FRANKLIN ETF TRUST
Schedule of Investments, December 31, 2022 (unaudited)
Franklin Short Duration U.S. Government ETF
| | | | | | | | |
| | | Principal Amount | | Value | |
| | |
U.S. Government and Agency Securities 39.5% | | | | | | | | |
Dragon 2012 LLC, secured bond, 1.972%, 3/12/24 | | $ | 11,816 | | | $ | 11,570 | |
Export-Import Bank of the U.S., | | | | | | | | |
senior secured note, 1.90%, 7/12/24 | | | 962,236 | | | | 939,163 | |
secured note, 2.628%, 11/12/26 | | | 1,103,711 | | | | 1,048,796 | |
aKE Export Leasing LLC, 2013-A, secured note, FRN, 4.966%, (3-Month USD LIBOR + 0.23%), 2/28/25 | | | 399,549 | | | | 398,229 | |
MSN 41079 and 41084 Ltd., 1.631%, 12/14/24 | | | 909,495 | | | | 877,518 | |
Petroleos Mexicanos, 2.378%, 4/15/25 | | | 350,000 | | | | 338,393 | |
Reliance Industries Ltd., | | | | | | | | |
2.512%, 1/15/26 | | | 656,250 | | | | 630,250 | |
senior secured note, 2.06%, 1/15/26 | | | 875,000 | | | | 835,366 | |
U.S. International Development Finance Corp., | | | | | | | | |
2.12%, 3/20/24 | | | 550,000 | | | | 540,862 | |
4.01%, 5/15/30 | | | 1,295,000 | | | | 1,265,366 | |
U.S. Treasury Note, | | | | | | | | |
0.375%, 4/15/24 | | | 7,400,000 | | | | 7,003,406 | |
0.875%, 1/31/24 | | | 4,800,000 | | | | 4,607,812 | |
1.25%, 8/31/24 | | | 12,000,000 | | | | 11,362,031 | |
1.50%, 9/30/24 | | | 14,200,000 | | | | 13,486,117 | |
1.75%, 6/30/24 | | | 5,300,000 | | | | 5,079,719 | |
2.75%, 5/15/25 | | | 5,000,000 | | | | 4,822,266 | |
3.00%, 6/30/24 | | | 23,000,000 | | | | 22,451,953 | |
3.25%, 8/31/24 | | | 5,000,000 | | | | 4,896,289 | |
Ulani MSN 37894, senior bond, 2.184%, 12/20/24 | | | 695,653 | | | | 674,347 | |
| | | | | | | | |
Total U.S. Government and Agency Securities (Cost $84,344,861) | | | | 81,269,453 | |
| | | | | | | | |
| | |
Mortgage-Backed Securities 71.1% | | | | | | | | |
bFederal Home Loan Mortgage Corp. (FHLMC) Adjustable Rate 36.1% | | | | | | | | |
FHLMC, 1.802%, (12-Month USD LIBOR +/- MBS Margin), 3/01/35 | | | 102,529 | | | | 101,510 | |
FHLMC, 1.966%, (12-Month USD LIBOR +/- MBS Margin), 4/01/36 | | | 45,165 | | | | 45,034 | |
FHLMC, 2.397%, (12-Month USD LIBOR +/- MBS Margin), 1/01/37 | | | 7,075 | | | | 7,105 | |
FHLMC, 2.424%, (12-Month USD LIBOR +/- MBS Margin), 3/01/35 | | | 113,944 | | | | 113,105 | |
FHLMC, 2.487%, (US 1 Year CMT T-Note +/- MBS Margin), 2/01/36 | | | 23,668 | | | | 23,950 | |
FHLMC, 2.625%, (US 1 Year CMT T-Note +/- MBS Margin), 2/01/35 | | | 17,192 | | | | 17,378 | |
FHLMC, 2.697%, (12-Month USD LIBOR +/- MBS Margin), 1/01/38 | | | 18,713 | | | | 18,830 | |
FHLMC, 2.721%, (12-Month USD LIBOR +/- MBS Margin), 12/01/36 | | | 25,034 | | | | 25,198 | |
FHLMC, 2.767%, (US 1 Year CMT T-Note +/- MBS Margin), 10/01/38 | | | 51,864 | | | | 50,498 | |
FHLMC, 2.799%, (US 1 Year CMT T-Note +/- MBS Margin), 6/01/37 | | | 54,155 | | | | 52,658 | |
FHLMC, 2.823%, (12-Month USD LIBOR +/- MBS Margin), 12/01/35 | | | 80,623 | | | | 80,347 | |
FHLMC, 2.825%, (12-Month USD LIBOR +/- MBS Margin), 4/01/34 | | | 3,372 | | | | 3,310 | |
FHLMC, 2.844%, (12-Month USD LIBOR +/- MBS Margin), 3/01/35 | | | 26,820 | | | | 27,016 | |
FHLMC, 2.938%, (12-Month USD LIBOR +/- MBS Margin), 6/01/37 | | | 34,990 | | | | 34,610 | |
FHLMC, 2.993%, (12-Month USD LIBOR +/- MBS Margin), 11/01/42 | | | 286,678 | | | | 288,811 | |
FHLMC, 3.019%, (12-Month USD LIBOR +/- MBS Margin), 1/01/37 | | | 1,706 | | | | 1,683 | |
FHLMC, 3.08%, (US 1 Year CMT T-Note +/- MBS Margin), 6/01/34 | | | 15,891 | | | | 15,813 | |
FHLMC, 3.126%, (12-Month USD LIBOR +/- MBS Margin), 9/01/37 | | | 386,211 | | | | 390,201 | |
FHLMC, 3.13%, (US 1 Year CMT T-Note +/- MBS Margin), 11/01/36 | | | 8,287 | | | | 8,411 | |
FHLMC, 3.145%, (6-Month USD LIBOR +/- MBS Margin), 1/01/26 | | | 77 | | | | 77 | |
FHLMC, 3.213%, (12-Month USD LIBOR +/- MBS Margin), 4/01/37 | | | 22,486 | | | | 22,078 | |
FHLMC, 3.218%, (12-Month USD LIBOR +/- MBS Margin), 8/01/34 | | | 91,592 | | | | 91,905 | |
FHLMC, 3.284%, (US 1 Year CMT T-Note +/- MBS Margin), 1/01/36 | | | 7,845 | | | | 7,982 | |
| | |
| franklintempleton.com | | Quarterly Schedule of Investments | See Notes to the Schedule of Investments. |
FRANKLIN ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Short Duration U.S. Government ETF (continued)
| | | | | | | | |
| | | Principal Amount | | Value | |
| | |
Mortgage-Backed Securities (continued) | | | | | | | | |
bFederal Home Loan Mortgage Corp. (FHLMC) Adjustable Rate (continued) | | | | | |
FHLMC, 3.291%, (12-Month USD LIBOR +/- MBS Margin), 9/01/36 | | $ | 11,391 | | | $ | 11,215 | |
FHLMC, 3.308%, (US 1 Year CMT T-Note +/- MBS Margin), 1/01/38 | | | 451,023 | | | | 456,791 | |
FHLMC, 3.34%, (12-Month USD LIBOR +/- MBS Margin), 5/01/35 | | | 1,929 | | | | 1,900 | |
FHLMC, 3.358%, (12-Month USD LIBOR +/- MBS Margin), 5/01/42 | | | 353,116 | | | | 356,712 | |
FHLMC, 3.438%, (12-Month USD LIBOR +/- MBS Margin), 3/01/36 | | | 4,996 | | | | 4,983 | |
FHLMC, 3.443%, (12-Month USD LIBOR +/- MBS Margin), 2/01/36 | | | 26,402 | | | | 26,087 | |
FHLMC, 3.452%, (12-Month USD LIBOR +/- MBS Margin), 5/01/36 | | | 8,492 | | | | 8,322 | |
FHLMC, 3.487%, (12-Month USD LIBOR +/- MBS Margin), 6/01/37 | | | 593 | | | | 579 | |
FHLMC, 3.492%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/29 | | | 89,740 | | | | 87,567 | |
FHLMC, 3.515%, (12-Month USD LIBOR +/- MBS Margin), 9/01/35 | | | 84,600 | | | | 83,482 | |
FHLMC, 3.52%, (12-Month USD LIBOR +/- MBS Margin), 5/01/35 | | | 146,286 | | | | 147,893 | |
FHLMC, 3.548%, (12-Month USD LIBOR +/- MBS Margin), 1/01/42 | | | 52,660 | | | | 53,273 | |
FHLMC, 3.57%, (12-Month USD LIBOR +/- MBS Margin), 7/01/35 | | | 4,712 | | | | 4,712 | |
FHLMC, 3.597%, (12-Month USD LIBOR +/- MBS Margin), 10/01/36 | | | 8,482 | | | | 8,527 | |
FHLMC, 3.649%, (12-Month USD LIBOR +/- MBS Margin), 1/01/36 | | | 6,049 | | | | 6,108 | |
FHLMC, 3.653%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/36 | | | 996,030 | | | | 1,016,166 | |
FHLMC, 3.656%, (12-Month USD LIBOR +/- MBS Margin), 7/01/43 | | | 1,052,163 | | | | 1,064,688 | |
FHLMC, 3.675%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/33 | | | 24,579 | | | | 24,802 | |
FHLMC, 3.693%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/35 | �� | | 223,506 | | | | 226,905 | |
FHLMC, 3.71%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/29 | | | 19,525 | | | | 19,184 | |
FHLMC, 3.716%, (US 1 Year CMT T-Note +/- MBS Margin), 1/01/37 | | | 18,301 | | | | 17,898 | |
FHLMC, 3.729%, (US 1 Year CMT T-Note +/- MBS Margin), 5/01/36 | | | 736,506 | | | | 750,571 | |
FHLMC, 3.764%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/37 | | | 28,077 | | | | 28,281 | |
FHLMC, 3.769%, (12-Month USD LIBOR +/- MBS Margin), 3/01/36 | | | 167,382 | | | | 169,508 | |
FHLMC, 3.77%, (6-Month USD LIBOR +/- MBS Margin), 9/01/30 | | | 770 | | | | 754 | |
FHLMC, 3.834%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/27 | | | 76 | | | | 75 | |
FHLMC, 3.847%, (12-Month USD LIBOR +/- MBS Margin), 1/01/36 | | | 4,525 | | | | 4,528 | |
FHLMC, 3.881%, (12-Month USD LIBOR +/- MBS Margin), 9/01/36 | | | 701 | | | | 708 | |
FHLMC, 3.925%, (SOFR +/- MBS Margin), 12/25/30 | | | 1,496,431 | | | | 1,441,839 | |
FHLMC, 3.932%, (US 1 Year CMT T-Note +/- MBS Margin), 1/01/29 | | | 2,549 | | | | 2,498 | |
FHLMC, 3.955%, (SOFR +/- MBS Margin), 4/25/31 | | | 1,379,223 | | | | 1,334,403 | |
FHLMC, 3.959%, (12-Month USD LIBOR +/- MBS Margin), 9/01/36 | | | 30,103 | | | | 30,688 | |
FHLMC, 3.965%, (12-Month USD LIBOR +/- MBS Margin), 1/01/36 | | | 11,247 | | | | 11,127 | |
FHLMC, 3.967%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/36 | | | 23,274 | | | | 23,817 | |
FHLMC, 3.97%, (US 1 Year CMT T-Note +/- MBS Margin), 3/01/35 | | | 8,185 | | | | 8,339 | |
FHLMC, 3.975%, (US 1 Year CMT T-Note +/- MBS Margin), 8/01/33 | | | 15,727 | | | | 15,400 | |
FHLMC, 3.987%, (US 1 Year CMT T-Note +/- MBS Margin), 1/01/35 | | | 5,787 | | | | 5,878 | |
FHLMC, 3.988%, (US 1 Year CMT T-Note +/- MBS Margin), 10/01/29 | | | 3,492 | | | | 3,428 | |
FHLMC, 4.007%, (12-Month USD LIBOR +/- MBS Margin), 9/01/36 | | | 3,933 | | | | 3,948 | |
FHLMC, 4.015%, (SOFR +/- MBS Margin), 1/25/29 | | | 3,000,000 | | | | 2,941,387 | |
FHLMC, 4.084%, (US 1 Year CMT T-Note +/- MBS Margin), 12/01/35 | | | 145,100 | | | | 148,624 | |
FHLMC, 4.111%, (12-Month USD LIBOR +/- MBS Margin), 8/01/36 | | | 1,190 | | | | 1,193 | |
FHLMC, 4.183%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/34 | | | 90,003 | | | | 91,915 | |
FHLMC, 4.185%, (US 1 Year CMT T-Note +/- MBS Margin), 1/01/28 | | | 387 | | | | 380 | |
FHLMC, 4.194%, (SOFR +/- MBS Margin), 1/25/29 | | | 808,276 | | | | 793,174 | |
FHLMC, 4.25%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/34 | | | 5,290 | | | | 5,207 | |
FHLMC, 4.274%, (SOFR +/- MBS Margin), 1/25/32 | | | 2,977,135 | | | | 2,901,382 | |
FHLMC, 4.281%, (US 1 Year CMT T-Note +/- MBS Margin), 4/01/29 | | | 273 | | | | 270 | |
FHLMC, 4.305%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/30 | | | 9 | | | | 9 | |
FHLMC, 4.312%, (1-Month USD LIBOR +/- MBS Margin), 12/25/30 | | | 612,741 | | | | 591,629 | |
FHLMC, 4.314%, (SOFR +/- MBS Margin), 5/25/29 | | | 3,000,000 | | | | 2,951,896 | |
FHLMC, 4.321%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/33 | | | 2,290 | | | | 2,319 | |
FHLMC, 4.322%, (US 1 Year CMT T-Note +/- MBS Margin), 10/01/35 | | | 58,807 | | | | 60,078 | |
| | |
| franklintempleton.com | | Quarterly Schedule of Investments | See Notes to the Schedule of Investments. |
FRANKLIN ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Short Duration U.S. Government ETF (continued)
| | | | | | | | |
| | | Principal Amount | | Value | |
| | |
Mortgage-Backed Securities (continued) | | | | | | | | |
bFederal Home Loan Mortgage Corp. (FHLMC) Adjustable Rate (continued) | | | | | |
FHLMC, 4.332%, (1-Month USD LIBOR +/- MBS Margin), 2/25/25 | | $ | 174,807 | | | $ | 173,494 | |
FHLMC, 4.334%, (SOFR +/- MBS Margin), 2/25/32 | | | 1,821,000 | | | | 1,786,371 | |
FHLMC, 4.343%, (US 1 Year CMT T-Note +/- MBS Margin), 10/01/33 | | | 10,856 | | | | 11,085 | |
FHLMC, 4.344%, (US 1 Year CMT T-Note +/- MBS Margin), 10/01/33 | | | 60,508 | | | | 61,514 | |
FHLMC, 4.35%, (US 1 Year CMT T-Note +/- MBS Margin), 11/01/33 | | | 83,322 | | | | 84,649 | |
FHLMC, 4.352%, (1-Month USD LIBOR +/- MBS Margin), 3/25/25 | | | 426,890 | | | | 424,007 | |
FHLMC, 4.362%, (1-Month USD LIBOR +/- MBS Margin), 3/25/28 | | | 103,795 | | | | 101,463 | |
FHLMC, 4.372%, (1-Month USD LIBOR +/- MBS Margin), 5/25/25 | | | 115,815 | | | | 114,980 | |
FHLMC, 4.375%, (US 1 Year CMT T-Note +/- MBS Margin), 11/01/33 | | | 11,653 | | | | 11,755 | |
FHLMC, 4.375%, (US 1 Year CMT T-Note +/- MBS Margin), 11/01/33 | | | 12,623 | | | | 12,485 | |
FHLMC, 4.375%, (US 1 Year CMT T-Note +/- MBS Margin), 11/01/34 | | | 22,270 | | | | 22,661 | |
FHLMC, 4.375%, (US 1 Year CMT T-Note +/- MBS Margin), 11/01/34 | | | 25,263 | | | | 25,710 | |
FHLMC, 4.382%, (1-Month USD LIBOR +/- MBS Margin), 1/25/28 | | | 430,887 | | | | 425,289 | |
FHLMC, 4.392%, (1-Month USD LIBOR +/- MBS Margin), 12/25/24 | | | 163,112 | | | | 161,695 | |
FHLMC, 4.394%, (SOFR +/- MBS Margin), 4/25/32 | | | 3,000,000 | | | | 2,953,106 | |
FHLMC, 4.402%, (1-Month USD LIBOR +/- MBS Margin), 12/25/30 | | | 1,859,264 | | | | 1,823,236 | |
FHLMC, 4.424%, (SOFR +/- MBS Margin), 6/25/32 | | | 3,000,000 | | | | 2,955,013 | |
FHLMC, 4.432%, (1-Month USD LIBOR +/- MBS Margin), 8/25/27 | | | 840,080 | | | | 824,310 | |
FHLMC, 4.432%, (1-Month USD LIBOR +/- MBS Margin), 6/25/28 | | | 318,204 | | | | 313,965 | |
FHLMC, 4.442%, (1-Month USD LIBOR +/- MBS Margin), 11/25/24 | | | 43,488 | | | | 43,311 | |
FHLMC, 4.442%, (1-Month USD LIBOR +/- MBS Margin), 7/25/30 | | | 2,060,782 | | | | 2,019,650 | |
FHLMC, 4.442%, (1-Month USD LIBOR +/- MBS Margin), 8/25/30 | | | 488,003 | | | | 479,181 | |
FHLMC, 4.442%, (1-Month USD LIBOR +/- MBS Margin), 11/25/30 | | | 943,847 | | | | 918,308 | |
FHLMC, 4.462%, (1-Month USD LIBOR +/- MBS Margin), 9/25/30 | | | 1,707,796 | | | | 1,677,153 | |
FHLMC, 4.472%, (1-Month USD LIBOR +/- MBS Margin), 9/25/24 | | | 203,611 | | | | 202,560 | |
FHLMC, 4.472%, (1-Month USD LIBOR +/- MBS Margin), 9/25/30 | | | 787,039 | | | | 773,383 | |
FHLMC, 4.482%, (1-Month USD LIBOR +/- MBS Margin), 8/25/24 | | | 174,937 | | | | 174,268 | |
FHLMC, 4.482%, (1-Month USD LIBOR +/- MBS Margin), 11/25/27 | | | 136,748 | | | | 134,598 | |
FHLMC, 4.484%, (SOFR +/- MBS Margin), 6/25/32 | | | 3,000,000 | | | | 2,967,422 | |
FHLMC, 4.492%, (1-Month USD LIBOR +/- MBS Margin), 8/25/24 | | | 70,291 | | | | 70,044 | |
FHLMC, 4.492%, (1-Month USD LIBOR +/- MBS Margin), 8/25/30 | | | 2,342,535 | | | | 2,313,831 | |
FHLMC, 4.502%, (1-Month USD LIBOR +/- MBS Margin), 8/25/24 | | | 1,056,646 | | | | 1,052,999 | |
FHLMC, 4.502%, (1-Month USD LIBOR +/- MBS Margin), 6/25/27 | | | 635,511 | | | | 625,169 | |
FHLMC, 4.502%, (1-Month USD LIBOR +/- MBS Margin), 6/25/30 | | | 989,258 | | | | 973,835 | |
FHLMC, 4.512%, (1-Month USD LIBOR +/- MBS Margin), 5/25/24 | | | 434,259 | | | | 433,038 | |
FHLMC, 4.512%, (1-Month USD LIBOR +/- MBS Margin), 3/25/27 | | | 40,738 | | | | 40,248 | |
FHLMC, 4.512%, (1-Month USD LIBOR +/- MBS Margin), 6/25/30 | | | 1,107,723 | | | | 1,091,209 | |
FHLMC, 4.534%, (US 1 Year CMT T-Note +/- MBS Margin), 11/01/33 | | | 26,420 | | | | 26,205 | |
FHLMC, 4.542%, (1-Month USD LIBOR +/- MBS Margin), 8/25/25 | | | 169,444 | | | | 168,061 | |
FHLMC, 4.582%, (1-Month USD LIBOR +/- MBS Margin), 6/25/26 | | | 686,657 | | | | 679,688 | |
FHLMC, 4.582%, (1-Month USD LIBOR +/- MBS Margin), 5/25/29 | | | 1,241,098 | | | | 1,219,218 | |
FHLMC, 4.582%, (1-Month USD LIBOR +/- MBS Margin), 6/25/30 | | | 2,295,492 | | | | 2,260,373 | |
FHLMC, 4.612%, (1-Month USD LIBOR +/- MBS Margin), 5/25/30 | | | 1,614,670 | | | | 1,591,343 | |
FHLMC, 4.618%, (1-Month USD LIBOR +/- MBS Margin), 12/15/48 | | | 758,157 | | | | 739,101 | |
FHLMC, 4.622%, (1-Month USD LIBOR +/- MBS Margin), 4/25/26 | | | 923,335 | | | | 915,342 | |
FHLMC, 4.632%, (1-Month USD LIBOR +/- MBS Margin), 2/25/26 | | | 1,608,315 | | | | 1,595,880 | |
FHLMC, 4.632%, (1-Month USD LIBOR +/- MBS Margin), 7/25/26 | | | 1,373,685 | | | | 1,366,790 | |
FHLMC, 4.642%, (1-Month USD LIBOR +/- MBS Margin), 1/25/26 | | | 543,505 | | | | 539,491 | |
FHLMC, 4.642%, (1-Month USD LIBOR +/- MBS Margin), 10/25/26 | | | 2,118,872 | | | | 2,112,168 | |
FHLMC, 4.652%, (1-Month USD LIBOR +/- MBS Margin), 12/25/29 | | | 1,763,719 | | | | 1,747,020 | |
FHLMC, 4.662%, (1-Month USD LIBOR +/- MBS Margin), 7/25/29 | | | 920,165 | | | | 908,152 | |
FHLMC, 4.662%, (1-Month USD LIBOR +/- MBS Margin), 8/25/29 | | | 1,361,700 | | | | 1,343,028 | |
| | |
| franklintempleton.com | | Quarterly Schedule of Investments | See Notes to the Schedule of Investments. |
FRANKLIN ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Short Duration U.S. Government ETF (continued)
| | | | | | | | |
| | | Principal Amount | | Value | |
| | |
Mortgage-Backed Securities (continued) | | | | | | | | |
bFederal Home Loan Mortgage Corp. (FHLMC) Adjustable Rate (continued) | | | | | | | | |
FHLMC, 4.662%, (1-Month USD LIBOR +/- MBS Margin), 9/25/29 | | $ | 739,755 | | | $ | 731,871 | |
FHLMC, 4.672%, (1-Month USD LIBOR +/- MBS Margin), 3/25/29 | | | 1,896,700 | | | | 1,870,931 | |
FHLMC, 4.682%, (1-Month USD LIBOR +/- MBS Margin), 12/25/28 | | | 1,588,053 | | | | 1,570,302 | |
FHLMC, 4.682%, (1-Month USD LIBOR +/- MBS Margin), 2/25/29 | | | 706,499 | | | | 696,325 | |
FHLMC, 4.702%, (1-Month USD LIBOR +/- MBS Margin), 11/25/28 | | | 752,854 | | | | 743,889 | |
FHLMC, 4.718%, (1-Month USD LIBOR +/- MBS Margin), 12/15/39 | | | 247,119 | | | | 246,915 | |
FHLMC, 4.768%, (1-Month USD LIBOR +/- MBS Margin), 10/15/40 | | | 1,257,732 | | | | 1,230,721 | |
FHLMC, 4.842%, (1-Month USD LIBOR +/- MBS Margin), 2/25/27 | | | 916,567 | | | | 914,885 | |
FHLMC, 4.942%, (1-Month USD LIBOR +/- MBS Margin), 3/25/30 | | | 1,541,738 | | | | 1,542,715 | |
FHLMC, 5.457%, (US 1 Year CMT T-Note +/- MBS Margin), 8/01/24 | | | 286 | | | | 283 | |
| | | | | | | | |
| | | | | | | 74,418,249 | |
| | | | | | | | |
| | |
Federal Home Loan Mortgage Corp. (FHLMC) Fixed Rate 7.8% | | | | | | | | |
FHLMC, 0.75%, 5/25/44 | | | 1,823,767 | | | | 1,429,310 | |
FHLMC, 0.799%, 5/25/30 | | | 2,423,670 | | | | 2,065,899 | |
FHLMC, 0.826%, 2/25/31 | | | 866,736 | | | | 727,925 | |
FHLMC, 1.054%, 8/25/26 | | | 1,902,291 | | | | 1,762,517 | |
FHLMC, 2.00%, 2/25/50 | | | 990,620 | | | | 820,625 | |
FHLMC, 2.745%, 1/25/26 | | | 1,500,000 | | | | 1,422,602 | |
FHLMC, 2.995%, 12/25/25 | | | 1,500,000 | | | | 1,434,481 | |
FHLMC, 3.062%, 12/25/24 | | | 1,500,000 | | | | 1,452,997 | |
FHLMC, 3.458%, 8/25/23 | | | 1,969,504 | | | | 1,951,252 | |
FHLMC, 3.49%, 1/25/24 | | | 2,000,000 | | | | 1,970,117 | |
FHLMC, 3.50%, 6/01/26 | | | 153,963 | | | | 150,079 | |
FHLMC, 4.00%, 3/01/49 | | | 911,142 | | | | 870,246 | |
| | | | | | | | |
| | | | | | | 16,058,050 | |
| | | | | | | | |
| | |
bFederal National Mortgage Association (FNMA) Adjustable Rate 8.6% | | | | | | | | |
FNMA, 1.877%, (12-Month USD LIBOR +/- MBS Margin), 2/01/35 | | | 31,264 | | | | 30,576 | |
FNMA, 1.887%, (12-Month USD LIBOR +/- MBS Margin), 1/01/35 | | | 20,083 | | | | 20,125 | |
FNMA, 1.932%, (12-Month USD LIBOR +/- MBS Margin), 1/01/35 | | | 13,868 | | | | 13,938 | |
FNMA, 1.96%, (12-Month USD LIBOR +/- MBS Margin), 2/01/35 | | | 8,903 | | | | 8,964 | |
FNMA, 1.973%, (12-Month USD LIBOR +/- MBS Margin), 1/01/33 | | | 14,842 | | | | 14,586 | |
FNMA, 2.018%, (12-Month USD LIBOR +/- MBS Margin), 12/01/32 | | | 1,313 | | | | 1,288 | |
FNMA, 2.19%, (12-Month USD LIBOR +/- MBS Margin), 4/01/33 | | | 5,126 | | | | 5,018 | |
FNMA, 2.195%, (12-Month USD LIBOR +/- MBS Margin), 12/01/35 | | | 19,024 | | | | 19,356 | |
FNMA, 2.21%, (12-Month USD LIBOR +/- MBS Margin), 3/01/35 | | | 33,665 | | | | 33,524 | |
FNMA, 2.276%, (12-Month USD LIBOR +/- MBS Margin), 12/01/34 | | | 4,694 | | | | 4,729 | |
FNMA, 2.28%, (US 1 Year CMT T-Note +/- MBS Margin), 1/01/33 | | | 7,815 | | | | 7,631 | |
FNMA, 2.29%, (12-Month USD LIBOR +/- MBS Margin), 3/01/35 | | | 1,394 | | | | 1,364 | |
FNMA, 2.365%, (12-Month USD LIBOR +/- MBS Margin), 5/01/35 | | | 64,216 | | | | 64,922 | |
FNMA, 2.396%, (12-Month USD LIBOR +/- MBS Margin), 3/01/35 | | | 3,747 | | | | 3,776 | |
FNMA, 2.424%, (US 1 Year CMT T-Note +/- MBS Margin), 2/01/35 | | | 21,493 | | | | 21,409 | |
FNMA, 2.426%, (6-Month USD LIBOR +/- MBS Margin), 9/01/33 | | | 574 | | | | 562 | |
FNMA, 2.489%, (12-Month USD LIBOR +/- MBS Margin), 1/01/37 | | | 20,303 | | | | 19,895 | |
FNMA, 2.514%, (12-Month USD LIBOR +/- MBS Margin), 3/01/34 | | | 59,033 | | | | 58,708 | |
FNMA, 2.518%, (12-Month USD LIBOR +/- MBS Margin), 1/01/35 | | | 5,361 | | | | 5,254 | |
FNMA, 2.599%, (12-Month USD LIBOR +/- MBS Margin), 5/01/35 | | | 17,909 | | | | 18,045 | |
FNMA, 2.605%, (12-Month USD LIBOR +/- MBS Margin), 12/01/34 | | | 10,532 | | | | 10,512 | |
FNMA, 2.668%, (12-Month USD LIBOR +/- MBS Margin), 12/01/39 | | | 16,635 | | | | 16,803 | |
| | |
| franklintempleton.com | | Quarterly Schedule of Investments | See Notes to the Schedule of Investments. |
FRANKLIN ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Short Duration U.S. Government ETF (continued)
| | | | | | | | |
| | | Principal Amount | | Value | |
| | |
Mortgage-Backed Securities (continued) | | | | | | | | |
bFederal National Mortgage Association (FNMA) Adjustable Rate (continued) | | | | | |
FNMA, 2.694%, (6-Month USD LIBOR +/- MBS Margin), 8/01/33 | | $ | 2,699 | | | $ | 2,686 | |
FNMA, 2.71%, (12-Month USD LIBOR +/- MBS Margin), 12/01/33 | | | 875 | | | | 855 | |
FNMA, 2.734%, (12-Month USD LIBOR +/- MBS Margin), 1/01/35 | | | 31,111 | | | | 31,177 | |
FNMA, 2.793%, (12-Month USD LIBOR +/- MBS Margin), 7/01/36 | | | 26,056 | | | | 25,705 | |
FNMA, 2.805%, (US 1 Year CMT T-Note +/- MBS Margin), 12/01/34 | | | 3,557 | | | | 3,548 | |
FNMA, 2.823%, (US 1 Year CMT T-Note +/- MBS Margin), 2/01/25 | | | 1,669 | | | | 1,647 | |
FNMA, 2.845%, (6-Month USD LIBOR +/- MBS Margin), 11/01/33 | | | 278 | | | | 272 | |
FNMA, 2.879%, (6-Month USD LIBOR +/- MBS Margin), 5/01/32 | | | 1,236 | | | | 1,207 | |
FNMA, 2.934%, (US 1 Year CMT T-Note +/- MBS Margin), 12/01/33 | | | 56,435 | | | | 55,462 | |
FNMA, 2.952%, (6-Month USD LIBOR +/- MBS Margin), 4/01/36 | | | 4,081 | | | | 4,055 | |
FNMA, 2.954%, (6-Month USD LIBOR +/- MBS Margin), 12/01/24 | | | 95 | | | | 94 | |
FNMA, 2.959%, (US 1 Year CMT T-Note +/- MBS Margin), 2/01/37 | | | 22,522 | | | | 22,008 | |
FNMA, 2.965%, (6-Month USD LIBOR +/- MBS Margin), 4/01/36 | | | 2,413 | | | | 2,404 | |
FNMA, 2.965%, (12-Month USD LIBOR +/- MBS Margin), 9/01/37 | | | 90,708 | | | | 91,687 | |
FNMA, 2.975%, (12-Month USD LIBOR +/- MBS Margin), 1/01/38 | | | 58,845 | | | | 59,524 | |
FNMA, 2.982%, (US 1 Year CMT T-Note +/- MBS Margin), 12/01/34 | | | 35,984 | | | | 36,676 | |
FNMA, 3.005%, (6-Month USD LIBOR +/- MBS Margin), 11/01/35 | | | 270,244 | | | | 270,627 | |
FNMA, 3.025%, (12-Month USD LIBOR +/- MBS Margin), 1/01/35 | | | 35,761 | | | | 35,604 | |
FNMA, 3.041%, (12-Month USD LIBOR +/- MBS Margin), 4/01/40 | | | 175,234 | | | | 175,241 | |
FNMA, 3.042%, (11th District COF +/- MBS Margin), 8/01/29 | | | 4,964 | | | | 4,896 | |
FNMA, 3.063%, (6-Month USD LIBOR +/- MBS Margin), 2/01/35 | | | 9,320 | | | | 9,084 | |
FNMA, 3.079%, (US 1 Year CMT T-Note +/- MBS Margin), 5/01/36 | | | 8,910 | | | | 8,773 | |
FNMA, 3.084%, (1 Year CMT +/- MBS Margin), 1/01/31 | | | 15,225 | | | | 14,920 | |
FNMA, 3.089%, (1 Year CMT +/- MBS Margin), 6/01/40 | | | 28,026 | | | | 28,405 | |
FNMA, 3.089%, (1 Year CMT +/- MBS Margin), 11/01/40 | | | 8,089 | | | | 7,892 | |
FNMA, 3.096%, (US 1 Year CMT T-Note +/- MBS Margin), 5/01/33 | | | 10,073 | | | | 9,861 | |
FNMA, 3.105%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/38 | | | 122,055 | | | | 119,816 | |
FNMA, 3.109%, (12-Month USD LIBOR +/- MBS Margin), 1/01/41 | | | 131,874 | | | | 133,840 | |
FNMA, 3.14%, (12-Month USD LIBOR +/- MBS Margin), 5/01/35 | | | 57,917 | | | | 58,921 | |
FNMA, 3.164%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/39 | | | 465 | | | | 454 | |
FNMA, 3.189%, (12-Month USD LIBOR +/- MBS Margin), 10/01/34 | | | 2,915 | | | | 2,863 | |
FNMA, 3.196%, (US 1 Year CMT T-Note +/- MBS Margin), 12/01/37 | | | 20,226 | | | | 20,643 | |
FNMA, 3.196%, (12-Month USD LIBOR +/- MBS Margin), 7/01/42 | | | 1,155,486 | | | | 1,177,487 | |
FNMA, 3.231%, (12-Month USD LIBOR +/- MBS Margin), 3/01/42 | | | 192,047 | | | | 194,677 | |
FNMA, 3.268%, (6-Month USD LIBOR +/- MBS Margin), 11/01/33 | | | 4,370 | | | | 4,269 | |
FNMA, 3.28%, (12-Month USD LIBOR +/- MBS Margin), 11/01/36 | | | 19,116 | | | | 19,374 | |
FNMA, 3.293%, (12-Month USD LIBOR +/- MBS Margin), 3/01/36 | | | 9,999 | | | | 9,996 | |
FNMA, 3.302%, (6-Month USD LIBOR +/- MBS Margin), 11/01/35 | | | 4,248 | | | | 4,239 | |
FNMA, 3.308%, (US 1 Year CMT T-Note +/- MBS Margin), 8/01/29 | | | 310 | | | | 306 | |
FNMA, 3.32%, (6-Month USD LIBOR +/- MBS Margin), 11/01/35 | | | 5,017 | | | | 5,001 | |
FNMA, 3.343%, (1 Year CMT +/- MBS Margin), 11/01/35 | | | 10,785 | | | | 10,477 | |
FNMA, 3.348%, (US 1 Year CMT T-Note +/- MBS Margin), 6/01/35 | | | 18,437 | | | | 18,603 | |
FNMA, 3.351%, (6-Month USD LIBOR +/- MBS Margin), 6/01/34 | | | 70,018 | | | | 70,280 | |
FNMA, 3.371%, (US 1 Year CMT T-Note +/- MBS Margin), 12/01/40 | | | 38,589 | | | | 39,091 | |
FNMA, 3.389%, (11th District COF +/- MBS Margin), 10/01/27 | | | 99 | | | | 97 | |
FNMA, 3.389%, (1 Year CMT +/- MBS Margin), 11/01/35 | | | 14,912 | | | | 14,467 | |
FNMA, 3.401%, (12-Month USD LIBOR +/- MBS Margin), 4/01/44 | | | 1,312,648 | | | | 1,332,269 | |
FNMA, 3.415%, (US 1 Year CMT T-Note +/- MBS Margin), 5/01/33 | | | 21,956 | | | | 22,356 | |
FNMA, 3.422%, (6-Month USD LIBOR +/- MBS Margin), 1/01/25 | | | 468 | | | | 461 | |
FNMA, 3.422%, (12-Month USD LIBOR +/- MBS Margin), 11/01/35 | | | 131,795 | | | | 133,494 | |
FNMA, 3.428%, (12-Month USD LIBOR +/- MBS Margin), 6/01/36 | | | 16,607 | | | | 16,935 | |
FNMA, 3.462%, (12-Month USD LIBOR +/- MBS Margin), 9/01/35 | | | 83,367 | | | | 83,420 | |
FNMA, 3.462%, (12-Month USD LIBOR +/- MBS Margin), 5/01/38 | | | 759,501 | | | | 771,470 | |
| | |
| franklintempleton.com | | Quarterly Schedule of Investments | See Notes to the Schedule of Investments. |
FRANKLIN ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Short Duration U.S. Government ETF (continued)
| | | | | | | | |
| | | Principal Amount | | Value | |
| | |
Mortgage-Backed Securities (continued) | | | | | | | | |
bFederal National Mortgage Association (FNMA) Adjustable Rate (continued) | |
FNMA, 3.475%, (12-Month USD LIBOR +/- MBS Margin), 9/01/37 | | $ | 290,434 | | | $ | 295,172 | |
FNMA, 3.478%, (1 Year CMT +/- MBS Margin), 11/01/35 | | | 10,030 | | | | 9,794 | |
FNMA, 3.483%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/33 | | | 2,590 | | | | 2,544 | |
FNMA, 3.492%, (US 1 Year CMT T-Note +/- MBS Margin), 5/01/35 | | | 8,389 | | | | 8,441 | |
FNMA, 3.494%, (1 Year CMT +/- MBS Margin), 10/01/35 | | | 69,392 | | | | 67,846 | |
FNMA, 3.494%, (US 1 Year CMT T-Note +/- MBS Margin), 4/01/40 | | | 30,353 | | | | 30,730 | |
FNMA, 3.495%, (12-Month USD LIBOR +/- MBS Margin), 6/01/35 | | | 35,875 | | | | 36,219 | |
FNMA, 3.508%, (12-Month USD LIBOR +/- MBS Margin), 2/01/36 | | | 15,409 | | | | 15,562 | |
FNMA, 3.518%, (US 1 Year CMT T-Note +/- MBS Margin), 8/01/39 | | | 2,643 | | | | 2,624 | |
FNMA, 3.519%, (US 1 Year CMT T-Note +/- MBS Margin), 3/01/38 | | | 3,517 | | | | 3,473 | |
FNMA, 3.52%, (6-Month USD LIBOR +/- MBS Margin), 11/01/34 | | | 15,214 | | | | 14,933 | |
FNMA, 3.521%, (1 Year CMT +/- MBS Margin), 11/01/35 | | | 10,881 | | | | 10,625 | |
FNMA, 3.531%, (US 1 Year CMT T-Note +/- MBS Margin), 5/01/36 | | | 16,533 | | | | 16,259 | |
FNMA, 3.534%, (12-Month USD LIBOR +/- MBS Margin), 11/01/36 | | | 80,999 | | | | 81,402 | |
FNMA, 3.54%, (12-Month USD LIBOR +/- MBS Margin), 8/01/37 | | | 32,423 | | | | 33,109 | |
FNMA, 3.541%, (12-Month USD LIBOR +/- MBS Margin), 9/01/42 | | | 596,815 | | | | 606,771 | |
FNMA, 3.563%, (1 Year CMT +/- MBS Margin), 11/01/35 | | | 93,834 | | | | 92,666 | |
FNMA, 3.574%, (US 1 Year CMT T-Note +/- MBS Margin), 1/01/32 | | | 6,642 | | | | 6,609 | |
FNMA, 3.615%, (12-Month USD LIBOR +/- MBS Margin), 10/01/35 | | | 3,130 | | | | 3,084 | |
FNMA, 3.621%, (1 Year CMT +/- MBS Margin), 11/01/35 | | | 38,161 | | | | 37,515 | |
FNMA, 3.624%, (12-Month USD LIBOR +/- MBS Margin), 10/01/34 | | | 17,986 | | | | 17,970 | |
FNMA, 3.63%, (1 Year CMT +/- MBS Margin), 11/01/35 | | | 17,269 | | | | 17,001 | |
FNMA, 3.632%, (12-Month USD LIBOR +/- MBS Margin), 3/01/36 | | | 13,356 | | | | 13,720 | |
FNMA, 3.64%, (12-Month USD LIBOR +/- MBS Margin), 8/01/44 | | | 1,207,262 | | | | 1,223,928 | |
FNMA, 3.644%, (6-Month USD LIBOR +/- MBS Margin), 7/01/35 | | | 4,296 | | | | 4,382 | |
FNMA, 3.66%, (1 Year CMT +/- MBS Margin), 11/01/35 | | | 29,682 | | | | 29,272 | |
FNMA, 3.671%, (1 Year CMT +/- MBS Margin), 11/01/35 | | | 17,730 | | | | 17,459 | |
FNMA, 3.702%, (US 1 Year CMT T-Note +/- MBS Margin), 6/01/32 | | | 288 | | | | 285 | |
FNMA, 3.712%, (US 1 Year CMT T-Note +/- MBS Margin), 12/01/40 | | | 175,937 | | | | 179,543 | |
FNMA, 3.714%, (1 Year CMT +/- MBS Margin), 11/01/35 | | | 72,964 | | | | 71,982 | |
FNMA, 3.716%, (12-Month USD LIBOR +/- MBS Margin), 7/01/35 | | | 4,600 | | | | 4,668 | |
FNMA, 3.726%, (12-Month USD LIBOR +/- MBS Margin), 8/01/38 | | | 228,206 | | | | 231,807 | |
FNMA, 3.727%, (12-Month USD LIBOR +/- MBS Margin), 5/01/37 | | | 103,254 | | | | 105,095 | |
FNMA, 3.736%, (12-Month USD LIBOR +/- MBS Margin), 8/01/37 | | | 53,691 | | | | 52,932 | |
FNMA, 3.737%, (1 Year CMT +/- MBS Margin), 10/01/35 | | | 191,354 | | | | 188,482 | |
FNMA, 3.737%, (US 1 Year CMT T-Note +/- MBS Margin), 12/01/40 | | | 582,821 | | | | 594,055 | |
FNMA, 3.74%, (US 1 Year CMT T-Note +/- MBS Margin), 4/01/34 | | | 26,612 | | | | 26,238 | |
FNMA, 3.752%, (12-Month USD LIBOR +/- MBS Margin), 7/01/35 | | | 35,808 | | | | 35,391 | |
FNMA, 3.784%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/39 | | | 32,495 | | | | 33,102 | |
FNMA, 3.796%, (US 1 Year CMT T-Note +/- MBS Margin), 8/01/36 | | | 80,523 | | | | 82,173 | |
FNMA, 3.83%, (US 1 Year CMT T-Note +/- MBS Margin), 12/01/30 | | | 1,628 | | | | 1,598 | |
FNMA, 3.837%, (6-Month USD LIBOR +/- MBS Margin), 3/01/35 | | | 59,176 | | | | 60,220 | |
FNMA, 3.842%, (6-Month USD LIBOR +/- MBS Margin), 2/01/36 | | | 187,283 | | | | 191,230 | |
FNMA, 3.865%, (6-Month USD LIBOR +/- MBS Margin), 12/01/34 | | | 7,047 | | | | 6,906 | |
FNMA, 3.873%, (12-Month USD LIBOR +/- MBS Margin), 7/01/34 | | | 193 | | | | 191 | |
FNMA, 3.873%, (1 Year CMT +/- MBS Margin), 10/01/36 | | | 28,003 | | | | 28,010 | |
FNMA, 3.879%, (12-Month USD LIBOR +/- MBS Margin), 6/01/35 | | | 8,708 | | | | 8,801 | |
FNMA, 3.894%, (6-Month USD LIBOR +/- MBS Margin), 5/01/36 | | | 10,075 | | | | 10,251 | |
FNMA, 3.90%, (12-Month USD LIBOR +/- MBS Margin), 11/01/34 | | | 3,797 | | | | 3,838 | |
FNMA, 3.906%, (6-Month USD LIBOR +/- MBS Margin), 3/01/34 | | | 4,144 | | | | 4,216 | |
FNMA, 3.928%, (1 Year CMT +/- MBS Margin), 9/01/36 | | | 22,477 | | | | 22,531 | |
FNMA, 3.94%, (12-Month USD LIBOR +/- MBS Margin), 12/01/34 | | | 85,023 | | | | 84,215 | |
FNMA, 3.944%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/35 | | | 55,607 | | | | 54,967 | |
| | |
| franklintempleton.com | | QuarterlySchedule of Investments | See Notes to the Schedule of Investments. |
FRANKLIN ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Short Duration U.S. Government ETF (continued)
| | | | | | | | |
| | | Principal Amount | | Value | |
| | |
Mortgage-Backed Securities (continued) | | | | | | | | |
bFederal National Mortgage Association (FNMA) Adjustable Rate (continued) | | | | | |
FNMA, 3.95%, (1 Year CMT +/- MBS Margin), 5/01/36 | | $ | 31,170 | | | $ | 31,243 | |
FNMA, 3.952%, (12-Month USD LIBOR +/- MBS Margin), 7/01/35 | | | 4,428 | | | | 4,356 | |
FNMA, 3.968%, (12-Month USD LIBOR +/- MBS Margin), 10/01/40 | | | 275,141 | | | | 280,266 | |
FNMA, 3.98%, (12-Month USD LIBOR +/- MBS Margin), 9/01/40 | | | 41,134 | | | | 42,079 | |
FNMA, 3.985%, (6-Month USD LIBOR +/- MBS Margin), 3/01/36 | | | 1,696 | | | | 1,727 | |
FNMA, 3.993%, (US 1 Year CMT T-Note +/- MBS Margin), 8/01/28 | | | 240 | | | | 238 | |
FNMA, 4.00%, (12-Month USD LIBOR +/- MBS Margin), 10/01/33 | | | 18,244 | | | | 17,950 | |
FNMA, 4.011%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/33 | | | 548 | | | | 542 | |
FNMA, 4.034%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/28 | | | 701 | | | | 690 | |
FNMA, 4.078%, (6-Month USD LIBOR +/- MBS Margin), 2/01/33 | | | 66,824 | | | | 67,930 | |
FNMA, 4.094%, (12-Month USD LIBOR +/- MBS Margin), 9/01/37 | | | 281 | | | | 279 | |
FNMA, 4.096%, (US 1 Year CMT T-Note +/- MBS Margin), 10/01/34 | | | 42,288 | | | | 43,174 | |
FNMA, 4.098%, (US 1 Year CMT T-Note +/- MBS Margin), 8/01/32 | | | 5,053 | | | | 4,978 | |
FNMA, 4.108%, (6-Month USD LIBOR +/- MBS Margin), 1/01/35 | | | 1,780 | | | | 1,796 | |
FNMA, 4.127%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/34 | | | 8,752 | | | | 8,598 | |
FNMA, 4.131%, (12-Month USD LIBOR +/- MBS Margin), 8/01/36 | | | 42,675 | | | | 42,366 | |
FNMA, 4.16%, (US 1 Year CMT T-Note +/- MBS Margin), 3/01/25 | | | 586 | | | | 581 | |
FNMA, 4.168%, (11th District COF +/- MBS Margin), 8/01/28 | | | 12,666 | | | | 12,629 | |
FNMA, 4.184%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/35 | | | 55,218 | | | | 55,892 | |
FNMA, 4.23%, (12-Month USD LIBOR +/- MBS Margin), 8/01/35 | | | 2,997 | | | | 2,957 | |
FNMA, 4.247%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/35 | | | 18,228 | | | | 17,964 | |
FNMA, 4.298%, (US 1 Year CMT T-Note +/- MBS Margin), 11/01/34 | | | 11,975 | | | | 11,829 | |
FNMA, 4.367%, (6-Month USD LIBOR +/- MBS Margin), 4/01/36 | | | 2,517 | | | | 2,559 | |
FNMA, 4.398%, (US 1 Year CMT T-Note +/- MBS Margin), 10/01/34 | | | 10,766 | | | | 11,036 | |
FNMA, 4.407%, (US 1 Year CMT T-Note +/- MBS Margin), 10/01/33 | | | 1,465 | | | | 1,498 | |
FNMA, 4.408%, (6-Month USD LIBOR +/- MBS Margin), 9/01/27 | | | 1,398 | | | | 1,393 | |
FNMA, 4.425%, (6-Month USD LIBOR +/- MBS Margin), 6/01/35 | | | 6,249 | | | | 6,287 | |
FNMA, 4.434%, (6-Month USD LIBOR +/- MBS Margin), 11/01/33 | | | 1,629 | | | | 1,624 | |
FNMA, 4.562%, (US 1 Year CMT T-Note +/- MBS Margin), 1/01/28 | | | 617 | | | | 610 | |
FNMA, 4.739%, (1-Month USD LIBOR +/- MBS Margin), 10/25/58 | | | 1,398,788 | | | | 1,347,862 | |
FNMA, 4.789%, (1-Month USD LIBOR +/- MBS Margin), 5/25/40 | | | 432,600 | | | | 422,814 | |
FNMA, 4.789%, (1-Month USD LIBOR +/- MBS Margin), 9/25/46 | | | 925,245 | | | | 907,049 | |
FNMA, 4.789%, (1-Month USD LIBOR +/- MBS Margin), 10/25/46 | | | 799,169 | | | | 784,124 | |
FNMA, 4.839%, (1-Month USD LIBOR +/- MBS Margin), 10/25/41 | | | 1,694,361 | | | | 1,675,570 | |
FNMA, 4.839%, (1-Month USD LIBOR +/- MBS Margin), 7/25/49 | | | 1,722,634 | | | | 1,668,951 | |
FNMA, 4.877%, (6-Month USD LIBOR +/- MBS Margin), 3/01/28 | | | 1,050 | | | | 1,045 | |
FNMA, 5.05%, (6-Month USD LIBOR +/- MBS Margin), 5/01/33 | | | 6,782 | | | | 6,768 | |
FNMA, 5.05%, (6-Month USD LIBOR +/- MBS Margin), 5/01/35 | | | 954 | | | | 958 | |
FNMA, 5.397%, (US 1 Year CMT T-Note +/- MBS Margin), 3/01/33 | | | 20,095 | | | | 19,991 | |
| | | | | | | | |
| | | | | | | 17,842,641 | |
| | | | | | | | |
|
Federal National Mortgage Association (FNMA) Fixed Rate 16.3% | |
FNMA, 0.785%, 7/25/30 | | | 2,996,625 | | | | 2,666,944 | |
FNMA, 1.75%, 1/25/43 | | | 1,058,411 | | | | 895,806 | |
FNMA, 3.00%, 10/25/45 | | | 1,123,050 | | | | 1,054,649 | |
FNMA, 3.50%, 9/01/25 | | | 18,540 | | | | 18,160 | |
FNMA, 3.50%, 10/01/25 | | | 175,441 | | | | 171,771 | |
FNMA, 3.50%, 3/01/26 | | | 155,632 | | | | 152,104 | |
FNMA, 3.50%, 8/01/26 | | | 31,424 | | | | 30,619 | |
FNMA, 3.50%, 8/01/26 | | | 15,003 | | | | 14,742 | |
FNMA, 3.50%, 10/01/26 | | | 1,571 | | | | 1,531 | |
FNMA, 3.50%, 10/01/26 | | | 990 | | | | 973 | |
| | |
| franklintempleton.com | | Quarterly Schedule of Investments | See Notes to the Schedule of Investments. |
FRANKLIN ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Short Duration U.S. Government ETF (continued)
| | | | | | | | |
| | | Principal Amount | | Value | |
| | |
Mortgage-Backed Securities (continued) | | | | | | | | |
Federal National Mortgage Association (FNMA) Fixed Rate (continued) | | | | | | | | |
FNMA, 3.50%, 10/01/26 | | $ | 4,928 | | | $ | 4,842 | |
FNMA, 3.50%, 1/01/27 | | | 3,742 | | | | 3,677 | |
FNMA, 3.50%, 1/01/27 | | | 8,091 | | | | 7,950 | |
FNMA, 3.50%, 1/01/27 | | | 201,543 | | | | 196,973 | |
FNMA, 3.50%, 4/01/27 | | | 58,517 | | | | 56,882 | |
FNMA, 3.50%, 7/01/27 | | | 218,419 | | | | 214,631 | |
FNMA, 3.50%, 5/01/31 | | | 59,839 | | | | 58,365 | |
cFNMA, 5.00%, 1/15/53 | | | 14,039,000 | | | | 13,835,911 | |
cFNMA, 5.50%, 1/15/53 | | | 14,067,000 | | | | 14,106,094 | |
| | | | | | | | |
| | | | | | | 33,492,624 | |
| | | | | | | | |
| | |
bGovernment National Mortgage Association (GNMA) Adjustable Rate 2.1% | | | | | | | | |
GNMA, 4.653%, (1-Month USD LIBOR +/- MBS Margin), 4/20/37 | | | 1,396,815 | | | | 1,386,566 | |
GNMA, 4.683%, (1-Month USD LIBOR +/- MBS Margin), 6/20/41 | | | 1,877,127 | | | | 1,846,659 | |
GNMA, 4.926%, (1-Month USD LIBOR +/- MBS Margin), 1/16/40 | | | 1,053,533 | | | | 1,047,798 | |
| | | | | | | | |
| | | | | | | 4,281,023 | |
| | | | | | | | |
| | |
Government National Mortgage Association (GNMA) Fixed Rate 0.2% | | | | | | | | |
GNMA, 2.50%, 9/20/27 | | | 409,707 | | | | 402,301 | |
| | | | | | | | |
Total Mortgage-Backed Securities (Cost $151,557,574) | | | | | | | 146,494,888 | |
| | |
Total Investments before Short Term Investments (Cost $235,902,435) | | | | | | | 227,764,341 | |
| | |
| | | Shares | | | |
Short Term Investments (Cost $4,976,601) 2.4% | | | | | | | | |
Money Market Funds 2.4% | | | | | | | | |
d,eInstitutional Fiduciary Trust Money Market Portfolio, 3.84% | | | 4,976,601 | | | | 4,976,601 | |
| | | | | | | | |
Total Investments (Cost $240,879,036) 113.0% | | | | | | | 232,740,942 | |
Other Assets, less Liabilities (13.0)% | | | | | | | (26,830,202 | ) |
| | | | | | | | |
Net Assets 100.0% | | | | | | $ | 205,910,740 | |
| | | | | | | | |
a The coupon rate shown represents the value inclusive of any caps or floors, if applicable, in effect at period end.
b Adjustable Rate Mortgage-Backed Security (ARM); the rate shown is the effective rate at period end. ARM rates are not based on a published reference rate and spread, but instead pass-through weighted average interest income inclusive of any caps or floors, if applicable, from the underlying mortgage loans pool in which the majority of mortgages pay interest based on the index shown at their designated reset dates plus a spread, less the applicable servicing and guaranty fee (MBS margin).
c Security purchased on a to-be-announced (TBA) basis.
d The rate shown is the annualized seven-day effective yield at period end.
e See Note 3 regarding investments in affiliated management investment companies.
At December 31, 2022, the Fund had the following futures contracts outstanding.
Futures Contracts
| | | | | | | | | | | | | | | | | | |
| Description | | Type | | Number of
Contracts | | | Notional
Value* | | | Expiration
Date | | | Value/Unrealized
Appreciation
(Depreciation) | |
| | | | | |
Interest Rate Contracts | | | | | | | | | | | | | | | | | | |
| | | | | |
U.S. Treasury 2 Yr. Note | | Long | | | 97 | | | $ | 19,892,578 | | | | 3/31/23 | | | $ | 13,910 | |
| | | | | |
U.S. Treasury 5 Yr. Note | | Short | | | 5 | | | | 539,649 | | | | 3/31/23 | | | | 1,772 | |
| | | | | |
U.S. Treasury 10 Yr. Note | | Short | | | 98 | | | | 11,005,094 | | | | 3/22/23 | | | | 108,585 | |
| | | | | |
U.S. Treasury 10 Yr. Ultra | | Short | | | 13 | | | | 1,537,656 | | | | 3/22/23 | | | | 19,685 | |
| | | | | |
U.S. Treasury Long Bond | | Short | | | 32 | | | | 4,011,000 | | | | 3/22/23 | | | | 72,455 | |
| | |
Total Futures Contracts | | | | | | | $ | 216,407 | |
*As of period end.
| | |
| franklintempleton.com | | Quarterly Schedule of Investments | See Notes to the Schedule of Investments. |
FRANKLIN ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Short Duration U.S. Government ETF (continued)
Abbreviations
| | |
Selected Portfolio |
| CMT | | Constant Maturity Treasury Index |
| COF | | Cost of Funds |
| FRN | | Floating Rate Note |
| LIBOR | | London InterBank Offered Rate |
| MBS | | Mortgage-Backed Security |
| SOFR | | Secured Overnight Financing Rate |
| USD | | United States Dollar |
| | |
| franklintempleton.com | | Quarterly Schedule of Investments | See Notes to the Schedule of Investments. |
Franklin ETF Trust
Notes to Statement of Investments (unaudited)
Franklin Short Duration U.S. Government ETF
1. ORGANIZATION
Franklin ETF Trust (Trust) is registered under the Investment Company Act of 1940 (1940 Act) as an open-end management investment company, consisting of one fund, Franklin Short Duration U.S. Government ETF (Fund), and applies the specialized accounting and reporting guidance in U.S. Generally Accepted Accounting Principles (U.S. GAAP). The Fund is an exchange traded fund (ETF) and is actively managed, thus it is not designed to track an index.
2. FINANCIAL INSTRUMENT VALUATION
The Fund’s 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 Fund calculates the net asset value (NAV) per share as of 4 p.m. Eastern time each day the New York Stock Exchange (NYSE) is open for trading. Under compliance policies and procedures approved by the Fund’s Board of Trustees (the Board), the Fund’s administrator has responsibility for oversight of valuation, including leading the cross-functional Valuation Committee (VC). The Fund may utilize independent pricing services, quotations from securities and financial instrument dealers, and other market sources to determine fair value.
Debt securities generally trade in the over-the-counter market rather than on a securities exchange. The Fund’s 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. Derivative financial instruments listed on an exchange are valued at the official closing price of the day.
Investments in open-end mutual funds are valued at the closing NAV.
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 Fund has procedures to determine the fair value of financial instruments for which market prices are not reliable or readily available. Under these procedures, the Fund primarily employs a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. An income-based valuation approach may also be used in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed.
3. INVESTMENTS IN AFFILIATED MANAGEMENT INVESTMENT COMPANIES
The Fund invests in one or more affiliated management investment companies for purposes other than exercising a controlling influence over the management or policies. During the period ended December 31, 2022, the Fund held investments in affiliated management investment companies as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | | | | | | | | | | | Net Change in | | | | | | Number of | | | | |
| | | | | | | | |
| | | Value at | | | | | | | | | | | | Unrealized | | | Value at | | | Shares | | | | |
| | | | | | | | |
| | | Beginning | | | | | | | | | Realized | | | Appreciation | | | End of | | | Held at End | | | Dividend | |
| | | | | | | | |
| | | of Period | | | Purchases | | | Sales | | | Gain (Loss) | | | (Depreciation) | | | Period | | | of Period | | | Income | |
| | | | | | | | |
Non-Controlled Affiliates | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Institutional Fiduciary Trust
Money Market Portfolio, 3.84% | | | $ 8,708,845 | | | | $ 184,593,513 | | | | $ (188,325,757) | | | | $ - | | | | $ - | | | | $ 4,976,601 | | | | 4,976,601 | | | | $ 40,416 | |
4. FAIR VALUE MEASUREMENTS
The Fund follows a fair value hierarchy that distinguishes between market data obtained from independent sources (observable inputs) and the Fund’s own market assumptions (unobservable inputs). These inputs are used in determining the value of the Fund’s 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 Fund’s own assumptions in determining the fair value of financial instruments) |
The inputs 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 December 31, 2022, in valuing the Fund’s assets and liabilities carried at fair value, is as follows:
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Assets: | | | | | | | | | | | | | | | | |
Investments in Securities: | | | | | | | | | | | | | | | | |
U.S. Government and Agency Securities | | $ | – | | | $ | 81,269,453 | | | $ | – | | | $ | 81,269,453 | |
Mortgage-Backed Securities | | | – | | | | 146,494,888 | | | | – | | | | 146,494,888 | |
Short Term Investments | | | 4,976,601 | | | | – | | | | – | | | | 4,976,601 | |
| | | | |
Total Investments in Securities | | $ | 4,976,601 | | | $ | 227,764,341 | | | $ | – | | | $ | 232,740,942 | |
| | | | |
Other Financial Instruments: | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 216,407 | | | $ | – | | | $ | – | | | $ | 216,407 | |
| | | | |
For additional information on the Fund’s significant accounting policies, please refer to the Fund’s most recent semiannual or annual shareholder report.
