,850 | |
Receive Fixed 5.88% |
|
|
|
|
|
|
|
Pay Floating rate BZDIOVRA . . . . . . . . | Annually | 1/02/23 | 12,922,100 | BRL |
| 62,266 | |
Receive Fixed 5.94% |
|
|
|
|
|
|
|
Pay Floating rate BZDIOVRA . . . . . . . . | Annually | 1/02/25 | 5,264,640 | BRL |
| 461 | |
Receive Fixed 2.92% |
|
|
|
|
|
|
|
Pay Floating CFETS China Fixing Repo 7 Day rate . . . . | Quarterly | 3/18/25 | 12,289,247 | CNY |
| 43,260 | |
Receive Fixed 3.04% |
|
|
|
|
|
|
|
Pay Floating CFETS China Fixing Repo 7 Day rate . . . . | Quarterly | 3/18/25 | 32,140,637 | CNY |
| 138,038 | |
Receive Fixed 6.84% |
|
|
|
|
|
|
|
Pay Floating Banxico Mexico 1 Month rate | Monthly | 3/06/30 | 34,200,297 | MXN |
| 3,788 | |
Receive Floating rate 6 Month USD-LIBOR |
|
|
|
|
|
|
|
Pay Fixed rate 0.86% . . . . . . . . . . . . | Semi-Annually | 3/18/70 | 347,580 | GBP |
| (44,136) | |
Receive Floating rate 6 Month USD-LIBOR |
|
|
|
|
|
|
|
Pay Fixed rate 0.99% . . . . . . . . . . . . | Semi-Annually | 3/18/70 | 735,045 | GBP |
| (148,270) | |
Total Interest Rate Swap Contracts . . . . . . . . . . . . | . . . . . . . . . . . . . . . . | . . . . . . . . . . | . . . . . . . . | . . . . | $ | 118,715 |
|
49
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
At February 29, 2020, the Fund had the following total return swap contracts outstanding. See Note 3.
Total Return Swap Contracts
|
|
|
|
|
| Unamortized | Value/ |
|
|
|
|
|
| Upfront | Unrealized |
|
| Payment | Counter- | Maturity | Notional | Payments | Appreciation |
Underlying Instrument | Financing Rate | Frequency | party | Date | Value* | (Receipts) | (Depreciation) |
OTC Swap Contracts
Commodity Contracts - Shorta
Bloomberg Commodity Indexb . . . . . . . | 0.15% | Annually | MSCS | 3/10/20 | 4,844,953 |
| $ | – | $ 210,177 |
Equity Contracts – Longc |
|
|
|
|
|
|
|
|
|
Allergan PLC . . . . . . . . . . . . . . . . . | 1-Day FEDEF + 0.40% | Monthly | MSCS | 12/23/20 | 3,933,576 |
|
| – | 593,462 |
Altran Technologies SA . . . . . . . . . . . | 1-Day EONIA + 0.65% | Monthly | MSCS | 9/04/20 | 670,183 | EUR |
| – | 10,875 |
Altran Technologies SA . . . . . . . . . . . | 1-Month LIBOR + 0.35% | Monthly | BZWS | 10/19/20 | 1,558,034 | EUR |
| – | (1,170) |
Anglo American PLC . . . . . . . . . . . . | 1-Month LIBOR + 0.50% | Monthly | MSCS | 1/20/21 | 534,932 | GBP |
| – | (109,525) |
Anima Holding SpA . . . . . . . . . . . . . | 1-Month LIBOR + 0.40% | Monthly | MSCS | 12/21/20 | 1,104,587 | EUR |
| – | (159,430) |
Anixter International Inc. . . . . . . . . . . | 1-Day FEDEF + 0.40% | Monthly | MSCO | 12/23/20 | 1,675,627 |
|
| – | 157,854 |
Antofagasta PLC . . . . . . . . . . . . . . . | 1-Month LIBOR + 0.50% | Monthly | MSCO | 3/02/21 | 81,071 | GBP |
| – | (1,502) |
Ashtead Group PLC . . . . . . . . . . . . . | 1-Month LIBOR + 0.50% | Monthly | MSCS | 1/20/21 | 1,988,988 | GBP |
| – | (134,623) |
Barclays PLC . . . . . . . . . . . . . . . . . | 1-Month LIBOR + 0.40% | Monthly | MSCS | 4/16/20 | 835,861 | GBP |
| – | (134,837) |
BNP Paribas SA . . . . . . . . . . . . . . . | 1-Month LIBOR + 0.40% | Monthly | MSCS | 12/21/20 | 1,797,279 | EUR |
| – | (301,733) |
Bolsas y Mercados Espanoles SHMSF SA | 1-Month LIBOR + 0.48% | Monthly | BZWS | 12/21/20 | 672,179 | EUR |
| – | (5,128) |
Bureau Veritas SA . . . . . . . . . . . . . . | 1-Month EURIBOR + 0.40% | Monthly | MSCS | 12/21/20 | 740,796 | EUR |
| – | (96,760) |
Caesars Entertainment Corp. . . . . . . . | 1-Month LIBOR + 0.35% | Monthly | BZWS | 8/17/20 | 172,209 |
|
| – | (3,210) |
Caesars Entertainment Corp. . . . . . . . | 1-Day FEDEF + 0.40% | Monthly | MSCS | 12/23/20 | 4,086,822 |
|
| – | 266,900 |
Caltex Australia LTD. . . . . . . . . . . . . | 1-Month BBSW + 0.55% | Monthly | MSCS | 12/22/21 | 1,700,376 | AUD |
| – | (58,630) |
Celesio AG . . . . . . . . . . . . . . . . . . | 1-Day EONIA + 0.65% | Monthly | MSCS | 11/04/20 | 3,737,659 | EUR |
| – | (17,029) |
Cie Plastic Omnium SA . . . . . . . . . . . | 1-Month EURIBOR + 0.50% | Monthly | MSCS | 1/12/21 | 612,086 | EUR |
| – | (142,733) |
Croda International PLC . . . . . . . . . . | 1-Month LIBOR + 0.40% | Monthly | MSCS | 4/16/20 | 624,783 | GBP |
| – | (82,676) |
Danone SA . . . . . . . . . . . . . . . . . . | 1-Month LIBOR + 0.40% | Monthly | MSCS | 12/21/20 | 3,949,409 | EUR |
| – | (575,866) |
EDP Renovaveis SA . . . . . . . . . . . . . | 1-Day EONIA + 0.65% | Monthly | MSCS | 9/04/20 | 797,888 | EUR |
| – | 550,638 |
EI Group PLC. . . . . . . . . . . . . . . . . | 1-Month LIBOR + 0.40% | Monthly | BZWS | 2/08/21 | 874,444 | GBP |
| – | (854) |
Energy Transfer Equity LP . . . . . . . . . | 1-Month LIBOR + 0.65% | Monthly | CITI | 6/22/20 | 706,909 |
|
| – | (73,392) |
Eurofins Scientific SE . . . . . . . . . . . . | 1-Month EURIBOR + 0.40% | Monthly | MSCS | 12/21/20 | 1,701,551 | EUR |
| – | (101,512) |
Faurecia . . . . . . . . . . . . . . . . . . . . | 1-Day EONIA + 0.65% | Monthly | MSCO | 9/04/20 | 384,625 | EUR |
| – | (30,220) |
Ferguson PLC . . . . . . . . . . . . . . . . | 1-Day FEDEF + 0.65% | Monthly | MSCO | 3/17/21 | 545,134 |
|
| – | (68,372) |
Fiat Chrysler Automobiles NV . . . . . . . | 1-Day EONIA + 0.65% | Monthly | MSCO | 9/04/20 | 1,459,518 | EUR |
| – | (129,918) |
Government of Indonesia . . . . . . . . . . | 3-Month LIBOR + 0.35% | Monthly | BOFA | 1/27/21 | 850,774 |
|
| – | (55,881) |
Government of Ukraine . . . . . . . . . . . | 0.35% | Monthly | BOFA | 7/08/20 | – |
|
| 1,707,737 | (46,700) |
GrandVision NV . . . . . . . . . . . . . . . | 1-Day EONIA + 0.65% | Monthly | MSCS | 9/04/20 | 3,694,520 | EUR |
| – | 20,064 |
Haier Electronics Group Co. . . . . . . . . | 1-Month HIBOR + 0.55% | Monthly | MSCS | 11/24/21 | 3,772,481 | HKD |
| – | (52,790) |
HeidelbergCement AG . . . . . . . . . . . | 1-Month EURIBOR + 0.40% | Monthly | MSCS | 12/21/20 | 1,945,312 | EUR |
| – | (340,278) |
Hikma Pharmaceuticals PLC . . . . . . . . | 1-Month LIBOR + 0.40% | Monthly | MSCS | 4/16/20 | 87,467 | GBP |
| – | (5,493) |
Hitachi Chemical Company, Ltd. . . . . . . | 1-Month LIBOR + 0.55% | Monthly | MSCS | 11/24/21 | 411,920,189 | JPY |
| – | (33,384) |
Hitachi High-Technologies Corp.. . . . . . | 1-Month LIBOR + 0.55% | Monthly | MSCS | 11/24/21 | 110,816,479 | JPY |
| – | 39,370 |
Iliad SA . . . . . . . . . . . . . . . . . . . . | 1-Month LIBOR + 0.40% | Monthly | MSCS | 12/21/20 | 3,883,514 | EUR |
| – | (390,154) |
ITV PLC . . . . . . . . . . . . . . . . . . . . | 1-Month LIBOR + 0.40% | Monthly | MSCS | 4/16/20 | 1,645,793 | GBP |
| – | (289,543) |
Keppel Corp. . . . . . . . . . . . . . . . . . | 1-Month STIBOR + 0.55% | Monthly | MSCS | 12/22/21 | 1,786,387 | SGD |
| – | (80,184) |
Kering SA . . . . . . . . . . . . . . . . . . . | 1-Month EURIBOR + 0.40% | Monthly | MSCS | 12/21/20 | 670,500 | EUR |
| – | (74,586) |
Knight-Swift Transportation Holdings Inc. | 1-Month LIBOR + 0.55% | Monthly | MSCS | 9/22/20 | 3,486,327 |
|
| – | (443,499) |
LINE Corp. . . . . . . . . . . . . . . . . . . | 1-Month LIBOR + 0.55% | Monthly | MSCS | 11/24/21 | 322,911,580 | JPY |
| – | 395 |
Millicom International Cellular SA . . . . . | 1-Week STIBOR +0.65% | Monthly | MSCO | 12/21/21 | 14,503,500 | SEK |
| – | (21,853) |
Norfolk Southern Corp. . . . . . . . . . . . | 1-Month LIBOR + 0.50% | Monthly | MSCO | 9/22/20 | 4,322,309 |
|
| – | (504,629) |
NVR Inc. . . . . . . . . . . . . . . . . . . . . | 1-Month LIBOR + 0.50% | Monthly | MSCS | 9/22/20 | 2,228,576 |
|
| – | 202,764 |
Rio Tinto PLC. . . . . . . . . . . . . . . . . | 1-Month LIBOR + 0.50% | Monthly | MSCS | 9/22/20 | 2,602,747 |
|
| – | (346,869) |
RSA Insurance Group PLC . . . . . . . . . | 1-Month LIBOR + 0.40% | Monthly | MSCS | 4/16/20 | 1,096,734 | GBP |
| – | (121,667) |
Ryanair Holdings PLC . . . . . . . . . . . . | 1-Month EURIBOR + 0.40% | Monthly | MSCS | 12/21/20 | 638,239 | EUR |
| – | (142,771) |
Smiths Group PLC . . . . . . . . . . . . . . | 1-Month LIBOR + 0.40% | Monthly | MSCS | 4/16/20 | 1,004,953 | GBP |
| – | (151,377) |
Societe Generale SA . . . . . . . . . . . . | 1-Month LIBOR + 0.40% | Monthly | MSCS | 12/21/20 | 1,403,814 | EUR |
| – | (234,333) |
Sophos Group PLC . . . . . . . . . . . . . | 1-Day FEDEF + 0.65% | Monthly | MSCS | 3/17/21 | 796,028 |
|
| – | 14,154 |
Sports Direct International PLC . . . . . . | 1-Month LIBOR + 0.40% | Monthly | MSCS | 4/16/20 | 681,890 | GBP |
| – | (157,775) |
50
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Total Return Swap Contracts (continued)
|
|
|
|
|
| Unamortized | Value/ |
|
|
|
|
|
| Upfront | Unrealized |
|
| Payment | Counter- | Maturity | Notional | Payments | Appreciation |
Underlying Instrument | Financing Rate | Frequency | party | Date | Value* | (Receipts) | (Depreciation) |
OTC Swap Contracts (continued)
Equity Contracts – Longc (continued)
Sprint Corp. . . . . . . . . . . . . . . . . . . | 1-Day FEDEF + 0.40% | Monthly | MSCO | 12/23/20 | 1,561,672 |
| $ | – | $ | 79,974 |
Stars Group Inc. (The). . . . . . . . . . . . | 1-Day SONIA + 0.40% | Monthly | MSCS | 10/19/21 | 1,042,392 | GBP |
| – |
| 157,932 |
Stroeer SE & Co. KGaA . . . . . . . . . . . | 1-Month EURIBOR + 0.40% | Monthly | MSCS | 12/21/20 | 3,287,420 | EUR |
| – |
| (429,921) |
Tallgrass Energy Partners LP . . . . . . . | 1-Month LIBOR + 0.40% | Monthly | BZWS | 10/02/20 | 3,932,919 |
|
| – |
| (34,007) |
Telefonica SA. . . . . . . . . . . . . . . . . | 1-Day EONIA + 0.65% | Monthly | MSCS | 9/04/20 | 630,832 | EUR |
| – |
| (165,542) |
United Technologies Corp. . . . . . . . . . | 1-Day FEDEF + 0.40% | Monthly | MSCS | 12/23/20 | 4,340,879 |
|
| – |
| (231,063) |
Vodafone Group PLC . . . . . . . . . . . . | 1-Day SONIA + 0.65% | Monthly | MSCS | 2/08/21 | 1,226,971 | GBP |
| – |
| (62,780) |
|
|
|
|
|
|
|
|
|
| (4,551,817) |
Equity Contracts – Shorta (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
AbbVie Inc. . . . . . . . . . . . . . . . . . . | 1-Day FEDEF - 0.35% | Monthly | MSCS | 2/04/21 | 1,371,194 |
|
| – |
| (384,318) |
Air China LTD. . . . . . . . . . . . . . . . . | 1-Day HONIX - 0.50% | Monthly | MSCO | 1/26/22 | 1,351,973 | HKD |
| – |
| 2,692 |
Alstom . . . . . . . . . . . . . . . . . . . . . | 1-Day EONIA - 0.40% | Monthly | MSCO | 2/25/21 | 662,001 | EUR |
| – |
| 4,410 |
Brookfield Renewable Partners . . . . . . | 1-Day FEDEF - 3.68% | Monthly | MSCO | 2/04/21 | 364,060 |
|
| – |
| 36,797 |
Colruyt SA. . . . . . . . . . . . . . . . . . . | 1-Day EONIA - 0.40% | Monthly | MSCS | 12/21/20 | 1,608,017 | EUR |
| – |
| 145,618 |
Digital Realty Trust Inc. . . . . . . . . . . . | 1-Month LIBOR - 0.35% | Monthly | BZWS | 12/02/20 | 3,580,594 |
|
| – |
| 239,657 |
Easyjet PLC. . . . . . . . . . . . . . . . . . | 1-Day SONIA - 0.35% | Monthly | BOFA | 3/01/21 | 182,604 | GBP |
| – |
| (4,207) |
Eldorado Resorts Inc. . . . . . . . . . . . . | 1-Month LIBOR - 0.50% | Monthly | BZWS | 8/17/20 | 562,162 |
|
| – |
| 13,377 |
Eldorado Resorts Inc. . . . . . . . . . . . . | 1-Day FEDEF - 1.77% | Monthly | MSCS | 2/04/21 | 1,323,569 |
|
| – |
| (221,674) |
Elisa OYJ . . . . . . . . . . . . . . . . . . . | 1-Day EONIA - 0.40% | Monthly | MSCS | 12/21/20 | 423,992 | EUR |
| – |
| 30,123 |
Flutter Entertainment PLC . . . . . . . . . | 1-Month LIBOR - 0.43% | Monthly | BZWS | 11/04/20 | 4,781,737 |
|
| – |
| 336,918 |
Flutter Entertainment PLC . . . . . . . . . | 1-Day SONIA - 0.35% | Monthly | MSCS | 2/08/21 | 1,124,532 | GBP |
| – |
| (106,798) |
Genworth Financial Inc. . . . . . . . . . . . | 1-Day FEDEF - 0.35% | Monthly | MSCO | 2/04/21 | 148,847 |
|
| – |
| 3,783 |
Glencore PLC. . . . . . . . . . . . . . . . . | 1-Day SONIA - 0.35% | Monthly | MSCO | 1/20/21 | 329,057 | GBP |
| – |
| 85,993 |
Hannover Rueck SE . . . . . . . . . . . . . | 1-Day EONIA - 0.35% | Monthly | MSCS | 12/21/20 | 759,089 | EUR |
| – |
| 114,603 |
Hennes & Mauritz AB . . . . . . . . . . . . | 1-Week STIBOR - 0.40% | Monthly | MSCS | 11/10/20 | 7,216,898 | SEK |
| – |
| 113,582 |
InterContinental Hotels Group . . . . . . . | 1-Day SONIA - 0.35% | Monthly | MSCO | 1/20/21 | 327,028 | GBP |
| – |
| 45,825 |
International Consolidated Airline . . . . . | 1-Day SONIA - 0.35% | Monthly | MSCO | 1/20/21 | 323,769 | GBP |
| – |
| 78,510 |
JD Sports Fashion PLC . . . . . . . . . . . | 1-Day SONIA - 0.30% | Monthly | MSCS | 4/16/20 | 170,833 | GBP |
| – |
| 28,265 |
Kuehne + Nagel International AG . . . . . | 1-Day SARON - 0.40% | Monthly | MSCO | 2/09/22 | 45,035 | CHF |
| – |
| 4,286 |
L'Oreal SA. . . . . . . . . . . . . . . . . . . | 1-Day EONIA - 0.35% | Monthly | MSCS | 12/21/20 | 575,992 | EUR |
| – |
| 69,698 |
Marks & Spencer Group PLC . . . . . . . | 1-Day SONIA - 0.30% | Monthly | MSCS | 4/16/20 | 271,430 | GBP |
| – |
| 45,697 |
Morgan Stanley MSPSCCKH Index . . . . | 1-Day FEDEF - 0.35% | Monthly | MSCO | 9/22/20 | 173,223 |
|
| – |
| 20,376 |
Morgan Stanley MSPSLBH Index . . . . . | 1-Day FEDEF - 0.35% | Monthly | MSCO | 9/22/20 | 1,082,324 |
|
| – |
| 130,740 |
Morgan Stanley MSPSIYT Index. . . . . . | 1-Day FEDEF - 0.35% | Monthly | MSCO | 9/22/20 | 442,490 |
|
| – |
| 23,392 |
Morgan Stanley MSPSFERL Index . . . . | 1-Day FEDEF - 0.35% | Monthly | MSCO | 9/22/20 | 404,186 |
|
| – |
| 47,470 |
Morgan Stanley MSPSXLI Index. . . . . . | 1-Day FEDEF - 0.45% | Monthly | MSCS | 9/22/20 | 1,431,891 |
|
| – |
| 127,325 |
Morgan Stanley MSPSXOP Index . . . . . | 1-Day FEDEF - 0.45% | Monthly | MSCS | 9/22/20 | 771,571 |
|
| – |
| 210,833 |
Nestle SA . . . . . . . . . . . . . . . . . . . | 1-Day SARON - 0.35% | Monthly | MSCS | 7/14/20 | 1,167,225 | CHF |
| – |
| 114,591 |
Next PLC . . . . . . . . . . . . . . . . . . . | 1-Day SONIA - 0.30% | Monthly | MSCS | 4/16/20 | 508,353 | GBP |
| – |
| 75,566 |
Peugeot SA . . . . . . . . . . . . . . . . . . | 1-Day EONIA - 0.40% | Monthly | MSCO | 9/04/20 | 1,320,071 | EUR |
| – |
| 133,883 |
Raytheon Co. . . . . . . . . . . . . . . . . . | 1-Day FEDEF - 0.35% | Monthly | MSCS | 2/04/21 | 2,819,917 |
|
| – |
| 402,012 |
Ryanair Holdings PLC . . . . . . . . . . . . | 1-Day EONIA - 0.35% | Monthly | BOFA | 3/01/21 | 256,777 | EUR |
| – |
| (4,141) |
S&P High Beta Total Return Index . . . . | 1-Month LIBOR | Monthly | BZWS | 5/04/20 | 2,424,057 |
|
| – |
| 236,689 |
SKF AB . . . . . . . . . . . . . . . . . . . . | 1-Week STIBOR - 0.35% | Monthly | MSCO | 3/01/21 | 4,334,039 | SEK |
| – |
| 9,910 |
Swisscom AG. . . . . . . . . . . . . . . . . | 1-Day SARON - 0.35% | Monthly | MSCS | 7/14/20 | 785,385 | CHF |
| – |
| 70,971 |
T-Mobile US Inc. . . . . . . . . . . . . . . . | 1-Day FEDEF - 0.35% | Monthly | MSCO | 2/04/21 | 1,757,426 |
|
| – |
| 108,760 |
Valeo SA . . . . . . . . . . . . . . . . . . . | 1-Day EONIA - 0.40% | Monthly | MSCS | 1/12/21 | 620,963 | EUR |
| – |
| 174,982 |
WESCO International Inc.. . . . . . . . . . | 1-Day FEDEF - 0.35% | Monthly | MSCO | 2/04/21 | 94,952 |
|
| – |
| 15,677 |
|
|
|
|
|
|
|
|
|
| 2,581,873 |
Interest Rate Contracts - Longc |
|
|
|
|
|
|
|
|
|
|
Egyptian Treasury Bill . . . . . . . . . . . . | 3-Month LIBOR + 0.40% | Monthly | DBAB | 5/12/20 | – |
|
| 593,025 |
| 50,774 |
Egyptian Treasury Bill . . . . . . . . . . . . | 3-Month LIBOR + 0.40% | Monthly | GSCO | 5/12/20 | 646,938 |
|
| – |
| (6,256) |
Government of Indonesia . . . . . . . . . . | 3-Month LIBOR + 0.60% | Monthly | BOFA | 4/15/20 | 1,784,968 |
|
| – |
| (19,292) |
Government of Indonesia . . . . . . . . . . | 3-Month LIBOR + 0.60% | Quarterly | BOFA | 6/22/20 | 260,257 |
|
| – |
| 7,039 |
Government of Indonesia . . . . . . . . . . | 3-Month LIBOR + 0.60% | Quarterly | DBAB | 5/15/24 | 352,062 |
|
| – |
| 9,424 |
Government of Indonesia . . . . . . . . . . | 3-Month LIBOR + 0.60% | Monthly | DBAB | 6/15/32 | 2,743,329 |
|
| – |
| (20,428) |
Government of Indonesia . . . . . . . . . . | 3-Month LIBOR + 0.60% | Monthly | DBAB | 5/15/48 | 1,276,836 |
|
| – |
| (50,972) |
51
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Total Return Swap Contracts (continued)
|
|
|
|
|
| Unamortized | Value/ |
|
|
|
|
|
| Upfront | Unrealized |
|
| Payment | Counter- | Maturity | Notional | Payments | Appreciation |
Underlying Instrument | Financing Rate | Frequency | party | Date | Value* | (Receipts) | (Depreciation) |
OTC Swap Contracts (continued)
Interest Rate Contracts – Longc (continued)
Pakistan Treasury Bill . . . . . . . . . . . . | 1-Day FEDEF | Monthly | CITI | 7/16/20 | 482,208 | $ | – $ | 2,228 | |
|
|
|
|
|
|
|
|
| (27,483) |
|
|
|
|
|
|
|
|
|
|
Total Total Return Swap Contracts . . . . . . . . . . . . . | . . . . . . . . . . . . . | . . . . . . . . . | . . . . . . | . . . . . . . . . . . | . . . . . . . . . . |
|
| $ | (1,787,250) |
*In U.S. dollars unless otherwise indicated.
aThe Fund receives the variable financing rate and pays the total return on the underlying instrument.
bA portion or all of the contracts are owned by K2 Holdings Investment Corp., a wholly-owned subsidiary of the Fund. See Note 7. cThe Fund receives the total return on the underlying instrument and pays a variable financing rate.
Abbreviations
Counterparty/Exchange | Currency | Selected Portfolio | |||
BNYM | The Bank of New York Mellon Corp. | ARS | Argentine Peso | ADR | American Depositary Receipt |
BOFA | Bank of America Corp. | AUD | Australian Dollar | ARLLMONP | Argentina Blended Policy Rate |
BZWS | Barclays Bank PLC | BRL | Brazilian Real | ARM | Adjustable Rate Mortgage |
CITI | Citigroup, Inc. | CAD | Canadian Dollar | BADLAR | Argentina Deposit Rates BADLAR Private Banks ARS |
DBAB | Deutsche Bank, AG | CHF | Swiss Franc | BBSW | Bank Bill Swap Rate |
GSCO | The Goldman Sachs Group, Inc. | CLP | Chilean Peso | BZDIOVRA | Brazil Interbank Deposit Rate |
HSBC | HSBC Bank USA, N.A. | CNY | Chinese Yuan | CAC | Cotation Assistee en Continu |
JPHQ | JP Morgan Chase & Co. | COP | Colombian Peso | CFETS | China Foreign Exchange Trade System |
MSCO | Morgan Stanley | EGP | Egyptian Pound | CLO | Collateralized Loan Obligation |
MSCS | Morgan Stanley Capital Services LLC | EUR | Euro | CME | Chicago Mercantile Exchange |
UBSW | UBS AG | GBP | British Pound | CMT | Constant Maturity Treasury Index |
|
| HKD | Hong Kong Dollar | DAX | Deutscher Aktienindex |
|
| HUF | Hungarian Forint | DJIA | Dow Jones Industrial Average |
|
| JPY | Japanese Yen | EONIA | Euro OverNight Index Average |
|
| MXN | Mexican Peso | ETF | Exchange Traded Fund |
|
| NOK | Norwegian Krone | EURIBOR | Euro Interbank Offered Rate |
|
| NZD | New Zealand Dollar | FEDEF | Federal Funds Effective Rate |
|
| PKR | Pakistani Rupee | FHLMC | Federal Home Loan Mortgage Corp. |
Index |
| RUB | Russian Ruble | FNMA | Federal National Mortgage Association |
CDX.EM | CDX Emerging Markets Index | SEK | Swedish Krona | FRN | Floating Rate Note |
CDX.HY | CDX High Yield Index | SGD | Singapore Dollar | FTSE | Financial Times Stock Exchange |
CDX.NA | CDX North America Index | TWD | Taiwan Dollar | GO | General Obligation |
CDX.NA.IG | CDX North America Investment Grade Index | UAH | Ukraine Hryvnia | HIBOR | Hong Kong Interbank Offer Rate |
ITRX.EUR | iTraxx Europe Index | USD | United States Dollar | HONIX | Hong Kong Overnight Index Rate |
|
| ZAR | South African Rand | IO | Interest-Only |
|
|
|
| LIBOR | London InterBank Offered Rate |
|
|
|
| MIB | Milano Italia Borsa |
|
|
|
| MSCI | Morgan Stanley Capital International |
|
|
|
| PIK | Payment In-Kind |
|
|
|
| SARON | Swiss Average Rate Overnight |
|
|
|
| SFR | Single Family Revenue |
|
|
|
| SOFR | Secured Overnight Financing Rate |
|
|
|
| SONIA | Sterling Overnight Index Average |
|
|
|
| SPDR | Standard & Poor's Depositary Receipt |
|
|
|
| STIBOR | Stockholm Interbank Offered Rate |
|
|
|
| TOPIX | Tokyo Price Index |
52
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
Statement of Investments, February 29, 2020 (unaudited)
Franklin K2 Long Short Credit Fund
|
| Shares/ |
|
|
|
| Country | Rights |
| Value | |
|
|
|
|
|
|
Common Stocks and Other Equity Interests 1.6% |
|
|
|
|
|
Auto Components 0.0%† |
|
|
|
|
|
aGarrett Motion Inc. | Switzerland | 883 | $ | 6,128 |
|
Capital Markets 0.1% |
|
|
|
|
|
Ares Capital Corp. | United States | 8,931 |
| 153,524 |
|
Diversified Financial Services 0.1% |
|
|
|
|
|
|
|
|
|
| |
a,b,cOne Call Corp. | United States | 947 |
| 113,546 |
|
Diversified Telecommunication Services 0.0%† |
|
|
|
|
|
aTelecom Italia SpA | Italy | 72,900 |
| 40,545 |
|
Equity Real Estate Investment Trusts (REITs) 0.3% |
|
|
|
|
|
dVICI Properties Inc. | United States | 15,766 |
| 395,096 |
|
Independent Power & Renewable Electricity Producers 0.7% |
|
|
|
|
|
dClearway Energy Inc., A | United States | 30,417 |
| 617,161 |
|
eClearway Energy Inc., C | United States | 16,411 |
| 345,287 |
|
|
|
|
| 962,448 |
|
Media 0.3% |
|
|
|
|
|
|
|
|
|
| |
aLiberty Global PLC, C | United Kingdom | 6,944 |
| 129,089 |
|
aPostmedia Network Canada Corp., B | Canada | 56,068 |
| 106,100 |
|
Sinclair Broadcast Group Inc., A | United States | 5,648 |
| 131,090 |
|
|
|
|
|
|
|
|
|
|
| 366,279 |
|
Metals & Mining 0.0%† |
|
|
|
|
|
|
|
|
|
| |
Vedanta Ltd., ADR | India | 3,457 |
| 22,712 |
|
Multiline Retail 0.1% |
|
|
|
|
|
|
|
|
|
| |
Nordstrom Inc. | United States | 3,640 |
| 126,308 |
|
Paper & Forest Products 0.0%† |
|
|
|
|
|
|
|
|
|
| |
a,bTopco Associates LLC | United Kingdom | 100,439 |
| — | |
Pharmaceuticals 0.0%† |
|
|
|
|
|
aSanofi, Contingent Value, rts., 12/31/20 | France | 27,126 |
| 23,600 |
|
Professional Services 0.0%† |
|
|
|
|
|
a,b,cAcosta Inc. | United States | 923 |
| 8,144 |
|
Total Common Stocks and Other Equity Interests |
|
|
|
|
|
(Cost $1,776,587) |
|
|
| 2,218,330 |
|
Exchange Traded Funds (Cost $852,493) 0.6% |
|
|
|
|
|
|
|
|
|
| |
eSPDR S&P 500 ETF Trust | United States | 2,919 |
| 864,783 |
|
Convertible Preferred Stocks 0.4% |
|
|
|
|
|
Diversified Financial Services 0.3% |
|
|
|
|
|
a,b,cOne Call Corp., cvt. pfd. | United States | 3,821 |
| 458,341 |
|
Professional Services 0.1% |
|
|
|
|
|
a,b,cAcosta Inc., cvt. pfd. | United States | 745 |
| 50,261 |
|
Total Convertible Preferred Stocks (Cost $229,361) |
|
|
| 508,602 |
|
Preferred Stocks 0.2% |
|
|
|
|
|
|
|
|
|
| |
Electric Utilities 0.2% |
|
|
|
|
|
SCE Trust II, 5.10%, pfd. | United States | 2,725 |
| 65,100 |
|
SCE Trust III, 5.75%, pfd., H | United States | 1,468 |
| 35,555 |
|
SCE Trust IV, 5.375%, pfd., J | United States | 4,659 |
| 105,759 |
|
SCE Trust V, 5.45%, pfd., K | United States | 1,849 |
| 43,322 |
|
SCE Trust VI, 5.00%, pfd. | United States | 3,183 |
| 73,146 |
|
Total Preferred Stocks (Cost $287,876) |
|
|
|
|
|
|
|
| 322,882 |
| |
|
|
|
|
|
|
Quarterly Statement of Investments | See Notes to Consolidated Statements of Investments.
53
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
|
| Principal |
|
|
|
| Country | Amount* |
|
| Value |
Convertible Bonds 0.7% |
|
|
|
|
|
Automobiles 0.2% |
|
|
|
|
|
Tesla Inc., senior note, 1.25%, 3/01/21 | United States | 167,000 | $ | 317,768 | |
Independent Power & Renewable Electricity Producers 0.2% |
|
|
|
|
|
|
|
|
|
| |
dPattern Energy Group Inc., senior note, 4.00%, 7/15/20 | United States | 315,000 |
|
| 322,471 |
Internet & Direct Marketing Retail 0.2% |
|
|
|
|
|
Wayfair Inc., senior note, 0.375%, 9/01/22 | United States | 288,000 |
|
| 265,147 |
Pharmaceuticals 0.1% |
|
|
|
|
|
|
|
|
|
| |
Teva Pharmaceutical Finance Co. LLC, C, senior bond, 0.25%, |
|
|
|
|
|
2/01/26 | Israel | 78,000 |
|
| 75,502 |
Total Convertible Bonds (Cost $996,709) |
|
|
|
|
|
|
|
|
| 980,888 | |
Corporate Bonds and Notes 11.8% |
|
|
|
|
|
|
|
|
|
| |
Aerospace & Defense 0.6% |
|
|
|
|
|
Triumph Group Inc., |
|
|
|
|
|
fsecured note, 144A, 6.25%, 9/15/24 | United States | 415,000 |
|
| 431,946 |
dsenior note, 5.25%, 6/01/22 | United States | 401,000 |
|
| 394,108 |
|
|
|
|
| 826,054 |
Capital Markets 0.3% |
|
|
|
|
|
|
|
|
|
| |
feG Global Finance PLC, senior secured note, 144A, |
|
|
|
|
|
4.375%, 2/07/25 | United Kingdom | 192,000 | EUR | 197,873 | |
6.25%, 10/30/25 | United Kingdom | 261,000 | EUR | 281,028 | |
|
|
|
|
|
|
|
|
|
|
| 478,901 |
Chemicals 0.2% |
|
|
|
|
|
|
|
|
|
| |
fTPC Group Inc., senior secured note, 144A, 10.50%, 8/01/24 | United States | 252,000 |
|
| 256,305 |
Commercial Services & Supplies 2.4% |
|
|
|
|
|
R.R. Donnelley & Sons Co., senior bond, 6.00%, 4/01/24 | United States | 447,000 |
|
| 448,303 |
fVericast Corp., 144A, |
|
|
|
|
|
senior note, 9.25%, 3/01/21 | United States | 2,349,500 |
|
| 2,355,374 |
senior secured note, 8.375%, 8/15/22 | United States | 578,000 |
|
| 489,674 |
|
|
|
|
|
|
|
|
|
|
| 3,293,351 |
Communications Equipment 0.2% |
|
|
|
|
|
|
|
|
|
| |
fRiverbed Technology Inc., senior note, 144A, 8.875%, 3/01/23 | United States | 302,000 |
|
| 206,115 |
Distributors 0.2% |
|
|
|
|
|
f,gAmerican News Co. LLC, senior note, 144A, PIK, 8.50%, 9/01/26 | United States | 248,771 |
|
| 261,800 |
Diversified Financial Services 0.3% |
|
|
|
|
|
fOne Call Corp., senior secured note, first lien, 144A, 7.50%, |
|
|
|
|
|
7/01/24 | United States | 469,056 |
|
| 462,020 |
Diversified Telecommunication Services 2.8% |
|
|
|
|
|
|
|
|
|
| |
fAltice France SA, senior secured note, 144A, 3.375%, 1/15/28 | France | 158,000 | EUR | 170,148 | |
Frontier Communications Corp., |
|
|
|
|
|
senior bond, 7.125%, 1/15/23 | United States | 125,000 |
|
| 58,125 |
senior bond, 7.625%, 4/15/24 | United States | 79,000 |
|
| 37,722 |
senior bond, 6.875%, 1/15/25 | United States | 32,000 |
|
| 15,373 |
senior bond, 9.00%, 8/15/31 | United States | 245,000 |
|
| 118,755 |
d,fsenior secured note, 144A, 8.00%, 4/01/27 | United States | 849,000 |
|
| 882,408 |
54
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
|
| Principal |
|
|
|
| Country | Amount* |
|
| Value |
Corporate Bonds and Notes (continued) |
|
|
|
|
|
Diversified Telecommunication Services (continued) |
|
|
|
|
|
Hughes Satellite Systems Corp., senior secured note, 5.25%, |
|
|
|
|
|
8/01/26 | United States | 183,000 | $ | 201,135 | |
fIntelsat Jackson Holdings SA, senior secured note, 144A, |
|
|
|
|
|
d9.50%, 9/30/22 | Luxembourg | 1,974,000 |
|
| 2,241,106 |
8.00%, 2/15/24 | Luxembourg | 172,000 |
|
| 176,659 |
|
|
|
|
|
|
|
|
|
|
| 3,901,431 |
Electric Utilities 0.4% |
|
|
|
|
|
|
|
|
|
| |
hEskom Holdings SOC Ltd., senior bond, Reg S, |
|
|
|
|
|
5.75%, 1/26/21 | South Africa | 222,000 |
|
| 222,624 |
8.45%, 8/10/28 | South Africa | 200,000 |
|
| 212,145 |
fSwissport Financing SARL, senior note, 144A, 9.00%, 2/15/25 | Luxembourg | 100,000 |
|
| 113,876 |
|
|
|
|
| 548,645 |
Energy Equipment & Services 0.5% |
|
|
|
|
|
|
|
|
|
| |
fKCA Deutag UK Finance PLC, senior secured note, 144A, |
|
|
|
|
|
9.625%, 4/01/23 | United Kingdom | 100,000 |
|
| 59,031 |
d,fTransocean Inc., senior note, 144A, 7.50%, 1/15/26 | United States | 604,000 |
|
| 481,583 |
fVantage Drilling International, senior secured note, 144A, 9.25%, |
|
|
|
|
|
11/15/23 | United States | 247,000 |
|
| 219,727 |
|
|
|
|
|
|
|
|
|
|
| 760,341 |
Equity Real Estate Investment Trusts (REITs) 0.3% |
|
|
|
|
|
|
|
|
|
| |
fUniti Group LP / Uniti Fiber Holdings Inc. / CSL Capital LLC, |
|
|
|
|
|
senior secured note, 144A, 7.875%, 2/15/25 | United States | 189,000 |
|
| 195,294 |
fVICI Properties LP / VICI Note Co. Inc., senior note, 144A, 3.50%, |
|
|
|
|
|
2/15/25 | United States | 260,000 |
|
| 260,890 |
|
|
|
|
|
|
|
|
|
|
| 456,184 |
Food & Staples Retailing 0.3% |
|
|
|
|
|
|
|
|
|
| |
hCasino Guichard Perrachon SA, Reg S, |
|
|
|
|
|
i,jjunior sub. bond, E, FRN, 3.992%, (EUR 5 Year Swap + |
|
|
|
|
|
3.82%), Perpetual | France | 500,000 | EUR | 287,302 | |
senior bond, E, 4.048%, 8/05/26 | France | 100,000 | EUR | 86,219 | |
|
|
|
|
|
|
|
|
|
|
| 373,521 |
Household Durables 0.3% |
|
|
|
|
|
|
|
|
|
| |
fK. Hovnanian Enterprises Inc., senior secured note, 144A, |
|
|
|
|
|
10.00%, 11/15/25 | United States | 560,000 |
|
| 410,200 |
Insurance 0.0%† |
|
|
|
|
|
|
|
|
|
| |
fAmbac Assurance Corp., sub. bond, 144A, 5.10%, 6/07/20 | United States | 2 |
|
| 3 |
f,iAmbac LSNI LLC, senior secured note, 144A, FRN, 6.945%, (3- |
|
|
|
|
|
Month USD LIBOR + 5.00%), 2/12/23 | Cayman Islands | 8 |
|
| 8 |
|
|
|
|
|
|
|
|
|
|
| 11 |
Media 0.5% |
|
|
|
|
|
|
|
|
|
| |
fDiamond Sports Group LLC / Diamond Sports Finance Co., |
|
|
|
|
|
senior secured note, 144A, 5.375%, 8/15/26 | United States | 770,000 |
|
| 711,398 |
Metals & Mining 0.1% |
|
|
|
|
|
|
|
|
|
| |
fCSN Islands XI Corp., senior note, 144A, 6.75%, 1/28/28 | Brazil | 200,000 |
|
| 181,550 |
Multiline Retail 0.0%† |
|
|
|
|
|
Nordstrom Inc., senior bond, 5.00%, 1/15/44 | United States | 46,000 |
|
| 44,879 |
|
|
|
|
|
|
55
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
|
| Principal |
|
|
| Country | Amount* |
| Value |
Corporate Bonds and Notes (continued) |
|
|
|
|
Oil, Gas & Consumable Fuels 1.2% |
|
|
|
|
d,fAmerican Energy- Permian Basin LLC, senior secured note, |
|
|
|
|
144A, 12.00%, 10/01/24 | United States | 962,000 | $ | 675,805 |
fMoss Creek Resources Holdings Inc., senior note, 144A, |
|
|
|
|
7.50%, 1/15/26 | United States | 9,000 |
| 5,426 |
10.50%, 5/15/27 | United States | 244,000 |
| 164,785 |
Petrobras Global Finance BV, |
|
|
|
|
senior bond, 6.90%, 3/19/49 | Brazil | 278,000 |
| 333,398 |
senior note, 8.75%, 5/23/26 | Brazil | 257,000 |
| 330,078 |
fPetroleos Mexicanos, senior bond, 144A, |
|
|
|
|
5.95%, 1/28/31 | Mexico | 87,000 |
| 85,260 |
6.95%, 1/28/60 | Mexico | 101,000 |
| 97,339 |
|
|
|
|
|
|
|
|
| 1,692,091 |
Paper & Forest Products 0.1% |
|
|
|
|
|
|
|
| |
Paper Industries Financing SARL, senior note, 0.25%, 2/04/28 | Luxembourg | 33,479 |
| 46,199 |
Paper Industries Intermediate Financing SARL, senior secured |
|
|
|
|
note, 6.00%, 3/01/25 | Luxembourg | 52,666 |
| 52,438 |
|
|
|
|
|
|
|
|
| 98,637 |
Pharmaceuticals 0.2% |
|
|
|
|
|
|
|
| |
Teva Pharmaceutical Finance Netherlands III BV, |
|
|
|
|
senior bond, 3.15%, 10/01/26 | Israel | 113,000 |
| 98,844 |
senior note, 2.20%, 7/21/21 | Israel | 130,000 |
| 126,350 |
|
|
|
|
|
|
|
|
| 225,194 |
Specialty Retail 0.9% |
|
|
|
|
|
|
|
| |
Bed Bath & Beyond Inc., senior bond, 5.165%, 8/01/44 | United States | 356,000 |
| 245,909 |
d,fCarvana Co., senior note, 144A, 8.875%, 10/01/23 | United States | 532,000 |
| 551,955 |
fStaples Inc., senior secured note, 144A, 7.50%, 4/15/26 | United States | 437,000 |
| 434,957 |
|
|
|
| 1,232,821 |
Total Corporate Bonds and Notes (Cost $16,689,768) |
|
|
|
|
|
|
| 16,421,449 | |
Corporate Bonds and Notes in Reorganization |
|
|
|
|
|
|
|
| |
(Cost $244,523) 0.2% |
|
|
|
|
Media 0.2% |
|
|
|
|
kThe McClatchy Co., senior secured note, 9.00%, 7/15/26 | United States | 250,000 |
| 235,618 |
iSenior Floating Rate Interests 2.6% |
|
|
|
|
Communications Equipment 0.4% |
|
|
|
|
lRiverbed Technology Inc., Term Loan B, 4.86%, (1-Month USD |
|
|
|
|
LIBOR + 3.25%), 4/24/22 | United States | 536,237 |
| 480,603 |
Diversified Consumer Services 0.5% |
|
|
|
|
|
|
|
| |
Advantage Sales & Marketing Inc., |
|
|
|
|
Term Loan 1L, 4.853%, (1-Month USD LIBOR + 3.25%), 7/23/21 | United States | 473,809 |
| 458,411 |
Term Loan B2, 4.853%, (1-Month USD LIBOR + 3.25%), 7/23/21 | United States | 277,082 |
| 268,076 |
|
|
|
|
|
|
|
|
| 726,487 |
Diversified Telecommunication Services 0.8% |
|
|
|
|
|
|
|
| |
Digicel International Finance Ltd., Term Loan B, 4.87%, (1-Month |
|
|
|
|
USD LIBOR + 3.25%), 5/27/24 | Saint Lucia | 305,704 |
| 280,483 |
Frontier Communications Corp., Term Loan B1, 5.36%, (1-Month |
|
|
|
|
USD LIBOR + 3.75%), 6/17/24 | United States | 274,698 |
| 273,667 |
Intelsat Jackson Holdings SA, |
|
|
|
|
Term Loan B3, 5.682%, (6-Month USD LIBOR + 3.75%), |
|
|
|
|
11/27/23 | United States | 231,011 |
| 229,712 |
56
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
|
| Principal |
|
|
|
| Country | Amount* |
|
| Value |
iSenior Floating Rate Interests (continued) |
|
|
|
|
|
Diversified Telecommunication Services (continued) |
|
|
|
|
|
Intelsat Jackson Holdings SA, (continued) |
|
|
|
|
|
Term Loan B4, 6.432%, (1-Month USD LIBOR + 4.50%), |
|
|
|
|
|
1/02/24 | United States | 16,979 | $ | 17,133 | |
Term Loan B5, 6.625%, (6-Month USD LIBOR + 6.625%), |
|
|
|
|
|
1/02/24 | Luxembourg | 329,824 |
|
| 332,813 |
|
|
|
|
|
|
|
|
|
|
| 1,133,808 |
Electronic Equipment, Instruments & Components 0.2% |
|
|
|
|
|
|
|
|
|
| |
Veritas U.S. Inc., |
|
|
|
|
|
Term Loan B1, 6.103%, (1-Month USD LIBOR + 4.50%), |
|
|
|
|
|
1/27/23 | United States | 253,179 |
|
| 238,621 |
Term Loan B1, 6.445%, (1-Month USD LIBOR + 4.50%), |
|
|
|
|
|
1/27/23 | United States | 90,744 |
|
| 85,526 |
|
|
|
|
|
|
|
|
|
|
| 324,147 |
Health Care Providers & Services 0.1% |
|
|
|
|
|
|
|
|
|
| |
lMallinckrodt International Finance SA, Term Loan B, 4.695%, (1- |
|
|
|
|
|
Month USD LIBOR + 2.75%), 9/24/24 | United States | 175,042 |
|
| 156,706 |
Oil, Gas & Consumable Fuels 0.1% |
|
|
|
|
|
|
|
|
|
| |
Chesapeake Energy Corp., Term Loan A, 9.928%, (1-Month USD |
|
|
|
|
|
LIBOR + 8.00%), 6/24/24 | United States | 167,027 |
|
| 152,621 |
Specialty Retail 0.5% |
|
|
|
|
|
|
|
|
|
| |
PETCO Animal Supplies Inc., Term Loan B1, 5.027%, (3-Month |
|
|
|
|
|
USD LIBOR + 3.25%), 1/26/23 | United States | 476,914 |
|
| 383,518 |
Staples Inc., Term Loan B, 6.655%, (1-Month USD LIBOR + |
|
|
|
|
|
5.00%), 4/16/26 | United States | 292,976 |
|
| 285,286 |
|
|
|
|
|
|
|
|
|
|
| 668,804 |
Total Senior Floating Rate Interests (Cost $3,575,639) |
|
|
|
|
|
|
|
|
| 3,643,176 | |
Credit-Linked Notes 0.6% |
|
|
|
|
|
|
|
|
|
| |
fICBC Standard Bank PLC, (Ukraine), 144A, 15.36%, 10/01/21 | Ukraine | 5,336,000 | UAH | 228,712 | |
fJPMorgan Chase Bank NA, senior note, (Egypt Treasury Bill), 144A, |
|
|
|
|
|
16.00%, 6/13/22 | Egypt | 2,500,000 | EGP | 165,268 | |
14.35%, 9/12/24 | Egypt | 3,471,000 | EGP | 223,093 | |
13.536%, 1/16/25 | Egypt | 2,500,000 | EGP | 157,599 | |
Total Credit-Linked Notes (Cost $750,270) |
|
|
|
|
|
|
|
|
| 774,672 | |
Foreign Government and Agency Securities 3.7% |
|
|
|
|
|
|
|
|
|
| |
hGovernment of Bahrain, senior bond, Reg S, 7.00%, 1/26/26 | Bahrain | 200,000 |
|
| 231,376 |
Government of Italy, senior note, 2.375%, 10/17/24 | Italy | 373,000 |
|
| 376,327 |
hGovernment of Paraguay, senior bond, Reg S, 4.625%, 1/25/23 | Paraguay | 421,000 |
|
| 446,965 |
Government of Russia, |
|
|
|
|
|
senior bond, 7.25%, 5/10/34 | Russia | 103,458,000 | RUB | 1,643,172 | |
senior note, 7.40%, 7/17/24 | Russia | 37,531,000 | RUB | 591,472 | |
fGovernment of Saudi Arabia, senior bond, 144A, 2.75%, 2/03/32 | Saudi Arabia | 221,000 |
|
| 220,447 |
Government of South Africa, R186, senior bond, 10.50%, |
|
|
|
|
|
12/21/26 | South Africa | 11,978,039 | ZAR | 858,964 | |
Government of Turkey, senior note, 6.35%, 8/10/24 | Turkey | 200,000 |
|
| 205,573 |
Government of Ukraine, senior bond, |
|
|
|
|
|
f144A, 4.375, 1/27/30 | Ukraine | 110,000 |
|
| 114,986 |
h,iReg S, FRN, zero cpn., 5/31/40 | Ukraine | 224,000 |
|
| 222,063 |
57
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
|
| Principal |
|
|
| Country | Amount* |
| Value |
Foreign Government and Agency Securities (continued) |
|
|
|
|
Government of Ukraine, senior bond, (continued) |
|
|
|
|
hReg S,7.375%, 9/25/32 | Ukraine | 200,000 | $ | 214,953 |
Total Foreign Government and Agency Securities |
|
|
|
|
(Cost $5,167,999) |
|
|
| 5,126,298 |
U.S. Government and Agency Securities 0.7% |
|
|
|
|
|
|
|
| |
U.S. Treasury Bond, 3.00%, 2/15/48 | United States | 291,000 |
| 377,681 |
U.S. Treasury Note, |
|
|
|
|
1.50%, 9/30/24 | United States | 56,900 |
| 58,383 |
1.50%, 10/31/24 | United States | 241,900 |
| 248,297 |
1.75%, 12/31/24 | United States | 11,000 |
| 11,430 |
1.375%, 1/31/25 | United States | 42,000 |
| 42,920 |
1.625%, 8/15/29 | United States | 100,000 |
| 104,422 |
1.75%, 11/15/29 | United States | 23,000 |
| 24,289 |
1.50%, 2/15/30 | United States | 62,200 |
| 64,328 |
Total U.S. Government and Agency Securities |
|
|
|
|
|
|
|
| |
(Cost $824,491) |
|
|
| 931,750 |
Asset-Backed Securities and Commercial Mortgage-Backed |
|
|
|
|
|
|
|
| |
Securities 40.7% |
|
|
|
|
Diversified Financial Services 23.3% |
|
|
|
|
f,nACIS CLO Ltd., 2014-5A, D, 144A, FRN, 6.103%, (3-Month USD |
|
|
|
|
LIBOR + 4.34%), 11/01/26 | United States | 1,120,000 |
| 1,123,150 |
oAdjustable Rate Mortgage Trust, 2005-4, 3A1, FRN, 4.679%, |
|
|
|
|
8/25/35 | United States | 69,664 |
| 70,094 |
f,n,pAGL CLO 3 Ltd., 2020-3A, D, 144A, FRN, 4.19%, (3-Month USD |
|
|
|
|
LIBOR + 3.30%), 1/15/33 | United States | 1,000,000 |
| 1,000,000 |
Alternative Loan Trust, 2005-J10, 2A4, 6.00%, 10/25/35 | United States | 439,164 |
| 332,065 |
f,oAMSR Trust, 144A, FRN, |
|
|
|
|
2019-SFR1, H, 6.04%, 1/19/39 | United States | 750,000 |
| 775,401 |
2019-SFR1, I, 8.976%, 1/19/39 | United States | 750,000 |
| 776,915 |
f,nAshford Hospitality Trust, 2018-ASHF, E, 144A, FRN, 4.759%, (1- |
|
|
|
|
Month USD LIBOR + 3.10%), 4/15/35 | United States | 1,250,000 |
| 1,253,264 |
Bear Stearns ALT-A Trust, FRN, |
|
|
|
|
o2004-12, 2A4, 3.782%, 1/25/35 | United States | 312,316 |
| 310,392 |
n2004-6, B1, 4.477%, (1-Month USD LIBOR + 2.85%), 7/25/34 | United States | 346,495 |
| 380,855 |
f,nBXMT Ltd., 2020-FL2, C, 144A, FRN, 3.31%, (1-Month USD |
|
|
|
|
LIBOR + 1.65%), 2/16/37 | United States | 1,300,000 |
| 1,305,363 |
f,nCarlyle Global Market Strategies CLO Ltd., 2018-1A, CR, 144A, |
|
|
|
|
FRN, 4.569%, (3-Month USD LIBOR + 2.75%), 4/20/27 | United States | 1,700,000 |
| 1,617,113 |
fCastlelake Aircraft Securitization Trust, 2018-1, A, 144A, 4.125%, |
|
|
|
|
6/15/43 | United States | 581,788 |
| 598,703 |
oChase Mortgage Finance Trust, 2007-A1, 11M1, FRN, 3.961%, |
|
|
|
|
3/25/37 | United States | 26,234 |
| 26,482 |
Chaseflex Trust, 2005-2, 1A1, 6.00%, 6/25/35 | United States | 494,353 |
| 479,129 |
Citimortgage Alternative Loan Trust, 2007-A1, 2A1, 5.50%, |
|
|
|
|
1/25/22 | United States | 34,129 |
| 34,579 |
f,nCutwater 2014-II Ltd., 2017-2A, CR, 144A, FRN, 5.581%, (3- |
|
|
|
|
Month USD LIBOR + 3.75%), 1/15/27 | United States | 1,000,000 |
| 1,001,727 |
f,nCVP Cascade Ltd., 2014-2A, C, 144A, FRN, 5.619%, (3-Month |
|
|
|
|
USD LIBOR + 3.80%), 7/18/26 | United States | 700,000 |
| 697,923 |
Delta Funding Home Equity Loan Trust, 2000-2, M2, 8.86%, |
|
|
|
|
8/15/30 | United States | 321,122 |
| 299,249 |
58
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
|
| Principal |
|
|
| Country | Amount* |
| Value |
Asset-Backed Securities and Commercial Mortgage-Backed |
|
|
|
|
Securities (continued) |
|
|
|
|
Diversified Financial Services (continued) |
|
|
|
|
m,nFNMA, 2011-11, SA, IO, FRN, 4.823%, (6.45% - 1-Month USD |
|
|
|
|
LIBOR), 11/25/41 | United States | 2,236,905 | $ | 511,972 |
f,nGoldentree Loan Management US CLO 6 Ltd., 2019-6A, C, 144A, |
|
|
|
|
FRN, 4.357%, (3-Month USD LIBOR + 2.60%), 1/20/33 | United States | 1,000,000 |
| 1,003,286 |
f,nGPMT Ltd., 2019-FL2, D, 144A, FRN, 4.608%, (1-Month USD |
|
|
|
|
LIBOR + 2.95%), 2/22/36 | United States | 1,000,000 |
| 1,005,495 |
f,nGreywolf CLO II Ltd., 2017-1A, BR, 144A, FRN, 3.981%, (3- |
|
|
|
|
Month USD LIBOR + 2.15%), 10/15/29 | United States | 750,000 |
| 743,667 |
f,nGrippen Park CLO Ltd., 2017-1A, D, 144A, FRN, 5.119%, (3- |
|
|
|
|
Month USD LIBOR + 3.30%), 1/20/30 | United States | 500,000 |
| 502,772 |
GSAA Trust, 2006-7, AF3, 6.22%, 3/25/46 | United States | 206,389 |
| 130,443 |
fGSMSC Pass-Through Trust, 144A, FRN, |
|
|
|
|
n2009-4R, 2A3, 2.111%, (1-Month USD LIBOR + 0.45%), |
|
|
|
|
12/26/36 | United States | 808,958 |
| 492,442 |
o2009-5R, 3A2, 5.50%, 10/26/35 | United States | 229,681 |
| 226,488 |
f,nHome Partners of America Trust, 144A, FRN, |
|
|
|
|
2017-1, F, 5.198%, (1-Month USD LIBOR + 3.54%), 7/17/34 | United States | 500,000 |
| 501,818 |
2018-1, E, 3.509%, (1-Month USD LIBOR + 1.85%), 7/17/37 | United States | 1,200,000 |
| 1,192,905 |
f,nHull Street CLO Ltd., 2014-1A, D, 144A, FRN, 5.427%, (3-Month |
|
|
|
|
USD LIBOR + 3.60%), 10/18/26 | United States | 1,130,000 |
| 1,123,218 |
JPMorgan Mortgage Acquisition Trust, 2007-CH2, AF2, 4.613%, |
|
|
|
|
1/25/37 | United States | 176,792 |
| 133,964 |
f,m,oJPMorgan Mortgage Trust, 144A, IO, FRN, |
|
|
|
|
2019-8, B1X, 1.25%, 3/25/50 | United States | 824,438 |
| 60,619 |
2019-8, B2X, 1.00%, 3/25/50 | United States | 1,236,706 |
| 71,557 |
2019-8, B3X, 0.75%, 3/25/50 | United States | 792,641 |
| 33,916 |
f,nKREF Ltd., 2018-FL1, D, 144A, FRN, 4.208%, (1-Month USD |
|
|
|
|
LIBOR + 2.55%), 6/15/36 | United States | 300,000 |
| 302,046 |
f,nMadison Park Funding XXIII Ltd., 2017-23A, C, 144A, FRN, |
|
|
|
|
4.144%, (3-Month USD LIBOR + 2.35%), 7/27/30 | United States | 700,000 |
| 697,200 |
MASTR Adjustable Rate Mortgages Trust, FRN, |
|
|
|
|
o2004-10, B1, 4.105%, 10/25/34 | United States | 545,893 |
| 511,087 |
n2006-OA1, 1A1, 1.837%, (1-Month USD LIBOR + 0.21%), |
|
|
|
|
4/25/46 | United States | 364,043 |
| 335,541 |
oMASTR Alternative Loan Trust, 2007-HF1, 3A1, FRN, 3.424%, |
|
|
|
|
10/25/47 | United States | 676,263 |
| 491,733 |
nMorgan Stanley ABS Capital I Inc. Trust, 2004-NC6, M3, FRN, |
|
|
|
|
3.802%, (1-Month USD LIBOR + 2.18%), 7/25/34 | United States | 20,415 |
| 20,736 |
f,nMorgan Stanley RE-REMIC Trust, 2013-R8, 2B2, 144A, FRN, |
|
|
|
|
2.501%, (1-Month USD LIBOR + 0.42%), 9/26/36 | United States | 1,003,500 |
| 727,468 |
nNational Collegiate Student Loan Trust, 2006-1, A5, FRN, |
|
|
|
|
1.977%, (1-Month USD LIBOR + 0.35%), 3/25/33 | United States | 141,327 |
| 133,142 |
f,nOHA Credit Funding 4 Ltd., 2019-4A, C, 144A, FRN, 4.586%, (3- |
|
|
|
|
Month USD LIBOR + 2.65%), 10/22/32 | United States | 1,500,000 |
| 1,504,710 |
fSapphire Aviation Finance I Ltd., 2018-1A, B, 144A, 5.926%, |
|
|
|
|
3/15/40 | United States | 770,684 |
| 806,406 |
oSeasoned Credit Risk Transfer Trust, FRN, |
|
|
|
|
f2016-1, M2, 144A, 3.75%, 9/25/55 | United States | 500,000 |
| 509,936 |
2017-3, M1, 4.00%, 7/25/56 | United States | 40,000 |
| 40,647 |
f2017-4, M, 144A, 4.75%, 6/25/57 | United States | 150,000 |
| 158,716 |
fS-Jets Ltd., 2017-1, A, 144A, 3.967%, 8/15/42 | Bermuda | 801,156 |
| 825,007 |
f,nSTACR Trust, 2018-HRP1, B2, 144A, FRN, 13.377%, (1-Month |
|
|
|
|
USD LIBOR + 11.75%), 4/25/43 | United States | 1,081,414 |
| 1,402,701 |
59
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
|
| Principal |
|
|
| Country | Amount* |
| Value |
Asset-Backed Securities and Commercial Mortgage-Backed |
|
|
|
|
Securities (continued) |
|
|
|
|
Diversified Financial Services (continued) |
|
|
|
|
f,nStaniford Street CLO Ltd., 2014-1A, D, 144A, FRN, 5.394%, (3- |
|
|
|
|
Month USD LIBOR + 3.50%), 6/15/25 | United States | 1,160,000 | $ | 1,158,578 |
oSTARM Mortgage Loan Trust, FRN, |
|
|
|
|
2007-2, 4A1, 4.613%, 4/25/37 | United States | 87,321 |
| 68,962 |
2007-3, 2A1, 4.274%, 6/25/37 | United States | 951,600 |
| 944,923 |
nSuntrust Alternative Loan Trust, 2005-1F, 1A1, FRN, 2.277%, (1- |
|
|
|
|
Month USD LIBOR + 0.65%), 12/25/35 | United States | 231,086 |
| 197,179 |
nTerwin Mortgage Trust, 2003-6HE, M2, FRN, 4.252%, (1-Month |
|
|
|
|
USD LIBOR + 2.63%), 11/25/33 | United States | 153,949 |
| 148,006 |
Wells Fargo Alternative Loan Trust, 2007-PA3, 2A2, 6.00%, |
|
|
|
|
7/25/37 | United States | 181,337 |
| 183,222 |
oWells Fargo Mortgage Backed Securities Trust, 2006-AR13, A2, |
|
|
|
|
FRN, 4.819%, 9/25/36 | United States | 169,266 |
| 162,906 |
f,nWestchester CLO Ltd., 2007-1A, E, 144A, FRN, 6.063%, (3- |
|
|
|
|
Month USD LIBOR + 4.30%), 8/01/22 | United States | 672,928 |
| 675,724 |
f,nZais CLO 1 Ltd., 2018-1A, CR, 144A, FRN, 5.241%, (3-Month |
|
|
|
|
USD LIBOR + 3.41%), 4/15/28 | United States | 500,000 |
| 475,088 |
|
|
|
|
|
|
|
|
| 32,298,630 |
Mortgage Real Estate Investment Trusts (REITs) 17.4% |
|
|
|
|
|
|
|
| |
oAmerican Home Mortgage Assets Trust, 2005-1, 1A1, FRN, |
|
|
|
|
3.957%, 11/25/35 | United States | 146,760 |
| 131,494 |
oBanc of America Mortgage Trust, FRN, |
|
|
|
|
2005-K, 2A1, 3.818%, 12/25/35 | United States | 217,826 |
| 218,915 |
2005-L, 1A1, 3.739%, 1/25/36 | United States | 137,168 |
| 127,514 |
2005-L, 3A1, 3.879%, 1/25/36 | United States | 311,821 |
| 305,862 |
f,oBCAP LLC Trust, 2010-RR1, 1A4, 144A, FRN, 3.627%, 3/26/37 | United States | 286,873 |
| 255,445 |
oBear Stearns ARM Trust, FRN, |
|
|
|
|
2002-11, 1A2, 3.756%, 2/25/33 | United States | 4,692 |
| 4,509 |
2006-2, 4A1, 4.103%, 7/25/36 | United States | 56,534 |
| 53,226 |
f,nBX Trust, 144A, FRN, |
|
|
|
|
2017-APPL, E, 4.809%, (1-Month USD LIBOR + 3.15%), |
|
|
|
|
7/15/34 | United States | 1,530,000 |
| 1,537,009 |
2017-SLCT, E, 4.809%, (1-Month USD LIBOR + 3.15%), |
|
|
|
|
7/15/34 | United States | 637,500 |
| 640,953 |
Citigroup Mortgage Loan Trust, |
|
|
|
|
n2004-OPT1, M4, FRN, 2.632%, (1-Month USD LIBOR + |
|
|
|
|
1.01%), 10/25/34 | United States | 588,602 |
| 566,669 |
o2007-AR5, 2A1A, FRN, 4.196%, 4/25/37 | United States | 127,123 |
| 125,216 |
f,n2008-RR1, A1A1, 144A, FRN, 1.697%, (1-Month USD LIBOR |
|
|
|
|
+ 0.07%), 1/25/37 | United States | 692,940 |
| 626,550 |
Countrywide Alternative Loan Trust, |
|
|
|
|
2005-73CB, 1A2, 6.25%, 1/25/36 | United States | 186,334 |
| 197,008 |
n2005-IM1, A1, FRN, 2.227%, (1-Month USD LIBOR + 0.60%), |
|
|
|
|
1/25/36 | United States | 156,101 |
| 154,269 |
2006-4CB, 2A3, 5.50%, 4/25/36 | United States | 80,396 |
| 79,464 |
CS First Boston Mortgage Securities Corp., |
|
|
|
|
2002-9, 1A2, 7.50%, 3/25/32 | United States | 484,838 |
| 506,461 |
o2004-AR3, CB2, FRN, 4.266%, 4/25/34 | United States | 136,059 |
| 130,550 |
f,n2004-CF2, 2M2, 144A, FRN, 3.027%, (1-Month USD LIBOR + |
|
|
|
|
1.40%), 5/25/44 | United States | 258,644 |
| 254,385 |
CSMC Mortgage-Backed Trust, 2006-4, 9A1, 6.50%, 5/25/36 | United States | 813,276 |
| 476,966 |
f,oFHLMC Seasoned Credit Risk Transfer Trust, 2017-2, M1, 144A, |
|
|
|
|
FRN, 4.00%, 8/25/56 | United States | 2,170,000 |
| 2,215,879 |
60
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
|
| Principal |
|
|
| Country | Amount* |
| Value |
Asset-Backed Securities and Commercial Mortgage-Backed |
|
|
|
|
Securities (continued) |
|
|
|
|
Mortgage Real Estate Investment Trusts (REITs) (continued) |
|
|
|
|
f,oFHLMC Structured Agency Credit Risk Debt Notes, 144A, FRN, |
|
|
|
|
2017-SPI1, M2, 3.977%, 9/25/47 | United States | 150,000 | $ | 153,983 |
2018-SPI1, M2, 3.731%, 2/25/48 | United States | 693,000 |
| 705,382 |
2018-SPI2, M2, 3.812%, 5/25/48 | United States | 350,000 |
| 357,657 |
2018-SPI3, B, 4.15%, 8/25/48 | United States | 250,000 |
| 194,910 |
oFirst Horizon Alternative Mortgage Securities Trust, 2004-AA2, |
|
|
|
|
2A1, FRN, 3.711%, 8/25/34 | United States | 244,527 |
| 248,373 |
mGNMA, 2019-151, NI, IO, 3.50%, 10/20/49 | United States | 2,238,668 |
| 276,037 |
GSR Mortgage Loan Trust, |
|
|
|
|
2004-6F, 2A4, 5.50%, 5/25/34 | United States | 184,110 |
| 193,098 |
o2004-9, B1, FRN, 4.232%, 8/25/34 | United States | 156,321 |
| 153,271 |
o2005-AR6, B1, FRN, 4.385%, 9/25/35 | United States | 626,262 |
| 583,533 |
2007-1F, 1A1, 5.00%, 12/25/35 | United States | 222,433 |
| 250,523 |
Impac CMB Trust, |
|
|
|
|
2004-4, 2A2, 4.829%, 9/25/34 | United States | 166,631 |
| 174,776 |
n2004-8, 3B, FRN, 4.252%, (1-Month USD LIBOR + 2.63%), |
|
|
|
|
8/25/34 | United States | 137,797 |
| 138,299 |
n2005-2, 2B, FRN, 4.102%, (1-Month USD LIBOR + 2.48%), |
|
|
|
|
4/25/35 | United States | 119,476 |
| 117,303 |
n2005-4, 2B1, FRN, 4.102%, (1-Month USD LIBOR + 2.48%), |
|
|
|
|
5/25/35 | United States | 142,052 |
| 141,394 |
n2005-4, 2M1, FRN, 2.377%, (1-Month USD LIBOR + 0.75%), |
|
|
|
|
5/25/35 | United States | 165,727 |
| 157,856 |
n2005-8, 2B, FRN, 3.877%, (1-Month USD LIBOR + 2.25%), |
|
|
|
|
2/25/36 | United States | 128,205 |
| 127,696 |
IndyMac INDX Mortgage Loan Trust, FRN, |
|
|
|
|
n2004-AR14, 2A1A, 2.347%, (1-Month USD LIBOR + 0.72%), |
|
|
|
|
1/25/35 | United States | 621,338 |
| 532,449 |
o2005-AR21, 4A1, 3.732%, 10/25/35 | United States | 369,410 |
| 353,556 |
n2006-AR12, A1, 1.817%, (1-Month USD LIBOR + 0.19%), |
|
|
|
|
9/25/46 | United States | 120,608 |
| 116,720 |
n2006-AR29, A2, 1.707%, (1-Month USD LIBOR + 0.08%), |
|
|
|
|
11/25/36 | United States | 158,422 |
| 154,327 |
oJ.P. Morgan Mortgage Trust, FRN, |
|
|
|
|
2007-A2, 2A1, 4.167%, 4/25/37 | United States | 204,113 |
| 192,786 |
f2019-2, B4, 144A, 4.651%, 8/25/49 | United States | 589,907 |
| 609,287 |
f,nJPMorgan Chase Commercial Mortgage Securities Trust, 2018- |
|
|
|
|
ASH8, F, 144A, FRN, 5.659%, (1-Month USD LIBOR + |
|
|
|
|
4.00%), 2/15/35 | United States | 4,000,000 |
| 4,022,077 |
oJPMorgan Mortgage Trust, FRN, |
|
|
|
|
2006-A5, 6A1, 3.816%, 8/25/36 | United States | 316,831 |
| 294,309 |
2006-A7, 2A3, 3.803%, 1/25/37 | United States | 140,215 |
| 137,897 |
Lehman Mortgage Trust, 2005-3, 2A3, 5.50%, 1/25/36 | United States | 81,398 |
| 86,432 |
oMASTR Seasoned Securitization Trust, 2004-1, 4A1, FRN, |
|
|
|
|
4.465%, 10/25/32 | United States | 62,169 |
| 64,808 |
f,nMotel 6 Trust, 2017-MTL6, F, 144A, FRN, 5.909%, (1-Month USD |
|
|
|
|
LIBOR + 4.25%), 8/15/34 | United States | 581,775 |
| 586,940 |
nNew Century Home Equity Loan Trust, 2003-4, M1, FRN, |
|
|
|
|
2.752%, (1-Month USD LIBOR + 1.13%), 10/25/33 | United States | 557,168 |
| 559,833 |
oProvident Funding Mortgage Loan Trust, FRN, |
|
|
|
|
2003-1, B1, 4.812%, 8/25/33 | United States | 54,187 |
| 52,998 |
2004-1, B1, 4.396%, 4/25/34 | United States | 30,809 |
| 28,678 |
oRALI Trust, FRN, |
|
|
|
|
2005-QA8, NB2, 3.972%, 7/25/35 | United States | 73,200 |
| 64,800 |
61
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
|
| Principal |
|
|
| Country | Amount* |
| Value |
Asset-Backed Securities and Commercial Mortgage-Backed |
|
|
|
|
Securities (continued) |
|
|
|
|
Mortgage Real Estate Investment Trusts (REITs) (continued) |
|
|
|
|
oRALI Trust, FRN, (continued) |
|
|
|
|
2005-QA8, NB3, 5.023%, 7/25/35 | United States | 7,886 | $ | 6,281 |
Residential Asset Securitization Trust, 2006-A1, 1A1, 6.00%, |
|
|
|
|
4/25/36 | United States | 416,477 |
| 308,573 |
oRFMSI Trust, 2007-SA2, 3A, FRN, 5.118%, 4/25/37 | United States | 1,247,004 |
| 579,875 |
nSecuritized Asset Backed Receivables LLC Trust, 2004-OP2, A2, |
|
|
|
|
FRN, 2.327%, (1-Month USD LIBOR + 0.70%), 8/25/34 | United States | 199,024 |
| 192,807 |
oStructured ARM Loan Trust, FRN, |
|
|
|
|
2004-2, 1A1, 4.59%, 3/25/34 | United States | 132,705 |
| 135,571 |
2004-4, B1, 4.201%, 4/25/34 | United States | 452,671 |
| 431,043 |
oWachovia Mortgage Loan Trust LLC, 2005-B, 1A1, FRN, 4.254%, |
|
|
|
|
10/20/35 | United States | 538,445 |
| 535,338 |
nWaMu Mortgage Pass-Through Certificates Trust, 2007-OA3, |
|
|
|
|
2A1A, FRN, 2.813%, (1 Year CMT + 0.76%), 4/25/47 | United States | 61,538 |
| 62,430 |
nWashington Mutual Mortgage Pass-Through Certificates, 2006-4, |
|
|
|
|
3A2B, FRN, 1.707%, (1-Month USD LIBOR + 0.08%), 5/25/36 | United States | 300,808 |
| 237,945 |
oWashington Mutual MSC Mortgage Pass-Through Certificates |
|
|
|
|
Series Trust, FRN, |
|
|
|
|
2003-AR2, M, 3.334%, 5/25/33 | United States | 951,730 |
| 929,731 |
2003-AR3, B1, 3.84%, 6/25/33 | United States | 262,897 |
| 246,620 |
|
|
|
|
|
|
|
|
| 24,106,546 |
Total Asset-Backed Securities and Commercial Mortgage- |
|
|
|
|
|
|
|
| |
Backed Securities (Cost $54,560,644) |
|
|
| 56,405,176 |
Municipal Bonds in Reorganization 0.9% |
|
|
|
|
|
|
|
| |
Puerto Rico 0.9% |
|
|
|
|
kPuerto Rico Commonwealth GO, Public Improvement, Refunding, Series A, |
|
|
|
|
5.50%, 7/01/39 | United States | 155,000 |
| 122,644 |
5.00%, 7/01/41 | United States | 225,000 |
| 170,437 |
kPuerto Rico Commonwealth GO, Refunding, Series A, 8.00%, 7/01/35 | United States | 1,330,000 |
| 974,225 |
Total Municipal Bonds in Reorganization (Cost $873,250) |
|
|
| 1,267,306 |
| Number of | Notional |
|
|
|
|
| ||
| Contracts | Amount# |
|
|
Options Purchased 0.1% |
|
|
|
|
Calls - Exchange-Traded 0.0%† |
|
|
|
|
Carnival Corp., April Strike Price $40.00, Expires 4/17/20 | 61 | 6,100 |
| 5,795 |
Centene Corp., April Strike Price $55.00, Expires 4/17/20 | 42 | 4,200 |
| 14,070 |
Delta Air Lines Inc., April Strike Price $50.00, Expires 4/17/20 | 75 | 7,500 |
| 18,375 |
Energy Transfer LP, July Strike Price $12.00, Expires 7/17/20 | 210 | 21,000 |
| 14,490 |
Enterprise Products Partners LP, June Strike Price $24.00, |
|
|
|
|
Expires 6/19/20 | 210 | 21,000 |
| 21,420 |
Hertz Global Holdings Inc., July Strike Price $15.00, Expires |
|
|
|
|
7/17/20 | 84 | 8,400 |
| 12,600 |
Marriott International Inc., A, April Strike Price $125.00, Expires |
|
|
|
|
4/17/20 | 21 | 2,100 |
| 16,695 |
62
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
| Number of | Notional |
|
|
|
|
| Contracts | Amount# |
|
|
| Value |
Options Purchased (continued) |
|
|
|
|
|
|
Calls - Exchange-Traded (continued) |
|
|
|
|
|
|
Marriott International Inc., A, April Strike Price $130.00, Expires |
|
|
|
|
|
|
4/17/20 | 11 | 1,100 | $ | 6,864 | ||
|
|
|
|
|
|
|
|
|
|
|
|
| 110,309 |
Puts - Exchange-Traded 0.1% |
|
|
|
|
|
|
|
|
|
|
|
| |
Iron Mountain Inc., January Strike Price $25.00, Expires 1/15/21 | 26 | 2,600 |
|
|
| 4,420 |
Iron Mountain Inc., January Strike Price $27.50, Expires 1/15/21 | 14 | 1,400 |
|
|
| 3,850 |
KAR Auction Services Inc., January Strike Price $17.50, Expires |
|
|
|
|
|
|
1/15/21 | 32 | 3,200 |
|
|
| 6,080 |
KAR Auction Services Inc., January Strike Price $20.00, Expires |
|
|
|
|
|
|
1/15/21 | 16 | 1,600 |
|
|
| 3,640 |
NRG Energy Inc., January Strike Price $33.00, Expires 1/16/21 | 82 | 8,200 |
|
|
| 36,080 |
|
|
|
|
|
|
|
|
|
|
|
|
| 54,070 |
Puts - Over-the-Counter 0.0%† |
|
|
|
|
|
|
|
|
|
|
|
| |
SoftBank Group Corp., Counterparty CITI, June Strike Price |
|
|
|
|
|
|
4,360.00 JPY, Expires 6/11/20 | 9,000 | 9,000 |
|
|
| 12,965 |
Interest Rate Swaptions - Puts - Over-the-Counter 0.0%† |
|
|
|
|
|
|
|
|
|
|
|
| |
Pay fixed 2.24%, receive 3-Month USD LIBOR, Counterparty |
|
|
|
|
|
|
JPHQ, Expires 4/30/20 | 1 | 806,000 |
|
|
| 96 |
Total Options Purchased (Cost $157,081) |
|
|
|
|
|
|
|
|
|
|
| 177,440 | |
Total Investments before Short Term Investments |
|
|
|
|
|
|
|
|
|
|
|
| |
(Cost $86,986,691) |
|
|
|
|
| 89,878,370 |
|
| Principal |
|
|
|
|
|
|
|
|
|
| |
| Country | Amount* |
|
|
|
|
Short Term Investments 30.8% |
|
|
|
|
|
|
Convertible Bonds (Cost $67,409) 0.0%† |
|
|
|
|
|
|
Independent Power & Renewable Electricity Producers 0.0%† |
|
|
|
|
|
|
fClearway Energy Inc., senior note, 144A, 3.25%, 6/01/20 | United States | 68,000 |
|
|
| 67,953 |
Credit-Linked Notes 1.6% |
|
|
|
|
|
|
fCitigroup Global Markets Holdings Inc., senior note, 144A, |
|
|
|
|
|
|
b(Arab Republic of Egypt), zero cpn., 3/19/20 | Egypt | 3,848,385 | EGP | 244,359 | ||
b(Arab Republic of Egypt), zero cpn., 4/09/20 | Egypt | 5,117,147 | EGP | 322,290 | ||
b(Government of Ukraine), 14.30%, 4/14/20 | Ukraine | 5,289,570 | UAH | 211,733 | ||
(Government of Ukraine), 14.64%, 6/12/20 | Ukraine | 5,615,461 | UAH | 236,192 | ||
fHSBC Bank PLC, senior note, (Arab Republic of Egypt), 144A, |
|
|
|
|
|
|
zero cpn., 5/07/20 | Egypt | 4,750,000 | EGP | 297,564 | ||
fJPMorgan Chase Bank NA, 144A, |
|
|
|
|
|
|
(Egypt Treasury Bill), zero cpn., 10/08/20 | Egypt | 7,000,000 | EGP | 412,775 | ||
senior note, (Egypt Treasury Bill), zero cpn., 7/09/20 | Egypt | 1,500,000 | EGP | 91,667 | ||
f,bStandard Chartered Bank, (Government of Pakistan), 144A, zero |
|
|
|
|
|
|
cpn., 4/15/20 | Pakistan | 40,000,000 | PKR | 254,998 | ||
Total Credit-Linked Notes (Cost $2,045,560) |
|
|
|
|
|
|
|
|
|
|
| 2,071,578 | |
|
|
|
|
|
|
|
63
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
| Country | Shares |
| Value |
|
|
|
|
|
Short Term Investments (continued) |
|
|
|
|
Money Market Funds (Cost $34,406,418) 24.8% |
|
|
|
|
qFidelity Investments Money Market Government Portfolio, |
|
|
|
|
Institutional, 1.46% | United States | 34,406,418 | $ | 34,406,418 |
|
| Principal |
|
|
|
| Amount* |
|
|
Repurchase Agreements (Cost $6,113,518) 4.4% |
|
|
|
|
rJoint Repurchase Agreement, 1.594%, 3/02/20 (Maturity Value $6,114,330) | United States | 6,113,518 |
| 6,113,518 |
BNP Paribas Securities Corp. (Maturity Value $2,866,092) |
|
|
|
|
Deutsche Bank Securities Inc. (Maturity Value $955,364) |
|
|
|
|
HSBC Securities (USA) Inc. (Maturity Value $2,292,874)
Collateralized by U.S. Government Agency Securities, 3.00% - 5.00%, 8/20/49 - 2/20/50; and U.S. Treasury Notes, 1.375% - 1.875%, 5/31/21 - 3/31/22 (valued at $6,241,337)
Total Investments (Cost $129,619,596) 95.6% Options Written (0.0)%†
Securities Sold Short (6.5)%
Other Assets, less Liabilities 10.9% Net Assets 100.0%
132,537,837
(28,532)
(8,965,437)
15,055,402
$ 138,599,270
Number of | Notional |
Contracts | Amount# |
Options Written (0.0)%†
Calls - Exchange-Traded (0.0)%†
Clearway Energy Inc., C, May Strike Price $22.50, Expires |
|
|
|
|
5/15/20 | 112 | 11,200 | (6,720) | |
SPDR S&P 500 ETF Trust, March Strike Price $291.00, Expires |
|
|
|
|
3/03/20 | 19 | 1,900 | (16,777) | |
|
|
|
|
|
|
|
| (23,497) | |
Puts - Exchange-Traded (0.0)%† |
|
|
|
|
|
|
|
| |
SPDR S&P 500 ETF Trust, March Strike Price $291.00, Expires |
|
|
|
|
3/03/20 | 19 | 1,900 | (5,035) | |
Total Options Written (Premiums Received $31,429) |
|
|
|
|
|
| (28,532) | ||
| Country | Shares |
|
|
|
|
| ||
Securities Sold Short (6.5)% |
|
|
|
|
|
|
|
| |
Common Stocks (0.6)% |
|
|
|
|
Automobiles (0.2)% |
|
|
|
|
Tesla Inc. | United States | 442 | (295,251) | |
|
|
|
|
|
64
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
| Country | Shares |
|
| Value |
|
|
|
|
|
|
Securities Sold Short (continued) |
|
|
|
|
|
Common Stocks (continued) |
|
|
|
|
|
Equity Real Estate Investment Trusts (REITs) (0.3)% |
|
|
|
|
|
Seritage Growth Properties, A | United States | 4,907 | $ | (168,703) | |
Simon Property Group Inc. | United States | 1,289 |
|
| (158,650) |
|
|
|
|
|
|
|
|
|
|
| (327,353) |
Hotels, Restaurants & Leisure (0.1)% |
|
|
|
|
|
|
|
|
|
| |
Marriott International Inc., A | United States | 900 |
|
| (111,600) |
Internet & Direct Marketing Retail (0.0)%† |
|
|
|
|
|
|
|
|
|
| |
Wayfair Inc., A | United States | 753 |
|
| (47,597) |
Total Common Stocks (Proceeds $946,627) |
|
|
|
|
|
|
|
|
| (781,801) | |
|
| Principal |
|
|
|
|
|
|
|
| |
|
| Amount* |
|
|
|
Corporate Bonds and Notes (5.2)% |
|
|
|
|
|
Auto Components (0.1)% |
|
|
|
|
|
hGarrett LX I SARL / Garrett Borrowing LLC, senior note, Reg S, |
|
|
|
|
|
5.125%, 10/15/26 | Switzerland | 200,000 | EUR | (194,307) | |
Banks (0.1)% |
|
|
|
|
|
|
|
|
|
| |
h,i,jChina Zheshang Bank Co. Ltd., junior sub. bond, FRN, Reg S, |
|
|
|
|
|
5.45%, (US 5 Year CMT T-Note + 3.52%), Perpetual | China | 72,000 |
|
| (72,279) |
Building Products (0.2)% |
|
|
|
|
|
|
|
|
|
| |
fResideo Funding Inc., senior note, 144A, 6.125%, 11/01/26 | United States | 296,000 |
|
| (290,087) |
Commercial Services & Supplies (0.2)% |
|
|
|
|
|
APX Group Inc., senior note, 7.625%, 9/01/23 | United States | 163,000 |
|
| (155,325) |
fKAR Auction Services Inc., senior note, 144A, 5.125%, 6/01/25 | United States | 146,000 |
|
| (150,305) |
|
|
|
|
| (305,630) |
Construction & Engineering (0.3)% |
|
|
|
|
|
|
|
|
|
| |
Fluor Corp., senior bond, |
|
|
|
|
|
3.50%, 12/15/24 | United States | 256,000 |
|
| (246,173) |
4.25%, 9/15/28 | United States | 113,000 |
|
| (105,895) |
hSalini Impregilo SpA, senior note, Reg S, 1.75%, 10/26/24 | Italy | 100,000 | EUR | (95,565) | |
|
|
|
|
| (447,633) |
Containers & Packaging (0.0)%† |
|
|
|
|
|
|
|
|
|
| |
fFlex Acquisition Co. Inc., senior note, 144A, 7.875%, 7/15/26 | United States | 18,000 |
|
| (18,312) |
Diversified Telecommunication Services (0.1)% |
|
|
|
|
|
Hughes Satellite Systems Corp., senior note, 6.625%, 8/01/26 | United States | 183,000 |
|
| (201,839) |
Electric Utilities (0.2)% |
|
|
|
|
|
|
|
|
|
| |
fEskom Holdings SOC Ltd., senior bond, 144A, 6.75%, 8/06/23 | South Africa | 225,000 |
|
| (225,563) |
Equity Real Estate Investment Trusts (REITs) (0.5)% |
|
|
|
|
|
Intu Metrocentre Finance PLC, senior secured bond, 4.125%, |
|
|
|
|
|
12/06/23 | United Kingdom | 622,000 | GBP | (721,440) | |
Food Products (0.4)% |
|
|
|
|
|
|
|
|
|
| |
B&G Foods Inc., senior note, |
|
|
|
|
|
5.25%, 4/01/25 | United States | 295,000 |
|
| (291,925) |
5.25%, 9/15/27 | United States | 253,000 |
|
| (250,786) |
|
|
|
|
|
|
|
|
|
|
| (542,711) |
|
|
|
|
|
|
65
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
| Principal |
|
Country | Amount* | Value |
Securities Sold Short (continued)
Corporate Bonds and Notes (continued)
Hotels, Restaurants & Leisure (0.1)%
g,hLHMC Finco 2 SARL, senior secured note, PIK, Reg S, 7.25%, |
|
|
|
10/02/25 | Luxembourg | 80,000 EUR $ | (87,433) |
Independent Power & Renewable Electricity Producers (0.3)%
NRG Energy Inc., |
|
|
|
|
fsenior bond, 144A, 5.25%, 6/15/29 | United States | 379,000 |
| (394,630) |
senior note, 5.75%, 1/15/28 | United States | 17,000 |
| (17,691) |
|
|
|
|
|
|
|
|
| (412,321) |
Machinery (0.3)% |
|
|
|
|
|
|
|
| |
hAnsaldo Energia SpA, senior note, Reg S, |
|
|
|
|
2.875%, 4/28/20 | Italy | 300,000 | EUR | (323,357) |
2.75%, 5/31/24 | Italy | 100,000 | EUR | (103,728) |
|
|
|
|
|
|
|
|
| (427,085) |
Marine (0.1)% |
|
|
|
|
|
|
|
| |
hCMA CGM SA, senior note, Reg S, 6.50%, 7/15/22 | France | 224,000 | EUR | (185,357) |
Media (1.2)% |
|
|
|
|
Altice Luxembourg SA, senior bond, |
|
|
|
|
f144A, 7.625%, 2/15/25 | Luxembourg | 358,000 |
| (372,320) |
hReg S, 6.25%, 2/15/25 | Luxembourg | 328,000 | EUR | (373,396) |
fDiamond Sports Group LLC / Diamond Sports Finance Co., |
|
|
|
|
senior note, 144A, 6.625%, 8/15/27 | United States | 907,000 |
| (736,348) |
hVirgin Media Finance PLC, senior note, Reg S, 4.50%, 1/15/25 | United Kingdom | 113,000 | EUR | (126,778) |
|
|
|
| (1,608,842) |
Mortgage Real Estate Investment Trusts (REITs) (0.1)% |
|
|
|
|
|
|
|
| |
fBrookfield Property REIT Inc. / BPR Cumulus LLC / BPR Nimbus |
|
|
|
|
LLC / GGSI Sellco LLC, senior secured note, 144A, 5.75%, |
|
|
|
|
5/15/26 | United States | 87,000 |
| (86,184) |
Oil, Gas & Consumable Fuels (0.4)% |
|
|
|
|
|
|
|
| |
fChesapeake Energy Corp., secured note, 144A, 11.50%, 1/01/25 | United States | 361,000 |
| (216,600) |
Laredo Petroleum Inc., senior note, 9.50%, 1/15/25 | United States | 172,000 |
| (124,055) |
fMEG Energy Corp., senior bond, 144A, 7.00%, 3/31/24 | Canada | 191,000 |
| (181,371) |
|
|
|
| (522,026) |
Pharmaceuticals (0.2)% |
|
|
|
|
|
|
|
| |
Teva Pharmaceutical Finance Netherlands III BV, senior note, |
|
|
|
|
6.75%, 3/01/28 | Israel | 253,000 |
| (268,964) |
Software (0.1)% |
|
|
|
|
|
|
|
| |
fVeritas U.S. Inc. / Veritas Bermuda Ltd., senior note, 144A, |
|
|
|
|
10.50%, 2/01/24 | United States | 168,000 |
| (144,130) |
Specialty Retail (0.1)% |
|
|
|
|
|
|
|
| |
Bed Bath & Beyond Inc., senior bond, 3.749%, 8/01/24 | United States | 99,000 |
| (95,119) |
Wireless Telecommunication Services (0.2)% |
|
|
|
|
|
|
|
| |
hSoftbank Group Corp., senior bond, Reg S, 5.125%, 9/19/27 | Japan | 300,000 |
| (310,335) |
Total Corporate Bonds and Notes (Proceeds $7,538,155) |
|
|
| (7,167,597) |
Foreign Government and Agency Securities |
|
|
|
|
|
|
|
| |
(Proceeds $599,539) (0.4)% |
|
|
|
|
Government of Italy, senior bond, 5.25%, 11/01/29 | Italy | 398,000 | EUR | (606,598) |
|
|
|
|
|
66
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
|
| Principal |
|
|
| Country | Amount* |
| Value |
Securities Sold Short (continued) |
|
|
|
|
U.S. Government and Agency Securities (0.3)% |
|
|
|
|
U.S. Treasury Bond, 2.25%, 8/15/49 | United States | 1,000 | $ | (1,137) |
U.S. Treasury Note, |
|
|
|
|
2.00%, 5/31/24 | United States | 101,000 |
| (105,553) |
1.375%, 1/31/25 | United States | 79,000 |
| (80,731) |
2.875%, 5/15/28 | United States | 133,000 |
| (151,693) |
1.50%, 2/15/30 | United States | 68,000 |
| (70,327) |
Total U.S. Government and Agency Securities |
|
|
|
|
|
|
|
| |
(Proceeds $387,543) |
|
|
| (409,441) |
Total Securities Sold Short (Proceeds $9,471,864) |
|
|
|
|
|
| $ | (8,965,437) | |
|
|
|
|
|
†Rounds to less than 0.1% of net assets.
*The principal amount is stated in U.S. dollars unless otherwise indicated.
#Notional amount is the number of units specified in the contract, and can include currency units, bushels, shares, pounds, barrels or other units. Currency units are stated in U.S. dollars unless otherwise indicated.
aNon-income producing.
bFair valued using significant unobservable inputs. See Note 8 regarding fair value measurements. cSee Note 4 regarding restricted securities.
dA portion or all of the security has been segregated as collateral for securities sold short, open swap contracts, open forward exchange contracts, open futures contracts and/or open written option contracts. At February 29, 2020, the aggregate value of these securities and/or cash pledged amounted to $15,268,797, representing 11.0% of net assets.
eA portion or all of the security is held in connection with written option contracts open at period end.
fSecurity was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from registration only to qualified institutional buyers or in public offering registered under the Securities Act of 1933. At February 29, 2020, the net value of these securities was $52,007,108, representing 37.5% of net assets.
gIncome may be received in additional securities and/or cash.
hSecurity was purchased pursuant to Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. Such a security cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. At February 29, 2020, the net value of these securities was $51,112, representing less than 0.1% of net assets.
iThe coupon rate shown represents the rate at period end. jPerpetual security with no stated maturity date.
kDefaulted security or security for which income has been deemed uncollectible. lSee Note 5 regarding unfunded loan commitments.
mInvestment in an interest-only security entitles holders to receive only the interest payment of the underlying instruments. The principal amount shown is the notional amount of the underlying instruments.
nThe coupon rate shown represents the rate inclusive of any caps or floors, if applicable, in effect at period end.
oAdjustable rate security with an interest rate that is not based on a published reference index and spread. The rate is based on the structure of the agreement and current market conditions. The coupon rate shown represents the rate at period end.
pA portion or all of the security purchased on a delayed delivery basis.
qThe rate shown is the annualized seven-day effective yield at period end.
rInvestment is through participation in a joint account with other funds managed by the investment manager or an affiliate of the investment manager. At February 29, 2020, all repurchase agreements had been entered into on February 28, 2020.
67
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
At February 29, 2020, the Fund had the following futures contracts outstanding. See Note 3.
Futures Contracts
|
|
|
|
|
| Value/Unrealized | |
|
| Number of |
| Notional | Expiration |
| Appreciation |
Description | Type | Contracts |
| Amount* | Date |
| (Depreciation) |
Equity Contracts |
|
|
|
|
|
|
|
S&P 500 E-Mini Index . . . . . . . . . . . . . . . . . . . . | Short | 3 | $ | 442,665 | 3/20/20 | $ | 41,389 |
Total Futures Contracts . . . . . . . . . . . . . . . . | . . . . . . . . . | . . . . . . . . . | . . . . | . . . . . . . . . | . . . . . . . . | $ | 41,389 |
*As of period end.
At February 29, 2020, the Fund had the following forward exchange contracts outstanding. See Note 3.
Forward Exchange Contracts
|
|
|
| Contract | Settlement |
| Unrealized |
|
| Unrealized |
Currency | Counterpartya | Type | Quantity | Amount* | Date | Appreciation |
| Depreciation | ||
OTC Forward Exchange Contracts |
|
|
|
|
|
|
|
|
|
|
Brazilian Real . . . . . . . . . . . . . . . | JPHQ | Buy | 11,692,825 | 2,685,236 | 3/03/20 | $ | 7,530 | $ | (78,549) | |
Brazilian Real . . . . . . . . . . . . . . . | JPHQ | Sell | 11,692,825 | 2,668,889 | 3/03/20 |
| 62,202 |
|
| (7,530) |
Turkish Lira . . . . . . . . . . . . . . . . . | JPHQ | Buy | 1,332,575 | 217,819 | 3/06/20 |
| – |
|
| (4,592) |
Turkish Lira . . . . . . . . . . . . . . . . . | JPHQ | Sell | 1,332,575 | 221,138 | 3/06/20 |
| 7,911 |
|
| – |
Chinese Yuan . . . . . . . . . . . . . . . | JPHQ | Buy | 5,758,350 | 820,532 | 3/18/20 |
| 6,133 |
|
| (1,895) |
Chinese Yuan . . . . . . . . . . . . . . . | JPHQ | Sell | 5,758,350 | 832,228 | 3/18/20 |
| 7,457 |
|
| – |
Euro . . . . . . . . . . . . . . . . . . . . . . | JPHQ | Buy | 205,558 | 223,378 | 3/18/20 |
| 4,172 |
|
| (362) |
Euro . . . . . . . . . . . . . . . . . . . . . . | JPHQ | Sell | 315,558 | 351,047 | 3/18/20 |
| 2,283 |
|
| – |
Euro . . . . . . . . . . . . . . . . . . . . . . | JPHQ | Sell | 261,793 | 88,085,573HUF | 3/18/20 |
| 3,407 |
|
| (5,022) |
Indonesian Rupiah . . . . . . . . . . . . | JPHQ | Buy | 2,997,688,158 | 210,055 | 3/18/20 |
| – |
|
| (1,476) |
Indonesian Rupiah . . . . . . . . . . . . | JPHQ | Sell | 28,491,860,043 | 2,026,329 | 3/18/20 |
| 43,865 |
|
| – |
Mexican Peso . . . . . . . . . . . . . . . | JPHQ | Buy | 8,485,615 | 437,456 | 3/18/20 |
| 1,594 |
|
| (9,200) |
Mexican Peso . . . . . . . . . . . . . . . | JPHQ | Sell | 4,276,769 | 216,408 | 3/18/20 |
| – |
|
| (237) |
Polish Zloty . . . . . . . . . . . . . . . . . | JPHQ | Buy | 744,393 | 193,115 | 3/18/20 |
| – |
|
| (3,305) |
Polish Zloty . . . . . . . . . . . . . . . . . | JPHQ | Sell | 744,393 | 192,566 | 3/18/20 |
| 2,756 |
|
| – |
Russian Ruble . . . . . . . . . . . . . . . | JPHQ | Buy | 11,003,329 | 174,927 | 3/18/20 |
| – |
|
| (10,841) |
Russian Ruble . . . . . . . . . . . . . . . | JPHQ | Sell | 135,617,568 | 2,105,578 | 3/18/20 |
| 85,177 |
|
| (1,987) |
South African Rand. . . . . . . . . . . . | JPHQ | Buy | 459,715 | 31,809 | 3/18/20 |
| – |
|
| (2,422) |
South African Rand. . . . . . . . . . . . | JPHQ | Sell | 23,856,830 | 1,622,511 | 3/18/20 |
| 97,498 |
|
| – |
Thai Baht . . . . . . . . . . . . . . . . . . | JPHQ | Sell | 10,882,105 | 348,300 | 3/18/20 |
| 3,317 |
|
| – |
Turkish Lira . . . . . . . . . . . . . . . . . | JPHQ | Buy | 2,670,885 | 435,360 | 3/18/20 |
| – |
|
| (10,567) |
Turkish Lira . . . . . . . . . . . . . . . . . | JPHQ | Sell | 2,670,885 | 425,061 | 3/18/20 |
| 303 |
|
| (34) |
Euro . . . . . . . . . . . . . . . . . . . . . . | JPHQ | Sell | 1,540,000 | 1,704,560 | 3/31/20 |
| 1,092 |
|
| – |
Japanese Yen . . . . . . . . . . . . . . . | JPHQ | Sell | 11,690,000 | 107,265 | 3/31/20 |
| – |
|
| (1,308) |
Total Forward Exchange Contracts | . . . . . . . . . . . . | . . . . | . . . . . . . . . . . . . . | . . . . . . . . |
| $ | 336,697 | $ | (139,327) | |
Net unrealized appreciation (depreciation) . . | . . . . | . . . . . . . . . . . . . . | . . . . . . . . |
| $ | 197,370 |
|
|
|
*In U.S. dollars unless otherwise indicated.
aMay be comprised of multiple contracts with the same counterparty, currency and settlement date.
68
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
At February 29, 2020, the Fund had the following credit default swap contracts outstanding. See Note 3.
Credit Default Swap Contracts
| Periodic |
|
|
|
|
|
|
|
|
|
|
|
| Payment |
|
|
|
|
|
| Unamortized |
|
|
| |
| Rate |
|
|
|
|
|
|
| Upfront |
| Unrealized |
|
| Received | Payment |
| Maturity | Notional |
|
|
| Payments |
| Appreciation |
|
Description | (Paid) | Frequency |
| Date | Amounta |
| Value |
| (Receipts) (Depreciation) Ratingb | |||
Centrally Cleared Swap Contracts |
|
|
|
|
|
|
|
|
|
|
| |
Contracts to Buy Protectionc |
|
|
|
|
|
|
|
|
|
|
| |
Single Name |
|
|
|
|
|
|
|
|
|
|
|
|
Government of Malaysia . . | (1.00)% | Quarterly |
| 12/20/24 | 435,000 | $ | (8,014) | $ | (11,525) | $ | 3,511 |
|
Government of Mexico . . . | (1.00)% | Quarterly |
| 6/20/23 | 449,000 |
| (3,274) |
| (63) |
| (3,211) |
|
Government of Mexico . . . | (1.00)% | Quarterly |
| 12/20/23 | 966,000 |
| (5,281) |
| (3,881) |
| (1,400) |
|
Government of Mexico . . . | (1.00)% | Quarterly |
| 12/20/23 | 15,000 |
| (82) |
| (232) |
| 150 |
|
Government of South Africa | (1.00)% | Quarterly |
| 12/20/24 | 903,000 |
| 47,435 |
| 26,642 |
| 20,793 |
|
Government of South Africa | (1.00)% | Quarterly |
| 12/20/24 | 900,000 |
| 47,278 |
| 26,654 |
| 20,624 |
|
Government of South Korea | (1.00)% | Quarterly |
| 6/20/24 | 602,327 |
| (17,570) |
| (20,614) |
| 3,044 |
|
Government of South Korea | (1.00)% | Quarterly |
| 12/20/24 | 395,000 |
| (12,102) |
| (12,919) |
| 817 |
|
Government of Turkey. . . . | (1.00)% | Quarterly |
| 6/20/22 | 6,000 |
| 276 |
| 316 |
| (40) |
|
Government of Turkey. . . . | (1.00)% | Quarterly |
| 6/20/24 | 462,000 |
| 47,769 |
| 46,375 |
| 1,394 |
|
Traded Index |
|
|
|
|
|
|
|
|
|
|
|
|
CDX.NA.HY.25 . . . . . . . . | (5.00)% | Quarterly |
| 12/20/20 | 1,357,800 |
| (12,185) |
| 27,345 |
| (39,530) |
|
CDX.NA.HY.32 . . . . . . . . | (5.00)% | Quarterly |
| 6/20/24 | 1,127,000 |
| (63,021) |
| (55,483) |
| (7,538) |
|
Contracts to Sell Protectionc,d |
|
|
|
|
|
|
|
|
|
|
| |
Single Name |
|
|
|
|
|
|
|
|
|
|
|
|
Government of South Africa | 1.00% | Quarterly |
| 12/20/24 | 184,000 |
| (9,666) |
| (5,367) |
| (4,299) | BB+ |
Government of Turkey. . . . | 1.00% | Quarterly |
| 12/20/22 | 136,000 |
| (8,063) |
| (6,150) |
| (1,913) | B+ |
Total Centrally Cleared Swap Contracts . . . . . . |
|
|
| $ | 3,500 | $ | 11,098 | $ | (7,598) |
| ||
OTC Swap Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
Contracts to Buy Protectionc |
|
|
|
|
|
|
|
|
|
|
| |
Single Name |
|
| Counterparty |
|
|
|
|
|
|
|
| |
CenturyLink Inc. . . . . . . . | (1.00)% | Quarterly | BZWS | 12/20/23 | 63,000 |
| 1,229 |
| 5,266 |
| (4,037) |
|
CenturyLink Inc. . . . . . . . | (1.00)% | Quarterly | BZWS | 12/20/23 | 63,000 |
| 1,230 |
| 5,317 |
| (4,087) |
|
CenturyLink Inc. . . . . . . . | (1.00)% | Quarterly | CITI | 12/20/23 | 38,000 |
| 742 |
| 3,121 |
| (2,379) |
|
CenturyLink Inc. . . . . . . . | (1.00)% | Quarterly | CITI | 12/20/23 | 63,000 |
| 1,229 |
| 5,356 |
| (4,127) |
|
CenturyLink Inc. . . . . . . . | (1.00)% | Quarterly | GSCO | 12/20/23 | 63,000 |
| 1,229 |
| 5,213 |
| (3,984) |
|
CenturyLink Inc. . . . . . . . | (1.00)% | Quarterly | JPHQ | 12/20/23 | 89,000 |
| 1,737 |
| 7,466 |
| (5,729) |
|
Government of Italy . . . . . | (1.00)% | Quarterly | BOFA | 6/20/24 | 233,000 |
| 3,523 |
| 2,104 |
| 1,419 |
|
Government of Mexico . . . | (1.00)% | Quarterly | CITI | 12/20/24 | 301,000 |
| 578 |
| (3,019) |
| 3,597 |
|
Groupe Casino . . . . . . . . | (5.00)% | Quarterly | BZWS | 12/20/24 | 40,000EUR |
| 4,744 |
| 3,453 |
| 1,291 |
|
Groupe Casino . . . . . . . . | (5.00)% | Quarterly | BZWS | 12/20/24 | 60,000EUR |
| 7,115 |
| 5,493 |
| 1,622 |
|
Groupe Casino . . . . . . . . | (5.00)% | Quarterly | JPHQ | 12/20/24 | 55,000EUR |
| 6,522 |
| 5,184 |
| 1,338 |
|
Groupe Casino . . . . . . . . | (5.00)% | Quarterly | JPHQ | 12/20/24 | 345,000EUR |
| 40,911 |
| 28,217 |
| 12,694 |
|
Hertz Corp. (The) . . . . . . | (5.00)% | Quarterly | BZWS | 6/20/20 | 62,000 |
| (1,473) |
| (48) |
| (1,425) |
|
Hertz Corp. (The) . . . . . . | (5.00)% | Quarterly | BZWS | 12/20/21 | 27,000 |
| (2,126) |
| 86 |
| (2,212) |
|
Hertz Corp. (The) . . . . . . | (5.00)% | Quarterly | BZWS | 12/20/21 | 68,000 |
| (5,355) |
| 535 |
| (5,890) |
|
Hertz Corp. (The) . . . . . . | (5.00)% | Quarterly | BZWS | 12/20/24 | 58,000 |
| (917) |
| (5,654) |
| 4,737 |
|
Hertz Corp. (The) . . . . . . | (5.00)% | Quarterly | BZWS | 12/20/24 | 17,000 |
| 167 |
| (338) |
| 505 |
|
Hertz Corp. (The) . . . . . . | (5.00)% | Quarterly | BZWS | 12/20/24 | 17,000 |
| (170) |
| – |
| (170) |
|
Hertz Corp. (The) . . . . . . | (5.00)% | Quarterly | CITI | 12/20/24 | 23,000 |
| (363) |
| 2,037 |
| (2,400) |
|
Hertz Corp. (The) . . . . . . | (5.00)% | Quarterly | GSCO | 6/20/20 | 59,000 |
| (1,401) |
| – |
| (1,401) |
|
Hertz Corp. (The) . . . . . . | (5.00)% | Quarterly | GSCO | 12/20/21 | 68,000 |
| (5,355) |
| (869) |
| (4,486) |
|
Hertz Corp. (The) . . . . . . | (5.00)% | Quarterly | GSCO | 12/20/21 | 4,000 |
| (315) |
| 56 |
| (371) |
|
Hertz Corp. (The) . . . . . . | (5.00)% | Quarterly | GSCO | 12/20/21 | 22,000 |
| (1,732) |
| 173 |
| (1,905) |
|
Hertz Corp. (The) . . . . . . | (5.00)% | Quarterly | GSCO | 12/20/21 | 68,000 |
| (5,355) |
| 850 |
| (6,205) |
|
Hertz Corp. (The) . . . . . . | (5.00)% | Quarterly | GSCO | 12/20/24 | 303,000 |
| (4,791) |
| (17,832) |
| 13,041 |
|
Hertz Corp. (The) . . . . . . | (5.00)% | Quarterly | JPHQ | 12/20/24 | 22,000 |
| (348) |
| (1,409) |
| 1,061 |
|
Hertz Corp. (The) . . . . . . | (5.00)% | Quarterly | JPHQ | 12/20/24 | 17,000 |
| 167 |
| (338) |
| 505 |
|
69
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
Credit Default Swap Contracts (continued)
| Periodic |
|
|
|
|
|
|
|
|
|
| Payment |
|
|
|
|
| Unamortized |
|
| |
| Rate |
|
|
|
|
|
| Upfront |
| Unrealized |
| Received | Payment |
| Maturity | Notional |
|
| Payments |
| Appreciation |
Description | (Paid) | Frequency Counterparty | Date | Amounta | Value |
| (Receipts) (Depreciation) Ratingb | |||
OTC Swap Contracts (continued) |
|
|
|
|
|
|
|
|
| |
Contracts to Buy Protectionc (continued) |
|
|
|
|
|
|
|
| ||
Single Name (continued) |
|
|
|
|
|
|
|
|
|
|
Intrum AB . . . . . . . . . . . | (5.00)% | Quarterly | GSCO | 12/20/24 | 90,000EUR $ | (3,193) | $ | (8,591) | $ | 5,398 |
Intrum AB . . . . . . . . . . . | (5.00)% | Quarterly | GSCO | 12/20/24 | 30,000EUR | (1,065) |
| (3,817) |
| 2,752 |
Itochu Corp. . . . . . . . . . . | (1.00)% | Quarterly | GSCO | 6/20/22 | 17,300,000JPY | (3,491) |
| (2,386) |
| (1,105) |
Itochu Corp. . . . . . . . . . . | (1.00)% | Quarterly | JPHQ | 6/20/22 | 4,307,000JPY | (869) |
| (613) |
| (256) |
Jaguar Land Rover |
|
|
|
|
|
|
|
|
|
|
Automotive PLC . . . . . . . | (5.00)% | Quarterly | GSCO | 12/20/24 | 47,000EUR | 2,296 |
| (729) |
| 3,025 |
Jaguar Land Rover |
|
|
|
|
|
|
|
|
|
|
Automotive PLC . . . . . . . | (5.00)% | Quarterly | GSCO | 12/20/24 | 19,000EUR | 928 |
| (295) |
| 1,223 |
Jaguar Land Rover |
|
|
|
|
|
|
|
|
|
|
Automotive PLC . . . . . . . | (5.00)% | Quarterly | GSCO | 12/20/24 | 9,000EUR | 440 |
| (247) |
| 687 |
Jaguar Land Rover |
|
|
|
|
|
|
|
|
|
|
Automotive PLC . . . . . . . | (5.00)% | Quarterly | GSCO | 12/20/24 | 26,000EUR | 1,270 |
| 229 |
| 1,041 |
JC Penney Corp. . . . . . . . | (5.00)% | Quarterly | MSCO | 12/20/20 | 22,000 | 2,195 |
| 2,915 |
| (720) |
JC Penney Corp. . . . . . . . | (5.00)% | Quarterly | MSCO | 12/20/20 | 27,000 | 2,693 |
| 3,510 |
| (817) |
JFE Holdings Inc. . . . . . . | (1.00)% | Quarterly | GSCO | 6/20/22 | 5,746,000JPY | (1,044) |
| (817) |
| (227) |
JFE Holdings Inc. . . . . . . | (1.00)% | Quarterly | JPHQ | 6/20/22 | 3,802,000JPY | (691) |
| (549) |
| (142) |
K. Hovnanian Enterprises |
|
|
|
|
|
|
|
|
|
|
Inc. . . . . . . . . . . . . . . . | (5.00)% | Quarterly | BZWS | 6/20/24 | 38,000 | 8,736 |
| 13,892 |
| (5,156) |
K. Hovnanian Enterprises |
|
|
|
|
|
|
|
|
|
|
Inc. . . . . . . . . . . . . . . . | (5.00)% | Quarterly | BZWS | 12/20/24 | 96,000 | 23,850 |
| 20,046 |
| 3,804 |
K. Hovnanian Enterprises |
|
|
|
|
|
|
|
|
|
|
Inc. . . . . . . . . . . . . . . . | (5.00)% | Quarterly | BZWS | 12/20/24 | 96,000 | 23,850 |
| 20,978 |
| 2,872 |
K. Hovnanian Enterprises |
|
|
|
|
|
|
|
|
|
|
Inc. . . . . . . . . . . . . . . . | (5.00)% | Quarterly | BZWS | 12/20/24 | 113,000 | 28,073 |
| 35,965 |
| (7,892) |
K. Hovnanian Enterprises |
|
|
|
|
|
|
|
|
|
|
Inc. . . . . . . . . . . . . . . . | (5.00)% | Quarterly | GSCO | 9/20/24 | 68,000 | 16,291 |
| 23,151 |
| (6,860) |
K. Hovnanian Enterprises |
|
|
|
|
|
|
|
|
|
|
Inc. . . . . . . . . . . . . . . . | (5.00)% | Quarterly | GSCO | 12/20/24 | 57,000 | 14,161 |
| 18,142 |
| (3,981) |
K. Hovnanian Enterprises |
|
|
|
|
|
|
|
|
|
|
Inc. . . . . . . . . . . . . . . . | (5.00)% | Quarterly | MSCO | 12/20/24 | 34,000 | 8,447 |
| 11,934 |
| (3,487) |
K. Hovnanian Enterprises |
|
|
|
|
|
|
|
|
|
|
Inc. . . . . . . . . . . . . . . . | (5.00)% | Quarterly | MSCS | 12/20/23 | 21,000 | 4,376 |
| 5,061 |
| (685) |
Kimco Realty Corp. . . . . . | (1.00)% | Quarterly | JPHQ | 6/20/24 | 121,000 | (891) |
| 238 |
| (1,129) |
Kohl's Corp. . . . . . . . . . . | (1.00)% | Quarterly | BOFA | 12/20/24 | 24,000 | 425 |
| 667 |
| (242) |
Kohl's Corp. . . . . . . . . . . | (1.00)% | Quarterly | CITI | 12/20/24 | 24,000 | 425 |
| 685 |
| (260) |
Kohl's Corp. . . . . . . . . . . | (1.00)% | Quarterly | GSCO | 12/20/24 | 913,000 | 16,165 |
| 9,074 |
| 7,091 |
Kohl's Corp. . . . . . . . . . . | (1.00)% | Quarterly | JPHQ | 12/20/24 | 24,000 | 425 |
| 759 |
| (334) |
Kohl's Corp. . . . . . . . . . . | (1.00)% | Quarterly | MSCO | 12/20/24 | 221,000 | 6,633 |
| 4,025 |
| 2,608 |
Kohl's Corp. . . . . . . . . . . | (1.00)% | Quarterly | MSCS | 12/20/24 | 24,000 | 425 |
| 787 |
| (362) |
Lloyds Bank PLC . . . . . . . | (1.00)% | Quarterly | BOFA | 12/20/22 | 196,000EUR | (3,142) |
| (1,384) |
| (1,758) |
Lloyds Bank PLC . . . . . . . | (1.00)% | Quarterly | GSCO | 12/20/23 | 210,000EUR | (3,048) |
| 272 |
| (3,320) |
Lloyds Bank PLC . . . . . . . | (1.00)% | Quarterly | GSCO | 6/20/24 | 127,000EUR | (4,164) |
| 855 |
| (5,019) |
Lloyds Bank PLC . . . . . . . | (1.00)% | Quarterly | JPHQ | 12/20/22 | 196,000EUR | (3,143) |
| (1,506) |
| (1,637) |
Lloyds Bank PLC . . . . . . . | (1.00)% | Quarterly | JPHQ | 12/20/23 | 67,000EUR | (973) |
| 844 |
| (1,817) |
Lloyds Bank PLC . . . . . . . | (1.00)% | Quarterly | JPHQ | 12/20/24 | 121,000EUR | 1,916 |
| 3,495 |
| (1,579) |
Macy's Inc. . . . . . . . . . . | (1.00)% | Quarterly | BZWS | 12/20/24 | 48,000 | 2,731 |
| 1,963 |
| 768 |
Macy's Inc. . . . . . . . . . . | (1.00)% | Quarterly | BZWS | 12/20/24 | 93,000 | 5,291 |
| 3,868 |
| 1,423 |
Macy's Inc. . . . . . . . . . . | (1.00)% | Quarterly | MSCO | 12/20/24 | 96,000 | 5,461 |
| 3,965 |
| 1,496 |
Marubeni Corp. . . . . . . . . | (1.00)% | Quarterly | GSCO | 6/20/22 | 27,269,000JPY | (5,033) |
| (3,112) |
| (1,921) |
Marubeni Corp. . . . . . . . . | (1.00)% | Quarterly | JPHQ | 6/20/22 | 6,291,000JPY | (1,161) |
| (759) |
| (402) |
MBIA Inc. . . . . . . . . . . . | (5.00)% | Quarterly | JPHQ | 6/20/21 | 269,000 | (18,188) |
| (11,157) |
| (7,031) |
MBIA Inc. . . . . . . . . . . . | (5.00)% | Quarterly | JPHQ | 12/20/24 | 174,000 | (26,757) |
| (23,584) |
| (3,173) |
Mitsui O.S.K. Lines Ltd. . . . | (1.00)% | Quarterly | JPHQ | 6/20/22 | 9,678,000JPY | (1,206) |
| (343) |
| (863) |
Mitsui O.S.K. Lines Ltd. . . . | (1.00)% | Quarterly | JPHQ | 6/20/22 | 3,618,000JPY | (451) |
| (128) |
| (323) |
Nordstrom Inc. . . . . . . . . | (1.00)% | Quarterly | GSCO | 6/20/24 | 4,000 | 63 |
| 181 |
| (118) |
70
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
Credit Default Swap Contracts (continued)
| Periodic |
|
|
|
|
|
|
|
|
|
|
|
| Payment |
|
|
|
|
|
| Unamortized |
|
|
| |
| Rate |
|
|
|
|
|
|
| Upfront |
| Unrealized |
|
| Received | Payment |
| Maturity | Notional |
|
|
| Payments |
| Appreciation |
|
Description | (Paid) | Frequency Counterparty | Date | Amounta |
| Value |
| (Receipts) (Depreciation) Ratingb | ||||
OTC Swap Contracts (continued) |
|
|
|
|
|
|
|
|
|
|
| |
Contracts to Buy Protectionc (continued) |
|
|
|
|
|
|
|
|
|
| ||
Single Name (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
Nordstrom Inc. . . . . . . . . | (1.00)% | Quarterly | GSCO | 6/20/24 | 22,000 | $ | 348 | $ | 993 | $ | (645) |
|
Nordstrom Inc. . . . . . . . . | (1.00)% | Quarterly | GSCO | 6/20/24 | 60,800 |
| 962 |
| 2,929 |
| (1,967) |
|
NRG Energy Inc. . . . . . . . | (5.00)% | Quarterly | GSCO | 6/20/24 | 24,000 |
| (4,253) |
| (3,602) |
| (651) |
|
RR Donnelley & Sons |
|
|
|
|
|
|
|
|
|
|
|
|
Company . . . . . . . . . . . | (5.00)% | Quarterly | BZWS | 12/20/24 | 23,000 |
| 2,067 |
| 772 |
| 1,295 |
|
RR Donnelley & Sons |
|
|
|
|
|
|
|
|
|
|
|
|
Company . . . . . . . . . . . | (5.00)% | Quarterly | JPHQ | 12/20/24 | 35,000 |
| 3,146 |
| 954 |
| 2,192 |
|
RR Donnelley & Sons |
|
|
|
|
|
|
|
|
|
|
|
|
Company . . . . . . . . . . . | (5.00)% | Quarterly | JPHQ | 12/20/24 | 41,000 |
| 3,685 |
| 1,066 |
| 2,619 |
|
RR Donnelley & Sons |
|
|
|
|
|
|
|
|
|
|
|
|
Company . . . . . . . . . . . | (5.00)% | Quarterly | JPHQ | 12/20/24 | 35,000 |
| 3,146 |
| 1,138 |
| 2,008 |
|
Simon Property Group LP. . | (1.00)% | Quarterly | JPHQ | 12/20/24 | 542,000 |
| (9,252) |
| (13,019) |
| 3,767 |
|
Simon Property Group LP. . | (1.00)% | Quarterly | MSCO | 12/20/24 | 340,000 |
| (5,803) |
| (7,993) |
| 2,190 |
|
Softbank Group Corp. . . . . | (1.00)% | Quarterly | BZWS | 12/20/23 | 12,747,000JPY |
| 3,002 |
| 4,262 |
| (1,260) |
|
Softbank Group Corp. . . . . | (1.00)% | Quarterly | BZWS | 6/20/24 | 6,374,000JPY |
| 2,209 |
| 1,854 |
| 355 |
|
Softbank Group Corp. . . . . | (1.00)% | Quarterly | BZWS | 6/20/24 | 12,747,000JPY |
| 4,418 |
| 4,282 |
| 136 |
|
Softbank Group Corp. . . . . | (1.00)% | Quarterly | BZWS | 6/20/24 | 25,494,000JPY |
| 8,836 |
| 7,032 |
| 1,804 |
|
Softbank Group Corp. . . . . | (1.00)% | Quarterly | CITI | 6/20/24 | 12,746,000JPY |
| 4,418 |
| 3,978 |
| 440 |
|
Softbank Group Corp. . . . . | (1.00)% | Quarterly | GSCO | 12/20/23 | 12,747,000JPY |
| 3,003 |
| 4,010 |
| (1,007) |
|
Softbank Group Corp. . . . . | (1.00)% | Quarterly | GSCO | 12/20/23 | 12,747,000JPY |
| 3,003 |
| 4,180 |
| (1,177) |
|
Staples Inc. . . . . . . . . . . | (5.00)% | Quarterly | GSCO | 12/20/24 | 122,000 |
| 4,860 |
| 6,032 |
| (1,172) |
|
Staples Inc. . . . . . . . . . . | (5.00)% | Quarterly | GSCO | 6/20/25 | 361,000 |
| 26,679 |
| 9,405 |
| 17,274 |
|
Staples Inc. . . . . . . . . . . | (5.00)% | Quarterly | JPHQ | 12/20/24 | 65,000 |
| 2,707 |
| 1,217 |
| 1,490 |
|
Staples Inc. . . . . . . . . . . | (5.00)% | Quarterly | MSCO | 12/20/24 | 65,000 |
| 2,706 |
| 1,574 |
| 1,132 |
|
Staples Inc. . . . . . . . . . . | (5.00)% | Quarterly | MSCO | 12/20/24 | 65,000 |
| 2,706 |
| 1,692 |
| 1,014 |
|
Telecom Italia SpA . . . . . . | (1.00)% | Quarterly | BZWS | 12/20/24 | 116,000EUR |
| 3,483 |
| 4,657 |
| (1,174) |
|
Transocean Inc. . . . . . . . | (5.00)% | Quarterly | BZWS | 6/20/22 | 2,000 |
| 117 |
| 36 |
| 81 |
|
Transocean Inc. . . . . . . . | (5.00)% | Quarterly | GSCO | 6/20/22 | 33,000 |
| 1,932 |
| 746 |
| 1,186 |
|
Transocean Inc. . . . . . . . | (5.00)% | Quarterly | GSCO | 6/20/23 | 34,000 |
| 4,874 |
| (1,472) |
| 6,346 |
|
Transocean Inc. . . . . . . . | (5.00)% | Quarterly | GSCO | 6/20/23 | 43,000 |
| 6,164 |
| (950) |
| 7,114 |
|
Transocean Inc. . . . . . . . | (5.00)% | Quarterly | GSCO | 12/20/24 | 48,000 |
| 11,112 |
| 6,974 |
| 4,138 |
|
Transocean Inc. . . . . . . . | (5.00)% | Quarterly | GSCO | 12/20/24 | 239,000 |
| 55,329 |
| 19,651 |
| 35,678 |
|
Transocean Inc. . . . . . . . | (5.00)% | Quarterly | JPHQ | 12/20/24 | 4,000 |
| 926 |
| 644 |
| 282 |
|
Transocean Inc. . . . . . . . | (5.00)% | Quarterly | JPHQ | 12/20/24 | 138,000 |
| 31,947 |
| 22,243 |
| 9,704 |
|
Transocean Inc. . . . . . . . | (5.00)% | Quarterly | MSCO | 12/20/24 | 20,000 |
| 4,630 |
| 3,037 |
| 1,593 |
|
Unisys Corp. . . . . . . . . . | (5.00)% | Quarterly | BZWS | 12/20/24 | 19,000 |
| (2,905) |
| (2,994) |
| 89 |
|
Unisys Crop. . . . . . . . . . | (5.00)% | Quarterly | CITI | 12/20/24 | 19,000 |
| (2,905) |
| (3,088) |
| 183 |
|
Unisys Crop. . . . . . . . . . | (5.00)% | Quarterly | CITI | 12/20/24 | 19,000 |
| (2,905) |
| (2,948) |
| 43 |
|
Uniti Group Inc. . . . . . . . . | (5.00)% | Quarterly | BZWS | 12/20/24 | 130,000 |
| 8,939 |
| 17,694 |
| (8,755) |
|
Contracts to Sell Protectionc,d |
|
|
|
|
|
|
|
|
|
|
| |
Single Name |
|
|
|
|
|
|
|
|
|
|
|
|
K. Hovnanian Enterprises |
|
|
|
|
|
|
|
|
|
|
|
|
Inc. . . . . . . . . . . . . . . . | 5.00% | Quarterly | BZWS | 12/20/23 | 9,000 |
| (1,875) |
| (3,561) |
| 1,686 | CCC- |
K. Hovnanian Enterprises |
|
|
|
|
|
|
|
|
|
|
|
|
Inc. . . . . . . . . . . . . . . . | 5.00% | Quarterly | GSCO | 12/20/23 | 12,000 |
| (2,501) |
| (3,999) |
| 1,498 | CCC- |
Teva Pharmaceutical |
|
|
|
|
|
|
|
|
|
|
|
|
Industries Ltd.. . . . . . . . . | 1.00% | Quarterly | GSCO | 12/20/24 | 20,000 |
| (2,075) |
| (1,994) |
| (81) | BB+ |
Transocean Inc. . . . . . . . | 1.00% | Quarterly | MSCS | 12/20/24 | 43,000 |
| (14,938) |
| (15,041) |
| 103 | CCC+ |
Total OTC Swap Contracts . . . . . . | . . . . . . . . |
|
|
| $ | 302,420 | $ | 250,295 | $ | 52,125 |
| |
Total Credit Default Swap Contracts . . . . . . . . . . | . . . . . . | . . . . . . |
| $ | 305,920 | $ | 261,393 | $ | 44,527 |
|
71
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
aIn U.S. dollars unless otherwise indicated. For contracts to sell protection, the notional amount is equal to the maximum potential amount of the future payments and no recourse provisions have been entered into in association with the contracts.
bBased on Standard and Poor's (S&P) Rating for single name swaps.
cPerformance triggers for settlement of contract include default, bankruptcy or restructuring for single name swaps and failure to pay or bankruptcy of the underlying securities for traded index swaps.
dThe Fund enters contracts to sell protection to create a long credit position.
At February 29, 2020, the Fund had the following interest rate swap contracts outstanding. See Note 3.
Interest Rate Swap Contracts
|
|
|
|
| Value/Unrealized | |
| Payment | Maturity | Notional |
|
| Appreciation |
Description | Frequency | Date | Amount* |
|
| (Depreciation) |
Centrally Cleared Swap Contracts |
|
|
|
|
|
|
Receive Floating rate 3 Month USD-LIBOR |
|
|
|
|
|
|
Pay Fixed rate 1.75% . . . . . . . . . . . | Quarterly | 3/21/20 | 1,012,000 | $ | (6,686) | |
Receive Floating rate 3 Month USD-LIBOR |
|
|
|
|
|
|
Pay Fixed rate 1.75% . . . . . . . . . . . | Quarterly | 6/20/20 | 1,500,000 |
|
| (32,936) |
Receive Floating rate 3 Month USD-LIBOR |
|
|
|
|
|
|
Pay Fixed rate 1.75% . . . . . . . . . . . | Quarterly | 9/18/21 | 1,500,000 |
|
| (13,969) |
Receive Fixed 4.86% |
|
|
|
|
|
|
Pay Floating rate BZDIOVRA . . . . . . . | Annually | 1/03/22 | 3,009,942 | BRL | 4,128 | |
Receive Fixed 4.88% |
|
|
|
|
|
|
Pay Floating rate BZDIOVRA . . . . . . . | Annually | 1/03/22 | 3,018,174 | BRL | 4,299 | |
Receive Floating rate 3 Month USD-LIBOR |
|
|
|
|
|
|
Pay Fixed rate 1.75% . . . . . . . . . . . | Quarterly | 3/18/22 | 1,100,000 |
|
| (15,538) |
Receive Fixed 5.57% |
|
|
|
|
|
|
Pay Floating rate BZDIOVRA . . . . . . . | Annually | 1/02/23 | 1,292,341 | BRL | 3,326 | |
Receive Fixed 5.63% |
|
|
|
|
|
|
Pay Floating rate BZDIOVRA . . . . . . . | Annually | 1/02/23 | 1,207,941 | BRL | 3,583 | |
Receive Fixed 5.88% |
|
|
|
|
|
|
Pay Floating rate BZDIOVRA . . . . . . . | Annually | 1/02/23 | 3,144,633 | BRL | 15,153 | |
Receive Fixed 5.94% |
|
|
|
|
|
|
Pay Floating rate BZDIOVRA . . . . . . . | Annually | 1/02/25 | 1,277,075 | BRL | 112 | |
Receive Fixed 2.92% |
|
|
|
|
|
|
Pay Floating CFETS China Fixing Repo |
|
|
|
|
|
|
7 Day rate . . . . . . . . . . . . . . . . . . | Quarterly | 3/18/25 | 2,958,960 | CNY | 10,416 | |
Receive Fixed 3.04% |
|
|
|
|
|
|
Pay Floating CFETS China Fixing Repo |
|
|
|
|
|
|
7 Day rate . . . . . . . . . . . . . . . . . . | Quarterly | 3/18/25 | 7,827,434 | CNY | 33,618 | |
Receive Floating rate 3 Month USD-LIBOR |
|
|
|
|
|
|
Pay Fixed rate 2.25% . . . . . . . . . . . | Quarterly | 6/20/28 | 1,100,000 |
|
| (181,775) |
Receive Floating rate 3 Month USD-LIBOR |
|
|
|
|
|
|
Pay Fixed rate 1.68% . . . . . . . . . . . | Quarterly | 10/22/29 | 800,000 |
|
| (43,925) |
Receive Fixed 1.77% |
|
|
|
|
|
|
Pay Floating rate 3 Month USD-LIBOR . | Semi-Annually | 1/21/30 | 800,000 |
|
| 51,247 |
Receive Fixed 6.84% |
|
|
|
|
|
|
Pay Floating Banxico Mexico 1 Month |
|
|
|
|
|
|
rate . . . . . . . . . . . . . . . . . . . . . . | Monthly | 3/06/30 | 8,300,177 | MXN | 919 | |
Receive Floating rate 6 Month USD-LIBOR |
|
|
|
|
|
|
Pay Fixed rate 0.86% . . . . . . . . . . . | Semi-Annually | 3/18/70 | 153,879 | GBP | (19,540) | |
Receive Floating rate 6 Month USD-LIBOR |
|
|
|
|
|
|
Pay Fixed rate 0.99% . . . . . . . . . . . | Semi-Annually | 3/18/70 | 112,337 | GBP |
| (22,660) |
Total Interest Rate Swap Contracts . . | . . . . . . . . . . . . . . . . . . . . . . . . | . . . . . . . . . . . | . . . . . . . | . . . . $ | (210,228) | |
|
|
|
|
|
|
|
*In U.S. dollars unless otherwise indicated.
72
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
At February 29, 2020, the Fund had the following total return swap contracts outstanding. See Note 3.
Total Return Swap Contracts
|
|
|
|
|
| Unamortized |
|
|
| |
|
|
|
|
|
|
| Upfront | Value/Unrealized | ||
|
| Payment | Counter- | Maturity | Notional | Payments |
| Appreciation | ||
Underlying Instrument | Financing Rate | Frequency | party | Date | Value | (Receipts) |
| (Depreciation) | ||
|
|
|
|
|
|
|
|
|
|
|
OTC Swap Contracts |
|
|
|
|
|
|
|
|
|
|
Equity Contracts - Longa |
|
|
|
|
|
|
|
|
|
|
Clearway Energy Inc. . . . . . . . | 1-Month LIBOR + 0.40% | Monthly | GSCO | 10/07/20 $ | 6,290 | $ | – | $ | 733 |
|
Clearway Energy Inc. . . . . . . . | 1-Month LIBOR + 0.40% | Monthly | GSCO | 10/09/20 | 809 |
| – |
| 86 |
|
Clearway Energy Inc. . . . . . . . | 1-Month LIBOR + 0.40% | Monthly | GSCO | 10/14/20 | 2,422 |
| – |
| 282 |
|
Clearway Energy Inc. . . . . . . . | 1-Month LIBOR + 0.40% | Monthly | GSCO | 10/15/20 | 347 |
| – |
| 40 |
|
Clearway Energy Inc. . . . . . . . | 1-Month LIBOR + 0.40% | Monthly | GSCO | 10/15/20 | 1,766 |
| – |
| 208 |
|
Clearway Energy Inc. . . . . . . . | 1-Month LIBOR + 0.40% | Monthly | GSCO | 10/19/20 | 1,424 |
| – |
| 163 |
|
Clearway Energy Inc. . . . . . . . | 1-Month LIBOR + 0.40% | Monthly | GSCO | 10/20/20 | 13,238 |
| – |
| 1,410 |
|
Clearway Energy Inc. . . . . . . . | 1-Month LIBOR + 0.40% | Monthly | GSCO | 10/21/20 | 2,199 |
| – |
| 223 |
|
Clearway Energy Inc. . . . . . . . | 1-Month LIBOR + 0.40% | Monthly | GSCO | 10/21/20 | 1,301 |
| – |
| 104 |
|
Clearway Energy Inc. . . . . . . . | 1-Month LIBOR + 0.40% | Monthly | GSCO | 10/23/20 | 988 |
| – |
| 70 |
|
Clearway Energy Inc. . . . . . . . | 1-Month LIBOR + 0.40% | Monthly | GSCO | 10/26/20 | 365 |
| – |
| 21 |
|
Clearway Energy Inc. . . . . . . . | 1-Month LIBOR + 0.40% | Monthly | GSCO | 10/27/20 | 1,540 |
| – |
| 87 |
|
Clearway Energy Inc. . . . . . . . | 1-Month LIBOR + 0.40% | Monthly | GSCO | 10/28/20 | 1,881 |
| – |
| 113 |
|
Clearway Energy Inc. . . . . . . . | 1-Month LIBOR + 0.40% | Monthly | GSCO | 11/03/20 | 18,876 |
| – |
| 3,268 |
|
Clearway Energy Inc. . . . . . . . | 1-Month LIBOR + 0.40% | Monthly | BZWS | 2/17/21 | 1,897 |
| – |
| 25 |
|
Clearway Energy Inc. . . . . . . . | 1-Month LIBOR + 0.40% | Monthly | BZWS | 2/19/21 | 3,210 |
| – |
| (40) |
|
Clearway Energy Inc. . . . . . . . | 1-Month LIBOR + 0.40% | Monthly | BZWS | 2/22/21 | 227 |
| – |
| (3) |
|
Energy Transfer Equity LP . . . . | 1-Month LIBOR + 0.65% | Monthly | CITI | 6/22/20 | 396,589 |
| – |
| (94,605) |
|
Energy Transfer Equity LP . . . . | 1-Month LIBOR + 0.80% | Monthly | GSCO | 11/17/20 | 99,000 |
| – |
| (2,272) |
|
Energy Transfer Equity LP . . . . | 1-Month LIBOR + 0.50% | Monthly | BOFA | 12/31/20 | 344,263 |
| – |
| (31,671) |
|
Government of Indonesia . . . . . | 3-Month LIBOR + 0.35% | Monthly | BOFA | 1/27/21 | 224,570 |
| – |
| (14,750) |
|
Government of Ukraine . . . . . . | 0.35% | Monthly | BOFA | 7/08/20 | – |
| 412,879 |
| (11,291) |
|
|
|
|
|
|
|
|
|
| (147,799) | |
Interest Rate Contracts - Long |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Egyptian Treasury Bill . . . . . . . | 3-Month LIBOR + 0.40% | Monthly | DBAB | 5/12/20 | – |
| 126,359 |
| 10,819 |
|
Egyptian Treasury Bill . . . . . . . | 3-Month LIBOR + 0.40% | Monthly | GSCO | 5/12/20 | 135,369 |
| – |
| (1,309) |
|
Government of Indonesia . . . . . | 3-Month LIBOR + 0.60% | Monthly | BOFA | 4/15/20 | 437,914 |
| – |
| (4,733) |
|
Government of Indonesia . . . . . | 3-Month LIBOR + 0.60% | Quarterly | BOFA | 6/22/20 | 54,205 |
| – |
| 1,466 |
|
Government of Indonesia . . . . . | 3-Month LIBOR + 0.60% | Quarterly | DBAB | 5/15/24 | 73,343 |
| – |
| 1,963 |
|
Government of Indonesia . . . . . | 3-Month LIBOR + 0.60% | Monthly | DBAB | 6/15/32 | 666,915 |
| – |
| (6,142) |
|
Government of Indonesia . . . . . | 3-Month LIBOR + 0.60% | Monthly | DBAB | 5/15/48 | 310,398 |
| – |
| (12,888) |
|
Pakistan Treasury Bill . . . . . . . | 1-Day FEDEF | Monthly | CITI | 7/16/20 | 85,933 |
| – |
| 397 |
|
|
|
|
|
|
|
|
|
| (10,427) |
|
.Total Total Return Swap Contracts | . . . . . . . . . . . . . . . . . . . | . . . . . . . . . | . . . . . . . . . | . . . . . . . . . . | . . . . . . . | . . . . | . . . . . . | $ | (158,226) |
|
|
|
|
|
|
|
|
|
|
aThe Fund receives the total return on the underlying instrument and pays a variable financing rate.
73
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
Abbreviations
Counterparty |
| Currency |
| Selected Portfolio | |
BOFA | Bank of America Corp. | BRL | Brazilian Real | ADR | American Depositary Receipt |
BZWS | Barclays Bank PLC | CNY | Chinese Yuan | ARM | Adjustable Rate Mortgage |
CITI | Citigroup, Inc. | EGP | Egyptian Pound | BZDIOVRA | Brazil Interbank Deposit Rate |
DBAB | Deutsche Bank AG | EUR | Euro | CFETS | China Foreign Exchange Trade System |
GSCO | The Goldman Sachs Group, Inc. | GBP | British Pound | CLO | Collateralized Loan Obligation |
JPHQ | JP Morgan Chase & Co. | HUF | Hungarian Forint | CMT | Constant Maturity Treasury Index |
MSCO | Morgan Stanley | JPY | Japanese Yen | ETF | Exchange Traded Fund |
MSCS | Morgan Stanley Capital Services LLC | MXN | Mexican Peso | FEDEF | Federal Funds Effective Rate |
|
| PKR | Pakistani Rupee | FHLMC | Federal Home Loan Mortgage Corp. |
|
| RUB | Russian Ruble | FNMA | Federal National Mortgage Association |
|
| UAH | Ukraine Hryvnia | FRN | Floating Rate Note |
Index |
| USD | United States Dollar | GNMA | Government National Mortgage Association |
|
|
|
|
| |
CDX.NA.HY | CDX North America High Yield Index | ZAR | South African Rand | GO | General Obligation |
|
|
|
|
| |
|
|
|
| IO | Interest-Only |
|
|
|
| LIBOR | London InterBank Offered Rate |
|
|
|
| PIK | Payment-In-Kind |
|
|
|
| REIT | Real Estate Investment Trust |
|
|
|
| SFR | Single Family Revenue |
|
|
|
| SPDR | S&P Depositary Receipt |
74
Franklin Alternative Strategies Funds
Notes to Consolidated Statements of Investments (unaudited)
1. Organization
Franklin Alternative Strategies Funds (Trust) is registered under the Investment Company Act of 1940 (1940 Act) as an open-end management investment company, consisting of two separate funds (Funds) and applies the specialized accounting and reporting guidance in U.S. Generally Accepted Accounting Principles (U.S. GAAP).
2. Financial Instrument Valuation
The Funds' investments in financial instruments are carried at fair value daily. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Funds calculate the net asset value (NAV) per share each business day as of 4 p.m. Eastern time or the regularly scheduled close of the New York Stock Exchange (NYSE), whichever is earlier. Under compliance policies and procedures approved by the Trust's Board of Trustees (the Board), the Funds' administrator has responsibility for oversight of valuation, including leading the cross-functional Valuation Committee (VC). The Funds may utilize independent pricing services, quotations from securities and financial instrument dealers, and other market sources to determine fair value.
Equity securities, exchange traded funds and derivative financial instruments listed on an exchange or on the NASDAQ National Market System are valued at the last quoted sale price or the official closing price of the day, respectively. Foreign equity securities are valued as of the close of trading on the foreign stock exchange on which the security is primarily traded or as of 4 p.m. Eastern time. The value is then converted into its U.S. dollar equivalent at the foreign exchange rate in effect at 4 p.m. Eastern time on the day that the value of the security is determined. Over-the-counter (OTC) securities are valued within the range of the most recent quoted bid and ask prices. Securities that trade in multiple markets or on multiple exchanges are valued according to the broadest and most representative market. Certain equity securities are valued based upon fundamental characteristics or relationships to similar securities.
Debt securities generally trade in the OTC market rather than on a securities exchange. The Funds' pricing services use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the pricing services may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the pricing services also utilize proprietary valuation models which may consider market characteristics such as benchmark yield curves, credit spreads, estimated default rates, anticipated market interest rate volatility, coupon rates, anticipated timing of principal repayments, underlying collateral, and other unique security features in order to estimate the relevant cash flows, which are then discounted to calculate the fair value. Securities denominated in a foreign currency are converted into their U.S. dollar equivalent at the foreign exchange rate in effect at 4 p.m. Eastern time on the date that the values of the foreign debt securities are determined.
Investments in open-end mutual funds are valued at the closing NAV. Investments in repurchase agreements are valued at cost, which approximates fair value.
Certain derivative financial instruments are centrally cleared or trade in the OTC market. The Funds' pricing services use various techniques including industry standard option pricing models and proprietary discounted cash flow models to determine the fair value of those instruments. The Funds' net benefit or obligation under the derivative contract, as measured by the fair value of the contract, is included in net assets.
The Funds have procedures to determine the fair value of financial instruments for which market prices are not reliable or readily available. Under these procedures, the Funds primarily employs a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. An income-based valuation approach may also be used in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed.
Trading in securities on foreign securities stock exchanges and OTC markets may be completed before 4 p.m. Eastern time. In addition, trading in certain foreign markets may not take place on every Funds' business day. Occasionally, events occur between the time at which trading in a foreign security is completed and 4 p.m. Eastern time that might call into question the reliability of the value of a portfolio security held by the Funds. As a result, differences may arise between the value of the Funds' portfolio securities as determined at the foreign market close and the latest indications of value at 4 p.m. Eastern time. In order to minimize the potential for these differences, the VC monitors price movements following the close of trading in foreign stock markets through a series of country specific market proxies (such as baskets of American Depositary Receipts, futures contracts and exchange traded funds). These price movements are measured against established trigger thresholds for each specific market proxy to assist in determining if an event has occurred that may call into question the reliability of the values of the foreign securities held by the Funds. If such an event occurs, the securities may be valued using fair value procedures, which may include the use of independent pricing services. At February 29, 2020, a market event occurred resulting in a portion of the securities held by certain or all Funds being valued using fair value procedures.
When the last day of the reporting period is a non-business day, certain foreign markets may be open on those days that the Funds' NAV is not calculated, which could result in differences between the value of the Funds' portfolio securities on the last business day and the last calendar day of
75
the reporting period. Any significant security valuation changes due to an open foreign market are adjusted and reflected by the Funds for financial reporting purposes.
3. Derivative Financial Instruments
Certain or all Funds invested in derivative financial instruments in order to manage risk or gain exposure to various other investments or markets. Derivatives are financial contracts based on an underlying or notional amount, require no initial investment or an initial net investment that is smaller than would normally be required to have a similar response to changes in market factors, and require or permit net settlement. Derivatives contain various risks including the potential inability of the counterparty to fulfill their obligations under the terms of the contract, the potential for an illiquid secondary market, and/or the potential for market movements.
Derivative counterparty credit risk is managed through a formal evaluation of the creditworthiness of all potential counterparties. Certain or all Funds attempt to reduce their exposure to counterparty credit risk on OTC derivatives, whenever possible, by entering into International Swaps and Derivatives Association (ISDA) master agreements with certain counterparties. These agreements contain various provisions, including but not limited to collateral requirements, events of default, or early termination. Termination events applicable to the counterparty include certain deteriorations in the credit quality of the counterparty. Termination events applicable to the Funds include failure of the Funds to maintain certain net asset levels and/or limit the decline in net assets over various periods of time. In the event of default or early termination, the ISDA master agreement gives the non-defaulting party the right to net and close-out all transactions traded, whether or not arising under the ISDA agreement, to one net amount payable by one counterparty to the other. Early termination by the counterparty may result in an immediate payment by the Funds of any net liability owed to that counterparty under the ISDA agreement.
Collateral requirements differ by type of derivative. Collateral or initial margin requirements are set by the broker or exchange clearing house for exchange traded and centrally cleared derivatives. Initial margin deposited is held at the exchange and can be in the form of cash and/or securities. For OTC derivatives traded under an ISDA master agreement, posting of collateral is required by either the Fund or the applicable counterparty if the total net exposure of all OTC derivatives with the applicable counterparty exceeds the minimum transfer amount, which typically ranges from $100,000 to $250,000, and can vary depending on the counterparty and the type of the agreement. Generally, collateral is determined at the close of Fund business each day and any additional collateral required due to changes in derivative values may be delivered by the Fund or the counterparty the next business day, or within a few business days. Collateral pledged and/or received by the Fund for OTC derivatives, if any, is held in segregated accounts with the Fund's custodian/counterparty broker and can be in the form of cash and/or securities. Unrestricted cash may be invested according to the Funds' investment objectives. To the extent that the amounts due to the Fund from its counterparties are not subject to collateralization or are not fully collateralized, the Fund bears the risk of loss from counterparty non-performance.
At February 29, 2020, the Funds received U.S. Treasury Bonds and Notes as collateral for derivatives, as follows:
Franklin K2 Alternative Strategies Fund $319,626
Certain or all Funds entered into exchange traded futures contracts primarily to manage and/or gain exposure to commodity price, interest rate and equity price risk. A futures contract is an agreement between the Fund and a counterparty to buy or sell an asset at a specified price on a future date. Required initial margins are pledged by the Fund, and the daily change in fair value is accounted for as a variation margin payable or receivable.
Certain or all Funds entered into OTC forward exchange contracts primarily to manage and/or gain exposure to certain foreign currencies. A forward exchange contract is an agreement between the Fund and a counterparty to buy or sell a foreign currency at a specific exchange rate on a future date.
Certain or all Funds entered into credit default swap contracts primarily to manage and/or gain exposure to credit risk. A credit default swap is an agreement between the Fund and a counterparty whereby the buyer of the contract receives credit protection and the seller of the contract guarantees the credit worthiness of a referenced debt obligation. These agreements may be privately negotiated in the over-the-counter market (OTC credit default swaps) or may be executed in a multilateral trade facility platform, such as a registered exchange (centrally cleared credit default swaps). The underlying referenced debt obligation may be a single issuer of corporate or sovereign debt, a credit index, a basket of issuers or indices, or a tranche of a credit index or basket of issuers or indices. In the event of a default of the underlying referenced debt obligation, the buyer is entitled to receive the notional amount of the credit default swap contract from the seller in exchange for the referenced debt obligation, a net settlement amount equal to the notional amount of the credit default swap less the recovery value of the referenced debt obligation, or other agreed upon amount. For centrally cleared credit default swaps, required initial margins are pledged by the Fund, and the daily change in fair value is accounted for as a variation margin payable or receivable. Over the term of the contract, the buyer pays the seller a periodic stream of payments, provided that no event of default has occurred. Such periodic payments are accrued daily as an unrealized appreciation or depreciation until the payments are made, at which time they are realized. Upfront payments and receipts represent compensating factors between stated terms of the credit default swap agreement and prevailing market conditions (credit spreads and other relevant factors). These upfront payments and receipts are amortized over the term of the contract as a realized gain or loss.
Certain or all Funds entered into interest rate swap contracts primarily to manage interest rate risk. An interest rate swap is an agreement between the Fund and a counterparty to exchange cash flows based on the difference between two interest rates, applied to a notional amount. These agreements may be privately negotiated in the over-the-counter market (OTC interest rate swaps) or may be executed on a registered exchange (centrally cleared interest rate swaps). For centrally cleared interest rate swaps, required initial margins are pledged by the Fund, and the daily change in fair value is accounted for as a variation margin payable or receivable. Over the term of the contract, contractually required payments to be paid and to be received are accrued daily and recorded as unrealized depreciation and appreciation until the payments are made, at which time they are realized.
76
Certain or all Funds entered into OTC total return swap contracts primarily to manage and/or gain exposure to interest rate, equity price, commodity price, and credit risk of an underlying instrument such as a stock, bond, index or basket of securities or indices. A total return swap is an agreement between the Fund and a counterparty to exchange a return linked to an underlying instrument for a floating or fixed rate payment, both based upon a notional amount. Over the term of the contract, contractually required payments to be paid or received are accrued daily and recorded as unrealized appreciation or depreciation until the payments are made, at which time they are recognized as realized gain or loss.
Certain or all Funds purchased or wrote exchange traded and/or OTC option contracts primarily to manage and/or gain exposure to interest rate, equity price and foreign exchange rate risk. An option is a contract entitling the holder to purchase or sell a specific amount of shares or units of an asset or notional amount of a swap (swaption), at a specified price. When an option is purchased or written, an amount equal to the premium paid or received is recorded as an asset or liability, respectively. Upon exercise of an option, the acquisition cost or sales proceeds of the underlying investment is adjusted by any premium received or paid. Upon expiration of an option, any premium received or paid is recorded as a realized gain or loss. Upon closing an option other than through expiration or exercise, the difference between the premium received or paid and the cost to close the position is recorded as a realized gain or loss.
The following Funds have invested in derivatives during the period.
Franklin K2 Alternative Strategies Fund – Futures, forwards, swaps and options
Franklin K2 Long Short Credit Fund – Futures, forwards, swaps and options
4. Restricted Securities
The Funds invest in securities that are restricted under the Securities Act of 1933 (1933 Act). Restricted securities are often purchased in private placement transactions, and cannot be sold without prior registration unless the sale is pursuant to an exemption under the 1933 Act. Disposal of these securities may require greater effort and expense, and prompt sale at an acceptable price may be difficult. The Funds may have registration rights for restricted securities. The issuer generally incurs all registration costs.
At February 29, 2020, investments in restricted securities, excluding securities exempt from registration under the 1933 Act, were as follows:
Shares | Issuer | Acquisition Date |
| Cost |
| Value | |||
Franklin K2 Alternative Strategies Fund |
|
|
|
|
|
|
|
| |
4,965 | aOne Call Corp. | 10/28/19 |
|
| $ | 232,733 | $ | 595,597 |
|
33,337 | aOne Call Corp., cvt. pfd. | 10/28/19 |
|
|
| 1,562,669 |
| 3,999,099 |
|
| Total Restricted Securities (Value is 0.4% of Net Assets) | $ | 1,795,402 | $ | 4,594,696 |
| |||
Franklin K2 Long Short Credit Fund |
|
|
|
|
|
|
|
| |
923 | Acosta Inc. | 12/31/19 |
|
| $ | 8,144 | $ | 8,144 |
|
745 | Acosta Inc., cvt. pfd. | 12/31/19 |
|
|
| 50,261 |
| 50,261 |
|
947 | bOne Call Corp. | 10/28/19 |
|
|
| 44,368 |
| 113,546 |
|
3,821 | bOne Call Corp., cvt. pfd. | 10/28/19 |
|
|
| 179,099 |
| 458,341 |
|
| Total Restricted Securities (Value is 0.5% of Net Assets) |
| $ | 281,872 | $ | 630,292 |
|
aThe Fund also invests in unrestricted securities of this issuer, valued at $4,031,194 as of February 29, 2020.
bThe Fund also invests in unrestricted securities of this issuer, valued at $462,020 as of February 29, 2020.
5. Unfunded Loan Commitments
Certain or all Funds entered into certain credit agreements, all or a portion of which may be unfunded. The Funds are obligated to fund these loan commitments at the borrowers' discretion. Unfunded loan commitments and funded portions of credit agreements are marked to market daily. Funded portions of credit agreements are presented in the Consolidated Statements of Investments.
At February 29, 2020, unfunded commitments were as follows: |
|
|
|
| Unfunded |
Borrower |
| Commitment |
Franklin K2 Alternative Strategies Fund |
|
|
Elanco Animal Health, Term Loan B | $ | 100,000 |
Gardner Denver, Term Loan B |
| 65,000 |
| $ | 165,000 |
Franklin K2 Long Short Credit Fund |
|
|
Century Link Inc., Term Loan B | $ | 571,364 |
Mallinckrodt International Finance SA, Term Loan B |
| 51,238 |
Riverbed Technology Inc., Term Loan B |
| 16,161 |
| $ | 638,763 |
77
6. Investments in Affiliated Management Investment Companies
Certain or all Funds invest in one or more affiliated management investment companies for purposes other than exercising a controlling influence over the management or policies. During the period ended February 29, 2020, investments in affiliated management investment companies were as follows:
|
|
|
|
| Net Change in |
| Number of | Income |
| Value at |
|
|
| Unrealized | Value at | Shares | from |
| Beginning |
|
| Realized | Appreciation | End of | Held at End | Securities |
| of Period | Purchases | Sales | |||||
| Gain (Loss) | (Depreciation) | Period | of Period | Loaned | |||
|
|
|
| |||||
Franklin K2 Alternative Strategies Fund |
|
|
|
|
|
|
| |
Non-Controlled Affiliates |
|
|
|
|
|
|
|
|
Institutional Fiduciary Trust Money Market | $ 4,871,000 | $ 40,460,000 | $ (43,574,000) | $ - | $ - | $ 1,757,000 | 1,757,000 | $ 54,564 |
Portfolio, 1.23% . . . . . . . . . . . . . . | ||||||||
|
|
|
|
|
|
|
|
|
7. Investments in K2 Holdings Investment Corp. (K2 Subsidiary)
Certain or all Funds invest in certain financial instruments and commodity-linked derivative investments through its investments in the K2 Subsidiary. The K2 Subsidiary is a Cayman Islands exempted company with limited liability, is a wholly-owned subsidiary of the Fund, and is able to invest in certain financial instruments and commodity-linked derivative investments consistent with the investment objective of the Fund. At February 29, 2020, the K2 Subsidiary's investments, as well as any other assets and liabilities of the K2 Subsidiary, are reflected in the Fund's Consolidated Statements of Investments. At February 29, 2020, the Fund's investments in the K2 Subsidiary were as follows:
|
| Consolidated | Subsidiary | % of Consolidated |
Fund Name | Subsidiary Namea | Net Assets | Net Assets | Net Assets |
Franklin K2 Alternative Strategies Fund | K2 Holdings Investment Corp. | $ 1,232,886,653 | $ 21,574,946 | 1.7% |
aThe Fund's investments in the K2 Subsidiary is limited to 25% of consolidated assets.
8. Fair Value Measurements
The Funds follow a fair value hierarchy that distinguishes between market data obtained from independent sources (observable inputs) and the Funds' own market assumptions (unobservable inputs). These inputs are used in determining the value of the Funds' financial instruments and are summarized in the following fair value hierarchy:
∙Level 1 – quoted prices in active markets for identical financial instruments
∙Level 2 – other significant observable inputs (including quoted prices for similar financial instruments, interest rates, prepayment speed, credit risk, etc.)
∙Level 3 – significant unobservable inputs (including the Funds' own assumptions in determining the fair value of financial instruments)
The input levels are not necessarily an indication of the risk or liquidity associated with financial instruments at that level.
A summary of inputs used as of February 29, 2020, in valuing the Funds' assets and liabilities carried at fair value, is as follows:
|
|
| Level 1 |
| Level 2 |
|
| Level 3 |
| Total |
| Franklin K2 Alternative Strategies Fund |
|
|
|
|
|
|
|
|
|
| Assets: |
|
|
|
|
|
|
|
|
|
| Investments in Securities:a |
|
|
|
|
|
|
|
|
|
| Equity Investmentsb | $ | 420,875,125 | $ | 56,763,350 |
| $ | 4,639,945c | $ | 482,278,420 |
| Convertible Bonds |
| – |
| 158,379,806 |
|
| – |
| 158,379,806 |
| Corporate Bonds and Notes |
| – |
| 90,846,741 |
|
| 33,501 |
| 90,880,242 |
| Corporate Bonds and Notes in Reorganization |
| – |
| 6,008,426 |
|
| 84,600 |
| 6,093,026 |
| Senior Floating Rate Interests |
| – |
| 1,617,602 |
|
| – |
| 1,617,602 |
| Credit-Linked Notes |
| – |
| 2,745,044 |
|
| – |
| 2,745,044 |
| Foreign Government and Agency Securities |
| – |
| 22,168,027 |
|
| 145,593 |
| 22,313,620 |
| Asset-Backed Securities and Commercial Mortgage-Backed Securities |
| – |
| 73,403,996 |
|
| 36,320 |
| 73,440,316 |
| Municipal Bonds in Reorganization |
| – |
| 6,223,340 |
|
| – |
| 6,223,340 |
| Options Purchased |
| 2,093,017 |
| 180,166 |
|
| – |
| 2,273,183 |
| Short Term Investments |
| 283,878,296 |
| 38,573,936 |
|
| 3,981,174 |
| 326,433,406 |
| Total Investments in Securities | $ | 706,846,438 | $ | 456,910,434 |
| $ | 8,921,133 | $ | 1,172,678,005 |
| Other Financial Instruments: |
|
|
|
|
|
|
|
|
|
| Futures Contracts | $ | 14,847,443 | $ | – | $ | – | $ | 14,847,443 | |
| Forward Exchange Contracts |
| – |
| 5,615,220 |
|
| – |
| 5,615,220 |
| Swap Contracts |
| – |
| 6,699,907 |
|
| – |
| 6,699,907 |
| Total Other Financial Instruments | $ | 14,847,443 | $ | 12,315,127 |
| $ | – | $ | 27,162,570 |
78
| Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Options Written | $ |
|
| 1,609,559 | $ |
| 254,898 |
| $ |
| – | $ |
| 1,864,457 |
| ||||
| Securities Sold Shorta |
|
|
| 193,978,762 |
|
|
| 6,317,430 |
|
|
| – |
|
| 200,296,192 |
| |||
| Futures Contracts |
|
|
| 9,996,433 |
|
|
|
| – |
|
| – |
|
| 9,996,433 |
| |||
| Forward Exchange Contracts |
|
|
| – |
|
|
| 6,235,825 |
|
|
| – |
|
| 6,235,825 |
| |||
| Swap Contracts |
|
|
| – |
|
|
| 8,193,037 |
|
|
| – |
|
| 8,193,037 |
| |||
| Unfunded Loan Commitments |
|
|
| – |
|
|
| 1,258 |
|
|
| – |
|
| 1,258 |
| |||
| Total Other Financial Instruments | $ |
|
| 205,584,754 | $ |
| 21,002,448 |
| $ |
| – | $ |
| 226,587,202 |
| ||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Level 1 |
|
|
|
| Level 2 |
|
|
| Level 3 |
|
|
|
| Total | |
| Franklin K2 Long Short Credit Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in Securities:a |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Equity Investmentsb | $ | 3,243,760 | $ |
| 40,545 |
| $ |
| 630,292c | $ |
| 3,914,597 |
| ||||||
| Convertible Bonds |
|
|
| – |
|
|
| 980,888 |
|
|
| – |
|
| 980,888 |
| |||
| Corporate Bonds and Notes |
|
|
| – |
|
|
| 16,421,449 |
|
|
| – |
|
| 16,421,449 |
| |||
| Corporate Bonds and Notes in Reorganization |
|
|
| – |
|
|
| 235,618 |
|
|
| – |
|
| 235,618 |
| |||
| Senior Floating Rate Interests |
|
|
| – |
|
|
| 3,643,176 |
|
|
| – |
|
| 3,643,176 |
| |||
| Credit-Linked Notes |
|
|
| – |
|
|
| 774,672 |
|
|
| – |
|
| 774,672 |
| |||
| Foreign Government and Agency Securities |
|
|
| – |
|
|
| 5,126,298 |
|
|
| – |
|
| 5,126,298 |
| |||
| U.S. Government and Agency Securities |
|
|
| – |
|
|
| 931,750 |
|
|
| – |
|
| 931,750 |
| |||
| Asset-Backed Securities and Commercial Mortgage-Backed Securities |
|
|
| – |
|
|
| 56,405,176 |
|
|
| – |
|
| 56,405,176 |
| |||
| Municipal Bonds in Reorganization |
|
|
| – |
|
|
| 1,267,306 |
|
|
| – |
|
| 1,267,306 |
| |||
| Options Purchased |
|
|
| 164,379 |
|
|
| 13,061 |
|
|
| – |
|
| 177,440 |
| |||
| Short Term Investments |
|
|
| 34,406,418 |
|
|
| 7,219,669 |
|
|
| 1,033,380 |
|
|
| 42,659,467 |
| ||
| Total Investments in Securities | $ | 37,814,557 |
| $ |
|
| 93,059,608 |
| $ |
| 1,663,672 |
| $ |
|
| 132,537,837 |
| ||
| Other Financial Instruments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Futures Contracts | $ | 41,389 | $ |
|
| – | $ |
| – | $ |
| 41,389 |
| ||||||
| Forward Exchange Contracts |
|
|
| – |
|
|
| 336,697 |
|
|
| – |
|
| 336,697 |
| |||
| Swap Contracts |
|
|
| – |
|
|
| 44,527 |
|
|
| – |
|
| 44,527 |
| |||
| Total Other Financial Instruments | $ | 41,389 |
| $ |
|
| 381,224 |
| $ |
| – |
| $ |
|
| 422,613 |
| ||
| Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Options Written | $ | 28,532 | $ |
|
| – | $ |
| – | $ |
| 28,532 |
| ||||||
| Securities Sold Shorta |
|
|
| 781,801 |
|
|
| 8,183,636 |
|
|
| – |
|
| 8,965,437 |
| |||
| Forward Exchange Contracts |
|
|
| – |
|
|
| 139,327 |
|
|
| – |
|
| 139,327 |
| |||
| Swap Contracts |
|
|
| – |
|
|
| 368,454 |
|
|
| – |
|
| 368,454 |
| |||
| Unfunded Loan Commitments |
|
|
| – |
|
|
| 8,026 |
|
|
| – |
|
| 8,026 |
| |||
| Total Other Financial Instruments | $ | 810,333 |
| $ |
|
| 8,699,443 |
| $ |
| – |
| $ |
|
| 9,509,776 |
|
aFor detailed categories, see the accompanying Consolidated Statements of Investments.
bIncludes common, preferred and convertible preferred stocks and exchange traded funds as well as other equity interests.
cIncludes securities determined to have no value at February 29, 2020.
A reconciliation of assets in which Level 3 inputs are used in determining fair value is presented when there are significant Level 3 financial instruments at the beginning and/or end of the period. At February 29, 2020, the reconciliation of assets, is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Change in | |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized | |
|
|
|
|
|
|
| Transfer Into |
|
|
|
|
|
|
|
| Appreciation | ||
| Balance at |
|
|
|
|
| (Out of) |
|
|
|
| Net Unrealized |
|
| (Depreciation) on | |||
| Beginning of |
|
|
|
|
| Cost Basis | Net Realized | Appreciation | Balance at End | Assets Held at | |||||||
|
|
|
|
|
|
| ||||||||||||
|
| Period | Purchases | Sales |
| Level 3a | Adjustments | Gain (Loss) | (Depreciation) |
| of Period | Period End | ||||||
Franklin K2 Long Short Credit Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity Investmentsb | $ | - | $ | - | $ | - | $ | 630,292c | $ | - | $ | - | $ | - | $ | 630,292c | $ | - |
Short Term Investments |
| - |
| - |
| - |
| 1,033,380 |
| - |
| - |
| - |
| 1,033,380 |
| - |
Total Investments in Securities | $ | - | $ | - | $ | - | $ | 1,663,672 | $ | - | $ | - | $ | - | $ | 1,663,672 | $ | - |
aTransferred into Level 3 as a result of the unavailability of a quoted market price in an active market for identical securities and other significant observable valuation inputs.
bIncludes common and convertible preferred stocks.
cIncludes securities determined to have no value at February 29, 2020.
Significant unobservable valuation inputs for material Level 3 financial instruments and impact to fair value as a result of changes in unobservable valuation inputs as of February 29, 2020, are as follows:
79
|
|
|
|
|
| Impact to Fair |
|
|
|
|
|
| Value |
|
| Fair Value at |
|
| Amount/ | if Input |
Description | End of Period | Valuation Technique | Unobservable Inputs | Range | Increasesa | |
Assets: |
|
|
|
|
|
|
Investments in Securities: |
|
|
|
|
|
|
Equity Investments | $ | 458,341 | Discounted cash flow | Discount rate | 8.3% - 9.3% | Decreaseb |
|
|
|
|
| ||
|
|
|
| Long-term revenue | 2.5% - 3.0% | Increaseb |
|
|
|
|
|
| |
|
|
|
| growth rate |
|
|
|
|
| Market comparables | EV / Revenue multiple | 1.5x - 1.8x | Increasec |
|
|
|
|
|
| |
|
|
| Market comparables/ |
| 12x - 14x | Increasec |
|
|
| Market transaction | EV / EBITDA multiple |
|
|
All Other Investmentse |
| 1,205,331d |
|
|
|
|
Total | $ | 1,663,672 |
|
|
|
|
aRepresents the directional change in the fair value of the Level 3 financial instruments that would result from a significant and reasonable increase in the corresponding input. A significant and reasonable decrease in the input would have the opposite effect. Significant impacts, if any, to fair value and/or net assets have been indicated.
bRepresents a significant impact to fair value and net assets.
cRepresents a significant impact to fair value but not net assets.
dIncludes fair value of immaterial financial instruments developed using various valuation techniques and unobservable inputs. May also include financial instruments with values derived using private transaction prices or non-public third party pricing information which is unobservable.
eIncludes securities determined to have no value at February 29, 2020.
Abbreviations List
EBITDA Earnings before interest, taxes, depreciation and amortization
EV Enterprise value
9. Subsequent Events
The Funds have evaluated subsequent events through the issuance of the Consolidated Statements of Investments and determined that no events have occurred that require disclosure, except for the following:
Subsequent to February 29, 2020, there has been a global outbreak of a novel coronavirus disease (COVID-19), which the World Health Organization has declared a pandemic. Unexpected events like COVID-19 can cause adverse effects on many companies, sectors, nations, regions and the market in general, in ways that cannot be foreseen. The effects of this pandemic may materially impact the value and performance of the Funds, their ability to buy and sell fund investments at appropriate valuations and their ability to achieve their investment objectives.
For additional information on the Funds' significant accounting policies, please refer to the Funds' most recent semiannual or annual shareholder report.
80