FRANKLIN ALTERNATIVE STRATEGIES FUNDS
Consolidated Statement of Investments, February 28, 2022 (unaudited)
Franklin K2 Alternative Strategies Fund
Country | Shares/ Warrants/ Rights | Value | ||||||||||
Common Stocks and Other Equity Interests 40.9% | ||||||||||||
Aerospace & Defense 0.1% | ||||||||||||
aBombardier Inc., A | Canada | 61,213 | $ | 79,686 | ||||||||
aBombardier Inc., B | Canada | 1,096,764 | 1,367,169 | |||||||||
aSatellogic Inc., 1/25/27, wts. | United States | 23,225 | 12,181 | |||||||||
aVertical Aerospace Ltd., 12/16/26, wts. | United States | 1,366 | 1,120 | |||||||||
|
| |||||||||||
1,460,156 | ||||||||||||
|
| |||||||||||
Air Freight & Logistics 0.1% | ||||||||||||
Expeditors International of Washington Inc. | United States | 1,117 | 115,453 | |||||||||
aGXO Logistics Inc. | United States | 8,484 | 712,062 | |||||||||
dUnited Parcel Service Inc., B | United States | 243 | 51,132 | |||||||||
|
| |||||||||||
878,647 | ||||||||||||
|
| |||||||||||
Airlines 0.1% | ||||||||||||
a,bControladora Vuela Cia de Aviacion SAB de CV, ADR | Mexico | 20,552 | 392,338 | |||||||||
aFrontier Group Holdings Inc. | United States | 71,262 | 917,854 | |||||||||
|
| |||||||||||
1,310,192 | ||||||||||||
|
| |||||||||||
Auto Components 0.0%† | ||||||||||||
aAmerican Axle & Manufacturing Holdings Inc. | United States | 15,555 | 144,039 | |||||||||
a,cLuminar Technologies Inc., A | United States | 12,104 | 169,819 | |||||||||
|
| |||||||||||
313,858 | ||||||||||||
|
| |||||||||||
Automobiles 0.0%† | ||||||||||||
Ford Motor Co. | United States | 2,393 | 42,021 | |||||||||
aGeneral Motors Co. | United States | 6,798 | 317,603 | |||||||||
a,cLucid Group Inc. | United States | 1,930 | 55,931 | |||||||||
|
| |||||||||||
415,555 | ||||||||||||
|
| |||||||||||
Banks 0.1% | ||||||||||||
Barclays PLC | United Kingdom | 108,406 | 264,897 | |||||||||
First Citizens Bancshares Inc., A | United States | 561 | 442,321 | |||||||||
JPMorgan Chase & Co. | United States | 293 | 41,547 | |||||||||
People’s United Financial Inc. | United States | 44,891 | 946,302 | |||||||||
dWells Fargo & Co. | United States | 598 | 31,915 | |||||||||
|
| |||||||||||
1,726,982 | ||||||||||||
|
| |||||||||||
Beverages 0.3% | ||||||||||||
dThe Coca-Cola Co. | United States | 3,768 | 234,520 | |||||||||
Davide Campari-Milano NV | Italy | 279,710 | 3,044,043 | |||||||||
eNongfu Spring Co. Ltd., H, 144A | China | 3,790 | 23,769 | |||||||||
PepsiCo Inc. | United States | 289 | 47,321 | |||||||||
Primo Water Corp. | United States | 49,507 | 719,832 | |||||||||
Tsingtao Brewery Co. Ltd., H | China | 2,000 | 19,242 | |||||||||
|
| |||||||||||
4,088,727 | ||||||||||||
|
| |||||||||||
Biotechnology 1.1% | ||||||||||||
b,dAbbVie Inc. | United States | 15,058 | 2,225,121 | |||||||||
a,c,fAlder Biopharmaceuticals Inc., Contingent Value, rts., 12/31/24 | United States | 50,624 | 101,248 | |||||||||
aAmicus Therapeutics Inc. | United States | 42,533 | 346,219 | |||||||||
a,bApellis Pharmaceuticals Inc. | United States | 23,813 | 1,012,767 | |||||||||
aArena Pharmaceuticals Inc. | United States | 25,760 | 2,446,427 | |||||||||
aArgenx SE, ADR | Netherlands | 4,279 | 1,231,111 | |||||||||
aBioMarin Pharmaceutical Inc. | United States | 12,853 | 1,004,076 | |||||||||
a,bBlueprint Medicines Corp. | United States | 4,580 | 277,319 | |||||||||
aCytoDyn Inc. | United States | 2,742 | 1,404 | |||||||||
aHorizon Therapeutics PLC | United States | 9,552 | 870,856 | |||||||||
a,bIntellia Therapeutics Inc. | United States | 5,964 | 589,541 | |||||||||
aIveric Bio Inc. | United States | 26,327 | 422,285 | |||||||||
aKaruna Therapeutics Inc. | United States | 4,014 | 421,470 | |||||||||
a,cKaryopharm Therapeutics Inc. | United States | 1,000 | 10,330 | |||||||||
aKymera Therapeutics Inc. | United States | 3,531 | 140,393 |
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)
Country | Shares/ Warrants/ Rights | Value | ||||||||||
Common Stocks and Other Equity Interests (continued) | ||||||||||||
Biotechnology (continued) | ||||||||||||
a,bNatera Inc. | United States | 11,568 | �� | $ | 760,596 | |||||||
aNurix Therapeutics Inc. | United States | 6,222 | 100,610 | |||||||||
aORIC Pharmaceuticals Inc. | United States | 9,045 | 70,189 | |||||||||
a,cPMV Pharmaceuticals Inc. | United States | 9,168 | 145,221 | |||||||||
aPraxis Precision Medicines Inc. | United States | 3,716 | 48,680 | |||||||||
a,bSeagen Inc. | United States | 8,464 | 1,090,756 | |||||||||
a,bVertex Pharmaceuticals Inc. | United States | 6,521 | 1,499,960 | |||||||||
a,cVerve Therapeutics Inc. | United States | 8,305 | 271,158 | |||||||||
|
| |||||||||||
15,087,737 | ||||||||||||
|
| |||||||||||
Building Products 0.2% | ||||||||||||
Carrier Global Corp. | United States | 57,807 | 2,594,378 | |||||||||
a,dCornerstone Building Brands Inc. | United States | 30,515 | 673,771 | |||||||||
|
| |||||||||||
3,268,149 | ||||||||||||
|
| |||||||||||
Capital Markets 1.2% | ||||||||||||
eAmundi SA, 144A | France | 26,558 | 1,841,955 | |||||||||
eAnima Holding SpA, 144A | Italy | 102,616 | 485,079 | |||||||||
cAres Capital Corp. | United States | 2,216 | 48,397 | |||||||||
dThe Blackstone Group Inc., A | United States | 20,335 | 2,592,102 | |||||||||
The Carlyle Group Inc. | United States | 1,029 | 48,229 | |||||||||
a,bE.Merge Technology Acquisition Corp., A | United States | 6,534 | 64,556 | |||||||||
The Goldman Sachs Group Inc. | United States | 126 | 43,003 | |||||||||
bMoody’s Corp. | United States | 9,381 | 3,020,963 | |||||||||
dMorgan Stanley | United States | 496 | 45,007 | |||||||||
cS&P Global Inc. | United States | 22,661 | 8,513,919 | |||||||||
Singapore Exchange Ltd. | Singapore | 10,100 | 70,072 | |||||||||
|
| |||||||||||
16,773,282 | ||||||||||||
|
| |||||||||||
Chemicals 1.4% | ||||||||||||
a,cAmyris Inc. | United States | 3,000 | 13,680 | |||||||||
a,bFerro Corp. | United States | 238,198 | 5,176,043 | |||||||||
aGcp Applied Technologies Inc. | United States | 9,039 | 285,452 | |||||||||
aHexion Holdings Corp., B | United States | 24,072 | 714,457 | |||||||||
Huntsman Corp. | United States | 7,692 | 311,064 | |||||||||
bInternational Flavors & Fragrances Inc. | United States | 3,685 | 490,105 | |||||||||
Olin Corp. | United States | 942 | 48,522 | |||||||||
The Sherwin-Williams Co. | United States | 32,164 | 8,463,313 | |||||||||
Sociedad Quimica y Minera de Chile SA, ADR | Chile | 32,799 | 2,170,638 | |||||||||
Treatt PLC | United Kingdom | 17,725 | 231,489 | |||||||||
aTronox Holdings PLC | United States | 24,406 | 495,442 | |||||||||
Valvoline Inc. | United States | 13,273 | 429,116 | |||||||||
|
| |||||||||||
18,829,321 | ||||||||||||
|
| |||||||||||
Commercial Services & Supplies 0.8% | ||||||||||||
Cintas Corp. | United States | 13,912 | 5,221,452 | |||||||||
bRepublic Services Inc., A | United States | 40,305 | 4,847,885 | |||||||||
aShapeways Holdings Inc., 10/31/26, wts. | United States | 13,286 | 4,293 | |||||||||
aUS Ecology Inc. | United States | 9,927 | 470,937 | |||||||||
|
| |||||||||||
10,544,567 | ||||||||||||
|
| |||||||||||
Communications Equipment 0.4% | ||||||||||||
aAdva Optical Networking SE | Germany | 153,537 | 2,600,130 | |||||||||
aArista Networks Inc. | United States | 18,211 | 2,235,036 | |||||||||
aRiverbed Technology Inc. | United States | 5,404 | 53,365 | |||||||||
|
| |||||||||||
4,888,531 | ||||||||||||
|
| |||||||||||
Construction & Engineering 0.6% | ||||||||||||
AECOM | United States | 22,091 | 1,605,132 | |||||||||
a,bMastec Inc. | United States | 31,890 | 2,511,657 |
2
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Shares/ Warrants/ Rights | Value | ||||||||||
Common Stocks and Other Equity Interests (continued) | ||||||||||||
Construction & Engineering (continued) | ||||||||||||
bQuanta Services Inc. | United States | 36,1 | 10 | $ | 3,933,823 | |||||||
|
| |||||||||||
8,050,612 | ||||||||||||
|
| |||||||||||
Construction Materials 0.3% | ||||||||||||
aCemex SAB de CV, ADR | Mexico | 69,523 | 354,567 | |||||||||
LafargeHolcim Ltd., B | Switzerland | 69,827 | 3,514,955 | |||||||||
|
| |||||||||||
3,869,522 | ||||||||||||
|
| |||||||||||
Consumer Finance 0.0%† | ||||||||||||
a,cKatapult Holdings Inc. | United States | 9,358 | 21,430 | |||||||||
aLendingTree Inc. | United States | 441 | 53,365 | |||||||||
|
| |||||||||||
74,795 | ||||||||||||
|
| |||||||||||
Containers & Packaging 0.8% | ||||||||||||
Ball Corp. | United States | 118,073 | 10,595,871 | |||||||||
|
| |||||||||||
Distributors 0.3% | ||||||||||||
Pool Corp. | United States | 8,546 | 3,919,025 | |||||||||
|
| |||||||||||
Diversified Consumer Services 0.1% | ||||||||||||
aHoughton Mifflin Harcourt Co. | United States | 44,694 | 936,339 | |||||||||
aMister Car Wash Inc. | United States | 59,041 | 945,837 | |||||||||
|
| |||||||||||
1,882,176 | ||||||||||||
|
| |||||||||||
Diversified Financial Services 2.4% | ||||||||||||
a2MX Organic SA, 11/16/25, wts. | France | 3,920 | 703 | |||||||||
a7GC & Co. Holdings Inc., A, 12/31/26, wts. | United States | 3,244 | 846 | |||||||||
aAcropolis Infrastructure Acquisition Corp., A, 3/31/26, wts. | United States | 12,094 | 5,200 | |||||||||
aAEA-Bridges Impact Corp., 12/31/25, wts. | Cayman Islands | 1,407 | 1,195 | |||||||||
aAEA-Bridges Impact Corp., A | Cayman Islands | 28,592 | 283,347 | |||||||||
aAequi Acquisition Corp. | United States | 1,470 | 14,597 | |||||||||
aAequi Acquisition Corp., A | United States | 11,885 | 116,414 | |||||||||
aAfrican Gold Acquisition Corp., A | United States | 6,518 | 63,388 | |||||||||
aAfrican Gold Acquisition Corp., A, 3/13/28, wts. | United States | 4,750 | 1,378 | |||||||||
aAgile Growth Corp., A | United States | 3,910 | 37,927 | |||||||||
aAgile Growth Corp., A, 3/9/26, wts. | United States | 1,303 | 619 | |||||||||
aAhren Acquisition Corp. | Cayman Islands | 51,168 | 510,657 | |||||||||
a,bAltitude Acquisition Corp., A | United States | 10,922 | 108,346 | |||||||||
aAngel Pond Holdings Corp., A | United States | 7,260 | 72,092 | |||||||||
Apollo Global Management Inc. | United States | 717 | 46,791 | |||||||||
aApollo Strategic Growth Capital, 10/29/27, wts. | United States | 23,192 | 22,846 | |||||||||
aApollo Strategic Growth Capital, A | United States | 8,654 | 85,675 | |||||||||
aApollo Strategic Growth Capital, A, 12/31/27, wts. | United States | 5,294 | 3,176 | |||||||||
aApollo Strategic Growth Capital II, A | United States | 8,845 | 86,212 | |||||||||
aArcLight Clean Transition Corp. II, A, 2/4/23, wts. | Cayman Islands | 3,265 | 4,734 | |||||||||
aAres Acquisition Corp., A | United States | 13,000 | 126,750 | |||||||||
aAres Acquisition Corp., A, 12/31/27, wts. | United States | 11,095 | 5,381 | |||||||||
aAscendant Digital Acquisition Corp. III, A | United States | 4,732 | 47,036 | |||||||||
aAscendant Digital Acquisition Corp. III, A, 4/19/23, wts. | United States | 2,366 | 1,029 | |||||||||
aAthena Consumer Acquisition Corp., A | United States | 26,389 | 262,703 | |||||||||
aAthena Consumer Acquisition Corp., A, 7/20/23, wts. | United States | 13,194 | 4,902 | |||||||||
a,bAthena Technology Acquisition Corp. II | United States | 61,944 | 616,962 | |||||||||
aAthlon Acquisition Corp., A, 3/5/26, wts. | United States | 4,234 | 1,143 | |||||||||
a,bAtlantic Avenue Acquisition Corp., A | United States | 8,680 | 85,324 | |||||||||
aAtlantic Avenue Acquisition Corp., A, 10/6/27, wts. | United States | 4,340 | 1,305 | |||||||||
a,bAtlantic Coastal Acquisition Corp., A | United States | 16,329 | 158,881 | |||||||||
aAtlantic Coastal Acquisition Corp., A, 12/31/27, wts. | United States | 5,443 | 1,470 | |||||||||
a,bAtlas Crest Investment Corp. II, A | United States | 20,011 | 194,507 | |||||||||
aAtlas Crest Investment Corp. II, A, 2/28/26, wts. | United States | 8,969 | 3,049 | |||||||||
aAusterlitz Acquisition Corp. I, 2/19/26, wts. | United States | 17,237 | 9,473 |
3
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Shares/ Warrants/ Rights | Value | ||||||||||
Common Stocks and Other Equity Interests (continued) | ||||||||||||
Diversified Financial Services (continued) | ||||||||||||
aAusterlitz Acquisition Corp. I, 12/31/27, wts. | United States | 34,516 | $ | 17,945 | ||||||||
aAusterlitz Acquisition Corp. I, A | United States | 21,841 | 212,731 | |||||||||
aAusterlitz Acquisition Corp. II, A | United States | 33,691 | 328,487 | |||||||||
aAuthentic Equity Acquisition Corp. I, 12/31/27, wts. | Cayman Islands | 9,239 | 3,370 | |||||||||
aB Riley Principal 250 Merger Corp., A, 12/31/27, wts. | United States | 2,651 | 1,458 | |||||||||
aBiotech Acquisition Co., 11/30/27, wts. | United States | 4,353 | 1,088 | |||||||||
aBlue Whale Acquisition Corp. I, A | United Arab Emirates | 12,829 | 124,313 | |||||||||
aBlue Whale Acquisition Corp. I, A, 7/30/26, wts. | United Arab Emirates | 1,005 | 658 | |||||||||
aBridgetown Holdings Ltd., A | Hong Kong | 3,261 | 32,056 | |||||||||
a,bBroadscale Acquisition Corp., A | United States | 12,221 | 120,743 | |||||||||
aBroadscale Acquisition Corp., A, 2/2/26, wts. | United States | 18,884 | 8,498 | |||||||||
aCapitalworks Emerging Markets Acquisition Corp. | United States | 15,474 | 155,359 | |||||||||
a,bCarney Technology Acquisition Corp. II, A | United States | 12,636 | 123,580 | |||||||||
aCarney Technology Acquisition Corp. II, A, 11/30/27, wts. | United States | 5,876 | 2,743 | |||||||||
aCartesian Growth Corp., 12/31/27, wts. | United States | 23,214 | 15,089 | |||||||||
aCC Neuberger Principal Holdings II | United States | 12,116 | 119,827 | |||||||||
aCC Neuberger Principal Holdings II, 7/29/25, wts. | United States | 11,692 | 11,487 | |||||||||
aCC Neuberger Principal Holdings III | United States | 558 | 5,513 | |||||||||
aCC Neuberger Principal Holdings III, 12/31/27, wts. | United States | 6,916 | 4,347 | |||||||||
aCF Acquisition Corp. VI | United States | 1,040 | 12,865 | |||||||||
a,bChurchill Capital Corp. V, A | United States | 6,430 | 62,821 | |||||||||
aChurchill Capital Corp. VI, A | United States | 1,080 | 10,519 | |||||||||
aChurchill Capital Corp. VI, A, 12/31/27, wts. | United States | 216 | 153 | |||||||||
a,bChurchill Capital Corp. VII, A | United States | 9,560 | 93,019 | |||||||||
a,bChurchill Capital Corp. VII, A, 2/29/28, wts. | United States | 1,912 | 956 | |||||||||
a,bCIIG Capital Partners II Inc., A | United States | 10,448 | 102,913 | |||||||||
a,bCIIG Capital Partners II Inc., A, 2/28/28, wts. | United States | 5,224 | 1,985 | |||||||||
aClarim Acquisition Corp., A | United States | 50,724 | 494,051 | |||||||||
aClarim Acquisition Corp., A, 12/31/27, wts. | United States | 16,908 | 5,676 | |||||||||
a,bClass Acceleration Corp., A | United States | 13,473 | 131,496 | |||||||||
aClass Acceleration Corp., A, 3/31/28, wts. | United States | 4,133 | 967 | |||||||||
aClimate Real Impact Solutions II Acquisition Corp., A | United States | 563 | 5,489 | |||||||||
aClimate Real Impact Solutions II Acquisition Corp., A, 12/31/27, wts. | United States | 112 | 55 | |||||||||
aColicity Inc., A | United States | 37,960 | 371,774 | |||||||||
aColicity Inc., A, 12/31/27, wts. | United States | 3,313 | 1,648 | |||||||||
aColonnade Acquisition Corp. II, 12/31/27, wts. | United States | 13,654 | 6,523 | |||||||||
a,bConcord Acquisition Corp. II, A | United States | 79,080 | 760,750 | |||||||||
a,bConcord Acquisition Corp. II, A, 12/31/28, wts. | United States | 26,360 | 13,871 | |||||||||
aConcord Acquisition Corp. III, A | United States | 9,774 | 96,518 | |||||||||
aConcord Acquisition Corp. III, A, 12/31/28, wts. | United States | 4,887 | 2,011 | |||||||||
a,bConyers Park III Acquisition Corp., A | United States | 18,746 | 183,711 | |||||||||
aConyers Park III Acquisition Corp., A, 8/12/28, wts. | United States | 2,812 | 2,137 | |||||||||
aCorner Growth Acquisition Corp., A | United States | 40,029 | 393,949 | |||||||||
aCorner Growth Acquisition Corp., A, 3/1/23, wts. | United States | 5,737 | 1,508 | |||||||||
aCorner Growth Acquisition Corp., A, 12/31/27, wts. | United States | 7,606 | 2,283 | |||||||||
aCorsair Partnering Corp., A | United States | 3,898 | 37,596 | |||||||||
aCrown PropTech Acquisitions, 12/31/27, wts. | United States | 12,844 | 5,618 | |||||||||
a,bCrucible Acquisition Corp., A | United States | 4,437 | 43,305 | |||||||||
a,bCrucible Acquisition Corp., A, 12/26/25, wts. | United States | 1,479 | 665 | |||||||||
aCrypto 1 Acquisition Corp. | United States | 7,736 | 77,515 | |||||||||
aCrystal Peak Acquisition | Netherlands | 6,767 | 66,249 | |||||||||
aCrystal Peak Acquisition, 6/22/26, wts. | Netherlands | 2,725 | — | |||||||||
aDecarbonization Plus Acquisition Corp. IV, A, 12/31/28, wts. | United States | 5,594 | 3,481 |
4
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Shares/ Warrants/ Rights | Value | ||||||||||
Common Stocks and Other Equity Interests (continued) | ||||||||||||
Diversified Financial Services (continued) | ||||||||||||
aDHC Acquisition Corp., A | United States | 6,265 | $ | 60,833 | ||||||||
aDHC Acquisition Corp., A, 12/31/27, wts. | United States | 241 | 88 | |||||||||
a,bDigital Transformation Opportunities Corp. | United States | 39,182 | 381,241 | |||||||||
aDisruptive Acquisition Corp. I | United States | 6,844 | 66,455 | |||||||||
a,bdMY Technology Group Inc. VI | United States | 26,930 | 261,760 | |||||||||
a,bdMY Technology Group Inc. VI, 6/25/23, wts. | United States | 13,465 | 9,964 | |||||||||
aDragoneer Growth Opportunities Corp. III, A | United States | 26,406 | 256,666 | |||||||||
a,cEJF Acquisition Corp. | United States | 63,265 | 626,323 | |||||||||
aElliott Opportunity II Corp., A | United States | 60,876 | 589,888 | |||||||||
aElliott Opportunity II Corp., A, 3/2/26, wts. | United States | 9,039 | 6,328 | |||||||||
aEnergy Transition Partners BV | Netherlands | 3,372 | 37,109 | |||||||||
aEnergy Transition Partners BV, 7/16/26, wts. | Netherlands | 1,124 | 498 | |||||||||
aEnterprise 4.0 Technology Acquisition Corp. | United States | 16,406 | 162,583 | |||||||||
aEnterprise 4.0 Technology Acquisition Corp., 10/21/26, wts. | United States | 8,203 | 3,609 | |||||||||
Equitable Holdings Inc. | United States | 55,703 | 1,819,260 | |||||||||
aESM Acquisition Corp., A | United States | 8,367 | 81,244 | |||||||||
aESM Acquisition Corp., A, 2/2/26, wts. | United States | 2,789 | 1,199 | |||||||||
aEuropean Biotech Acquisition Corp., A | Netherlands | 1,230 | 11,962 | |||||||||
a,bExecutive Network Partnering Corp., A | United States | 19,832 | 195,048 | |||||||||
aExecutive Network Partnering Corp., A, 9/25/28, wts. | United States | 2,901 | 1,074 | |||||||||
aFar Peak Acquisition Corp. | United States | 25,821 | 255,370 | |||||||||
a,bFast Acquisition Corp., A | United States | 23,060 | 233,598 | |||||||||
a,bFast Acquisition Corp. II, A | United States | 14,427 | 139,942 | |||||||||
a,bFast Acquisition Corp. II, A, 3/16/26, wts. | United States | 3,606 | 1,747 | |||||||||
aFifth Wall Acquisition Corp. III | United States | 5,283 | 51,087 | |||||||||
aFigure Acquisition Corp. I, A | United States | 1,393 | 13,596 | |||||||||
aFigure Acquisition Corp. I, A, 12/31/27, wts. | United States | 1,176 | 836 | |||||||||
a,bFintech Acquisition Corp. VI, A | United States | 39,608 | 386,970 | |||||||||
a,bFintech Acquisition Corp. VI, A, 12/31/27, wts. | United States | 9,902 | 6,047 | |||||||||
aFintech Evolution Acquisition Group | United States | 17,597 | 173,103 | |||||||||
a,cFirst Reserve Sustainable Growth Corp., A | United States | 32,362 | 317,148 | |||||||||
aFirst Reserve Sustainable Growth Corp., A, 12/31/27, wts. | United States | 8,090 | 3,641 | |||||||||
aFocus Impact Acquisition Corp., A | United States | 13,236 | 130,639 | |||||||||
aFocus Impact Acquisition Corp., A, 4/23/23, wts. | United States | 6,618 | 2,763 | |||||||||
aFortress Capital Acquisition Corp., 12/31/27, wts. | United States | 12,102 | 6,051 | |||||||||
aFortress Capital Acquisition Corp., A | United States | 9,805 | 95,697 | |||||||||
a,bFortress Value Acquisition Corp. III, A | United States | 10,335 | 100,973 | |||||||||
aFortress Value Acquisition Corp. III, A, 12/31/27, wts. | United States | 3,261 | 1,589 | |||||||||
aFortress Value Acquisition Corp. IV, A | United States | 8,256 | 80,331 | |||||||||
a,bFortress Value Acquisition Corp. IV, A, 3/18/28, wts. | United States | 10,687 | 5,364 | |||||||||
aForum Merger IV Corp., A | United States | 8,175 | 79,379 | |||||||||
aForum Merger IV Corp., A, 12/31/27, wts. | United States | 3,272 | 1,425 | |||||||||
aFreedom Acquisition I Corp., A | United States | 1,955 | 19,003 | |||||||||
a,cFTAC Athena Acquisition Corp., A | United States | 28,460 | 277,200 | |||||||||
aFTAC Athena Acquisition Corp., A, 3/1/26, wts. | United States | 15,965 | 7,812 | |||||||||
aFTAC Hera Acquisition Corp., A | United States | 41,936 | 408,456 | |||||||||
aFTAC Hera Acquisition Corp., A, 12/31/27, wts. | United States | 8,945 | 4,473 | |||||||||
a,bFTAC Parnassus Acquisition Corp., A | United States | 49,016 | 475,455 | |||||||||
aFTAC Parnassus Acquisition Corp., A, 3/10/26, wts. | United States | 12,254 | 5,575 | |||||||||
a,cFTAC Zeus Acquisition Corp. | United States | 6,342 | 63,230 | |||||||||
a,bFusion Acquisition Corp. II, A | United States | 15,892 | 154,470 | |||||||||
a,bFusion Acquisition Corp. II, A, 12/31/27, wts. | United States | 5,297 | 1,483 | |||||||||
aG Squared Ascend I Inc., A | United States | 5,572 | 54,996 | |||||||||
aG Squared Ascend I Inc., A, 12/31/27, wts. | United States | 3,753 | 1,842 | |||||||||
aGlenfarne Merger Corp., A | United States | 1,231 | 11,916 | |||||||||
aGlenfarne Merger Corp., A, 12/31/27, wts. | United States | 323 | 88 |
5
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Shares/ Warrants/ Rights | Value | ||||||||||
Common Stocks and Other Equity Interests (continued) | ||||||||||||
Diversified Financial Services (continued) | ||||||||||||
aGlobal Partner Acquisition Corp II, 12/31/27, wts. | United States | 2,950 | $ | 1,475 | ||||||||
aGlobal Partner Acquisition Corp. II, A | United States | 17,700 | 172,575 | |||||||||
aGores Holdings VII Inc., A | United States | 42,125 | 414,375 | |||||||||
aGores Holdings VII Inc., A, 12/31/27, wts. | United States | 2,103 | 1,798 | |||||||||
aGores Holdings VIII Inc., A | United States | 10,517 | 106,204 | |||||||||
aGores Holdings VIII Inc., A, 12/31/27, wts. | United States | 554 | 759 | |||||||||
a,bGores Technology Partners II Inc., A | United States | 15,940 | 155,451 | |||||||||
a,bGores Technology Partners II Inc., A, 12/31/27, wts. | United States | 2,192 | 2,521 | |||||||||
a,bGores Technology Partners Inc., A | United States | 11,237 | 109,816 | |||||||||
a,bGores Technology Partners Inc., A, 12/31/27, wts. | United States | 1,971 | 1,657 | |||||||||
aGroup Nine Acquisition Corp., A | United States | 22,173 | 216,408 | |||||||||
aGroup Nine Acquisition Corp., A, 1/14/26, wts. | United States | 7,391 | 3,439 | |||||||||
aGrowth For Good Acquisition Corp. | United States | 5,935 | 57,332 | |||||||||
aGrowth For Good Acquisition Corp., 6/14/23, wts. | United States | 2,967 | 920 | |||||||||
aGrowth For Good Acquisition Corp., Contingent Value, rts., 6/14/23 | United States | 5,935 | 950 | |||||||||
aHCM Acquisition Corp. | United States | 13,460 | 134,062 | |||||||||
aHealthcare AI Acquisition Corp. | Cayman Islands | 1,582 | 15,867 | |||||||||
a,bHealthcare Services Acquisition Corp., A | United States | 3,074 | 30,064 | |||||||||
aHealthcare Services Acquisition Corp., A, 12/31/27, wts. | United States | 4,019 | 1,526 | |||||||||
aHeartland Media Acquisition Corp. | United States | 13,462 | 134,553 | |||||||||
aHedosophia European Growth | United Kingdom | 35,835 | 393,068 | |||||||||
aHedosophia European Growth, 5/13/27, wts. | United Kingdom | 11,638 | 6,076 | |||||||||
aInnovative International Acquisition Corp., A | United States | 13,172 | 130,930 | |||||||||
aInnovative International Acquisition Corp., A, 4/3/23, wts. | United States | 6,586 | 1,844 | |||||||||
aInvestcorp Europe Acquisition Corp. I | United States | 40,934 | 412,001 | |||||||||
aION Acquisition Corp. III Ltd., A | Israel | 11,154 | 108,249 | |||||||||
Iron Spark I Inc., A | United States | 5,353 | 53,289 | |||||||||
aJack Creek Investment Corp., 12/31/27, wts. | United States | 5,880 | 1,411 | |||||||||
aJackson Acquisition Co., A | United States | 5,933 | 58,084 | |||||||||
aJackson Acquisition Co., A, 12/31/28, wts. | United States | 2,966 | 1,068 | |||||||||
aJaws Hurricane Acquisition Corp., A, 2/23/23, wts. | United States | 3,747 | 2,718 | |||||||||
aJaws Juggernaut Acquisition Corp., A | United States | 6,381 | 62,279 | |||||||||
aJaws Juggernaut Acquisition Corp., A, 2/12/26, wts. | United States | 4,284 | 2,981 | |||||||||
aJaws Mustang Acquisition Corp., A | United States | 13,995 | 137,205 | |||||||||
aJaws Mustang Acquisition Corp., A, 1/30/26, wts. | United States | 6,663 | 3,056 | |||||||||
aJOFF Fintech Acquisition Corp., A | United States | 5,277 | 51,292 | |||||||||
aJuniper II Corp., A | United States | 11,402 | 112,310 | |||||||||
aJuniper II Corp., A, 12/31/28, wts. | United States | 5,701 | 2,964 | |||||||||
aKairos Acquisition Corp., 12/31/27, wts. | Cayman Islands | 4,433 | 963 | |||||||||
a,bKhosla Ventures Acquisition Co., A | United States | 27,304 | 265,395 | |||||||||
a,bKhosla Ventures Acquisition Co. III, A | United States | 19,619 | 190,500 | |||||||||
a,bKKR Acquisition Holdings I Corp., A | United States | 10,052 | 97,806 | |||||||||
a,bKKR Acquisition Holdings I Corp., A, 12/31/27, wts. | United States | 2,513 | 1,463 | |||||||||
aKnightswan Acquisition Corp. | United States | 15,647 | 156,079 | |||||||||
aL Catterton Asia Acquisition Corp., A | Singapore | 2,279 | 22,152 | |||||||||
aLandcadia Holdings IV Inc., A | United States | 4,686 | 45,595 | |||||||||
aLandcadia Holdings IV Inc., A, 12/31/28, wts. | United States | 1,171 | 528 | |||||||||
aLazard Growth Acquisition Corp. I | United States | 6,383 | 62,170 | |||||||||
aLazard Growth Acquisition Corp. I, 12/31/27, wts. | United States | 2,949 | 1,533 | |||||||||
aLDH Growth Corp. I, A | United States | 615 | 5,972 | |||||||||
aLDH Growth Corp. I, A, 3/29/28, wts. | United States | 97 | 49 | |||||||||
aLead Edge Growth Opportunities Ltd., A | United States | 4,701 | 45,600 | |||||||||
aLead Edge Growth Opportunities Ltd., A, 12/31/28, wts. | United States | 1,175 | 517 | |||||||||
aLearn CW Investment Corp. | United States | 19,726 | 193,118 | |||||||||
aLearn CW Investment Corp., 12/31/28, wts. | United States | 9,863 | 4,279 |
6
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Shares/ Warrants/ Rights | Value | ||||||||||
Common Stocks and Other Equity Interests (continued) | ||||||||||||
Diversified Financial Services (continued) | ||||||||||||
aLegato Merger Corp. II | United States | 3,958 | $ | 39,065 | ||||||||
aLegato Merger Corp. II, 2/5/23, wts. | United States | 1,979 | 860 | |||||||||
aLerer Hippeau Acquisition Corp., A | United States | 20,644 | 200,556 | |||||||||
aLF Capital Acquisition Corp. II | United States | 13,246 | 132,725 | |||||||||
aLive Oak Crestview Climate Acquisition Corp., A, 3/12/26, wts. | United States | 452 | 253 | |||||||||
aLive Oak Mobility Acquisition Corp., A | United States | 3,947 | 38,345 | |||||||||
aLive Oak Mobility Acquisition Corp., A, 3/4/28, wts. | United States | 6,090 | 3,501 | |||||||||
a,bLongview Acquisition Corp. II, A | United States | 14,811 | 143,667 | |||||||||
aLongview Acquisition Corp. II, A, 5/10/26, wts. | United States | 12,250 | 5,022 | |||||||||
aM3-Brigade Acquisition II Corp., A, 12/31/27, wts. | United States | 7,608 | 2,818 | |||||||||
aMarlin Technology Corp., 3/5/26, wts. | United States | 3,305 | 2,079 | |||||||||
aMarlin Technology Corp., A | United States | 9,915 | 96,820 | |||||||||
aMDH Acquisition Corp., A | United States | 4,587 | 44,769 | |||||||||
aMDH Acquisition Corp., A, 2/2/28, wts. | United States | 1,198 | 202 | |||||||||
aMotive Capital Corp., A | United States | 12,101 | 120,411 | |||||||||
aMotive Capital Corp., A, 12/9/25, wts. | United States | 18,590 | 12,084 | |||||||||
aMotive Capital Corp. II, A | United States | 16,152 | 161,035 | |||||||||
aThe Music Acquisition Corp., A | United States | 5,363 | 52,182 | |||||||||
aThe Music Acquisition Corp., A, 2/5/28, wts. | United States | 2,681 | 912 | |||||||||
a,bNightdragon Acquisition Corp. | United States | 21,996 | 215,781 | |||||||||
aNightdragon Acquisition Corp., A | United States | 1,253 | 12,167 | |||||||||
aNorth Atlantic Acquisition Corp., A | United States | 6,495 | 64,171 | |||||||||
aNorth Atlantic Acquisition Corp., A, 10/20/25, wts. | United States | 2,165 | 853 | |||||||||
aNorthern Star Investment Corp. II, A, 1/31/28, wts. | United States | 4,249 | 2,038 | |||||||||
aOaktree Acquisition Corp. II, 9/15/27, wts. | United States | 12,899 | 9,743 | |||||||||
aOaktree Acquisition Corp. II, A | United States | 17,512 | 172,493 | |||||||||
aObotech Acquisition SE, A | Luxembourg | 4,205 | 45,734 | |||||||||
aObotech Acquisition SE, A, 4/30/26, wts. | Luxembourg | 1,401 | 943 | |||||||||
aOne Equity Partners Open Water I Corp., A | United States | 2,269 | 22,123 | |||||||||
aOne Equity Partners Open Water I Corp., A, 12/31/27, wts. | United States | 2,933 | 1,109 | |||||||||
aOrion Biotech Opportunities Corp., A | United States | 16,960 | 164,682 | |||||||||
aOrion Biotech Opportunities Corp., A, 4/15/25, wts. | United States | 3,392 | 2,749 | |||||||||
aP3 Health Partners Inc., A, 11/19/26, wts. | United States | 1,814 | 1,647 | |||||||||
aPathfinder Acquisition Corp., 12/31/27, wts. | United States | 7,163 | 3,410 | |||||||||
aPathfinder Acquisition Corp., A | United States | 27,835 | 271,252 | |||||||||
aPegasus Acquisition Co. Europe BV, A | Netherlands | 119,812 | 1,318,075 | |||||||||
aPegasus Acquisition Co. Europe BV, A, 4/27/26, wts. | Netherlands | 29,604 | — | |||||||||
aPeridot Acquisition Corp. II, A | United States | 2,506 | 24,358 | |||||||||
a,bPeriphas Capital Partnering Corp., A | United States | 10,736 | 262,388 | |||||||||
aPershing Square Tontine Holdings Ltd., A | United States | 8,963 | 177,557 | |||||||||
aPine Technology Acquisition Corp., A, 3/31/28, wts. | United States | 3,876 | 969 | |||||||||
aPioneer Merger Corp., A | United States | 2,043 | 19,950 | |||||||||
aPioneer Merger Corp., A, 12/31/27, wts. | United States | 16,710 | 6,905 | |||||||||
aPoema Global Holdings Corp., 12/31/27, wts. | United States | 4,433 | 5,586 | |||||||||
aPoema Global Holdings Corp., A | United States | 8,866 | 87,951 | |||||||||
aPontem Corp., 12/31/27, wts. | United States | 5,482 | 1,919 | |||||||||
aPontem Corp., A | United States | 16,446 | 160,349 | |||||||||
aPopulation Health Investment Co. Inc., A | United States | 1,144 | 11,211 | |||||||||
a,bPost Holdings Partnering Corp., A | United States | 12,717 | 122,846 | |||||||||
aPost Holdings Partnering Corp., A, 2/9/23, wts. | United States | 12,973 | 7,200 | |||||||||
a,cPower & Digital Infrastructure Acquisition II Corp. | United States | 27,088 | 270,609 | |||||||||
aPowered Brands, A | United States | 3,648 | 35,623 | |||||||||
aPrimavera Capital Acquisition Corp., 1/19/26, wts. | Hong Kong | 1,524 | 542 | |||||||||
aPrimavera Capital Acquisition Corp., A | Hong Kong | 3,048 | 29,718 | |||||||||
aPWP Forward Acquisition Corp. I, A | United States | 6,157 | 59,815 | |||||||||
aPWP Forward Acquisition Corp. I, A, 3/9/26, wts. | United States | 2,959 | 1,139 |
7
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Shares/ Warrants/ Rights | Value | ||||||||||
Common Stocks and Other Equity Interests (continued) | ||||||||||||
Diversified Financial Services (continued) | ||||||||||||
aRCF Acquisition Corp. | United States | 12,616 | $ | 124,457 | ||||||||
aRCF Acquisition Corp., 4/25/23, wts. | United States | 6,308 | 3,311 | |||||||||
aRedBall Acquisition Corp. | United States | 8,172 | 81,066 | |||||||||
aRice Acquisition Corp. II, A | United States | 13,176 | 129,257 | |||||||||
aRice Acquisition Corp. II, A, 3/12/26, wts. | United States | 3,294 | 2,491 | |||||||||
aRigel Resource Acquisition Corp., A | United States | 8,142 | 80,321 | |||||||||
aRigel Resource Acquisition Corp., A, 4/19/23, wts. | United States | 4,071 | 1,791 | |||||||||
aRMG Acquisition Corp. III, A | United States | 24,341 | 237,683 | |||||||||
aRMG Acquisition Corp. III, A, 12/31/27, wts. | United States | 4,311 | 2,156 | |||||||||
aRosecliff Acquisition Corp. I, A | United States | 59,628 | 583,758 | |||||||||
a,bRosecliff Acquisition Corp. I, A, 12/31/27, wts. | United States | 19,875 | 5,849 | |||||||||
a,bRXR Acquisition Corp., A | United States | 9,640 | 93,604 | |||||||||
a,bRXR Acquisition Corp., A, 3/8/26, wts. | United States | 1,928 | 1,055 | |||||||||
aSarissa Capital Acquisition Corp., A | United States | 13,243 | 130,046 | |||||||||
aScience Strategic Acquisition Corp. Alpha, A | United States | 5,442 | 53,059 | |||||||||
aScience Strategic Acquisition Corp. Alpha, A, 12/31/27, wts. | United States | 1,814 | 789 | |||||||||
aScION Tech Growth I, A | United Kingdom | 3,306 | 32,333 | |||||||||
aScION Tech Growth I, A, 11/1/25, wts. | United Kingdom | 1,102 | 441 | |||||||||
aScION Tech Growth II, A | United Kingdom | 2,073 | 20,191 | |||||||||
aScION Tech Growth II, A, 1/28/26, wts. | United Kingdom | 691 | 304 | |||||||||
aSCP & Co. Healthcare Acquisition Co., A, 1/27/28, wts. | United States | 5,434 | 980 | |||||||||
aScreaming Eagle Acquisition Corp. | United States | 96,744 | 955,831 | |||||||||
aSculptor Acquisition Corp. I | United States | 14,029 | 140,921 | |||||||||
aSilver Crest Acquisition Corp., A | United States | 2,931 | 28,665 | |||||||||
a,bSimon Property Group Acquisition Holdings Inc., A | United States | 31,634 | 307,799 | |||||||||
a,bSimon Property Group Acquisition Holdings Inc., A, 2/4/26, wts. | United States | 6,326 | 3,274 | |||||||||
aSlam Corp., A | United States | 5,816 | 56,532 | |||||||||
aSlam Corp., A, 12/31/27, wts. | United States | 7,928 | 3,400 | |||||||||
aSocial Capital Hedosophia Holdings Corp., A | United States | 17,956 | 179,201 | |||||||||
a,cSocial Capital Hedosophia Holdings Corp. VI, A | United States | 39,558 | 405,865 | |||||||||
aSocial Capital Suvretta Holdings Corp. I, A | United States | 6,651 | 65,512 | |||||||||
aSocial Capital Suvretta Holdings Corp. II, A | United States | 14,142 | 136,470 | |||||||||
a,cSocial Capital Suvretta Holdings Corp. III, A | United States | 27,104 | 267,788 | |||||||||
aSocial Capital Suvretta Holdings Corp. IV, A | United States | 27,104 | 262,638 | |||||||||
a,bSocial Leverage Acquisition Corp. I, A | United States | 17,336 | 170,221 | |||||||||
aSouthport Acquisition Corp. | United States | 9,892 | 97,337 | |||||||||
aSouthport Acquisition Corp., 5/24/23, wts. | United States | 4,946 | 1,682 | |||||||||
a,bSpartan Acquisition Corp. III, A | United States | 11,302 | 112,568 | |||||||||
aSpartan Acquisition Corp. III, A, 2/4/26, wts. | United States | 13,124 | 12,600 | |||||||||
aSpindletop Health Acquisition Corp., A | United States | 11,406 | 113,319 | |||||||||
aSpindletop Health Acquisition Corp., A, 12/31/28, wts. | United States | 5,703 | 1,882 | |||||||||
aSpree Acquisition Corp. 1 Ltd. | Israel | 6,138 | 60,766 | |||||||||
aSpree Acquisition Corp. 1 Ltd., 12/22/28, wts. | Israel | 3,069 | 614 | |||||||||
aStoneBridge Acquisition Corp. | United States | 3,244 | 32,245 | |||||||||
aStoneBridge Acquisition Corp., 2/26/23, wts. | United States | 1,622 | 487 | |||||||||
aSupernova Partners Acquisition Co. III Ltd., A | United States | 8,623 | 83,902 | |||||||||
aSupernova Partners Acquisition Co. III Ltd., A, 3/31/27, wts. | United States | 6,587 | 2,964 | |||||||||
aSustainable Development Acquisition I Corp. | United States | 8,363 | 83,546 | |||||||||
aSVF Investment Corp., A | United States | 16,643 | 162,602 | |||||||||
aSVF Investment Corp. 2, A | United States | 10,063 | 98,014 | |||||||||
aSVF Investment Corp. 3, A | United States | 40,808 | 402,775 | |||||||||
aTarget Global Acquisition I Corp., A | Israel | 10,548 | 103,792 | |||||||||
aTarget Global Acquisition I Corp., A, 12/8/26, wts. | Israel | 3,516 | 1,407 | |||||||||
aTB SA Acquisition Corp. | Cayman Islands | 22,005 | 216,529 | |||||||||
aTCV Acquisition Corp., A | United States | 1,698 | 16,505 | |||||||||
aTCW Special Purpose Acquisition Corp., A | United States | 6,265 | 60,833 |
8
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Shares/ Warrants/ Rights | Value | ||||||||||
Common Stocks and Other Equity Interests (continued) | ||||||||||||
Diversified Financial Services (continued) | ||||||||||||
aTCW Special Purpose Acquisition Corp., A, 12/31/28, wts. | United States | 2,088 | $ | 627 | ||||||||
aTech And Energy Transition Corp., A | United States | 8,501 | 82,630 | |||||||||
aTekkorp Digital Acquisition Corp., 10/26/27, wts. | United States | 1,328 | 446 | |||||||||
a,bThunder Bridge Capital Partners IV Inc., A | United States | 12,385 | 119,515 | |||||||||
a,bThunder Bridge Capital Partners IV Inc., A, 3/12/23, wts. | United States | 2,477 | 1,238 | |||||||||
aTishman Speyer Innovation Corp. II, A | United States | 2,043 | 19,899 | |||||||||
aTishman Speyer Innovation Corp. II, A, 2/11/26, wts. | United States | 306 | 141 | |||||||||
aTLG Acquisition One Corp., A | United States | 9,876 | 96,242 | |||||||||
aTLG Acquisition One Corp., A, 1/25/28, wts. | United States | 3,292 | 1,184 | |||||||||
aTPG Pace Beneficial II Corp., A | United States | 17,023 | 165,804 | |||||||||
a,bTwelve Seas Investment Co. II, A | United States | 15,317 | 149,187 | |||||||||
aTwelve Seas Investment Co. II, A, 3/2/28, wts. | United States | 1,629 | 476 | |||||||||
aTwin Ridge Capital Acquisition Corp., A | United States | 7,511 | 72,969 | |||||||||
atwo, A | United States | 9,851 | 95,653 | |||||||||
aUSHG Acquisition Corp., A | United States | 28,448 | 292,730 | |||||||||
aUSHG Acquisition Corp., A, 12/31/28, wts. | United States | 12,571 | 12,699 | |||||||||
aVahanna Tech Edge Acquisition I Corp. | United States | 7,916 | �� | 79,318 | ||||||||
aValor Latitude Acquisition Corp., A | United States | 16,723 | 163,674 | |||||||||
aValor Latitude Acquisition Corp., A, 12/31/28, wts. | United States | 3,361 | 2,226 | |||||||||
aVector Acquisition Corp. II, A | United States | 8,707 | 84,806 | |||||||||
aVelocity Acquisition Corp., A | United States | 6,445 | 62,678 | |||||||||
aVirgin Group Acquisition Corp. II | United States | 10,835 | 107,808 | |||||||||
aVirgin Group Acquisition Corp. II, A, 3/13/26, wts. | United States | 9,762 | 4,686 | |||||||||
aViveon Health Acquisition Corp. | United States | 22,809 | 3,451 | |||||||||
aVMG Consumer Acquisition Corp., A | United States | 2,210 | 21,768 | |||||||||
aVMG Consumer Acquisition Corp., A, 7/3/23, wts. | United States | 1,105 | 494 | |||||||||
aVPC Impact Acquisition Holdings II Inc., A | United States | 6,544 | 63,608 | |||||||||
aVy Global Growth, A | Cayman Islands | 13,775 | 135,408 | |||||||||
aWaldencast Acquisition Corp., A | United States | 279 | 2,757 | |||||||||
aWarburg Pincus Capital Corp. I-A, 12/31/27, wts. | Cayman Islands | 249 | 184 | |||||||||
aWarburg Pincus Capital Corp. I-B, 2/17/22, wts. | Cayman Islands | 3,090 | 1,947 | |||||||||
aZimmer Energy Transition Acquisition Corp., A | United States | 7,144 | 69,297 | |||||||||
aZimmer Energy Transition Acquisition Corp., A, 5/14/23, wts. | United States | 2,381 | 1,422 | |||||||||
|
| |||||||||||
32,417,461 | ||||||||||||
|
| |||||||||||
Diversified Telecommunication Services 0.0%† | ||||||||||||
BT Group PLC, A | United Kingdom | 1,079 | 2,692 | |||||||||
Telecom Italia SpA, RSP | Italy | 501,451 | 208,237 | |||||||||
Verizon Communications Inc. | United States | 962 | 51,631 | |||||||||
|
| |||||||||||
262,560 | ||||||||||||
|
| |||||||||||
Electric Utilities 2.2% | ||||||||||||
Constellation Energy Corp. | United States | 98,597 | 4,533,490 | |||||||||
Duke Energy Corp. | United States | 2,117 | 212,568 | |||||||||
aEnergy Harbor Corp. | United States | 84,890 | 4,248,744 | |||||||||
bExelon Corp. | United States | 174,403 | 7,422,592 | |||||||||
bFirstEnergy Corp. | United States | 40,157 | 1,680,570 | |||||||||
bNextEra Energy Inc. | United States | 68,401 | 5,353,746 | |||||||||
a,bPG&E Corp. | United States | 509,307 | 5,790,821 | |||||||||
|
| |||||||||||
29,242,531 | ||||||||||||
|
| |||||||||||
Electrical Equipment 0.9% | ||||||||||||
aArray Technologies Inc. | United States | 276,384 | 3,106,556 | |||||||||
bEmerson Electric Co. | United States | 32,878 | 3,055,024 | |||||||||
aEnergy Vault Holdings Inc., A, 12/31/27, wts. | United States | 5,186 | 7,727 | |||||||||
a,bEnovix Corp. | United States | 129,899 | 2,164,117 | |||||||||
aFluence Energy Inc., A | United States | 72,388 | 979,410 | |||||||||
aHeliogen Inc., 3/31/28, wts. | United States | 1,473 | 1,959 |
9
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Shares/ Warrants/ Rights | Value | ||||||||||
Common Stocks and Other Equity Interests (continued) | ||||||||||||
Electrical Equipment (continued) | ||||||||||||
aSES Ai Corp., A, 12/31/27, wts. | Singapore | 7,866 | $ | 7,040 | ||||||||
aShoals Technologies Group Inc., A | United States | 48,817 | 771,797 | |||||||||
aStem Inc. | United States | 4,021 | 38,280 | |||||||||
Vestas Wind Systems A/S | Denmark | 60,658 | 1,956,020 | |||||||||
|
| |||||||||||
12,087,930 | ||||||||||||
|
| |||||||||||
Electronic Equipment, Instruments & Components 0.2% | ||||||||||||
aCoherent Inc. | United States | 5,697 | 1,505,831 | |||||||||
aHollysys Automation Technologies Ltd. | China | 70,884 | 998,047 | |||||||||
|
| |||||||||||
2,503,878 | ||||||||||||
|
| |||||||||||
Entertainment 0.4% | ||||||||||||
dActivision Blizzard Inc. | United States | 11,523 | 939,124 | |||||||||
Electronic Arts Inc. | United States | 1,819 | 236,633 | |||||||||
aRoku Inc., A | United States | 4,975 | 694,162 | |||||||||
aSciPlay Corp., A | United States | 80,943 | 1,055,497 | |||||||||
aThe Walt Disney Co. | United States | 5,013 | 744,230 | |||||||||
aZynga Inc., A | United States | 173,135 | 1,572,066 | |||||||||
|
| |||||||||||
5,241,712 | ||||||||||||
|
| |||||||||||
Equity Real Estate Investment Trusts (REITs) 0.3% | ||||||||||||
American Tower Corp. | United States | 173 | 39,249 | |||||||||
aBraemar Hotels & Resorts Inc. | United States | 47 | 280 | |||||||||
Crown Castle International Corp. | United States | 291 | 48,478 | |||||||||
Cyrusone Inc. | United States | 25,767 | 2,328,049 | |||||||||
Gaming and Leisure Properties Inc. | United States | 1,084 | 49,224 | |||||||||
dSafehold Inc. | United States | 2,050 | 125,788 | |||||||||
Simon Property Group Inc. | United States | 329 | 45,257 | |||||||||
bVICI Properties Inc. | United States | 31,567 | 882,613 | |||||||||
|
| |||||||||||
3,518,938 | ||||||||||||
|
| |||||||||||
Food & Staples Retailing 0.5% | ||||||||||||
bCostco Wholesale Corp. | United States | 13,367 | 6,940,815 | |||||||||
Walmart Inc. | United States | 1,099 | 148,541 | |||||||||
|
| |||||||||||
7,089,356 | ||||||||||||
|
| |||||||||||
Food Products 0.4% | ||||||||||||
dArcher-Daniels-Midland Co. | United States | 217 | 17,024 | |||||||||
aBenson Hill Inc., 12/24/25, wts. | United States | 15,275 | 6,874 | |||||||||
Nestle SA | Switzerland | 36,068 | 4,699,507 | |||||||||
dTyson Foods Inc., A | United States | 513 | 47,534 | |||||||||
|
| |||||||||||
4,770,939 | ||||||||||||
|
| |||||||||||
Gas Utilities 0.1% | ||||||||||||
Hong Kong & China Gas Co. Ltd. | Hong Kong | 611,396 | 924,582 | |||||||||
|
| |||||||||||
Health Care Equipment & Supplies 1.0% | ||||||||||||
Abbott Laboratories | United States | 13,970 | 1,685,061 | |||||||||
aAlign Technology Inc. | United States | 1,444 | 738,548 | |||||||||
aAlphatec Holdings Inc. | United States | 123 | 1,355 | |||||||||
aAxonics Inc. | United States | 9,832 | 558,064 | |||||||||
aBiolife Solutions Inc. | United States | 8,402 | 197,447 | |||||||||
CONMED Corp. | United States | 4,510 | 659,182 | |||||||||
aCryoport Inc. | United States | 5,676 | 194,857 | |||||||||
a,bDexCom Inc. | United States | 3,453 | 1,429,231 | |||||||||
aEnvista Holdings Corp., W | United States | 17,029 | 817,392 | |||||||||
aHologic Inc. | United States | 10,375 | 738,389 | |||||||||
a,cInari Medical Inc. | United States | 3,920 | 344,882 | |||||||||
aIntuitive Surgical Inc. | United States | 4,357 | 1,264,968 | |||||||||
aLivaNova PLC | United States | 7,807 | 615,348 | |||||||||
aNuVasive Inc. | United States | 8,322 | 450,387 |
10
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Shares/ Warrants/ Rights | Value | ||||||||||
Common Stocks and Other Equity Interests (continued) |
| |||||||||||
Health Care Equipment & Supplies (continued) |
| |||||||||||
aOutset Medical Inc. | United States | 10,176 | $ | 447,439 | ||||||||
a,bShockwave Medical Inc. | United States | 8,154 | 1,445,133 | |||||||||
bStryker Corp. | United States | 4,763 | 1,254,336 | |||||||||
aTandem Diabetes Care Inc. | United States | 4,355 | 490,504 | |||||||||
|
| |||||||||||
13,332,523 | ||||||||||||
|
| |||||||||||
Health Care Providers & Services 1.0% | ||||||||||||
aCentene Corp. | United States | 26,239 | 2,167,866 | |||||||||
dCVS Health Corp. | United States | 19,526 | 2,023,870 | |||||||||
Humana Inc. | United States | 5,269 | 2,288,432 | |||||||||
aR1 RCM Inc. | United States | 11,823 | 321,468 | |||||||||
UnitedHealth Group Inc. | United States | 14,321 | 6,814,934 | |||||||||
|
| |||||||||||
13,616,570 | ||||||||||||
|
| |||||||||||
Health Care Technology 0.3% | ||||||||||||
aBilibili Inc., Z | China | 246 | 7,685 | |||||||||
Cerner Corp. | United States | 43,083 | 4,017,490 | |||||||||
aInspire Medical Systems Inc. | United States | 1,154 | 281,645 | |||||||||
aPear Therapeutics Inc., 12/1/26, wts. | United States | 18,516 | 14,155 | |||||||||
aPhreesia Inc. | United States | 12,639 | 389,155 | |||||||||
|
| |||||||||||
4,710,130 | ||||||||||||
|
| |||||||||||
Hotels, Restaurants & Leisure 0.6% | ||||||||||||
aAirbnb Inc., A | United States | 13,670 | 2,070,868 | |||||||||
a,eAspire Global PLC, 144A | Malta | 100,314 | 1,154,355 | |||||||||
aBooking Holdings Inc. | United States | 50 | 108,613 | |||||||||
aBowlero Corp. | United States | 1,726 | 17,277 | |||||||||
a,cCarnival Corp. | United States | 1,409 | 28,645 | |||||||||
aChipotle Mexican Grill Inc., A | United States | 557 | 848,506 | |||||||||
aCrown Resorts Ltd. | Australia | 262,028 | 2,368,156 | |||||||||
Domino’s Pizza Inc. | United States | 2,220 | 959,506 | |||||||||
aEntain PLC | United Kingdom | 12,720 | 285,977 | |||||||||
aHomeToGo SE, 12/31/25, wts. | Luxembourg | 716 | 401 | |||||||||
McDonald’s Corp. | United States | 559 | 136,826 | |||||||||
aNorwegian Cruise Line Holdings Ltd. | United States | 1,314 | 25,610 | |||||||||
aRoyal Caribbean Cruises Ltd. | United States | 896 | 72,325 | |||||||||
aSonder Holdings Inc., 1/31/28, wts. | United States | 3,948 | 3,988 | |||||||||
Starbucks Corp. | United States | 1,067 | 97,940 | |||||||||
aTrip.Com Group Ltd. | China | 574 | 15,078 | |||||||||
aWynn Resorts Ltd. | United States | 604 | 52,258 | |||||||||
Yum China Holdings Inc. | China | 306 | 15,918 | |||||||||
|
| |||||||||||
8,262,247 | ||||||||||||
|
| |||||||||||
Household Durables 0.2% | ||||||||||||
aSkyline Champion Corp. | United States | 33,411 | 2,246,556 | |||||||||
|
| |||||||||||
Household Products 0.0%† | ||||||||||||
dThe Procter & Gamble Co. | United States | 1,700 | 265,013 | |||||||||
|
| |||||||||||
Independent Power & Renewable Electricity Producers 1.2% | ||||||||||||
bThe AES Corp. | United States | 426,779 | 9,060,518 | |||||||||
Clearway Energy Inc., A | United States | 1,414 | 43,254 | |||||||||
bClearway Energy Inc., C | United States | 36,577 | 1,221,672 | |||||||||
NextEra Energy Partners LP | United States | 41,328 | 3,223,997 | |||||||||
aSunnova Energy International Inc. | United States | 38,804 | 781,901 | |||||||||
bVistra Corp. | United States | 88,138 | 2,011,309 | |||||||||
|
| |||||||||||
16,342,651 | ||||||||||||
|
| |||||||||||
Industrial Conglomerates 0.1% | ||||||||||||
Smiths Group PLC | United Kingdom | 17,888 | 364,926 |
11
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Shares/ Warrants/ Rights | Value | ||||||||||
Common Stocks and Other Equity Interests (continued) | ||||||||||||
Industrial Conglomerates (continued) | ||||||||||||
Toshiba Corp. | Japan | 9,747 | $ | 388,611 | ||||||||
|
| |||||||||||
753,537 | ||||||||||||
|
| |||||||||||
Insurance 0.1% | ||||||||||||
Fidelity National Financial Inc. | United States | 977 | 46,544 | |||||||||
Old Republic International Corp. | United States | 1,894 | 49,907 | |||||||||
Ping An Insurance Group Co. of China Ltd., H | China | 11,900 | 92,268 | |||||||||
a,cTrupanion Inc. | United States | 14,087 | 1,262,618 | |||||||||
aWillis Towers Watson PLC | United States | 1,939 | 431,040 | |||||||||
|
| |||||||||||
1,882,377 | ||||||||||||
|
| |||||||||||
Interactive Media & Services 1.4% | ||||||||||||
a,bAlphabet Inc., A | United States | 3,623 | 9,786,231 | |||||||||
aAlphabet Inc., C | United States | 587 | 1,583,620 | |||||||||
a,cfuboTV Inc. | United States | 4,900 | 41,895 | |||||||||
a,eKuaishou Technology, B, 144A | China | 1,600 | 18,516 | |||||||||
aMatch Group Inc. | United States | 2,424 | 270,252 | |||||||||
a,bMeta Platforms Inc., A | United States | 18,781 | 3,963,355 | |||||||||
aSystem1 Inc., 12/31/25, wts. | United States | 21,418 | 30,413 | |||||||||
Tencent Holdings Ltd. | China | 56,672 | 3,058,096 | |||||||||
aWejo Group Ltd., 11/18/26, wts. | United States | 11,187 | 6,376 | |||||||||
|
| |||||||||||
18,758,754 | ||||||||||||
|
| |||||||||||
Internet & Direct Marketing Retail 0.8% | ||||||||||||
a,bAlibaba Group Holding Ltd., ADR | China | 23,106 | 2,353,678 | |||||||||
aAmazon.com Inc. | United States | 1,626 | 4,993,869 | |||||||||
aCazoo Group Ltd., 8/26/26, wts. | Cayman Islands | 19,178 | 10,807 | |||||||||
a,eDeliveroo PLC, A, 144A | United Kingdom | 144,586 | 246,771 | |||||||||
beBay Inc. | United States | 38,325 | 2,092,162 | |||||||||
aEtsy Inc. | United States | 2,562 | 396,828 | |||||||||
aJD.Com Inc., A | China | 3,156 | 112,730 | |||||||||
a,eMeituan, B, 144A | China | 500 | 11,108 | |||||||||
aMercadoLibre Inc. | Argentina | 107 | 120,552 | |||||||||
aPinduoduo Inc., ADR | China | 191 | 9,905 | |||||||||
aTHG PLC, B | United Kingdom | 217,628 | 311,728 | |||||||||
|
| |||||||||||
10,660,138 | ||||||||||||
|
| |||||||||||
IT Services 1.9% | ||||||||||||
Accenture PLC, A | United States | 137 | 43,295 | |||||||||
Automatic Data Processing Inc. | United States | 154 | 31,484 | |||||||||
aCore Scientific Inc., 2/12/28, wts. | United States | 1,383 | 3,637 | |||||||||
aFleetCor Technologies Inc. | United States | 6,459 | 1,512,698 | |||||||||
Genpact Ltd. | United States | 35,864 | 1,500,550 | |||||||||
Global Payments Inc. | United States | 29,042 | 3,873,622 | |||||||||
Link Administration Holdings Ltd. | Australia | 702,886 | 2,707,682 | |||||||||
dMasterCard Inc., A | United States | 18,858 | 6,804,343 | |||||||||
aMoneyGram International Inc. | United States | 25,038 | 268,908 | |||||||||
a,cMongoDB Inc., A | United States | 5,329 | 2,035,625 | |||||||||
a,eNuvei Corp., 144A | Canada | 23,571 | 1,279,670 | |||||||||
a,bPayPal Holdings Inc. | United States | 16,147 | 1,807,334 | |||||||||
aShopify Inc., A | Canada | 2,224 | 1,544,034 | |||||||||
aTwilio Inc., A | United States | 13,740 | 2,401,752 | |||||||||
c,dVisa Inc., A | United States | 967 | 208,988 | |||||||||
|
| |||||||||||
26,023,622 | ||||||||||||
|
| |||||||||||
Leisure Products 0.2% | ||||||||||||
aAccell Group NV | Netherlands | 7,181 | 463,440 | |||||||||
a,b,dCallaway Golf Co. | United States | 55,500 | 1,373,070 | |||||||||
aPeloton Interactive Inc., A | United States | 8,000 | 232,480 |
12
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Shares/ Warrants/ Rights | Value | ||||||||||
Common Stocks and Other Equity Interests (continued) | ||||||||||||
Leisure Products (continued) | ||||||||||||
aTonies SE, A, 4/30/26, wts. | Germany | 41,605 | $ | 60,644 | ||||||||
|
| |||||||||||
2,129,634 | ||||||||||||
|
| |||||||||||
Life Sciences Tools & Services 1.7% | ||||||||||||
a,bBIO-RAD Laboratories Inc., A | United States | 814 | 509,532 | |||||||||
Danaher Corp., W | United States | 24,559 | 6,739,235 | |||||||||
Eurofins Scientific SE | Luxembourg | 28,085 | 2,850,007 | |||||||||
Gerresheimer AG | Germany | 9,835 | 707,093 | |||||||||
aIQVIA Holdings Inc. | United States | 1,603 | 368,882 | |||||||||
aMettler-Toledo International Inc. | United States | 5,046 | 7,108,502 | |||||||||
a,ePolypeptide Group AG, 144A | United States | 2,417 | 214,623 | |||||||||
aQIAGEN NV | United States | 4,939 | 245,419 | |||||||||
aRepligen Corp. | United States | 1,715 | 337,341 | |||||||||
Thermo Fisher Scientific Inc. | United States | 6,941 | 3,775,904 | |||||||||
a,eWuxi Biologics Cayman Inc., 144A | China | 1,000 | 8,271 | |||||||||
|
| |||||||||||
22,864,809 | ||||||||||||
|
| |||||||||||
Machinery 0.3% | ||||||||||||
aBerkshire Grey Inc., 7/21/26, wts. | United States | 23,782 | 10,402 | |||||||||
Caterpillar Inc. | United States | 241 | 45,207 | |||||||||
aCNH Industrial NV | United Kingdom | 23,561 | 337,629 | |||||||||
Deere & Co. | United States | 6,731 | 2,423,295 | |||||||||
aFast Radius Inc., 2/11/28, wts. | United States | 2,678 | 532 | |||||||||
aIveco Group NV | Italy | 4,712 | 39,334 | |||||||||
a,c,dNikola Corp. | United States | 6,863 | 54,218 | |||||||||
dSPX FLOW Inc. | United States | 12,916 | 1,109,355 | |||||||||
aVelo3d Inc., 12/1/25, wts. | United States | 14,863 | 27,199 | |||||||||
|
| |||||||||||
4,047,171 | ||||||||||||
|
| |||||||||||
Media 0.5% | ||||||||||||
a,bAltice USA Inc., A | United States | 38,956 | 450,331 | |||||||||
a,cCardlytics Inc. | United States | 14,308 | 829,864 | |||||||||
Comcast Corp., A | United States | 1,019 | 47,648 | |||||||||
aInnovid Corp., A, 12/31/27, wts. | Israel | 69 | 31 | |||||||||
dThe Interpublic Group of Cos. Inc. | United States | 1,348 | 49,606 | |||||||||
aITV PLC | United Kingdom | 293,248 | 432,057 | |||||||||
Nexstar Media Group Inc., A | United States | 108 | 19,985 | |||||||||
Omnicom Group Inc. | United States | 563 | 47,230 | |||||||||
Shaw Communications Inc., B | Canada | 142,899 | 4,285,279 | |||||||||
Stroeer SE & Co. KGaA | Germany | 1,613 | 121,673 | |||||||||
aTechtarget Inc. | United States | 5,441 | 426,466 | |||||||||
Tegna Inc. | United States | 10,249 | 234,907 | |||||||||
|
| |||||||||||
6,945,077 | ||||||||||||
|
| |||||||||||
Metals & Mining 0.1% | ||||||||||||
aHitachi Metals Ltd. | Japan | 49,017 | 873,753 | |||||||||
dNucor Corp. | United States | 453 | 59,624 | |||||||||
aWestern Areas Ltd. | Australia | 376,197 | 940,100 | |||||||||
|
| |||||||||||
1,873,477 | ||||||||||||
|
| |||||||||||
Multiline Retail 0.1% | ||||||||||||
b,dKohl’s Corp. | United States | 15,885 | 883,524 | |||||||||
|
| |||||||||||
Oil, Gas & Consumable Fuels 0.8% | ||||||||||||
aBattalion Oil Corp. | United States | 3,790 | 70,494 | |||||||||
California Resources Corp. | United States | 5,609 | 231,259 | |||||||||
Chesapeake Energy Corp. | United States | 30,507 | 2,356,666 | |||||||||
dChevron Corp. | United States | 425 | 61,200 | |||||||||
China Petroleum & Chemical Corp., H | China | 1,007,805 | 501,370 | |||||||||
dConocoPhillips | United States | 683 | 64,789 |
13
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Shares/ Warrants/ Rights | Value | ||||||||||
Common Stocks and Other Equity Interests (continued) | ||||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||
dEOG Resources Inc. | United States | 424 | $ | 48,726 | ||||||||
dExxon Mobil Corp. | United States | 612 | 47,993 | |||||||||
Gazprom PJSC, ADR | Russia | 307,580 | 944,271 | |||||||||
PetroChina Co. Ltd., H | China | 1,051,643 | 563,287 | |||||||||
aRenewable Energy Group Inc. | United States | 5,368 | 330,132 | |||||||||
Senex Energy Ltd. | Australia | 939,813 | 3,136,302 | |||||||||
dValero Energy Corp. | United States | 179 | 14,948 | |||||||||
Z Energy Ltd. | New Zealand | 834,502 | 2,055,232 | |||||||||
|
| |||||||||||
10,426,669 | ||||||||||||
|
| |||||||||||
Personal Products 0.4% | ||||||||||||
The Estee Lauder Cos. Inc., A | United States | 406 | 120,310 | |||||||||
L’Oreal SA | France | 5,138 | 2,031,177 | |||||||||
aUnilever PLC | United Kingdom | 69,340 | 3,479,104 | |||||||||
|
| |||||||||||
5,630,591 | ||||||||||||
|
| |||||||||||
Pharmaceuticals 1.4% | ||||||||||||
aArvinas Inc. | United States | 4,364 | 282,831 | |||||||||
AstraZeneca PLC, ADR | United Kingdom | 16,278 | 991,005 | |||||||||
dBristol-Myers Squibb Co. | United States | 35,472 | 2,435,863 | |||||||||
aCatalent Inc. | United States | 2,400 | 244,896 | |||||||||
Eli Lilly & Co., W | United States | 4,137 | 1,034,043 | |||||||||
Hikma Pharmaceuticals PLC | Jordan | 19,075 | 531,047 | |||||||||
Johnson & Johnson | United States | 1,468 | 241,589 | |||||||||
Merck & Co. Inc. | United States | 659 | 50,466 | |||||||||
bNovo Nordisk AS, ADR | Denmark | 14,878 | 1,531,690 | |||||||||
Pfizer Inc. | United States | 5,342 | 250,753 | |||||||||
a,cRevance Therapeutics Inc. | United States | 20,944 | 284,210 | |||||||||
Roche Holding AG | Switzerland | 13,876 | 5,255,308 | |||||||||
Vifor Pharma AG | Switzerland | 28,242 | 4,957,302 | |||||||||
Zoetis Inc., A | United States | 4,825 | 934,361 | |||||||||
|
| |||||||||||
19,025,364 | ||||||||||||
|
| |||||||||||
Professional Services 0.5% | ||||||||||||
a51job Inc., ADR | China | 12,414 | 643,045 | |||||||||
aClarivate PLC | United States | 92 | 1,378 | |||||||||
a,eIntertrust NV, 144A | Netherlands | 241,234 | 5,251,135 | |||||||||
SGS SA | Switzerland | 208 | 595,161 | |||||||||
|
| |||||||||||
6,490,719 | ||||||||||||
|
| |||||||||||
Real Estate Management & Development 0.0%† | ||||||||||||
Immofinanz AG | Austria | 17,915 | 461,604 | |||||||||
aWework Inc., A | United States | 1,902 | 12,173 | |||||||||
|
| |||||||||||
473,777 | ||||||||||||
|
| |||||||||||
Road & Rail 1.7% | ||||||||||||
Canadian Pacific Railway Ltd. | Canada | 115,217 | 8,097,451 | |||||||||
CSX Corp. | United States | 70,708 | 2,397,708 | |||||||||
a,b,c,dHertz Global Holdings Inc. | United States | 93,646 | 1,902,887 | |||||||||
Norfolk Southern Corp. | United States | 174 | 44,635 | |||||||||
aUber Technologies Inc. | United States | 64,398 | 2,320,260 | |||||||||
b,dUnion Pacific Corp. | United States | 29,895 | 7,352,675 | |||||||||
aXPO Logistics Inc. | United States | 17,334 | 1,259,835 | |||||||||
|
| |||||||||||
23,375,451 | ||||||||||||
|
| |||||||||||
Semiconductors & Semiconductor Equipment 1.4% | ||||||||||||
aAdvanced Micro Devices Inc. | United States | 22,287 | 2,748,878 | |||||||||
Applied Materials Inc. | United States | 1,087 | 145,875 | |||||||||
ASML Holding NV, G | Netherlands | 2,972 | 1,980,868 | |||||||||
Azenta Inc. | United States | 3,070 | 268,686 |
14
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Shares/ Warrants/ Rights | Value | ||||||||||
Common Stocks and Other Equity Interests (continued) | ||||||||||||
Semiconductors & Semiconductor Equipment (continued) | ||||||||||||
Broadcom Inc. | United States | 79 | $ | 46,408 | ||||||||
aEnphase Energy Inc. | United States | 8,462 | 1,410,615 | |||||||||
dKLA Corp. | United States | 4,450 | 1,550,826 | |||||||||
LAM Research Corp. | United States | 73 | 40,979 | |||||||||
Marvell Technology Inc. | United States | 52,201 | 3,566,894 | |||||||||
Microchip Technology Inc. | United States | 582 | 40,932 | |||||||||
Micron Technology Inc. | United States | 36,845 | 3,274,047 | |||||||||
Monolithic Power Systems Inc. | United States | 102 | 46,787 | |||||||||
NVIDIA Corp. | United States | 10,785 | 2,629,922 | |||||||||
NXP Semiconductors NV | China | 223 | 42,397 | |||||||||
dQUALCOMM Inc. | United States | 1,135 | 195,209 | |||||||||
aSolarEdge Technologies Inc. | United States | 3,355 | 1,071,654 | |||||||||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | Taiwan | 160 | 17,122 | |||||||||
Texas Instruments Inc. | United States | 278 | 47,257 | |||||||||
|
| |||||||||||
19,125,356 | ||||||||||||
|
| |||||||||||
Software 4.4% | ||||||||||||
aAdobe Inc. | United States | 2,849 | 1,332,420 | |||||||||
aAtlassian Corp. PLC, A | United States | 5,165 | 1,579,044 | |||||||||
aAutodesk Inc. | United States | 272 | 59,903 | |||||||||
aAvalara Inc. | United States | 17,428 | 1,810,944 | |||||||||
aBottomline Technologies de Inc. | United States | 126 | 7,137 | |||||||||
a,b,dBox Inc., A | United States | 26,690 | 683,531 | |||||||||
aCeridian HCM Holding Inc. | United States | 30,558 | 2,227,984 | |||||||||
aDave Inc., 9/3/26, wts. | United States | 1,608 | 965 | |||||||||
aDynatrace Inc. | United States | 82,319 | 3,656,610 | |||||||||
aEmbark Technology Inc., 12/31/27, wts. | United States | 871 | 653 | |||||||||
aFive9 Inc. | United States | 40,080 | 4,408,800 | |||||||||
aHubSpot Inc. | United States | 6,034 | 3,167,850 | |||||||||
bIntuit Inc. | United States | 8,782 | 4,165,917 | |||||||||
aIronSource Ltd. | Israel | 23,163 | 137,820 | |||||||||
aLightspeed Commerce Inc. | Canada | 58,628 | 1,540,158 | |||||||||
aLivevox Holdings Inc., 6/18/26, wts. | United States | 23,891 | 15,565 | |||||||||
aMarathon Digital Holdings Inc. | United States | 17,703 | 448,771 | |||||||||
bMcAfee Corp., A | United States | 1,697 | 44,105 | |||||||||
bMicrosoft Corp. | United States | 25,629 | 7,657,689 | |||||||||
a,dMimecast Ltd. | United States | 21,854 | 1,738,049 | |||||||||
a,bNuance Communications Inc. | United States | 163,314 | 9,067,193 | |||||||||
Oracle Corp. | United States | 628 | 47,709 | |||||||||
aPalo Alto Networks Inc. | United States | 5,084 | 3,021,167 | |||||||||
aSalesforce.com Inc. | United States | 5,265 | 1,108,440 | |||||||||
SAP SE | Germany | 65,387 | 7,375,919 | |||||||||
aServiceNow Inc. | United States | 2,607 | 1,511,851 | |||||||||
a,bVonage Holdings Corp. | United States | 106,034 | 2,154,610 | |||||||||
aZendesk Inc. | United States | 2,750 | 320,843 | |||||||||
|
| |||||||||||
59,291,647 | ||||||||||||
|
| |||||||||||
Specialty Retail 1.4% | ||||||||||||
b,dBath & Body Works Inc. | United States | 23,341 | 1,245,709 | |||||||||
aFive Below Inc. | United States | 7,034 | 1,150,833 | |||||||||
aFloor & Decor Holdings Inc., A | United States | 26,662 | 2,549,420 | |||||||||
aFrasers Group PLC | United Kingdom | 180,900 | 1,529,803 | |||||||||
The Home Depot Inc. | United States | 20,179 | 6,373,134 | |||||||||
Lowe’s Cos. Inc. | United States | 197 | 43,549 | |||||||||
Ross Stores Inc. | United States | 519 | 47,431 | |||||||||
The TJX Cos. Inc. | United States | 679 | 44,882 | |||||||||
Tractor Supply Co. | United States | 14,204 | 2,894,633 | |||||||||
a,b,cVictoria’s Secret & Co. | United States | 4,870 | 261,178 |
15
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Shares/ Warrants/ Rights | Value | ||||||||||
Common Stocks and Other Equity Interests (continued) | ||||||||||||
Specialty Retail (continued) | ||||||||||||
a,eWatches of Switzerland Group PLC, 144A | United Kingdom | 181,329 | $ | 2,905,091 | ||||||||
|
| |||||||||||
19,045,663 | ||||||||||||
|
| |||||||||||
Technology Hardware, Storage & Peripherals 0.0%† | ||||||||||||
dApple Inc. | United States | 1,414 | 233,480 | |||||||||
a,eXiaomi Corp., B, 144A | China | 6,400 | 12,046 | |||||||||
|
| |||||||||||
245,526 | ||||||||||||
|
| |||||||||||
Textiles, Apparel & Luxury Goods 0.7% | ||||||||||||
Adidas AG | Germany | 15,140 | 3,579,732 | |||||||||
aCapri Holdings Ltd. | United States | 46,992 | 3,183,238 | |||||||||
aErmenegildo Zegna Holditalia SpA, 10/30/27, wts. | Italy | 2,150 | 4,451 | |||||||||
Hermes International | France | 588 | 810,874 | |||||||||
LVMH Moet Hennessy Louis Vuitton SE | France | 174 | 127,874 | |||||||||
Nike Inc., B | United States | 1,157 | 157,988 | |||||||||
a,eSamsonite International SA, 144A | United States | 35,674 | 79,877 | |||||||||
bTapestry Inc. | United States | 43,737 | 1,788,843 | |||||||||
|
| |||||||||||
9,732,877 | ||||||||||||
|
| |||||||||||
Trading Companies & Distributors 0.5% | ||||||||||||
Brenntag SE | Germany | 42,109 | 3,530,105 | |||||||||
Herc Holdings Inc. | United States | 20,828 | 3,314,151 | |||||||||
IMCD Group NV | Netherlands | 2,995 | 486,512 | |||||||||
|
| |||||||||||
7,330,768 | ||||||||||||
|
| |||||||||||
Transportation Infrastructure 0.5% | ||||||||||||
aAtlantia SpA | Italy | 85,909 | 1,580,320 | |||||||||
aSydney Airport | Australia | 845,054 | 5,370,426 | |||||||||
|
| |||||||||||
6,950,746 | ||||||||||||
|
| |||||||||||
Water Utilities 0.3% | ||||||||||||
bEssential Utilities Inc. | United States | 43,089 | 2,029,923 | |||||||||
Guangdong Investment Ltd. | China | 1,272,652 | 1,712,602 | |||||||||
|
| |||||||||||
3,742,525 | ||||||||||||
|
| |||||||||||
Wireless Telecommunication Services 0.1% | ||||||||||||
aT-Mobile USA Inc. | United States | 5,665 | 697,985 | |||||||||
Vodafone Group PLC, ADR | United Kingdom | 69,788 | 1,235,247 | |||||||||
|
| |||||||||||
1,933,232 | ||||||||||||
|
| |||||||||||
Total Common Stocks and Other Equity Interests | 554,456,313 | |||||||||||
|
| |||||||||||
Convertible Preferred Stocks 0.1% | ||||||||||||
Banks 0.1% | ||||||||||||
Bank of America Corp., 7.25%, cvt. pfd., L | United States | 206 | 271,418 | |||||||||
Wells Fargo & Co., 7.50%, cvt. pfd., L | United States | 268 | 362,368 | |||||||||
|
| |||||||||||
633,786 | ||||||||||||
|
| |||||||||||
Diversified Telecommunication Services 0.0%† | ||||||||||||
e2020 Cash Mandatory Exchangeable Trust, 5.25%, cvt. pfd., 144A | United States | 250 | 271,000 | |||||||||
|
| |||||||||||
Gas Utilities 0.0%† | ||||||||||||
El Paso Energy Capital Trust I, 4.75%, cvt. pfd. | United States | 114 | 5,626 | |||||||||
|
| |||||||||||
Total Convertible Preferred Stocks (Cost $973,388) | 910,412 | |||||||||||
|
| |||||||||||
Preferred Stocks 0.0%† | ||||||||||||
Communications Equipment 0.0%† | ||||||||||||
aRiverbed Technology Inc., pfd., A | United States | 3,699 | 49,012 | |||||||||
|
|
16
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Shares | Value | ||||||||||||
Preferred Stocks (continued) | ||||||||||||||
Diversified Financial Services 0.0%† | ||||||||||||||
a2MX Organic SA, pfd. | France | 3,964 | $ | 43,469 | ||||||||||
|
| |||||||||||||
Professional Services 0.0%† | ||||||||||||||
Clarivate PLC, 5.25%, pfd. | United Kingdom | 2,289 | 140,224 | |||||||||||
|
| |||||||||||||
Thrifts & Mortgage Finance 0.0%† | ||||||||||||||
FHLMC, pfd., | ||||||||||||||
O, 5.81% | United States | 17,150 | 64,141 | |||||||||||
Z, 8.375% | United States | 8,177 | 19,543 | |||||||||||
FNMA, pfd., | ||||||||||||||
aO | United States | 16,250 | 73,125 | |||||||||||
S, 8.25% | United States | 15,150 | 40,147 | |||||||||||
|
| |||||||||||||
196,956 | ||||||||||||||
|
| |||||||||||||
Total Preferred Stocks (Cost $614,626) | 429,661 | |||||||||||||
|
| |||||||||||||
Principal Amount* | ||||||||||||||
|
|
| ||||||||||||
Convertible Bonds 15.1% | ||||||||||||||
Aerospace & Defense 0.3% | ||||||||||||||
Kaman Corp., senior note, 3.25%, 5/01/24 | United States | 1,607,000 | 1,683,332 | |||||||||||
b,cParsons Corp., senior note, 0.25%, 8/15/25 | United States | 1,267,000 | 1,275,616 | |||||||||||
eVirgin Galactic Holdings Inc., senior note, 144A, 2.50%, 2/01/27 | United States | 487,000 | 468,738 | |||||||||||
|
| |||||||||||||
3,427,686 | ||||||||||||||
|
| |||||||||||||
Air Freight & Logistics 0.2% | ||||||||||||||
Air Transport Services Group Inc., senior note, 1.125%, 10/15/24 | United States | 906,000 | 1,036,393 | |||||||||||
Atlas Air Worldwide Holdings Inc., senior note, 2.25%, 6/01/22 | United States | 1,915,000 | 2,065,136 | |||||||||||
|
| |||||||||||||
3,101,529 | ||||||||||||||
|
| |||||||||||||
Airlines 0.3% | ||||||||||||||
eAir France-KLM, senior note, Reg S, 0.125%, 3/25/26 | France | 32,034 | EUR | 590,243 | ||||||||||
e Cathay Pacific Finance III Ltd., senior note, Reg S, 2.75%, 2/05/26 | Hong Kong | 10,000,000 | HKD | 1,236,787 | ||||||||||
eGOL Equity Finance SA, senior note, 144A, 3.75%, 7/15/24 | Brazil | 1,269,000 | 1,095,147 | |||||||||||
eJetblue Airways Corp., senior note, 144A, 0.50%, 4/01/26 | United States | 357,000 | 344,505 | |||||||||||
Southwest Airlines Co., senior note, 1.25%, 5/01/25 | United States | 380,000 | 509,295 | |||||||||||
Spirit Airlines Inc., senior note, 1.00%, 5/15/26 | United States | 189,000 | 175,959 | |||||||||||
|
| |||||||||||||
3,951,936 | ||||||||||||||
|
| |||||||||||||
Auto Components 0.1% | ||||||||||||||
eLuminar Technologies Inc., senior note, 144A, 1.25%, 12/15/26 | United States | 766,000 | 734,403 | |||||||||||
cPatrick Industries Inc., senior note, 1.00%, 2/01/23 | United States | 897,000 | 957,099 | |||||||||||
|
| |||||||||||||
1,691,502 | ||||||||||||||
|
| |||||||||||||
Automobiles 0.5% | ||||||||||||||
eFisker Inc., senior note, 144A, 2.50%, 9/15/26 | United States | 1,626,000 | 1,363,329 | |||||||||||
eLi Auto Inc., senior note, 144A, 0.25%, 5/01/28 | China | 1,049,000 | 1,364,749 | |||||||||||
eLucid Group Inc., senior note, 144A, 1.25%, 12/15/26 | United States | 2,826,000 | 2,272,104 | |||||||||||
NFI Group Inc., 5.00%, 1/15/27 | Canada | 558,000 | CAD | 439,708 | ||||||||||
NIO Inc., senior note, zero cpn., 2/01/26 | China | 1,799,000 | 1,548,690 | |||||||||||
|
| |||||||||||||
6,988,580 | ||||||||||||||
|
| |||||||||||||
Banks 0.3% | �� | |||||||||||||
bHope Bancorp Inc., senior bond, 2.00%, 5/15/38 | United States | 2,536,000 | 2,532,957 | |||||||||||
eJPMorgan Chase Bank NA, senior note, | ||||||||||||||
144A, 0.125%, 1/01/23 | United States | 326,000 | 322,740 | |||||||||||
Reg S, zero cpn., 12/28/23 | United States | 1,200,000 | 1,185,600 | |||||||||||
|
| |||||||||||||
4,041,297 | ||||||||||||||
|
|
17
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* | Value | ||||||||||||
Convertible Bonds (continued) | ||||||||||||||
Biotechnology 1.0% | ||||||||||||||
eAvid SPV LLC, senior note, 144A, 1.25%, 3/15/26 | United States | 953,000 | $ | 1,176,896 | ||||||||||
cBioMarin Pharmaceutical Inc., senior sub. note, 1.25%, 5/15/27 | United States | 896,000 | 918,656 | |||||||||||
Coherus Biosciences Inc., senior sub. note, 1.50%, 4/15/26 | United States | 1,300,000 | 1,252,550 | |||||||||||
eDynavax Technologies Corp., senior note, 144A, 2.50%, 5/15/26 | United States | 1,524,000 | 2,255,487 | |||||||||||
eGlobal Blood Therapeutics Inc., senior note, 144A, 1.875%, 12/15/28 | United States | 98,000 | 118,825 | |||||||||||
Gossamer Bio Inc., senior note, 5.00%, 6/01/27 | United States | 832,000 | 702,208 | |||||||||||
Insmed Inc., senior note, 0.75%, 6/01/28 | United States | 1,400,000 | 1,374,800 | |||||||||||
e Intercept Pharmaceuticals Inc., senior secured note, 144A, 3.50%, 2/15/26 | United States | 1,371,000 | 1,384,022 | |||||||||||
eIonis Pharmaceuticals Inc., senior note, 144A, zero cpn., 4/01/26 | United States | 1,649,000 | 1,488,388 | |||||||||||
Karyopharm Therapeutics Inc., senior note, 3.00%, 10/15/25 | United States | 1,044,000 | 996,498 | |||||||||||
eMannkind Corp., senior note, 144A, 2.50%, 3/01/26 | United States | 1,357,000 | 1,182,253 | |||||||||||
ePharming Group NV, senior note, Reg S, 3.00%, 1/21/25 | Netherlands | 700,000 | EUR | 696,335 | ||||||||||
|
| |||||||||||||
13,546,918 | ||||||||||||||
|
| |||||||||||||
Capital Markets 0.1% | ||||||||||||||
eSGX Treasury I Pte Ltd., senior note, Reg S, zero cpn., 3/01/24 | Singapore | 1,200,000 | EUR | 1,373,268 | ||||||||||
|
| |||||||||||||
Chemicals 0.1% | ||||||||||||||
eAmyris Inc., senior note, 144A, 1.50%, 11/15/26 | United States | 1,818,000 | 1,336,230 | |||||||||||
eDanimer Scientific Inc., senior note, 144A, 3.25%, 12/15/26 | United States | 594,000 | 440,748 | |||||||||||
|
| |||||||||||||
1,776,978 | ||||||||||||||
|
| |||||||||||||
Consumer Finance 0.8% | ||||||||||||||
Encore Capital Group Inc., senior note, 3.25%, 3/15/22 | United States | 2,309,000 | 3,403,466 | |||||||||||
EZCORP Inc., senior note, 2.875%, 7/01/24 | United States | 1,003,000 | 975,417 | |||||||||||
PRA Group Inc., senior note, 3.50%, 6/01/23 | United States | 2,134,000 | 2,374,075 | |||||||||||
eSoFi Technologies Inc., senior note, 144A, zero cpn., 10/15/26 | United States | 1,321,000 | 1,188,966 | |||||||||||
eUpstart Holdings Inc., senior note, 144A, 0.25%, 8/15/26 | United States | 2,174,000 | 2,129,216 | |||||||||||
eZip Co. Ltd., senior note, Reg S, zero cpn., 4/23/28 | Australia | 800,000 | AUD | 374,952 | ||||||||||
|
| |||||||||||||
10,446,092 | ||||||||||||||
|
| |||||||||||||
Diversified Consumer Services 0.2% | ||||||||||||||
Chegg Inc., senior note, | ||||||||||||||
0.125%, 3/15/25 | United States | 237,000 | 230,483 | |||||||||||
zero cpn., 9/01/26 | United States | 2,213,000 | 1,814,660 | |||||||||||
Stride Inc., senior note, 1.125%, 9/01/27 | United States | 814,000 | 797,720 | |||||||||||
|
| |||||||||||||
2,842,863 | ||||||||||||||
|
| |||||||||||||
Diversified Financial Services 0.1% | ||||||||||||||
Lendingtree Inc., senior note, 0.50%, 7/15/25 | United States | 1,509,000 | 1,256,243 | |||||||||||
|
| |||||||||||||
Diversified Telecommunication Services 0.1% | ||||||||||||||
eBandwidth Inc., A, senior note, 144A, 0.50%, 4/01/28 | United States | 1,226,000 | 797,513 | |||||||||||
eRadius Global Infrastructure Inc., senior note, 144A, 2.50%, 9/15/26 | United States | 1,250,000 | 1,133,594 | |||||||||||
|
| |||||||||||||
1,931,107 | ||||||||||||||
|
| |||||||||||||
Electrical Equipment 0.1% | ||||||||||||||
eArray Technologies Inc., senior note, 144A, 1.00%, 12/01/28 | United States | 897,000 | 691,138 | |||||||||||
|
| |||||||||||||
Electronic Equipment, Instruments & Components 0.3% | ||||||||||||||
OSI Systems Inc., senior note, 1.25%, 9/01/22 | United States | 1,614,000 | 1,604,316 | |||||||||||
PAR Technology Corp., senior note, 1.50%, 10/15/27 | United States | 906,000 | 807,699 | |||||||||||
Vishay Intertechnology Inc., senior note, 2.25%, 6/15/25 | United States | 1,209,000 | 1,213,594 | |||||||||||
|
| |||||||||||||
3,625,609 | ||||||||||||||
|
| |||||||||||||
Energy Equipment & Services 0.1% | ||||||||||||||
Helix Energy Solutions Group Inc., senior note, 6.75%, 2/15/26 | United States | 1,459,000 | 1,581,994 | |||||||||||
|
| |||||||||||||
Entertainment 0.4% | ||||||||||||||
cCinemark Holdings Inc., senior note, 4.50%, 8/15/25 | United States | 1,233,000 | 1,848,729 | |||||||||||
eThe Marcus Corp., senior note, 144A, 5.00%, 9/15/25 | United States | 750,000 | 1,395,938 | |||||||||||
bSea Ltd., senior note, 0.25%, 9/15/26 | Taiwan | 2,817,000 | 2,353,885 | |||||||||||
Zynga Inc., A, senior note, zero cpn., 12/15/26 | United States | 290,000 | 295,800 | |||||||||||
|
| |||||||||||||
5,894,352 | ||||||||||||||
|
|
18
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* | Value | ||||||||||||
Convertible Bonds (continued) | ||||||||||||||
Equity Real Estate Investment Trusts (REITs) 0.2% | ||||||||||||||
eBraemar Hotels & Resorts Inc., senior note, 144A, 4.50%, 6/01/26 | United States | 485,000 | $ | 565,752 | ||||||||||
Pebblebrook Hotel Trust, senior note, 1.75%, 12/15/26 | United States | 1,372,000 | 1,527,722 | |||||||||||
Summit Hotel Properties Inc., senior note, 1.50%, 2/15/26 | United States | 1,137,000 | 1,197,830 | |||||||||||
|
| |||||||||||||
3,291,304 | ||||||||||||||
|
| |||||||||||||
Food & Staples Retailing 0.2% | ||||||||||||||
The Chefs’ Warehouse Inc., senior note, | ||||||||||||||
1.875%, 12/01/24 | United States | 1,625,000 | 1,721,484 | |||||||||||
e144A, 1.875%, 12/01/24 | United States | 968,000 | 1,025,475 | |||||||||||
|
| |||||||||||||
2,746,959 | ||||||||||||||
|
| |||||||||||||
Food Products 0.1% | ||||||||||||||
eBeyond Meat Inc., senior note, 144A, zero cpn., 3/15/27 | United States | 1,014,000 | 648,453 | |||||||||||
|
| |||||||||||||
Health Care Equipment & Supplies 0.6% | ||||||||||||||
eAlphatec Holdings Inc., senior note, 144A, 0.75%, 8/01/26 | United States | 617,000 | 591,703 | |||||||||||
eCutera Inc., senior note, 144A, 2.25%, 3/15/26 | United States | 1,007,000 | 1,379,429 | |||||||||||
eHaemonetics Corp., senior note, 144A, zero cpn., 3/01/26 | United States | 165,000 | 139,019 | |||||||||||
Mesa Laboratories Inc., senior note, 1.375%, 8/15/25 | United States | 595,000 | 648,847 | |||||||||||
NuVasive Inc., senior note, | ||||||||||||||
1.00%, 6/01/23 | United States | 2,296,000 | 2,290,260 | |||||||||||
0.375%, 3/15/25 | United States | 726,000 | 684,709 | |||||||||||
eSmileDirectClub Inc., A, senior note, 144A, zero cpn., 2/01/26 | United States | 1,148,000 | 463,505 | |||||||||||
eTandem Diabetes Care Inc., senior note, 144A, 1.50%, 5/01/25 | United States | 631,000 | 781,494 | |||||||||||
Varex Imaging Corp., senior note, 4.00%, 6/01/25 | United States | 1,304,000 | 1,760,400 | |||||||||||
|
| |||||||||||||
8,739,366 | ||||||||||||||
|
| |||||||||||||
Health Care Providers & Services 0.2% | ||||||||||||||
1life Healthcare Inc., senior note, 3.00%, 6/15/25 | United States | 971,000 | 846,227 | |||||||||||
Guardant Health Inc., senior note, zero cpn., 11/15/27 | United States | 795,000 | 668,515 | |||||||||||
PetIQ Inc., A, senior note, 4.00%, 6/01/26 | United States | 678,000 | 748,766 | |||||||||||
|
| |||||||||||||
2,263,508 | ||||||||||||||
|
| |||||||||||||
Health Care Technology 0.1% | ||||||||||||||
eBilibili Inc., Z, senior note, 144A, 0.50%, 12/01/26 | China | 95,000 | 72,010 | |||||||||||
Evolent Health Inc., senior note, 3.50%, 12/01/24 | United States | 260,000 | 409,110 | |||||||||||
Livongo Health Inc., senior note, 0.875%, 6/01/25 | United States | 175,000 | 184,712 | |||||||||||
Tabula Rasa Healthcare Inc., senior sub. note, 1.75%, 2/15/26 | United States | 700,000 | 542,500 | |||||||||||
Teladoc Health Inc., senior note, 1.25%, 6/01/27 | United States | 595,000 | 525,385 | |||||||||||
|
| |||||||||||||
1,733,717 | ||||||||||||||
|
| |||||||||||||
Hotels, Restaurants & Leisure 0.2% | ||||||||||||||
eAirbnb Inc., senior note, 144A, zero cpn., 3/15/26 | United States | 918,000 | 864,246 | |||||||||||
eDraftkings Inc., A, senior note, 144A, zero cpn., 3/15/28 | United States | 123,000 | 93,296 | |||||||||||
Penn National Gaming Inc., senior note, 2.75%, 5/15/26 | United States | 45,000 | 106,897 | |||||||||||
Royal Caribbean Cruises Ltd., senior note, 2.875%, 11/15/23 | United States | 1,825,000 | 2,184,962 | |||||||||||
|
| |||||||||||||
3,249,401 | ||||||||||||||
|
| |||||||||||||
Independent Power & Renewable Electricity Producers 0.1% | ||||||||||||||
c,eSunnova Energy International Inc., senior note, 144A, 0.25%, 12/01/26 | United States | 1,161,000 | 1,000,492 | |||||||||||
|
| |||||||||||||
Interactive Media & Services 0.2% | ||||||||||||||
eSnap Inc., A, senior note, 144A, 0.125%, 3/01/28 | United States | 1,711,000 | 1,760,619 | |||||||||||
eTwitter Inc., senior note, 144A, zero cpn., 3/15/26 | United States | 1,017,000 | 881,230 | |||||||||||
|
| |||||||||||||
2,641,849 | ||||||||||||||
|
| |||||||||||||
Internet & Direct Marketing Retail 0.9% | ||||||||||||||
eCornwall Jersey Ltd., senior note, Reg S, 0.75%, 4/16/26 | United Kingdom | 200,000 | GBP | 223,430 | ||||||||||
e Delivery Hero AG, senior note, Reg S, | ||||||||||||||
1.50%, 1/15/28 | Saudi Arabia | 1,500,000 | EUR | 1,286,340 | ||||||||||
A, 1.00%, 4/30/26 | Saudi Arabia | 1,400,000 | EUR | 1,256,923 | ||||||||||
B, 2.125%, 3/10/29 | Saudi Arabia | 500,000 | EUR | 415,580 | ||||||||||
cFiverr International Ltd., senior note, zero cpn., 11/01/25 | United States | 1,812,000 | 1,565,568 |
19
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* | Value | ||||||||||||
Convertible Bonds (continued) | ||||||||||||||
Internet & Direct Marketing Retail (continued) | ||||||||||||||
eGroupon Inc., senior note, 144A, 1.125%, 3/15/26 | United States | 1,264,000 | $ | 1,027,000 | ||||||||||
e Just Eat Takeaway.Com NV, senior note, Reg S, zero cpn., 8/09/25 | United Kingdom | 100,000 | EUR | 94,924 | ||||||||||
2.25%, 1/25/24 | United Kingdom | 400,000 | EUR | 440,035 | ||||||||||
1.25%, 4/30/26 | United Kingdom | 1,100,000 | EUR | 1,052,254 | ||||||||||
0.625%, 2/09/28 | United Kingdom | 1,000,000 | EUR | 892,392 | ||||||||||
eMeituan, senior note, Reg S, zero cpn., 4/27/27 | China | 200,000 | 170,000 | |||||||||||
Pinduoduo Inc., senior note, zero cpn., 12/01/25 | China | 186,000 | 165,912 | |||||||||||
ePorch Group Inc., senior note, 144A, 0.75%, 9/15/26 | United States | 1,574,000 | 1,083,699 | |||||||||||
eThe Realreal Inc., senior note, 144A, 1.00%, 3/01/28 | United States | 339,000 | 258,158 | |||||||||||
cWayfair Inc., A, senior note, 0.625%, 10/01/25 | United States | 2,050,000 | 1,785,550 | |||||||||||
eXometry Inc., A, senior note, 144A, 1.00%, 2/01/27 | United States | 758,000 | 797,795 | |||||||||||
Zillow Group Inc., senior note, 1.375%, 9/01/26 | United States | 25,000 | 37,156 | |||||||||||
|
| |||||||||||||
12,552,716 | ||||||||||||||
|
| |||||||||||||
IT Services 0.6% | ||||||||||||||
c,eAffirm Holdings Inc., senior note, 144A, zero cpn., 11/15/26 | United States | 1,818,000 | 1,291,689 | |||||||||||
CSG Systems International Inc., senior bond, 4.25%, 3/15/36 | United States | 2,191,000 | 2,315,579 | |||||||||||
eDigitalocean Holdings Inc., senior note, 144A, zero cpn., 12/01/26 | United States | 2,429,000 | 1,955,345 | |||||||||||
eFastly Inc., senior note, 144A, zero cpn., 3/15/26 | United States | 1,854,000 | 1,422,018 | |||||||||||
eRepay Holdings Corp., A, senior note, 144A, zero cpn., 2/01/26 | United States | 755,000 | 653,830 | |||||||||||
|
| |||||||||||||
7,638,461 | ||||||||||||||
|
| |||||||||||||
Leisure Products 0.2% | ||||||||||||||
e NCL Corp. Ltd., senior note, 144A, | ||||||||||||||
1.125%, 2/15/27 | United States | 2,292,000 | 2,070,822 | |||||||||||
2.50%, 2/15/27 | United States | 188,000 | 174,558 | |||||||||||
ePeloton Interactive Inc., A, senior note, 144A, zero cpn., 2/15/26 | United States | 717,000 | 616,620 | |||||||||||
|
| |||||||||||||
2,862,000 | ||||||||||||||
|
| |||||||||||||
Life Sciences Tools & Services 0.1% | ||||||||||||||
eInotiv Inc., senior note, 144A, 3.25%, 10/15/27 | United States | 510,000 | 490,081 | |||||||||||
Nanostring Technologies Inc., senior note, 2.625%, 3/01/25 | United States | 847,000 | 940,170 | |||||||||||
|
| |||||||||||||
1,430,251 | ||||||||||||||
|
| |||||||||||||
Machinery 0.1% | ||||||||||||||
eThe Greenbrier Cos. Inc., senior note, 144A, 2.875%, 4/15/28 | United States | 1,387,000 | 1,491,515 | |||||||||||
|
| |||||||||||||
Media 1.2% | ||||||||||||||
Dish Network Corp., | ||||||||||||||
senior bond, 3.375%, 8/15/26 | United States | 2,622,000 | 2,384,709 | |||||||||||
senior note, zero cpn., 12/15/25 | United States | 80,000 | 78,648 | |||||||||||
eLiberty Broadband Corp., senior bond, 144A, | ||||||||||||||
1.25%, 9/30/50 | United States | 2,164,000 | 2,104,490 | |||||||||||
b2.75%, 9/30/50 | United States | 2,272,000 | 2,288,497 | |||||||||||
Liberty Interactive LLC, | ||||||||||||||
senior bond, 4.00%, 11/15/29 | United States | 1,448,000 | 991,880 | |||||||||||
senior note, 3.75%, 2/15/30 | United States | 1,969,000 | 1,444,754 | |||||||||||
eLiberty Media Corp., senior bond, 144A, | ||||||||||||||
2.125%, 3/31/48 | United States | 1,991,000 | 2,014,892 | |||||||||||
2.75%, 12/01/49 | United States | 1,906,000 | 1,958,415 | |||||||||||
b,eMagnite Inc., senior note, 144A, 0.25%, 3/15/26 | United States | 1,562,000 | 1,250,269 | |||||||||||
eTechtarget Inc., senior note, 144A, zero cpn., 12/15/26 | United States | 1,250,000 | 1,133,125 | |||||||||||
|
| |||||||||||||
15,649,679 | ||||||||||||||
|
| |||||||||||||
Metals & Mining 0.7% | ||||||||||||||
eCentury Aluminum Co., senior note, 144A, 2.75%, 5/01/28 | United States | 571,000 | 824,809 | |||||||||||
eIvanhoe Mines Ltd., senior note, 144A, 2.50%, 4/15/26 | Canada | 784,000 | 1,194,032 | |||||||||||
eLithium Americas Corp., senior note, 144A, 1.75%, 1/15/27 | Canada | 1,262,000 | 1,185,018 | |||||||||||
eMP Materials Corp., senior note, 144A, 0.25%, 4/01/26 | United States | 1,388,000 | 1,725,284 | |||||||||||
Osisko Gold Royalties Ltd., senior note, 4.00%, 12/31/22 | Canada | 383,000 | CAD | 306,657 |
20
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* | Value | ||||||||||||
Convertible Bonds (continued) | ||||||||||||||
Metals & Mining (continued) | ||||||||||||||
U.S. Steel Corp., senior note, 5.00%, 11/01/26 | United States | 1,831,000 | $ | 4,005,313 | ||||||||||
|
| |||||||||||||
9,241,113 | ||||||||||||||
|
| |||||||||||||
Mortgage Real Estate Investment Trusts (REITs) 0.9% | ||||||||||||||
Apollo Commercial Real Estate Finance Inc., senior note, 4.75%, 8/23/22 | United States | 1,245,000 | 1,251,225 | |||||||||||
Arbor Realty Trust Inc., senior note, 4.75%, 11/01/22 | United States | 1,848,000 | 1,986,600 | |||||||||||
bKKR Real Estate Finance Trust Inc., senior note, 6.125%, 5/15/23 | United States | 834,000 | 873,118 | |||||||||||
PennyMac Corp., senior note, | ||||||||||||||
5.50%, 11/01/24 | United States | 1,271,000 | 1,259,879 | |||||||||||
e144A, 5.50%, 3/15/26 | United States | 1,955,000 | 1,853,584 | |||||||||||
Redwood Trust Inc., senior note, 4.75%, 8/15/23 | United States | 2,286,000 | 2,297,121 | |||||||||||
Starwood Property Trust Inc., senior note, 4.375%, 4/01/23 | United States | 1,202,000 | 1,237,309 | |||||||||||
Two Harbors Investment Corp., senior note, 6.25%, 1/15/26 | United States | 1,341,000 | 1,298,256 | |||||||||||
|
| |||||||||||||
12,057,092 | ||||||||||||||
|
| |||||||||||||
Oil, Gas & Consumable Fuels 0.0%† | ||||||||||||||
CNX Resources Corp., senior note, 2.25%, 5/01/26 | United States | 96,000 | 139,344 | |||||||||||
|
| |||||||||||||
Personal Products 0.3% | ||||||||||||||
eThe Beauty Health Co., senior note, 144A, 1.25%, 10/01/26 | United States | 1,823,000 | 1,746,434 | |||||||||||
Herbalife Nutrition Ltd., senior note, 2.625%, 3/15/24 | United States | 2,092,000 | 2,020,872 | |||||||||||
|
| |||||||||||||
3,767,306 | ||||||||||||||
|
| |||||||||||||
Pharmaceuticals 0.8% | ||||||||||||||
Aerie Pharmaceuticals Inc., senior note, 1.50%, 10/01/24 | United States | 903,000 | 795,261 | |||||||||||
Aurora Cannabis Inc., senior note, 5.50%, 2/28/24 | Canada | 855,000 | 786,600 | |||||||||||
eAvadel Finance Cayman Ltd., senior note, 144A, 4.50%, 2/01/23 | United States | 1,459,000 | 1,550,366 | |||||||||||
eCanopy Growth Corp., senior note, 144A, 4.25%, 7/15/23 | Canada | 1,058,000 | CAD | 762,720 | ||||||||||
Collegium Pharmaceutical Inc., senior note, 2.625%, 2/15/26 | United States | 1,134,000 | 1,115,289 | |||||||||||
bInnoviva Inc., sub. note, 2.125%, 1/15/23 | United States | 2,555,000 | 2,855,213 | |||||||||||
Omeros Corp., senior note, 5.25%, 2/15/26 | United States | 972,000 | 756,945 | |||||||||||
bRevance Therapeutics Inc., senior note, 1.75%, 2/15/27 | United States | 1,067,000 | 882,276 | |||||||||||
Zogenix Inc., senior note, 2.75%, 10/01/27 | United States | 1,559,000 | 1,951,244 | |||||||||||
|
| |||||||||||||
11,455,914 | ||||||||||||||
|
| |||||||||||||
Photography 0.1% | ||||||||||||||
Pacira Biosciences Inc., senior note, 0.75%, 8/01/25 | United States | 618,000 | 713,018 | |||||||||||
|
| |||||||||||||
Professional Services 0.0%† | ||||||||||||||
eUpwork Inc., senior note, 144A, 0.25%, 8/15/26 | United States | 725,000 | 606,825 | |||||||||||
|
| |||||||||||||
Real Estate Management & Development 0.3% | ||||||||||||||
c,eOpendoor Technologies Inc., senior note, 144A, 0.25%, 8/15/26 | United States | 2,431,000 | 1,863,970 | |||||||||||
e Realogy Group LLC / Realogy Co.-Issuer Corp., senior note, 144A, 0.25%, 6/15/26 | United States | 967,000 | 959,143 | |||||||||||
c,eRedfin Corp., senior note, 144A, 0.50%, 4/01/27 | United States | 1,456,000 | 999,835 | |||||||||||
|
| |||||||||||||
3,822,948 | ||||||||||||||
|
| |||||||||||||
Road & Rail 0.0%† | ||||||||||||||
cUber Technologies Inc., senior note, zero cpn., 12/15/25 | United States | 220,000 | 201,630 | |||||||||||
|
| |||||||||||||
Semiconductors & Semiconductor Equipment 0.2% | ||||||||||||||
eams AG, senior note, Reg S, 2.125%, 11/03/27 | Austria | 1,300,000 | EUR | 1,353,186 | ||||||||||
Sunpower Corp., A, senior note, 4.00%, 1/15/23 | United States | 859,000 | 937,761 | |||||||||||
|
| |||||||||||||
2,290,947 | ||||||||||||||
|
| |||||||||||||
Software 1.5% | ||||||||||||||
Alteryx Inc., senior note, 0.50%, 8/01/24 | United States | 1,436,000 | 1,331,172 | |||||||||||
Avaya Holdings Corp., senior note, 2.25%, 6/15/23 | United States | 1,509,000 | 1,472,029 | |||||||||||
c,eBentley Systems Inc., senior note, 144A, 0.375%, 7/01/27 | United States | 803,000 | 677,732 | |||||||||||
eBlackline Inc., senior note, 144A, zero cpn., 3/15/26 | United States | 1,945,000 | 1,648,387 | |||||||||||
eConfluent Inc., senior note, 144A, zero cpn., 1/15/27 | United States | 60,000 | 51,000 | |||||||||||
Datadog Inc., senior note, 0.125%, 6/15/25 | United States | 478,000 | 891,709 | |||||||||||
eDye & Durham Ltd., senior note, 144A, 3.75%, 3/01/26 | Canada | 1,286,000 | CAD | 911,310 |
21
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* | Value | ||||||||||||
Convertible Bonds (continued) | ||||||||||||||
Software (continued) | ||||||||||||||
c,eEnvestnet Inc., senior note, 144A, 0.75%, 8/15/25 | United States | 286,000 | $ | 280,280 | ||||||||||
Everbridge Inc., senior note, 0.125%, 12/15/24 | United States | 1,321,000 | 1,159,177 | |||||||||||
b,efuboTV Inc., senior note, 144A, 3.25%, 2/15/26 | United States | 1,270,000 | 963,930 | |||||||||||
bi3 Verticals LLC, senior note, 1.00%, 2/15/25 | United States | 887,000 | 869,260 | |||||||||||
eKaleyra Inc., senior note, 144A, 6.125%, 6/01/26 | Italy | 628,000 | 626,845 | |||||||||||
cLivePerson Inc., senior note, zero cpn., 12/15/26 | United States | 115,000 | 84,010 | |||||||||||
Mandiant Inc., senior note, 0.875%, 6/01/24 | United States | 1,328,000 | 1,426,770 | |||||||||||
eMitek Systems Inc., senior note, 144A, 0.75%, 2/01/26 | United States | 886,000 | 894,860 | |||||||||||
eNutanix Inc., senior note, 144A, 0.25%, 10/01/27 | United States | 1,876,000 | 1,572,322 | |||||||||||
eRapid7 Inc., senior note, 144A, 0.25%, 3/15/27 | United States | 909,000 | 1,085,119 | |||||||||||
Ringcentral Inc., A, senior note, zero cpn., 3/01/25 | United States | 2,576,000 | 2,260,440 | |||||||||||
Splunk Inc., senior note, 1.125%, 6/15/27 | United States | 240,000 | 219,750 | |||||||||||
eUnity Software Inc., senior note, 144A, zero cpn., 11/15/26 | United States | 1,210,000 | 1,010,653 | |||||||||||
eVeritone Inc., senior note, 144A, 1.75%, 11/15/26 | United States | 800,000 | 662,639 | |||||||||||
|
| |||||||||||||
20,099,394 | ||||||||||||||
|
| |||||||||||||
Specialty Retail 0.3% | ||||||||||||||
eDufry One BV, senior note, Reg S, 0.75%, 3/30/26 | Switzerland | 800,000 | CHF | 819,095 | ||||||||||
bGuess? Inc., senior note, 2.00%, 4/15/24 | United States | 1,252,000 | 1,400,675 | |||||||||||
eShake Shack Inc., senior note, 144A, zero cpn., 3/01/28 | United States | 173,000 | 143,590 | |||||||||||
eShift Technologies Inc., senior note, 144A, 4.75%, 5/15/26 | United States | 1,014,000 | 600,573 | |||||||||||
eVroom Inc., senior note, 144A, 0.75%, 7/01/26 | United States | 1,367,000 | 740,230 | |||||||||||
|
| |||||||||||||
3,704,163 | ||||||||||||||
|
| |||||||||||||
Technology Hardware, Storage & Peripherals 0.0%† | ||||||||||||||
Pure Storage Inc., senior note, 0.125%, 4/15/23 | United States | 319,000 | 373,071 | |||||||||||
|
| |||||||||||||
Total Convertible Bonds (Cost $210,315,241) | 204,581,528 | |||||||||||||
|
| |||||||||||||
Corporate Bonds and Notes 11.5% | ||||||||||||||
Aerospace & Defense 0.2% | ||||||||||||||
The Boeing Co., | ||||||||||||||
senior bond, 2.25%, 6/15/26 | United States | 115,000 | 112,608 | |||||||||||
senior bond, 3.375%, 6/15/46 | United States | 90,000 | 76,885 | |||||||||||
senior bond, 3.625%, 3/01/48 | United States | 25,000 | 22,245 | |||||||||||
senior bond, 3.90%, 5/01/49 | United States | 100,000 | 92,839 | |||||||||||
senior bond, 3.75%, 2/01/50 | United States | 130,000 | 121,041 | |||||||||||
senior bond, 5.805%, 5/01/50 | United States | 125,000 | 148,724 | |||||||||||
senior bond, 3.825%, 3/01/59 | United States | 25,000 | 21,944 | |||||||||||
senior bond, 3.95%, 8/01/59 | United States | 30,000 | 27,308 | |||||||||||
senior note, 2.196%, 2/04/26 | United States | 435,000 | 424,672 | |||||||||||
senior note, 5.15%, 5/01/30 | United States | 140,000 | 154,732 | |||||||||||
b,eBombardier Inc., senior note, 144A, 7.50%, 12/01/24 | Canada | 1,178,000 | 1,220,496 | |||||||||||
Embraer Netherlands Finance BV, senior bond, 5.05%, 6/15/25 | Brazil | 55,000 | 55,997 | |||||||||||
eLeonardo US Holdings Inc., senior bond, 144A, 6.25%, 1/15/40 | Italy | 236,000 | 276,710 | |||||||||||
cSpirit Aerosystems Inc., senior bond, 4.60%, 6/15/28 | United States | 20,000 | 19,122 | |||||||||||
|
| |||||||||||||
2,775,323 | ||||||||||||||
|
| |||||||||||||
Airlines 0.2% | ||||||||||||||
American Airlines 2015-2 Class Aa Pass-Through Trust, 3.60%, 9/22/27 | United States | 962,061 | 976,283 | |||||||||||
American Airlines 2016-1 Class Aa Pass-Through Trust, 3.575%, 1/15/28 | United States | 649,550 | 654,578 | |||||||||||
eAmerican Airlines Group Inc., senior note, 144A, 3.75%, 3/01/25 | United States | 700,000 | 652,750 | |||||||||||
e United Airlines Inc., senior secured note, 144A, | ||||||||||||||
4.375%, 4/15/26 | United States | 40,000 | 39,948 | |||||||||||
4.625%, 4/15/29 | United States | 55,000 | 53,752 | |||||||||||
United Airlines Pass-Through Trust, B, 4.875%, 1/15/26 | United States | 43,200 | 44,152 |
22
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* | Value | ||||||||||||
Corporate Bonds and Notes (continued) | ||||||||||||||
Airlines (continued) | ||||||||||||||
United Airlines Pass-Through Trust, (continued) 2019-2, B, 3.50%, 5/01/28 | United States | 342,590 | $ | 328,053 | ||||||||||
|
| |||||||||||||
2,749,516 | ||||||||||||||
|
| |||||||||||||
Auto Components 0.0%† | ||||||||||||||
Aptiv PLC / Aptiv Corp., senior note, 2.396%, 2/18/25 | United States | 340,000 | 340,202 | |||||||||||
|
| |||||||||||||
Automobiles 0.3% | ||||||||||||||
American Honda Finance Corp., senior note, 1.50%, 1/13/25 | United States | 925,000 | 907,927 | |||||||||||
eAston Martin Capital Holdings Ltd., senior secured note, 144A, 10.50%, 11/30/25 | United Kingdom | 700,000 | 732,631 | |||||||||||
Ford Motor Co., senior bond, | ||||||||||||||
3.25%, 2/12/32 | United States | 460,000 | 434,751 | |||||||||||
4.75%, 1/15/43 | United States | 70,000 | 67,832 | |||||||||||
Ford Motor Credit Co. LLC, senior note, 3.625%, 6/17/31 | United States | 800,000 | 770,510 | |||||||||||
General Motors Co., senior bond, | ||||||||||||||
5.20%, 4/01/45 | United States | 30,000 | 32,559 | |||||||||||
5.40%, 4/01/48 | United States | 140,000 | 155,639 | |||||||||||
5.95%, 4/01/49 | United States | 190,000 | 227,456 | |||||||||||
General Motors Financial Co. Inc., | ||||||||||||||
c,gjunior sub. note, C, 5.70% to 9/30/30, FRN thereafter, Perpetual | United States | 35,000 | 36,541 | |||||||||||
gjunior sub. note, A, 5.75% to 9/30/27, FRN thereafter, Perpetual | United States | 100,000 | 100,252 | |||||||||||
gjunior sub. note, B, 6.50% to 3/30/28, FRN thereafter, Perpetual | United States | 75,000 | 77,550 | |||||||||||
senior note, 1.20%, 10/15/24 | United States | 85,000 | 82,791 | |||||||||||
Toyota Motor Credit Corp., senior note, 1.45%, 1/13/25 | United States | 925,000 | 910,576 | |||||||||||
|
| |||||||||||||
4,537,015 | ||||||||||||||
|
| |||||||||||||
Banks 0.7% | ||||||||||||||
eAxis Bank Ltd., senior note, Reg S, 3.00%, 8/08/22 | India | 1,900,000 | 1,906,838 | |||||||||||
e,hBanco Hipotecario SA, senior note, 144A, FRN, 41.563%, (ARS BADLAR + 4.00%), 11/07/22 | Argentina | 3,160,000 | ARS | 12,992 | ||||||||||
eBanco Macro SA, senior note, 144A, 17.50%, 5/08/22 | Argentina | 1,740,000 | ARS | 8,355 | ||||||||||
Bank of America Corp., senior note, 1.843% to 8/05/22, FRN thereafter, 2/04/25 | United States | 460,000 | 455,776 | |||||||||||
Barclays PLC, | ||||||||||||||
sub. bond, 3.564% to 9/23/30, FRN thereafter, 9/23/35 | United Kingdom | 325,000 | 310,925 | |||||||||||
gjunior sub. note, 4.375% to 3/15/28, FRN thereafter, Perpetual | United Kingdom | 210,000 | 193,200 | |||||||||||
eCanara Bank, E, senior note, Reg S, 3.875%, 3/28/24 | India | 466,000 | 474,964 | |||||||||||
Citigroup Inc., senior note, | ||||||||||||||
1.281%, 11/03/25 | United States | 450,000 | 435,898 | |||||||||||
2.014%, 1/25/26 | United States | 460,000 | 452,938 | |||||||||||
Deutsche Bank AG, sub. bond, 3.729% to 1/14/31, FRN thereafter, 1/14/32 | Germany | 400,000 | 377,886 | |||||||||||
gHSBC Holdings PLC, junior sub. note, 6.25% to 3/23/23, FRN thereafter, Perpetual | United Kingdom | 1,900,000 | 1,937,164 | |||||||||||
eIndusind Bank Ltd., E, senior note, Reg S, 3.875%, 4/15/22 | India | 1,200,000 | 1,199,820 | |||||||||||
c,eSociete Generale SA, sub. bond, 144A, 3.653% to 7/08/30, FRN thereafter, 7/08/35 | France | 200,000 | 192,477 | |||||||||||
eStandard Chartered PLC, sub. bond, 144A, 3.265% to 11/18/30, FRN thereafter, 2/18/36 | United Kingdom | 255,000 | 235,653 | |||||||||||
eState Bank of India, E, senior note, Reg S, 4.50%, 9/28/23 | India | 600,000 | 620,924 | |||||||||||
e,gTMB Bank PCL, E, junior sub. note, Reg S, 4.90% to 12/02/24, FRN thereafter, Perpetual | Thailand | 400,000 | 393,561 |
23
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* | Value | ||||||||||||
Corporate Bonds and Notes (continued) | ||||||||||||||
Banks (continued) | ||||||||||||||
cUS Bancorp, senior note, 2.215% to 7/27/22, FRN thereafter, 1/27/28 | United States | 230,000 | $ | 227,546 | ||||||||||
|
| |||||||||||||
9,436,917 | ||||||||||||||
|
| |||||||||||||
Beverages 0.0%† | ||||||||||||||
eCentral American Bottling Corp. / CBC Bottling Holdco SL / Beliv Holdco SL, senior note, 144A, 5.25%, 4/27/29 | Guatemala | 125,000 | 126,719 | |||||||||||
|
| |||||||||||||
Capital Markets 0.5% | ||||||||||||||
Ares Capital Corp., | ||||||||||||||
senior bond, 3.20%, 11/15/31 | United States | 235,000 | 212,588 | |||||||||||
senior note, 2.875%, 6/15/28 | United States | 225,000 | 208,558 | |||||||||||
eBarings BDC Inc., senior note, 144A, 3.30%, 11/23/26 | United States | 125,000 | 118,912 | |||||||||||
eCoinbase Global Inc., 144A, | ||||||||||||||
senior bond, 3.625%, 10/01/31 | United States | 447,000 | 394,478 | |||||||||||
senior note, 3.375%, 10/01/28 | United States | 353,000 | 322,315 | |||||||||||
FS KKR Capital Corp., senior note, | ||||||||||||||
3.40%, 1/15/26 | United States | 365,000 | 358,710 | |||||||||||
3.125%, 10/12/28 | United States | 155,000 | 144,148 | |||||||||||
The Goldman Sachs Group Inc., senior note, | ||||||||||||||
h0.925% to 10/21/23, FRN thereafter, 10/21/24 | United States | 465,000 | 455,188 | |||||||||||
1.757% to 7/24/22, FRN thereafter, 1/24/25 | United States | 460,000 | 455,081 | |||||||||||
eHuarong Finance 2017 Co. Ltd., Reg S, | ||||||||||||||
senior bond, 4.75%, 4/27/27 | China | 200,000 | 192,000 | |||||||||||
senior note, FRN, 2.118%, (3-Month USD LIBOR + 1.85%), 4/27/22 | China | 350,000 | 349,125 | |||||||||||
senior note, 3.75%, 4/27/22 | China | 200,000 | 200,450 | |||||||||||
gsenior note, E, 4.00% to 11/07/22, FRN thereafter, Perpetual | China | 200,000 | 199,000 | |||||||||||
eHuarong Finance 2019 Co. Ltd., Reg S, | ||||||||||||||
senior bond, E, 4.50%, 5/29/29 | China | 1,000,000 | 931,250 | |||||||||||
senior bond, E, 3.875%, 11/13/29 | China | 200,000 | 177,500 | |||||||||||
senior bond, E, 3.375%, 2/24/30 | China | 200,000 | 169,926 | |||||||||||
senior bond, E, 3.625%, 9/30/30 | China | 200,000 | 170,500 | |||||||||||
senior note, E, 2.125%, 9/30/23 | China | 200,000 | 192,500 | |||||||||||
senior note, E, 3.25%, 11/13/24 | China | 200,000 | 190,750 | |||||||||||
gsenior note, G, 4.25% to 9/30/25, FRN thereafter, Perpetual | China | 200,000 | 186,500 | |||||||||||
eHuarong Finance II Co. Ltd., senior bond, Reg S, | ||||||||||||||
5.00%, 11/19/25 | China | 500,000 | 492,500 | |||||||||||
EMTN, 4.875%, 11/22/26 | China | 200,000 | 194,750 | |||||||||||
Morgan Stanley, senior note, 2.475% to 7/21/22, FRN thereafter, 1/21/28 | United States | 305,000 | 300,052 | |||||||||||
Oaktree Specialty Lending Corp., senior note, 2.70%, 1/15/27 | United States | 75,000 | 71,131 | |||||||||||
Owl Rock Capital Corp., senior note, | ||||||||||||||
3.40%, 7/15/26 | United States | 290,000 | 278,033 | |||||||||||
2.875%, 6/11/28 | United States | 180,000 | 163,770 | |||||||||||
Owl Rock Technology Finance Corp., senior note, 2.50%, 1/15/27 | United States | 90,000 | 84,619 | |||||||||||
|
| |||||||||||||
7,214,334 | ||||||||||||||
|
| |||||||||||||
Chemicals 0.2% | ||||||||||||||
eAshland LLC, senior bond, 144A, 3.375%, 9/01/31 | United States | 140,000 | 129,020 | |||||||||||
e,gBluestar Finance Holdings Ltd., senior note, Reg S, 3.10% to 7/12/24, FRN thereafter, Perpetual | China | 200,000 | 199,942 | |||||||||||
eBraskem Idesa SAPI, senior bond, Reg S, 6.99%, 2/20/32 | Mexico | 886,000 | 847,742 | |||||||||||
eBraskem Netherlands Finance BV, senior bond, 144A, 4.50%, 1/31/30 | Brazil | 200,000 | 198,000 |
24
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* | Value | ||||||||||||
Corporate Bonds and Notes (continued) | ||||||||||||||
Chemicals (continued) | ||||||||||||||
eCNAC HK Finbridge Co. Ltd., senior note, Reg S, | ||||||||||||||
g3.35%, Perpetual | China | 600,000 | $ | 605,681 | ||||||||||
3.125%, 6/19/22 | China | 200,000 | 200,904 | |||||||||||
3.50%, 7/19/22 | China | 200,000 | 201,176 | |||||||||||
eOrbia Advance Corp. SAB de CV, senior bond, 144A, 2.875%, 5/11/31 | Mexico | 200,000 | 181,055 | |||||||||||
|
| |||||||||||||
2,563,520 | ||||||||||||||
|
| |||||||||||||
Commercial Services & Supplies 0.0%† | ||||||||||||||
eGFL Environmental Inc., senior note, 144A, 4.00%, 8/01/28 | Canada | 72,000 | 66,960 | |||||||||||
United Rentals North America Inc., senior bond, | ||||||||||||||
3.875%, 2/15/31 | United States | 110,000 | 106,449 | |||||||||||
3.75%, 1/15/32 | United States | 120,000 | 114,476 | |||||||||||
|
| |||||||||||||
287,885 | ||||||||||||||
|
| |||||||||||||
Communications Equipment 0.1% | ||||||||||||||
eAudacy Capital Corp., secured note, 144A, 6.75%, 3/31/29 | United States | 600,000 | 569,580 | |||||||||||
eCommScope Inc., 144A, | ||||||||||||||
senior note, 7.125%, 7/01/28 | United States | 430,000 | 406,350 | |||||||||||
senior secured note, 4.75%, 9/01/29 | United States | 60,000 | 56,048 | |||||||||||
eCommScope Technologies LLC, senior bond, 144A, 5.00%, 3/15/27 | United States | 180,000 | 160,731 | |||||||||||
eHTA Group Ltd., senior note, 144A, 7.00%, 12/18/25 | Democratic Rep. of the Congo | 435,000 | 441,390 | |||||||||||
|
| |||||||||||||
1,634,099 | ||||||||||||||
|
| |||||||||||||
Construction & Engineering 0.1% | ||||||||||||||
eArtera Services LLC, senior secured note, 144A, 9.033%, 12/04/25 | United States | 800,000 | 803,700 | |||||||||||
eGMR Hyderabad International Airport Ltd., | ||||||||||||||
senior secured bond, Reg S, 4.25%, 10/27/27 | India | 200,000 | 187,600 | |||||||||||
senior secured note, Reg S, 5.375%, 4/10/24 | India | 200,000 | 204,100 | |||||||||||
senior secured note, 144A, 4.75%, 2/02/26 | India | 200,000 | 195,250 | |||||||||||
eIndia Airport Infra, senior secured note, Reg S, 6.25%, 10/25/25 | India | 200,000 | 190,618 | |||||||||||
|
| |||||||||||||
1,581,268 | ||||||||||||||
|
| |||||||||||||
Construction Materials 0.1% | ||||||||||||||
eCemex SAB de CV, senior secured bond, 144A, | ||||||||||||||
5.45%, 11/19/29 | Mexico | 200,000 | 199,070 | |||||||||||
5.20%, 9/17/30 | Mexico | 245,000 | 239,470 | |||||||||||
3.875%, 7/11/31 | Mexico | 200,000 | 178,010 | |||||||||||
|
| |||||||||||||
616,550 | ||||||||||||||
|
| |||||||||||||
Consumer Finance 0.2% | ||||||||||||||
gAlly Financial Inc., C, junior sub. note, 4.70% to 5/15/28, FRN thereafter, Perpetual | United States | 305,000 | 283,650 | |||||||||||
eManappuram Finance Ltd., E, senior secured note, Reg S, 5.90%, 1/13/23 | India | 239,000 | 241,868 | |||||||||||
eMuthoot Finance Ltd., senior secured note, Reg S, | ||||||||||||||
6.125%, 10/31/22 | India | 1,100,000 | 1,115,175 | |||||||||||
4.40%, 9/02/23 | India | 200,000 | 201,450 | |||||||||||
eShriram Transport Finance Co. Ltd., senior note, Reg S, 5.95%, 10/24/22 | India | 200,000 | 201,407 | |||||||||||
|
| |||||||||||||
2,043,550 | ||||||||||||||
|
| |||||||||||||
Containers & Packaging 0.0%† | ||||||||||||||
Ball Corp., senior bond, 3.125%, 9/15/31 | United States | 109,000 | 100,277 | |||||||||||
|
| |||||||||||||
Diversified Consumer Services 0.2% | ||||||||||||||
eAdtalem Global Education Inc., senior secured note, 144A, 5.50%, 3/01/28 | United States | 863,000 | 773,062 |
25
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* | Value | ||||||||||||
Corporate Bonds and Notes (continued) | ||||||||||||||
Diversified Consumer Services (continued) | ||||||||||||||
e,gCMHI Finance BVI Co. Ltd., senior note, Reg S, 3.50% to 10/09/23, FRN thereafter, Perpetual | China | 200,000 | $ | 203,501 | ||||||||||
eThe Hertz Corp., senior note, 144A, | ||||||||||||||
4.625%, 12/01/26 | United States | 348,000 | 331,841 | |||||||||||
b5.00%, 12/01/29 | United States | 697,000 | 651,043 | |||||||||||
ePaysafe Finance PLC / Paysafe Holdings US Corp., senior secured note, 144A, 4.00%, 6/15/29 | United States | 700,000 | 609,956 | |||||||||||
eSotheby’s/Bidfair Holdings Inc., senior secured note, 144A, 5.875%, 6/01/29 | United States | 700,000 | 693,875 | |||||||||||
|
| |||||||||||||
3,263,278 | ||||||||||||||
|
| |||||||||||||
Diversified Financial Services 0.9% | ||||||||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, senior note, 6.50%, 7/15/25 | Ireland | 150,000 | 165,337 | |||||||||||
eAntares Holdings LP, senior note, 144A, 3.75%, 7/15/27 | Canada | 375,000 | 365,367 | |||||||||||
eAzure Orbit IV International Finance Ltd., E, senior note, Reg S, 3.75%, 1/25/23 | China | 700,000 | 708,846 | |||||||||||
eBlackstone Secured Lending Fund, senior note, 144A, 2.125%, 2/15/27 | United States | 405,000 | 375,146 | |||||||||||
eBocom Leasing Management Hong Kong Co. Ltd., senior note, Reg S, | ||||||||||||||
E, 1.75%, 7/14/23 | Hong Kong | 200,000 | 198,449 | |||||||||||
E, 1.125%, 6/18/24 | Hong Kong | 800,000 | 778,320 | |||||||||||
eCDBL Funding 2, senior note, Reg S, | ||||||||||||||
E, 3.00%, 8/01/22 | China | 200,000 | 200,745 | |||||||||||
E, 1.375%, 3/04/24 | China | 800,000 | 782,286 | |||||||||||
eCICC Hong Kong Finance 2016 MTN Ltd., senior note, Reg S, | ||||||||||||||
E, 1.75%, 8/10/23 | China | 400,000 | 397,255 | |||||||||||
E, 1.625%, 1/26/24 | China | 300,000 | 295,133 | |||||||||||
eFinance of America Funding LLC, senior note, 144A, 7.875%, 11/15/25 | United States | 700,000 | 652,239 | |||||||||||
eFinanciera de Desarrollo Territorial SA Findeter, senior bond, 144A, 7.875%, 8/12/24 | Colombia | 393,000,000 | COP | 96,638 | ||||||||||
eJane Street Group / JSG Finance Inc., senior secured note, 144A, 4.50%, 11/15/29 | United States | 1,203,000 | 1,175,169 | |||||||||||
eKronos Acquisition Holdings Inc. / KIK Custom Products Inc., senior secured note, 144A, 5.00%, 12/31/26 | Canada | 338,000 | 305,430 | |||||||||||
eMinerva Merger Sub Inc., senior note, 144A, 6.50%, 2/15/30 | United States | 226,000 | 217,896 | |||||||||||
eMPH Acquisition Holdings LLC, senior note, 144A, 5.75%, 11/01/28 | United States | 700,000 | 632,527 | |||||||||||
OneMain Finance Corp., senior note, | ||||||||||||||
3.50%, 1/15/27 | United States | 35,000 | 33,161 | |||||||||||
4.00%, 9/15/30 | United States | 165,000 | 150,728 | |||||||||||
eRec Ltd., senior note, Reg S, 4.75%, 5/19/23 | India | 1,000,000 | 1,023,263 | |||||||||||
5.25%, 11/13/23 | India | 400,000 | 416,702 | |||||||||||
G, 3.375%, 7/25/24 | India | 300,000 | 302,417 | |||||||||||
eRocket Mortgage LLC / Rocket Mortgage Co.-Issuer Inc., 144A, | ||||||||||||||
senior bond, 3.875%, 3/01/31 | United States | 420,000 | 393,880 | |||||||||||
senior bond, 4.00%, 10/15/33 | United States | 350,000 | 326,344 | |||||||||||
senior note, 2.875%, 10/15/26 | United States | 520,000 | 489,403 | |||||||||||
senior note, 3.625%, 3/01/29 | United States | 385,000 | 361,203 | |||||||||||
eVistajet Malta Finance PLC / XO Management Holding Inc., senior note, 144A, 6.375%, 2/01/30 | Switzerland | 691,000 | 658,882 | |||||||||||
eWMG Acquisition Corp., senior secured bond, 144A, 3.00%, 2/15/31 | United States | 86,000 | 77,900 | |||||||||||
|
| |||||||||||||
11,580,666 | ||||||||||||||
|
|
26
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* | Value | ||||||||||||
Corporate Bonds and Notes (continued) | ||||||||||||||
Diversified Telecommunication Services 0.3% | ||||||||||||||
eBharti Airtel International Netherlands BV, senior bond, Reg S, 5.125%, 3/11/23 | India | 700,000 | $ | 720,714 | ||||||||||
eCT Trust, senior secured bond, 144A, 5.125%, 2/03/32 | Guatemala | 215,000 | 215,719 | |||||||||||
eFrontier Communications Holdings LLC, senior secured note, 144A, | ||||||||||||||
5.875%, 10/15/27 | United States | 391,000 | 396,941 | |||||||||||
5.00%, 5/01/28 | United States | 144,000 | 140,004 | |||||||||||
eIHS Holding Ltd., senior note, 144A, | ||||||||||||||
5.625%, 11/29/26 | Nigeria | 200,000 | 196,948 | |||||||||||
144A, 6.25%, 11/29/28 | Nigeria | 200,000 | 195,852 | |||||||||||
Reg S, 6.25%, 11/29/28 | Nigeria | 560,000 | 548,386 | |||||||||||
eIliad SA, senior note, Reg S, 1.875%, 2/11/28 | France | 100,000 | EUR | 97,691 | ||||||||||
eKenbourne Invest SA, senior note, 144A, 6.875%, 11/26/24 | Chile | 200,000 | 202,488 | |||||||||||
eOi Movel SA, senior secured note, Reg S, 8.75%, 7/30/26 | Brazil | 615,000 | 629,459 | |||||||||||
eTelesat Canada / Telesat LLC, senior secured note, 144A, 4.875%, 6/01/27 | Canada | 117,000 | 83,286 | |||||||||||
eVMED O2 UK Financing I PLC, senior secured bond, Reg S, 3.25%, 1/31/31 | United Kingdom | 258,000 | EUR | 264,986 | ||||||||||
|
| |||||||||||||
3,692,474 | ||||||||||||||
|
| |||||||||||||
Electric Utilities 0.4% | ||||||||||||||
b,fBruce Mansfield Escrow, senior bond, zero cpn., 6/01/34 | United States | 6,394,000 | 23,978 | |||||||||||
e,gChina Huaneng Group Hong Kong Treasury Management | ||||||||||||||
Holding Ltd., senior note, Reg S, 2.85% to 12/09/23, FRN thereafter, Perpetual | China | 200,000 | 200,890 | |||||||||||
3.08% to 12/09/25, FRN thereafter, Perpetual | China | 400,000 | 398,080 | |||||||||||
eComision Federal de Electricidad, senior note, 144A, 4.688%, 5/15/29 | Mexico | 630,000 | 625,543 | |||||||||||
gEdison International, A, junior sub. note, 5.375% to 3/15/26, FRN thereafter, Perpetual | United States | 100,000 | 98,875 | |||||||||||
eEskom Holdings SOC Ltd., senior bond, Reg S, 8.45%, 8/10/28 | South Africa | 1,334,000 | 1,336,729 | |||||||||||
eGreenko Investment Co., senior secured note, Reg S, 4.875%, 8/16/23 | India | 200,000 | 201,400 | |||||||||||
eNRG Energy Inc., senior bond, 144A, | ||||||||||||||
3.625%, 2/15/31 | United States | 170,000 | 156,588 | |||||||||||
3.875%, 2/15/32 | United States | 70,000 | 65,021 | |||||||||||
eOryx Funding Ltd., senior bond, 144A, 5.80%, 2/03/31 | Oman | 283,000 | 287,242 | |||||||||||
Pacific Gas and Electric Co., | ||||||||||||||
bsecured bond, 4.50%, 7/01/40 | United States | 1,106,000 | 1,043,884 | |||||||||||
secured bond, 4.95%, 7/01/50 | United States | 10,000 | 9,922 | |||||||||||
secured bond, 3.50%, 8/01/50 | United States | 200,000 | 165,889 | |||||||||||
senior bond, 4.30%, 3/15/45 | United States | 95,000 | 85,603 | |||||||||||
PG&E Corp., senior secured bond, 5.25%, 7/01/30 | United States | 700,000 | 696,472 | |||||||||||
e,gSMC Global Power Holdings Corp., senior note, Reg S, 5.45% to 5/31/26, FRN thereafter, Perpetual | Philippines | 200,000 | 187,030 | |||||||||||
Southern California Edison Co., secured bond, 2.95%, 2/01/51 | United States | 140,000 | 118,471 | |||||||||||
|
| |||||||||||||
5,701,617 | ||||||||||||||
|
| |||||||||||||
Energy Equipment & Services 0.1% | ||||||||||||||
Transocean Inc., | ||||||||||||||
senior bond, 6.80%, 3/15/38 | United States | 189,000 | 109,304 | |||||||||||
esenior note, 144A, 7.50%, 1/15/26 | United States | 420,000 | 326,187 | |||||||||||
esenior note, 144A, 11.50%, 1/30/27 | United States | 911,000 | 912,713 | |||||||||||
esenior note, 144A, 8.00%, 2/01/27 | United States | 410,000 | 303,691 | |||||||||||
|
| |||||||||||||
1,651,895 | ||||||||||||||
|
|
27
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* | Value | ||||||||||||
Corporate Bonds and Notes (continued) | ||||||||||||||
Entertainment 0.1% | ||||||||||||||
b,c,e,iAMC Entertainment Holdings Inc., secured note, 144A, PIK, 10.00%, 6/15/26 | United States | 369,000 | $ | 341,506 | ||||||||||
Netflix Inc., senior bond, | ||||||||||||||
4.875%, 4/15/28 | United States | 80,000 | 85,831 | |||||||||||
5.875%, 11/15/28 | United States | 115,000 | 130,220 | |||||||||||
6.375%, 5/15/29 | United States | 170,000 | 197,960 | |||||||||||
e44A, 5.375%, 11/15/29 | United States | 30,000 | 33,555 | |||||||||||
c,e144A, 4.875%, 6/15/30 | United States | 280,000 | 305,725 | |||||||||||
eRoblox Corp., senior note, 144A, 3.875%, 5/01/30 | United States | 750,000 | 714,225 | |||||||||||
|
| |||||||||||||
1,809,022 | ||||||||||||||
|
| |||||||||||||
Equity Real Estate Investment Trusts (REITs) 0.1% | ||||||||||||||
eBrookfield Property REIT Inc. / BPR Cumulus LLC / BPR Nimbus LLC / GGSI Sellco LL, senior secured note, 144A, 4.50%, 4/01/27 | United States | 700,000 | 653,968 | |||||||||||
National Health Investors Inc., senior bond, 3.00%, 2/01/31 | United States | 30,000 | 27,719 | |||||||||||
SBA Communications Corp., senior note, 3.125%, 2/01/29 | United States | 725,000 | 674,301 | |||||||||||
|
| |||||||||||||
1,355,988 | ||||||||||||||
|
| |||||||||||||
Food & Staples Retailing 0.1% | ||||||||||||||
eCasino Guichard Perrachon SA, E, senior bond, Reg S, 4.498%, 3/07/24 | France | 100,000 | EUR | 103,825 | ||||||||||
eJBS USA Lux SA / JBS USA Food Co. / JBS USA Finance Inc., 144A, | ||||||||||||||
senior bond, 3.75%, 12/01/31 | United States | 80,000 | 73,926 | |||||||||||
senior bond, 3.00%, 5/15/32 | United States | 145,000 | 128,145 | |||||||||||
senior note, 3.00%, 2/02/29 | United States | 70,000 | 66,258 | |||||||||||
eMarb Bondco PLC, senior bond, 144A, 3.95%, 1/29/31 | Brazil | 425,000 | 374,584 | |||||||||||
eRite AID Corp., senior secured note, 144A, 7.50%, 7/01/25 | United States | 700,000 | 673,418 | |||||||||||
|
| |||||||||||||
1,420,156 | ||||||||||||||
|
| |||||||||||||
Food Products 0.1% | ||||||||||||||
Kraft Heinz Foods Co., senior bond, | ||||||||||||||
5.00%, 6/04/42 | United States | 45,000 | 49,669 | |||||||||||
4.375%, 6/01/46 | United States | 95,000 | 97,494 | |||||||||||
4.875%, 10/01/49 | United States | 150,000 | 166,312 | |||||||||||
ePilgrim’s Pride Corp., senior bond, 144A, | ||||||||||||||
4.25%, 4/15/31 | United States | 10,000 | 9,675 | |||||||||||
3.50%, 3/01/32 | United States | 215,000 | 197,056 | |||||||||||
ePost Holdings Inc., senior bond, 144A, 4.50%, 9/15/31 | United States | 190,000 | 176,198 | |||||||||||
eWens Foodstuffs Group Co. Ltd., senior note, Reg S, 2.349%, 10/29/25 | China | 200,000 | 168,126 | |||||||||||
|
| |||||||||||||
864,530 | ||||||||||||||
|
| |||||||||||||
Health Care Equipment & Supplies 0.0%† | ||||||||||||||
eAvantor Funding Inc., senior note, 144A, 3.875%, 11/01/29 | United States | 175,000 | 168,673 | |||||||||||
|
| |||||||||||||
Health Care Providers & Services 0.3% | ||||||||||||||
Centene Corp., | ||||||||||||||
senior bond, 3.00%, 10/15/30 | United States | 85,000 | 81,153 | |||||||||||
senior bond, 2.50%, 3/01/31 | United States | 350,000 | 322,805 | |||||||||||
senior note, 2.625%, 8/01/31 | United States | 120,000 | 110,824 | |||||||||||
eDavita Inc., senior bond, 144A, 3.75%, 2/15/31 | United States | 691,000 | 632,479 | |||||||||||
bEncompass Health Corp., senior bond, 4.625%, 4/01/31 HCA Inc., senior bond, 3.50%, 9/01/30 | | United States United States | | | 1,433,000 130,000 | | | 1,354,378 128,895 | | |||||
eLifePoint Health Inc., senior note, 144A, 5.375%, 1/15/29 | United States | 749,000 | 704,993 | |||||||||||
eMolina Healthcare Inc., senior bond, 144A, 3.875%, 5/15/32 | United States | 80,000 | 78,500 | |||||||||||
eTenet Healthcare Corp., 144A, | ||||||||||||||
senior note, 6.125%, 10/01/28 | United States | 91,000 | 92,278 | |||||||||||
senior secured note, 4.375%, 1/15/30 | United States | 91,000 | 87,956 | |||||||||||
|
| |||||||||||||
3,594,261 | ||||||||||||||
|
|
28
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* | Value | ||||||||||||
Corporate Bonds and Notes (continued) | ||||||||||||||
Hotels, Restaurants & Leisure 0.3% | ||||||||||||||
e1011778 BC ULC / New Red Finance Inc., secured note, 144A, 4.375%, 1/15/28 | Canada | 225,000 | $ | 221,075 | ||||||||||
eCarnival Corp., senior note, 144A, | ||||||||||||||
5.75%, 3/01/27 | United States | 295,000 | 287,714 | |||||||||||
6.00%, 5/01/29 | United States | 853,000 | 829,411 | |||||||||||
eGENM Capital Labuan Ltd., senior bond, 144A, 3.882%, 4/19/31 | Malaysia | 200,000 | 183,007 | |||||||||||
eHaidilao International Holding Ltd., senior note, Reg S, 2.15%, 1/14/26 | China | 420,000 | 362,740 | |||||||||||
eHilton Grand Vacations Borrower Escrow LLC, 144A, | ||||||||||||||
senior bond, 4.875%, 7/01/31 | United States | 50,000 | 47,688 | |||||||||||
senior note, 5.00%, 6/01/29 | United States | 155,000 | 152,134 | |||||||||||
Hyatt Hotels Corp., senior note, 5.375%, 4/23/25 | United States | 50,000 | 54,118 | |||||||||||
eMarriott Ownership Resorts Inc., senior note, 144A, 4.50%, 6/15/29 | United States | 70,000 | 66,412 | |||||||||||
ePenn National Gaming Inc., senior note, 144A, 4.125%, 7/01/29 | United States | 55,000 | 50,934 | |||||||||||
eRoyal Caribbean Cruises Ltd., senior note, 144A, | ||||||||||||||
4.25%, 7/01/26 | United States | 45,000 | 42,686 | |||||||||||
5.50%, 4/01/28 | United States | 310,000 | 304,201 | |||||||||||
eScientific Games International Inc., senior note, 144A, | ||||||||||||||
7.00%, 5/15/28 | United States | 200,000 | 206,200 | |||||||||||
7.25%, 11/15/29 | United States | 70,000 | 74,445 | |||||||||||
eStation Casinos LLC, senior bond, 144A, 4.625%, 12/01/31 | United States | 956,000 | 902,158 | |||||||||||
Travel + Leisure Co., | ||||||||||||||
senior secured bond, 6.00%, 4/01/27 | United States | 10,000 | 10,466 | |||||||||||
esenior secured bond, 144A, 4.625%, 3/01/30 | United States | 95,000 | 90,163 | |||||||||||
esenior secured note, 144A, 6.625%, 7/31/26 | United States | 125,000 | 133,615 | |||||||||||
esenior secured note, 144A, 4.50%, 12/01/29 | United States | 215,000 | 205,728 | |||||||||||
|
| |||||||||||||
4,224,895 | ||||||||||||||
|
| |||||||||||||
Household Durables 0.2% | ||||||||||||||
eK. Hovnanian Enterprises Inc., senior secured note, 144A, | ||||||||||||||
7.75%, 2/15/26 | United States | 1,628,000 | 1,684,182 | |||||||||||
10.50%, 2/15/26 | United States | 850,000 | 903,015 | |||||||||||
eTopbuild Corp., senior bond, 144A, 4.125%, 2/15/32 | United States | 70,000 | 66,677 | |||||||||||
|
| |||||||||||||
2,653,874 | ||||||||||||||
|
| |||||||||||||
Household Products 0.1% | ||||||||||||||
eSpectrum Brands Inc., senior bond, 144A, 3.875%, 3/15/31 | United States | 840,000 | 770,616 | |||||||||||
|
| |||||||||||||
Independent Power & Renewable Electricity Producers 0.1% | ||||||||||||||
eCalpine Corp., senior secured bond, 144A, 3.75%, 3/01/31 | United States | 690,000 | 629,042 | |||||||||||
eNTPC Ltd., E, senior bond, Reg S, 4.75%, 10/03/22 | India | 200,000 | 202,979 | |||||||||||
e,gVistra Corp., junior sub. note, 144A, 7.00% to 6/15/22, FRN thereafter, Perpetual | United States | 274,000 | 272,372 | |||||||||||
|
| |||||||||||||
1,104,393 | ||||||||||||||
|
| |||||||||||||
Industrial Conglomerates 0.1% | ||||||||||||||
eCitic Ltd., E, senior bond, Reg S, 3.50%, 2/17/32 | China | 600,000 | 598,143 | |||||||||||
Icahn Enterprises LP / Icahn Enterprises Finance Corp., senior note, | ||||||||||||||
6.25%, 5/15/26 | United States | 85,000 | 85,833 | |||||||||||
5.25%, 5/15/27 | United States | 265,000 | 263,539 | |||||||||||
4.375%, 2/01/29 | United States | 235,000 | 218,376 | |||||||||||
|
| |||||||||||||
1,165,891 | ||||||||||||||
|
|
29
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* | Value | ||||||||||||
Corporate Bonds and Notes (continued) | ||||||||||||||
Insurance 0.2% | ||||||||||||||
e,gAsahi Mutual Life Insurance Co., sub. note, Reg S, 6.50% to 9/05/23, FRN thereafter, Perpetual | Japan | 200,000 | $ | 208,364 | ||||||||||
eAthene Global Funding, secured note, 144A, 1.716%, 1/07/25 | United States | 380,000 | 370,990 | |||||||||||
hGenworth Holdings Inc., senior bond, FRN, 2.509%, (3-Month USD LIBOR + 2.00%), 11/15/66 | United States | 1,380,000 | 814,359 | |||||||||||
eGlobal Atlantic Finance Co., senior bond, 144A, 4.40%, 10/15/29 | United States | 165,000 | 171,467 | |||||||||||
e,gKDB Life Insurance Co. Ltd., sub. note, Reg S, 7.50% to 5/21/23, FRN thereafter, Perpetual | South Korea | 200,000 | 200,250 | |||||||||||
e,hSitka Holdings LLC, senior secured note, 144A, FRN, 5.25%, (3- Month USD LIBOR + 4.50%), 7/06/26 | United States | 1,050,000 | 1,052,748 | |||||||||||
|
| |||||||||||||
2,818,178 | ||||||||||||||
|
| |||||||||||||
Interactive Media & Services 0.2% | ||||||||||||||
eTencent Holdings Ltd., senior bond, Reg S, | ||||||||||||||
3.84%, 4/22/51 | China | 400,000 | 367,311 | |||||||||||
3.94%, 4/22/61 | China | 500,000 | 456,262 | |||||||||||
eTwitter Inc., senior note, 144A, 5.00%, 3/01/30 | United States | 130,000 | 130,897 | |||||||||||
eZipRecruiter Inc., senior note, 144A, 5.00%, 1/15/30 | United States | 1,103,000 | 1,087,624 | |||||||||||
|
| |||||||||||||
2,042,094 | ||||||||||||||
|
| |||||||||||||
Internet & Direct Marketing Retail 0.1% | ||||||||||||||
eArches Buyer Inc., senior note, 144A, 6.125%, 12/01/28 | United States | 700,000 | 658,707 | |||||||||||
eMeituan, senior bond, Reg S, 3.05%, 10/28/30 | China | 600,000 | 500,815 | |||||||||||
|
| |||||||||||||
1,159,522 | ||||||||||||||
|
| |||||||||||||
IT Services 0.1% | ||||||||||||||
eAustin Bidco Inc., senior note, 144A, 7.125%, 12/15/28 | United States | 700,000 | 684,950 | |||||||||||
eHurricane Finance PLC, senior secured note, Reg S, 8.00%, 10/15/25 | United Kingdom | 258,000 | GBP | 351,731 | ||||||||||
|
| |||||||||||||
1,036,681 | ||||||||||||||
|
| |||||||||||||
Leisure Products 0.1% | ||||||||||||||
eMattel Inc., senior note, 144A, 3.375%, 4/01/26 | United States | 590,000 | 586,714 | |||||||||||
eNCL Corp. Ltd., 144A, | ||||||||||||||
senior note, 5.875%, 3/15/26 | United States | 195,000 | 187,882 | |||||||||||
senior secured note, 5.875%, 2/15/27 | United States | 148,000 | 148,363 | |||||||||||
c,eNCL Finance Ltd., senior note, 144A, 6.125%, 3/15/28 | United States | 65,000 | 62,801 | |||||||||||
|
| |||||||||||||
985,760 | ||||||||||||||
|
| |||||||||||||
Machinery 0.0%† | ||||||||||||||
Caterpillar Financial Services Corp., senior note, 0.95%, 1/10/24 | United States | 345,000 | 340,851 | |||||||||||
John Deere Capital Corp., senior note, | ||||||||||||||
0.90%, 1/10/24 | United States | 85,000 | 83,871 | |||||||||||
1.25%, 1/10/25 | United States | 130,000 | 127,460 | |||||||||||
|
| |||||||||||||
552,182 | ||||||||||||||
|
| |||||||||||||
Marine 0.0%† | ||||||||||||||
eStena International SA, senior secured bond, 144A, 5.75%, 3/01/24 | Sweden | 299,000 | 299,347 | |||||||||||
|
| |||||||||||||
Media 0.9% | ||||||||||||||
eAdvantage Sales & Marketing Inc., senior secured note, 144A, 6.50%, 11/15/28 | United States | 132,000 | 133,073 | |||||||||||
eCCO Holdings LLC / CCO Holdings Capital Corp., senior bond, 144A, | ||||||||||||||
4.75%, 3/01/30 | United States | 145,000 | 142,644 | |||||||||||
4.25%, 2/01/31 | United States | 1,065,000 | 999,630 | |||||||||||
4.75%, 2/01/32 | United States | 345,000 | 336,104 | |||||||||||
4.25%, 1/15/34 | United States | 1,524,000 | 1,403,711 | |||||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital, senior secured bond, 4.40%, 12/01/61 | United States | 920,000 | 821,529 |
30
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* | Value | ||||||||||||
Corporate Bonds and Notes (continued) | ||||||||||||||
Media (continued) | ||||||||||||||
eClear Channel Outdoor Holdings Inc., senior note, 144A, 7.75%, 4/15/28 | United States | 700,000 | $ | 732,200 | ||||||||||
eCSC Holdings LLC, senior bond, 144A, 6.50%, 2/01/29 | United States | 43,000 | 43,605 | |||||||||||
4.125%, 12/01/30 | United States | 223,000 | 200,561 | |||||||||||
4.625%, 12/01/30 | United States | 1,010,000 | 842,832 | |||||||||||
4.50%, 11/15/31 | United States | 72,000 | 65,621 | |||||||||||
eDIRECTV Holdings LLC / DIRECTV Financing Co. Inc., senior secured note, 144A, 5.875%, 8/15/27 | United States | 948,000 | 949,185 | |||||||||||
Dish DBS Corp., senior note, 5.125%, 6/01/29 | United States | 375,000 | 317,077 | |||||||||||
esenior secured note, 144A, 5.25%, 12/01/26 | United States | 410,000 | 402,697 | |||||||||||
eDISH DBS Corp., senior secured note, 144A, 5.75%, 12/01/28 | United States | 1,065,000 | 1,020,403 | |||||||||||
eGannett Holdings LLC, senior secured note, 144A, 6.00%, 11/01/26 | United States | 694,000 | 691,710 | |||||||||||
eiHeartCommunications Inc., senior secured note, 144A, | ||||||||||||||
5.25%, 8/15/27 | United States | 90,000 | 89,757 | |||||||||||
4.75%, 1/15/28 | United States | 175,000 | 169,513 | |||||||||||
Liberty Interactive LLC, senior bond, 8.25%, 2/01/30 | United States | 840,000 | 824,851 | |||||||||||
eOutfront Media Capital LLC / Outfront Media Capital Corp., senior bond, 144A, 4.625%, 3/15/30 | United States | 65,000 | 61,585 | |||||||||||
eSpanish Broadcasting System Inc., senior secured note, 144A, 9.75%, 3/01/26 | United States | 700,000 | 715,309 | |||||||||||
eUrban One Inc., senior secured note, 144A, 7.375%, 2/01/28 | United States | 800,000 | 796,972 | |||||||||||
eVirgin Media Secured Finance PLC, senior secured bond, Reg S, 4.25%, 1/15/30 | United Kingdom | 200,000 | GBP | 245,360 | ||||||||||
c,eWolverine Escrow LLC, senior secured note, 144A, 8.50%, 11/15/24 | United States | 820,000 | 699,747 | |||||||||||
|
| |||||||||||||
12,705,676 | ||||||||||||||
|
| |||||||||||||
Metals & Mining 0.3% | ||||||||||||||
eAbja Investment Co. Pte. Ltd., senior note, Reg S, 4.45%, 7/24/23 | India | 200,000 | 205,760 | |||||||||||
eFirst Quantum Minerals Ltd., senior note, 144A, | ||||||||||||||
6.875%, 3/01/26 | Zambia | 200,000 | 205,722 | |||||||||||
6.875%, 10/15/27 | Zambia | 620,000 | 659,606 | |||||||||||
eFMG Resources August 2006 Pty Ltd., senior bond, 144A, 4.375%, 4/01/31 | Australia | 155,000 | 150,664 | |||||||||||
Freeport-McMoRan Inc., senior bond, 5.45%, 3/15/43 | United States | 143,000 | 164,693 | |||||||||||
eGlencore Funding LLC, senior bond, 144A, 2.85%, 4/27/31 | Australia | 305,000 | 286,720 | |||||||||||
eIndonesia Asahan Aluminium Persero PT, senior bond, Reg S, 5.80%, 5/15/50 | Indonesia | 400,000 | 405,096 | |||||||||||
e,gMCC Holding Hong Kong Corp. Ltd., senior note, Reg S, 3.50% to 1/16/23, FRN thereafter, Perpetual | China | 200,000 | 202,314 | |||||||||||
eNovelis Corp., senior bond, 144A, 4.75%, 1/30/30 | United States | 90,000 | 88,229 | |||||||||||
eTaseko Mines Ltd., senior secured note, 144A, 7.00%, 2/15/26 | Canada | 672,000 | 672,770 | |||||||||||
eVedanta Resources Ltd., senior note, Reg S, 6.375%, 7/30/22 | India | 500,000 | 490,920 | |||||||||||
eVolcan Cia Minera SAA, senior note, 144A, 4.375%, 2/11/26 | Peru | 30,000 | 28,699 | |||||||||||
|
| |||||||||||||
3,561,193 | ||||||||||||||
|
| |||||||||||||
Mortgage Real Estate Investment Trusts (REITs) 0.1% | ||||||||||||||
eApollo Commercial Real Estate Finance Inc., senior secured note, 144A, 4.625%, 6/15/29 | United States | 690,000 | 623,912 | |||||||||||
eNew Residential Investment Corp., senior note, 144A, 6.25%, 10/15/25 | United States | 700,000 | 687,323 | |||||||||||
|
| |||||||||||||
1,311,235 | ||||||||||||||
|
| |||||||||||||
Multiline Retail 0.0%† | ||||||||||||||
Kohl’s Corp., senior bond, 5.55%, 7/17/45 | United States | 424,000 | 434,761 | |||||||||||
cTarget Corp., senior note, 1.95%, 1/15/27 | United States | 50,000 | 49,632 | |||||||||||
|
| |||||||||||||
484,393 | ||||||||||||||
|
|
31
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* | Value | ||||||||||||
Corporate Bonds and Notes (continued) | ||||||||||||||
Oil, Gas & Consumable Fuels 1.4% | ||||||||||||||
eAker BP ASA, senior bond, 144A, 4.00%, 1/15/31 | Norway | 150,000 | $ | 153,631 | ||||||||||
Apache Corp., senior bond, 5.10%, 9/01/40 | United States | 207,000 | 207,343 | |||||||||||
eContinental Resources Inc., senior bond, 144A, 5.75%, 1/15/31 | United States | 195,000 | 217,781 | |||||||||||
DCP Midstream Operating LP, senior bond, | ||||||||||||||
5.125%, 5/15/29 | United States | 25,000 | 26,355 | |||||||||||
3.25%, 2/15/32 | United States | 210,000 | 196,092 | |||||||||||
eDT Midstream Inc., senior bond, 144A, 4.375%, 6/15/31 | United States | 700,000 | 684,947 | |||||||||||
Ecopetrol SA, senior bond, 4.625%, 11/02/31 | Colombia | 120,000 | 107,697 | |||||||||||
eEnergean Israel Finance Ltd., 144A, Reg S, | ||||||||||||||
senior secured bond, 5.875%, 3/30/31 | Israel | 130,000 | 120,738 | |||||||||||
senior secured note, 5.375%, 3/30/28 | Israel | 105,000 | 98,963 | |||||||||||
gEnergy Transfer LP, H, junior sub. note, 6.50% to 11/15/26, FRN thereafter, Perpetual | United States | 514,000 | 509,456 | |||||||||||
Equities Corp., senior note, | ||||||||||||||
3.90%, 10/01/27 | United States | 35,000 | 35,431 | |||||||||||
5.00%, 1/15/29 | United States | 35,000 | 36,983 | |||||||||||
e144A, 3.125%, 5/15/26 | United States | 15,000 | 14,771 | |||||||||||
e144A, 3.625%, 5/15/31 | United States | 135,000 | 131,493 | |||||||||||
eLaredo Petroleum Inc., senior note, 144A, 7.75%, 7/31/29 | United States | 700,000 | 681,380 | |||||||||||
eLeviathan Bond Ltd., senior note, 144A, Reg S, 6.50%, 6/30/27 | Israel | 100,000 | 102,900 | |||||||||||
eMC Brazil Downstream Trading SARL, senior secured note, Reg S, 7.25%, 6/30/31 | Brazil | 812,000 | 754,202 | |||||||||||
eMoss Creek Resources Holdings Inc., senior note, 144A, | ||||||||||||||
7.50%, 1/15/26 | United States | 155,000 | 137,456 | |||||||||||
10.50%, 5/15/27 | United States | 591,000 | 558,067 | |||||||||||
eNorthern Oil And Gas Inc., senior note, 144A, 8.125%, 3/01/28 | United States | 700,000 | 736,750 | |||||||||||
Occidental Petroleum Corp., senior bond, | ||||||||||||||
4.50%, 7/15/44 | United States | 45,000 | 42,599 | |||||||||||
4.625%, 6/15/45 | United States | 15,000 | 14,466 | |||||||||||
4.40%, 4/15/46 | United States | 60,000 | 57,096 | |||||||||||
4.10%, 2/15/47 | United States | 85,000 | 78,761 | |||||||||||
4.20%, 3/15/48 | United States | 205,000 | 192,012 | |||||||||||
4.40%, 8/15/49 | United States | 30,000 | 28,543 | |||||||||||
Ovintiv Inc., senior bond, | ||||||||||||||
8.125%, 9/15/30 | United States | 25,000 | 32,112 | |||||||||||
7.20%, 11/01/31 | United States | 5,000 | 6,209 | |||||||||||
7.375%, 11/01/31 | United States | 5,000 | 6,368 | |||||||||||
6.50%, 8/15/34 | United States | 20,000 | 24,393 | |||||||||||
6.625%, 8/15/37 | United States | 45,000 | 54,843 | |||||||||||
6.50%, 2/01/38 | United States | 10,000 | 11,870 | |||||||||||
Petroleos Mexicanos, csenior bond, | ||||||||||||||
5.95%, 1/28/31 | Mexico | 924,000 | 866,596 | |||||||||||
esenior bond, 144A, 6.70%, 2/16/32 | Mexico | 2,487,000 | 2,403,798 | |||||||||||
senior bond, 6.625%, 6/15/35 | Mexico | 380,000 | 344,755 | |||||||||||
senior bond, 6.75%, 9/21/47 | Mexico | 1,418,000 | 1,180,208 | |||||||||||
senior bond, 6.95%, 1/28/60 | Mexico | 415,000 | 345,116 | |||||||||||
esenior note, 144A, 6.875%, 10/16/25 | Mexico | 297,000 | 315,184 | |||||||||||
senior note, 4.50%, 1/23/26 | Mexico | 1,137,000 | 1,124,038 | |||||||||||
Southwestern Energy Co., senior bond, 4.75%, 2/01/32 | United States | 25,000 | 24,899 | |||||||||||
bTalos Production Inc., secured note, 12.00%, 1/15/26 | United States | 602,000 | 637,154 | |||||||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., senior bond, 4.875%, 2/01/31 | United States | 591,000 | 608,511 | |||||||||||
eThai Oil PCL, senior bond, Reg S, 3.625%, 1/23/23 | Thailand | 200,000 | 202,007 | |||||||||||
eThaioil Treasury Center Co. Ltd., senior note, Reg S, 3.625%, 1/23/23 | Thailand | 400,000 | 403,938 | |||||||||||
eTullow Oil PLC, senior secured note, 144A, 10.25%, 5/15/26 | Ghana | 1,693,000 | 1,657,836 |
32
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* | Value | ||||||||||||
Corporate Bonds and Notes (continued) | ||||||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||||
Western Midstream Operating LP, senior bond, | ||||||||||||||
4.55%, 2/01/30 | United States | 30,000 | $ | 30,905 | ||||||||||
5.45%, 4/01/44 | United States | 15,000 | 15,399 | |||||||||||
5.30%, 3/01/48 | United States | 65,000 | 67,054 | |||||||||||
5.50%, 8/15/48 | United States | 10,000 | 10,270 | |||||||||||
5.75%, 2/01/50 | United States | 45,000 | 45,854 | |||||||||||
eYPF Sociedad Anonima, senior bond, Reg S, 8.50%, 7/28/25 | Argentina | 331,000 | 264,601 | |||||||||||
senior bond, 144A, 6.95%, 7/21/27 | Argentina | 105,000 | 71,845 | |||||||||||
senior note, Reg S, 8.75%, 4/04/24 | Argentina | 1,267,000 | 1,190,258 | |||||||||||
senior note, Reg S, 8.50%, 3/23/25 | Argentina | 1,121,750 | 1,000,197 | |||||||||||
|
| |||||||||||||
18,872,131 | ||||||||||||||
|
| |||||||||||||
Paper & Forest Products 0.0%† | ||||||||||||||
Suzano Austria GMBH, senior bond, 3.75%, 1/15/31 | Brazil | 160,000 | 150,078 | |||||||||||
|
| |||||||||||||
Pharmaceuticals 0.5% | ||||||||||||||
eBausch Health Cos. Inc., 144A, | ||||||||||||||
senior bond, 5.25%, 1/30/30 | United States | 120,000 | 96,952 | |||||||||||
senior bond, 5.25%, 2/15/31 | United States | 395,000 | 314,671 | |||||||||||
senior note, 9.00%, 12/15/25 | United States | 88,000 | 90,850 | |||||||||||
senior note, 7.00%, 1/15/28 | United States | 70,000 | 64,155 | |||||||||||
senior note, 5.00%, 1/30/28 | United States | 410,000 | 344,074 | |||||||||||
senior note, 5.00%, 2/15/29 | United States | 20,000 | 16,224 | |||||||||||
senior note, 6.25%, 2/15/29 | United States | 20,000 | 17,086 | |||||||||||
b,c,eENDO Dac / ENDO Finance LLC / ENDO Finco Inc., 144A, | ||||||||||||||
Secured note, 9.50%, 7/31/27 | United States | 1,982,000 | 1,935,671 | |||||||||||
senior note, 6.00%, 6/30/28 | United States | 1,046,000 | 693,838 | |||||||||||
eOrganon & Co. / Organon Foreign Debt Co.-Issuer BV, senior bond, 144A, 5.125%, 4/30/31 | United States | 691,000 | 690,848 | |||||||||||
b,ePar Pharmaceutical Inc., senior secured note, 144A, 7.50%, 4/01/27 | United States | 785,000 | 787,198 | |||||||||||
cTeva Pharmaceutical Finance Co. LLC, senior bond, 6.15%, 2/01/36 | Israel | 10,000 | 10,116 | |||||||||||
Teva Pharmaceutical Finance Netherlands II BV, senior note, 6.00%, 1/31/25 | Israel | 335,000 | EUR | 390,121 | ||||||||||
Teva Pharmaceutical Finance Netherlands III BV, senior bond, | ||||||||||||||
3.15%, 10/01/26 | Israel | 220,000 | 200,807 | |||||||||||
4.10%, 10/01/46 | Israel | 1,180,000 | 933,699 | |||||||||||
|
| |||||||||||||
6,586,310 | ||||||||||||||
|
| |||||||||||||
Pipelines 0.0%† | ||||||||||||||
eGalaxy Pipeline Assets Bidco Ltd., senior secured bond, 144A, 2.94%, 9/30/40 | United Arab Emirates | 200,000 | 184,644 | |||||||||||
|
| |||||||||||||
Professional Services 0.0%† | ||||||||||||||
eCorelogic Inc., senior secured note, 144A, 4.50%, 5/01/28 | United States | 606,000 | 576,139 | |||||||||||
|
| |||||||||||||
Real Estate Management & Development 0.4% | ||||||||||||||
eAgile Group Holdings Ltd., Reg S, | ||||||||||||||
gsenior note, 7.875% to 7/31/24, FRN thereafter, Perpetual | China | 200,000 | 52,500 | |||||||||||
senior secured note, 4.85%, 8/31/22 | China | 330,000 | 189,833 | |||||||||||
senior secured note, 6.05%, 10/13/25 | China | 200,000 | 78,000 | |||||||||||
eCentral China Real Estate Ltd., senior secured note, Reg S, 7.25%, 8/13/24 | China | 200,000 | 92,000 | |||||||||||
eCFLD Cayman Investment Ltd., senior note, Reg S, 8.60%, 4/08/24 | China | 200,000 | 41,458 | |||||||||||
eChina Aoyuan Group Ltd., senior secured note, Reg S, 5.98%, 8/18/25 | China | 200,000 | 37,000 |
33
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* | Value | ||||||||||||
Corporate Bonds and Notes (continued) | ||||||||||||||
Real Estate Management & Development (continued) | ||||||||||||||
eChina Evergrande Group, senior note, Reg S, 8.75%, 6/28/25 | China | 200,000 | $ | 29,000 | ||||||||||
eChina South City Holdings Ltd., senior note, Reg S, 10.75%, 4/11/23 | China | 200,000 | 162,500 | |||||||||||
eCountry Garden Holdings Co. Ltd., senior secured note, Reg S, | ||||||||||||||
3.125%, 10/22/25 | China | 200,000 | 143,400 | |||||||||||
2.70%, 7/12/26 | China | 600,000 | 408,000 | |||||||||||
eEasy Tactic Ltd., senior secured note, Reg S, 8.125%, 2/27/23 | China | 200,000 | 46,540 | |||||||||||
eHunt Cos. Inc., senior secured note, 144A, 5.25%, 4/15/29 | United States | 488,000 | 467,864 | |||||||||||
eKaisa Group Holdings Ltd., senior secured note, Reg S, | ||||||||||||||
8.50%, 6/30/22 | China | 692,000 | 162,620 | |||||||||||
9.375%, 6/30/24 | China | 205,000 | 46,637 | |||||||||||
11.25%, 4/16/25 | China | 994,000 | 226,135 | |||||||||||
11.65%, 6/01/26 | China | 200,000 | 45,000 | |||||||||||
eLogan Group Co. Ltd., senior note, Reg S, 5.25%, 10/19/25 | China | 200,000 | 57,000 | |||||||||||
eNew Metro Global Ltd., senior note, Reg S, 4.625%, 10/15/25 | China | 200,000 | 116,080 | |||||||||||
ePerfect Point Ventures Ltd., senior note, Reg S, 5.20%, 9/20/25 | Hong Kong | 400,000 | 396,420 | |||||||||||
e Powerlong Real Estate Holdings Ltd., senior note, Reg S, 4.00%, 7/25/22 | China | 200,000 | 141,000 | |||||||||||
e Realogy Group LLC / Realogy Co.-Issuer Corp., senior note, 144A, 5.25%, 4/15/30 | United States | 500,000 | 477,163 | |||||||||||
e Ronshine China Holdings Ltd., senior secured note, Reg S, 8.10%, 6/09/23 | China | 200,000 | 47,000 | |||||||||||
eSBB Treasury OYJ, E, senior note, Reg S, 1.125%, 11/26/29 | Sweden | 100,000 | EUR | 96,043 | ||||||||||
eShimao Group Holdings Ltd., Reg S, | ||||||||||||||
senior bond, 4.60%, 7/13/30 | China | 200,000 | 54,000 | |||||||||||
senior secured note, 4.75%, 7/03/22 | China | 200,000 | 96,100 | |||||||||||
senior secured note, 6.125%, 2/21/24 | China | 774,000 | 247,680 | |||||||||||
e,gSino-Ocean Land Treasure III Ltd., senior note, Reg S, 4.90% to | ||||||||||||||
9/21/22, FRN thereafter, Perpetual | China | 330,000 | 254,925 | |||||||||||
eSino-Ocean Land Treasure IV Ltd., senior bond, Reg S, 4.75%, 1/14/30 | China | 200,000 | 158,787 | |||||||||||
eSunac China Holdings Ltd., Reg S, | ||||||||||||||
senior note, 6.80%, 10/20/24 | China | 300,000 | 117,750 | |||||||||||
senior secured note, 8.35%, 4/19/23 | China | 200,000 | 87,500 | |||||||||||
senior secured note, 6.65%, 8/03/24 | China | 200,000 | 81,500 | |||||||||||
senior secured note, 6.50%, 1/26/26 | China | 400,000 | 157,100 | |||||||||||
eTimes China Holdings Ltd., senior secured note, Reg S, 5.55%, 6/04/24 | China | 200,000 | 80,000 | |||||||||||
eYuzhou Group Holdings Co. Ltd., senior secured note, Reg S, | ||||||||||||||
8.375%, 10/30/24 | China | 200,000 | 36,550 | |||||||||||
7.70%, 2/20/25 | China | 200,000 | 34,550 | |||||||||||
7.85%, 8/12/26 | China | 205,000 | 35,157 | |||||||||||
6.35%, 1/13/27 | China | 400,000 | 71,000 | |||||||||||
eZhenro Properties Group Ltd., senior note, Reg S, | ||||||||||||||
5.98%, 4/13/22 | China | 460,000 | 60,950 | |||||||||||
8.70%, 8/03/22 | China | 260,000 | 33,800 | |||||||||||
6.63%, 1/07/26 | China | 403,000 | 46,345 | |||||||||||
|
| |||||||||||||
5,212,887 | ||||||||||||||
|
| |||||||||||||
Road & Rail 0.2% | ||||||||||||||
eSF Holding Investment Ltd., senior bond, Reg S, 3.125%, 11/17/31 | China | 400,000 | 380,310 | |||||||||||
eUber Technologies Inc., senior note, 144A, | ||||||||||||||
7.50%, 9/15/27 | United States | 455,000 | 486,807 | |||||||||||
6.25%, 1/15/28 | United States | 394,000 | 402,522 | |||||||||||
4.50%, 8/15/29 | United States | 1,145,000 | 1,098,313 | |||||||||||
|
| |||||||||||||
2,367,952 | ||||||||||||||
|
|
34
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* | Value | ||||||||||||
Corporate Bonds and Notes (continued) | ||||||||||||||
Semiconductors & Semiconductor Equipment 0.1% | ||||||||||||||
eMicrochip Technology Inc., senior secured note, 144A, 0.983%, 9/01/24 | United States | 85,000 | $ | 81,849 | ||||||||||
eTSMC Global Ltd., senior bond, Reg S, 2.25%, 4/23/31 | Taiwan | 1,000,000 | 931,191 | |||||||||||
|
| |||||||||||||
1,013,040 | ||||||||||||||
|
| |||||||||||||
Software 0.0%† | ||||||||||||||
Oracle Corp., senior bond, 3.95%, 3/25/51 | United States | 230,000 | 211,017 | |||||||||||
|
| |||||||||||||
Specialty Retail 0.5% | ||||||||||||||
eCarvana Co., senior note, 144A, | ||||||||||||||
5.625%, 10/01/25 | United States | 180,000 | 172,845 | |||||||||||
c5.875%, 10/01/28 | United States | 195,000 | 174,384 | |||||||||||
4.875%, 9/01/29 | United States | 736,000 | 615,005 | |||||||||||
eChina Grand Automotive Services Ltd., E, senior note, Reg S, 9.125%, 1/30/24 | China | 333,000 | 214,236 | |||||||||||
eDouglas GMBH, senior secured note, Reg S, 6.00%, 4/08/26 | Germany | 1,714,000 | EUR | 1,855,655 | ||||||||||
eFerrellgas LP / Ferrellgas Finance Corp., senior note, 144A, | ||||||||||||||
5.375%, 4/01/26 | United States | 43,000 | 40,475 | |||||||||||
5.875%, 4/01/29 | United States | 43,000 | 39,403 | |||||||||||
eFertitta Entertainment LLC / Fertitta Entertainment Finance Co. Inc., 144A, | ||||||||||||||
senior note, 6.75%, 1/15/30 | United States | 59,000 | 56,238 | |||||||||||
senior secured note, 4.625%, 1/15/29 | United States | 89,000 | 85,322 | |||||||||||
eFoot Locker Inc., senior note, 144A, 4.00%, 10/01/29 | United States | 217,000 | 197,859 | |||||||||||
eThe Gap Inc., senior note, 144A, 3.625%, 10/01/29 | United States | 599,000 | 543,592 | |||||||||||
eGuitar Center Inc., senior secured note, 144A, 8.50%, 1/15/26 | United States | 607,000 | 637,441 | |||||||||||
e,iKirk Beauty Sun GMBH, senior note, Reg S, PIK, 8.25% 10/01/26 | Germany | 399,858 | EUR | 413,936 | ||||||||||
eLithia Motors Inc., senior note, 144A, 3.875%, 6/01/29 | United States | 43,000 | 42,512 | |||||||||||
eLS Finance 2017 Ltd., senior note, Reg S, | ||||||||||||||
4.80%, 6/18/26 | Hong Kong | 200,000 | 184,090 | |||||||||||
E, 4.875%, 7/15/24 | Hong Kong | 200,000 | 191,098 | |||||||||||
Macy’s Retail Holdings LLC, senior bond, 5.125%, 1/15/42 | United States | 700,000 | 618,187 | |||||||||||
eNMG Holding Co. Inc. / Neiman Marcus Group LLC, senior secured note, 144A, 7.125%, 4/01/26 | United States | 590,000 | 608,290 | |||||||||||
eStaples Inc., 144A, | ||||||||||||||
senior note, 10.75%, 4/15/27 | United States | 300,000 | 279,955 | |||||||||||
senior secured note, 7.50%, 4/15/26 | United States | 300,000 | 296,961 | |||||||||||
|
| |||||||||||||
7,267,484 | ||||||||||||||
|
| |||||||||||||
Thrifts & Mortgage Finance 0.1% | ||||||||||||||
eIIFL Finance Ltd., E, senior secured note, Reg S, 5.875%, 4/20/23 | India | 400,000 | 389,080 | |||||||||||
eIndiabulls Housing Finance Ltd., E, senior secured note, Reg S, 6.375%, 5/28/22 | India | 600,000 | 589,020 | |||||||||||
eNationstar Mortgage Holdings Inc., senior bond, 144A, 5.75%, 11/15/31 | United States | 140,000 | 135,612 | |||||||||||
|
| |||||||||||||
1,113,712 | ||||||||||||||
|
| |||||||||||||
Tobacco 0.1% | ||||||||||||||
Altria Group Inc., senior bond, 3.40%, 2/04/41 | United States | 75,000 | 62,201 | |||||||||||
Bat Capital Corp., senior bond, 3.984%, 9/25/50 | United Kingdom | 75,000 | 64,703 | |||||||||||
b,eVector Group Ltd., senior note, 144A, 10.50%, 11/01/26 | United States | 1,566,000 | 1,610,490 | |||||||||||
|
| |||||||||||||
1,737,394 | ||||||||||||||
|
|
35
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* | Value | ||||||||||||||
Corporate Bonds and Notes (continued) | ||||||||||||||||
Trading Companies & Distributors 0.0%† | ||||||||||||||||
Aircastle Ltd., | ||||||||||||||||
e,gjunior sub. note, 144A, 5.25% to 6/15/26, FRN thereafter, Perpetual | United States | 55,000 | $ | 52,800 | ||||||||||||
senior note, 4.25%, 6/15/26 | United States | 310,000 | 319,681 | |||||||||||||
eBOC Aviation Ltd., G, senior note, Reg S, 3.00%, 5/23/22 | Singapore | 200,000 | 200,362 | |||||||||||||
|
| |||||||||||||||
572,843 | ||||||||||||||||
|
| |||||||||||||||
Transportation Infrastructure 0.1% | ||||||||||||||||
eAdani Ports & Special Economic Zone Ltd., | ||||||||||||||||
senior bond, Reg S, 3.828%, 2/02/32 | India | 500,000 | 456,057 | |||||||||||||
senior note, 144A, 4.20%, 8/04/27 | India | 200,000 | 199,893 | |||||||||||||
|
| |||||||||||||||
655,950 | ||||||||||||||||
|
| |||||||||||||||
Wireless Telecommunication Services 0.1% | ||||||||||||||||
eBharti Airtel Ltd., senior bond, Reg S, 4.375%, 6/10/25 | India | 700,000 | 724,645 | |||||||||||||
eSoftbank Group Corp., senior bond, Reg S, 5.25%, 7/06/31 | Japan | 200,000 | 185,037 | |||||||||||||
|
| |||||||||||||||
909,682 | ||||||||||||||||
|
| |||||||||||||||
Total Corporate Bonds and Notes (Cost $162,266,014) | 155,416,928 | |||||||||||||||
|
| |||||||||||||||
Corporate Bonds and Notes in Reorganization 0.2% | ||||||||||||||||
Airlines 0.1% | ||||||||||||||||
e,jLATAM Finance Ltd., senior note, 144A, | ||||||||||||||||
6.875%, 4/11/24 | Chile | 400,000 | 368,500 | |||||||||||||
7.00%, 3/01/26 | Chile | 1,600,000 | 1,510,208 | |||||||||||||
|
| |||||||||||||||
1,878,708 | ||||||||||||||||
|
| |||||||||||||||
Metals & Mining 0.1% | ||||||||||||||||
e,jSamarco Mineracao SA, senior bond, Reg S, | ||||||||||||||||
4.125%, 11/01/22 | Brazil | 925,000 | 526,024 | |||||||||||||
5.75%, 10/24/23 | Brazil | 184,000 | 112,259 | |||||||||||||
|
| |||||||||||||||
638,283 | ||||||||||||||||
|
| |||||||||||||||
Real Estate Management & Development 0.0%† | ||||||||||||||||
e,jKaisa Group Holdings Ltd., senior secured note, Reg S, | ||||||||||||||||
11.95%, 11/12/23 | China | 200,000 | 45,500 | |||||||||||||
11.70%, 11/11/25 | China | 200,000 | 45,000 | |||||||||||||
|
| |||||||||||||||
90,500 | ||||||||||||||||
|
| |||||||||||||||
Road & Rail 0.0%† | ||||||||||||||||
b,f,jHertz Corp. Escrow, senior note, zero cpn., 1/15/28 | United States | 1,584,000 | — | |||||||||||||
|
| |||||||||||||||
Total Corporate Bonds and Notes in Reorganization (Cost $3,043,895) | 2,607,491 | |||||||||||||||
|
| |||||||||||||||
hSenior Floating Rate Interests 0.2% | ||||||||||||||||
Communications Equipment 0.0%† | ||||||||||||||||
Riverbed Technology Inc., Term Loan, 7.00%, (1-Month USD LIBOR + 6.00%), 12/08/26 | United States | 134,899 | 124,340 | |||||||||||||
|
| |||||||||||||||
Consumer Discretionary Services 0.0%† | ||||||||||||||||
Motel 6, Term Loan B, 5.75%, (1-Month USD LIBOR + 5.00%), 9/09/26 | United States | 39,900 | 39,917 | |||||||||||||
Travel Leaders Group LLC, Term Loan B, 4.209%, (1-Month USD LIBOR + 4.00%), 1/25/24 | United States | 480,937 | 454,606 | |||||||||||||
|
| |||||||||||||||
494,523 | ||||||||||||||||
|
| |||||||||||||||
Diversified Financial Services 0.0%† | ||||||||||||||||
Ziggo BV, Term Loan H, 3.00%, (3-Month EURIBOR + 3.00%), 1/31/29 | United States | 115,000 | 125,031 | |||||||||||||
|
|
36
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* | Value | ||||||||||||||
hSenior Floating Rate Interests (continued) | ||||||||||||||||
Diversified Telecommunication Services 0.1% | ||||||||||||||||
Intelsat Jackson Holdings SA, Term Loan B, 4.75%, (1-Month SOFR + 4.25%), 2/01/29 | United States | 955,474 | $ | 943,531 | ||||||||||||
|
| |||||||||||||||
Entertainment 0.0%† | ||||||||||||||||
Playtika Holding Corp., Term Loan B, 2.959%, (1-Month USD LIBOR + 2.75%), 3/13/28 | United States | 218,350 | 216,515 | |||||||||||||
|
| |||||||||||||||
Equity Real Estate Investment Trusts (REITs) 0.0%† | ||||||||||||||||
The GEO Group Inc., Term Loan B, 2.75%, (3-Month USD LIBOR + 2.00%), 3/22/24 | United States | 267,216 | 247,843 | |||||||||||||
McCarthy & Stone PLC, Term Loan B, 7.00%, 12/16/25 | United Kingdom | 170,938 | GBP | 229,313 | ||||||||||||
|
| |||||||||||||||
477,156 | ||||||||||||||||
|
| |||||||||||||||
Insurance 0.0%† | ||||||||||||||||
AmWINS Group Inc., Term Loan B, 3.00%, (1-Month USD LIBOR + 2.25%), 2/19/28 | United States | 42,597 | 41,981 | |||||||||||||
|
| |||||||||||||||
Media 0.1% | ||||||||||||||||
Advantage Sales & Marketing Inc., Term Loan B1, 5.25%, (3-Month USD LIBOR + 4.50%), 10/28/27 | United States | 538,014 | 533,309 | |||||||||||||
|
| |||||||||||||||
Pharmaceuticals 0.0%† | ||||||||||||||||
Bausch Health Cos. Inc., Term Loan B, 5.75% (1-Month SOFR + 5.25%), 1/27/27 | United States | 292,912 | 290,135 | |||||||||||||
|
| |||||||||||||||
Professional Services 0.0%† | ||||||||||||||||
CoreLogic Inc., Term Loan B, 4.00%, (1-Month USD LIBOR + 3.50%), 6/02/28 | United States | 169,575 | 167,667 | |||||||||||||
|
| |||||||||||||||
Total Senior Floating Rate Interests (Cost $3,445,701) | 3,414,188 | |||||||||||||||
|
| |||||||||||||||
Credit-Linked Notes 0.4% | ||||||||||||||||
eCitigroup Global Markets Holdings Inc., (Egypt), EMTN, senior note, 144A, zero cpn., 3/31/22 | Egypt | 11,771,928 | EGP | 744,741 | ||||||||||||
eHSBC Bank PLC, (Egypt), senior note, 144A, zero cpn., 4/14/22 | Egypt | 12,550,000 | EGP | 787,031 | ||||||||||||
eICBC Standard Bank PLC, (Egypt), EMTN, 144A, zero cpn., 3/17/22 | Egypt | 42,000,000 | EGP | 2,662,362 | ||||||||||||
eJPMorgan Chase Bank NA, (Egypt), senior note, 144A, zero cpn., 3/17/22 | Egypt | 12,389,000 | EGP | 785,475 | ||||||||||||
|
| |||||||||||||||
Total Credit-Linked Notes (Cost $4,973,726) | 4,979,609 | |||||||||||||||
|
| |||||||||||||||
Foreign Government and Agency Securities 4.5% | ||||||||||||||||
eAirport Authority Hong Kong, senior bond, Reg S, 3.25%, 1/12/52 | Hong Kong | 500,000 | 470,613 | |||||||||||||
eExport-Import Bank of India, E, senior bond, Reg S, 4.00%, 1/14/23 | India | 500,000 | 508,260 | |||||||||||||
eCBB International Sukuk Programme Co. Wll, senior note, 144A, 3.875%, 5/18/29 | Bahrain | 2,303,000 | 2,208,943 | |||||||||||||
eExport-Import Bank of Korea, senior note, 144A, | ||||||||||||||||
4.89%, 8/09/23 | South Korea | 35,800,000 | INR | 468,718 | ||||||||||||
Reg S, 6.75%, 8/09/22 | South Korea | 7,100,000 | INR | 94,735 | ||||||||||||
eGovernment of Angola, senior bond, Reg S, | ||||||||||||||||
9.50%, 11/12/25 | Angola | 1,884,000 | 2,016,973 | |||||||||||||
8.25%, 5/09/28 | Angola | 1,015,000 | 1,013,731 | |||||||||||||
8.00%, 11/26/29 | Angola | 2,340,000 | 2,298,678 | |||||||||||||
9.375%, 5/08/48 | Angola | 1,102,000 | 1,043,750 | |||||||||||||
Government of Argentina, senior bond, | ||||||||||||||||
1.125%, 7/09/35 | Argentina | 7,039,418 | 2,092,467 | |||||||||||||
2.00%, 1/09/38 | Argentina | 6,871,545 | 2,559,650 | |||||||||||||
2.50%, 7/09/41 | Argentina | 2,188,360 | 748,419 |
37
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* | Value | ||||||||||||||
Foreign Government and Agency Securities (continued) | ||||||||||||||||
eGovernment of Bahrain, senior bond, Reg S, 7.00%, 1/26/26 | Bahrain | 467,000 | $ | 501,924 | ||||||||||||
Government of Brazil, senior bond, | ||||||||||||||||
10.00%, 1/01/25 | Brazil | 2,657,000 | BRL | 500,162 | ||||||||||||
3.875%, 6/12/30 | Brazil | 352,000 | 329,254 | |||||||||||||
eGovernment of Dominican Republic, | ||||||||||||||||
senior bond, 144A, 6.00%, 2/22/33 | Dominican Republic | 250,000 | 246,282 | |||||||||||||
senior note, 144A, 5.50%, 2/22/29 | Dominican Republic | 150,000 | 149,536 | |||||||||||||
senior note, Reg S, 5.50%, 2/22/29 | Dominican Republic | 1,870,000 | 1,864,222 | |||||||||||||
eGovernment of Ecuador, senior bond, Reg S, 1.00%, 7/31/35 | Ecuador | 2,808,556 | 1,980,060 | |||||||||||||
Government of Egypt, | ||||||||||||||||
esenior bond, 144A, | ||||||||||||||||
5.875%, 2/16/31 | Egypt | 487,000 | 379,300 | |||||||||||||
esenior bond, Reg S, 7.50%, 1/31/27 | Egypt | 2,519,000 | 2,411,134 | |||||||||||||
esenior bond, Reg S, 7.60%, 3/01/29 | Egypt | 789,000 | 709,870 | |||||||||||||
senior note, zero cpn., 3/22/22 | Egypt | 16,900,000 | EGP | 1,071,760 | ||||||||||||
eGovernment of El Salvador, senior bond, Reg S, 7.75%, 1/24/23 | El Salvador | 895,000 | 760,750 | |||||||||||||
eGovernment of Germany, senior bond, Reg S, | ||||||||||||||||
zero cpn., 2/15/31 | Germany | 146,000 | EUR | 162,475 | ||||||||||||
zero cpn., 2/15/32 | Germany | 300,000 | EUR | 331,146 | ||||||||||||
0.50%, 2/15/28 | Germany | 100,111 | EUR | 116,206 | ||||||||||||
eGovernment of Ghana, | ||||||||||||||||
Reg S, 10.75%, 10/14/30 | Ghana | 1,048,000 | 1,026,636 | |||||||||||||
senior note, 144A, zero cpn., 4/07/25 | Ghana | 278,000 | 163,942 | |||||||||||||
senior note, 144A, 7.75%, 4/07/29 | Ghana | 372,000 | 255,192 | |||||||||||||
eGovernment of Iraq, senior bond, Reg S, 5.80%, 1/15/28 | Iraq | 717,000 | 690,797 | |||||||||||||
Government of Italy, senior note, 2.375%, 10/17/24 | Italy | 350,000 | 351,859 | |||||||||||||
eGovernment of Jordan, 144A, | ||||||||||||||||
senior bond, 5.85%, 7/07/30 | Jordan | 386,000 | 363,708 | |||||||||||||
senior note, 4.95%, 7/07/25 | Jordan | 578,000 | 580,491 | |||||||||||||
Government of Mexico, | ||||||||||||||||
senior bond, 4.28%, 8/14/41 | Mexico | 350,000 | 329,416 | |||||||||||||
senior bond, 3.771%, 5/24/61 | Mexico | 210,000 | 170,954 | |||||||||||||
senior bond, M, 7.75%, 5/29/31 | Mexico | 12,230,000 | k | MXN | 591,639 | |||||||||||
senior bond, M 30, 8.50%, 11/18/38 | Mexico | 4,770,400 | k | MXN | 241,818 | |||||||||||
senior note, M, 6.75%, 3/09/23 | Mexico | 9,060,800 | k | MXN | 439,954 | |||||||||||
eGovernment of Nigeria, Reg S, | ||||||||||||||||
senior bond, 7.375%, 9/28/33 | Nigeria | 368,000 | 326,948 | |||||||||||||
senior note, 7.625%, 11/21/25 | Nigeria | 1,884,000 | 2,000,337 | |||||||||||||
senior note, 6.125%, 9/28/28 | Nigeria | 4,709,000 | 4,329,229 | |||||||||||||
eGovernment of Oman, | ||||||||||||||||
senior bond, Reg S, 5.625%, 1/17/28 | Oman | 1,500,000 | 1,533,375 | |||||||||||||
senior bond, Reg S, 6.25%, 1/25/31 | Oman | 830,000 | 863,612 | |||||||||||||
senior bond, Reg S, 6.75%, 1/17/48 | Oman | 1,894,000 | 1,823,869 | |||||||||||||
senior bond, Reg S, 7.00%, 1/25/51 | Oman | 286,000 | 283,721 | |||||||||||||
senior note, 144A, 4.875%, 6/15/30 | Oman | 221,000 | 231,968 | |||||||||||||
eGovernment of Saudi Arabia, senior bond, | ||||||||||||||||
144A, 2.75%, 2/03/32 | Saudi Arabia | 910,000 | 904,563 | |||||||||||||
144A, 3.75%, 1/21/55 | Saudi Arabia | 354,000 | 345,723 | |||||||||||||
Reg S, 2.75%, 2/03/32 | Saudi Arabia | 302,000 | 300,196 | |||||||||||||
Government of South Africa, senior bond, | ||||||||||||||||
R186, 10.50%, 12/21/26 | South Africa | 68,117,200 | ZAR | 4,924,770 | ||||||||||||
2030, 8.00%, 1/31/30 | South Africa | 5,401,426 | ZAR | 323,641 | ||||||||||||
2032, 8.25%, 3/31/32 | South Africa | 10,706,466 | ZAR | 626,517 | ||||||||||||
2037, 8.50%, 1/31/37 | South Africa | 10,097,786 | ZAR | 559,226 | ||||||||||||
eGovernment of Sri Lanka, senior bond, Reg S, 7.55%, 3/28/30 | Sri Lanka | 955,000 | 427,362 |
38
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* | Value | ||||||||||||||
Foreign Government and Agency Securities (continued) | ||||||||||||||||
eGovernment of Tunisian Republic, senior note, Reg S, | ||||||||||||||||
6.75%, 10/31/23 | Tunisia | 469,000 | EUR | $ | 445,162 | |||||||||||
5.625%, 2/17/24 | Tunisia | 831,000 | EUR | 737,711 | ||||||||||||
Government of Turkey, | ||||||||||||||||
senior bond, 4.25%, 4/14/26 | Turkey | 408,000 | 364,254 | |||||||||||||
senior note, 6.375%, 10/14/25 | Turkey | 645,000 | 628,604 | |||||||||||||
eGovernment of Ukraine, senior bond, Reg S, | ||||||||||||||||
7.375%, 9/25/32 | Ukraine | 1,173,000 | 399,577 | |||||||||||||
senior bond, Reg S, 1.258%, 5/31/40 | Ukraine | 3,768,000 | 912,964 | |||||||||||||
senior note, 144A, 6.876%, 5/21/29 | Ukraine | 302,000 | 103,565 | |||||||||||||
senior note, Reg S, 6.876%, 5/21/29 | Ukraine | 966,000 | 331,269 | |||||||||||||
eGovernment of Zambia, senior bond, Reg S, | ||||||||||||||||
8.50%, 4/14/24 | Zambia | 1,363,000 | 1,029,841 | |||||||||||||
8.97%, 7/30/27 | Zambia | 1,382,000 | 1,027,833 | |||||||||||||
eHazine Mustesarligi Varlik Kiralama AS, senior note, Reg S, 7.25%, 2/24/27 | Turkey | 1,220,000 | 1,212,314 | |||||||||||||
International Finance Corp., senior note, 5.85%, 11/25/22 | Supranational | l | 8,120,000 | INR | 108,584 | |||||||||||
Provincia de Buenos Aires, | ||||||||||||||||
hFRN, 39.486%, (ARS BADLAR + 3.83%), 5/31/22 | Argentina | 18,295,000 | ARS | 79,509 | ||||||||||||
e,h144A, Reg S, FRN, 41.627%, (ARS BADLAR + 3.75%), 4/12/25 | Argentina | 3,670,000 | ARS | 16,861 | ||||||||||||
esenior bond, 144A, 3.90%, 9/01/37 | Argentina | 3,480,000 | ARS | 1,483,350 | ||||||||||||
|
| |||||||||||||||
Total Foreign Government and Agency Securities (Cost $68,993,763) | 60,931,879 | |||||||||||||||
|
| |||||||||||||||
U.S. Government and Agency Securities (Cost $749,642) 0.0%† |
| |||||||||||||||
U.S. Treasury Note, 1.625%, 5/15/31 | United States | 738,000 | 725,402 | |||||||||||||
|
| |||||||||||||||
Asset-Backed Securities and Commercial Mortgage-Backed Securities 7.0% |
| |||||||||||||||
Diversified Financial Services 5.1% | ||||||||||||||||
eAASET Trust, 144A, 2021-1A, A, | ||||||||||||||||
2.95%, 11/16/41 | United States | 241,475 | 228,444 | |||||||||||||
2021-1A, B, 3.80%, 11/16/41 | United States | 1,253,514 | 1,146,238 | |||||||||||||
eAccelerated Assets LLC, 2018-1, B, 144A, 4.51%, 12/02/33 | United States | 42,384 | 42,658 | |||||||||||||
mACE Securities Corp. Home Equity Loan Trust, 2003-FM1, M1, FRN, 1.477%, (1-Month USD LIBOR + 1.29%), 11/25/32 | United States | 1,097,245 | 1,136,247 | |||||||||||||
eAdams Outdoor Advertising LP, 2018-1, A, 144A, 4.81%, 11/15/48 | United States | 173,036 | 176,898 | |||||||||||||
e,mAGL CLO 3 Ltd., 2020-3A, C, 144A, FRN, 2.391%, | United States | 285,000 | 284,328 | |||||||||||||
eAIM Aviation Finance Ltd., 2015-1A, B1, 144A, 5.072%, 2/15/40 | United States | 170,624 | 62,286 | |||||||||||||
e,mAllegro CLO VI Ltd., 2018-2A, D, 144A, FRN, 2.991%, | United States | 250,000 | 244,309 | |||||||||||||
eAmerican Credit Acceptance Receivables Trust, 144A, | ||||||||||||||||
2020-3, D, 2.40%, 6/15/26 | United States | 200,000 | 200,743 | |||||||||||||
2020-4, D, 1.77%, 12/14/26 | United States | 185,000 | 183,079 | |||||||||||||
e,mArbor Realty Commercial Real Estate Notes Ltd., 144A, FRN, | ||||||||||||||||
2021-FL1, D, 3.141%, (1-Month USD LIBOR + 2.95%), 12/15/35 | United States | 1,000,000 | 996,183 | |||||||||||||
2022-FL1, D, 3.05%, (SOFR + 3.00%), 1/15/37 | United States | 1,000,000 | 1,000,008 | |||||||||||||
eArbys Funding LLC, 2020-1A, A2, 144A, 3.237%, 7/30/50 | United States | 98,500 | 97,692 | |||||||||||||
mArgent Securities Inc., 2004-W3, M4, FRN, 4.762%, (1-Month USD LIBOR + 4.58%), 2/25/34 | United States | 166,321 | 189,311 | |||||||||||||
eAvis Budget Rental Car Funding AESOP LLC, 144A, 2020-2A, B, 2.96%, 2/20/27 | United States | 100,000 | 101,201 |
39
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* | Value | ||||||||||||||
Asset-Backed Securities and Commercial Mortgage-Backed Securities (continued) | ||||||||||||||||
Diversified Financial Services (continued) | ||||||||||||||||
eAvis Budget Rental Car Funding AESOP LLC, 144A, (continued) 2020-2A, C, 4.25%, 2/20/27 | United States | 100,000 | $ | 104,013 | ||||||||||||
e,mBarings CLO Ltd., 2019-4A, C, 144A, FRN, 3.041%, (3-Month USD LIBOR + 2.80%), 1/15/33 | United States | 400,000 | 399,140 | |||||||||||||
nBear Stearns ALT-A Trust, 2006-3, 21A1, FRN, 2.676%, 5/25/36 | United States | 1,091,607 | 917,070 | |||||||||||||
e,nBinom Securitization Trust, 2022-RPL1, M1, 144A, FRN, 3.00%, 2/25/61 | United States | 160,000 | 156,151 | |||||||||||||
eBlackbird Capital Aircraft Lease Securitization Ltd., 2016-1A, A, 144A, 4.213%, 12/16/41 | United States | 174,241 | 169,316 | |||||||||||||
e,mBNPP IP CLO Ltd., 2017-2A, DR, 144A, FRN, 3.799%, | United States | 1,250,000 | 1,246,331 | |||||||||||||
e,mBSPRT Issuer Ltd., 2019-FL5, E, 144A, FRN, 3.041%, | United States | 1,000,000 | 999,979 | |||||||||||||
e,mBX Commercial Mortgage Trust, 2019-XL, E, 144A, FRN, 1.991%, | United States | 340,000 | 336,651 | |||||||||||||
California Republic Auto Receivables Trust, 2018-1, D, 4.33%, 4/15/25 | United States | 115,000 | 116,521 | |||||||||||||
e,mCarlyle US CLO Ltd., 2017-4A, C, 144A, FRN, 3.041%, | United States | 250,000 | 241,802 | |||||||||||||
Carvana Auto Receivables Trust, 2021-N4, D, 2.30%, 9/11/28 | United States | 100,000 | 98,259 | |||||||||||||
eCastlelake Aircraft Structured Trust, 2021-1A, A, 144A, 3.474%, 1/15/46 | United States | 336,889 | 336,613 | |||||||||||||
e,mCatamaran CLO Ltd., 144A, FRN, | ||||||||||||||||
2014-2, C, 3.741%, (3-Month USD LIBOR + 3.50%), 10/18/26 | United States | 2,030,000 | 2,033,042 | |||||||||||||
2014-2A, D, 5.091%, (3-Month USD LIBOR + 4.85%), 10/18/26 | United States | 1,001,410 | 990,009 | |||||||||||||
e,mCHCP Ltd., 2021-FL1, C, 144A, FRN, 2.263%, (SOFR + 2.21%), 2/15/38 | United States | 1,000,000 | 995,245 | |||||||||||||
CHL Mortgage Pass-Through Trust, 2004-4, M, | ||||||||||||||||
5.50%, 5/25/34 | United States | 792,480 | 520,870 | |||||||||||||
2006-21, A8, 5.75%, 2/25/37 | United States | 333,119 | 221,713 | |||||||||||||
n2006-HYB1, 2A2C, FRN, 2.68%, 3/20/36 | United States | 1,211,308 | 1,180,970 | |||||||||||||
n2006-HYB4, 3B, FRN, 3.464%, 6/20/36 | United States | 1,587,013 | 1,306,470 | |||||||||||||
e,mCIFC Funding Ltd., 2021-7A, D, 144A, FRN, 3.128%, (3-Month USD LIBOR + 3.00%), 1/23/35 | United States | 315,000 | 307,553 | |||||||||||||
eCLI Funding VIII LLC, 2021-1A, A, 144A, 1.64%, 2/18/46 | United States | 360,086 | 341,924 | |||||||||||||
e,mConnecticut Avenue Securities Trust, 144A, FRN, | ||||||||||||||||
2019-R01, 2B1, 4.537%, (1-Month USD LIBOR + 4.35%), 7/25/31 | United States | 1,910,000 | 1,936,741 | |||||||||||||
2020-R01, 1M2, 2.237%, (1-Month USD LIBOR + 2.05%), 1/25/40 | United States | 36,271 | 36,245 | |||||||||||||
2021-R01, 1B1, 3.149%, (SOFR + 3.10%), 10/25/41 | United States | 100,000 | 94,424 | |||||||||||||
eCoreVest American Finance Trust, 144A, | ||||||||||||||||
2019-2, B, 3.424%, 6/15/52 | United States | 100,000 | 100,297 | |||||||||||||
2020-4, C, 2.25%, 12/15/52 | United States | 100,000 | 91,383 | |||||||||||||
eCSMC Trust, 144A, | ||||||||||||||||
n2019-RP10, A1, FRN, 2.964%, 12/26/59 | United States | 133,022 | 132,895 | |||||||||||||
n2020-RPL3, A1, FRN, 2.691%, 3/25/60 | United States | 103,145 | 102,360 | |||||||||||||
2021-RPL1, A2, 3.937%, 9/27/60 | United States | 155,000 | 151,141 | |||||||||||||
e,mCutwater Ltd., 2017-1A, CR, 144A, FRN, 3.841%, (3-Month USD LIBOR + 3.60%), 7/15/26 | United States | 1,000,000 | 1,003,086 | |||||||||||||
eDB Master Finance LLC, 144A, | ||||||||||||||||
2019-1A, A23, 4.352%, 5/20/49 | United States | 146,250 | 152,371 | |||||||||||||
2021-1A, A2II, 2.493%, 11/20/51 | United States | 54,863 | 52,840 |
40
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* | Value | ||||||||||
Asset-Backed Securities and Commercial Mortgage-Backed Securities (continued) | ||||||||||||
Diversified Financial Services (continued) | ||||||||||||
e,nDBUBS Mortgage Trust, 2017-BRBK, D, 144A, FRN, 3.53%, 10/10/34 | United States | 100,000 | $ | 98,070 | ||||||||
eDomino’s Pizza Master Issuer LLC, 144A, | United States | 163,200 | 168,119 | |||||||||
2017-1A, A23, 4.118%, 7/25/47 | ||||||||||||
2018-1A, A2II, 4.328%, 7/25/48 | United States | 174,150 | 180,081 | |||||||||
2019-1A, A2, 3.668%, 10/25/49 | United States | 166,600 | 170,648 | |||||||||
2021-1A, A2I, 2.662%, 4/25/51 | United States | 223,313 | 214,854 | |||||||||
Drive Auto Receivables Trust, 2018-3, D, 4.30%, 9/16/24 | United States | 8,958 | 9,053 | |||||||||
eDT Auto Owner Trust, 144A, | United States | 80,000 | 79,109 | |||||||||
2020-3A, D, 1.84%, 6/15/26 | ||||||||||||
2021-4A, D, 1.99%, 9/15/27 | United States | 105,000 | 101,481 | |||||||||
eEducation Funding Trust Trust, 2020-A, A, 144A, 2.79%, 7/25/41 | United States | 94,718 | 94,116 | |||||||||
Exeter Automobile Receivables Trust, | United States | 90,000 | 93,191 | |||||||||
e2020-2A, D, 144A, 4.73%, 4/15/26 | ||||||||||||
2020-3A, C, 1.32%, 7/15/25 | United States | 145,000 | 145,001 | |||||||||
nFannie Mae Grantor Trust, 2004-T5, AB7, FRN, 0.608%, 5/28/35 | United States | 299,003 | 288,093 | |||||||||
eFirst Investors Auto Owner Trust, 2019-2A, D, 144A, 2.80%, 12/15/25 | United States | 40,000 | 40,426 | |||||||||
eFirstKey Homes Trust, 144A, | United States | 225,000 | 217,627 | |||||||||
2020-SFR1, F1, 3.638%, 8/17/37 | ||||||||||||
2020-SFR2, F1, 3.017%, 10/19/37 | United States | 320,000 | 298,585 | |||||||||
eFlagship Credit Auto Trust, 144A, | United States | 90,000 | 90,588 | |||||||||
2019-4, D, 3.12%, 1/15/26 | ||||||||||||
2022-1, D, 3.64%, 3/15/28 | United States | 225,000 | 225,377 | |||||||||
e,mGalaxy XXVI CLO Ltd., 2018-26A, E, 144A, FRN, 6.33%, | United States | 260,000 | 253,453 | |||||||||
e,mGilbert Park CLO Ltd., 2017-1A, D, 144A, FRN, 3.191%, | United States | 250,000 | 249,087 | |||||||||
eGLS Auto Receivables Trust, 144A, | ||||||||||||
2020-1A, C, 2.72%, 11/17/25 | United States | 150,000 | 151,000 | |||||||||
2020-3A, C, 1.92%, 5/15/25 | United States | 330,000 | 330,326 | |||||||||
e,mGPMT Ltd., 2018-FL1, C, 144A, FRN, 2.321%, (1-Month USD LIBOR + 2.15%), 11/19/35 | United States | 1,052,054 | 1,052,580 | |||||||||
e,mGrand Avenue CRE, 2019-FL1, D, 144A, FRN, 2.991%, (1-Month USD LIBOR + 2.80%), 6/15/37 | United States | 1,250,000 | 1,250,141 | |||||||||
e,mGreystone CRE Notes Ltd., 2021-HC2, A, 144A, FRN, 1.991%, | United States | 105,000 | 105,105 | |||||||||
e,mGSRPM Mortgage Loan Trust, 2002-1A, M1, 144A, FRN, 2.137%, | United States | 813,260 | 812,243 | |||||||||
e,mHalcyon Loan Advisors Funding Ltd., 2014-1A, D, 144A, FRN, 3.741%, | United States | 979,057 | 979,411 | |||||||||
eHPEFS Equipment Trust, 2020-2A, D, 144A, 2.79%, 7/22/30 | United States | 325,000 | 327,941 | |||||||||
e,mJFIN CLO Ltd., 2018-1A, DR, 144A, FRN, 3.668%, | United States | 1,000,000 | 1,001,231 | |||||||||
eKestrel Aircraft Funding Ltd., 2018-1A, A, 144A, 4.25%, 12/15/38 | United States | 205,468 | 197,832 | |||||||||
eLegacy Mortgage Asset Trust, 144A, | United States | 81,872 | 82,156 | |||||||||
2019-GS3, A1, 3.75%, 4/25/59 | ||||||||||||
2019-GS4, A1, 3.438%, 5/25/59 | United States | 130,487 | 130,805 | |||||||||
2019-PR1, A2, 4.50%, 9/25/59 | United States | 1,600,000 | 1,594,308 | |||||||||
2020-GS1, A1, 2.882%, 10/25/59 | United States | 207,907 | 208,285 | |||||||||
e,mLoancore Issuer Ltd., 2021-KF112, D, 144A, FRN, 3.141%, | United States | 1,600,000 | 1,598,845 | |||||||||
e,mMadison Park Funding XXXI Ltd., 2018-31A, D, 144A, FRN, 3.259%, | United States | 335,000 | 330,917 | |||||||||
e,mMarathon CLO V Ltd., 2017-5A, CR, 144A, FRN, 3.23%, | United States | 2,200,000 | 2,137,651 |
41
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* | Value | ||||||||||
Asset-Backed Securities and Commercial Mortgage-Backed Securities (continued) | ||||||||||||
Diversified Financial Services (continued) | ||||||||||||
e,mMarathon CLO VI Ltd., 2018-6A, CR2, 144A, FRN, 3.895%, (3- | ||||||||||||
Month USD LIBOR + 3.50%), 5/13/28 | United States | 1,000,000 | $ | 968,757 | ||||||||
eMarlette Funding Trust, 144A, | ||||||||||||
2019-4A, B, 2.95%, 12/17/29 | United States | 228,785 | 229,250 | |||||||||
2022-1A, D, 3.39%, 4/15/32 | United States | 320,000 | 315,855 | |||||||||
mMerrill Lynch Mortgage Investors Trust Series, 2007-MLN1, A2D, | ||||||||||||
FRN, 0.507%, (1-Month USD LIBOR + 0.32%), 3/25/37 | United States | 825,072 | 777,386 | |||||||||
e,mMF1 Ltd., 2022-FL8, D, 144A, FRN, 2.698%, (SOFR + 2.65%), 2/19/37 | United States | 500,000 | 499,924 | |||||||||
e,nMill City Mortgage Loan Trust, 2021-NMR1, M3, 144A, FRN, 2.50%, 11/25/60 | United States | 100,000 | 95,661 | |||||||||
mMortgageIT Mortgage Loan Trust, 2006-1, 2A1B, FRN, 0.747%, | ||||||||||||
(1-Month USD LIBOR + 0.56%), 4/25/36 | United States | 586,983 | 243,120 | |||||||||
e,mMountain View CLO Ltd., 2018-1A, DRR, 144A, FRN, 3.891%, | United States | 2,000,000 | 2,002,898 | |||||||||
eMVW LLC, 2020-1A, C, 144A, 4.21%, 10/20/37 | United States | 167,610 | 168,856 | |||||||||
eMVW Owner Trust, 2019-1A, C, 144A, 3.33%, 11/20/36 | United States | 49,267 | 49,081 | |||||||||
eNavient Private Education Refi Loan Trust, 144A, | ||||||||||||
2019-FA, B, 3.12%, 8/15/68 | United States | 210,000 | 208,567 | |||||||||
2019-GA, B, 3.08%, 10/15/68 | United States | 140,000 | 140,262 | |||||||||
e,mNeuberger Berman CLO XIV Ltd., 2020-14A, CR2, 144A, FRN, 2.178%, | United States | 410,000 | 408,848 | |||||||||
e,mNeuberger Berman Loan Advisers CLO Ltd., 2018-27A, E, 144A, FRN, 5.441%, | United States | 350,000 | 341,765 | |||||||||
mNomura Asset Acceptance Corp. Alternative Loan Trust Series, 2004-AR4, M2, FRN, 1.687%, (1-Month USD LIBOR + 1.50%), 12/25/34 | United States | 750,674 | 693,663 | |||||||||
mNomura Home Equity Loan Inc. Home Equity Loan Trust Series, 2006-WF1, M4, FRN, 0.742%, (1-Month USD LIBOR + 0.56%), 3/25/36 | United States | 1,332,820 | 1,337,625 | |||||||||
e,mOCP CLO Ltd., 2021-21A, D, 144A, FRN, 3.204%, (3-Month USD LIBOR + 2.95%), 7/20/34 | United States | 330,000 | 322,478 | |||||||||
e,mOctagon Investment Partners XXII Ltd., 2018-1A, CRR, 144A, FRN, 2.159%, (3-Month USD LIBOR + 1.90%), 1/22/30 | United States | 250,000 | 247,755 | |||||||||
e,mOHA Credit Funding 2 Ltd., 2021-2A, DR, 144A, FRN, 3.555%, (3-Month USD LIBOR + 3.30%), 4/21/34 | United States | 335,000 | 328,977 | |||||||||
e,mOHA Credit Funding 4 Ltd., 2021-4A, ER, 144A, FRN, 6.659%, (3-Month USD LIBOR + 6.40%), 10/22/36 | United States | 310,000 | 306,613 | |||||||||
eOneMain Financial Issuance Trust, 144A, | ||||||||||||
2015-3A, B, 4.16%, 11/20/28 | United States | 54,042 | 54,124 | |||||||||
2020-2A, C, 2.76%, 9/14/35 | United States | 100,000 | 98,835 | |||||||||
e,mPikes Peak CLO, 2021-4A, ER, 144A, FRN, 6.851%, (3-Month USD LIBOR + 6.61%), 7/15/34 | United States | 250,000 | 243,336 | |||||||||
ePlanet Fitness Master Issuer LLC, 2019-1A, A2, 144A, 3.858%, 12/05/49 | United States | 147,000 | 146,755 | |||||||||
ePrestige Auto Receivables Trust, 144A, | ||||||||||||
2019-1A, E, 3.90%, 5/15/26 | United States | 100,000 | 100,712 | |||||||||
2020-1A, E, 3.67%, 2/15/28 | United States | 100,000 | 100,563 | |||||||||
eProgress Residential Trust, 144A, | ||||||||||||
2019-SFR2, E, 4.142%, 5/17/36 | United States | 175,000 | 173,327 | |||||||||
2020-SFR3, F, 2.796%, 10/17/27 | United States | 100,000 | 93,311 | |||||||||
2021-SFR2, E2, 2.647%, 4/19/38 | United States | 100,000 | 93,082 | |||||||||
2021-SFR4, F, 3.407%, 5/17/38 | United States | 230,000 | 217,794 |
42
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* | Value | ||||||||||
Asset-Backed Securities and Commercial Mortgage-Backed | ||||||||||||
Securities (continued) | ||||||||||||
Diversified Financial Services (continued) | ||||||||||||
eProgress Residential Trust, 144A, (continued) 2021-SFR7, F, 3.834%, 8/17/40 | United States | 260,000 | $ | 241,573 | ||||||||
mRamp Series Trust, 2003-RS9, MII3, FRN, 3.412%, (1-Month USD LIBOR + 2.15%), 10/25/33 | United States | 1,140,907 | 1,145,111 | |||||||||
Santander Drive Auto Receivables Trust, | ||||||||||||
2020-1, D, 5.35%, 3/15/28 | United States | 240,000 | 250,807 | |||||||||
2020-2, D, 2.22%, 9/15/26 | United States | 100,000 | 100,481 | |||||||||
mSaxon Asset Securities Trust, 2002-3, M2, FRN, 2.774%, (1- | ||||||||||||
Month USD LIBOR + 2.59%), 12/25/32 | United States | 1,133,472 | 1,143,297 | |||||||||
eSCF Equipment Leasing LLC, 2021-1A, E, 144A, 3.56%, 8/20/32 | United States | 100,000 | 98,944 | |||||||||
e,nSecurity National Mortgage Loan Trust, 2004-1A, AF3, 144A, FRN, 6.42%, 6/25/32 | United States | 1,652,766 | 1,416,687 | |||||||||
eSierra Timeshare Receivables Funding LLC, 2021-1A, C, 144A, 1.79%, 11/20/37 | United States | 163,845 | 161,061 | |||||||||
e,mSilvermore CLO Ltd., 2014-1A, C, 144A, FRN, 3.956%, (3-Month | ||||||||||||
USD LIBOR + 3.45%), 5/15/26 | United States | 1,250,000 | 1,251,690 | |||||||||
eS-Jets Ltd., 2017-1, A, 144A, 3.967%, 8/15/42 | Bermuda | 372,728 | 363,411 | |||||||||
mSLM Private Credit Student Loan Trust, 2003-B, A3, FRN, 2.806%, | United States | 150,000 | 146,384 | |||||||||
e,mSMB Private Education Loan Trust, 2017-B, A2B, 144A, FRN, 0.941%, | United States | 48,809 | 48,689 | |||||||||
eSoFi Consumer Loan Program Trust, 144A, 2018-1, B, 3.65%, 2/25/27 | United States | 12,280 | 12,312 | |||||||||
2019-4, C, 2.84%, 8/25/28 | United States | 130,000 | 130,934 | |||||||||
mSoundview Home Loan Trust, 2006-WF2, M3, FRN, 0.862%, | United States | 1,747,980 | 2,443,467 | |||||||||
eSpringCastle America Funding LLC, 2020-AA, A, 144A, 1.97%, 9/25/37 | United States | 180,403 | 178,799 | |||||||||
eSprite Ltd., 2017-1, B, 144A, 5.75%, 12/15/37 | United States | 52,490 | 46,729 | |||||||||
eStack Infrastructure Issuer LLC, 2019-1A, A2, 144A, 4.54%, 2/25/44 | United States | 121,250 | 123,800 | |||||||||
e,mStaniford Street CLO Ltd., 2014-1A, D, 144A, FRN, 3.703%, | United States | 895,387 | 897,100 | |||||||||
e,mStarwood Retail Property Trust, 2014-STAR, E, 144A, FRN, 4.592%, | United States | 200,000 | 875 | |||||||||
eTextainer Marine Containers VII Ltd., 2021-1A, A, 144A, 1.68%, 2/20/46 | Bermuda | 174,800 | 165,872 | |||||||||
e,nTowd Point Mortgage Trust, 144A, FRN, | ||||||||||||
2018-5, M1, 3.25%, 7/25/58 | United States | 100,000 | 100,269 | |||||||||
2019-2, M1, 3.75%, 12/25/58 | United States | 200,000 | 206,420 | |||||||||
2019-4, A1, 2.90%, 10/25/59 | United States | 272,755 | 279,759 | |||||||||
eTricon American Homes Trust, 2020-SFR2, E1, 144A, 2.73%, 11/17/39 | United States | 100,000 | 92,385 | |||||||||
e,mTRTX Issuer Ltd., 2022-FL5, AS, 144A, FRN, 2.20%, (SOFR + 2.15%), 2/15/39 | United States | 1,000,000 | 1,000,012 | |||||||||
eVCAT LLC, 144A, | ||||||||||||
2021-NPL1, A1, 2.289%, 12/26/50 | United States | 70,746 | 69,885 | |||||||||
2021-NPL5, A1, 1.868%, 8/25/51 | United States | 94,458 | 91,748 | |||||||||
e,mVMC Finance LLC, 144A, FRN, | ||||||||||||
2019-FL3, C, 2.17%, (1-Month USD LIBOR + 2.05%), 9/15/36 | United States | 880,961 | 870,224 | |||||||||
2019-FL3, D, 2.77%, (1-Month USD LIBOR + 2.65%), 9/15/36 | United States | 880,961 | 873,710 | |||||||||
2021-FL4, C, 2.387%, (1-Month USD LIBOR + 2.25%), 6/16/36 | United States | 1,000,000 | 998,657 | |||||||||
e,mVoya CLO Ltd., 2014-3A, D, 144A, FRN, 5.258%, (3-Month USD LIBOR + 5.00%), 7/25/26 | United States | 2,100,000 | 2,093,448 |
43
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* | Value | ||||||||||
Asset-Backed Securities and Commercial Mortgage-Backed | ||||||||||||
Securities (continued) | ||||||||||||
Diversified Financial Services (continued) | ||||||||||||
e,nWaMu Commercial Mortgage Securities Trust, 2007-SL2, G, 144A, FRN, 2.304%, 12/27/49 | United States | 2,866,082 | $ | 2,343,566 | ||||||||
eWave Trust, 2017-1A, A, 144A, 3.844%, 11/15/42 | United States | 175,440 | 171,627 | |||||||||
nWells Fargo Mortgage Backed Securities Trust, 2007-AR6, A2, FRN, 2.544%, 10/25/37 | United States | 131,924 | 129,106 | |||||||||
eWendy’s Funding LLC, 2018-1A, A2II, 144A, 3.884%, 3/15/48 | United States | 211,200 | 215,470 | |||||||||
eWestlake Automobile Receivables Trust, 2020-3A, D, 144A, 1.65%, 2/17/26 | United States | 120,000 | 117,709 | |||||||||
69,301,984 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) 0.0%† | ||||||||||||
eAmerican Homes 4 Rent, 144A, | ||||||||||||
2014-SFR2, E, 6.231%, 10/17/36 | United States | 250,000 | 263,493 | |||||||||
2014-SFR3, E, 6.418%, 12/17/36 | United States | 100,000 | 105,405 | |||||||||
2015-SFR1, E, 5.639%, 4/17/52 | United States | 210,000 | 220,172 | |||||||||
eDiamond Resorts Owner Trust, | ||||||||||||
144A, 2017-1A, C, 6.07%, 10/22/29 | United States | 14,696 | 14,717 | |||||||||
2018-1, C, 4.53%, 1/21/31 | United States | 35,976 | 36,317 | |||||||||
2019-1A, B, 3.53%, 2/20/32 | United States | 33,805 | 33,911 | |||||||||
674,015 | ||||||||||||
Mortgage Real Estate Investment Trusts (REITs) 1.9% | ||||||||||||
e510 Asset Backed Trust, 2021-NPL1, A1, 144A, 2.24%, 6/25/61 | United States | 135,336 | 131,572 | |||||||||
mAmerican Home Mortgage Investment Trust, 2006-1, 11A1, FRN, 0.467%, (1-Month USD LIBOR + 0.28%), 3/25/46 | United States | 138,023 | 133,094 | |||||||||
Banc of America Alternative Loan Trust, 2003-8, 1CB1, 5.50%, 10/25/33 | United States | 3,440 | 3,503 | |||||||||
Banc of America Funding Trust, | ||||||||||||
2003-1, B2, 6.00%, 5/20/33 | United States | 170,304 | 111,450 | |||||||||
2005-8, 1A1, 5.50%, 1/25/36 | United States | 291,595 | 278,128 | |||||||||
2007-4, 5A1, 5.50%, 11/25/34 | United States | 39,853 | 39,509 | |||||||||
nBanc of America Mortgage Trust, 2005-A, 2A1, FRN, 2.525%, 2/25/35 | United States | 2,524 | 2,615 | |||||||||
e,mBBCMS Mortgage Trust, 2020-BID, B, 144A, FRN, 2.731%, (1- Month USD LIBOR + 2.54%), 10/15/37 | United States | 210,000 | 210,317 | |||||||||
e,mBCAP LLC Trust, 2012-RR4, 9A7, 144A, FRN, 0.268%, (1-Month USD LIBOR + 0.08%), 11/26/36 | United States | 373,449 | 386,171 | |||||||||
e,mBDS Ltd., 2020-FL6, D, 144A, FRN, 2.913%, (SOFR + 2.86%), 9/15/35 | United States | 1,100,000 | 1,104,882 | |||||||||
nBear Stearns ARM Trust, 2007-4, 12A1, FRN, 3.009%, 5/25/37 | United States | 1,207,893 | 1,191,762 | |||||||||
e,mBPR Trust, 2021-NRD, F, 144A, FRN, 6.965%, (SOFR + 6.87%), 12/15/23 | United States | 140,000 | 138,593 | |||||||||
e,mBXMT Ltd., 2021-FL4, C, 144A, FRN, 1.941%, (1-Month USD LIBOR + 1.75%), 5/15/38 | United States | 2,500,000 | 2,466,406 | |||||||||
eCIM Trust, 2021-NR2, A1, 144A, 2.568%, 7/25/59 | United States | 164,419 | 161,805 | |||||||||
e,nCitigroup Commercial Mortgage Trust, 2014-GC21, D, 144A, FRN, 4.944%, 5/10/47 | United States | 330,000 | 315,611 | |||||||||
Citigroup Mortgage Loan Trust, | ||||||||||||
2006-WF1, A2C, 4.846%, 3/25/36 | United States | 463,430 | 272,489 | |||||||||
e,n2009-10, 6A2, 144A, FRN, 2.166%, 9/25/34 | United States | 26,945 | 28,112 | |||||||||
e2019-E, A1, 144A, 3.228%, 11/25/70 | United States | 197,564 | 197,867 | |||||||||
Countrywide Alternative Loan Trust, | ||||||||||||
2003-22CB, 1A1, 5.75%, 12/25/33 | United States | 27,274 | 27,823 | |||||||||
2004-16CB, 1A1, 5.50%, 7/25/34 | United States | 12,814 | 12,992 | |||||||||
2004-16CB, 3A1, 5.50%, 8/25/34 | United States | 13,236 | 13,421 | |||||||||
2004-28CB, 3A1, 6.00%, 1/25/35 | United States | 190,155 | 190,998 | |||||||||
2004-3T1, M, 6.00%, 5/25/34 | United States | 217,249 | 177,553 |
44
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* | Value | ||||||||||
Asset-Backed Securities and Commercial Mortgage-Backed | ||||||||||||
Securities (continued) | ||||||||||||
Mortgage Real Estate Investment Trusts (REITs) (continued) | ||||||||||||
Countrywide Alternative Loan Trust, (continued) | ||||||||||||
2004-J10, 2CB1, 6.00%, 9/25/34 | United States | 38,588 | $ | 39,406 | ||||||||
2005-J1, 2A1, 5.50%, 2/25/25 | United States | 1,482 | 1,482 | |||||||||
2007-6, A4, 5.75%, 4/25/47 | United States | 1,105,457 | 880,328 | |||||||||
nCountrywide Home Loans Mortgage Pass-Through Trust, 2004- HYB4, 2A1, FRN, 2.715%, 9/20/34 | United States | 35,083 | 35,153 | |||||||||
Credit Suisse First Boston Mortgage Securities Corp., | ||||||||||||
2002-10, 1B, 7.50%, 5/25/32 | United States | 149,864 | 130,152 | |||||||||
2003-27, 4A4, 5.75%, 11/25/33 | United States | 12,291 | 12,877 | |||||||||
2005-8, 1A3, 5.25%, 9/25/35 | United States | 87,437 | 84,388 | |||||||||
eCSMC OA LLC, 144A, | ||||||||||||
2014-USA, A2, 3.953%, 9/15/37 | United States | 150,000 | 152,289 | |||||||||
2014-USA, E, 4.373%, 9/15/37 | United States | 400,000 | 348,095 | |||||||||
mDSLA Mortgage Loan Trust, 2005-AR5, 2A1A, FRN, 0.831%, (1- Month USD LIBOR + 0.66%), 9/19/45 | United States | 30,453 | 22,452 | |||||||||
mFederal Home Loan Mortgage Corp., | ||||||||||||
2017-DNA1, B1, FRN, 5.137%, (1-Month USD LIBOR + 4.95%), 7/25/29 | United States | 1,210,000 | 1,291,596 | |||||||||
e2021-DNA7, M2, 144A, FRN, 1.849%, (SOFR + 1.80%), 11/25/41 | United States | 100,000 | 96,623 | |||||||||
mFHLMC Structured Agency Credit Risk Debt Notes, 2015-DNA1, M3, FRN, 3.487%, (1-Month USD LIBOR + 3.30%), 10/25/27 | United States | 70,094 | 71,191 | |||||||||
nGS Mortgage Securities Trust, FRN, | ||||||||||||
e2011-GC5, C, 144A, 5.158%, 8/10/44 | United States | 100,000 | 83,507 | |||||||||
e2011-GC5, D, 144A, 5.158%, 8/10/44 | United States | 195,000 | 93,112 | |||||||||
e2013-G1, B, 144A, 3.60%, 4/10/31 | United States | 110,000 | 106,163 | |||||||||
2014-GC18, B, 4.885%, 1/10/47 | United States | 100,000 | 98,233 | |||||||||
GSR Mortgage Loan Trust, | ||||||||||||
2005-4F, 6A1, 6.50%, 2/25/35 | United States | 7,624 | 7,620 | |||||||||
n2005-AR6, 4A5, FRN, 2.719%, 9/25/35 | United States | 21,630 | 21,744 | |||||||||
mHarborview Mortgage Loan Trust, 2004-11, 2A2A, FRN, 0.811%, (1-Month USD LIBOR + 0.64%), 1/19/35 | United States | 66,270 | 60,656 | |||||||||
IndyMac INDX Mortgage Loan Trust, FRN, | ||||||||||||
n2004-AR15, B1, 2.53%, 2/25/35 | United States | 1,432,361 | 1,234,980 | |||||||||
m2004-AR7, A5, 1.407%, (1-Month USD LIBOR + 1.22%), 9/25/34 | United States | 34,156 | 32,669 | |||||||||
n2005-AR11, A3, 2.945%, 8/25/35 | United States | 38,251 | 34,795 | |||||||||
m2006-AR2, 2A1, 0.607%, (1-Month USD LIBOR + 0.42%), 2/25/46 | United States | 165,569 | 132,551 | |||||||||
n2006-AR3, 3A1A, 3.06%, 4/25/36 | United States | 1,710,186 | 1,718,576 | |||||||||
e,nJefferies Resecuritization Trust, 2009-R12, 2A2, 144A, FRN, 2.551%, 1/26/35 | United States | 139,094 | 138,070 | |||||||||
nJPMorgan Alternative Loan Trust, 2006-A2, 2A2, FRN, 2.917%, 5/25/36 | United States | 1,260,999 | 941,301 | |||||||||
e,nJPMorgan Chase Commercial Mortgage Securities Trust, 144A, FRN, | ||||||||||||
2012-C8, C, 4.624%, 10/15/45 | United States | 100,000 | 100,018 | |||||||||
2012-LC9, C, 4.363%, 12/15/47 | United States | 100,000 | 100,012 | |||||||||
2012-LC9, D, 4.363%, 12/15/47 | United States | 120,000 | 118,209 | |||||||||
JPMorgan Mortgage Trust, | ||||||||||||
2004-S1, 2A1, 6.00%, 9/25/34 | United States | 60,151 | 62,275 | |||||||||
n2006-A3, 2B1, FRN, 2.661%, 4/25/35 | United States | 1,855,736 | 1,270,294 | |||||||||
n2007-A1, 4A2, FRN, 2.315%, 7/25/35 | United States | 1,016 | 1,021 | |||||||||
e,n2020-2, B4, 144A, FRN, 3.871%, 7/25/50 | United States | 978,986 | 954,921 | |||||||||
mLehman XS Trust, 2006-2N, 1A1, FRN, 0.707%, (1-Month USD LIBOR + 0.52%), 2/25/46 | United States | 28,641 | 26,501 |
45
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* | Value | ||||||||||
Asset-Backed Securities and Commercial Mortgage-Backed Securities (continued) | ||||||||||||
Mortgage Real Estate Investment Trusts (REITs) (continued) | ||||||||||||
MASTR Alternative Loan Trust, | ||||||||||||
2004-2, 8A4, 5.50%, 3/25/34 | United States | 118,271 | $ | 116,509 | ||||||||
2004-8, 2A1, 6.00%, 9/25/34 | United States | 25,134 | 25,647 | |||||||||
nMerrill Lynch Mortgage Backed Securities Trust Series, 2007-3, 3A1, FRN, 2.842%, 6/25/37 | United States | 2,219,805 | 1,586,906 | |||||||||
n Merrill Lynch Mortgage Investors MLCC, 2006-2, 2A, FRN, 2.017%, 5/25/36 | United States | 1,590 | 1,617 | |||||||||
nMorgan Stanley Bank of America Merrill Lynch Trust, 2013-C11, B, FRN, 4.351%, 8/15/46 | United States | 200,000 | 142,725 | |||||||||
e,nMorgan Stanley Capital I Trust, 2011-C2, E, 144A, FRN, 5.211%, 6/15/44 | United States | 150,000 | 121,500 | |||||||||
e,nMSBAM Commercial Mortgage Securities Trust, 2012-CKSV, C, 144A, FRN, 4.282%, 10/15/30 | United States | 340,000 | 306,350 | |||||||||
ePRPM LLC, 144A, | ||||||||||||
n2021-2, A2, FRN, 3.77%, 3/25/26 | United States | 130,000 | 126,318 | |||||||||
2021-3, A1, 1.867%, 4/25/26 | United States | 169,694 | 165,175 | |||||||||
2021-9, A1, 2.363%, 10/25/26 | United States | 129,611 | 126,432 | |||||||||
nRFMSI Trust, 2005-SA1, 1A1, FRN, 3.603%, 3/25/35 | United States | 79,900 | 48,735 | |||||||||
nStructured Adjustable Rate Mortgage Loan Trust Series, 2006-8, 1A2, FRN, 3.088%, 9/25/36 | United States | 188,400 | 163,488 | |||||||||
mStructured ARM Loan Trust, 2005-14, A1, FRN, 0.418%, (1- Month USD LIBOR + 0.31%), 7/25/35 | United States | 165,912 | 118,740 | |||||||||
eToorak Mortgage Corp. Ltd., 2021-1, A1, 144A, 2.24%, 6/25/24 | United States | 190,000 | 187,363 | |||||||||
eVOLT XCII LLC, 2021-NPL1, A1, 144A, 1.893%, 2/27/51 | United States | 93,002 | 91,247 | |||||||||
eVOLT XCII LLC, 2021-NPL2, A1, 144A, 1.893%, 2/27/51 | United States | 222,386 | 218,140 | |||||||||
eVOLT XCIV LLC, 2021-NPL3, A2, 144A, 4.949%, 2/27/51 | United States | 215,000 | 210,131 | |||||||||
mWAMU Mortgage Pass-Through Certificates Series Trust, 2005- AR11, B1, FRN, 1.102%, (1-Month USD LIBOR + 0.92%), 8/25/45 | United States | 2,236,900 | 2,002,946 | |||||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||||||
n2013-LC12, B, FRN, 4.305%, 7/15/46 | United States | 190,000 | 185,911 | |||||||||
2014-LC16, C, 4.458%, 8/15/50 | United States | 215,000 | 137,062 | |||||||||
n2016-C36, B, FRN, 3.671%, 11/15/59 | United States | 100,000 | 94,238 | |||||||||
n2016-C36, C, FRN, 4.172%, 11/15/59 | United States | 100,000 | 85,322 | |||||||||
e,n2019-JWDR, C, 144A, FRN, 3.038%, 9/15/31 | United States | 290,000 | 276,731 | |||||||||
WFRBS Commercial Mortgage Trust, | ||||||||||||
e,n2011-C3, D, 144A, FRN, 5.513%, 3/15/44 | United States | 211,334 | 96,157 | |||||||||
e,n2011-C4, E, 144A, FRN, 4.888%, 6/15/44 | United States | 120,000 | 93,331 | |||||||||
n2012-C10, C, FRN, 4.346%, 12/15/45 | United States | 320,000 | 292,016 | |||||||||
e,n2012-C6, D, 144A, FRN, 5.729%, 4/15/45 | United States | 144,162 | 143,933 | |||||||||
n2012-C7, C, FRN, 4.733%, 6/15/45 | United States | 25,000 | 19,509 | |||||||||
e,n2012-C7, D, 144A, FRN, 4.733%, 6/15/45 | United States | 130,000 | 64,350 | |||||||||
e,n2012-C7, E, 144A, FRN, 4.733%, 6/15/45 | United States | 75,000 | 11,616 | |||||||||
2014-C20, B, 4.378%, 5/15/47 | United States | 100,000 | 99,184 | |||||||||
n2014-C24, B, FRN, 4.204%, 11/15/47 | United States | 100,000 | 97,214 | |||||||||
|
| |||||||||||
25,556,476 | ||||||||||||
|
| |||||||||||
Total Asset-Backed Securities and Commercial Mortgage- Backed Securities (Cost $95,833,861) | 95,532,475 | |||||||||||
|
| |||||||||||
Municipal Bonds in Reorganization 0.3% | ||||||||||||
Puerto Rico 0.3% | ||||||||||||
j Commonwealth of Puerto Rico, 8.00%, 7/01/35 | United States | 2,945,000 | 2,654,183 | |||||||||
5.50%, 7/01/39 | United States | 715,000 | 679,250 | |||||||||
5.00%, 7/01/41 | United States | 1,000,000 | 912,500 | |||||||||
|
| |||||||||||
Total Municipal Bonds in Reorganization (Cost $2,309,289) | 4,245,933 | |||||||||||
|
|
46
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Number of Contracts | National Amount# | Value | ||||||||||
Options Purchased 0.2% | ||||||||||||
Calls - Exchange-Traded 0.1% | ||||||||||||
Activision Blizzard Inc., June Strike Price $90.00, Expires 6/17/22 | 158 | 15,800 | $ | 4,740 | ||||||||
Amyris Inc., March Strike Price $10.00, Expires 3/18/22 | 110 | 11,000 | 550 | |||||||||
Aurinia Pharmaceuticals Inc., April Strike Price $30.00, Expires 4/14/22 | 40 | 4,000 | 680 | |||||||||
Carnival Corp., April Strike Price $22.50, Expires 4/14/22 | 115 | 11,500 | 11,615 | |||||||||
CBOE Volatility Index, March Strike Price $25.00, Expires 3/15/22 | 108 | 10,800 | 50,760 | |||||||||
CBOE Volatility Index, March Strike Price $28.00, Expires 3/15/22 | 101 | 10,100 | 35,350 | |||||||||
CBOE Volatility Index, April Strike Price $27.00, Expires 4/20/22 | 102 | 10,200 | 52,020 | |||||||||
CBOE Volatility Index, April Strike Price $29.00, Expires 4/20/22 | 92 | 9,200 | 41,308 | |||||||||
CBOE Volatility Index, April Strike Price $30.00, Expires 4/20/22 | 189 | 18,900 | 80,703 | |||||||||
CBOE Volatility Index, April Strike Price $32.50, Expires 4/20/22 | 210 | 21,000 | 77,700 | |||||||||
CBOE Volatility Index, May Strike Price $30.00, Expires 5/18/22 | 186 | 18,600 | 81,840 | |||||||||
CBOE Volatility Index, May Strike Price $32.50, Expires 5/18/22 | 200 | 20,000 | 80,000 | |||||||||
Chewy Inc., March Strike Price $45.00, Expires 3/18/22 | 43 | 4,300 | 19,135 | |||||||||
CME 3-Month SOFR Futures, December Strike Price $98.19, Expires 12/16/22 | 80 | 200,000 | 117,000 | |||||||||
E-mini S&P 500 Futures, June Strike Price $4,700.00, Expires 6/17/22 | 3 | 150 | 8,963 | |||||||||
FleetCor Technologies Inc., May Strike Price $260.00, Expires 5/20/22 | 18 | 1,800 | 9,810 | |||||||||
Global Payments Inc., May Strike Price $165.00, Expires 5/20/22 | 51 | 5,100 | 7,268 | |||||||||
Hertz Global Holdings Inc., June Strike Price $22.50, Expires 6/17/22 | 61 | 6,100 | 11,956 | |||||||||
Kohl’s Corp., July Strike Price $65.00, Expires 7/15/22 | 39 | 3,900 | 9,087 | |||||||||
Nikola Corp., March Strike Price $12.00, Expires 3/18/22 | 193 | 19,300 | 965 | |||||||||
Nikola Corp., April Strike Price $10.00, Expires 4/14/22 | 233 | 23,300 | 11,417 | |||||||||
Peloton Interactive Inc., April Strike Price $40.00, Expires 4/14/22 | 19 | 1,900 | 1,026 | |||||||||
Peloton Interactive Inc., April Strike Price $45.00, Expires 4/14/22 | 19 | 1,900 | 475 | |||||||||
SPDR Gold Shares, September Strike Price $180.00, Expires 9/16/22 | 110 | 11,000 | 92,400 | |||||||||
STOXX Europe 600 Telecommunications Price Index, June Strike Price 240.00 EUR, Expires 6/17/22 | 77 | 3,850 | 15,972 | |||||||||
SunPower Corp., March Strike Price $18.00, Expires 3/18/22 | 38 | 3,800 | 4,712 | |||||||||
Take-Two Interactive Software Inc., June Strike Price $170.00, Expires 6/17/22 | 7 | 700 | 8,715 | |||||||||
Take-Two Interactive Software Inc., June Strike Price $195.00, Expires 6/17/22 | 18 | 1,800 | 9,000 | |||||||||
TEGNA Inc., March Strike Price $21.00, Expires 3/18/22 | 133 | 13,300 | 25,935 | |||||||||
TEGNA Inc., April Strike Price $20.00, Expires 4/14/22 | 73 | 7,300 | 21,900 | |||||||||
U.S. Treasury Long Bond Futures, March Strike Price $160.00, Expires 3/25/22 | 8 | 8,000 | 2,000 | |||||||||
Vodafone Group PLC, March Strike Price 1.20 GBP, Expires 3/18/22 | 80 | 80,000 | 12,878 | |||||||||
Vodafone Group PLC, April Strike Price $16.00, Expires 4/14/22 | 39 | 3,900 | 7,488 | |||||||||
Vodafone Group PLC, July Strike Price $18.00, Expires 7/15/22 | 15 | 1,500 | 1,605 | |||||||||
Vodafone Group PLC, July Strike Price $19.00, Expires 7/15/22 | 5 | 500 | 325 | |||||||||
WEX Inc., May Strike Price $170.00, Expires 5/20/22 | 30 | 3,000 | 37,050 | |||||||||
WEX Inc., May Strike Price $175.00, Expires 5/20/22 | 10 | 1,000 | 9,900 | |||||||||
|
| |||||||||||
964,248 | ||||||||||||
|
|
47
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Number of Contracts | Notional Amount# | Value | ||||||||||
Options Purchased (continued) | ||||||||||||
Calls - Over-the-Counter 0.0%† | ||||||||||||
Swiss Market Index, Counterparty BNPP, March Strike Price 12,136.00 CHF, Expires 3/14/22 | 406 | 406 | $ | 53,275 | ||||||||
|
| |||||||||||
Currency Options 0.0%† | ||||||||||||
USD/RUB, Counterparty MSCS, May Strike Price 76.00 RUB, | ||||||||||||
Expires 5/06/22 | 1 | 672,082 | 234,585 | |||||||||
|
| |||||||||||
Puts - Exchange-Traded 0.1% | ||||||||||||
American Airlines Group Inc., January Strike Price $10.00, Expires 1/20/23 | 40 | 4,000 | 3,200 | |||||||||
Avis Budget Group Inc., March Strike Price $150.00, Expires 3/18/22 | 18 | 1,800 | 4,500 | |||||||||
Bank of Montreal, April Strike Price $110.00, Expires 4/14/22 | 20 | 2,000 | 5,540 | |||||||||
The Bank of Nova Scotia, April Strike Price $70.00, Expires 4/14/22 | 26 | 2,600 | 4,940 | |||||||||
Bath & Body Works Inc., May Strike Price $50.00, Expires 5/20/22 | 175 | 17,500 | 65,625 | |||||||||
Box Inc., March Strike Price $25.00, Expires 3/18/22 | 194 | 19,400 | 24,250 | |||||||||
Callaway Golf Co., April Strike Price $24.00, Expires 4/14/22 | 436 | 43,600 | 58,860 | |||||||||
Callaway Golf Co., April Strike Price $25.00, Expires 4/14/22 | 389 | 38,900 | 86,358 | |||||||||
CBOE Volatility Index, March Strike Price $25.00, Expires 3/15/22 | 219 | 21,900 | 25,185 | |||||||||
CBOE Volatility Index, March Strike Price $28.00, Expires 3/15/22 | 185 | 18,500 | 52,355 | |||||||||
Cornerstone Building Brands Inc., March Strike Price $20.00, Expires 3/18/22 | 77 | 7,700 | 4,235 | |||||||||
Crown Holdings Inc., March Strike Price $105.00, Expires 3/18/22 | 41 | 4,100 | 1,640 | |||||||||
E-mini S&P 500 Futures, March Strike Price $4,100.00, Expires 3/31/22 | 2 | 100 | 5,575 | |||||||||
Financial Select Sector SPDR Fund, April Strike Price $35.00, Expires 4/14/22 | 458 | 45,800 | 27,022 | |||||||||
Financial Select Sector SPDR Fund, April Strike Price $37.00, Expires 4/14/22 | 257 | 25,700 | 26,214 | |||||||||
Financial Select Sector SPDR Fund, May Strike Price $37.00, Expires 5/20/22 | 395 | 39,500 | 60,830 | |||||||||
fuboTV Inc., March Strike Price $10.00, Expires 3/18/22 | 49 | 4,900 | 8,869 | |||||||||
Invesco QQQ Trust Series 1, March Strike Price $330.00, Expires 3/11/22 | 316 | 31,600 | 94,484 | |||||||||
Invesco QQQ Trust Series 1, March Strike Price $330.00, Expires 3/18/22 | 120 | 12,000 | 56,760 | |||||||||
Invesco QQQ Trust Series 1, June Strike Price $345.00, Expires 6/17/22 | 8 | 800 | 16,176 | |||||||||
Kohl’s Corp., March Strike Price $54.00, Expires 3/04/22 | 58 | 5,800 | 9,976 | |||||||||
Kohl’s Corp., July Strike Price $60.00, Expires 7/15/22 | 87 | 8,700 | 85,260 | |||||||||
New Residential Investment Corp., May Strike Price $9.00, Expires 5/20/22 | 281 | 28,100 | 7,868 | |||||||||
Owens & Minor Inc., March Strike Price $30.00, Expires 3/18/22 | 96 | 9,600 | 960 | |||||||||
Pfizer Inc., September Strike Price $47.00, Expires 9/16/22 | 88 | 8,800 | 39,160 | |||||||||
Prudential Financial Inc., March Strike Price $105.00, Expires 3/18/22 | 71 | 7,100 | 10,650 | |||||||||
Royal Bank of Canada, April Strike Price $105.00, Expires 4/14/22 | 31 | 3,100 | 4,867 | |||||||||
S&P 500 Index, April Strike Price $4,000.00, Expires 4/14/22 | 34 | 3,400 | 184,280 | |||||||||
Safehold Inc., July Strike Price $60.00, Expires 7/15/22 | 116 | 11,600 | 84,680 | |||||||||
SPDR S&P Regional Banking ETF, March Strike Price $69.00, Expires 3/18/22 | 182 | 18,200 | 15,106 |
48
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Number of Contracts | Notional Amount# | Value | ||||||||||
Options Purchased (continued) | ||||||||||||
Puts - Exchange-Traded (continued) | ||||||||||||
The Toronto-Dominion Bank, April Strike Price $75.00, Expires 4/14/22 | 43 | 4,300 | $ | 6,235 | ||||||||
U.S. Treasury 5 Yr. Note - Week 2, March Strike Price $117.50, Expires 3/11/22 | 4 | 4,000 | 625 | |||||||||
Vodafone Group PLC, July Strike Price $17.00, Expires 7/15/22 | 82 | 8,200 | 9,840 | |||||||||
Vodafone Group PLC, August Strike Price 1.30 GBP, Expires 8/19/22 | 216 | 216,000 | 31,874 | |||||||||
Zynga Inc., June Strike Price $8.00, Expires 6/17/22 | 956 | 95,600 | 34,416 | |||||||||
|
| |||||||||||
1,158,415 | ||||||||||||
|
| |||||||||||
Puts - Over-the-Counter 0.0%† | ||||||||||||
Swiss Market Index, Counterparty BNPP, March Strike Price 12,136.00 CHF, Expires 3/14/22 | 406 | 406 | 152,502 | |||||||||
The Western Union Co., Counterparty BOFA, May Strike Price $14.00, Expires 5/20/22 | 124 | 12,400 | 2,480 | |||||||||
|
| |||||||||||
154,982 | ||||||||||||
|
| |||||||||||
Total Options Purchased (Cost $2,756,590) | 2,565,505 | |||||||||||
|
| |||||||||||
Total Investments before Short Term Investments | 1,090,797,324 | |||||||||||
|
| |||||||||||
Country | Shares | |||||||||||
|
| |||||||||||
Short Term Investments 13.7% | ||||||||||||
Money Market Funds 10.7% | ||||||||||||
o,pDreyfus Government Cash Management, Institutional, 0.03% | United States | 29,327,358 | 29,327,358 | |||||||||
oFidelity Investments Money Market Government Portfolio, Institutional, 0.01% | United States | 115,354,906 | 115,354,906 | |||||||||
|
| |||||||||||
Total Money Market Funds (Cost $144,682,264) | 144,682,264 | |||||||||||
|
| |||||||||||
Investments from Cash Collateral Received for Loaned Securities 0.9% | ||||||||||||
Money Market Funds 0.7% | ||||||||||||
o,qInstitutional Fiduciary Trust Money Market Portfolio, 0.01% | United States | 10,027,000 | 10,027,000 | |||||||||
|
| |||||||||||
Principal | ||||||||||||
Amount* | ||||||||||||
|
|
| ||||||||||
Repurchase Agreements 0.2% | ||||||||||||
rJoint Repurchase Agreement, 0.05%, 3/01/22 (Maturity Value $2,457,444) | United States | 2,457,441 | 2,457,441 | |||||||||
|
| |||||||||||
J.P. Morgan Securities LLC | ||||||||||||
|
| |||||||||||
Total Investments from Cash Collateral Received for Loaned Securities | 12,484,441 | |||||||||||
|
|
49
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* | Value | ||||||||||
Short Term Investments (continued) | ||||||||||||
U.S. Government and Agency Securities 2.1% | ||||||||||||
sFederal Home Loan Bank Discount Notes, 3/01/22 | United States | 13,440,000 | $ | 13,440,000 | ||||||||
sU.S. Treasury Bill, | ||||||||||||
b4/21/22 | United States | 12,000,000 | 11,997,025 | |||||||||
8/11/22 | United States | 940,000 | 937,360 | |||||||||
12/29/22 | United States | 1,390,000 | 1,379,705 | |||||||||
|
| |||||||||||
Total U.S. Government and Agency Securities (Cost $27,758,800) | 27,754,090 | |||||||||||
|
| |||||||||||
Total Investments (Cost $1,206,345,983) 94.0% | 1,275,718,119 | |||||||||||
Options Written (0.0)%† | (638,009 | ) | ||||||||||
Securities Sold Short (17.0)% | (231,120,260 | ) | ||||||||||
Other Assets, less Liabilities 23.0% | 312,296,502 | |||||||||||
|
| |||||||||||
Net Assets 100.0% | $ | 1,356,256,352 | ||||||||||
|
| |||||||||||
Number of | Notional | |||||||||||
Contracts | Amount# | |||||||||||
|
| |||||||||||
Options Written (0.0)%† | ||||||||||||
Calls - Exchange-Traded (0.0)%† | ||||||||||||
AbbVie Inc., April Strike Price $155.00, Expires 4/14/22 | 2 | 200 | (364 | ) | ||||||||
Activision Blizzard Inc., March Strike Price $85.00, Expires 3/18/22 | 52 | 5,200 | (780 | ) | ||||||||
Activision Blizzard Inc., April Strike Price $85.00, Expires 4/14/22 | 63 | 6,300 | (1,638 | ) | ||||||||
Apple Inc., April Strike Price $180.00, Expires 4/14/22 | 2 | 200 | (260 | ) | ||||||||
Archer-Daniels-Midland Co., April Strike Price $80.00, Expires 4/14/22 | 1 | 100 | (224 | ) | ||||||||
Bath & Body Works Inc., May Strike Price $70.00, Expires 5/20/22 | 175 | 17,500 | (12,600 | ) | ||||||||
Blackstone Inc., April Strike Price $140.00, Expires 4/14/22 | 2 | 200 | (500 | ) | ||||||||
Box Inc., March Strike Price $29.00, Expires 3/18/22 | 127 | 12,700 | (3,683 | ) | ||||||||
Bristol-Myers Squibb Co., April Strike Price $70.00, Expires 4/14/22 | 5 | 500 | (590 | ) | ||||||||
Callaway Golf Co., April Strike Price $32.00, Expires 4/14/22 | 182 | 18,200 | (2,275 | ) | ||||||||
Chevron Corp., April Strike Price $145.00, Expires 4/14/22 | 2 | 200 | (1,140 | ) | ||||||||
CME 3-Month SOFR Futures, December Strike Price $98.50, Expires 12/16/22 | 80 | 200,000 | (76,500 | ) | ||||||||
CME 3-Month SOFR Futures, December Strike Price $98.88, Expires 12/16/22 | 80 | 200,000 | (41,000 | ) | ||||||||
The Coca-Cola Co., April Strike Price $65.00, Expires 4/14/22 | 4 | 400 | (256 | ) | ||||||||
ConocoPhillips, April Strike Price $100.00, Expires 4/14/22 | 4 | 400 | (1,224 | ) | ||||||||
Cornerstone Building Brands Inc., March Strike Price $25.00, Expires 3/18/22 | 154 | 15,400 | (2,310 | ) | ||||||||
Crown Holdings Inc., March Strike Price $125.00, Expires 3/18/22 | 41 | 4,100 | (9,430 | ) | ||||||||
CVS Health Corp., April Strike Price $110.00, Expires 4/14/22 | 2 | 200 | (204 | ) | ||||||||
E-mini S&P 500 Futures, June Strike Price $4,800.00, Expires 6/17/22 | 3 | 150 | (5,288 | ) | ||||||||
EOG Resources Inc., April Strike Price $128.00, Expires 4/14/22 | 2 | 200 | (436 | ) | ||||||||
Exxon Mobil Corp., April Strike Price $85.00, Expires 4/14/22 | 4 | 400 | (520 | ) | ||||||||
Hertz Global Holdings Inc., March Strike Price $27.50, Expires 3/18/22 | 76 | 7,600 | (380 | ) |
50
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Number of Contracts | Notional Amount# | Value | ||||||||||
Options Written (continued) | ||||||||||||
Calls - Exchange-Traded (continued) | ||||||||||||
Hertz Global Holdings Inc., March Strike Price $30.00, Expires 3/18/22 | 76 | 7,600 | $ | (152 | ) | |||||||
Hertz Global Holdings Inc., June Strike Price $32.50, Expires 6/17/22 | 122 | 12,200 | (4,880 | ) | ||||||||
The Interpublic Group of Cos. Inc., April Strike Price $39.00, Expires 4/14/22 | 9 | 900 | (720 | ) | ||||||||
KLA Corp., April Strike Price $400.00, Expires 4/14/22 | 1 | 100 | (695 | ) | ||||||||
Kohl’s Corp., July Strike Price $75.00, Expires 7/15/22 | 111 | 11,100 | (11,710 | ) | ||||||||
Mastercard Inc., April Strike Price $400.00, Expires 4/14/22 | 1 | 100 | (382 | ) | ||||||||
Mimecast Ltd., May Strike Price $80.00, Expires 5/20/22 | 74 | 7,400 | (2,960 | ) | ||||||||
Morgan Stanley, April Strike Price $105.00, Expires 4/14/22 | 3 | 300 | (177 | ) | ||||||||
Nikola Corp., March Strike Price $18.00, Expires 3/18/22 | 193 | 19,300 | (386 | ) | ||||||||
Nucor Corp., April Strike Price $145.00, Expires 4/14/22 | 3 | 300 | (1,155 | ) | ||||||||
The Procter & Gamble Co., April Strike Price $165.00, Expires 4/14/22 | 2 | 200 | (270 | ) | ||||||||
QUALCOMM Inc., April Strike Price $195.00, Expires 4/14/22 | 2 | 200 | (378 | ) | ||||||||
Safehold Inc., July Strike Price $75.00, Expires 7/15/22 | 116 | 11,600 | (29,000 | ) | ||||||||
SPX FLOW Inc., March Strike Price $85.00, Expires 3/18/22 | 9 | 900 | (450 | ) | ||||||||
Take-Two Interactive Software Inc., June Strike Price $190.00, Expires 6/17/22 | 7 | 700 | (4,340 | ) | ||||||||
Tyson Foods Inc., April Strike Price $97.50, Expires 4/14/22 | 3 | 300 | (495 | ) | ||||||||
U.S. Treasury Long Bond Futures, March Strike Price $165.00, Expires 3/25/22 | 8 | 8,000 | (2,000 | ) | ||||||||
Union Pacific Corp., April Strike Price $265.00, Expires 4/14/22 | 1 | 100 | (162 | ) | ||||||||
United Parcel Service Inc., April Strike Price $230.00, Expires 4/14/22 | 1 | 100 | (155 | ) | ||||||||
Valero Energy Corp., April Strike Price $95.00, Expires 4/14/22 | 1 | 100 | (108 | ) | ||||||||
Visa Inc., April Strike Price $245.00, Expires 4/14/22 | 1 | 100 | (106 | ) | ||||||||
Wells Fargo & Co., April Strike Price $60.00, Expires 4/14/22 | 3 | 300 | (180 | ) | ||||||||
Zynga Inc., June Strike Price $11.00, Expires 6/17/22 | 956 | 95,600 | (8,604 | ) | ||||||||
|
| |||||||||||
(231,067 | ) | |||||||||||
|
| |||||||||||
Calls - Over-the-Counter (0.0)%† | ||||||||||||
Healthcare Trust of America Inc., Counterparty BZWS, March Strike Price $37.50, Expires 3/18/22 | 73 | 7,300 | (219 | ) | ||||||||
Shell Midstream Partners LP, Counterparty BZWS, March Strike Price $14.00, Expires 3/18/22 | 429 | 42,900 | (8,580 | ) | ||||||||
|
| |||||||||||
(8,799 | ) | |||||||||||
|
| |||||||||||
Currency Options (0.0)%† | ||||||||||||
USD/RUB, Counterparty MSCS, May Strike Price 81.00 RUB, Expires 5/06/22 | 1 | 672,082 | (217,356 | ) | ||||||||
|
| |||||||||||
Puts - Exchange-Traded (0.0)%† | ||||||||||||
Activision Blizzard Inc., March Strike Price $77.50, Expires 3/18/22 | 52 | 5,200 | (312 | ) | ||||||||
Activision Blizzard Inc., April Strike Price $77.50, Expires 4/14/22 | 63 | 6,300 | (2,772 | ) | ||||||||
Amyris Inc., March Strike Price $6.00, Expires 3/18/22 | 10 | 1,000 | (1,650 | ) | ||||||||
Arena Pharmaceuticals Inc., March Strike Price $85.00, Expires 3/18/22 | 24 | 2,400 | (1,680 | ) | ||||||||
Bath & Body Works Inc., May Strike Price $40.00, Expires 5/20/22 | 175 | 17,500 | (20,125 | ) | ||||||||
Box Inc., March Strike Price $21.00, Expires 3/18/22 | 160 | 16,000 | (3,680 | ) | ||||||||
Carnival Corp., April Strike Price $17.50, Expires 4/14/22 | 78 | 7,800 | (6,474 | ) | ||||||||
E-mini S&P 500 Futures, March Strike Price $3,900.00, Expires 3/31/22 | 2 | 100 | (2,900 | ) | ||||||||
Invesco QQQ Trust Series 1, March Strike Price $320.00, Expires 3/18/22 | 80 | 8,000 | (23,760 | ) | ||||||||
Invesco QQQ Trust Series 1, June Strike Price $305.00, Expires 6/17/22 | 8 | 800 | (8,032 | ) |
51
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Number of Contracts | Notional Amount# | Value | ||||||||||
Options Written (continued) | ||||||||||||
Puts - Exchange-Traded (continued) | ||||||||||||
Kohl’s Corp., March Strike Price $50.00, Expires 3/04/22 | 58 | 5,800 | $ | (3,480 | ) | |||||||
Kohl’s Corp., March Strike Price $50.00, Expires 3/18/22 | 111 | 11,100 | (17,760 | ) | ||||||||
Owens & Minor Inc., March Strike Price $20.00, Expires 3/18/22 | 96 | 9,600 | (960 | ) | ||||||||
S&P 500 Index, April Strike Price $3,400.00, Expires 4/14/22 | 34 | 3,400 | (41,820 | ) | ||||||||
Safehold Inc., July Strike Price $45.00, Expires 7/15/22 | 116 | 11,600 | (25,230 | ) | ||||||||
SunPower Corp., March Strike Price $16.00, Expires 3/18/22 | 38 | 3,800 | (2,166 | ) | ||||||||
U.S. Treasury 5 Yr. Note - Week 2, March Strike Price $116.75, Expires 3/11/22 | 6 | 6,000 | (234 | ) | ||||||||
Vodafone Group PLC, March Strike Price 1.05 GBP, Expires 3/18/22 | 80 | 80,000 | — | |||||||||
Vodafone Group PLC, April Strike Price $14.00, Expires 4/14/22 | 39 | 3,900 | (351 | ) | ||||||||
Vodafone Group PLC, July Strike Price $15.00, Expires 7/15/22 | 97 | 9,700 | (5,141 | ) | ||||||||
Vodafone Group PLC, July Strike Price $16.00, Expires 7/15/22 | 5 | 500 | (385 | ) | ||||||||
Vodafone Group PLC, August Strike Price 1.00 GBP, Expires 8/19/22 | 216 | 216,000 | (5,795 | ) | ||||||||
|
| |||||||||||
(174,707 | ) | |||||||||||
|
| |||||||||||
Puts - Over-the-Counter (0.0)%† | ||||||||||||
Healthcare Trust of America Inc., Counterparty BZWS, March Strike Price $27.50, Expires 3/18/22 | 152 | 15,200 | (6,080 | ) | ||||||||
|
| |||||||||||
Total Options Written (Premiums Received $538,628) | (638,009 | ) | ||||||||||
|
| |||||||||||
Country | Shares | |||||||||||
|
| |||||||||||
Securities Sold Short (17.0)% | ||||||||||||
Common Stocks (7.3)% | ||||||||||||
Aerospace & Defense (0.1)% | ||||||||||||
Parsons Corp. | United States | 12,767 | (442,504 | ) | ||||||||
Virgin Galactic Holdings Inc. | United States | 33,747 | (326,671 | ) | ||||||||
|
| |||||||||||
(769,175 | ) | |||||||||||
|
| |||||||||||
Air Freight & Logistics (0.1)% | ||||||||||||
Air Transport Services Group Inc. | United States | 19,062 | (600,644 | ) | ||||||||
Atlas Air Worldwide Holdings Inc. | United States | 15,714 | (1,231,349 | ) | ||||||||
|
| |||||||||||
(1,831,993 | ) | |||||||||||
|
| |||||||||||
Airlines (0.1)% | ||||||||||||
Cathay Pacific Airways Ltd. | Hong Kong | 352,300 | (314,288 | ) | ||||||||
GOL Linhas Aereas Inteligentes SA, ADR | Brazil | 13,780 | (89,983 | ) | ||||||||
Jetblue Airways Corp. | United States | 4,534 | (69,234 | ) | ||||||||
Spirit Airlines Inc. | United States | 38,146 | (956,702 | ) | ||||||||
|
| |||||||||||
(1,430,207 | ) | |||||||||||
|
| |||||||||||
Auto Components (0.1)% | ||||||||||||
Luminar Technologies Inc., A | United States | 41,623 | (583,971 | ) | ||||||||
Patrick Industries Inc. | United States | 3,432 | (244,839 | ) | ||||||||
Quantumscape Corp., A | United States | 17,167 | (277,075 | ) | ||||||||
|
| |||||||||||
(1,105,885 | ) | |||||||||||
|
| |||||||||||
Automobiles (0.4)% | ||||||||||||
Fisker Inc. | United States | 64,127 | (782,350 | ) | ||||||||
Ford Motor Co. | United States | 23,887 | (419,456 | ) | ||||||||
General Motors Co. | United States | 8,571 | (400,437 | ) | ||||||||
Li Auto Inc., ADR | China | 29,467 | (897,270 | ) | ||||||||
Lucid Group Inc. | United States | 43,804 | (1,269,440 | ) |
52
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) | ||||||||||||
Automobiles (continued) | ||||||||||||
NIO Inc., ADR | China | 4,655 | $ | (106,320 | ) | |||||||
Rivian Automotive Inc., A | United States | 10,038 | (678,167 | ) | ||||||||
Tesla Inc. | United States | 1,175 | (1,022,755 | ) | ||||||||
|
| |||||||||||
(5,576,195 | ) | |||||||||||
|
| |||||||||||
Banks (0.1)% | ||||||||||||
Hope Bancorp Inc. | United States | 23,554 | (399,476 | ) | ||||||||
M&T Bank Corp. | United States | 5,296 | (965,090 | ) | ||||||||
|
| |||||||||||
(1,364,566 | ) | |||||||||||
|
| |||||||||||
Biotechnology (0.5)% | ||||||||||||
Avid Bioservices Inc. | United States | 34,106 | (698,491 | ) | ||||||||
BioMarin Pharmaceutical Inc. | United States | 160 | (12,499 | ) | ||||||||
Coherus Biosciences Inc. | United States | 41,720 | (491,879 | ) | ||||||||
Dynavax Technologies Corp. | United States | 118,699 | (1,455,250 | ) | ||||||||
Global Blood Therapeutics Inc. | United States | 2,590 | (78,218 | ) | ||||||||
Gossamer Bio Inc. | United States | 47,102 | (425,331 | ) | ||||||||
Insmed Inc. | United States | 32,331 | (772,711 | ) | ||||||||
Intercept Pharmaceuticals Inc. | United States | 55,658 | (793,683 | ) | ||||||||
Ionis Pharmaceuticals Inc. | United States | 13,776 | (459,843 | ) | ||||||||
Karyopharm Therapeutics Inc. | United States | 42,947 | (443,642 | ) | ||||||||
Mannkind Corp. | United States | 164,950 | (432,169 | ) | ||||||||
Pharming Group NV | Netherlands | 61,270 | (54,807 | ) | ||||||||
|
| |||||||||||
(6,118,523 | ) | |||||||||||
|
| |||||||||||
Capital Markets (0.4)% | ||||||||||||
S&P Global Inc. | United States | 14,351 | (5,391,671 | ) | ||||||||
|
| |||||||||||
Chemicals (0.2)% | ||||||||||||
Amyris Inc. | United States | 92,266 | (420,733 | ) | ||||||||
Danimer Scientific Inc. | United States | 41,302 | (164,382 | ) | ||||||||
Ecolab Inc. | United States | 4,111 | (724,605 | ) | ||||||||
Livent Corp. | United States | 20,226 | (476,322 | ) | ||||||||
The Sherwin-Williams Co. | United States | 3,412 | (897,800 | ) | ||||||||
|
| |||||||||||
(2,683,842 | ) | |||||||||||
|
| |||||||||||
Communications Equipment (0.1)% | ||||||||||||
Adtran Inc. | United States | 93,848 | (1,932,330 | ) | ||||||||
|
| |||||||||||
Consumer Finance (0.2)% | ||||||||||||
Encore Capital Group Inc. | United States | 10,188 | (672,306 | ) | ||||||||
EZCORP Inc., A | United States | 39,199 | (234,802 | ) | ||||||||
LendingTree Inc. | United States | 875 | (105,884 | ) | ||||||||
PRA Group Inc. | United States | 23,136 | (1,032,560 | ) | ||||||||
SoFi Technologies Inc. | United States | 34,852 | (399,055 | ) | ||||||||
Upstart Holdings Inc. | United States | 4,309 | (680,779 | ) | ||||||||
Zip Co. Ltd. | Australia | 23,000 | (36,918 | ) | ||||||||
|
| |||||||||||
(3,162,304 | ) | |||||||||||
|
| |||||||||||
Diversified Consumer Services (0.0)%† | ||||||||||||
Chegg Inc. | United States | 1,808 | (56,536 | ) | ||||||||
Stride Inc. | United States | 10,723 | (360,079 | ) | ||||||||
|
| |||||||||||
(416,615 | ) | |||||||||||
|
| |||||||||||
Diversified Telecommunication Services (0.0)%† | ||||||||||||
Bandwidth Inc., A | United States | 2,324 | (70,998 | ) |
53
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) | ||||||||||||
Diversified Telecommunication Services (continued) | ||||||||||||
Radius Global Infrastructure Inc., A | United States | 29,027 | $ | (373,287 | ) | |||||||
|
| |||||||||||
(444,285 | ) | |||||||||||
|
| |||||||||||
Electric Utilities (0.4)% | ||||||||||||
NRG Energy Inc. | United States | 23,651 | (894,954 | ) | ||||||||
The Southern Co. | United States | 45,927 | (2,974,691 | ) | ||||||||
Terna Rete Elettrica Nazionale SpA | Italy | 241,783 | (1,980,880 | ) | ||||||||
|
| |||||||||||
(5,850,525 | ) | |||||||||||
|
| |||||||||||
Electrical Equipment (0.3)% | ||||||||||||
Array Technologies Inc. | United States | 29,617 | (332,895 | ) | ||||||||
Ballard Power Systems Inc. | Canada | 19,824 | (226,390 | ) | ||||||||
Blink Charging Co. | United States | 11,845 | (291,150 | ) | ||||||||
Chargepoint Holdings Inc. | United States | 34,094 | (495,045 | ) | ||||||||
Rockwell Automation Inc. | United States | 9,476 | (2,526,112 | ) | ||||||||
Sunrun Inc. | United States | 21,307 | (581,255 | ) | ||||||||
|
| |||||||||||
(4,452,847 | ) | |||||||||||
|
| |||||||||||
Electronic Equipment, Instruments & Components (0.1)% | ||||||||||||
II-VI Inc. | United States | 5,184 | (360,081 | ) | ||||||||
Itron Inc. | United States | 10,915 | (520,318 | ) | ||||||||
OSI Systems Inc. | United States | 839 | (67,682 | ) | ||||||||
PAR Technology Corp. | United States | 7,519 | (315,347 | ) | ||||||||
Vishay Intertechnology Inc. | United States | 3,797 | (72,864 | ) | ||||||||
|
| |||||||||||
(1,336,292 | ) | |||||||||||
|
| |||||||||||
Energy Equipment & Services (0.0)%† | ||||||||||||
Helix Energy Solutions Group Inc. | United States | 138,957 | (562,776 | ) | ||||||||
|
| |||||||||||
Entertainment (0.2)% | ||||||||||||
Cinemark Holdings Inc. | United States | 71,179 | (1,248,480 | ) | ||||||||
The Marcus Corp. | United States | 62,212 | (1,131,014 | ) | ||||||||
Sea Ltd., ADR | Taiwan | 1,324 | (192,774 | ) | ||||||||
Take-Two Interactive Software Inc. | United States | 4,076 | (660,312 | ) | ||||||||
|
| |||||||||||
(3,232,580 | ) | |||||||||||
|
| |||||||||||
Equity Real Estate Investment Trusts (REITs) (0.1)% | ||||||||||||
Braemar Hotels & Resorts Inc. | United States | 52,995 | (315,850 | ) | ||||||||
Pebblebrook Hotel Trust | United States | 37,956 | (854,390 | ) | ||||||||
Summit Hotel Properties Inc. | United States | 56,956 | (563,295 | ) | ||||||||
|
| |||||||||||
(1,733,535 | ) | |||||||||||
|
| |||||||||||
Food & Staples Retailing (0.1)% | ||||||||||||
The Chefs’ Warehouse Inc. | United States | 33,625 | (1,104,581 | ) | ||||||||
|
| |||||||||||
Food Products (0.0)%† | ||||||||||||
Beyond Meat Inc. | United States | 2,562 | (119,850 | ) | ||||||||
|
| |||||||||||
Gas Utilities (0.5)% | ||||||||||||
Atmos Energy Corp. | United States | 27,619 | (3,032,842 | ) | ||||||||
Snam SpA | Italy | 85,169 | (473,221 | ) | ||||||||
South Jersey Industries Inc. | United States | 69,636 | (2,362,750 | ) | ||||||||
UGI Corp. | United States | 28,746 | (1,104,996 | ) | ||||||||
|
| |||||||||||
(6,973,809 | ) | |||||||||||
|
| |||||||||||
Health Care Equipment & Supplies (0.3)% | ||||||||||||
Alphatec Holdings Inc. | United States | 20,914 | (230,472 | ) | ||||||||
Cutera Inc. | United States | 24,419 | (936,713 | ) | ||||||||
Mesa Laboratories Inc. | United States | 1,394 | (355,930 | ) |
54
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) | ||||||||||||
NuVasive Inc. | United States | 8,409 | $ | (455,095 | ) | |||||||
SmileDirectClub Inc., A | United States | 64,104 | (140,388 | ) | ||||||||
Tandem Diabetes Care Inc. | United States | 3,927 | (442,298 | ) | ||||||||
Varex Imaging Corp. | United States | 48,364 | (1,143,325 | ) | ||||||||
|
| |||||||||||
(3,704,221 | ) | |||||||||||
|
| |||||||||||
Health Care Providers & Services (0.0)%† | ||||||||||||
1Life Healthcare Inc. | United States | 4,462 | (48,234 | ) | ||||||||
Guardant Health Inc. | United States | 2,844 | (188,472 | ) | ||||||||
PetIQ Inc., A | United States | 14,170 | (281,133 | ) | ||||||||
|
| |||||||||||
(517,839 | ) | |||||||||||
|
| |||||||||||
Health Care Technology (0.0)%† | ||||||||||||
Evolent Health Inc., A | United States | 12,173 | (324,410 | ) | ||||||||
Tabula Rasa HealthCare Inc. | United States | 1,501 | (8,556 | ) | ||||||||
|
| |||||||||||
(332,966 | ) | |||||||||||
|
| |||||||||||
Hotels, Restaurants & Leisure (0.2)% | ||||||||||||
Airbnb Inc., A | United States | 1,132 | (171,487 | ) | ||||||||
Draftkings Inc., A | United States | 667 | (15,795 | ) | ||||||||
Norwegian Cruise Line Holdings Ltd. | United States | 34,715 | (676,595 | ) | ||||||||
Royal Caribbean Cruises Ltd. | United States | 15,350 | (1,239,052 | ) | ||||||||
Scientific Games Corp. | United States | 5,056 | (318,123 | ) | ||||||||
|
| |||||||||||
(2,421,052 | ) | |||||||||||
|
| |||||||||||
Independent Power & Renewable Electricity Producers (0.0)%† | ||||||||||||
Sunnova Energy International Inc. | United States | 26,559 | (535,164 | ) | ||||||||
|
| |||||||||||
Interactive Media & Services (0.1)% | ||||||||||||
fuboTV Inc. | United States | 9,059 | (77,454 | ) | ||||||||
Snap Inc., A | United States | 19,138 | (764,372 | ) | ||||||||
|
| |||||||||||
(841,826 | ) | |||||||||||
|
| |||||||||||
Internet & Direct Marketing Retail (0.1)% | ||||||||||||
eDelivery Hero SE, 144A | Saudi Arabia | 5,066 | (271,541 | ) | ||||||||
Fiverr International Ltd. | Israel | 2,679 | (211,400 | ) | ||||||||
Groupon Inc., A | United States | 7,444 | (161,684 | ) | ||||||||
eJust Eat Takeaway.Com NV, 144A | United Kingdom | 1,653 | (66,901 | ) | ||||||||
Porch Group Inc. | United States | 27,870 | (225,747 | ) | ||||||||
Wayfair Inc., A | United States | 1,667 | (234,830 | ) | ||||||||
Xometry Inc., A | United States | 10,496 | (513,359 | ) | ||||||||
|
| |||||||||||
(1,685,462 | ) | |||||||||||
|
| |||||||||||
IT Services (0.1)% | ||||||||||||
Affirm Holdings Inc., A | United States | 3,541 | (148,155 | ) | ||||||||
CSG Systems International Inc. | United States | 7,783 | (480,367 | ) | ||||||||
Digitalocean Holdings Inc. | United States | 5,730 | (339,903 | ) | ||||||||
Fastly Inc., A | United States | 5,411 | (100,645 | ) | ||||||||
i3 Verticals Inc., A | United States | 11,013 | (290,743 | ) | ||||||||
Repay Holdings Corp., A | United States | 11,025 | (190,402 | ) | ||||||||
|
| |||||||||||
(1,550,215 | ) | |||||||||||
|
| |||||||||||
Leisure Products (0.0)%† | ||||||||||||
Peloton Interactive Inc., A | United States | 8,034 | (233,468 | ) | ||||||||
|
| |||||||||||
Life Sciences Tools & Services (0.1)% | ||||||||||||
Inotiv Inc. | United States | 8,077 | (213,475 | ) |
55
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) | ||||||||||||
Life Sciences Tools & Services (continued) | ||||||||||||
NanoString Technologies Inc. | United States | 10,516 | $ | (372,898 | ) | |||||||
|
| |||||||||||
(586,373 | ) | |||||||||||
|
| |||||||||||
Machinery (0.1)% | ||||||||||||
The Greenbrier Cos. Inc. | United States | 16,534 | (734,606 | ) | ||||||||
NFI Group Inc. | Canada | 6,324 | (94,598 | ) | ||||||||
|
| |||||||||||
(829,204 | ) | |||||||||||
|
| |||||||||||
Marine (0.1)% | ||||||||||||
A.P. Moeller-Maersk AS, B | Denmark | 140 | (442,892 | ) | ||||||||
ZIM Integrated Shipping Services Ltd. | Israel | 4,924 | (343,646 | ) | ||||||||
|
| |||||||||||
(786,538 | ) | |||||||||||
|
| |||||||||||
Media (0.2)% | ||||||||||||
Charter Communications Inc., A | United States | 450 | (270,801 | ) | ||||||||
Dish Network Corp., A | United States | 9,278 | (296,525 | ) | ||||||||
Magnite Inc. | United States | 6,531 | (95,222 | ) | ||||||||
Sirius XM Holdings Inc. | United States | 127,050 | (782,628 | ) | ||||||||
Techtarget Inc. | United States | 10,651 | (834,825 | ) | ||||||||
|
| |||||||||||
(2,280,001 | ) | |||||||||||
|
| |||||||||||
Metals & Mining (0.5)% | ||||||||||||
Century Aluminum Co. | United States | 26,775 | (632,426 | ) | ||||||||
Ivanhoe Mines Ltd., A | Canada | 86,062 | (875,897 | ) | ||||||||
Lithium Americas Corp. | Canada | 35,240 | (1,005,750 | ) | ||||||||
MP Materials Corp. | United States | 25,080 | (1,144,150 | ) | ||||||||
Osisko Gold Royalties Ltd. | Canada | 1,289 | (15,915 | ) | ||||||||
United States Steel Corp. | United States | 123,939 | (3,372,380 | ) | ||||||||
|
| |||||||||||
(7,046,518 | ) | |||||||||||
|
| |||||||||||
Mortgage Real Estate Investment Trusts (REITs) (0.2)% | ||||||||||||
Arbor Realty Trust Inc. | United States | 49,499 | (890,982 | ) | ||||||||
KKR Real Estate Finance Trust Inc. | United States | 14,000 | (300,580 | ) | ||||||||
PennyMac Mortgage Investment Trust | United States | 29,742 | (463,975 | ) | ||||||||
Redwood Trust Inc. | United States | 5,876 | (61,052 | ) | ||||||||
Starwood Property Trust Inc. | United States | 13,881 | (330,923 | ) | ||||||||
Two Harbors Investment Corp. | United States | 37,279 | (188,632 | ) | ||||||||
|
| |||||||||||
(2,236,144 | ) | |||||||||||
|
| |||||||||||
Oil, Gas & Consumable Fuels (0.0)%† | ||||||||||||
CNX Resources Corp. | United States | 5,892 | (96,275 | ) | ||||||||
|
| |||||||||||
Personal Products (0.1)% | ||||||||||||
The Beauty Health Co. | United States | 32,034 | (620,819 | ) | ||||||||
Herbalife Nutrition Ltd. | United States | 6,207 | (220,845 | ) | ||||||||
|
| |||||||||||
(841,664 | ) | |||||||||||
|
| |||||||||||
Pharmaceuticals (0.3)% | ||||||||||||
Aerie Pharmaceuticals Inc. | United States | 6,290 | (52,207 | ) | ||||||||
Avadel Pharmaceuticals PLC, ADR | United States | 66,645 | (537,159 | ) | ||||||||
Canopy Growth Corp. | Canada | 2,021 | (14,414 | ) | ||||||||
Collegium Pharmaceutical Inc. | United States | 26,087 | (507,914 | ) | ||||||||
Innoviva Inc. | United States | 68,001 | (1,306,299 | ) | ||||||||
Omeros Corp. | United States | 40,483 | (291,478 | ) | ||||||||
Pacira Biosciences Inc. | United States | 5,436 | (362,527 | ) | ||||||||
Revance Therapeutics Inc. | United States | 20,099 | (272,743 | ) |
56
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) | ||||||||||||
Pharmaceuticals (continued) | ||||||||||||
Zogenix Inc. | United States | 35,306 | $ | (927,135 | ) | |||||||
|
| |||||||||||
(4,271,876 | ) | |||||||||||
|
| |||||||||||
Professional Services (0.0)%† | ||||||||||||
Upwork Inc. | United States | 6,040 | (152,691 | ) | ||||||||
|
| |||||||||||
Real Estate Management & Development (0.1)% | ||||||||||||
Opendoor Technologies Inc. | United States | 72,389 | (604,448 | ) | ||||||||
Realogy Holdings Corp. | United States | 27,460 | (499,223 | ) | ||||||||
Redfin Corp. | United States | 7,443 | (160,992 | ) | ||||||||
|
| |||||||||||
(1,264,663 | ) | |||||||||||
|
| |||||||||||
Road & Rail (0.1)% | ||||||||||||
Saia Inc. | United States | 3,347 | (961,359 | ) | ||||||||
Tusimple Holdings Inc., A | United States | 23,972 | (417,592 | ) | ||||||||
|
| |||||||||||
(1,378,951 | ) | |||||||||||
|
| |||||||||||
Semiconductors & Semiconductor Equipment (0.1)% | ||||||||||||
ams AG | Austria | 18,392 | (286,208 | ) | ||||||||
First Solar Inc. | United States | 6,649 | (500,603 | ) | ||||||||
Sunpower Corp., A | United States | 15,307 | (274,454 | ) | ||||||||
|
| |||||||||||
(1,061,265 | ) | |||||||||||
|
| |||||||||||
Software (0.3)% | ||||||||||||
Alteryx Inc., A | United States | 1,293 | (80,554 | ) | ||||||||
Avaya Holdings Corp. | United States | 8,294 | (114,208 | ) | ||||||||
Bentley Systems Inc., B | United States | 3,003 | (115,285 | ) | ||||||||
Blackline Inc. | United States | 4,343 | (327,071 | ) | ||||||||
Confluent Inc., A | United States | 362 | (15,490 | ) | ||||||||
Datadog Inc., A | United States | 4,562 | (734,984 | ) | ||||||||
Dye & Durham Ltd. | Canada | 5,320 | (122,853 | ) | ||||||||
Envestnet Inc. | United States | 938 | (70,181 | ) | ||||||||
Everbridge Inc. | United States | 2,545 | (100,579 | ) | ||||||||
Kaleyra Inc. | Italy | 18,695 | (144,512 | ) | ||||||||
LivePerson Inc. | United States | 551 | (11,174 | ) | ||||||||
Mandiant Inc. | United States | 20,023 | (396,456 | ) | ||||||||
Mitek Systems Inc. | United States | 27,890 | (414,445 | ) | ||||||||
NortonLifeLock Inc. | United States | 9,150 | (265,167 | ) | ||||||||
Nutanix Inc., A | United States | 13,288 | (354,790 | ) | ||||||||
Rapid7 Inc. | United States | 6,518 | (674,352 | ) | ||||||||
RingCentral Inc., A | United States | 989 | (129,401 | ) | ||||||||
Unity Software Inc. | United States | 1,553 | (165,317 | ) | ||||||||
Veritone Inc. | United States | 13,040 | (219,594 | ) | ||||||||
|
| |||||||||||
(4,456,413 | ) | |||||||||||
|
| |||||||||||
Specialty Retail (0.1)% | ||||||||||||
Guess? Inc. | United States | 28,355 | (620,974 | ) | ||||||||
Shift Technologies Inc. | United States | 78,393 | (158,354 | ) | ||||||||
Vroom Inc. | United States | 11,882 | (72,243 | ) | ||||||||
|
| |||||||||||
(851,571 | ) | |||||||||||
|
| |||||||||||
Technology Hardware, Storage & Peripherals (0.0)%† | ||||||||||||
Pure Storage Inc., A | United States | 6,374 | (165,342 | ) | ||||||||
|
| |||||||||||
Trading Companies & Distributors (0.1)% | ||||||||||||
United Rentals Inc. | United States | 2,486 | (799,547 | ) | ||||||||
|
|
57
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) | ||||||||||||||||
Water Utilities (0.1)% | ||||||||||||||||
American Water Works Co. Inc. | United States | 5,703 | $ | (861,666 | ) | |||||||||||
|
| |||||||||||||||
Total Common Stocks (Proceeds $110,913,049) | (99,383,301 | ) | ||||||||||||||
|
| |||||||||||||||
Exchange Traded Funds (8.7)% | ||||||||||||||||
Ark Innovation ETF | United States | 3,115 | (219,514 | ) | ||||||||||||
Health Care Select Sector SPDR Fund | United States | 64,792 | (8,420,368 | ) | ||||||||||||
Invesco QQQ Series 1 ETF | United States | 15,806 | (5,481,521 | ) | ||||||||||||
Invesco S&P 500 Equal Weight ETF | United States | 333,073 | (51,376,510 | ) | ||||||||||||
Invesco Solar ETF | United States | 9,638 | (688,828 | ) | ||||||||||||
iShares Iboxx $ High Yield Corporate Bond ETF | United States | 39,375 | (3,294,506 | ) | ||||||||||||
iShares Nasdaq Biotechnology ETF | United States | 39,276 | (4,951,525 | ) | ||||||||||||
iShares PHLX Semiconductor ETF | United States | 3,911 | (1,854,440 | ) | ||||||||||||
iShares Russell 1000 ETF | United States | 9,118 | (2,212,939 | ) | ||||||||||||
iShares Russell 2000 Growth ETF | United States | 93,616 | (23,884,250 | ) | ||||||||||||
iShares Russell Mid-Cap Growth ETF | United States | 143,005 | (14,168,936 | ) | ||||||||||||
SPDR S&P 500 ETF Trust | United States | 4,047 | (1,767,042 | ) | ||||||||||||
|
| |||||||||||||||
Total Exchange Traded Funds (Proceeds $124,206,381) | (118,320,379 | ) | ||||||||||||||
|
| |||||||||||||||
Principal Amount* | ||||||||||||||||
|
|
| ||||||||||||||
Corporate Bonds and Notes (0.8)% | ||||||||||||||||
Aerospace & Defense (0.0)%† | ||||||||||||||||
eSpirit Aerosystems Inc., secured note, 144A, 7.50%, 4/15/25 | United States | 273,000 | (283,920 | ) | ||||||||||||
|
| |||||||||||||||
Airlines (0.0)%† | ||||||||||||||||
eAir France-KLM, senior note, Reg S, 3.00%, 7/01/24 | France | 200,000 | EUR | (219,422 | ) | |||||||||||
|
| |||||||||||||||
Auto Components (0.0)%† | ||||||||||||||||
eWheel Pros Inc., senior note, 144A, 6.50%, 5/15/29 | United States | 418,000 | (383,135 | ) | ||||||||||||
|
| |||||||||||||||
Communications Equipment (0.1)% | ||||||||||||||||
eAudacy Capital Corp., secured note, 144A, | ||||||||||||||||
6.50%, 5/01/27 | United States | 346,000 | (329,129 | ) | ||||||||||||
6.75%, 3/31/29 | United States | 255,000 | (242,072 | ) | ||||||||||||
|
| |||||||||||||||
(571,201 | ) | |||||||||||||||
|
| |||||||||||||||
Construction & Engineering (0.1)% | ||||||||||||||||
eBouygues SA, senior note, Reg S, 1.125%, 7/24/28 | France | 100,000 | EUR | (112,080 | ) | |||||||||||
Fluor Corp., senior bond, 4.25%, 9/15/28 | United States | 710,000 | (696,134 | ) | ||||||||||||
eSydney Airport Finance Co. Pty Ltd., senior secured bond, 144A, | ||||||||||||||||
3.375%, 4/30/25 | Australia | 146,000 | (149,588 | ) | ||||||||||||
3.625%, 4/28/26 | Australia | 73,000 | (75,656 | ) | ||||||||||||
eTutor Perini Corp., senior note, 144A, 6.875%, 5/01/25 | United States | 525,000 | (514,500 | ) | ||||||||||||
|
| |||||||||||||||
(1,547,958 | ) | |||||||||||||||
|
| |||||||||||||||
Diversified Consumer Services (0.0)%† | ||||||||||||||||
Paysafe Finance PLC / Paysafe Holdings US Corp., senior secured note, | ||||||||||||||||
3.00%, 6/15/29 | United States | 144,000 | EUR | (142,252 | ) | |||||||||||
e144A, 4.00%, 6/15/29 | United States | 194,000 | (169,045 | ) | ||||||||||||
|
| |||||||||||||||
(311,297 | ) | |||||||||||||||
|
| |||||||||||||||
Diversified Financial Services (0.1)% | ||||||||||||||||
eKronos Acquisition Holdings Inc. / KIK Custom Products Inc., senior note, 144A, 7.00%, 12/31/27 | Canada | 225,000 | (190,755 | ) |
58
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* | Value | ||||||||||||||
Securities Sold Short (continued) | ||||||||||||||||
Corporate Bonds and Notes (continued) | ||||||||||||||||
Diversified Financial Services (continued) | ||||||||||||||||
eMPH Acquisition Holdings LLC, senior note, 144A, 5.75%, 11/01/28 | United States | 626,000 | $ | (565,660 | ) | |||||||||||
eSherwood Financing PLC, senior secured note, Reg S, 6.00%, 11/15/26 | United Kingdom | 127,000 | GBP | (162,047 | ) | |||||||||||
eVictors Merger Corp., senior note, 144A, 6.375%, 5/15/29 | United States | 204,000 | (176,970 | ) | ||||||||||||
|
| |||||||||||||||
(1,095,432 | ) | |||||||||||||||
|
| |||||||||||||||
Diversified Telecommunication Services (0.0)%† | ||||||||||||||||
eIliad Holding SASU, senior secured note, Reg S, 5.625%, 10/15/28 | France | 338,000 | EUR | (374,265 | ) | |||||||||||
|
| |||||||||||||||
Energy Equipment & Services (0.0)%† | ||||||||||||||||
eSaipem Finance International BV, E, senior note, Reg S, 2.75%, 4/05/22 | Italy | 463,000 | EUR | (503,339 | ) | |||||||||||
|
| |||||||||||||||
Equity Real Estate Investment Trusts (REITs) (0.0)%† | ||||||||||||||||
The GEO Group Inc., senior note, 6.00%, 4/15/26 | United States | 133,000 | (109,944 | ) | ||||||||||||
|
| |||||||||||||||
Food & Staples Retailing (0.1)% | ||||||||||||||||
Koninklijke Ahold Delhaize NV, senior bond, 5.70%, 10/01/40 | Netherlands | 603,000 | (769,510 | ) | ||||||||||||
eSEG Holding LLC / SEG Finance Corp., senior secured note, 144A, 5.625%, 10/15/28 | United States | 166,000 | (171,191 | ) | ||||||||||||
eSigma Holdco BV, senior note, Reg S, 5.75%, 5/15/26 | Netherlands | 200,000 | EUR | (189,362 | ) | |||||||||||
|
| |||||||||||||||
(1,130,063 | ) | |||||||||||||||
|
| |||||||||||||||
Food Products (0.1)% | ||||||||||||||||
B&G Foods Inc., senior note, 5.25%, 9/15/27 | United States | 617,000 | (615,846 | ) | ||||||||||||
|
| |||||||||||||||
Health Care Providers & Services (0.0)%† | ||||||||||||||||
eAir Methods Corp., senior note, 144A, 8.00%, 5/15/25 | United States | 380,000 | (316,021 | ) | ||||||||||||
eOrpea SA, E, senior note, Reg S, 2.625%, 3/10/25 | France | 200,000 | EUR | (204,160 | ) | |||||||||||
|
| |||||||||||||||
(520,181 | ) | |||||||||||||||
|
| |||||||||||||||
Hotels, Restaurants & Leisure (0.0)%† | ||||||||||||||||
eWynn Las Vegas LLC / Wynn Las Vegas Capital Corp., senior bond, 144A, 5.50%, 3/01/25 | United States | 115,000 | (116,759 | ) | ||||||||||||
|
| |||||||||||||||
Media (0.0)%† | ||||||||||||||||
DISH DBS Corp., senior note, 7.75%, 7/01/26 | United States | 191,000 | (193,644 | ) | ||||||||||||
|
| |||||||||||||||
Oil, Gas & Consumable Fuels (0.1)% | ||||||||||||||||
Apache Corp., senior bond, 4.375%, 10/15/28 | United States | 75,000 | (76,064 | ) | ||||||||||||
Petrobras Global Finance BV, senior note, 5.093%, 1/15/30 | Brazil | 360,000 | (357,799 | ) | ||||||||||||
eSM Energy Co., secured note, 144A, 10.00%, 1/15/25 | United States | 120,000 | (131,723 | ) | ||||||||||||
|
| |||||||||||||||
(565,586 | ) | |||||||||||||||
|
| |||||||||||||||
Real Estate Management & Development (0.0)%† | ||||||||||||||||
eSamhallsbyggnadsbolaget I Norden AB, E, senior note, Reg S, 1.75%, 1/14/25 | Sweden | 100,000 | EUR | (110,551 | ) | |||||||||||
|
| |||||||||||||||
Road & Rail (0.0)%† | ||||||||||||||||
eThe Go-Ahead Group PLC, senior note, Reg S, 2.50%, 7/06/24 | United Kingdom | 309,000 | GBP | (400,792 | ) | |||||||||||
|
| |||||||||||||||
Specialty Retail (0.2)% | ||||||||||||||||
eAt Home Group Inc., senior note, 144A, 7.125%, 7/15/29 | United States | 202,000 | (179,614 | ) | ||||||||||||
eDufry One BV, senior note, Reg S, 2.00%, 2/15/27 | Switzerland | 361,000 | EUR | (364,933 | ) | |||||||||||
eMacy’s Retail Holdings LLC, senior note, 144A, 5.875%, 4/01/29 | United States | 437,000 | (447,350 | ) | ||||||||||||
e Matalan Finance PLC, senior secured note, Reg S, 6.75%, 1/31/23 | United Kingdom | 128,000 | GBP | (161,095 | ) |
59
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* | Value | ||||||||||||||
Securities Sold Short (continued) | ||||||||||||||||
Corporate Bonds and Notes (continued) | ||||||||||||||||
Specialty Retail (continued) | ||||||||||||||||
eRent-A-Center Inc., senior note, 144A, 6.375%, 2/15/29 | United States | 810,000 | $ | (776,430 | ) | |||||||||||
|
| |||||||||||||||
(1,929,422 | ) | |||||||||||||||
|
| |||||||||||||||
Total Corporate Bonds and Notes (Proceeds $11,486,885) |
| (10,982,757 | ) | |||||||||||||
|
| |||||||||||||||
Foreign Government and Agency Securities (0.1)% | ||||||||||||||||
eGovernment of France, senior bond, Reg S, zero cpn., 5/25/32 | France | 300,000 | EUR | (315,245 | ) | |||||||||||
Government of Turkey, senior note, 7.25%, 12/23/23 | Turkey | 437,000 | (446,612 | ) | ||||||||||||
eItaly Buoni Poliennali del Tesoro, senior bond, Reg S, 6.00%, 5/01/31 | Italy | 146,000 | EUR | (226,284 | ) | |||||||||||
|
| |||||||||||||||
Total Foreign Government and Agency Securities (Proceeds $995,991) | (988,141 | ) | ||||||||||||||
|
| |||||||||||||||
hSenior Floating Rate Interests (Proceeds $28,839) (0.0)%† | ||||||||||||||||
Chemicals (0.0)%† | ||||||||||||||||
ICP Group, Term Loan, 4.50%, (1-Month USD LIBOR + 3.75%), 12/29/27 | United States | 29,579 | (28,692 | ) | ||||||||||||
|
| |||||||||||||||
U.S. Government and Agency Securities (0.1)% | ||||||||||||||||
U.S. Treasury Note, | ||||||||||||||||
0.875%, 11/15/30 | United States | 472,000 | (436,176 | ) | ||||||||||||
1.25%, 8/15/31 | United States | 219,000 | (207,999 | ) | ||||||||||||
1.375%, 11/15/31 | United States | 806,000 | (772,815 | ) | ||||||||||||
|
| |||||||||||||||
Total U.S. Government and Agency Securities | (1,416,990 | ) | ||||||||||||||
|
| |||||||||||||||
Total Securities Sold Short (Proceeds $249,120,006) | $ | (231,120,260 | ) | |||||||||||||
|
|
60
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
†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 28, 2022, the aggregate value of these securities and/or cash pledged amounted to $184,640,643, representing 13.6% of net assets.
cA portion or all of the security is on loan at February 28, 2022.
dA portion or all of the security is held in connection with written option contracts open at period end.
eSecurity was purchased pursuant to Rule 144A or Regulation S under the Securities Act of 1933. 144A securities may be sold in transactions exempt from registration only to qualified institutional buyers or in public offering registered under the Securities Act of 1933. Regulation S securities 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 28, 2022, the net value of these securities was $340,572,905, representing 25.1% of net assets.
fFair valued using significant unobservable inputs. See Note 9 regarding fair value measurements.
gPerpetual security with no stated maturity date.
hThe coupon rate shown represents the rate at period end.
iIncome may be received in additional securities and/or cash.
jDefaulted security or security for which income has been deemed uncollectible.
kPrincipal amount is stated in 100 Mexican Peso Units.
lA supranational organization is an entity formed by two or more central governments through international treaties.
mThe coupon rate shown represents the rate inclusive of any caps or floors, if applicable, in effect at period end.
nAdjustable 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.
oThe rate shown is the annualized seven-day effective yield at period end.
pA portion or all of the security is owned by K2 Holdings Investment Corp., a wholly-owned subsidiary of the Fund. See Note 8.
qSee Note 7 regarding investments in affiliated management investment companies.
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 28, 2022, all repurchase agreements had been entered into on that date.
sThe security was issued on a discount basis with no stated coupon rate.
61
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
At February 28, 2022, the Fund had the following futures contracts outstanding. See Note 3.
Futures Contracts
Description | Type | Number of Contracts | Notional Amount* | Expiration Date | Value/Unrealized Appreciation (Depreciation) | |||||||||||||||
Commodity Contractsa | ||||||||||||||||||||
Aluminum | Long | 14 | $ | 1,180,900 | 3/14/22 | $ | 213,008 | |||||||||||||
Aluminum | Short | 14 | 1,180,900 | 3/14/22 | (124,028 | ) | ||||||||||||||
Aluminum | Long | 11 | 925,512 | 6/13/22 | 71,593 | |||||||||||||||
Brent Crude Oil | Long | 15 | 1,469,550 | 3/31/22 | 118,697 | |||||||||||||||
Coffee | Long | 7 | 611,362 | 5/18/22 | (44,401 | ) | ||||||||||||||
Copper | Long | 6 | 1,487,850 | 3/14/22 | 22,119 | |||||||||||||||
Copper | Short | 6 | 1,487,850 | 3/14/22 | (35,906 | ) | ||||||||||||||
Copper | Long | 6 | 1,481,775 | 6/13/22 | 12,078 | |||||||||||||||
Copper | Short | 2 | 493,925 | 6/13/22 | 1,306 | |||||||||||||||
Corn | Long | 45 | 1,554,187 | 5/13/22 | 115,000 | |||||||||||||||
Cotton | Long | 8 | 476,480 | 5/06/22 | (17,768 | ) | ||||||||||||||
Gasoline | Long | 13 | 1,601,145 | 3/31/22 | 79,876 | |||||||||||||||
Gold | Long | 16 | 3,041,120 | 4/27/22 | 85,494 | |||||||||||||||
Hard Red Winter Wheat | Long | 16 | 752,600 | 7/14/22 | 101,556 | |||||||||||||||
Low Sulphur Gas Oil | Long | 15 | 1,282,125 | 4/12/22 | 87,602 | |||||||||||||||
Natural Gas | Long | 13 | 572,260 | 3/29/22 | (7,139 | ) | ||||||||||||||
NY Harbor | Long | 12 | 1,477,375 | 3/31/22 | 95,788 | |||||||||||||||
Silver | Short | 4 | 487,320 | 5/26/22 | (729 | ) | ||||||||||||||
Soybean Oil | Long | 24 | 1,058,822 | 5/13/22 | 49,376 | |||||||||||||||
Soybeans | Long | 26 | 2,127,775 | 5/13/22 | 70,028 | |||||||||||||||
Sugar | Long | 9 | 178,416 | 4/29/22 | (933 | ) | ||||||||||||||
Wheat | Long | 11 | 513,700 | 5/13/22 | 78,432 | |||||||||||||||
WTI Crude Oil | Long | 13 | 1,244,360 | 3/22/22 | 92,621 | |||||||||||||||
Zinc | Long | 10 | 920,188 | 3/14/22 | 87,941 | |||||||||||||||
Zinc | Short | 10 | 920,188 | 3/14/22 | (22,873 | ) | ||||||||||||||
Zinc | Long | 10 | 915,813 | 6/13/22 | 14,876 | |||||||||||||||
|
|
| ||||||||||||||||||
1,143,614 | ||||||||||||||||||||
|
|
| ||||||||||||||||||
Currency Contractsa | ||||||||||||||||||||
U.S. Dollar Index | Long | 8 | 773,552 | 3/14/22 | 6,861 | |||||||||||||||
|
|
| ||||||||||||||||||
Equity Contracts | ||||||||||||||||||||
CAC 40 10 Euro Indexa | Long | 5 | 373,096 | 3/18/22 | (3,578 | ) | ||||||||||||||
CAC 40 10 Euro Index | Short | 9 | 671,573 | 3/18/22 | 19,553 | |||||||||||||||
CBOE Volatility Index | Long | 29 | 829,890 | 3/15/22 | 121,816 | |||||||||||||||
CBOE Volatility Index | Long | 32 | 900,803 | 4/20/22 | 23,114 | |||||||||||||||
CBOE Volatility Index | Long | 32 | 872,810 | 7/20/22 | 58,332 | |||||||||||||||
CBOE Volatility Index | Long | 36 | 966,557 | 8/17/22 | 15,817 | |||||||||||||||
DAX Indexa | Short | 5 | 2,031,145 | 3/18/22 | 141,563 | |||||||||||||||
DJ Euro Stoxx 50 Indexa | Short | 721 | 31,746,711 | 3/18/22 | 1,922,979 | |||||||||||||||
DJIA Mini E-CBOT Indexa | Short | 6 | 1,015,200 | 3/18/22 | (8,512 | ) | ||||||||||||||
E-Mini Russell 2000a | Short | 33 | 3,373,425 | 3/18/22 | 82,080 | |||||||||||||||
FTSE 100 Indexa | Long | 15 | 1,496,008 | 3/18/22 | 44,881 | |||||||||||||||
FTSE 100 Index | Short | 88 | 8,776,578 | 3/18/22 | (311,593 | ) | ||||||||||||||
FTSE/MIB Index | Short | 3 | 427,482 | 3/18/22 | 16,733 | |||||||||||||||
Hang Seng Indexa | Short | 8 | 1,159,727 | 3/30/22 | 41,669 | |||||||||||||||
MSCI Singapore Index | Long | 2 | 48,890 | 3/30/22 | 395 | |||||||||||||||
NASDAQ 100 E-Mini Indexa | Long | 1 | 284,560 | 3/18/22 | (5,077 | ) | ||||||||||||||
NASDAQ 100 E-Mini Index | Short | 2 | 569,120 | 3/18/22 | 85,210 | |||||||||||||||
Nikkei 225 Indexa | Long | 2 | 462,054 | 3/10/22 | (3,451 | ) | ||||||||||||||
S&P 500 E-Mini Index | Long | 1 | 218,400 | 3/18/22 | 12,899 | |||||||||||||||
S&P 500 E-Mini Index | Short | 80 | 17,472,000 | 3/18/22 | 1,103,331 | |||||||||||||||
SGX Nifty 50 | Short | 2 | 67,120 | 3/31/22 | (481 | ) |
62
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Futures Contracts (continued)
Description | Type | Number of Contracts | Notional Amount* | Expiration Date | Value/Unrealized Appreciation (Depreciation) | |||||||||||||||
Equity Contracts (continued) | ||||||||||||||||||||
STOXX 600 Banks Index | Short | 123 | $ | 969,534 | 3/18/22 | $ | (26,848 | ) | ||||||||||||
TOPIX Indexa | Short | 6 | 986,909 | 3/10/22 | 58,307 | |||||||||||||||
VSTOXX | Long | 76 | 256,497 | 3/15/22 | 19,038 | |||||||||||||||
VSTOXX | Long | 93 | 296,666 | 4/20/22 | (790 | ) | ||||||||||||||
|
|
| ||||||||||||||||||
3,407,387 | ||||||||||||||||||||
|
|
| ||||||||||||||||||
Interest Rate Contracts | ||||||||||||||||||||
3 Month EURIBORa | Short | 105 | 29,310,675 | 6/19/23 | 158,036 | |||||||||||||||
10 Yr. Mini JGBa | Long | 10 | 1,309,529 | 3/11/22 | (9,333 | ) | ||||||||||||||
30 Day Federal Funds | Short | 11 | 4,520,903 | 12/30/22 | (3,226 | ) | ||||||||||||||
30 Day Federal Funds | Short | 37 | 15,195,882 | 1/31/23 | (22,331 | ) | ||||||||||||||
90 Day Eurodollar | Long | 272 | 66,694,400 | 3/13/23 | (72,633 | ) | ||||||||||||||
90 Day Eurodollara | Short | 205 | 50,178,875 | 6/19/23 | (32,789 | ) | ||||||||||||||
90 Day Sterlinga | Short | 5 | 1,645,266 | 9/19/23 | (4,681 | ) | ||||||||||||||
ASX 90 Day Bank Accepted Bill | Long | 267 | 193,774,056 | 6/09/22 | 53,135 | |||||||||||||||
Australian 3 Yr. Bond | Short | 169 | 13,862,965 | 3/15/22 | (164,513 | ) | ||||||||||||||
Australian 10 Yr. Bonda | Long | 10 | 977,693 | 3/15/22 | (22,631 | ) | ||||||||||||||
Canadian 10 Yr. Bonda | Long | 12 | 1,293,917 | 6/21/22 | 7,895 | |||||||||||||||
Euro-BOBLa | Short | 27 | 3,991,898 | 3/08/22 | (36,216 | ) | ||||||||||||||
Euro-Bunda | Short | 11 | 2,060,230 | 3/08/22 | (11,089 | ) | ||||||||||||||
Euro-Bund | Short | 2 | 368,017 | 6/08/22 | (499 | ) | ||||||||||||||
Euro-SCHATZa | Long | 77 | 9,668,800 | 3/08/22 | (14,622 | ) | ||||||||||||||
Japanese 10 Yr. Bonda | Long | 4 | 5,236,376 | 3/14/22 | (36,801 | ) | ||||||||||||||
Japanese 10 Yr. Bond | Short | 2 | 2,618,188 | 3/14/22 | (2,526 | ) | ||||||||||||||
Korean 3 Yr. Bond | Short | 157 | 14,102,383 | 3/15/22 | (1,542 | ) | ||||||||||||||
Long Gilta | Short | 18 | 2,972,014 | 6/28/22 | (18,983 | ) | ||||||||||||||
U.S. Treasury 2 Yr. Notea | Long | 11 | 2,367,492 | 6/30/22 | 7,712 | |||||||||||||||
U.S. Treasury 5 Yr. Notea | Short | 91 | 10,763,594 | 6/30/22 | (48,312 | ) | ||||||||||||||
U.S. Treasury 10 Yr. Notea | Short | 23 | 2,931,063 | 6/21/22 | (26,199 | ) | ||||||||||||||
U.S. Treasury 10 Yr. Ultra | Short | 104 | 14,698,125 | 6/21/22 | (122,259 | ) | ||||||||||||||
U.S. Treasury Long Bonda | Short | 33 | 5,170,688 | 6/21/22 | (76,117 | ) | ||||||||||||||
U.S. Treasury Ultra Bond | Short | 20 | 3,718,750 | 6/21/22 | (21,292 | ) | ||||||||||||||
|
|
| ||||||||||||||||||
(521,816 | ) | |||||||||||||||||||
|
|
| ||||||||||||||||||
Total Futures Contracts | $ | 4,036,046 | ||||||||||||||||||
|
|
|
*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 8.
At February 28, 2022, the Fund had the following forward exchange contracts outstanding. See Note 3.
Forward Exchange Contracts
Currency | Counterpartya | Type | Quantity | Contract Amount* | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||
OTC Forward Exchange Contracts | ||||||||||||||||||||||||||||
Taiwan Dollar | CITI | Buy | 164,410,000 | 5,876,613 | 3/01/22 | $ | – | $ | (12,158 | ) | ||||||||||||||||||
Taiwan Dollar | DBAB | Sell | 54,480,000 | 1,947,314 | 3/01/22 | 4,029 | – | |||||||||||||||||||||
Taiwan Dollar | GSCO | Buy | 53,886,000 | 1,926,082 | 3/01/22 | – | (3,985 | ) | ||||||||||||||||||||
Taiwan Dollar | GSCO | Sell | 27,630,000 | 987,597 | 3/01/22 | 2,043 | – | |||||||||||||||||||||
Taiwan Dollar | HSBC | Sell | 27,620,000 | 987,240 | 3/01/22 | 2,043 | – | |||||||||||||||||||||
Taiwan Dollar | JPHQ | Buy | 218,296,000 | 8,000,000 | 3/01/22 | – | (213,447 | ) | ||||||||||||||||||||
Taiwan Dollar | JPHQ | Sell | 272,562,000 | 10,076,926 | 3/01/22 | 354,722 | – |
63
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Forward Exchange Contracts (continued)
Currency | Counterpartya | Type | Quantity | Contract Amount* | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||
OTC Forward Exchange Contracts (continued) | ||||||||||||||||||||||||
Taiwan Dollar | MSCO | Sell | 54,300,000 | 1,940,880 | 3/01/22 | $ | 4,015 | $ | – | |||||||||||||||
Brazilian Real | BOFA | Buy | 1,192,000 | 212,781 | 3/03/22 | 18,401 | – | |||||||||||||||||
Brazilian Real | BOFA | Sell | 1,192,000 | 207,121 | 3/03/22 | – | (24,061 | ) | ||||||||||||||||
Chilean Peso | MSCO | Buy | 1,540,230,650 | 1,835,793 | 3/15/22 | 87,758 | – | |||||||||||||||||
Chilean Peso | MSCO | Sell | 1,540,230,650 | 1,816,150 | 3/15/22 | – | (107,401 | ) | ||||||||||||||||
Chinese Yuan | MSCO | Buy | 11,662,365 | 1,830,190 | 3/15/22 | 15,411 | – | |||||||||||||||||
Chinese Yuan | MSCO | Sell | 25,954,405 | 4,037,351 | 3/15/22 | – | (70,001 | ) | ||||||||||||||||
Russian Ruble | MSCO | Buy | 196,775,179 | 2,524,377 | 3/15/22 | – | (728,121 | ) | ||||||||||||||||
Russian Ruble | MSCO | Sell | 196,775,179 | 2,510,208 | 3/15/22 | 713,952 | – | |||||||||||||||||
Singapore Dollar | CITI | Sell | 486,236 | 500,000 | AUD | 3/16/22 | 7,146 | (2,524 | ) | |||||||||||||||
Japanese Yen | MSCO | Sell | 20,150,725 | 250,000 | AUD | 3/16/22 | 6,280 | – | ||||||||||||||||
British Pound | BNYM | Buy | 228,305 | 310,719 | 3/16/22 | – | (4,397 | ) | ||||||||||||||||
British Pound | BNYM | Sell | 2,732,232 | 3,627,423 | 3/16/22 | 3,694 | (42,165 | ) | ||||||||||||||||
Euro | CITI | Sell | 450,000 | 378,128 | GBP | 3/16/22 | 5,741 | (3,330 | ) | |||||||||||||||
Chinese Yuan | CITI | Sell | 2,575,922 | 400,000 | 3/16/22 | – | (7,265 | ) | ||||||||||||||||
Chinese Yuan | GSCO | Sell | 1,603,338 | 250,000 | 3/16/22 | – | (3,495 | ) | ||||||||||||||||
Czech Koruna | DBAB | Buy | 22,956,706 | 1,011,967 | 3/16/22 | 9,280 | – | |||||||||||||||||
Czech Koruna | HSBC | Sell | 22,956,706 | 1,002,783 | 3/16/22 | – | (18,464 | ) | ||||||||||||||||
Euro | BNYM | Buy | 1,317,008 | 1,490,333 | 3/16/22 | 63 | (12,621 | ) | ||||||||||||||||
Euro | BNYM | Sell | 6,398,895 | 7,256,399 | 3/16/22 | 76,388 | – | |||||||||||||||||
Euro | CITI | Sell | 450,000 | 516,875 | 3/16/22 | 11,943 | – | |||||||||||||||||
Chinese Yuan | GSCO | Sell | 1,807,835 | 250,000 | EUR | 3/16/22 | – | (5,309 | ) | |||||||||||||||
Euro | HSBC | Buy | 450,000 | 509,377 | 3/16/22 | – | (4,445 | ) | ||||||||||||||||
Euro | MSCO | Sell | 1,462,764 | 1,658,088 | 3/16/22 | 16,764 | – | |||||||||||||||||
British Pound | UBSW | Sell | 376,520 | 450,000 | EUR | 3/16/22 | 3,573 | (3,826 | ) | |||||||||||||||
Indian Rupee | BNPP | Buy | 18,962,675 | 250,000 | 3/16/22 | 1,212 | – | |||||||||||||||||
Indian Rupee | BNPP | Sell | 18,777,225 | 250,000 | 3/16/22 | 1,244 | – | |||||||||||||||||
Indian Rupee | CITI | Buy | 18,948,150 | 250,000 | 3/16/22 | 1,020 | – | |||||||||||||||||
Indian Rupee | CITI | Sell | 37,825,625 | 500,000 | 3/16/22 | – | (1,104 | ) | ||||||||||||||||
Indian Rupee | HSBC | Sell | 187,725 | 2,484 | 3/16/22 | – | (3 | ) | ||||||||||||||||
Indian Rupee | JPHQ | Buy | 18,879,750 | 250,000 | 3/16/22 | 114 | – | |||||||||||||||||
Indonesian Rupiah | BNPP | Buy | 3,625,350,000 | 250,000 | 3/16/22 | 2,056 | – | |||||||||||||||||
Indonesian Rupiah | DBAB | Buy | 8,727,465,297 | 605,864 | 3/16/22 | 922 | – | |||||||||||||||||
Indonesian Rupiah | GSCO | Buy | 3,626,750,000 | 250,000 | 3/16/22 | 2,153 | – | |||||||||||||||||
Indonesian Rupiah | HSBC | Sell | 7,258,100,000 | 501,756 | 3/16/22 | – | (2,871 | ) | ||||||||||||||||
Indonesian Rupiah | JPHQ | Buy | 34,518,871,109 | 2,397,701 | 3/16/22 | 3,457 | (1,199 | ) | ||||||||||||||||
Indonesian Rupiah | JPHQ | Sell | 5,730,000,000 | 400,000 | 3/16/22 | 1,616 | – | |||||||||||||||||
Indonesian Rupiah | SCBL | Sell | 38,416,127,384 | 2,665,750 | 3/16/22 | – | (5,170 | ) | ||||||||||||||||
Japanese Yen | DBAB | Sell | 19,171,508 | 250,000 | NZD | 3/16/22 | 2,598 | (308 | ) | |||||||||||||||
Philippine Peso | GSCO | Buy | 14,015,700 | 270,000 | 3/16/22 | 3,204 | – | |||||||||||||||||
Philippine Peso | JPHQ | Sell | 13,832,100 | 270,000 | 3/16/22 | 375 | – | |||||||||||||||||
Russian Ruble | DBAB | Buy | 106,717,848 | 1,397,800 | 3/16/22 | – | (424,562 | ) | ||||||||||||||||
Russian Ruble | DBAB | Sell | 182,902,321 | 2,395,671 | 3/16/22 | 727,651 | – | |||||||||||||||||
Russian Ruble | GSCO | Buy | 48,355,297 | 642,359 | 3/16/22 | – | (201,372 | ) | ||||||||||||||||
Russian Ruble | JPHQ | Buy | 134,547,024 | 1,787,324 | 3/16/22 | – | (560,291 | ) | ||||||||||||||||
Russian Ruble | MSCO | Sell | 106,717,848 | 1,424,281 | 3/16/22 | 451,043 | – | |||||||||||||||||
Australian Dollar | CITI | Sell | 250,000 | 243,174 | SGD | 3/16/22 | – | (2,270 | ) | |||||||||||||||
Singapore Dollar | CITI | Buy | 338,520 | 250,000 | 3/16/22 | – | (318 | ) | ||||||||||||||||
Singapore Dollar | HSBC | Buy | 341,317 | 250,000 | 3/16/22 | 1,745 | – | |||||||||||||||||
Singapore Dollar | SCBL | Buy | 606,170 | 450,000 | 3/16/22 | – | (2,907 | ) | ||||||||||||||||
Singapore Dollar | SCBL | Sell | 678,258 | 500,000 | 3/16/22 | 185 | (448 | ) | ||||||||||||||||
Singapore Dollar | SGNY | Buy | 338,194 | 250,000 | 3/16/22 | – | (558 | ) | ||||||||||||||||
Singapore Dollar | SGNY | Sell | 342,123 | 250,000 | 3/16/22 | – | (2,340 | ) | ||||||||||||||||
Australian Dollar | UBSW | Sell | 250,000 | 244,608 | SGD | 3/16/22 | – | (1,212 | ) | |||||||||||||||
South African Rand | DBAB | Buy | 2,784,907 | 185,571 | 3/16/22 | – | (4,853 | ) |
64
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Forward Exchange Contracts (continued)
Currency | Counterpartya | Type | Quantity | Contract Amount* | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||
OTC Forward Exchange Contracts (continued) | ||||||||||||||||||||||||
South African Rand | GSCO | Buy | 10,243,439 | 650,032 | 3/16/22 | $ | 22,490 | $ | (7,804 | ) | ||||||||||||||
South African Rand | GSCO | Sell | 104,352,026 | 6,685,667 | 3/16/22 | 61,319 | (147,269 | ) | ||||||||||||||||
South African Rand | HSBC | Buy | 8,057,167 | 490,332 | 3/16/22 | 32,523 | (9 | ) | ||||||||||||||||
South African Rand | JPHQ | Buy | 6,654,954 | 443,247 | 3/16/22 | – | (11,393 | ) | ||||||||||||||||
South African Rand | JPHQ | Sell | 20,702,730 | 1,335,832 | 3/16/22 | – | (7,611 | ) | ||||||||||||||||
South African Rand | MSCO | Sell | 5,064,818 | 332,833 | 3/16/22 | 4,167 | – | |||||||||||||||||
South Korean Won | BOFA | Sell | 538,609,500 | 450,000 | 3/16/22 | 2,185 | – | |||||||||||||||||
South Korean Won | CITI | Buy | 1,478,450,000 | 1,250,000 | 3/16/22 | – | (20,775 | ) | ||||||||||||||||
South Korean Won | GSCO | Sell | 335,106,000 | 300,000 | 3/16/22 | 21,383 | – | |||||||||||||||||
South Korean Won | JPHQ | Sell | 478,544,000 | 400,000 | 3/16/22 | 2,125 | – | |||||||||||||||||
South Korean Won | MSCO | Buy | 539,564,400 | 450,000 | 3/16/22 | – | (1,391 | ) | ||||||||||||||||
South Korean Won | RBS | Buy | 335,400,900 | 300,000 | 3/16/22 | – | (21,138 | ) | ||||||||||||||||
Taiwan Dollar | BNPP | Sell | 34,414,250 | 1,250,000 | 3/16/22 | 22,431 | – | |||||||||||||||||
Taiwan Dollar | SCBL | Buy | 11,144,360 | 400,000 | 3/16/22 | – | (2,476 | ) | ||||||||||||||||
Thai Baht | BOFA | Buy | 50,892,150 | 1,500,000 | 3/16/22 | 57,627 | – | |||||||||||||||||
Thai Baht | CITI | Buy | 8,117,100 | 250,000 | 3/16/22 | – | (1,565 | ) | ||||||||||||||||
Thai Baht | CITI | Sell | 32,846,700 | 1,000,000 | 3/16/22 | – | (5,320 | ) | ||||||||||||||||
Thai Baht | DBAB | Buy | 16,955,250 | 500,000 | 3/16/22 | 18,940 | – | |||||||||||||||||
Thai Baht | DBAB | Sell | 8,083,575 | 250,000 | 3/16/22 | 2,591 | – | |||||||||||||||||
Thai Baht | GSCO | Sell | 8,245,600 | 250,000 | 3/16/22 | – | (2,368 | ) | ||||||||||||||||
Thai Baht | HSBC | Buy | 8,307,150 | 250,000 | 3/16/22 | 4,252 | – | |||||||||||||||||
Thai Baht | JPHQ | Sell | 32,964,050 | 1,000,000 | 3/16/22 | – | (8,912 | ) | ||||||||||||||||
Thai Baht | MSCO | Buy | 13,383,000 | 400,000 | 3/16/22 | 9,606 | – | |||||||||||||||||
Thai Baht | UBSW | Buy | 29,491,330 | 900,000 | 3/16/22 | 6,123 | (3,498 | ) | ||||||||||||||||
Thai Baht | UBSW | Sell | 23,766,950 | 711,751 | 3/16/22 | – | (15,671 | ) | ||||||||||||||||
Kazakhstan Tenge | JPHQ | Buy | 153,495,679 | 346,960 | 3/17/22 | – | (37,180 | ) | ||||||||||||||||
Kazakhstan Tenge | JPHQ | Sell | 153,495,679 | 345,382 | 3/17/22 | 35,602 | – | |||||||||||||||||
Australian Dollar | BZWS | Buy | 5,868,000 | 4,234,019 | 3/18/22 | 29,299 | – | |||||||||||||||||
Australian Dollar | BZWS | Sell | 29,358,000 | 20,973,501 | 3/18/22 | 380 | (356,539 | ) | ||||||||||||||||
Australian Dollarb | MSCO | Buy | 6,507,000 | 4,639,585 | 3/18/22 | 87,987 | – | |||||||||||||||||
Australian Dollarb | MSCO | Sell | 12,230,000 | 8,751,547 | 3/18/22 | 33 | (134,026 | ) | ||||||||||||||||
British Pound | BNYM | Sell | 2,254,429 | 3,068,391 | 3/18/22 | 43,512 | – | |||||||||||||||||
British Pound | BZWS | Buy | 3,701,000 | 4,920,220 | 3/18/22 | 55,371 | (9,780 | ) | ||||||||||||||||
British Pound | BZWS | Sell | 2,615,000 | 3,522,918 | 3/18/22 | 28,281 | (14,037 | ) | ||||||||||||||||
British Poundb | MSCO | Buy | 6,726,000 | 9,089,272 | 3/18/22 | 14,824 | (79,492 | ) | ||||||||||||||||
British Poundb | MSCO | Sell | 3,889,000 | 5,142,850 | 3/18/22 | 250 | (75,463 | ) | ||||||||||||||||
Canadian Dollar | BZWS | Sell | 2,227,000 | 1,730,677 | 3/18/22 | 61 | (26,541 | ) | ||||||||||||||||
Canadian Dollarb | MSCO | Buy | 6,455,000 | 5,084,305 | 3/18/22 | 11,145 | (2,297 | ) | ||||||||||||||||
Canadian Dollarb | MSCO | Sell | 10,442,000 | 8,143,011 | 3/18/22 | 308 | (96,290 | ) | ||||||||||||||||
Euro | BNYM | Buy | 889,491 | 997,609 | 3/18/22 | 553 | – | |||||||||||||||||
Euro | BNYM | Sell | 30,087,275 | 34,206,825 | 3/18/22 | 443,708 | – | |||||||||||||||||
Euro | BZWS | Buy | 5,364,000 | 6,077,288 | 3/18/22 | 1,310 | (59,265 | ) | ||||||||||||||||
Euro | BZWS | Sell | 8,538,000 | 9,627,172 | 3/18/22 | 50,486 | (4,420 | ) | ||||||||||||||||
Eurob | MSCO | Buy | 6,521,000 | 7,375,574 | 3/18/22 | 7,088 | (64,975 | ) | ||||||||||||||||
Eurob | MSCO | Sell | 12,921,000 | 14,680,122 | 3/18/22 | 181,524 | (995 | ) | ||||||||||||||||
Hong Kong Dollar | BNYM | Buy | 3,000,035 | 384,229 | 3/18/22 | – | (322 | ) | ||||||||||||||||
Hong Kong Dollar | BNYM | Sell | 27,681,734 | 3,548,117 | 3/18/22 | 5,753 | – | |||||||||||||||||
Japanese Yen | BZWS | Sell | 106,906,000 | 939,160 | 3/18/22 | 8,837 | – | |||||||||||||||||
Japanese Yenb | MSCO | Buy | 1,584,973,000 | 13,783,236 | 3/18/22 | 44,422 | (34,820 | ) | ||||||||||||||||
Japanese Yenb | MSCO | Sell | 2,328,941,000 | 20,405,433 | 3/18/22 | 148,958 | (10,560 | ) | ||||||||||||||||
Mexican Peso | BZWS | Buy | 18,177,000 | 868,159 | 3/18/22 | 16,404 | – | |||||||||||||||||
Mexican Peso | BZWS | Sell | 18,177,000 | 841,470 | 3/18/22 | – | (43,093 | ) | ||||||||||||||||
Mexican Pesob | MSCO | Buy | 42,320,000 | 1,994,725 | 3/18/22 | 64,987 | (257 | ) | ||||||||||||||||
Mexican Pesob | MSCO | Sell | 6,825,000 | 319,613 | 3/18/22 | 97 | (12,614 | ) |
65
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Forward Exchange Contracts (continued)
Currency | Counterpartya | Type | Quantity | Contract Amount* | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||
OTC Forward Exchange Contracts (continued) | ||||||||||||||||||||||||
New Zealand Dollar | BZWS | Sell | 3,138,000 | 2,094,920 | 3/18/22 | $ | 3,732 | $ | (31,525 | ) | ||||||||||||||
New Zealand Dollarb | MSCO | Buy | 4,612,000 | 3,137,653 | 3/18/22 | 1,936 | (19,785 | ) | ||||||||||||||||
New Zealand Dollarb | MSCO | Sell | 5,559,000 | 3,764,796 | 3/18/22 | 15,114 | (10,724 | ) | ||||||||||||||||
Swedish Krona | BZWS | Buy | 8,563,000 | 946,465 | 3/18/22 | – | (41,944 | ) | ||||||||||||||||
Swedish Krona | BZWS | Sell | 19,698,000 | 2,145,533 | 3/18/22 | 64,807 | – | |||||||||||||||||
Swiss Franc | BNYM | Sell | 13,161,972 | 14,307,580 | 3/18/22 | – | (57,278 | ) | ||||||||||||||||
Swiss Francb | MSCO | Buy | 9,569,000 | 10,399,784 | 3/18/22 | 52,580 | (8,844 | ) | ||||||||||||||||
Swiss Francb | MSCO | Sell | 12,219,000 | 13,273,170 | 3/18/22 | 4,304 | (66,842 | ) | ||||||||||||||||
Kazakhstan Tenge | JPHQ | Buy | 129,816,848 | 293,040 | 3/21/22 | – | (31,435 | ) | ||||||||||||||||
Kazakhstan Tenge | JPHQ | Sell | 129,816,848 | 291,609 | 3/21/22 | 30,004 | – | |||||||||||||||||
Australian Dollar | BNYM | Sell | 989,000 | 707,477 | 3/24/22 | – | (11,146 | ) | ||||||||||||||||
Canadian Dollar | BNYM | Sell | 3,204,000 | 2,500,127 | 3/24/22 | – | (27,982 | ) | ||||||||||||||||
Euro | BNYM | Sell | 6,537,000 | 7,401,236 | 3/24/22 | 63,584 | – | |||||||||||||||||
Hong Kong Dollar | BNYM | Sell | 9,897,000 | 1,269,658 | 3/24/22 | 3,156 | – | |||||||||||||||||
British Pound | JPHQ | Sell | 1,110,000 | 1,499,394 | 3/31/22 | 9,874 | – | |||||||||||||||||
Canadian Dollar | BNYM | Sell | 6,458,000 | 4,995,098 | 3/31/22 | – | (100,723 | ) | ||||||||||||||||
Euro | BNYM | Sell | 690,000 | 780,714 | 3/31/22 | 5,966 | – | |||||||||||||||||
Euro | JPHQ | Sell | 5,690,000 | 6,443,214 | 3/31/22 | 55,731 | (1,380 | ) | ||||||||||||||||
Hong Kong Dollar | JPHQ | Sell | 560,000 | 71,931 | 3/31/22 | 268 | – | |||||||||||||||||
Japanese Yen | BNYM | Sell | 44,540,000 | 391,919 | 3/31/22 | 4,196 | – | |||||||||||||||||
Swiss Franc | JPHQ | Sell | 400,000 | 434,937 | 3/31/22 | – | (1,900 | ) | ||||||||||||||||
Colombian Peso | MSCS | Sell | 424,857,000 | 103,026 | 4/11/22 | – | (4,378 | ) | ||||||||||||||||
Australian Dollar | JPHQ | Buy | 2,880,469 | 2,080,000 | 4/26/22 | 13,826 | – | |||||||||||||||||
Australian Dollar | JPHQ | Sell | 2,880,469 | 2,063,395 | 4/26/22 | – | (30,431 | ) | ||||||||||||||||
Colombian Peso | JPHQ | Buy | 6,134,701,968 | 1,560,000 | 4/26/22 | – | (11,939 | ) | ||||||||||||||||
Colombian Peso | JPHQ | Sell | 6,248,988,567 | 1,580,001 | 4/26/22 | 3,101 | – | |||||||||||||||||
Euro | BOFA | Sell | 370,000 | 418,945 | 4/26/22 | 3,158 | – | |||||||||||||||||
Euro | BZWS | Sell | 115,000 | 130,228 | 4/26/22 | 997 | – | |||||||||||||||||
Mexican Peso | JPHQ | Sell | 42,003,550 | 2,282,212 | EUR | 4/26/22 | – | (39,995 | ) | |||||||||||||||
Euro | JPHQ | Buy | 511,449 | 580,005 | 4/26/22 | – | (5,265 | ) | ||||||||||||||||
Euro | JPHQ | Sell | 1,831,875 | 2,092,528 | 4/26/22 | 34,213 | (254 | ) | ||||||||||||||||
Hungarian Forint | JPHQ | Sell | 60,719,317 | 194,935 | 4/26/22 | 12,957 | – | |||||||||||||||||
Indian Rupee | JPHQ | Sell | 314,287,010 | 4,130,000 | 4/26/22 | 899 | (11,478 | ) | ||||||||||||||||
Euro | JPHQ | Sell | 1,780,000 | 42,003,550 | MXN | 4/26/22 | 29,614 | – | ||||||||||||||||
Mexican Peso | JPHQ | Buy | 66,916,872 | 3,229,074 | 4/26/22 | 12,856 | (8,064 | ) | ||||||||||||||||
Mexican Peso | JPHQ | Sell | 8,576,851 | 414,562 | 4/26/22 | 90 | (18 | ) | ||||||||||||||||
New Israeli Shekel | JPHQ | Buy | 8,373,414 | 2,610,000 | 4/26/22 | 1,845 | – | |||||||||||||||||
Peruvian Nuevo Sol | JPHQ | Buy | 6,256,796 | 1,640,000 | 4/26/22 | 4,388 | – | |||||||||||||||||
Peruvian Nuevo Sol | JPHQ | Sell | 6,438,560 | 1,654,394 | 4/26/22 | – | (37,765 | ) | ||||||||||||||||
Russian Ruble | JPHQ | Buy | 594,343,325 | 7,060,000 | 4/26/22 | – | (1,840,968 | ) | ||||||||||||||||
Russian Ruble | JPHQ | Sell | 594,343,325 | 7,526,896 | 4/26/22 | 2,307,864 | – | |||||||||||||||||
South African Rand | JPHQ | Buy | 76,319,086 | 4,959,437 | 4/26/22 | 6,353 | (39,329 | ) | ||||||||||||||||
South African Rand | JPHQ | Sell | 54,710,856 | 3,519,522 | 4/26/22 | – | (12,110 | ) | ||||||||||||||||
Thai Baht | JPHQ | Buy | 85,981,525 | 2,590,000 | 4/26/22 | 41,883 | – | |||||||||||||||||
Thai Baht | JPHQ | Sell | 86,930,934 | 2,670,000 | 4/26/22 | 9,056 | – | |||||||||||||||||
Turkish Lira | JPHQ | Sell | 14,848,678 | 997,524 | 4/26/22 | 22,185 | (8,061 | ) | ||||||||||||||||
Brazilian Real | JPHQ | Buy | 17,152,321 | 3,217,906 | 5/03/22 | 73,497 | (19,998 | ) | ||||||||||||||||
Brazilian Real | JPHQ | Sell | 5,787,540 | 1,110,000 | 5/03/22 | 6,161 | – | |||||||||||||||||
South Korean Won | MSCO | Buy | 1,417,389,262 | 1,183,265 | 5/09/22 | – | (5,166 | ) | ||||||||||||||||
South Korean Won | MSCO | Sell | 454,682,993 | 376,728 | 5/09/22 | – | (1,193 | ) | ||||||||||||||||
Euro | HSBC | Sell | 125,000 | 141,959 | 5/17/22 | 1,374 | – | |||||||||||||||||
Indonesian Rupiah | BNPP | Sell | 6,511,369,500 | 450,000 | 6/15/22 | 116 | – | |||||||||||||||||
Indonesian Rupiah | CITI | Sell | 6,527,655,000 | 450,000 | | 6/15/22 | | – | (1,009 | ) | ||||||||||||||
Indonesian Rupiah | HSBC | Sell | 13,063,392,000 | 900,000 | 6/15/22 | 156 | (2,732 | ) |
66
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Forward Exchange Contracts (continued)
Currency | Counterpartya | Type | Quantity | Contract Amount* | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||
OTC Forward Exchange Contracts (continued) | ||||||||||||||||||||||||
Euro | JPHQ | Sell | 450,000 | 4,519,793 | NOK | 6/15/22 | $ | 5,455 | $ | – | ||||||||||||||
South Korean Won | HSBC | Buy | 300,675,000 | 250,000 | 6/15/22 | – | (33 | ) | ||||||||||||||||
British Pound | MSCO | Sell | 921,000 | 1,244,641 | 7/28/22 | 9,641 | – | |||||||||||||||||
Indonesian Rupiah | GSCO | Buy | 25,956,000,000 | 1,800,000 | 8/22/22 | – | (15,265 | ) | ||||||||||||||||
Indonesian Rupiah | JPHQ | Buy | 28,678,571,429 | 1,964,286 | 8/22/22 | 7,653 | – | |||||||||||||||||
Indonesian Rupiah | SCBL | Buy | 31,957,200,000 | 2,200,000 | 8/22/22 | – | (2,623 | ) | ||||||||||||||||
Indonesian Rupiah | GSCO | Sell | 26,370,000,000 | 1,800,000 | 2/22/23 | 15,911 | – | |||||||||||||||||
Indonesian Rupiah | JPHQ | Sell | 29,181,428,571 | 1,964,286 | 2/22/23 | – | (10,013 | ) | ||||||||||||||||
Indonesian Rupiah | SCBL | Sell | 32,489,600,000 | 2,200,000 | | 2/22/23 | | 1,884 | – | |||||||||||||||
|
|
|
| |||||||||||||||||||||
Total Forward Exchange Contracts | $ | 7,035,168 | $ | (6,318,562) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Net unrealized appreciation (depreciation) | $ | 716,606 | ||||||||||||||||||||||
|
|
*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 8.
67
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
At February 28, 2022, the Fund had the following credit default swap contracts outstanding. See Note 3.
Credit Default Swap Contracts
Description | Annual Payment Rate Received (Paid) | Payment Frequency | Maturity Date | Notional Amounta | Value | Unamortized Upfront Payments (Receipts) | Unrealized Appreciation (Depreciation) | Ratingb | ||||||||||||||||||||||
Centrally Cleared Swap Contracts | ||||||||||||||||||||||||||||||
Contracts to Buy Protectionc |
| |||||||||||||||||||||||||||||
Single Name | ||||||||||||||||||||||||||||||
Government of China | (1.00)% | Quarterly | 12/20/26 | 1,500,000 | $ | (23,452) | $ | (26,849) | $ | 3,397 | ||||||||||||||||||||
Government of Indonesia | (1.00)% | Quarterly | 12/20/26 | 1,000,000 | 7,087 | (2,735) | 9,822 | |||||||||||||||||||||||
Government of Russia | (1.00)% | Quarterly | 12/20/26 | 473,000 | 221,641 | 18,940 | 202,701 | |||||||||||||||||||||||
Government of South Africa | (1.00)% | Quarterly | 12/20/24 | 4,478,000 | 70,270 | 132,619 | (62,349) | |||||||||||||||||||||||
Government of South Africa | (1.00)% | Quarterly | 12/20/24 | 1,464,000 | 22,973 | 42,608 | (19,635) | |||||||||||||||||||||||
Talen Energy Supply LLC | (1.00)% | Quarterly | 12/20/22 | 213,000 | 85,917 | 106,234 | (20,317) | |||||||||||||||||||||||
Talen Energy Supply LLC | (1.00)% | Quarterly | 12/20/23 | 155,000 | 82,869 | 79,050 | 3,819 | |||||||||||||||||||||||
Talen Energy Supply LLC | (1.00)% | Quarterly | 6/20/23 | 711,000 | 339,512 | 287,762 | 51,750 | |||||||||||||||||||||||
Traded Index | ||||||||||||||||||||||||||||||
CDX.NA.HY.37 | (5.00)% | Quarterly | 12/20/26 | 2,907,000 | (163,869) | (266,667) | 102,798 | |||||||||||||||||||||||
Contracts to Sell Protectionc,d | ||||||||||||||||||||||||||||||
Single Name | ||||||||||||||||||||||||||||||
Government of South Africa | 1.00% | Quarterly | 12/20/24 | 2,847,000 | (44,676) | (221,735) | 177,059 | BB- | ||||||||||||||||||||||
Government of South Africa | 1.00% | Quarterly | 12/20/24 | 874,000 | (13,715) | (25,494) | 11,779 | BB- | ||||||||||||||||||||||
Talen Energy Supply LLC | 1.00% | Quarterly | 6/20/22 | 330,000 | (49,620) | (79,870) | 30,250 | B- | ||||||||||||||||||||||
Traded Index | ||||||||||||||||||||||||||||||
CDX.EM.36 | 1.00% | Quarterly | 12/20/26 | 2,595,000 | (207,903) | (210,195) | 2,292 | NR | ||||||||||||||||||||||
CDX.EM.36 | 1.00% | Quarterly | 12/20/26 | 2,595,000 | (207,903) | (212,790) | 4,887 | NR | ||||||||||||||||||||||
iTraxx Europe Crossover S36 | 5.00% | Quarterly | 12/20/26 | 5,210,000 | EUR | 382,650 | 384,413 | (1,763) | NR | |||||||||||||||||||||
iTraxx Europe Crossover S36 | 5.00% | Quarterly | 12/20/26 | 2,560,000 | EUR | 188,020 | 204,454 | (16,434) | NR | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Total Centrally Cleared Swap Contracts | $ | 689,801 | $ | 209,745 | $ | 480,056 | ||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
OTC Swap Contracts | ||||||||||||||||||||||||||||||
Contracts to Buy Protectionc | ||||||||||||||||||||||||||||||
Single Name | Counterparty | |||||||||||||||||||||||||||||
Air France-KLM | (5.00)% | Quarterly | GSCO | 12/20/22 | 100,000 | EUR | (2,731) | (1,393) | (1,338) | |||||||||||||||||||||
Air France-KLM | (5.00)% | Quarterly | JPHQ | 6/20/22 | 73,000 | EUR | (1,364) | (256) | (1,108) | |||||||||||||||||||||
Air France-KLM | (5.00)% | Quarterly | JPHQ | 6/20/22 | 23,000 | EUR | (430) | (178) | (252) | |||||||||||||||||||||
Air France-KLM | (5.00)% | Quarterly | JPHQ | 6/20/22 | 44,000 | EUR | (822) | (163) | (659) | |||||||||||||||||||||
Air France-KLM | (5.00)% | Quarterly | JPHQ | 6/20/22 | 44,000 | EUR | (822) | (157) | (665) | |||||||||||||||||||||
American Airlines Inc. | (5.00)% | Quarterly | BZWS | 12/20/23 | 111,000 | 2,571 | 5,140 | (2,569) | ||||||||||||||||||||||
American Airlines Inc. | (5.00)% | Quarterly | BZWS | 12/20/23 | 332,000 | 7,688 | 13,127 | (5,439) | ||||||||||||||||||||||
American Airlines Inc. | (5.00)% | Quarterly | BZWS | 6/20/24 | 143,000 | 5,855 | 6,880 | (1,025) | ||||||||||||||||||||||
American Airlines Inc. | (5.00)% | Quarterly | BZWS | 6/20/26 | 600,000 | 57,910 | 27,283 | 30,627 | ||||||||||||||||||||||
American Airlines Inc. | (5.00)% | Quarterly | BZWS | 12/20/26 | 116,000 | 12,312 | 9,467 | 2,845 | ||||||||||||||||||||||
American Airlines Inc. | (5.00)% | Quarterly | BZWS | 12/20/26 | 186,000 | 19,742 | 28,300 | (8,558) | ||||||||||||||||||||||
American Airlines Inc. | (5.00)% | Quarterly | CITI | 6/20/26 | 103,000 | 9,941 | 8,565 | 1,376 | ||||||||||||||||||||||
American Airlines Inc. | (5.00)% | Quarterly | CITI | 6/20/26 | 96,000 | 9,266 | 8,618 | 648 | ||||||||||||||||||||||
American Airlines Inc. | (5.00)% | Quarterly | FBCO | 12/20/23 | 93,000 | 2,153 | 6,008 | (3,855) | ||||||||||||||||||||||
American Airlines Inc. | (5.00)% | Quarterly | FBCO | 12/20/26 | 155,000 | 16,452 | 12,651 | 3,801 | ||||||||||||||||||||||
American Airlines Inc. | (5.00)% | Quarterly | GSCO | 6/20/23 | 60,000 | 218 | 661 | (443) | ||||||||||||||||||||||
American Airlines Inc. | (5.00)% | Quarterly | GSCO | 6/20/23 | 60,000 | 218 | 890 | (672) | ||||||||||||||||||||||
American Airlines Inc. | (5.00)% | Quarterly | GSCO | 6/20/23 | 60,000 | 218 | 938 | (720) | ||||||||||||||||||||||
American Airlines Inc. | (5.00)% | Quarterly | GSCO | 12/20/23 | 53,000 | 1,228 | 1,429 | (201) | ||||||||||||||||||||||
American Airlines Inc. | (5.00)% | Quarterly | GSCO | 12/20/23 | 846,000 | 19,591 | 22,946 | (3,355) |
68
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Credit Default Swap Contracts (continued)
Description | Annual Payment Rate Received (Paid) | Payment Frequency | Counterparty | Maturity Date | Notional Amounta | Value | Unamortized Upfront Payments (Receipts) | Unrealized Appreciation (Depreciation) | Ratingb | |||||||||||||||||||||||
OTC Swap Contracts (continued) | ||||||||||||||||||||||||||||||||
Contracts to Buy Protectionc (continued) | ||||||||||||||||||||||||||||||||
Single Name (continued) |
| |||||||||||||||||||||||||||||||
American Airlines Inc. | (5.00)% | Quarterly | JPHQ | 12/20/25 | 241,000 | $ | 20,766 | $ | 37,404 | $ | (16,638) | |||||||||||||||||||||
American Axle & | ||||||||||||||||||||||||||||||||
Manufacturing Inc. | (5.00)% | Quarterly | BZWS | 12/20/26 | 274,000 | (11,311) | (7,620) | (3,691) | ||||||||||||||||||||||||
American Axle & | ||||||||||||||||||||||||||||||||
Manufacturing Inc. | (5.00)% | Quarterly | BZWS | 12/20/26 | 233,000 | (9,618) | (6,023) | (3,595) | ||||||||||||||||||||||||
American Axle & | ||||||||||||||||||||||||||||||||
Manufacturing Inc. | (5.00)% | Quarterly | BZWS | 12/20/26 | 112,000 | (4,623) | (4,046) | (577) | ||||||||||||||||||||||||
American Axle & | ||||||||||||||||||||||||||||||||
Manufacturing Inc. | (5.00)% | Quarterly | BZWS | 12/20/26 | 137,000 | (5,656) | (3,231) | (2,425) | ||||||||||||||||||||||||
American Axle & | ||||||||||||||||||||||||||||||||
Manufacturing Inc. | (5.00)% | Quarterly | BZWS | 12/20/26 | 121,000 | (4,995) | (2,980) | (2,015) | ||||||||||||||||||||||||
American Axle & | ||||||||||||||||||||||||||||||||
Manufacturing Inc. | (5.00)% | Quarterly | BZWS | 12/20/26 | 137,000 | (4,305) | (2,957) | (1,348) | ||||||||||||||||||||||||
American Axle & | ||||||||||||||||||||||||||||||||
Manufacturing Inc. | (5.00)% | Quarterly | BZWS | 12/20/26 | 82,000 | (3,385) | (2,283) | (1,102) | ||||||||||||||||||||||||
American Axle & | ||||||||||||||||||||||||||||||||
Manufacturing Inc. | (5.00)% | Quarterly | BZWS | 12/20/26 | 164,000 | (6,770) | (1,589) | (5,181) | ||||||||||||||||||||||||
American Axle & | ||||||||||||||||||||||||||||||||
Manufacturing Inc. | (5.00)% | Quarterly | CITI | 12/20/26 | 82,000 | (3,385) | (2,287) | (1,098) | ||||||||||||||||||||||||
American Axle & | ||||||||||||||||||||||||||||||||
Manufacturing Inc. | (5.00)% | Quarterly | GSCO | 12/20/26 | 137,000 | (5,656) | (3,817) | (1,839) | ||||||||||||||||||||||||
American Axle & | ||||||||||||||||||||||||||||||||
Manufacturing Inc. | (5.00)% | Quarterly | GSCO | 12/20/26 | 137,000 | (5,655) | (2,417) | (3,238) | ||||||||||||||||||||||||
Campbell’s Soup Co. | (1.00)% | Quarterly | BZWS | 12/20/26 | 353,000 | (5,788) | (6,485) | 697 | ||||||||||||||||||||||||
Campbell’s Soup Co. | (1.00)% | Quarterly | BZWS | 12/20/26 | 141,000 | (2,312) | (2,517) | 205 | ||||||||||||||||||||||||
Campbell’s Soup Co. | (1.00)% | Quarterly | BZWS | 12/20/26 | 141,000 | (2,312) | (2,254) | (58) | ||||||||||||||||||||||||
Campbell’s Soup Co. | (1.00)% | Quarterly | BZWS | 12/20/26 | 141,000 | (2,312) | (1,720) | (592) | ||||||||||||||||||||||||
Clariant AG | (1.00)% | Quarterly | JPHQ | 12/20/23 | 100,000 | EUR | (893) | (594) | (299) | |||||||||||||||||||||||
Clariant AG | (1.00)% | Quarterly | JPHQ | 12/20/23 | 100,000 | EUR | (893) | (594) | (299) | |||||||||||||||||||||||
Conagra Brands | (1.00)% | Quarterly | BZWS | 12/20/26 | 141,000 | (1,290) | (1,669) | 379 | ||||||||||||||||||||||||
Conagra Brands | (1.00)% | Quarterly | BZWS | 12/20/26 | 141,000 | (1,290) | (1,540) | 250 | ||||||||||||||||||||||||
Conagra Brands | (1.00)% | Quarterly | BZWS | 12/20/26 | 141,000 | (1,290) | (760) | (530) | ||||||||||||||||||||||||
Conagra Brands | (1.00)% | Quarterly | BZWS | 12/20/26 | 71,000 | (650) | (514) | (136) | ||||||||||||||||||||||||
Conagra Brands | (1.00)% | Quarterly | GSCO | 12/20/26 | 434,000 | (3,971) | (2,339) | (1,632) | ||||||||||||||||||||||||
Deutsche Lufthansa AG | (1.00)% | Quarterly | CITI | 12/20/26 | 116,000 | EUR | 9,720 | 9,648 | 72 | |||||||||||||||||||||||
Deutsche Lufthansa AG | (1.00)% | Quarterly | MSCO | 12/20/26 | 100,000 | EUR | 8,599 | 8,729 | (130) | |||||||||||||||||||||||
Dow Inc. | (1.00)% | Quarterly | BZWS | 12/20/26 | 141,000 | (1,594) | (1,669) | 75 | ||||||||||||||||||||||||
Dow Inc. | (1.00)% | Quarterly | JPHQ | 12/20/26 | 217,000 | (2,454) | (1,956) | (498) | ||||||||||||||||||||||||
Dow Inc. | (1.00)% | Quarterly | JPHQ | 12/20/26 | 143,000 | (1,618) | (1,096) | (522) | ||||||||||||||||||||||||
GE Capital Funding LLC | (1.00)% | Quarterly | JPHQ | 12/20/26 | 444,000 | (4,003) | (4,102) | 99 | ||||||||||||||||||||||||
Government of Argentina | (5.00)% | Quarterly | GSCO | 12/20/26 | 253,000 | 138,046 | 132,681 | 5,365 | ||||||||||||||||||||||||
Government of Argentina | (5.00)% | Quarterly | GSCO | 12/20/26 | 842,000 | 459,426 | 441,157 | 18,269 | ||||||||||||||||||||||||
Government of Argentina | (5.00)% | Quarterly | JPHQ | 12/20/26 | 253,000 | 138,046 | 132,557 | 5,489 | ||||||||||||||||||||||||
Government of Brazil | (1.00)% | Quarterly | BZWS | 12/20/26 | 201,000 | 10,590 | 8,884 | 1,706 | ||||||||||||||||||||||||
Government of Italy | (1.00)% | Quarterly | BOFA | 6/20/24 | 132,000 | (1,613) | 1,433 | (3,046) | ||||||||||||||||||||||||
Government of Italy | (1.00)% | Quarterly | JPHQ | 6/20/24 | 218,000 | (2,663) | 1,102 | (3,765) | ||||||||||||||||||||||||
Government of Mexico | (1.00)% | Quarterly | BZWS | 6/20/26 | 1,510,000 | 110 | 4,998 | (4,888) | ||||||||||||||||||||||||
Government of Mexico | (1.00)% | Quarterly | CITI | 12/20/26 | 345,000 | 1,744 | (159) | 1,903 | ||||||||||||||||||||||||
Government of Turkey | (1.00)% | Quarterly | BZWS | 12/20/23 | 627,000 | 44,994 | 36,906 | 8,088 | ||||||||||||||||||||||||
Government of Turkey | (1.00)% | Quarterly | GSCO | 12/20/23 | 2,560,000 | 183,706 | 196,575 | (12,869) | ||||||||||||||||||||||||
Government of Ukraine | (5.00)% | Quarterly | HSBC | 12/20/26 | 423,000 | 227,111 | – | 227,111 | ||||||||||||||||||||||||
Government of Ukraine | (5.00)% | Quarterly | HSBC | 12/20/26 | 382,000 | 209,550 | 6,808 | 202,742 | ||||||||||||||||||||||||
Groupe Casino | (5.00)% | Quarterly | BZWS | 12/20/23 | 60,000 | EUR | 6,548 | 59 | 6,489 | |||||||||||||||||||||||
Groupe Casino | (5.00)% | Quarterly | BZWS | 12/20/23 | 60,000 | EUR | 6,548 | 118 | 6,430 | |||||||||||||||||||||||
Intrum Justitia | (5.00)% | Quarterly | GSCO | 12/20/26 | 100,000 | EUR | (3,891) | (3,676) | (215) |
69
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Credit Default Swap Contracts (continued)
Description | Annual Payment Rate Received (Paid) | Payment Frequency | Counterparty | Maturity Date | Notional Amounta | Value | Unamortized Upfront Payments (Receipts) | Unrealized Appreciation (Depreciation) | Ratingb | |||||||||||||||||||||
OTC Swap Contracts (continued) |
| |||||||||||||||||||||||||||||
Contracts to Buy Protectionc (continued) | ||||||||||||||||||||||||||||||
Single Name (continued) |
| |||||||||||||||||||||||||||||
Intrum Justitia | (5.00) | % | Quarterly | MSCS | 12/20/26 | 110,000 | EUR | $ | (5,497) | $ | (6,061) | $ | 564 | |||||||||||||||||
K. Hovnanian Enterprises | ||||||||||||||||||||||||||||||
Inc. | (5.00) | % | Quarterly | BZWS | 12/20/26 | 223,000 | 18,841 | 14,133 | 4,708 | |||||||||||||||||||||
Kohl’s Corp. | (1.00) | % | Quarterly | GSCO | 6/20/26 | 139,000 | 11,096 | 2,444 | 8,652 | |||||||||||||||||||||
Macy’s Retail Holdings LLC. | (1.00) | % | Quarterly | BZWS | 12/20/26 | 69,000 | 5,094 | 6,269 | (1,175) | |||||||||||||||||||||
Macy’s Retail Holdings LLC. | (1.00) | % | Quarterly | CITI | 12/20/26 | 141,000 | 10,410 | 12,811 | (2,401) | |||||||||||||||||||||
Macy’s Retail Holdings LLC. | (1.00) | % | Quarterly | MSCO | 12/20/26 | 72,000 | 5,315 | 4,182 | 1,133 | |||||||||||||||||||||
MBIA Inc. | (5.00) | % | Quarterly | BZWS | 6/20/22 | 24,000 | (531) | (86) | (445) | |||||||||||||||||||||
MBIA Inc. | (5.00) | % | Quarterly | CITI | 6/20/22 | 40,000 | (885) | (399) | (486) | |||||||||||||||||||||
MBIA Inc. | (5.00) | % | Quarterly | GSCO | 6/20/22 | 25,000 | (553) | (197) | (356) | |||||||||||||||||||||
Simon Property Group LP | (1.00) | % | Quarterly | BZWS | 12/20/26 | 296,000 | (2,929) | (4,500) | 1,571 | |||||||||||||||||||||
Stena AB | (5.00) | % | Quarterly | GSCO | 12/20/24 | 273,000 | EUR | (13,610) | (15,092) | 1,482 | ||||||||||||||||||||
TDC A/S | (1.00) | % | Quarterly | BNPP | 12/20/26 | 70,000 | EUR | 3,126 | 2,511 | 615 | ||||||||||||||||||||
TDC A/S | (1.00) | % | Quarterly | BNPP | 12/20/26 | 71,000 | EUR | 3,171 | 3,168 | 3 | ||||||||||||||||||||
TDC A/S | (1.00) | % | Quarterly | BNPP | 12/20/26 | 71,000 | EUR | 3,171 | 3,168 | 3 | ||||||||||||||||||||
Telecom Italia | (1.00) | % | Quarterly | BZWS | 12/20/26 | 139,000 | EUR | 12,852 | 10,317 | 2,535 | ||||||||||||||||||||
Telecom Italia | (1.00) | % | Quarterly | JPHQ | 12/20/26 | 70,000 | EUR | 6,472 | 5,210 | 1,262 | ||||||||||||||||||||
Telecom Italia | (1.00) | % | Quarterly | JPHQ | 12/20/26 | 68,000 | EUR | 6,287 | 5,219 | 1,068 | ||||||||||||||||||||
Telecom Italia | (1.00) | % | Quarterly | JPHQ | 12/20/26 | 126,000 | EUR | 11,650 | 9,788 | 1,862 | ||||||||||||||||||||
Unicredit SpA | (1.00) | % | Quarterly | BNPP | 12/20/26 | 200,000 | EUR | (913) | 13,473 | (14,386) | ||||||||||||||||||||
Unicredit SpA | (1.00) | % | Quarterly | JPHQ | 12/20/26 | 50,000 | EUR | (228) | 3,875 | (4,103) | ||||||||||||||||||||
Contracts to Sell Protectionc,d |
| |||||||||||||||||||||||||||||
Single Name | ||||||||||||||||||||||||||||||
Euro Garages Ltd. | 5.00 | % | Quarterly | GSCO | 12/20/26 | 50,000 | EUR | 2,533 | 2,471 | 62 | B- | |||||||||||||||||||
Kohl’s Corp. | 1.00 | % | Quarterly | JPHQ | 6/20/26 | 141,000 | (11,256) | (10,964) | (292) | BBB- | ||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Total OTC Swap Contracts |
| $ | 1,582,118 | $ | 1,158,661 | $ | 423,457 | |||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Total Credit Default Swap Contracts | $ | 2,271,919 | $ | 1,368,406 | $ | 903,513 | ||||||||||||||||||||||||
|
|
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.
70
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
At February 28, 2022, the Fund had the following interest rate swap contracts outstanding. See Note 3.
Interest Rate Swap Contracts
Description | Payment Frequency | Maturity Date | Notional Amount* | Value/Unrealized Appreciation (Depreciation) | ||||||||||||
Centrally Cleared Swap Contracts | ||||||||||||||||
Receive Fixed 0.16% Pay Floating AONIA | Annually | 6/08/22 | 332,000,000 | AUD | $ | 10,742 | ||||||||||
Receive Fixed 0.30% Pay Floating AONIA | Annually | 8/03/22 | 412,200,000 | AUD | 10,405 | |||||||||||
Receive Fixed 0.34% Pay Floating AONIA | Annually | 8/03/22 | 414,000,000 | AUD | 19,095 | |||||||||||
Receive Fixed 0.39% Pay Floating AONIA | Annually | 8/03/22 | 414,630,000 | AUD | 31,015 | |||||||||||
Receive Fixed 0.39% Pay Floating AONIA | Annually | 8/03/22 | 400,000,000 | AUD | 30,701 | |||||||||||
Receive Fixed 0.48% Pay Floating AONIA | Annually | 8/03/22 | 130,000,000 | AUD | 16,131 | |||||||||||
Receive Fixed 0.49% Pay Floating AONIA | Annually | 8/03/22 | 259,000,000 | AUD | 33,580 | |||||||||||
Receive Fixed 4.23% Pay Floating MIBOR | Annually | 12/02/22 | 1,550,000,000 | INR | 40,174 | |||||||||||
Receive Fixed 1.34% Pay Floating 3-Month-KDR | Quarterly | 12/15/22 | 46,000,000,000 | KRW | (122,398) | |||||||||||
Receive Fixed 12.18% Pay Floating BRLCDI | Annually | 1/02/23 | 36,268,622 | BRL | (5,242) | |||||||||||
Receive Fixed 1.77% Pay Floating 3-Month-KDR | Quarterly | 3/16/23 | 21,600,000,000 | KRW | (27,677) | |||||||||||
Receive Fixed 4.41% Pay Floating MIBOR | Annually | 3/16/23 | 790,000,000 | INR | 6,708 | |||||||||||
Receive Fixed 4.44% Pay Floating MIBOR | Annually | 3/16/23 | 950,000,000 | INR | 10,576 | |||||||||||
Receive Fixed 4.44% Pay Floating MIBOR | Annually | 3/16/23 | 950,000,000 | INR | 11,173 | |||||||||||
Receive Fixed 4.52% Pay Floating MIBOR | Annually | 3/16/23 | 760,000,000 | INR | 16,585 | |||||||||||
Receive Fixed 2.13% Pay Floating 3-Month-KDR | Quarterly | 6/15/23 | 6,000,000,000 | KRW | – | |||||||||||
Receive Fixed 2.13% Pay Floating rate China 7-Day Repo | Quarterly | 6/15/23 | 40,000,000 | CNY | (2,668) | |||||||||||
Receive Fixed 2.14% Pay Floating rate China 7-Day Repo | Quarterly | 6/15/23 | 30,000,000 | CNY | (1,885) | |||||||||||
Receive Fixed 2.17% Pay Floating 3-Month-KDR | Quarterly | 6/15/23 | 7,000,000,000 | KRW | 2,034 | |||||||||||
Receive Fixed 2.20% Pay Floating rate China 7-Day Repo | Quarterly | 6/15/23 | 31,000,000 | CNY | 1,281 | |||||||||||
Receive Fixed 4.70% Pay Floating MIBOR | Annually | 6/15/23 | 550,000,000 | INR | 4,500 | |||||||||||
Receive Fixed 11.40% Pay Floating BZDIOVRA Index | Annually | 1/02/24 | 28,236,206 | BRL | (38,111) | |||||||||||
Receive Fixed 11.94% Pay Floating BZDIOVRA Index | Annually | 1/02/24 | 28,177,533 | BRL | 1,683 | |||||||||||
Receive Fixed 2.74% Pay Floating rate 3-Month-BKBM | Quarterly | 3/02/24 | 2,000,000 | NZD | – | |||||||||||
Receive Fixed 2.74% Pay Floating rate 3-Month-BKBM | Quarterly | 3/02/24 | 6,000,000 | NZD | (1,338) | |||||||||||
Receive Fixed 2.30% Pay Floating 3-Month-KDR | Quarterly | 4/26/24 | 8,667,065,152 | KRW | 12,247 |
71
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Interest Rate Swap Contracts (continued)
Description | Payment Frequency | Maturity Date | Notional Amount* | Value/Unrealized Appreciation (Depreciation) | ||||||||||||
Centrally Cleared Swap Contracts (continued) | ||||||||||||||||
Receive Fixed 6.09% Pay Floating rate 3-Month-JIBAR | Quarterly | 4/26/24 | 49,768,689 | ZAR | $ | (7,547) | ||||||||||
Receive Floating rate 6 Month-PRIBOR Pay Fixed rate 4.40% | Semi-Annually | 4/26/24 | 13,808,118 | CZK | (1,728) | |||||||||||
Receive Floating rate 6 Month-PRIBOR Pay Fixed rate 4.45% | Semi-Annually | 4/26/24 | 51,695,052 | CZK | (4,154) | |||||||||||
Receive Floating rate 6 Month-PRIBOR Pay Fixed rate 4.53% | Semi-Annually | 4/26/24 | 52,433,554 | CZK | (857) | |||||||||||
Receive Fixed 1.58% Pay Floating rate Overnight SIBCSORA | Semi-Annually | 6/15/24 | 9,225,000 | SGD | 7,694 | |||||||||||
Receive Fixed 1.71% Pay Floating rate 3-Month-HIBOR | Quarterly | 6/15/24 | 70,740,000 | HKD | 15,607 | |||||||||||
Receive Fixed 2.28% Pay Floating rate China 7-Day Repo | Quarterly | 6/15/24 | 29,700,000 | CNY | 2,513 | |||||||||||
Receive Floating rate Overnight SOFR Pay Fixed rate 1.78% | Annually | 6/15/24 | 6,750,000 | (26,664) | ||||||||||||
Receive Floating rate Overnight SOFR Pay Fixed rate 1.78% | Semi-Annually | 6/15/24 | 9,000,000 | (35,641) | ||||||||||||
Receive Fixed 8.44% Pay Floating BRLCDI | Annually | 1/02/25 | 12,000,000 | BRL | (127,144) | |||||||||||
Receive Floating rate 3-Month-BBSW Pay Fixed rate 2.60% | Quarterly | 1/29/25 | 4,000,000 | AUD | – | |||||||||||
Receive Floating rate 3-Month-BBSW Pay Fixed rate 2.65% | Quarterly | 1/29/25 | 21,000,000 | AUD | (2,309) | |||||||||||
Receive Floating rate 6 Month-PRIBOR Pay Fixed rate 4.225% | Semi-Annually | 3/16/25 | 106,185,044 | CZK | 6,420 | |||||||||||
Receive Fixed 6.30% Pay Floating rate 3-Month-JIBAR | Quarterly | 7/31/25 | 53,795,745 | ZAR | (35,132) | |||||||||||
Receive Fixed 7.57% Pay Floating rate 3-Month-JIBAR | Quarterly | 11/04/25 | 39,000,000 | ZAR | 24,086 | |||||||||||
Receive Floating rate 3-Month USD LIBOR Pay Fixed rate 0.50% | Semi-Annually | 6/16/26 | 1,150,000 | 35,338 | ||||||||||||
Receive Floating rate 3-Month USD LIBOR Pay Fixed rate 0.50% | Semi-Annually | 6/16/26 | 1,400,000 | 41,299 | ||||||||||||
Receive Fixed 1.25% Pay Floating 3-Month-USD LIBOR | Quarterly | 12/15/26 | 1,300,000 | (29,665) | ||||||||||||
Receive Fixed 2.28% Pay Floating CNRR007 Index | Quarterly | 3/16/27 | 9,826,897 | CNY | (11,687) | |||||||||||
Receive Fixed 2.28% Pay Floating CNRR007 Index | Quarterly | 3/16/27 | 9,826,897 | CNY | (8,861) | |||||||||||
Receive Floating MIBOR Pay Fixed rate 5.71% | Semi-Annually | 3/16/27 | 180,000,000 | INR | 7,523 | |||||||||||
Receive Floating MIBOR Pay Fixed rate 5.77% | Semi-Annually | 3/16/27 | 210,000,000 | INR | 2,584 | |||||||||||
Receive Floating MIBOR Pay Fixed rate 5.77% | Semi-Annually | 3/16/27 | 210,000,000 | INR | 1,673 | |||||||||||
Receive Floating MIBOR Pay Fixed rate 5.79% | Semi-Annually | 3/16/27 | 160,000,000 | INR | (344) | |||||||||||
Receive Floating rate 6 Month-WIBOR Pay Fixed rate 2.95% | Annually | 3/16/27 | 16,502,270 | PLN | 207,593 | |||||||||||
Receive Floating rate 6 Month-PRIBOR Pay Fixed rate 3.87% | Annually | 4/26/27 | 6,203,359 | CZK | (1,318) | |||||||||||
Receive Floating rate 6 Month-PRIBOR Pay Fixed rate 3.95% | Annually | 4/26/27 | 21,661,059 | CZK | (8,280) | |||||||||||
Receive Floating rate 6 Month-PRIBOR Pay Fixed rate 3.98% | Annually | 4/26/27 | 21,937,583 | CZK | (9,786) | |||||||||||
Receive Floating rate 6 Month-WIBOR Pay Fixed rate 4.07% | Annually | 4/26/27 | 6,648,769 | PLN | 3,846 | |||||||||||
Receive Floating rate 6 Month-WIBOR Pay Fixed rate 4.09% | Annually | 4/26/27 | 13,750,000 | PLN | 5,402 |
72
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Interest Rate Swap Contracts (continued)
Description | Payment Frequency | Maturity Date | Notional Amount* | Value/Unrealized Appreciation (Depreciation) | ||||||||||||
Centrally Cleared Swap Contracts (continued) | ||||||||||||||||
Receive Floating rate 6 Month-WIBOR Pay Fixed rate 4.20% | Annually | 4/26/27 | 6,648,770 | PLN | $ | (5,031) | ||||||||||
Receive Fixed 0.11% Pay floating Overnight MUTSCALM | Annually | 6/15/27 | 535,000,000 | JPY | 6,271 | |||||||||||
Receive Floating MIBOR Pay Fixed rate 5.96% | Semi-Annually | 6/15/27 | 120,000,000 | INR | (2,408) | |||||||||||
Receive IN00O/N Index Pay Fixed rate 5.94% | Semi-Annually | 6/15/27 | 160,386,031 | INR | (1,205) | |||||||||||
Receive Fixed 0.77% Pay Floating rate 6 Month-EURIBOR | Semi-Annually | 3/17/32 | 3,092,000 | EUR | (61,705) | |||||||||||
Receive Fixed 0.98% Pay Floating rate 6 Month-EURIBOR | Semi-Annually | 3/17/32 | 2,085,780 | EUR | (17,597) | |||||||||||
Receive Fixed 7.67% Pay Floating Banxico Mexico 1 Month rate | Monthly | 4/13/32 | 56,105,000 | MXN | (50,698) | |||||||||||
Receive Fixed 7.80% Pay Floating rate 3-Month-JIBAR | Quarterly | 4/26/32 | 19,017,434 | ZAR | 3,087 | |||||||||||
Receive floating Overnight MUTSCALM Pay Fixed rate 0.60% | Annually | 2/18/37 | 200,000,000 | JPY | (10,408) | |||||||||||
Receive floating Overnight MUTSCALM Pay Fixed rate 0.61% | Annually | 2/18/37 | 200,000,000 | JPY | (12,085) | |||||||||||
Receive floating Overnight MUTSCALM Pay Fixed rate 0.41% | Annually | 6/15/37 | 180,000,000 | JPY | (3,511) | |||||||||||
Receive Floating rate 6 Month-EURIBOR Pay Fixed rate 0.74% | Annually | 3/17/42 | 2,445,000 | EUR | 79,283 | |||||||||||
Receive Floating rate 6 Month-EURIBOR Pay Fixed rate 0.94% | Annually | 3/17/42 | 1,116,460 | EUR | 13,728 | |||||||||||
|
| |||||||||||||||
Total Interest Rate Swap Contracts | $ | 47,493 | ||||||||||||||
|
|
*In U.S. dollars unless otherwise indicated.
At February 28, 2022, the Fund had the following total return swap contracts outstanding. See Note 3.
Total Return Swap Contracts
Underlying Instrument | Financing Rate | Payment Frequency | Counter- party | Maturity Date | Notional Value* | Value/Unrealized Appreciation (Depreciation) | ||||||||||||
OTC Swap Contracts | ||||||||||||||||||
Equity Contracts - Longa | ||||||||||||||||||
AKKA Technologies | 1-Month EIBOR + 0.40% | Monthly | BZWS | 9/09/22 | 1,716,267 | EUR | $ | (2,908) | ||||||||||
Amundi SA | 1-Month EE00 + 0.40% | Monthly | MSCO | 3/01/23 | 926,575 | EUR | 14,137 | |||||||||||
Amundi SA | 1-Day EONIA + 0.40% | Monthly | MSCS | 3/14/25 | 266,038 | EUR | 90,773 | |||||||||||
Anima Holding SpA | 1-Month EURIBOR + 0.40% | Monthly | MSCS | 11/14/22 | 2,091,835 | EUR | (181,934) | |||||||||||
Avast PLC | 1-Day SONIA + 0.40% | Monthly | BZWS | 7/27/22 | 1,884,666 | GBP | 25,288 | |||||||||||
Avast PLC | 1-Day FEDEF + 0.65% | Monthly | MSCO | 9/23/22 | 377,134 | 9,891 | ||||||||||||
Barclays PLC | 1-Month LIBOR + 0.40% | Monthly | MSCS | 11/14/22 | 1,145,948 | GBP | (190,390) | |||||||||||
Blue Prism Group PLC | 1-Day SONIA + 0.40% | Monthly | BZWS | 9/07/22 | 1,755,462 | GBP | (1,449) | |||||||||||
BNP Paribas SA | 1-Month LIBOR + 0.40% | Monthly | MSCS | 3/14/25 | 1,368,172 | EUR | 783,301 | |||||||||||
BP Midstream Partners LP | 1-Day OBFR + 0.65% | Monthly | MSCS | 12/21/22 | 369,336 | (147) | ||||||||||||
Bureau Veritas SA | 1-Month EURIBOR + 0.40% | Monthly | GSCO | 11/14/22 | 184,680 | EUR | 4,379 | |||||||||||
Bureau Veritas SA | 1-Month EURIBOR + 0.40% | Monthly | MSCS | 3/14/25 | 1,082,490 | EUR | 385,745 | |||||||||||
Callaway Golf Co. | 1-Day FEDEF + 0.40% | Monthly | MSCO | 11/22/22 | 1,217,822 | (394,147) | ||||||||||||
CapitaLand Investment Ltd. | 1-Day SORA + 0.55% | Monthly | MSCO | 5/22/23 | 737,945 | SGD | 191,626 | |||||||||||
Clearway Energy Inc. | 1-Month LIBOR + 0.35% | Monthly | JPHQ | 1/20/23 | 194,785 | 6,056 | ||||||||||||
CNP Assurances SA | 1-Day EONIA + 0.65% | Monthly | MSCS | 9/06/22 | 236,428 | EUR | 618 | |||||||||||
CNP Assurances SA | 1-Month EE00 + 0.40% | Monthly | BZWS | 12/08/22 | 1,633,110 | EUR | 1,062 | |||||||||||
CorePoint Lodging Inc. | 1-Month LIBOR + 0.35% | Monthly | BZWS | 11/28/22 | 3,525,069 | 942 | ||||||||||||
Croda International PLC | 1-Month LIBOR + 0.40% | Monthly | MSCS | 11/14/22 | 1,034,479 | GBP | 9,615 |
73
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Total Return Swap Contracts (continued)
Underlying Instrument | Financing Rate | Payment Frequency | Counter- party | Maturity Date | Notional Value* | Value/Unrealized Appreciation (Depreciation) | ||||||||||||||||
OTC Swap Contracts (continued) | ||||||||||||||||||||||
Equity Contracts - Longa (continued) | ||||||||||||||||||||||
Crown Holdings Inc. | 1-Day FEDEF + 0.40% | Monthly | MSCO | 11/22/22 | 589,278 | $ | 111,200 | |||||||||||||||
Crown Resorts Ltd. | 1-Month BBSW + 0.55% | Monthly | MSCO | 12/22/23 | 1,303,581 | AUD | 22,121 | |||||||||||||||
CyrusOne Inc. | 1-Month LIBOR + 0.35% | Monthly | BZWS | 11/16/22 | 7,582,487 | 17,665 | ||||||||||||||||
Daimler Truck Holding AG | 1-Day EONIA + 0.65% | Monthly | MSCS | 11/03/22 | 271,728 | EUR | (37,718) | |||||||||||||||
Danone SA | 1-Month EURIBOR + 0.40% | Monthly | MSCO | 11/14/22 | 1,904,062 | EUR | (22,047) | |||||||||||||||
Danone SA | 1-Month LIBOR + 0.40% | Monthly | MSCS | 3/14/25 | 3,905,164 | EUR | 4,143 | |||||||||||||||
Electricite de France SA | 1-Day EONIA + 0.40% | Monthly | MSCO | 9/23/22 | 2,187,592 | EUR | (57,755) | |||||||||||||||
Eletrobras | 1-Day FEDEF + 1.00% | Monthly | MSCO | 1/12/23 | 3,290,899 | (50,832) | ||||||||||||||||
Elis SA | 1-Month EURIBOR + 0.40% | Monthly | MSCO | 11/14/22 | 271,581 | EUR | (41,157) | |||||||||||||||
Elis SA | 1-Month EURIBOR + 0.40% | Monthly | MSCS | 3/14/25 | 444,640 | EUR | 81,298 | |||||||||||||||
Energy Transfer LP | 1-Month LIBOR + 0.90% | Monthly | GSCO | 10/03/22 | 308,798 | 20,029 | ||||||||||||||||
Energy Transfer LP | 1-Month LIBOR + 0.50% | Monthly | CITI | 10/18/22 | 115,578 | 265 | ||||||||||||||||
Energy Transfer LP | 1-Month LIBOR + 0.90% | Monthly | GSCO | 1/13/23 | 196,852 | 12,828 | ||||||||||||||||
Engie SA | 1-Day EONIA + 0.40% | Monthly | MSCO | 9/23/22 | 5,113,692 | EUR | 18,394 | |||||||||||||||
Entain PLC | 1-Day SONIA + 0.65% | Monthly | MSCO | 2/08/23 | 579,918 | GBP | (113,683) | |||||||||||||||
Entain PLC | 1-Month LIBOR + 0.40% | Monthly | BZWS | 2/28/23 | 292,163 | GBP | 22,934 | |||||||||||||||
ESG Core Investments BV | 1-Day EONIA + 0.65% | Monthly | MSCO | 9/06/22 | 41,835 | EUR | (2,796) | |||||||||||||||
Falck Renewables Co. | 1-Day EONIA + 0.65% | Monthly | MSCS | 9/06/22 | 205,177 | EUR | 2,727 | |||||||||||||||
Ferguson PLC | 1-Day EONIA + 0.65% | Monthly | MSCO | 9/23/22 | 543,025 | 90,155 | ||||||||||||||||
Frasers Group PLC | 1-Month LIBOR + 0.40% | Monthly | MSCS | 11/14/22 | 880,392 | GBP | (155,887) | |||||||||||||||
Gazprom PJSC | 1-Day FEDEF + 0.30% | Monthly | MSCO | 1/30/23 | 762,999 | (618,040) | ||||||||||||||||
Healthcare Trust of America Inc. | 1-Day OBFR + 0.45% | Monthly | BZWS | 1/27/23 | 216,737 | (2,252) | ||||||||||||||||
HeidelbergCement AG | 1-Month EURIBOR + 0.40% | Monthly | MSCS | 11/14/22 | 2,184,163 | EUR | (324,975) | |||||||||||||||
Hermes International | 1-Month EURIBOR + 0.40% | Monthly | MSCO | 11/14/22 | 600,572 | EUR | (2,122) | |||||||||||||||
Hikma Pharmaceuticals PLC | 1-Month LIBOR + 0.40% | Monthly | MSCS | 11/14/22 | 93,333 | GBP | 4,829 | |||||||||||||||
ITV PLC | 1-Month LIBOR + 0.40% | Monthly | MSCS | 11/14/22 | 1,702,078 | GBP | (234,204) | |||||||||||||||
Kering SA | 1-Month EURIBOR + 0.40% | Monthly | MSCO | 11/14/22 | 794,174 | EUR | 11,806 | |||||||||||||||
Kering SA | 1-Month EURIBOR + 0.40% | Monthly | MSCS | 3/14/25 | 1,461,221 | EUR | 574,610 | |||||||||||||||
LONGi Green Energy Technology Co. Ltd. | 1-Day FEDEF + 0.30% | Monthly | MSCO | 2/27/23 | 487,280 | 32,476 | ||||||||||||||||
LVMH Moet Hennessy Louis Vuitton SE . | 1-Day EONIA + 0.40% | Monthly | MSCS | 3/14/25 | 348,838 | EUR | 333,896 | |||||||||||||||
Meggitt PLC | 1-Day SONIA + 0.65% | Monthly | BZWS | 8/17/22 | 2,132,017 | GBP | 36,258 | |||||||||||||||
Meggitt PLC | 1-Day SONIA + 0.65% | Monthly | MSCO | 2/08/23 | 1,362,630 | GBP | (125,320) | |||||||||||||||
MGM Growth Properties LLC | 1-Month LIBOR + 0.35% | Monthly | BZWS | 8/08/22 | 4,289,805 | 51,176 | ||||||||||||||||
Nestle SA | 1-Month LIBOR + 0.40% | Monthly | MSCS | 1/20/23 | 1,710,464 | CHF | 28,086 | |||||||||||||||
Orpea SA | 1-Day EONIA + 0.40% | Monthly | MSCO | 1/30/23 | 819,294 | EUR | (31,006) | |||||||||||||||
Phillips 66 Partners LP | 1-Month LIBOR + 0.35% | Monthly | BZWS | 10/28/22 | 5,309,955 | 75,922 | ||||||||||||||||
Preferred Apartment Communities inc. | 1-Day OBFR + 0.45% | Monthly | BZWS | 2/17/23 | 96,977 | (926) | ||||||||||||||||
Ryanair Holdings PLC | 1-Month EURIBOR + 0.40% | Monthly | MSCS | 11/14/22 | 857,797 | EUR | (145,017) | |||||||||||||||
Sanne Group PLC | 1-Day SONIA + 0.40% | Monthly | BZWS | 6/24/22 | 685,955 | GBP | (571) | |||||||||||||||
Shell Midstream Partners LP | 1-Day OBFR + 0.65% | Monthly | BZWS | 2/14/23 | 580,568 | 20,526 | ||||||||||||||||
Siltronic AG | 1-Day EONIA + 0.65% | Monthly | MSCO | 11/03/22 | 489,119 | EUR | (140,633) | |||||||||||||||
Singapore Press Holdings Ltd. | 1-Month SIBF + 0.55% | Monthly | MSCS | 5/22/23 | 657,631 | SGD | (1,179) | |||||||||||||||
Smith & Nephew PLC | 1-Month LIBOR + 0.40% | Monthly | MSCO | 11/14/22 | 3,535,129 | GBP | 379,696 | |||||||||||||||
Smiths Group PLC | 1-Month LIBOR + 0.40% | Monthly | MSCS | 11/14/22 | 1,056,203 | GBP | (26,408) | |||||||||||||||
Societe Generale SA | 1-Month LIBOR + 0.40% | Monthly | MSCS | 3/14/25 | 853,440 | EUR | 508,762 | |||||||||||||||
SSE PLC | 1-Day SONIA + 0.40% | Monthly | MSCO | 9/26/22 | 3,044,470 | GBP | 455,909 | |||||||||||||||
Stroeer SE & Co. KGaA | 1-Month EURIBOR + 0.40% | Monthly | MSCS | 11/14/22 | 964,591 | EUR | (29,525) | |||||||||||||||
Swedish Orphan Biovitrum AB | 1-Month STIBOR + 0.65% | Monthly | MSCS | 12/27/23 | 6,220,459 | SEK | 15,348 | |||||||||||||||
Telecom Italia SpA | 1-Day EONIA + 0.65% | Monthly | JPHQ | 2/20/23 | 107,210 | EUR | (8,734) | |||||||||||||||
Toshiba Corp. | 1-Day MUTSCALM + 0.55% | Monthly | MSCO | 8/25/23 | 35,819,080 | JPY | (2,575) | |||||||||||||||
TotalEnergies | 1-Day EONIA + 0.40% | Monthly | MSCO | 9/23/22 | 2,807,581 | EUR | (333,828) | |||||||||||||||
Ultra Electronics Holdings PLC | 1-Day SONIA + 0.65% | Monthly | MSCO | 2/08/23 | 599,569 | GBP | 7,460 | |||||||||||||||
Ultra Electronics Holdings PLC | 1-Day SONIA + 0.40% | Monthly | BZWS | 2/20/23 | 243,469 | GBP | 12,937 | |||||||||||||||
Vifor Pharma AG | 1-Day FEDEF + 0.65% | Monthly | MSCS | 9/23/22 | 1,023,134 | (4,730) | ||||||||||||||||
Vodafone Group PLC | 1-Day SONIA + 0.65% | Monthly | MSCO | 2/08/23 | 930,163 | GBP | 254,632 | |||||||||||||||
Willis Towers Watson PLC | 1-Day FEDEF + 0.40% | Monthly | MSCO | 11/22/22 | 2,153,178 | (208,383) | ||||||||||||||||
Zynga Inc. | 1-Day FEDEF + 0.40% | Monthly | MSCS | 1/23/23 | 1,870,993 | 40,789 | ||||||||||||||||
1,279,032 |
74
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Total Return Swap Contracts (continued)
Underlying Instrument | Financing Rate | Payment Frequency | Counter- party | Maturity Date | Notional Value* | Value/Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
Equity Contracts - Shortb | ||||||||||||||||||||||||||||
Aon PLC | 1-Day FEDEF - 0.35 | % | Monthly | MSCS | 1/26/23 | 649,854 | $ | (53,459 | ) | |||||||||||||||||||
Arthur J. Gallagher & Co. | 1-Day FEDEF - 0.35 | % | Monthly | MSCO | 2/06/23 | 651,640 | (34,246 | ) | ||||||||||||||||||||
Bovespa Win | 1-Day FEDEF - 1.00 | % | Monthly | MSCS | 2/27/23 | 1,756,125 | (63,197 | ) | ||||||||||||||||||||
BP PLC | 1-Day OBFR - 0.30 | % | Monthly | MSCS | 12/21/22 | 372,938 | (4,708 | ) | ||||||||||||||||||||
CLP Holdings | 1-Day HONIX - 0.50 | % | Monthly | MSCO | 7/20/23 | 12,530,720 | HKD | 8,771 | ||||||||||||||||||||
Colruyt SA | 1-Day EONIA - 0.40 | % | Monthly | MSCS | 3/14/25 | 1,343,611 | EUR | 193,590 | ||||||||||||||||||||
DJ EURO STOXX 50 Index | 1-Day EONIA - 0.45 | % | Monthly | MSCO | 3/22/22 | 307,887 | EUR | (209,423 | ) | |||||||||||||||||||
Elisa OYJ | 1-Day EONIA - 0.40 | % | Monthly | MSCS | 3/14/25 | 390,256 | EUR | (42,354 | ) | |||||||||||||||||||
Hannover Rueck SE | 1-Day EONIA - 0.35 | % | Monthly | MSCS | 3/14/25 | 558,395 | EUR | (224,515 | ) | |||||||||||||||||||
Hennes & Mauritz AB | 1-Week STIBOR -0.40 | % | Monthly | MSCS | 3/14/25 | 5,777,721 | SEK | (67,070 | ) | |||||||||||||||||||
HMM Co. Ltd. | 1-Day FEDEF - 3.50 | % | Monthly | MSCO | 8/10/23 | 400,141 | (55,274 | ) | ||||||||||||||||||||
Industrial Select Sector Index | 1-Day LIBOR - 0.40 | % | Monthly | MSCO | 8/22/23 | 4,348,585 | 56,335 | |||||||||||||||||||||
Korea Electric Power Corp. | 1-Day FEDEF - 2.75 | % | Monthly | MSCO | 8/10/23 | 335,064 | (21,559 | ) | ||||||||||||||||||||
Marks & Spencer Group PLC | 1-Day SONIA - 0.30 | % | Monthly | MSCS | 11/14/22 | 283,966 | GBP | 49,181 | ||||||||||||||||||||
Marsh McLennan | 1-Day FEDEF - 0.35 | % | Monthly | MSCO | 2/06/23 | 671,461 | 5,704 | |||||||||||||||||||||
Morgan Stanley MSHDGTIX Index | 1-Day EONIA - 0.45 | % | Monthly | MSCS | 2/20/23 | 69,603 | EUR | 1,841 | ||||||||||||||||||||
Morgan Stanley MSPSARKK Index | 1-Day FEDEF - 0.46 | % | Monthly | MSCO | 9/21/22 | 112,983 | 24,340 | |||||||||||||||||||||
Morgan Stanley MSPSEGRL Index | 1-Day SONIA - 1.50 | % | Monthly | MSCS | 11/01/23 | 188,422 | GBP | 23,081 | ||||||||||||||||||||
Morgan Stanley MSPSENTH Index | 1-Day SONIA - 0.45 | % | Monthly | MSCO | 11/01/23 | 198,688 | GBP | 25,590 | ||||||||||||||||||||
Morgan Stanley MSPSFERL Index | 1-Day FEDEF - 0.35 | % | Monthly | MSCO | 9/21/22 | 221,685 | 8,647 | |||||||||||||||||||||
Morgan Stanley MSPSHRTZ Index | 1-Day FEDEF - 0.35 | % | Monthly | MSCO | 9/21/22 | 725,006 | 71,534 | |||||||||||||||||||||
Morgan Stanley MSPSIWM Index | 1-Day FEDEF - 0.45 | % | Monthly | MSCS | 9/21/22 | 200,676 | 9,325 | |||||||||||||||||||||
Morgan Stanley MSPSKRE Index | 1-Day FEDEF - 0.35 | % | Monthly | MSCS | 2/20/23 | 383,064 | (5,566 | ) | ||||||||||||||||||||
Morgan Stanley MSPSKSS Index | 1-Day FEDEF - 0.40 | % | Monthly | MSCO | 9/21/22 | 337,234 | 13,118 | |||||||||||||||||||||
Morgan Stanley MSPSPRMW Index | 1-Day FEDEF - 0.55 | % | Monthly | MSCO | 9/21/22 | 574,402 | (94,955 | ) | ||||||||||||||||||||
Morgan Stanley MSPSPRNT Index | 1-Day FEDEF - 1.48 | % | Monthly | MSCO | 9/21/22 | 51,663 | 5,534 | |||||||||||||||||||||
Morgan Stanley MSPSSPY Index | 1-Day FEDEF - 0.35 | % | Monthly | MSCO | 9/21/22 | 69,888 | (999 | ) | ||||||||||||||||||||
Morgan Stanley MSPSSXKP Index | 1-Day EONIA - 0.45 | % | Monthly | MSCS | 2/23/23 | 879,164 | EUR | 17,560 | ||||||||||||||||||||
Morgan Stanley MSPSVLRS Index | 1-Day FEDEF - 0.35 | % | Monthly | MSCO | 9/21/22 | 157,173 | (2,749 | ) | ||||||||||||||||||||
Morgan Stanley MSPSXLU Index | 1-Day FEDEF - 0.35 | % | Monthly | MSCO | 9/21/22 | 1,547,479 | 27,644 | |||||||||||||||||||||
Morgan Stanley MSSTDTGH Index | 1-Day EONIA - 0.45 | % | Monthly | MSCS | 12/27/23 | 196,717 | EUR | 30,616 | ||||||||||||||||||||
Next PLC | 1-Day SONIA - 0.30 | % | Monthly | MSCS | 11/14/22 | 606,791 | GBP | 44,670 | ||||||||||||||||||||
Nippon Yusen | 1-Day MUTSCALM -0.40 | % | Monthly | MSCO | 10/03/23 | 93,141,720 | JPY | (84,819 | ) | |||||||||||||||||||
NortonLifeLock Inc. | 1-Day FEDEF - 0.35 | % | Monthly | MSCO | 2/06/23 | 37,084 | (3,888 | ) | ||||||||||||||||||||
Philadelphia SE Utility Index | 1-Day FEDEF - 0.05 | % | Monthly | MSCO | 8/22/23 | 9,710,192 | (231,846 | ) | ||||||||||||||||||||
Phillips 66 | 1-Month LIBOR - 0.35 | % | Monthly | BZWS | 10/28/22 | 5,331,367 | (108,272 | ) | ||||||||||||||||||||
SOBI SS Hedge Basket | 1-Month STIBOR -0.65 | % | Monthly | MSCS | 12/27/23 | 4,922,096 | SEK | 28,707 | ||||||||||||||||||||
STOXX Europe 600 Utilities Index | 1-Day EONIA - 0.45 | % | Monthly | MSCO | 9/13/23 | 3,927,022 | EUR | (224,817 | ) | |||||||||||||||||||
Straits Times Index | 1-Day SOFR - 0.65 | % | Monthly | MSCO | 5/24/23 | 639,352 | SGD | (23,571 | ) | |||||||||||||||||||
Swisscom AG | 1-Day SARON - 0.35 | % | Monthly | MSCS | 3/14/25 | 749,259 | CHF | (131,096 | ) | |||||||||||||||||||
Take-Two Interactive Software Inc. | 1-Day FEDEF - 0.35 | % | Monthly | MSCS | 1/23/23 | 251,748 | 3,522 | |||||||||||||||||||||
VICI Properties Inc. | 1-Month LIBOR - 0.35 | % | Monthly | BZWS | 8/08/22 | 4,312,217 | (68,127 | ) | ||||||||||||||||||||
WAF GY Hedge Basket | 1-Day EONIA - 0.45 | % | Monthly | MSCO | 2/07/23 | 328,049 | EUR | (5,628 | ) | |||||||||||||||||||
(1,112,828 | ) | |||||||||||||||||||||||||||
Total - Total Return Swap Contracts | $ | 166,204 |
*In U.S. dollars unless otherwise indicated.
aThe Fund receives the total return on the underlying instrument and pays a variable financing rate.
bThe Fund receives the variable financing rate and pays the total return on the underlying instrument.
75
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Abbreviations Counterparty | Currency | Selected Portfolio | ||||||||
BNPP | BNP Paribas | ARS | Argentine Peso | ADR | American Depositary Receipt | |||||
BNYM | The Bank of New York Mellon Corp. | AUD | Australian Dollar | AONIA | Australian Overnight Index Average Rate | |||||
BOFA | Bank of America Corp. | BRL | Brazilian Real | ARM | Adjustable Rate Mortgage | |||||
BZWS | Barclays Bank PLC | CAD | Canadian Dollar | BADLAR | Argentina Deposit Rates BADLAR Private Banks ARS | |||||
CITI | Citigroup, Inc. | CHF | Swiss Franc | BBSW | Bank Bill Swap Rate | |||||
DBAB | Deutsche Bank, AG | CNY | Chinese Yuan | BRLCDI | Brazil Cetip Di Interbank Deposit Rate | |||||
FBCO | Credit Suisse Group AG | COP | Colombian Peso | BZDIOVRA | Brazil Interbank Deposit Rate | |||||
GSCO | The Goldman Sachs Group, Inc. | CZK | Czech Koruna | CAC | Cotation Assistee en Continu | |||||
HSBC | HSBC Bank USA, N.A. | EGP | Egyptian Pound | CLO | Collateralized Loan Obligation | |||||
JPHQ | JP Morgan Chase & Co. | EUR | Euro | CNRR007 | China 7-Day Reverse Repo Rate | |||||
MSCO | Morgan Stanley & Co. LLC | GBP | British Pound | DAX | Deutscher Aktienindex | |||||
MSCS | Morgan Stanley Capital Services LLC | HKD | Hong Kong Dollar | DJIA | Dow Jones Industrial Average | |||||
RBS | Royal Bank of Scotland PLC | INR | Indian Rupee | EIBOR | Emirates Interbank Offered Rate | |||||
SCBL | Standard Chartered Bank Hong Kong | JPY | Japanese Yen | EMTN | Euro Medium Term Note | |||||
SGNY | Societe Generale NY | KRW | South Korean Won | EONIA | Euro OverNight Index Average | |||||
UBSW | UBS AG | MXN | Mexican Peso | ETF | Exchange Traded Fund | |||||
NOK | Norwegian Krone | EURIBOR | Euro Interbank Offered Rate | |||||||
NZD | New Zealand Dollar | FEDEF | Federal Funds Effective Rate | |||||||
PLN | Polish Zloty | FHLMC | Federal Home Loan Mortgage Corp. | |||||||
RUB | Russian Ruble | FNMA | Federal National Mortgage Association | |||||||
SEK | Swedish Krona | FRN | Floating Rate Note | |||||||
SGD | Singapore Dollar | FTSE | Financial Times Stock Exchange | |||||||
USD | United States Dollar | HIBOR | Hong Kong Interbank Offered Rate | |||||||
ZAR | South African Rand | HONIX | Hong Kong Overnight Index Rate | |||||||
JIBAR | Johannesburg Interbank Agreed Rate | |||||||||
KDR | Korean Depositary Receipt | |||||||||
LIBOR | London InterBank Offered Rate | |||||||||
MIB | Milano Italia Borsa | |||||||||
Index | MIBOR | Mumbai Inter-Bank Offer Rate | ||||||||
CDX.EM | CDX Emerging Markets Index | MSCI | Morgan Stanley Capital International | |||||||
CDX.NA.HY | CDX North America High Yield Index | MTN | Medium Term Note | |||||||
MUTSCALM | Japan Unsecured Overnight Call Rate | |||||||||
PIK | Payment In-Kind | |||||||||
PRIBOR | Prague Interbank Offered Rate | |||||||||
REIT | Real Estate Investment Trust | |||||||||
SARON | Swiss Average Rate Overnight | |||||||||
SOFR | Secured Overnight Financing Rate | |||||||||
SONIA | Sterling Overnight Index Average | |||||||||
SORA | Singapore Overnight Rate Average | |||||||||
SPDR | Standard & Poor’s Depositary Receipt | |||||||||
STIBOR | Stockholm Interbank Offered Rate | |||||||||
TOPIX | Tokyo Price Index | |||||||||
WIBOR | Warsaw Interbank Offered Rate |
76
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
Statement of Investments, February 28, 2022 (unaudited)
Franklin K2 Long Short Credit Fund
Country | Shares/ Warrants/ Rights | Value | ||||||||||
Common Stocks and Other Equity Interests 2.4% | ||||||||||||
Aerospace & Defense 0.0%† | ||||||||||||
aSatellogic Inc., 1/25/27, wts. | United States | 603 | $ | 316 | ||||||||
|
| |||||||||||
Auto Components 0.0%† | ||||||||||||
aAmerican Axle & Manufacturing Holdings Inc. | United States | 5,428 | 50,263 | |||||||||
|
| |||||||||||
Automobiles 0.1% | ||||||||||||
aGeneral Motors Co. | United States | 2,086 | 97,458 | |||||||||
|
| |||||||||||
Biotechnology 0.0%† | ||||||||||||
aCytoDyn Inc. | United States | 2,389 | 1,223 | |||||||||
|
| |||||||||||
Communications Equipment 0.0%† | ||||||||||||
aRiverbed Technology Inc. | United States | 3,479 | 34,355 | |||||||||
|
| |||||||||||
Consumer Finance 0.0%† | ||||||||||||
aLendingTree Inc. | United States | 131 | 15,852 | |||||||||
|
| |||||||||||
Diversified Financial Services 1.2% | ||||||||||||
a2MX Organic SA, 11/16/25, wts. | France | 1,165 | 209 | |||||||||
aAequi Acquisition Corp., A | United States | 3,993 | 39,111 | |||||||||
aAequi Acquisition Corp., A, 11/30/27, wts. | United States | 146 | 42 | |||||||||
aAfrican Gold Acquisition Corp., A | United States | 1,912 | 18,594 | |||||||||
aAfrican Gold Acquisition Corp., A, 3/13/28, wts. | United States | 1,393 | 404 | |||||||||
aAgile Growth Corp., A | United States | 1,147 | 11,126 | |||||||||
aAgile Growth Corp., A, 3/09/26, wts. | United States | 382 | 181 | |||||||||
aAres Acquisition Corp., A | United States | 2,110 | 20,573 | |||||||||
aAres Acquisition Corp., A, 12/31/27, wts. | United States | 566 | 275 | |||||||||
aBlue Whale Acquisition Corp. I, A | United Arab Emirates | 3,792 | 36,744 | |||||||||
aBlue Whale Acquisition Corp. I, A, 7/30/26, wts. | United Arab Emirates | 297 | 195 | |||||||||
aCF Acquisition Corp. VI | United States | 308 | 3,810 | |||||||||
aCorsair Partnering Corp., A | United States | 1,149 | 11,082 | |||||||||
aCrystal Peak Acquisition | Netherlands | 1,993 | 19,511 | |||||||||
aCrystal Peak Acquisition, 6/22/26, wts. | Netherlands | 802 | — | |||||||||
aDHC Acquisition Corp., A | United States | 1,838 | 17,847 | |||||||||
aDHC Acquisition Corp., A, 12/31/27, wts. | United States | 71 | 26 | |||||||||
aDisruptive Acquisition Corp. I | United States | 2,007 | 19,488 | |||||||||
aDragoneer Growth Opportunities Corp. III, A | United States | 3,050 | 29,646 | |||||||||
aElliott Opportunity II Corp., A | United States | 1,335 | 12,936 | |||||||||
aElliott Opportunity II Corp., A, 3/02/26, wts. | United States | 333 | 233 | |||||||||
aEuropean Biotech Acquisition Corp., A | Netherlands | 361 | 3,511 | |||||||||
aExecutive Network Partnering Corp., A | United States | 6,280 | 61,764 | |||||||||
aExecutive Network Partnering Corp., A, 9/25/28, wts. | United States | 925 | 342 | |||||||||
aFar Peak Acquisition Corp. | United States | 7,608 | 75,243 | |||||||||
aFast Acquisition Corp. II, A | United States | 213 | 2,066 | |||||||||
aFast Acquisition Corp. II, A, 3/16/26, wts. | United States | 53 | 26 | |||||||||
aFigure Acquisition Corp. I, A | United States | 409 | 3,992 | |||||||||
aFigure Acquisition Corp. I, A, 12/31/27, wts. | United States | 345 | 245 | |||||||||
aForum Merger IV Corp., A | United States | 849 | 8,244 | |||||||||
aForum Merger IV Corp., A, 12/31/27, wts. | United States | 206 | 90 | |||||||||
aFreedom Acquisition I Corp., A | United States | 573 | 5,570 | |||||||||
aFTAC Hera Acquisition Corp., A | United States | 1,805 | 17,581 | |||||||||
aFusion Acquisition Corp. II, A | United States | 956 | 9,292 | |||||||||
aFusion Acquisition Corp. II, A, 12/31/27, wts. | United States | 318 | 89 | |||||||||
aGlenfarne Merger Corp., A | United States | 361 | 3,494 | |||||||||
aGlenfarne Merger Corp., A, 12/31/27, wts. | United States | 95 | 26 | |||||||||
aGores Technology Partners II Inc., A | United States | 362 | 3,522 | |||||||||
aGores Technology Partners II Inc., A, 12/31/27, wts. | United States | 68 | 78 |
Quarterly Statement of Investments | See Notes to Consolidated Statements of Investments.
77
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
Country | Shares/ Warrants/ Rights | Value | ||||||||||
Common Stocks and Other Equity Interests (continued) | ||||||||||||
Diversified Financial Services (continued) | ||||||||||||
aGores Technology Partners Inc., A | United States | 145 | $ | 1,441 | ||||||||
aGrowth For Good Acquisition Corp. | United States | 1,760 | 17,002 | |||||||||
aGrowth For Good Acquisition Corp., 6/14/23, wts. | United States | 880 | 273 | |||||||||
aGrowth For Good Acquisition Corp., Contingent Value, rts., 6/14/23 | United States | 1,760 | 282 | |||||||||
aHCM Acquisition Corp. | United States | 3,990 | 39,740 | |||||||||
aHealthcare AI Acquisition Corp. | Cayman Islands | 469 | 4,704 | |||||||||
aHeartland Media Acquisition Corp. | United States | 3,991 | 39,890 | |||||||||
aHedosophia European Growth | United Kingdom | 1,142 | 12,344 | |||||||||
aION Acquisition Corp. III Ltd., A | Israel | 796 | 7,725 | |||||||||
Iron Spark I Inc., A | United States | 1,578 | 15,709 | |||||||||
aJackson Acquisition Co., A | United States | 1,761 | 17,240 | |||||||||
aJackson Acquisition Co., A, 12/31/28, wts. | United States | 880 | 317 | |||||||||
aJOFF Fintech Acquisition Corp., A | United States | 1,575 | 15,309 | |||||||||
aKhosla Ventures Acquisition Co. III, A | United States | 3,158 | 30,664 | |||||||||
aKnightswan Acquisition Corp. | United States | 4,639 | 46,274 | |||||||||
aL Catterton Asia Acquisition Corp., A | Singapore | 668 | 6,493 | |||||||||
aLandcadia Holdings IV Inc., A | United States | 1,374 | 13,369 | |||||||||
aLandcadia Holdings IV Inc., A, 12/31/28, wts. | United States | 343 | 155 | |||||||||
aLDH Growth Corp. I, A | United States | 180 | 1,748 | |||||||||
aLDH Growth Corp. I, A, 3/29/28, wts. | United States | 28 | 14 | |||||||||
aLead Edge Growth Opportunities Ltd., A | United States | 1,379 | 13,376 | |||||||||
aLead Edge Growth Opportunities Ltd., A, 12/31/28, wts. | United States | 344 | 151 | |||||||||
aLerer Hippeau Acquisition Corp., A | United States | 2,839 | 27,581 | |||||||||
aLive Oak Mobility Acquisition Corp., A | United States | 757 | 7,354 | |||||||||
aMDH Acquisition Corp., A | United States | 1,367 | 13,342 | |||||||||
aMDH Acquisition Corp., A, 2/02/28, wts. | United States | 357 | 60 | |||||||||
aThe Music Acquisition Corp., A | United States | 1,590 | 15,471 | |||||||||
aThe Music Acquisition Corp., A, 2/05/28, wts. | United States | 795 | 270 | |||||||||
aNightdragon Acquisition Corp., A | United States | 367 | 3,564 | |||||||||
aObotech Acquisition SE, A | Luxembourg | 1,240 | 13,486 | |||||||||
aObotech Acquisition SE, A, 4/30/26, wts. | Luxembourg | 413 | 278 | |||||||||
aPegasus Acquisition Co. Europe BV, A | Netherlands | 1,768 | 19,288 | |||||||||
aPeridot Acquisition Corp. II, A | United States | 735 | 7,144 | |||||||||
aPershing Square Tontine Holdings Ltd., A | United States | 1,507 | 29,854 | |||||||||
aPioneer Merger Corp., A | United States | 597 | 5,830 | |||||||||
aPopulation Health Investment Co. Inc., A | United States | 342 | 3,352 | |||||||||
aPowered Brands, A | United States | 1,065 | 10,400 | |||||||||
aPWP Forward Acquisition Corp. I, A | United States | 1,807 | 17,555 | |||||||||
aSilver Crest Acquisition Corp., A | United States | 857 | 8,381 | |||||||||
aSouthport Acquisition Corp. | United States | 2,933 | 28,861 | |||||||||
aSouthport Acquisition Corp., 5/24/23, wts. | United States | 1,466 | 498 | |||||||||
aSpree Acquisition Corp. 1 Ltd. | Israel | 1,818 | 17,998 | |||||||||
aSpree Acquisition Corp. 1 Ltd., 12/22/28, wts. | Israel | 909 | 182 | |||||||||
aSupernova Partners Acquisition Co. III Ltd., A | United States | 2,530 | 24,617 | |||||||||
aSVF Investment Corp. 2, A | United States | 72 | 701 | |||||||||
aSVF Investment Corp. 3, A | United States | 72 | 711 | |||||||||
aTarget Global Acquisition I Corp., A | Israel | 3,131 | 30,809 | |||||||||
aTarget Global Acquisition I Corp., A, 12/08/26, wts. | Israel | 1,043 | 417 | |||||||||
aTCV Acquisition Corp., A | United States | 500 | 4,860 | |||||||||
aTCW Special Purpose Acquisition Corp., A | United States | 1,838 | 17,847 | |||||||||
aTCW Special Purpose Acquisition Corp., A, 12/31/28, wts. | United States | 612 | 184 | |||||||||
aTech And Energy Transition Corp., A | United States | 2,499 | 24,290 | |||||||||
aTekkorp Digital Acquisition Corp., 10/26/27, wts. | United States | 433 | 145 |
78
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
Country | Shares/ Warrants/ Rights | Value | ||||||||||
Common Stocks and Other Equity Interests (continued) | ||||||||||||
Diversified Financial Services (continued) | ||||||||||||
aTishman Speyer Innovation Corp. II, A | United States | 113 | $ | 1,101 | ||||||||
aTPG Pace Beneficial II Corp., A | United States | 83 | 808 | |||||||||
aTwelve Seas Investment Co. II, A | United States | 3,059 | 29,795 | |||||||||
aTwin Ridge Capital Acquisition Corp., A | United States | 2,202 | 21,392 | |||||||||
aWaldencast Acquisition Corp., A | United States | 82 | 810 | |||||||||
aZimmer Energy Transition Acquisition Corp., A | United States | 2,110 | 20,467 | |||||||||
aZimmer Energy Transition Acquisition Corp., A, 5/14/23, wts. | United States | 703 | 420 | |||||||||
|
| |||||||||||
1,131,551 | ||||||||||||
|
| |||||||||||
Diversified Telecommunication Services 0.1% | ||||||||||||
BT Group PLC, A | United Kingdom | 314 | 784 | |||||||||
aLiberty Global PLC, C | United Kingdom | 3,431 | 88,760 | |||||||||
|
| |||||||||||
89,544 | ||||||||||||
|
| |||||||||||
Equity Real Estate Investment Trusts (REITs) 0.3% | ||||||||||||
VICI Properties Inc. | United States | 9,272 | 259,245 | |||||||||
|
| |||||||||||
Hotels, Restaurants & Leisure 0.0%† | ||||||||||||
aBowlero Corp. | United States | 511 | 5,115 | |||||||||
aHomeToGo SE, 12/31/25, wts. | Luxembourg | 210 | 118 | |||||||||
|
| |||||||||||
5,233 | ||||||||||||
|
| |||||||||||
Independent Power & Renewable Electricity Producers 0.4% | ||||||||||||
Clearway Energy Inc., A | United States | 11,276 | 344,933 | |||||||||
|
| |||||||||||
Internet & Direct Marketing Retail 0.1% | ||||||||||||
aTHG PLC, B | United Kingdom | 64,376 | 92,212 | |||||||||
|
| |||||||||||
Leisure Products 0.1% | ||||||||||||
aPeloton Interactive Inc., A | United States | 2,300 | 66,838 | |||||||||
|
| |||||||||||
Oil, Gas & Consumable Fuels 0.0%† | ||||||||||||
a,bBighorn Permian Resources LLC, 2/01/24, wts. | United States | 1,346 | 20,870 | |||||||||
|
| |||||||||||
Pharmaceuticals 0.1% | ||||||||||||
Pfizer Inc. | United States | 1,308 | 61,398 | |||||||||
|
| |||||||||||
Professional Services 0.0%† | ||||||||||||
a,b,cAcosta Inc. | United States | 923 | 7,476 | |||||||||
|
| |||||||||||
Textiles, Apparel & Luxury Goods 0.0%† | ||||||||||||
aErmenegildo Zegna Holditalia SpA, 10/30/27, wts. | Italy | 580 | 1,201 | |||||||||
a,dSamsonite International SA, 144A | United States | 10,513 | 23,539 | |||||||||
|
| |||||||||||
24,740 | ||||||||||||
|
| |||||||||||
Total Common Stocks and Other Equity Interests (Cost $2,214,247) | 2,303,507 | |||||||||||
|
| |||||||||||
Convertible Preferred Stocks (Cost $50,262) 0.0%† | ||||||||||||
Professional Services 0.0%† | ||||||||||||
b,cAcosta Inc., cvt. pfd. | United States | 993 | 46,174 | |||||||||
|
| |||||||||||
Preferred Stocks 0.1% | ||||||||||||
Communications Equipment 0.0%† | ||||||||||||
aRiverbed Technology Inc., A, pfd. | United States | 2,381 | 31,548 | |||||||||
|
| |||||||||||
Diversified Financial Services 0.0%† | ||||||||||||
a2MX Organic SA, pfd. | France | 1,177 | 12,907 | |||||||||
|
| |||||||||||
Thrifts & Mortgage Finance 0.1% | ||||||||||||
FHLMC, pfd., | ||||||||||||
O, 5.81% | United States | 9,100 | 34,034 |
79
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
Country | Shares | Value | ||||||||||||||
Preferred Stocks (continued) | ||||||||||||||||
Thrifts & Mortgage Finance (continued) | ||||||||||||||||
FHLMC, pfd., (continued) | ||||||||||||||||
Z, 8.375% | United States | 2,420 | $ | 5,784 | ||||||||||||
FNMA, pfd., | ||||||||||||||||
aO | United States | 8,600 | 38,700 | |||||||||||||
S, 8.25% | United States | 4,475 | 11,859 | |||||||||||||
|
| |||||||||||||||
90,377 | ||||||||||||||||
|
| |||||||||||||||
Total Preferred Stocks (Cost $185,750) | 134,832 | |||||||||||||||
|
| |||||||||||||||
Principal | ||||||||||||||||
Amount | * | |||||||||||||||
Convertible Bonds 2.3% | ||||||||||||||||
Airlines 0.2% | ||||||||||||||||
dAir France-KLM, senior note, Reg S, 0.125%, 3/25/26 | France | 9,222 | EUR | 169,920 | ||||||||||||
|
| |||||||||||||||
Banks 0.1% | ||||||||||||||||
dJPMorgan Chase Bank NA, senior note, 144A, 0.125%, 1/01/23 | United States | 96,000 | 95,040 | |||||||||||||
|
| |||||||||||||||
Diversified Consumer Services 0.3% | ||||||||||||||||
Chegg Inc., senior note, | ||||||||||||||||
0.125%, 3/15/25 | United States | 71,000 | 69,048 | |||||||||||||
zero cpn., 9/01/26 | United States | 279,000 | 228,780 | |||||||||||||
|
| |||||||||||||||
297,828 | ||||||||||||||||
|
| |||||||||||||||
Health Care Equipment & Supplies 0.1% | ||||||||||||||||
dHaemonetics Corp., senior note, 144A, zero cpn., 3/01/26 | United States | 49,000 | 41,284 | |||||||||||||
|
| |||||||||||||||
Interactive Media & Services 0.2% | ||||||||||||||||
dTwitter Inc., senior note, 144A, zero cpn., 3/15/26 | United States | 263,000 | 227,890 | |||||||||||||
|
| |||||||||||||||
Internet & Direct Marketing Retail 0.4% | ||||||||||||||||
dJust Eat Takeaway.Com NV, B, senior note, Reg S, 0.625%, 2/09/28 | United Kingdom | 300,000 | EUR | 267,717 | ||||||||||||
Pinduoduo Inc., senior note, zero cpn., 12/01/25 | China | 56,000 | 49,952 | |||||||||||||
dThe Realreal Inc., senior note, 144A, 1.00%, 3/01/28 | United States | 102,000 | 77,676 | |||||||||||||
|
| |||||||||||||||
395,345 | ||||||||||||||||
|
| |||||||||||||||
Leisure Products 0.1% | ||||||||||||||||
dPeloton Interactive Inc., A, senior note, 144A, zero cpn., 2/15/26 | United States | 142,000 | 122,120 | |||||||||||||
|
| |||||||||||||||
Specialty Retail 0.9% | ||||||||||||||||
dDufry One BV, senior note, Reg S, 0.75%, 3/30/26 | Switzerland | 800,000 | CHF | 819,095 | ||||||||||||
dShake Shack Inc., senior note, 144A, zero cpn., 3/01/28 | United States | 51,000 | 42,330 | |||||||||||||
|
| |||||||||||||||
861,425 | ||||||||||||||||
|
| |||||||||||||||
Total Convertible Bonds (Cost $2,279,435) | 2,210,852 | |||||||||||||||
|
| |||||||||||||||
Corporate Bonds and Notes 25.6% | ||||||||||||||||
Airlines 0.5% | ||||||||||||||||
dAmerican Airlines Group Inc., senior note, 144A, 3.75%, 3/01/25 | United States | 499,000 | 465,318 | |||||||||||||
|
| |||||||||||||||
Automobiles 0.5% | ||||||||||||||||
dAston Martin Capital Holdings Ltd., senior secured note, 144A, 10.50%, 11/30/25 | United Kingdom | 400,000 | 418,646 | |||||||||||||
Ford Motor Co., senior bond, 4.75%, 1/15/43 | United States | 22,000 | 21,319 | |||||||||||||
|
| |||||||||||||||
439,965 | ||||||||||||||||
|
|
80
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
Country | Principal Amount* | Value | ||||||||||||||
Corporate Bonds and Notes (continued) | ||||||||||||||||
Capital Markets 0.5% | ||||||||||||||||
dCoinbase Global Inc., 144A, | ||||||||||||||||
senior bond, 3.625%, 10/01/31 | United States | 280,000 | $ | 247,100 | ||||||||||||
senior note, 3.375%, 10/01/28 | United States | 220,000 | 200,877 | |||||||||||||
|
| |||||||||||||||
447,977 | ||||||||||||||||
|
| |||||||||||||||
Chemicals 0.5% | ||||||||||||||||
dPolar US Borrower LLC / Schenectady International Group Inc., senior note, 144A, 6.75%, 5/15/26 | United States | 500,000 | 455,828 | |||||||||||||
|
| |||||||||||||||
Commercial Services & Supplies 0.0%† | ||||||||||||||||
dGFL Environmental Inc., senior note, 144A, 4.00%, 8/01/28 | Canada | 21,000 | 19,530 | |||||||||||||
|
| |||||||||||||||
Communications Equipment 0.4% | ||||||||||||||||
dAudacy Capital Corp., secured note, 144A, 6.75%, 3/31/29 | United States | 450,000 | 427,185 | |||||||||||||
|
| |||||||||||||||
Construction & Engineering 0.5% | ||||||||||||||||
dArtera Services LLC, senior secured note, 144A, 9.033%, 12/04/25 | United States | 448,000 | 450,072 | |||||||||||||
|
| |||||||||||||||
Containers & Packaging 0.0%† | ||||||||||||||||
Ball Corp., senior bond, 3.125%, 9/15/31 | United States | 32,000 | 29,439 | |||||||||||||
|
| |||||||||||||||
Diversified Consumer Services 1.1% | ||||||||||||||||
dAdtalem Global Education Inc., senior secured note, 144A, 5.50%, 3/01/28 | United States | 444,000 | 397,729 | |||||||||||||
dThe Hertz Corp., senior note, 144A, | ||||||||||||||||
4.625%, 12/01/26 | United States | 103,000 | 98,217 | |||||||||||||
5.00%, 12/01/29 | United States | 207,000 | 193,351 | |||||||||||||
dPaysafe Finance PLC / Paysafe Holdings US Corp., senior secured note, 144A, 4.00%, 6/15/29 | United States | 250,000 | 217,841 | |||||||||||||
dSotheby’s/Bidfair Holdings Inc., senior secured note, 144A, 5.875%, 6/01/29 | United States | 200,000 | 198,250 | |||||||||||||
|
| |||||||||||||||
1,105,388 | ||||||||||||||||
|
| |||||||||||||||
Diversified Financial Services 2.0% | ||||||||||||||||
dFinance of America Funding LLC, senior note, 144A, 7.875%, 11/15/25 | United States | 500,000 | 465,885 | |||||||||||||
dJane Street Group / JSG Finance Inc., senior secured note, 144A, 4.50%, 11/15/29 | United States | 621,000 | 606,633 | |||||||||||||
dKronos Acquisition Holdings Inc. / KIK Custom Products Inc., senior secured note, 144A, 5.00%, 12/31/26 | Canada | 104,000 | 93,979 | |||||||||||||
dMinerva Merger Sub Inc., senior note, 144A, 6.50%, 2/15/30 | United States | 67,000 | 64,597 | |||||||||||||
dMPH Acquisition Holdings LLC, senior note, 144A, 5.75%, 11/01/28 | United States | 400,000 | 361,444 | |||||||||||||
dVistajet Malta Finance PLC / XO Management Holding Inc., senior note, 144A, 6.375%, 2/01/30 | Switzerland | 355,000 | 338,500 | |||||||||||||
dWMG Acquisition Corp., senior secured bond, 144A, 3.00%, 2/15/31 | United States | 25,000 | 22,645 | |||||||||||||
|
| |||||||||||||||
1,953,683 | ||||||||||||||||
|
| |||||||||||||||
Diversified Telecommunication Services 0.3% | ||||||||||||||||
dFrontier Communications Holdings LLC, senior secured note, 144A, | ||||||||||||||||
5.875%, 10/15/27 | United States | 105,000 | 106,595 | |||||||||||||
5.00%, 5/01/28 | United States | 42,000 | 40,835 | |||||||||||||
dIliad SA, senior note, Reg S, 1.875%, 2/11/28 | France | 100,000 | EUR | 97,691 | ||||||||||||
dTelesat Canada / Telesat LLC, senior secured note, 144A, 4.875%, 6/01/27 | Canada | 37,000 | 26,338 | |||||||||||||
|
| |||||||||||||||
271,459 | ||||||||||||||||
|
|
81
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
Country | Principal Amount* | Value | ||||||||||||||
Corporate Bonds and Notes (continued) | ||||||||||||||||
Electric Utilities 0.8% | ||||||||||||||||
dEskom Holdings SOC Ltd., senior bond, Reg S, 8.45%, 8/10/28 | South Africa | 400,000 | $ | 400,818 | ||||||||||||
Pacific Gas and Electric Co., secured bond, 4.50%, 7/01/40 | United States | 320,653 | 302,644 | |||||||||||||
Southern California Edison Co., secured bond, 2.95%, 2/01/51 | United States | 42,000 | 35,542 | |||||||||||||
|
| |||||||||||||||
739,004 | ||||||||||||||||
|
| |||||||||||||||
Equity Real Estate Investment Trusts (REITs) 0.5% | ||||||||||||||||
dBrookfield Property REIT Inc. / BPR Cumulus LLC / BPR Nimbus LLC / GGSI Sellco LL, senior secured note, 144A, 4.50%, 4/01/27 | United States | 500,000 | 467,120 | |||||||||||||
|
| |||||||||||||||
Food & Staples Retailing 0.0%† | ||||||||||||||||
dJBS USA Lux SA / JBS USA Food Co. / JBS USA Finance Inc., senior bond, 144A, 3.00%, 5/15/32 | United States | 43,000 | 38,002 | |||||||||||||
|
| |||||||||||||||
Health Care Providers & Services 0.9% | ||||||||||||||||
dDavita Inc., senior bond, 144A, 3.75%, 2/15/31 | United States | 355,000 | 324,935 | |||||||||||||
Encompass Health Corp., senior bond, 4.625%, 4/01/31 | United States | 334,000 | 315,675 | |||||||||||||
dLifePoint Health Inc., senior note, 144A, 5.375%, 1/15/29 | United States | 187,000 | 176,013 | |||||||||||||
dTenet Healthcare Corp., 144A, | ||||||||||||||||
senior note, 6.125%, 10/01/28 | United States | 47,000 | 47,660 | |||||||||||||
senior secured note, 4.375%, 1/15/30 | United States | 47,000 | 45,428 | |||||||||||||
|
| |||||||||||||||
909,711 | ||||||||||||||||
|
| |||||||||||||||
Hotels, Restaurants & Leisure 0.9% | ||||||||||||||||
dCarnival Corp., senior note, 144A, 6.00%, 5/01/29 | United States | 426,000 | 414,219 | |||||||||||||
dStation Casinos LLC, senior bond, 144A, 4.625%, 12/01/31 | United States | 494,000 | 466,178 | |||||||||||||
|
| |||||||||||||||
880,397 | ||||||||||||||||
|
| |||||||||||||||
Household Durables 0.9% | ||||||||||||||||
dK. Hovnanian Enterprises Inc., senior secured note, 144A, | ||||||||||||||||
e7.75%, 2/15/26 | United States | 626,000 | 647,603 | |||||||||||||
10.50%, 2/15/26 | United States | 250,000 | 265,593 | |||||||||||||
|
| |||||||||||||||
913,196 | ||||||||||||||||
|
| |||||||||||||||
Household Products 0.4% | ||||||||||||||||
dSpectrum Brands Inc., senior bond, 144A, 3.875%, 3/15/31 | United States | 430,000 | 394,482 | |||||||||||||
|
| |||||||||||||||
Independent Power & Renewable Electricity Producers 0.5% | ||||||||||||||||
dCalpine Corp., senior secured bond, 144A, 3.75%, 3/01/31 | United States | 355,000 | 323,638 | |||||||||||||
d,f Vistra Corp., junior sub. note, 144A, 7.00% to 6/15/22, FRN thereafter, Perpetual | United States | 138,000 | 137,180 | |||||||||||||
|
| |||||||||||||||
460,818 | ||||||||||||||||
|
| |||||||||||||||
Interactive Media & Services 0.6% | ||||||||||||||||
dTwitter Inc., senior note, 144A, 5.00%, 3/01/30 | United States | 39,000 | 39,269 | |||||||||||||
dZipRecruiter Inc., senior note, 144A, 5.00%, 1/15/30 | United States | 564,000 | 556,138 | |||||||||||||
|
| |||||||||||||||
595,407 | ||||||||||||||||
|
| |||||||||||||||
Internet & Direct Marketing Retail 0.5% | ||||||||||||||||
dArches Buyer Inc., senior note, 144A, 6.125%, 12/01/28 | United States | 502,000 | 472,387 | |||||||||||||
|
| |||||||||||||||
IT Services 0.6% | ||||||||||||||||
dAustin Bidco Inc., senior note, 144A, 7.125%, 12/15/28 | United States | 286,000 | 279,851 | |||||||||||||
d Hurricane Finance PLC, senior secured note, Reg S, 8.00%, 10/15/25 | United Kingdom | 234,000 | GBP | 319,012 | ||||||||||||
|
| |||||||||||||||
598,863 | ||||||||||||||||
|
| |||||||||||||||
Leisure Products 0.3% | ||||||||||||||||
dMattel Inc., senior note, 144A, 3.375%, 4/01/26 | United States | 303,000 | 301,312 | |||||||||||||
dNCL Corp. Ltd., senior secured note, 144A, 5.875%, 2/15/27 | United States | 27,000 | 27,066 | |||||||||||||
|
| |||||||||||||||
328,378 | ||||||||||||||||
|
|
82
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
Country | Principal Amount* | Value | ||||||||||
Corporate Bonds and Notes (continued) | ||||||||||||
Marine 0.1% | ||||||||||||
dStena International SA, senior secured bond, 144A, 5.75%, 3/01/24 | Sweden | 100,000 | $ | 100,116 | ||||||||
|
| |||||||||||
Media 2.2% | ||||||||||||
dAdvantage Sales & Marketing Inc., senior secured note, 144A, 6.50%, 11/15/28 | United States | 39,000 | 39,317 | |||||||||
dCCO Holdings LLC / CCO Holdings Capital Corp., senior bond, 144A, 4.75%, 3/01/30 | United States | 43,000 | 42,301 | |||||||||
dClear Channel Outdoor Holdings Inc., senior note, 144A, 7.75%, 4/15/28 | United States | 364,000 | 380,744 | |||||||||
dCSC Holdings LLC, senior bond, 144A, | ||||||||||||
6.50%, 2/01/29 | United States | 13,000 | 13,183 | |||||||||
4.125%, 12/01/30 | United States | 68,000 | 61,158 | |||||||||
4.50%, 11/15/31 | United States | 21,000 | 19,139 | |||||||||
dDISH DBS Corp., senior secured note, 144A, 5.75%, 12/01/28 | United States | 530,000 | 507,806 | |||||||||
Liberty Interactive LLC, senior bond, 8.25%, 2/01/30 | United States | 360,000 | 353,508 | |||||||||
dSpanish Broadcasting System Inc., senior secured note, 144A, 9.75%, 3/01/26 | United States | 259,000 | 264,664 | |||||||||
dUrban One Inc., senior secured note, 144A, 7.375%, 2/01/28 | United States | 506,000 | 504,085 | |||||||||
|
| |||||||||||
2,185,905 | ||||||||||||
|
| |||||||||||
Metals & Mining 0.4% | ||||||||||||
Freeport-McMoRan Inc., senior bond, 5.45%, 3/15/43 | United States | 42,000 | 48,372 | |||||||||
dTaseko Mines Ltd., senior secured note, 144A, 7.00%, 2/15/26 | Canada | 387,000 | 387,443 | |||||||||
|
| |||||||||||
435,815 | ||||||||||||
|
| |||||||||||
Mortgage Real Estate Investment Trusts (REITs) 0.9% | ||||||||||||
dApollo Commercial Real Estate Finance Inc., senior secured note, 144A, 4.625%, 6/15/29 | United States | 355,000 | 320,998 | |||||||||
dNew Residential Investment Corp., senior note, 144A, 6.25%, 10/15/25 | United States | 520,000 | 510,583 | |||||||||
|
| |||||||||||
831,581 | ||||||||||||
|
| |||||||||||
Multiline Retail 0.2% | ||||||||||||
Kohl’s Corp., senior bond, 5.55%, 7/17/45 | United States | 156,000 | 159,959 | |||||||||
|
| |||||||||||
Oil, Gas & Consumable Fuels 4.1% | ||||||||||||
Apache Corp., senior bond, 5.10%, 9/01/40 | United States | 61,000 | 61,101 | |||||||||
dDT Midstream Inc., senior bond, 144A, 4.375%, 6/15/31 | United States | 336,000 | 328,774 | |||||||||
fEnergy Transfer LP, H, junior sub. note, 6.50% to 11/15/26, FRN thereafter, Perpetual | United States | 149,000 | 147,683 | |||||||||
dLaredo Petroleum Inc., senior note, 144A, 7.75%, 7/31/29 | United States | 500,000 | 486,700 | |||||||||
dMC Brazil Downstream Trading SARL, senior secured note, Reg S, 7.25%, 6/30/31 | Brazil | 271,000 | 251,710 | |||||||||
dMoss Creek Resources Holdings Inc., senior note, 144A, | ||||||||||||
7.50%, 1/15/26 | United States | 245,000 | 217,270 | |||||||||
10.50%, 5/15/27 | United States | 756,000 | 713,872 | |||||||||
dNorthern Oil And Gas Inc., senior note, 144A, 8.125%, 3/01/28 | United States | 400,000 | 421,000 | |||||||||
Petroleos Mexicanos, | ||||||||||||
senior bond, 5.95%, 1/28/31 | Mexico | 87,000 | 81,595 | |||||||||
dsenior bond, 144A, 6.70%, 2/16/32 | Mexico | 47,000 | 45,428 | |||||||||
senior bond, 6.75%, 9/21/47 | Mexico | 412,000 | 342,910 | |||||||||
senior bond, 6.95%, 1/28/60 | Mexico | 101,000 | 83,992 | |||||||||
dsenior note, 144A, 6.875%, 10/16/25 | Mexico | 47,000 | 49,877 | |||||||||
senior note, 4.50%, 1/23/26 | Mexico | 413,000 | 408,292 | |||||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., senior bond, 4.875%, 2/01/31 | United States | 303,000 | 311,978 | |||||||||
|
| |||||||||||
3,952,182 | ||||||||||||
|
|
83
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
Country | Principal Amount* | Value | ||||||||||||||
Corporate Bonds and Notes (continued) | ||||||||||||||||
Pharmaceuticals 0.6% | ||||||||||||||||
dBausch Health Cos. Inc., senior note, 144A, 9.00%, 12/15/25 | United States | 26,000 | $ | 26,842 | ||||||||||||
dOrganon & Co. / Organon Foreign Debt Co.-Issuer BV, senior bond, 144A, 5.125%, 4/30/31 | United States | 355,000 | 354,922 | |||||||||||||
dPar Pharmaceutical Inc., senior secured note, 144A, 7.50%, 4/01/27 | United States | 209,000 | 209,585 | |||||||||||||
|
| |||||||||||||||
591,349 | ||||||||||||||||
|
| |||||||||||||||
Professional Services 0.3% | ||||||||||||||||
dCorelogic Inc., senior secured note, 144A, 4.50%, 5/01/28 | United States | 311,000 | 295,675 | |||||||||||||
|
| |||||||||||||||
Real Estate Management & Development 0.6% | ||||||||||||||||
dHunt Cos. Inc., senior secured note, 144A, 5.25%, 4/15/29 | United States | 285,000 | 273,240 | |||||||||||||
dRealogy Group LLC / Realogy Co.-Issuer Corp., senior note, 144A, 5.25%, 4/15/30 | United States | 250,000 | 238,581 | |||||||||||||
dShimao Group Holdings Ltd., senior secured note, Reg S, 6.125%, 2/21/24 | China | 200,000 | 64,000 | |||||||||||||
|
| |||||||||||||||
575,821 | ||||||||||||||||
|
| |||||||||||||||
Road & Rail 0.1% | ||||||||||||||||
dUber Technologies Inc., senior note, 144A, 6.25%, 1/15/28 | United States | 99,000 | 101,141 | |||||||||||||
|
| |||||||||||||||
Specialty Retail 2.9% | ||||||||||||||||
dCarvana Co., senior note, 144A, 4.875%, 9/01/29 | United States | 217,000 | 181,326 | |||||||||||||
dDouglas GMBH, senior secured note, Reg S, 6.00%, 4/08/26 | Germany | 531,000 | EUR | 574,885 | ||||||||||||
dFerrellgas LP / Ferrellgas Finance Corp., senior note, 144A, | ||||||||||||||||
5.375%, 4/01/26 | United States | 13,000 | 12,237 | |||||||||||||
5.875%, 4/01/29 | United States | 13,000 | 11,912 | |||||||||||||
dFertitta Entertainment LLC / Fertitta Entertainment Finance Co. Inc., 144A, | ||||||||||||||||
senior note, 6.75%, 1/15/30 | United States | 30,000 | 28,595 | |||||||||||||
senior secured note, 4.625%, 1/15/29 | United States | 46,000 | 44,099 | |||||||||||||
dFoot Locker Inc., senior note, 144A, 4.00%, 10/01/29 | United States | 64,000 | 58,355 | |||||||||||||
dThe Gap Inc., senior note, 144A, 3.625%, 10/01/29 | United States | 278,000 | 252,285 | |||||||||||||
dGuitar Center Inc., senior secured note, 144A, 8.50%, 1/15/26 | United States | 179,000 | 187,977 | |||||||||||||
d,gKirk Beauty Sun GMBH, senior note, Reg S, PIK, 8.25%, 10/01/26 | Germany | 147,591 | EUR | 152,787 | ||||||||||||
dLithia Motors Inc., senior note, 144A, 3.875%, 6/01/29 | United States | 13,000 | 12,852 | |||||||||||||
Macy’s Retail Holdings LLC, senior bond, 5.125%, 1/15/42 | United States | 500,000 | 441,563 | |||||||||||||
dNMG Holding Co. Inc. / Neiman Marcus Group LLC, senior secured note, 144A, 7.125%, 4/01/26 | United States | 303,000 | 312,393 | |||||||||||||
dStaples Inc., 144A, | ||||||||||||||||
senior note, 10.75%, 4/15/27 | United States | 400,000 | 373,274 | |||||||||||||
senior secured note, 7.50%, 4/15/26 | United States | 200,000 | 197,974 | |||||||||||||
|
| |||||||||||||||
2,842,514 | ||||||||||||||||
|
| |||||||||||||||
Tobacco 0.0%† | ||||||||||||||||
Altria Group Inc., senior bond, 3.40%, 2/04/41 | United States | 22,000 | 18,245 | |||||||||||||
Bat Capital Corp., senior bond, 3.984%, 9/25/50 | United Kingdom | 22,000 | 18,980 | |||||||||||||
|
| |||||||||||||||
37,225 | ||||||||||||||||
|
| |||||||||||||||
Total Corporate Bonds and Notes (Cost $25,836,409) | 24,972,892 | |||||||||||||||
|
| |||||||||||||||
hSenior Floating Rate Interests 0.6% | ||||||||||||||||
Communications Equipment 0.1% | ||||||||||||||||
Riverbed Technology Inc., Term Loan, 7.00%, (1-Month USD LIBOR + 6.00%), 12/08/26 | United States | 86,849 | 80,050 | |||||||||||||
|
|
84
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
Country | Principal Amount* | Value | ||||||||||||||
hSenior Floating Rate Interests (continued) | ||||||||||||||||
Consumer Discretionary Services 0.1% | ||||||||||||||||
Travel Leaders Group LLC, Term Loan B, 4.209%, (1-Month USD LIBOR + 4.00%), 1/25/24 | United States | 141,887 | $ | 134,119 | ||||||||||||
|
| |||||||||||||||
Equity Real Estate Investment Trusts (REITs) 0.1% | ||||||||||||||||
The GEO Group Inc., Term Loan B, 2.75%, (3-Month USD LIBOR + 2.00%), 3/22/24 | United States | 79,274 | 73,527 | |||||||||||||
McCarthy & Stone PLC, Term Loan B, 7.00%, 12/16/25 | United Kingdom | 50,969 | GBP | 68,375 | ||||||||||||
|
| |||||||||||||||
141,902 | ||||||||||||||||
|
| |||||||||||||||
Media 0.2% | ||||||||||||||||
Advantage Sales & Marketing Inc., Term Loan B1, 5.25%, (3- Month USD LIBOR + 4.50%), 10/28/27 | United States | 158,612 | 157,225 | |||||||||||||
|
| |||||||||||||||
Pharmaceuticals 0.1% | ||||||||||||||||
Bausch Health Cos. Inc., Term Loan B, 5.75%, (1-Month SOFR + 5.25%), 1/27/27 | United States | 86,711 | 85,889 | |||||||||||||
|
| |||||||||||||||
Total Senior Floating Rate Interests (Cost $607,443) | 599,185 | |||||||||||||||
|
| |||||||||||||||
Credit-Linked Notes 0.8% | ||||||||||||||||
dCitigroup Global Markets Holdings Inc., (Egypt), EMTN, senior note, 144A, zero cpn., 3/31/22 | Egypt | 2,788,269 | EGP | 176,397 | ||||||||||||
dHSBC Bank PLC, (Egypt), senior note, 144A, zero cpn., 4/14/22 | Egypt | 9,000,000 | EGP | 564,405 | ||||||||||||
|
| |||||||||||||||
Total Credit-Linked Notes (Cost $740,413) | 740,802 | |||||||||||||||
|
| |||||||||||||||
Foreign Government and Agency Securities 9.1% | ||||||||||||||||
dCBB International Sukuk Programme Co. Wll, senior note, 144A, 3.875%, 5/18/29 | Bahrain | 667,000 | 639,759 | |||||||||||||
dGovernment of Angola, senior bond, Reg S, | ||||||||||||||||
8.00%, 11/26/29 | Angola | 874,000 | 858,566 | |||||||||||||
9.375%, 5/08/48 | Angola | 200,000 | 189,428 | |||||||||||||
Government of Argentina, senior bond, 1.125%, 7/09/35 | Argentina | 1,932,156 | 574,333 | |||||||||||||
dGovernment of Bahrain, senior bond, Reg S, 7.00%, 1/26/26 | Bahrain | 200,000 | 214,957 | |||||||||||||
Government of Brazil, senior bond, 3.875%, 6/12/30 | Brazil | 104,000 | 97,279 | |||||||||||||
dGovernment of Ecuador, senior bond, Reg S, 1.00%, 7/31/35 | Ecuador | 770,883 | 543,480 | |||||||||||||
dGovernment of Egypt, senior bond, Reg S, | ||||||||||||||||
7.50%, 1/31/27 | Egypt | 400,000 | 382,872 | |||||||||||||
7.60%, 3/01/29 | Egypt | 200,000 | 179,942 | |||||||||||||
dGovernment of Germany, senior bond, Reg S, | ||||||||||||||||
zero cpn., 2/15/31 | Germany | 109,000 | EUR | 121,300 | ||||||||||||
zero cpn., 2/15/32 | Germany | 100,000 | EUR | 110,382 | ||||||||||||
0.50%, 2/15/25 | Germany | 94,000 | EUR | 108,256 | ||||||||||||
dGovernment of Ghana, senior note, Reg S, 7.75%, 4/07/29 | Ghana | 213,000 | 146,118 | |||||||||||||
dGovernment of Iraq, senior bond, Reg S, 5.80%, 1/15/28 | Iraq | 187,500 | 180,648 | |||||||||||||
eGovernment of Italy, senior note, 2.375%, 10/17/24 | Italy | 373,000 | 374,981 | |||||||||||||
dGovernment of Jordan, senior note, 144A, 4.95%, 7/07/25 | Jordan | 200,000 | 200,862 | |||||||||||||
dGovernment of Nigeria, senior note, Reg S, | ||||||||||||||||
7.625%, 11/21/25 | Nigeria | 600,000 | 637,050 | |||||||||||||
6.125%, 9/28/28 | Nigeria | 200,000 | 183,870 | |||||||||||||
dGovernment of Oman, senior bond, Reg S, | ||||||||||||||||
6.25%, 1/25/31 | Oman | 416,000 | 432,846 | |||||||||||||
6.75%, 1/17/48 | Oman | 616,000 | 593,191 | |||||||||||||
dGovernment of Saudi Arabia, senior bond, 144A, 2.75%, 2/03/32 | Saudi Arabia | 221,000 | 219,680 | |||||||||||||
Government of South Africa, senior bond, | ||||||||||||||||
R186, 10.50%, 12/21/26 | South Africa | 18,688,005 | ZAR | 1,351,114 | ||||||||||||
2030, 8.00%, 1/31/30 | South Africa | 1,482,565 | ZAR | 88,832 |
85
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
Country | Principal Amount* | Value | ||||||||||
Foreign Government and Agency Securities (continued) | ||||||||||||
Government of Turkey, senior note, 6.375%, 10/14/25 | Turkey | 200,000 | $ | 194,916 | ||||||||
dGovernment of Ukraine, Reg S, | ||||||||||||
senior bond, 7.375%, 9/25/32 | Ukraine | 200,000 | 68,129 | |||||||||
senior bond, 1.258%, 5/31/40 | Ukraine | 272,000 | 65,904 | |||||||||
senior note, 6.876%, 5/21/29 | Ukraine | 400,000 | 137,172 | |||||||||
|
| |||||||||||
Total Foreign Government and Agency Securities (Cost $9,735,902) | 8,895,867 | |||||||||||
|
| |||||||||||
U.S. Government and Agency Securities (Cost $313,875) 0.3% | ||||||||||||
U.S. Treasury Note, 1.625%, 5/15/31 | United States | 309,000 | 303,725 | |||||||||
|
| |||||||||||
Asset-Backed Securities and Commercial Mortgage-Backed Securities 33.1% | ||||||||||||
Diversified Financial Services 15.3% | ||||||||||||
d,iAMSR Trust, 2021-SFR1, G, 144A, FRN, 4.612%, 6/17/38 | United States | 500,000 | 474,914 | |||||||||
d,jCatskill Park CLO Ltd., 2017-1A, C, 144A, FRN, 3.954%, (3- Month USD LIBOR + 3.70%), 4/20/29 | United States | 1,000,000 | 1,003,796 | |||||||||
CitiMortgage Alternative Loan Trust, 2007-A1, 2A1, 5.50%, 1/25/22 | United States | 14,793 | 13,935 | |||||||||
dFRTKL, 2021-SFR1, G, 144A, 4.105%, 9/17/38 | United States | 990,000 | 908,087 | |||||||||
d,jGSMSC Pass-Through Trust, 2009-4R, 2A3, 144A, FRN, 0.558%, (1-Month USD LIBOR + 0.45%), 12/26/36 | United States | 658,820 | 455,558 | |||||||||
d,jKREF Ltd., 2021-FL2, C, 144A, FRN, 2.12%, (1-Month USD LIBOR + 2.00%), 2/15/39 | United States | 500,000 | 496,916 | |||||||||
d,jMarathon CLO VI Ltd., 2018-6A, CR2, 144A, FRN, 3.895%, (3- Month USD LIBOR + 3.50%), 5/13/28 | United States | 980,000 | 949,382 | |||||||||
d,jMountain View CLO Ltd., 2018-1A, DRR, 144A, FRN, 3.891%, (3- Month USD LIBOR + 3.65%), 10/15/26 | United States | 1,290,000 | 1,291,870 | |||||||||
d,jOCP CLO Ltd., 2021-8RA, C, 144A, FRN, 3.991%, (3-Month USD LIBOR + 3.75%), 1/17/32 | United States | 1,000,000 | 996,350 | |||||||||
jRamp Series Trust, 2003-RS9, MII3, FRN, 3.412%, (1-Month USD LIBOR + 2.15%), 10/25/33 | United States | 1,156,753 | 1,161,016 | |||||||||
dS-Jets Ltd., 2017-1, A, 144A, 3.967%, 8/15/42 | Bermuda | 2,090,061 | 2,037,815 | |||||||||
d,jStaniford Street CLO Ltd., 2014-1A, D, 144A, FRN, 3.703%, (3- Month USD LIBOR + 3.50%), 6/15/25 | United States | 629,485 | 630,688 | |||||||||
iSTARM Mortgage Loan Trust, 2007-2, 4A1, FRN, 2.488%, 4/25/37 | United States | 56,786 | 39,102 | |||||||||
dStellar Jay Ireland DAC, 2021-1, B, 144A, 5.926%, 10/15/41 | Ireland | 969,680 | 944,434 | |||||||||
jSuntrust Alternative Loan Trust, 2005-1F, 1A1, FRN, 0.837%, (1- Month USD LIBOR + 0.65%), 12/25/35 | United States | 112,512 | 96,882 | |||||||||
dThunderbolt II Aircraft Lease Ltd., 2018-A, A, 144A, 4.147%, 9/15/38 | United States | 2,475,700 | 2,423,300 | |||||||||
d,jVMC Finance LLC, 2019-FL3, C, 144A, FRN, 2.17%, (1-Month USD LIBOR + 2.05%), 9/15/36 | United States | 880,961 | 870,224 | |||||||||
Wells Fargo Alternative Loan Trust, 2007-PA3, 2A2, 6.00%, 7/25/37 | United States | 108,170 | 107,968 | |||||||||
|
| |||||||||||
14,902,237 | ||||||||||||
|
|
86
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
Country | Principal Amount* | Value | ||||||||||
Asset-Backed Securities and Commercial Mortgage-Backed Securities (continued) | ||||||||||||
Mortgage Real Estate Investment Trusts (REITs) 17.8% | ||||||||||||
i American Home Mortgage Assets Trust, 2005-1, 1A1, FRN, | United States | 102,687 | $ | 92,928 | ||||||||
d,i Avenue of The Americas Trust, 2015-1211, E, 144A, FRN, | United States | 150,000 | 142,570 | |||||||||
iBanc of America Mortgage Trust, FRN, | ||||||||||||
2005-K, 2A1, 2.492%, 12/25/35 | United States | 142,061 | 137,878 | |||||||||
2005-L, 1A1, 2.944%, 1/25/36 | United States | 90,015 | 87,961 | |||||||||
2005-L, 3A1, 3.214%, 1/25/36 | United States | 104,460 | 102,829 | |||||||||
d,jBBCMS Mortgage Trust, 2019-BWAY, E, 144A, FRN, 3.041%, | United States | 2,000,000 | 1,885,950 | |||||||||
d,iBCAP LLC Trust, 2010-RR1, 1A4, 144A, FRN, 3.146%, 3/26/37 | United States | 176,669 | 152,368 | |||||||||
i Bear Stearns ARM Trust, FRN, | ||||||||||||
2002-11, 1A2, 2.837%, 2/25/33 | United States | 2,795 | 2,601 | |||||||||
2006-2, 4A1, 3.081%, 7/25/36 | United States | 33,717 | 31,578 | |||||||||
d,jBXMT Ltd., 2021-FL4, C, 144A, FRN, 1.941%, (1-Month USD | United States | 500,000 | 493,281 | |||||||||
iCitigroup Mortgage Loan Trust, 2007-AR5, 2A1A, FRN, 3.415%, 4/25/37 | United States | 82,519 | 81,770 | |||||||||
Countrywide Alternative Loan Trust, | ||||||||||||
2005-73CB, 1A2, 6.25%, 1/25/36 | United States | 123,501 | 125,909 | |||||||||
j 2005-IM1, A1, FRN, 0.787%, (1-Month USD LIBOR + 0.60%), 1/25/36 | United States | 114,995 | 111,008 | |||||||||
2005-J10, 2A4, 6.00%, 10/25/35 | United States | 399,402 | 252,524 | |||||||||
iCredit Suisse First Boston Mortgage Securities Corp., 2004-AR3, | Switzerland | 110,527 | 100,877 | |||||||||
CSMC Mortgage-Backed Trust, 2006-4, 9A1, 6.50%, 5/25/36 | United States | 735,944 | 372,982 | |||||||||
d,iFARM Mortgage Trust, 2021-1, B, 144A, FRN, 3.247%, 7/25/51 | United States | 942,258 | 800,050 | |||||||||
djFNMA, 2021-R02, 2B1, 144A, FRN, 3.349%, (SOFR + 3.30%), 11/25/41 | United States | 650,000 | 611,621 | |||||||||
jFREMF Mortgage Trust, 2018-KF52, B, FRN, 2.057%, (1-Month | United States | 782,595 | 779,331 | |||||||||
GSR Mortgage Loan Trust, 2004-6F, 2A4, 5.50%, 5/25/34 | United States | 85,915 | 86,348 | |||||||||
Impac CMB Trust, | ||||||||||||
2004-4, 2A2, 5.242%, 9/25/34 | United States | 134,226 | 143,118 | |||||||||
j2004-8, 3B, FRN, 2.812%, (1-Month USD LIBOR + 2.63%), 8/25/34 | United States | 95,753 | 97,963 | |||||||||
j2005-2, 2B, FRN, 2.662%, (1-Month USD LIBOR + 2.48%), 4/25/35 | United States | 82,293 | 80,930 | |||||||||
j2005-4, 2M1, FRN, 0.937%, (1-Month USD LIBOR + 0.50%), 5/25/35 | United States | 146,405 | 136,543 | |||||||||
j2005-8, 2B, FRN, 2.437%, (1-Month USD LIBOR + 2.25%), 2/25/36 | United States | 69,563 | 69,864 | |||||||||
IndyMac INDX Mortgage Loan Trust, FRN, | ||||||||||||
i2005-AR23, 3A1, 2.518%, 11/25/35 | United States | 637,748 | 619,318 | |||||||||
j2006-AR12, A1, 0.567%, (1-Month USD LIBOR + 0.19%), 9/25/46 | United States | 150,350 | 142,537 | |||||||||
j2006-AR29, A2, 0.347%, (1-Month USD LIBOR + 0.16%), 11/25/36 | United States | 273,679 | 279,280 | |||||||||
i2007-AR5, 2A1, 2.96%, 5/25/37 | United States | 340,705 | 319,412 | |||||||||
iJPMBB Commercial Mortgage Securities Trust, 2015-C31, D, | United States | 702,000 | 644,399 | |||||||||
iJPMorgan Mortgage Trust, FRN, 2006-A5, 6A1, 2.829%, 8/25/36 | United States | 181,875 | 160,418 |
87
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
Country | Principal Amount* | Value | ||||||||||
Asset-Backed Securities and Commercial Mortgage-Backed Securities (continued) | ||||||||||||
Mortgage Real Estate Investment Trusts (REITs) (continued) | ||||||||||||
i JPMorgan Mortgage Trust, FRN, (continued) | ||||||||||||
2006-A7, 2A3, 3.124%, 1/25/37 | United States | 76,330 | $ | 71,760 | ||||||||
2007-A2, 2A1, 2.849%, 4/25/37 | United States | 109,401 | 99,732 | |||||||||
Lehman Mortgage Trust, 2005-3, 2A3, 5.50%, 1/25/36 | United States | 56,830 | 57,106 | |||||||||
i MASTR Adjustable Rate Mortgages Trust, 2004-10, B1, FRN, 2.364%, 10/25/34 | United States | 438,871 | 401,887 | |||||||||
i MASTR Alternative Loan Trust, 2007-HF1, 3A1, FRN, 2.189%, 10/25/47 | United States | 486,605 | 360,490 | |||||||||
i MASTR Seasoned Securitization Trust, 2004-1, 4A1, FRN, 2.41%, 10/25/32 | United States | 65,446 | 68,011 | |||||||||
iRFMSI Trust, 2007-SA2, 3A, FRN, 5.369%, 4/25/37 | United States | 708,418 | 213,206 | |||||||||
jSecuritized Asset Backed Receivables LLC Trust, 2004-OP2, A2, FRN, 0.887%, (1-Month USD LIBOR + 0.70%), 8/25/34 | United States | 199,024 | 195,222 | |||||||||
d,jSTACR Trust, 2018-HRP1, B2, 144A, FRN, 11.937%, (1-Month USD LIBOR + 11.75%), 5/25/43 | United States | 1,917,366 | 2,109,147 | |||||||||
iStructured ARM Loan Trust, 2004-4, B1, FRN, 2.623%, 4/25/34 | United States | 389,994 | 366,182 | |||||||||
i Wachovia Mortgage Loan Trust LLC, 2005-B, 1A1, FRN, 2.178%, 10/20/35 | United States | 213,306 | 207,969 | |||||||||
WAMU Mortgage Pass-Through Certificates Series Trust, FRN, j 2005-AR11, B1, 1.102%, (1-Month USD LIBOR + 0.92%), 8/25/45 | United States | 1,089,772 | 975,794 | |||||||||
i2006-AR12, 1A1, 2.968%, 10/25/36 | United States | 929,706 | 932,043 | |||||||||
j Washington Mutual Mortgage Pass-Through Certificates, 2006-4, 3A2B, FRN, 0.347%, (1-Month USD LIBOR + 0.16%), 5/25/36 | United States | 207,275 | 169,937 | |||||||||
iWashington Mutual MSC Mortgage Pass-Through Certificates Series Trust, 2003-AR3, B1, FRN, 2.993%, 6/25/33 | United States | 215,473 | 212,066 | |||||||||
d,iWFRBS Commercial Mortgage Trust, 2014-C22, D, 144A, FRN, 3.899%, 9/15/57 | United States | 2,000,000 | 1,844,667 | |||||||||
|
| |||||||||||
17,431,365 | ||||||||||||
|
| |||||||||||
Total Asset-Backed Securities and Commercial Mortgage- Backed Securities (Cost $32,515,602) | 32,333,602 | |||||||||||
|
| |||||||||||
Municipal Bonds in Reorganization 1.4% | ||||||||||||
Puerto Rico 1.4% | ||||||||||||
k Commonwealth of Puerto Rico, | ||||||||||||
8.00%, 7/01/35 | United States | 1,145,000 | 1,031,932 | |||||||||
5.50%, 7/01/39 | United States | 155,000 | 147,250 | |||||||||
5.00%, 7/01/41 | United States | 225,000 | 205,312 | |||||||||
|
| |||||||||||
Total Municipal Bonds in Reorganization (Cost $770,113) | 1,384,494 | |||||||||||
|
| |||||||||||
Number of Contracts | Notional Amount# | |||||||||||
Options Purchased 0.2% | ||||||||||||
Calls - Exchange-Traded 0.1% | ||||||||||||
Chewy Inc., March Strike Price $45.00, Expires 3/18/22 | 13 | 1,300 | 5,785 |
88
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
Number of Contracts | Notional Amount# | Value | ||||||||||
Options Purchased (continued) | ||||||||||||
Calls - Exchange-Traded (continued) | ||||||||||||
SPDR Gold Shares, September Strike Price $180.00, Expires 9/16/22 | 32 | 3,200 | $ | 26,880 | ||||||||
|
| |||||||||||
32,665 | ||||||||||||
|
| |||||||||||
Calls - Over-the-Counter 0.1% | ||||||||||||
Currency Options 0.1% | ||||||||||||
USD/RUB, Counterparty MSCS, May Strike Price 76.00 RUB, Expires 5/06/22 | 1 | 213,539 | 74,534 | |||||||||
|
| |||||||||||
Puts - Exchange-Traded 0.0%† | ||||||||||||
Bank of Montreal, April Strike Price $110.00, Expires 4/14/22 | 6 | 600 | 1,662 | |||||||||
The Bank of Nova Scotia, April Strike Price $70.00, Expires 4/14/22 | 8 | 800 | 1,520 | |||||||||
Financial Select Sector SPDR Fund, April Strike Price $35.00, Expires 4/14/22 | 134 | 13,400 | 7,906 | |||||||||
Financial Select Sector SPDR Fund, April Strike Price $37.00, Expires 4/14/22 | 76 | 7,600 | 7,752 | |||||||||
Financial Select Sector SPDR Fund, May Strike Price $37.00, Expires 5/20/22 | 116 | 11,600 | 17,864 | |||||||||
New Residential Investment Corp., May Strike Price $9.00, Expires 5/20/22 | 83 | 8,300 | 2,324 | |||||||||
Owens & Minor Inc., March Strike Price $30.00, Expires 3/18/22 | 28 | 2,800 | 280 | |||||||||
Pfizer Inc., September Strike Price $47.00, Expires 9/16/22 | 25 | 2,500 | 11,125 | |||||||||
Prudential Financial Inc., March Strike Price $105.00, Expires 3/18/22 | 20 | 2,000 | 3,000 | |||||||||
Royal Bank of Canada, April Strike Price $105.00, Expires 4/14/22 | 9 | 900 | 1,413 | |||||||||
SPDR S&P Regional Banking ETF, March Strike Price $69.00, Expires 3/18/22 | 54 | 5,400 | 4,482 | |||||||||
The Toronto-Dominion Bank, April Strike Price $75.00, Expires 4/14/22 | 13 | 1,300 | 1,885 | |||||||||
|
| |||||||||||
61,213 | ||||||||||||
|
| |||||||||||
Puts - Over-the-Counter 0.0%† | ||||||||||||
The Western Union Co., Counterparty BOFA, May Strike Price $14.00, Expires 5/20/22 | 36 | 3,600 | 720 | |||||||||
|
| |||||||||||
Total Options Purchased (Cost $102,395) | 169,132 | |||||||||||
|
| |||||||||||
Total Investments before Short Term Investments | 74,095,064 | |||||||||||
|
| |||||||||||
Country | Shares | |||||||||||
Short Term Investments 20.1% | ||||||||||||
Money Market Funds (Cost $17,685,104) 18.1% | ||||||||||||
lFidelity Investments Money Market Government Portfolio, Institutional, 0.01% | United States | 17,685,104 | 17,685,104 |
89
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
Country | Principal Amount* | Value | ||||||||||
Short Term Investments (continued) | ||||||||||||
Repurchase Agreements (Cost $1,957,103) 2.0% | ||||||||||||
mJoint Repurchase Agreement, 0.022%, 3/01/21 (Maturity Value $1,957,105) | United States | 1,957,103 | $ | 1,957,103 | ||||||||
|
| |||||||||||
BNP Paribas Securities Corp. (Maturity Value $1,297,325) Deutsche Bank Securities Inc. (Maturity Value $66,718) HSBC Securities (USA) Inc. (Maturity Value $593,062) | ||||||||||||
Total Investments (Cost $94,994,053) 96.0% | 93,737,271 | |||||||||||
Options Written (0.1)% | (69,340 | ) | ||||||||||
Securities Sold Short (4.7)% | (4,606,305 | ) | ||||||||||
Other Assets, less Liabilities 8.8% | 8,567,707 | |||||||||||
|
| |||||||||||
Net Assets 100.0% | $ | 97,629,333 | ||||||||||
|
| |||||||||||
Number of Contracts | Notional Amount# | |||||||||||
Options Written (0.1)% | ||||||||||||
Puts - Exchange-Traded (0.0)%† | ||||||||||||
Owens & Minor Inc., March Strike Price $20.00, Expires 3/18/22 | 28 | 2,800 | (280 | ) | ||||||||
|
| |||||||||||
Puts - Over-the-Counter (0.1)% | ||||||||||||
Currency Options (0.1)% | ||||||||||||
USD/RUB, Counterparty MSCS, May Strike Price 81.00 RUB, Expires 5/06/22 | 1 | 213,539 | (69,060 | ) | ||||||||
|
| |||||||||||
Total Options Written (Premiums Received $5,150) | (69,340 | ) | ||||||||||
|
| |||||||||||
Securities Sold Short (4.7)% | ||||||||||||
Country | Shares | |||||||||||
Common Stocks (Proceeds $66,872) (0.1)% | ||||||||||||
Leisure Products (0.1)% | ||||||||||||
Peloton Interactive Inc., A | United States | 2,300 | (66,838 | ) | ||||||||
|
| |||||||||||
Principal Amount* | ||||||||||||
Corporate Bonds and Notes (3.9)% | ||||||||||||
Aerospace & Defense (0.1)% | ||||||||||||
dSpirit Aerosystems Inc., secured note, 144A, 7.50%, 4/15/25 | United States | 87,000 | (90,480 | ) | ||||||||
|
|
90
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
Country | Principal Amount* | Value | ||||||||||||
Securities Sold Short (continued) | ||||||||||||||
Corporate Bonds and Notes (continued) | ||||||||||||||
Auto Components (0.1)% | ||||||||||||||
dWheel Pros Inc., senior note, 144A, 6.50%, 5/15/29 | United States | 115,000 | $ | (105,408 | ) | |||||||||
|
| |||||||||||||
Banks (0.1)% | ||||||||||||||
d,f China Zheshang Bank Co. Ltd., junior sub. note, Reg S, 5.45% to 3/29/22, FRN thereafter, Perpetual | China | 72,000 | (72,183 | ) | ||||||||||
|
| |||||||||||||
Communications Equipment (0.2)% | ||||||||||||||
dAudacy Capital Corp., secured note, 144A, | ||||||||||||||
6.50%, 5/01/27 | United States | 102,000 | (97,027 | ) | ||||||||||
6.75%, 3/31/29 | United States | 78,000 | (74,045 | ) | ||||||||||
|
| |||||||||||||
(171,072 | ) | |||||||||||||
|
| |||||||||||||
Construction & Engineering (0.6)% | ||||||||||||||
Fluor Corp., senior bond, | ||||||||||||||
3.50%, 12/15/24 | United States | 102,000 | (103,165 | ) | ||||||||||
4.25%, 9/15/28 | United States | 233,000 | (228,450 | ) | ||||||||||
dSydney Airport Finance Co. Pty Ltd., senior secured bond, 144A, | ||||||||||||||
3.375%, 4/30/25 | Australia | 42,000 | (43,032 | ) | ||||||||||
3.625%, 4/28/26 | Australia | 22,000 | (22,800 | ) | ||||||||||
dTutor Perini Corp., senior note, 144A, 6.875%, 5/01/25 | United States | 161,000 | (157,780 | ) | ||||||||||
|
| |||||||||||||
(555,227 | ) | |||||||||||||
|
| |||||||||||||
Diversified Consumer Services (0.0)%† | ||||||||||||||
dPaysafe Finance PLC / Paysafe Holdings US Corp., senior secured note, 144A, 4.00%, 6/15/29 | United States | 54,000 | (47,054 | ) | ||||||||||
|
| |||||||||||||
Diversified Financial Services (0.4)% | ||||||||||||||
dKronos Acquisition Holdings Inc. / KIK Custom Products Inc., senior note, 144A, 7.00%, 12/31/27 | Canada | 69,000 | (58,498 | ) | ||||||||||
dMPH Acquisition Holdings LLC, senior note, 144A, 5.75%, 11/01/28 | United States | 185,000 | (167,168 | ) | ||||||||||
dSherwood Financing PLC, senior secured note, Reg S, 6.00%, 11/15/26 | United Kingdom | 100,000 | GBP | (127,596 | ) | |||||||||
dVictors Merger Corp., senior note, 144A, 6.375%, 5/15/29 | United States | 64,000 | (55,520 | ) | ||||||||||
|
| |||||||||||||
(408,782 | ) | |||||||||||||
|
| |||||||||||||
Diversified Telecommunication Services (0.3)% | ||||||||||||||
dIliad Holding SASU, senior secured note, Reg S, 5.625%, 10/15/28 | France | 240,000 | EUR | (265,750 | ) | |||||||||
|
| |||||||||||||
Energy Equipment & Services (0.1)% | ||||||||||||||
dSaipem Finance International BV, E, senior note, Reg S, 2.75%, 4/05/22 | Italy | 100,000 | EUR | (108,713 | ) | |||||||||
|
| |||||||||||||
Equity Real Estate Investment Trusts (REITs) (0.0)%† | ||||||||||||||
The GEO Group Inc., senior note, 6.00%, 4/15/26 | United States | 40,000 | (33,066 | ) | ||||||||||
|
| |||||||||||||
Food & Staples Retailing (0.4)% | ||||||||||||||
Koninklijke Ahold Delhaize NV, senior bond, 5.70%, 10/01/40 | Netherlands | 196,000 | (250,123 | ) | ||||||||||
dSEG Holding LLC / SEG Finance Corp., senior secured note, 144A, 5.625%, 10/15/28 | United States | 52,000 | (53,626 | ) | ||||||||||
dSigma Holdco BV, senior note, Reg S, 5.75%, 5/15/26 | Netherlands | 100,000 | EUR | (94,681 | ) | |||||||||
|
| |||||||||||||
(398,430 | ) | |||||||||||||
|
| |||||||||||||
Food Products (0.2)% | ||||||||||||||
B&G Foods Inc., senior note, 5.25%, 9/15/27 | United States | 196,000 | (195,633 | ) | ||||||||||
|
|
91
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
Country | Principal Amount* | Value | ||||||||||||||
Securities Sold Short (continued) | ||||||||||||||||
Corporate Bonds and Notes (continued) | ||||||||||||||||
Health Care Providers & Services (0.1)% | ||||||||||||||||
dAir Methods Corp., senior note, 144A, 8.00%, 5/15/25 | United States | 111,000 | $ | (92,311 | ) | |||||||||||
|
| |||||||||||||||
Hotels, Restaurants & Leisure (0.0)%† | ||||||||||||||||
dWynn Las Vegas LLC / Wynn Las Vegas Capital Corp., senior bond, 144A, 5.50%, 3/01/25 | United States | 34,000 | (34,520 | ) | ||||||||||||
|
| |||||||||||||||
Media (0.1)% | ||||||||||||||||
DISH DBS Corp., senior note, 7.75%, 7/01/26 | United States | 56,000 | (56,775 | ) | ||||||||||||
|
| |||||||||||||||
Oil, Gas & Consumable Fuels (0.1)% | ||||||||||||||||
Petrobras Global Finance BV, senior note, 5.093%, 1/15/30 | Brazil | 107,000 | (106,346 | ) | ||||||||||||
dSM Energy Co., secured note, 144A, 10.00%, 1/15/25 | United States | 38,000 | (41,712 | ) | ||||||||||||
|
| |||||||||||||||
(148,058 | ) | |||||||||||||||
|
| |||||||||||||||
Professional Services (0.1)% | ||||||||||||||||
dTeleperformance, senior note, Reg S, 1.875%, 7/02/25 | France | 100,000 | EUR | (115,853 | ) | |||||||||||
|
| |||||||||||||||
Specialty Retail (1.0)% | ||||||||||||||||
dAt Home Group Inc., senior note, 144A, 7.125%, 7/15/29 | United States | 58,000 | (51,572 | ) | ||||||||||||
dDufry One BV, senior note, Reg S, 2.00%, 2/15/27 | Switzerland | 528,000 | EUR | (533,752 | ) | |||||||||||
dMacy’s Retail Holdings LLC, senior note, 144A, 5.875%, 4/01/29 | United States | 131,000 | (134,103 | ) | ||||||||||||
dRent-A-Center Inc., senior note, 144A, 6.375%, 2/15/29 | United States | 239,000 | (229,095 | ) | ||||||||||||
(948,522 | ) | |||||||||||||||
|
| |||||||||||||||
Total Corporate Bonds and Notes (Proceeds $4,033,179) | (3,847,837 | ) | ||||||||||||||
|
| |||||||||||||||
Foreign Government and Agency Securities (0.4)% | ||||||||||||||||
dGovernment of France, senior bond, Reg S, zero cpn., 5/25/32 | France | 100,000 | EUR | (105,082 | ) | |||||||||||
Government of Turkey, senior note, 7.25%, 12/23/23 | Turkey | 129,000 | (131,837 | ) | ||||||||||||
dItaly Buoni Poliennali del Tesoro, senior bond, Reg S, 6.00%, 5/01/31 | Italy | 109,000 | EUR | (168,939 | ) | |||||||||||
|
| |||||||||||||||
Total Foreign Government and Agency Securities (Proceeds $409,498) | (405,858 | ) | ||||||||||||||
|
| |||||||||||||||
hSenior Floating Rate Interests (Proceeds $8,536) (0.0)%† | ||||||||||||||||
Chemicals (0.0)%† | ||||||||||||||||
ICP Group, Term Loan, 4.50%, (1-Month USD LIBOR + 3.75%), 12/29/27 | United States | 8,755 | (8,492 | ) | ||||||||||||
|
| |||||||||||||||
U.S. Government and Agency Securities (0.3)% | ||||||||||||||||
U.S. Treasury Note, | ||||||||||||||||
0.875%, 11/15/30 | United States | 205,000 | (189,441 | ) | ||||||||||||
1.125%, 2/15/31 | United States | 28,000 | (26,389 | ) | ||||||||||||
1.25%, 8/15/31 | United States | 64,700 | (61,450 | ) | ||||||||||||
|
| |||||||||||||||
Total U.S. Government and Agency Securities (Proceeds $295,939) | (277,280 | ) | ||||||||||||||
|
| |||||||||||||||
Total Securities Sold Short (Proceeds $4,814,024) | $ | (4,606,305 | ) | |||||||||||||
|
|
†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.
92
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
b | Fair valued using significant unobservable inputs. See Note 9 regarding fair value measurements. |
c | See Note 5 regarding restricted securities. |
d | Security was purchased pursuant to Rule 144A or Regulation S under the Securities Act of 1933. 144A securities may be sold in transactions exempt from registration only to qualified institutional buyers or in public offering registered under the Securities Act of 1933. Regulation S securities 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 28, 2022, the net value of these securities was $49,006,608, representing 50.2% of net assets. |
e | A 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 28, 2022, the aggregate value of these securities and/or cash pledged amounted to $5,507,103, representing 5.6% of net assets. |
f | Perpetual security with no stated maturity date. |
g | Income may be received in additional securities and/or cash. |
h | The coupon rate shown represents the rate at period end. |
i | Adjustable 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. |
j | The coupon rate shown represents the rate inclusive of any caps or floors, if applicable, in effect at period end. |
k | Defaulted security or security for which income has been deemed uncollectible. |
l | The rate shown is the annualized seven-day effective yield at period end. |
m | Investment is through participation in a joint account with other funds managed by the investment manager or an affiliate of the investment manager. At February 28, 2022, all repurchase agreements had been entered into on that date. |
n | The security was issued on a discount basis with no stated coupon rate. |
93
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
At February 28, 2022, the Fund had the following futures contracts outstanding. See Note 3.
Futures Contracts
Description | Type | Number of Contracts | Notional Amount* | Expiration Date | Value/Unrealized Appreciation (Depreciation) | |||||||||||||||
| ||||||||||||||||||||
Equity Contracts | ||||||||||||||||||||
CAC 40 10 Euro Index | Short | 2 | $ | 149,238 | 3/18/22 | $ | 4,308 | |||||||||||||
DJ Euro Stoxx 50 Index | Short | 2 | 88,063 | 3/18/22 | (1,985) | |||||||||||||||
E-Mini Russell 2000 | Short | 10 | 1,022,250 | 3/18/22 | 641 | |||||||||||||||
S&P 500 E-Mini Index | Short | 2 | 436,800 | 3/18/22 | 23,248 | |||||||||||||||
|
| |||||||||||||||||||
Total Futures Contracts | $ | 26,212 | ||||||||||||||||||
|
|
*As of period end.
At February 28, 2022, the Fund had the following forward exchange contracts outstanding. See Note 3.
Forward Exchange Contracts
Currency | Counterpartya | Type | Quantity | Contract Amount | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||
| ||||||||||||||||||||||||||||
OTC Forward Exchange Contracts | ||||||||||||||||||||||||||||
Czech Koruna | JPHQ | Buy | 5,601,383 | $ | 246,918 | 3/16/22 | $ | 2,264 | $ | – | ||||||||||||||||||
Czech Koruna | JPHQ | Sell | 5,601,383 | 244,677 | 3/16/22 | – | (4,505) | |||||||||||||||||||||
Indonesian Rupiah | JPHQ | Buy | 9,241,438,975 | 641,434 | 3/16/22 | 1,086 | – | |||||||||||||||||||||
Indonesian Rupiah | JPHQ | Sell | 9,389,872,441 | 651,577 | 3/16/22 | – | (1,263) | |||||||||||||||||||||
Russian Ruble | JPHQ | Buy | 87,886,348 | 1,161,173 | 3/16/22 | – | (359,674) | |||||||||||||||||||||
Russian Ruble | JPHQ | Sell | 87,886,348 | 1,158,728 | 3/16/22 | 357,229 | – | |||||||||||||||||||||
South African Rand | JPHQ | Buy | 7,772,085 | 496,849 | 3/16/22 | 14,548 | (7,051) | |||||||||||||||||||||
South African Rand | JPHQ | Sell | 35,872,966 | 2,297,426 | 3/16/22 | 13,207 | (43,651) | |||||||||||||||||||||
British Pound | JPHQ | Sell | 460,000 | 621,370 | 3/31/22 | 4,092 | – | |||||||||||||||||||||
Euro | JPHQ | Buy | 370,000 | 417,757 | 3/31/22 | – | (2,312) | |||||||||||||||||||||
Euro | JPHQ | Sell | 2,080,000 | 2,350,324 | 3/31/22 | 14,852 | – | |||||||||||||||||||||
Hong Kong Dollar | JPHQ | Sell | 155,000 | 19,909 | 3/31/22 | 74 | – | |||||||||||||||||||||
Japanese Yen | JPHQ | Sell | 2,050,000 | 17,940 | 3/31/22 | 95 | – | |||||||||||||||||||||
Swiss Franc | JPHQ | Sell | 770,000 | 837,253 | 3/31/22 | – | (3,659) | |||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||
Total Forward Exchange Contracts | $ | 407,447 | $ | (422,115) | ||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||
Net unrealized appreciation (depreciation) |
| $ | (14,668) | |||||||||||||||||||||||||
|
|
aMay be comprised of multiple contracts with the same counterparty, currency and settlement date.
94
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
At February 28, 2022, the Fund had the following credit default swap contracts outstanding. See Note 3.
Credit Default Swap Contracts
Description | Annual Payment Rate Received (Paid) | Payment Frequency | Maturity Date | Notional Amounta | Value | Unamortized Upfront Payments (Receipts) | Unrealized Appreciation (Depreciation) | Ratingb | ||||||||||||||||||||||
| ||||||||||||||||||||||||||||||
Centrally Cleared Swap Contracts | ||||||||||||||||||||||||||||||
Contracts to Buy Protectionc | ||||||||||||||||||||||||||||||
Single Name | ||||||||||||||||||||||||||||||
Government of Russia | (1.00)% | Quarterly | 12/20/26 | 129,000 | $ | 60,447 | $ | 5,165 | $ | 55,282 | ||||||||||||||||||||
Government of South Africa | (1.00)% | Quarterly | 12/20/24 | 900,000 | 14,123 | 26,654 | (12,531) | |||||||||||||||||||||||
Government of South Africa | (1.00)% | Quarterly | 12/20/24 | 322,000 | 5,053 | 9,249 | (4,196) | |||||||||||||||||||||||
Traded Index | ||||||||||||||||||||||||||||||
CDX.NA.HY.34 | (5.00)% | Quarterly | 6/20/25 | 1,840,000 | (102,107) | – | (102,107) | |||||||||||||||||||||||
CDX.NA.HY.35 | (5.00)% | Quarterly | 12/22/25 | 1,030,000 | (62,301) | (97,850) | 35,549 | |||||||||||||||||||||||
CDX.NA.HY.37 | (5.00)% | Quarterly | 12/20/26 | 533,000 | (30,045) | (43,732) | 13,687 | |||||||||||||||||||||||
Contracts to Sell Protectionc,d | ||||||||||||||||||||||||||||||
Single Name | ||||||||||||||||||||||||||||||
Government of South Africa | 1.00% | Quarterly | 12/20/24 | 646,000 | (10,137) | (50,313) | 40,176 | BB- | ||||||||||||||||||||||
Government of South Africa | 1.00% | Quarterly | 12/20/24 | 184,000 | (2,887) | (5,367) | 2,480 | BB- | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Total Centrally Cleared Swap Contracts | $ | (127,854) | $ | (156,194) | $ | 28,340 | ||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
OTC Swap Contracts | ||||||||||||||||||||||||||||||
Contracts to Buy Protectionc | ||||||||||||||||||||||||||||||
Single Name | Counterparty | |||||||||||||||||||||||||||||
Air France-KLM | (5.00)% | Quarterly | JPHQ | 6/20/22 | 21,000 | EUR | (393) | (74) | (319) | |||||||||||||||||||||
Air France-KLM | (5.00)% | Quarterly | JPHQ | 6/20/22 | 7,000 | EUR | (131) | (54) | (77) | |||||||||||||||||||||
Air France-KLM | (5.00)% | Quarterly | JPHQ | 6/20/22 | 13,000 | EUR | (242) | (48) | (194) | |||||||||||||||||||||
Air France-KLM | (5.00)% | Quarterly | JPHQ | 6/20/22 | 13,000 | EUR | (243) | (46) | (197) | |||||||||||||||||||||
American Airlines Group Inc. | (5.00)% | Quarterly | BZWS | 12/20/23 | 15,000 | 347 | 374 | (27) | ||||||||||||||||||||||
American Airlines Group Inc. | (5.00)% | Quarterly | BZWS | 12/20/23 | 14,000 | 324 | 648 | (324) | ||||||||||||||||||||||
American Airlines Group Inc. | (5.00)% | Quarterly | BZWS | 12/20/23 | 66,000 | 1,529 | 2,610 | (1,081) | ||||||||||||||||||||||
American Airlines Group Inc. | (5.00)% | Quarterly | BZWS | 6/20/24 | 42,000 | 1,720 | 2,021 | (301) | ||||||||||||||||||||||
American Airlines Group Inc. | (5.00)% | Quarterly | BZWS | 6/20/26 | 200,000 | 19,303 | 9,094 | 10,209 | ||||||||||||||||||||||
American Airlines Group Inc. | (5.00)% | Quarterly | BZWS | 12/20/26 | 15,000 | 1,592 | 1,224 | 368 | ||||||||||||||||||||||
American Airlines Group Inc. | (5.00)% | Quarterly | BZWS | 12/20/26 | 24,000 | 2,548 | 3,652 | (1,104) | ||||||||||||||||||||||
American Airlines Group Inc. | (5.00)% | Quarterly | CITI | 6/20/26 | 28,000 | 2,702 | 2,513 | 189 | ||||||||||||||||||||||
American Airlines Group Inc. | (5.00)% | Quarterly | CITI | 6/20/26 | 34,000 | 3,281 | 2,827 | 454 | ||||||||||||||||||||||
American Airlines Group Inc. | (5.00)% | Quarterly | FBCO | 12/20/23 | 12,000 | 278 | 775 | (497) | ||||||||||||||||||||||
American Airlines Group Inc. | (5.00)% | Quarterly | FBCO | 12/20/26 | 20,000 | 2,123 | 1,632 | 491 | ||||||||||||||||||||||
American Airlines Group Inc. | (5.00)% | Quarterly | GSCO | 6/20/23 | 19,000 | 69 | 209 | (140) | ||||||||||||||||||||||
American Airlines Group Inc. | (5.00)% | Quarterly | GSCO | 6/20/23 | 19,000 | 69 | 282 | (213) | ||||||||||||||||||||||
American Airlines Group Inc. | (5.00)% | Quarterly | GSCO | 6/20/23 | 19,000 | 69 | 297 | (228) | ||||||||||||||||||||||
American Airlines Group Inc. | (5.00)% | Quarterly | GSCO | 12/20/23 | 33,000 | 765 | 890 | (125) | ||||||||||||||||||||||
American Airlines Group Inc. | (5.00)% | Quarterly | GSCO | 12/20/23 | 46,000 | 1,066 | 1,248 | (182) | ||||||||||||||||||||||
American Airlines Group Inc. | (5.00)% | Quarterly | JPHQ | 12/20/25 | 75,000 | 6,462 | 11,640 | (5,178) | ||||||||||||||||||||||
American Axle & | ||||||||||||||||||||||||||||||
Manufacturing Inc. | (5.00)% | Quarterly | BZWS | 12/20/26 | 96,000 | (3,963) | (2,670) | (1,293) | ||||||||||||||||||||||
American Axle & | ||||||||||||||||||||||||||||||
Manufacturing Inc. | (5.00)% | Quarterly | BZWS | 12/20/26 | 82,000 | (3,385) | (2,120) | (1,265) | ||||||||||||||||||||||
American Axle & | ||||||||||||||||||||||||||||||
Manufacturing Inc. | (5.00)% | Quarterly | BZWS | 12/20/26 | 46,000 | (1,899) | (1,662) | (237) | ||||||||||||||||||||||
American Axle & | ||||||||||||||||||||||||||||||
Manufacturing Inc. | (5.00)% | Quarterly | BZWS | 12/20/26 | 48,000 | (1,982) | (1,132) | (850) | ||||||||||||||||||||||
American Axle & | ||||||||||||||||||||||||||||||
Manufacturing Inc. | (5.00)% | Quarterly | BZWS | 12/20/26 | 48,000 | (1,508) | (1,036) | (472) |
95
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
Credit Default Swap Contracts (continued)
Description | Annual Payment Rate Received (Paid) | Payment Frequency | Counterparty | Maturity Date | Notional Amounta | Value | Unamortized Upfront Payments (Receipts) | Unrealized Appreciation (Depreciation) | Ratingb | |||||||||||||||||||||
| ||||||||||||||||||||||||||||||
OTC Swap Contracts (continued) | ||||||||||||||||||||||||||||||
Contracts to Buy Protectionc (continued) | ||||||||||||||||||||||||||||||
Single Name (continued) | ||||||||||||||||||||||||||||||
American Axle & Manufacturing Inc. | (5.00)% | Quarterly | BZWS | 12/20/26 | 36,000 | $ | (1,486) | $ | (887) | $ | (599) | |||||||||||||||||||
American Axle & Manufacturing Inc. | (5.00)% | Quarterly | BZWS | 12/20/26 | 29,000 | (1,197) | (807) | (390) | ||||||||||||||||||||||
American Axle & Manufacturing Inc. | (5.00)% | Quarterly | BZWS | 12/20/26 | 58,000 | (2,394) | (562) | (1,832) | ||||||||||||||||||||||
American Axle & Manufacturing Inc. | (5.00)% | Quarterly | CITI | 12/20/26 | 29,000 | (1,197) | (809) | (388) | ||||||||||||||||||||||
American Axle & Manufacturing Inc. | (5.00)% | Quarterly | GSCO | 12/20/26 | 48,000 | (1,981) | (1,337) | (644) | ||||||||||||||||||||||
American Axle & Manufacturing Inc. | (5.00)% | Quarterly | GSCO | 12/20/26 | 48,000 | (1,981) | (847) | (1,134) | ||||||||||||||||||||||
Campbell’s Soup Co. | (1.00)% | Quarterly | BZWS | 12/20/26 | 104,000 | (1,706) | (1,911) | 205 | ||||||||||||||||||||||
Campbell’s Soup Co. | (1.00)% | Quarterly | BZWS | 12/20/26 | 42,000 | (689) | (750) | 61 | ||||||||||||||||||||||
Campbell’s Soup Co. | (1.00)% | Quarterly | BZWS | 12/20/26 | 42,000 | (689) | (672) | (17) | ||||||||||||||||||||||
Campbell’s Soup Co. | (1.00)% | Quarterly | BZWS | 12/20/26 | 42,000 | (688) | (512) | (176) | ||||||||||||||||||||||
Conagra Brands | (1.00)% | Quarterly | BZWS | 12/20/26 | 41,000 | (375) | (485) | 110 | ||||||||||||||||||||||
Conagra Brands | (1.00)% | Quarterly | BZWS | 12/20/26 | 41,000 | (375) | (448) | 73 | ||||||||||||||||||||||
Conagra Brands | (1.00)% | Quarterly | BZWS | 12/20/26 | 41,000 | (375) | (221) | (154) | ||||||||||||||||||||||
Conagra Brands | (1.00)% | Quarterly | BZWS | 12/20/26 | 21,000 | (192) | (152) | (40) | ||||||||||||||||||||||
Conagra Brands | (1.00)% | Quarterly | GSCO | 12/20/26 | 128,000 | (1,171) | (690) | (481) | ||||||||||||||||||||||
Deutsche Lufthansa AG | (1.00)% | Quarterly | MSCS | 12/20/26 | 100,000 | EUR | 8,599 | 8,729 | (130) | |||||||||||||||||||||
Dow Inc. | (1.00)% | Quarterly | BZWS | 12/20/26 | 41,000 | (463) | (485) | 22 | ||||||||||||||||||||||
Dow Inc. | (1.00)% | Quarterly | JPHQ | 12/20/26 | 64,000 | (724) | (577) | (147) | ||||||||||||||||||||||
Dow Inc. | (1.00)% | Quarterly | JPHQ | 12/20/26 | 42,000 | (475) | (322) | (153) | ||||||||||||||||||||||
GE Capital Funding LLC | (1.00)% | Quarterly | JPHQ | 12/20/26 | 145,000 | (1,308) | (1,340) | 32 | ||||||||||||||||||||||
Government of Brazil | (1.00)% | Quarterly | BZWS | 12/20/26 | 182,000 | 9,588 | 8,044 | 1,544 | ||||||||||||||||||||||
Government of Italy | (1.00)% | Quarterly | BOFA | 6/20/24 | 233,000 | (2,847) | 1,127 | (3,974) | ||||||||||||||||||||||
Government of Italy | (1.00)% | Quarterly | BOFA | 6/20/24 | 140,000 | (1,711) | 1,520 | (3,231) | ||||||||||||||||||||||
Government of Turkey | (1.00)% | Quarterly | BZWS | 12/20/23 | 186,000 | 13,347 | 10,948 | 2,399 | ||||||||||||||||||||||
Intrum Justitia | (5.00)% | Quarterly | GSCO | 12/20/26 | 100,000 | EUR | (3,892) | (3,677) | (215) | |||||||||||||||||||||
Itochu Corp | (1.00)% | Quarterly | GSCO | 6/20/22 | 12,107,000 | JPY | (517) | (220) | (297) | |||||||||||||||||||||
JFE Holdings Inc. | (1.00)% | Quarterly | GSCO | 6/20/22 | 5,348,000 | JPY | (222) | (100) | (122) | |||||||||||||||||||||
K. Hovnanian Enterprises Inc. | (5.00)% | Quarterly | BZWS | 12/20/26 | 66,000 | 5,576 | 4,183 | 1,393 | ||||||||||||||||||||||
Kohl’s Corp. | (1.00)% | Quarterly | GSCO | 6/20/26 | 41,000 | 3,273 | 721 | 2,552 | ||||||||||||||||||||||
Macy’s Retail Holdings LLC | (1.00)% | Quarterly | BZWS | 12/20/26 | 19,000 | 1,402 | 1,726 | (324) | ||||||||||||||||||||||
Macy’s Retail Holdings LLC | (1.00)% | Quarterly | CITI | 12/20/26 | 41,000 | 3,027 | 3,725 | (698) | ||||||||||||||||||||||
Macy’s Retail Holdings LLC | (1.00)% | Quarterly | MSCS | 12/20/26 | 22,000 | 1,624 | 1,278 | 346 | ||||||||||||||||||||||
Marubeni Corp. | (1.00)% | Quarterly | CITI | 6/20/25 | 3,711,000 | JPY | (855) | 720 | (1,575) | |||||||||||||||||||||
Marubeni Corp. | (1.00)% | Quarterly | GSCO | 6/20/22 | 18,860,000 | JPY | (800) | (284) | (516) | |||||||||||||||||||||
MBIA Inc. | (5.00)% | Quarterly | BZWS | 6/20/22 | 23,000 | (509) | (83) | (426) | ||||||||||||||||||||||
MBIA Inc. | (5.00)% | Quarterly | CITI | 6/20/22 | 36,000 | (796) | (359) | (437) | ||||||||||||||||||||||
MBIA Inc. | (5.00)% | Quarterly | GSCO | 6/20/22 | 21,000 | (465) | (166) | (299) | ||||||||||||||||||||||
Mitsui O.S.K. Lines Ltd. | (1.00)% | Quarterly | JPHQ | 6/20/22 | 3,878,000 | JPY | (151) | (18) | (133) | |||||||||||||||||||||
Mitsui O.S.K. Lines Ltd. | (1.00)% | Quarterly | JPHQ | 6/20/22 | 3,618,000 | JPY | (142) | (17) | (125) | |||||||||||||||||||||
Simon Property Group LP | (1.00)% | Quarterly | BZWS | 12/20/26 | 52,000 | (514) | (790) | 276 | ||||||||||||||||||||||
Softbank Group Corp. | (1.00)% | Quarterly | BZWS | 12/20/26 | 33,600,000 | JPY | 32,207 | 19,800 | 12,407 | |||||||||||||||||||||
Stena AB | (5.00)% | Quarterly | GSCO | 12/20/24 | 92,000 | EUR | (4,587) | (5,086) | 499 | |||||||||||||||||||||
TDC A/S | (1.00)% | Quarterly | BNPP | 12/20/26 | 20,000 | EUR | 893 | 717 | 176 | |||||||||||||||||||||
TDC A/S | (1.00)% | Quarterly | BNPP | 12/20/26 | 20,000 | EUR | 893 | 892 | 1 | |||||||||||||||||||||
TDC A/S | (1.00)% | Quarterly | BNPP | 12/20/26 | 20,000 | EUR | 893 | 892 | 1 | |||||||||||||||||||||
Telecom Italia | (1.00)% | Quarterly | BZWS | 12/20/26 | 41,000 | EUR | 3,791 | 3,043 | 748 | |||||||||||||||||||||
Telecom Italia | (1.00)% | Quarterly | JPHQ | 12/20/26 | 20,000 | EUR | 1,850 | 1,489 | 361 | |||||||||||||||||||||
Telecom Italia | (1.00)% | Quarterly | JPHQ | 12/20/26 | 22,000 | EUR | 2,034 | 1,689 | 345 |
96
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
Credit Default Swap Contracts (continued)
Description | Annual Payment Rate Received (Paid) | Payment Frequency | Counterparty | Maturity Date | Notional Amounta | Value | Unamortized Upfront Payments (Receipts) | Unrealized Appreciation (Depreciation) | Ratingb | |||||||||||||||||||||
| ||||||||||||||||||||||||||||||
OTC Swap Contracts (continued) |
| |||||||||||||||||||||||||||||
Contracts to Buy Protectionc (continued) | ||||||||||||||||||||||||||||||
Single Name (continued) |
| |||||||||||||||||||||||||||||
Telecom Italia | (1.00)% | Quarterly | JPHQ | 12/20/26 | 36,000 | EUR | $ | 3,328 | $ | 2,796 | $ | 532 | ||||||||||||||||||
UniCredit SpA | (1.00)% | Quarterly | BNPP | 12/20/26 | 60,000 | EUR | (274) | 4,042 | (4,316) | |||||||||||||||||||||
Contracts to Sell Protectionc,d | ||||||||||||||||||||||||||||||
Single Name |
| |||||||||||||||||||||||||||||
Euro Garage Ltd. | 5.00% | Quarterly | GSCO | 12/20/26 | 16,000 | EUR | 811 | 791 | 20 | B- | ||||||||||||||||||||
Kohl’s Corp. | 1.00% | Quarterly | JPHQ | 6/20/26 | 41,000 | (3,273) | (3,188) | (85) | BBB- | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Total OTC Swap Contracts | $ | 82,616 | $ | 84,164 | $ | (1,548) | ||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Total Credit Default Swap Contracts | $ | (45,238) | $ | (72,030) | $ | 26,792 | ||||||||||||||||||||||||
|
|
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 28, 2022, the Fund had the following interest rate swap contracts outstanding. See Note 3.
Interest Rate Swap Contracts
Description | Payment Frequency | Maturity Date | Notional Amount* | Value/Unrealized Appreciation (Depreciation) | ||||||||||||||||
| ||||||||||||||||||||
Centrally Cleared Swap Contracts | ||||||||||||||||||||
Receive Floating rate 3 Month USD-LIBOR | Quarterly | 3/18/22 | 1,100,000 | $ | 662 | |||||||||||||||
Receive Fixed 11.40% Pay Floating BZDIOVRA Index | Annually | 1/02/24 | 8,967,657 | BRL | (12,104) | |||||||||||||||
Receive Fixed 11.94% | Annually | 1/02/24 | 6,508,354 | BRL | 389 | |||||||||||||||
Receive Floating rate 6 Month-PRIBOR | Semi-Annually | 3/16/25 | 29,124,324 | CZK | 1,761 | |||||||||||||||
Receive Fixed 2.28% | Quarterly | 3/16/27 | 2,697,624 | CNY | (2,437) | |||||||||||||||
Receive Fixed 2.28% | Quarterly | 3/16/27 | 2,697,624 | CNY | (3,208) | |||||||||||||||
Receive Floating rate 6 Month-WIBOR | Annually | 3/16/27 | 4,524,028 | PLN | 56,913 | |||||||||||||||
Receive IN00O/N Index | Semi-Annually | 6/15/27 | 44,016,065 | INR | (331) | |||||||||||||||
Receive Floating rate 3 Month USD-LIBOR | Quarterly | 6/20/28 | 1,100,000 | (101,604) | ||||||||||||||||
|
| |||||||||||||||||||
Total Interest Rate Swap Contracts |
| $ | (59,959) | |||||||||||||||||
|
|
*In U.S. dollars unless otherwise indicated.
97
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
At February 28, 2022, the Fund had the following total return swap contracts outstanding. See Note 3.
Total Return Swap Contracts
Underlying Instrument | Financing Rate | Payment Frequency | Counter- party | Maturity Date | Notional Value | Value/Unrealized Appreciation (Depreciation) | ||||||||||||||||||
| ||||||||||||||||||||||||
OTC Swap Contracts | ||||||||||||||||||||||||
Equity Contracts - Longa | ||||||||||||||||||||||||
Clearway Energy Inc. | 1-Month LIBOR + 0.40% | Monthly | GSCO | 4/20/22 | $ | 128,357 | $ | 3,978 | ||||||||||||||||
Clearway Energy Inc. | 1-Month LIBOR + 0.40% | Monthly | BZWS | 5/16/22 | 7,886 | 153 | ||||||||||||||||||
Clearway Energy Inc. | 1-Month LIBOR + 0.35% | Monthly | JPHQ | 1/20/23 | 25,941 | 806 | ||||||||||||||||||
Energy Transfer LP | 1-Month LIBOR + 0.90% | Monthly | GSCO | 10/03/22 | 91,549 | 5,938 | ||||||||||||||||||
Energy Transfer LP | 1-Month LIBOR + 0.50% | Monthly | CITI | 10/18/22 | 34,265 | 79 | ||||||||||||||||||
Energy Transfer LP | 1-Month LIBOR + 0.90% | Monthly | GSCO | 1/13/23 | 58,363 | 3,803 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total - Total Return Swap Contracts | $ | 14,757 | ||||||||||||||||||||||
|
|
aThe Fund receives the total return on the underlying instrument and pays a variable financing rate.
Abbreviations
Counterparty | Currency | Selected Portfolio | ||||||||||
| ||||||||||||
BNPP | BNP Paribas | BRL | Brazilian Real | ARM | Adjustable Rate Mortgage | |||||||
BOFA | Bank of America Corp. | CHF | Swiss Franc | BZDIOVRA | Brazil Interbank Deposit Rate | |||||||
BZWS | Barclays Bank PLC | CNY | Chinese Yuan | CAC | Cotation Assistee en Continu | |||||||
CITI | Citigroup, Inc. | CZK | Czech Koruna | CLO | Collateralized Loan Obligation | |||||||
FBCO | Credit Suisse Group AG | EGP | Egyptian Pound | CNRR007 | China 7-Day Reverse Repo Rate | |||||||
GSCO | The Goldman Sachs Group, Inc. | EUR | Euro | EMTN | Euro Medium Term Note | |||||||
JPHQ | JP Morgan Chase & Co. | GBP | British Pound | ETF | Exchange Traded Fund | |||||||
MSCS | Morgan Stanley Capital Services LLC | INR | Indian Rupee | FHLMC | Federal Home Loan Mortgage Corp. | |||||||
JPY | Japanese Yen | FNMA | Federal National Mortgage Association | |||||||||
PLN | Polish Zloty | FRN | Floating Rate Note | |||||||||
RUB | Russian Ruble | LIBOR | London InterBank Offered Rate | |||||||||
USD | United States Dollar | PIK | Payment In-Kind | |||||||||
ZAR | South African Rand | PRIBOR | Prague Interbank Offered Rate | |||||||||
REIT | Real Estate Investment Trust | |||||||||||
SFR | Single Family Revenue | |||||||||||
SOFR | Secured Overnight Financing Rate | |||||||||||
Index | SPDR | Standard & Poor’s Depositary Receipt | ||||||||||
| ||||||||||||
CDX.NA.HY | CDX North America High Yield Index | WIBOR | Warsaw Interbank Offered Rate |
98
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 employ 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. Events can 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, an independent pricing service may be used to adjust the value of the Funds’ portfolio securities to the latest indications of fair value at 4 p.m. Eastern time. At February 28, 2022, certain securities may have been fair valued using these procedures, in which case the securities were categorized as Level 2 inputs within the fair value hierarchy (referred to as “market level fair value”). See the Fair Value Measurements note for more information.
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
99
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 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.
Certain or all Funds entered into exchange traded futures contracts primarily to manage and/or gain exposure to commodity price, interest rate, equity price and foreign exchange rate 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.
100
Certain or all Funds entered into OTC total return swap contracts primarily to manage and/or gain exposure to interest rate, equity 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 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. Novel Coronavirus Pandemic
The global outbreak of the novel coronavirus disease, known as COVID-19, has caused adverse effects on many companies, sectors, nations, regions and the markets in general, and may continue for an unpredictable duration. 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.
5. 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 28, 2022, investments in restricted securities, excluding securities exempt from registration under the 1933 Act, were as follows:
Shares | Issuer | Acquisition Date | Cost | Value | ||||||||||
Franklin K2 Long Short Credit Fund |
| |||||||||||||
923 | Acosta Inc. | 12/31/19 | $ | 8,144 | $ | 7,476 | ||||||||
993 | Acosta Inc., cvt. pfd. | 12/31/19-1/05/22 | 50,262 | 46,174 | ||||||||||
|
| |||||||||||||
Total Restricted Securities (Value is 0.1% of Net Assets) | $ | 58,406 | $ | 53,650 | ||||||||||
|
|
6. 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 28, 2022, unfunded commitments were as follows:
Borrower | Unfunded Commitment | |||
Franklin K2 Alternative Strategies Fund | ||||
Upfield Group BV, Term Loan RC | $ | 726,041 | ||
|
| |||
Franklin K2 Long Short Credit Fund | ||||
Upfield Group BV, Term Loan RC | $ | 214,532 | ||
|
|
7. Investments in Affiliated Management Investment Companies
Certain or all Funds invest in one or more affiliated management investment companies. As defined in the 1940 Act, an investment is deemed to be a “Controlled Affiliate” of a fund when a fund owns, either directly or indirectly, 25% or more of the affiliated fund’s outstanding shares or has the power to exercise control over management or policies of such fund. The Funds do not invest for purposes of exercising a controlling influence over
101
the management or policies. During the period ended February 28, 2022, investments in affiliated management investment companies were as follows:
Value at Beginning of Period | Purchases | Sales | Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation) | Value at End of Period | Number of Shares Held at End of Period | Income from Securities Loaned | |||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
Franklin K2 Alternative Strategies Fund |
| |||||||||||||||||||||||||||||||
Non-Controlled Affiliates |
| |||||||||||||||||||||||||||||||
Institutional Fiduciary Trust Money Market Portfolio, 0.01% | $ | 3,305,000 | $ | 54,766,000 | $ | (48,044,000) | $- | $- | $ | 10,027,000 | 10,027,000 | $ | 385 | |||||||||||||||||||
|
|
8. 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 28, 2022, 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 28, 2022, the Fund’s investments in the K2 Subsidiary were as follows:
Fund Name | Subsidiary Namea | Consolidated Net Assets | Subsidiary Net Assets | % of Consolidated Net Assets | ||||||||||
| ||||||||||||||
Franklin K2 Alternative Strategies Fund | K2 Holdings Investment Corp. | $1,356,256,352 | $20,160,913 | 1.5% |
a The Fund’s investments in the K2 Subsidiary is limited to 25% of consolidated assets.
9. 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 28, 2022, 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 | $ | 469,099,125 | $ | 86,596,013 | $ | 101,248 | $ | 555,796,386 | ||||||||||||||||
Convertible Bonds | – | 204,581,528 | – | 204,581,528 | ||||||||||||||||||||
Corporate Bonds and Notes | – | 155,392,950 | 23,978 | 155,416,928 | ||||||||||||||||||||
Corporate Bonds and Notes in Reorganization | – | 2,607,491 | – | c | 2,607,491 | |||||||||||||||||||
Senior Floating Rate Interests | – | 3,414,188 | – | 3,414,188 | ||||||||||||||||||||
Credit-Linked Notes | – | 4,979,609 | – | 4,979,609 | ||||||||||||||||||||
Foreign Government and Agency Securities | – | 60,931,879 | – | 60,931,879 | ||||||||||||||||||||
U.S. Government and Agency Securities | – | 725,402 | – | 725,402 | ||||||||||||||||||||
Asset-Backed Securities and Commercial Mortgage-Backed Securities | – | 95,532,475 | – | 95,532,475 | ||||||||||||||||||||
Municipal Bonds in Reorganization | – | 4,245,933 | – | 4,245,933 | ||||||||||||||||||||
Options Purchased | 2,125,143 | 440,362 | – | 2,565,505 | ||||||||||||||||||||
Short Term Investments | 169,023,354 | 15,897,441 | – | 184,920,795 | ||||||||||||||||||||
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Total Investments in Securities | $ | 640,247,622 | $ | 635,345,271 | d | $ | 125,226 | $ | 1,275,718,119 | |||||||||||||||
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Other Financial Instruments: | ||||||||||||||||||||||||
Futures Contracts | $ | 5,398,747 | $ | – | $ | – | $ | 5,398,747 | ||||||||||||||||
Forward Exchange Contracts | – | 7,035,168 | – | 7,035,168 | ||||||||||||||||||||
Swap Contracts | – | 7,294,937 | – | 7,294,937 | ||||||||||||||||||||
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Total Other Financial Instruments | $ | 5,398,747 | $ | 14,330,105 | $ | – | $ | 19,728,852 | ||||||||||||||||
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Liabilities: | ||||||||||||||||||||||||
Other Financial Instruments: | ||||||||||||||||||||||||
Options Written | $ | 420,653 | $ | 217,356 | $ | – | $ | 638,009 | ||||||||||||||||
Securities Sold Shorta | 213,812,944 | 17,307,316 | e | – | 231,120,260 |
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Futures Contracts | 1,362,701 | – | – | 1,362,701 | ||||||||||||||||||||
Forward Exchange Contracts | – | 6,318,562 | – | 6,318,562 | ||||||||||||||||||||
Swap Contracts | – | 6,177,727 | – | 6,177,727 | ||||||||||||||||||||
Unfunded Loan Commitments | – | 65,932 | – | 65,932 | ||||||||||||||||||||
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| |||||||||||||
Total Other Financial Instruments | $ | 215,596,298 | $ | 30,086,893 | $ | – | $ | 245,683,191 | ||||||||||||||||
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Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||
Franklin K2 Long Short Credit Fund | ||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Investments in Securities:a | ||||||||||||||||||||||||
Equity Investmentsb | $ | 2,208,267 | $ | 201,726 | $ | 74,520 | $ | 2,484,513 | ||||||||||||||||
Convertible Bonds | – | 2,210,852 | – | 2,210,852 | ||||||||||||||||||||
Corporate Bonds and Notes | – | 24,972,892 | – | 24,972,892 | ||||||||||||||||||||
Senior Floating Rate Interests | – | 599,185 | – | 599,185 | ||||||||||||||||||||
Credit-Linked Notes | – | 740,802 | – | 740,802 | ||||||||||||||||||||
Foreign Government and Agency Securities | – | 8,895,867 | – | 8,895,867 | ||||||||||||||||||||
U.S. Government and Agency Securities | – | 303,725 | – | 303,725 | ||||||||||||||||||||
Asset-Backed Securities and Commercial Mortgage-Backed Securities | – | 32,333,602 | – | 32,333,602 | ||||||||||||||||||||
Municipal Bonds in Reorganization | – | 1,384,494 | – | 1,384,494 | ||||||||||||||||||||
Options Purchased | 94,598 | 74,534 | – | 169,132 | ||||||||||||||||||||
Short Term Investments | 17,685,104 | 1,957,103 | – | 19,642,207 | ||||||||||||||||||||
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| |||||||||||||
Total Investments in Securities | $ | 19,987,969 | $ | 73,674,782 | f | $ | 74,520 | $ | 93,737,271 | |||||||||||||||
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| |||||||||||||
Other Financial Instruments: | ||||||||||||||||||||||||
Futures Contracts | $ | 28,197 | $ | – | $ | – | $ | 28,197 | ||||||||||||||||
Forward Exchange Contracts | – | 407,447 | – | 407,447 | ||||||||||||||||||||
Swap Contracts | – | 257,470 | – | 257,470 | ||||||||||||||||||||
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| |||||||||||||
Total Other Financial Instruments | $ | 28,197 | $ | 664,917 | $ | – | $ | 693,114 | ||||||||||||||||
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| |||||||||||||
Liabilities: | ||||||||||||||||||||||||
Other Financial Instruments: | ||||||||||||||||||||||||
Options Written | $ | 280 | $ | 69,060 | $ | – | $ | 69,340 | ||||||||||||||||
Securities Sold Shorta | 66,838 | 4,539,467 | – | 4,606,305 | ||||||||||||||||||||
Futures Contracts | 1,985 | – | – | 1,985 | ||||||||||||||||||||
Forward Exchange Contracts | – | 422,115 | – | 422,115 | ||||||||||||||||||||
Swap Contracts | – | 275,880 | – | 275,880 | ||||||||||||||||||||
Unfunded Loan Commitments | – | 19,482 | – | 19,482 | ||||||||||||||||||||
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| |||||||||||||
Total Other Financial Instruments | $ | 69,103 | $ | 5,326,004 | $ | – | $ | 5,395,107 | ||||||||||||||||
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a | For detailed categories, see the accompanying (Consolidated) Statements of Investments. |
b | Includes common, preferred and convertible preferred stocks as well as other equity interests. |
c | Includes securities determined to have no value at February 28, 2022. |
d | Includes foreign securities valued at $84,602,545, which were categorized as Level 2 as a result of the application of market level fair value procedures. See the Financial Instrument Valuation note for more information. |
e | Includes foreign securities valued at $3,890,736, which were categorized as Level 2 as a result of the application of market level fair value procedures. See the Financial Instrument Valuation note for more information. |
f | Includes foreign securities valued at $116,535, which were categorized as Level 2 as a result of the application of market level fair value procedures. See the Financial Instrument Valuation note for more information. |
A reconciliation in which Level 3 inputs are used in determining fair value is presented when there are significant Level 3 assets and/or liabilities at the beginning and/or end of the period.
10. 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.
For additional information on the Funds’ significant accounting policies, please refer to the Funds’ most recent semiannual or annual shareholder report.
103