ANNUAL REPORT
FRANKLIN LIBERTY SHORT DURATION U.S. GOVERNMENT ETF
A Series of Franklin ETF Trust
March 31, 2021
Contents |
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Annual Report |
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Franklin Liberty Short Duration U.S. Government ETF . . | 2 |
Performance Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 4 |
Your Fund’s Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 7 |
Financial Highlights and Statement of Investments . . . . . | 8 |
Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 17 |
Notes to Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . | 20 |
Report of Independent Registered |
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Public Accounting Firm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 27 |
Tax Information . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 28 |
Board Members and Officers . . . . . . . . . . . . . . . . . . . . . . . . . . | 29 |
Shareholder Information . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 32 |
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Not FDIC Insured | May Lose Value | No Bank Guarantee
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1
ANNUAL REPORT
Franklin Liberty Short Duration U.S. Government ETF
This annual report for Franklin Liberty Short Duration U.S. Government ETF covers the fiscal year ended
March 31, 2021.
Your Fund’s Goal and Main Investments
The Fund seeks to provide a high level of current income as is consistent with prudent investing, while seeking preserva- tion of capital, by normally investing at least 80% of its net assets in securities issued or guaranteed by the U.S. govern- ment, its agencies or instrumentalities.1 The Fund currently targets an estimated portfolio duration of three years or less.
Performance Overview
For the 12 months under review, the Fund posted cumulative total returns of +1.76% based on market price and +1.77% based on net asset value. In comparison, the Bloomberg Barclays U.S. Government Index: 1-3 Year Component posted a +0.36% total return for the same period.2 You can find more of the Fund’s performance data in the Performance Summary beginning on page 4.
Performance data represent past performance, which does not guarantee future results. Investment return and principal value will fluctuate, and you may have a gain or loss when you sell your shares. Current performance may differ from figures shown. For most recent month-end performance, go to franklintempleton.com or call (800) 342-5236.
Economic and Market Overview
The U.S. bond market, as measured by the Bloomberg Barclays U.S. Aggregate Bond Index, posted marginally posi- tive total returns during the 12 months ended March 31,
2021. The period began at the height of the economic and social disruption that came in the wake of the novel coronavi- rus (COVID-19) pandemic, which significantly impacted U.S. bond markets. Throughout the 12-month period, as the U.S. economy adapted to the presence of COVID-19, investor appetite for risk increased. Consequently, lower-rated bonds posted significantly greater returns than higher-rated bonds.
Portfolio Composition* 3/31/21
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MBS ARMs | 42.20% | |
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MBS Fixed Rate | 32.60% | |
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U.S. Agencies | 3.68% | |
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U.S. Treasuries | 18.76% | |
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TIPS | 0.96% | |
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Short-Term Investments & Other Net Assets | 1.70% | |
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*Figures reflect certain derivatives held in the portfolio (or their underlying reference assets) and may not total 100% or may be negative due to rounding, use of any derivatives, unsettled trades or other factors.
In early 2021, however, the implementation of mass vaccina- tion programs alongside improving economic indicators prompted investors to anticipate that increased inflation would lead to higher interest rates.
The U.S. Federal Reserve (Fed) maintained the federal funds target rate at a range of 0.00%–0.25% and continued its pro- gram of open-ended purchasing of government-backed and corporate bonds as necessary to provide liquidity to bond markets. Furthermore, the Fed signaled that interest rates would potentially remain low, even if inflation moderately exceeded the Fed’s 2% target for some time.
U.S. Treasury bonds, as measured by the Bloomberg Barclays U.S. Treasury Index, posted negative total returns during the period. The 10-year U.S. Treasury yield (which moves inversely to price) was at or near all-time lows for the first half of the reporting period. However, yields rose in the period’s second half, as renewed strength in the economy prompted investors to increase their inflation expectations. Mortgage-backed securities (MBS), as measured by the Bloomberg Barclays MBS Index, had marginally negative total returns for the period despite Fed support, as lower interest rates accelerated prepayments from mortgage refi- nancing, which weighed on MBS returns.
1.Some securities owned by the Fund, but not shares of the Fund, are guaranteed by the U.S. government, its agencies or instrumentalities as to timely payment of principal and interest. The Fund’s net asset value, trading price and yield are not guaranteed and will fluctuate with market conditions. Please see the Fund’s prospectus for the level of credit support offered by government agency or instrumentality issues.
2.Source: Morningstar.
The index is unmanaged and includes reinvestment of any income or distributions. It does not reflect any fees, expenses or sales charges. One cannot invest directly in an index, and an index is not representative of the Fund’s portfolio.
See www.franklintempletondatasources.com for additional data provider information.
The dollar value, number of shares or principal amount, and names of all portfolio holdings are listed in the Fund’s Statement of Investments (SOI). The SOI begins on page 9.
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Annual Report | franklintempleton.com |
F R A N K L I N L I B E R T Y S H O R T D U R AT I O N U . S . G O V E R N M E N T E T F
Fed action was a catalyst for the recovery in the corporate bond market, which advanced overall but varied significantly based on credit rating. The strengthening economy and pros- pect of a return to normal conditions tempered concerns about credit quality, which benefited lower-quality bonds. Consequently, high-yield corporate bonds, as represented by the Bloomberg Barclays U.S. Corporate High Yield Bond Index, posted a strong advance, outpacing investment-grade corporate bonds, as represented by the Bloomberg Barclays U.S. Corporate Bond Index, which nevertheless posted solid returns.
Investment Strategy
Under normal market conditions, the Fund invests at least 80% of its net assets in securities issued or guaranteed by the U.S. government, its agencies, or instrumentalities. The Fund currently targets an estimated portfolio duration of three years or less. The Fund generally invests 50%–80% of its assets in mortgage securities issued or guaranteed by the U.S. government, its agencies, or instrumentalities, including adjustable rate mortgage securities (ARMs) and collateral- ized mortgage obligations (CMOs). The Fund also invests in direct U.S. government obligations (such as Treasury bonds, bills and notes) and in securities issued or guaranteed by the U.S. government, its agencies or instrumentalities, including government-sponsored entities. All of the Fund’s principal investments are debt securities, including bonds, notes and debentures. To pursue its investment goal, the Fund may invest in certain interest rate-related derivatives, principally U.S. Treasury futures contracts. The use of these derivatives may allow the Fund to obtain net long or short exposures to selected interest rates or durations. These derivatives may be used to hedge risks associated with the Fund’s other port- folio investments and to manage the duration of the Fund’s portfolio. The Fund is an actively managed exchange-traded fund (ETF) that does not seek to replicate the performance of a specified index. The Fund may have a higher degree of portfolio turnover than funds that seek to replicate the perfor- mance of an index.
Manager’s Discussion
During the 12-months ended March 31, 2021, risk spreads in U.S. fixed income markets generally recovered from the wid- ening that occurred in March 2020 amid the onset of the COVID-19 pandemic. Government-related mortgage sectors recovered relatively quickly because the Fed began purchas- ing significant amounts of agency fixed-rate MBS. This had the effect of reducing risk and liquidity premiums in all government-backed mortgage sectors. The Fund’s exposure to agency adjustable-rate mortgage-backed securities was
the largest contributor to outperformance versus the bench- mark on a duration-adjusted basis, but there were also significant positive contributions from the Fund’s exposure to the other mortgage-related sectors – MBS, multi-family agency MBS, and agency CMOs. By the end of the period, inflation expectations had exceeded pre-COVID levels, resulting in a significant positive contribution to performance from the Fund’s exposure to Treasury Inflation-Protected Securities. The Fund’s exposure to agency debentures was also a modest positive contributor to performance. The Fund was positioned with less duration than the benchmark over- all, but with more exposure than the benchmark beyond the two-year point on the yield curve. This curve exposure was a modest detractor from performance as the yield curve steep- ened dramatically during March 2021.
The Fund invested in U.S. Treasuries, agency debentures, agency mortgage pass-through securities and other U.S. government-related bonds and cash investments. We looked for valuations we considered attractive within lower interest- rate risk government bond markets with a focus on high current income. In our efforts to protect the Fund’s portfolio from the effects of potential interest-rate increases, we used U.S. Treasury futures and options on U.S. Treasury futures for duration and convexity management. Over the period, the futures and options positions had a net realized gain.
Thank you for your participation in Franklin Liberty Short Duration U.S. Government ETF. We look forward to serving your future investment needs.
Patrick A. Klein, Ph.D.
Paul Varunok
Portfolio Management Team
The foregoing information reflects our analysis, opinions and portfolio holdings as of March 31, 2021, the end of the report- ing period. The way we implement our main investment strategies and the resulting portfolio holdings may change depending on factors such as market and economic condi- tions. These opinions may not be relied upon as investment advice or an offer for a particular security. The information is not a complete analysis of every aspect of any market, coun- try, industry, security or the Fund. Statements of fact are from sources considered reliable, but the investment manager makes no representation or warranty as to their complete- ness or accuracy. Although historical performance is no guarantee of future results, these insights may help you understand our investment management philosophy.
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F R A N K L I N L I B E R T Y S H O R T D U R AT I O N U . S . G O V E R N M E N T E T F
Performance Summary as of March 31, 2021
Total return reflects reinvestment of the Fund’s dividends and capital gain distributions, if any, and any unrealized gains or losses. Total returns do not include brokerage commissions that may be payable on secondary market transactions. The per- formance tables and graph do not reflect any taxes that a shareholder would pay on Fund dividends, capital gain distributions, if any, or any realized gains on the sale of Fund shares.
Net asset value or “NAV” is the value of one share of a fund as calculated in accordance with the standard formula for valuing fund shares. The price used to calculate market return (Market Price) is determined by using the midpoint between the highest bid and the lowest offer on the primary stock exchange on which shares of a fund are listed for trading, as of the time that such fund’s NAV is calculated. Since shares of the Fund did not trade in the secondary market until after the Fund’s inception, for the period from inception to the first day of secondary trading (11/6/13), the NAV of the Fund is used as a proxy for the Market Price to calculate market returns. Market and NAV returns assume that dividends and capital gain distributions have been rein- vested at Market Price and NAV.
Your dividend income will vary depending on dividends or interest paid by securities in the Fund’s portfolio, adjusted for oper- ating expenses. Capital gain distributions are net profits realized from the sale of portfolio securities.
Performance as of 3/31/211
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| NAV3 | market price4 | NAV3 | market price4 | |||||||||
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1-Year |
| +1.77% |
| +1.76% |
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5-Year | +8.73% |
| +8.83% |
| +1.69% |
| +1.71% |
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Since Inception (11/4/13) | +10.88% |
| +10.47% |
| +1.40% |
| +1.35% |
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| 30-Day Standardized Yield6 |
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Distribution Rate5 |
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1.73% |
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| 0.54% |
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| 0.45% |
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Performance data represent past performance, which does not guarantee future results. Investment return and principal value will fluctuate, and you may have a gain or loss when you sell your shares. Current performance may differ from figures shown. For most recent month-end performance, go to franklintempleton.com or call (800) 342-5236.
See page 6 for Performance Summary footnotes
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Annual Report | franklintempleton.com |
F R A N K L I N L I B E R T Y S H O R T D U R AT I O N U . S . G O V E R N M E N T E T F
P E R F O R M A N C E S U M M A R Y
Total Return Index Comparison for a Hypothetical $10,000 Investment1
Total return is calculated at net asset value and represents the change in value of an investment over the periods shown. It includes any Fund fees and expenses, and reinvested distributions. The unmanaged index includes reinvestment of any income or distributions. It differs from the Fund in composition and does not pay management fees or expenses. One cannot invest directly in an index.
11/4/13–3/31/21
$12,000
$11,000
$10,000
$9,000
11/13 3/14 | 3/15 | 3/16 | 3/17 | 3/18 | 3/19 | 3/20 | 3/21 |
$11,120
$11,088
Franklin Liberty Short Duration |
| Bloomberg Barclays U.S. Government |
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U.S. Government ETF |
| Index: 1-3 Year Component7 |
See page 6 for Performance Summary footnotes
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F R A N K L I N L I B E R T Y S H O R T D U R AT I O N U . S . G O V E R N M E N T E T F
P E R F O R M A N C E S U M M A R Y
Distributions (4/1/20–3/31/21)
Net Investment
Income
$1.27707
Total Annual Operating Expenses8
With Fee Waiver |
| Without Fee Waiver |
0.25% | 0.45% | |
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All investments involve risks, including possible loss of principal. Interest rate movements, unscheduled mortgage prepayments and other risk factors will affect the Fund’s share price and yield. Bond prices, and thus a fund’s share price, generally move in the opposite direction of interest rates. Therefore, as the prices of bonds in the Fund adjust to a rise in interest rates, the Fund’s share price may decline. Changes in the financial strength of a bond issuer or in a bond’s credit rating may affect its value. Events such as the spread of deadly diseases, disasters, and financial, political or social disruptions, may heighten risks and adversely affect performance. The Fund’s prospectus also includes a discussion of the main investment risks.
ETFs trade like stocks, fluctuate in market value and may trade at prices above or below their net asset value. Brokerage commissions and ETF expenses will reduce returns.
1.The Fund has a fee waiver and/or an expense reimbursement contractually guaranteed through 7/31/21. Fund investment results reflect the expense reduction; without this reduction, the results would have been lower.
2.Total return calculations represent the cumulative and average annual changes in value of an investment over the periods indicated. Return for less than one year, if any, has not been annualized.
3.Assumes reinvestment of distributions based on net asset value.
4.Assumes reinvestment of distributions based on market price.
5.Distribution rate is based on an annualization of the 13.733 cent per share March dividend and the NAV of $95.24 per share on 3/31/21.
6.The Fund’s 30-day standardized yield is calculated over a trailing 30-day period using the yield to maturity on bonds and/or the dividends accrued on stocks. It may not equal the Fund’s actual income distribution rate, which reflects the Fund’s past dividends paid to shareholders.
7.Source: Morningstar. The Bloomberg Barclays U.S. Government Index: 1-3 Year Component includes public obligations of the U.S. Treasury with at least one year up to, but not including, three years to final maturity and publicly issued debt of U.S. government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. government.
8.Figures are as stated in the Fund’s current prospectus and may differ from the expense ratios disclosed in the Your Fund’s Expenses and Financial Highlights sections in this report. In periods of market volatility, assets may decline significantly, causing total annual Fund operating expenses to become higher than the figures shown.
See www.franklintempletondatasources.com for additional data provider information.
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Annual Report | franklintempleton.com |
F R A N K L I N L I B E R T Y S H O R T D U R AT I O N U . S . G O V E R N M E N T E T F
Your Fund’s Expenses
As a Fund shareholder, you can incur two types of costs: (1) transaction costs, including brokerage commissions on purchases and sales of Fund shares; and (2) ongoing Fund costs, including management fees and other Fund expenses. All funds have ongoing costs, sometimes referred to as operating expenses. The table below shows ongoing costs of investing in the Fund and can help you understand these costs and compare them with those of other funds. The table assumes a $1,000 invest- ment held for the six months indicated.
Actual Fund Expenses
The table below provides information about actual account values and actual expenses in the columns under the heading “Actual.” In these columns the Fund’s actual return, which includes the effect of Fund expenses, is used to calculate the “End- ing Account Value.” You can estimate the expenses you paid during the period by following these steps (of course, your account value and expenses will differ from those in this illustration): Divide your account value by $1,000 (if your account had an $8,600 value, then $8,600 ÷ $1,000 = 8.6). Then multiply the result by the number under the headings “Actual” and “Expenses Paid During Period” (if Actual Expenses Paid During Period were $7.50, then 8.6 x $7.50 = $64.50). In this illustra- tion, the actual expenses paid this period are $64.50.
Hypothetical Example for Comparison with Other Funds
Under the heading “Hypothetical” in the table, information is provided about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. This information may not be used to estimate the actual ending account balance or expenses you paid for the period, but it can help you compare ongoing costs of investing in the Fund with those of other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that expenses shown in the table are meant to highlight ongoing costs and do not reflect any transactional costs. Therefore, information under the heading “Hypothetical” is useful in comparing ongoing costs only, and will not help you com- pare total costs of owning different funds. In addition, if transactional costs were included, your total costs would have been higher.
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Account |
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Value 10/1/20 |
| Value 3/31/21 |
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| 10/1/20–3/31/211,2 |
| Value 3/31/21 |
| 10/1/20–3/31/211,2 |
| Expense Ratio2 |
$1,000 | $1,001.40 | $1.25 | $1,023.68 | $1.26 | 0.25% | ||||||
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1.Expenses are equal to the annualized expense ratio for the six-month period as indicated above—in the far right column—multiplied by the simple average account value over the period indicated, and then multiplied by 182/365 to reflect the one-half year period.
2.Reflects expenses after fee waivers and expense reimbursements. Does not include acquired fund fees and expenses.
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7
F R A N K LI N E T F T R U S T
Financial Highlights
Franklin Liberty Short Duration U.S. Government ETF
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| Year Ended March 31, |
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| Year Ended May 31, | ||||
| 2021 | 2020 | 2019 |
| 2018a | 2017 | 2016 | |||||
Per share operating performance |
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(for a share outstanding throughout the year) |
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Net asset value, beginning of year . . . . . . . . . . . . . . . . . . . . . | $94.84 | $94.40 | $95.18 | $96.75 | $97.83 | $99.03 | ||||||
Income from investment operationsb: |
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Net investment incomec . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 0.79 | 2.11 | 1.95 | 1.17 | 1.02 | 0.72 | ||||||
Net realized and unrealized gains (losses) . . . . . . . . . . . . . | 0.89 | 0.85 | (0.03) | (0.89) | (0.08) | (0.39) | ||||||
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Total from investment operations . . . . . . . . . . . . . . . . . . . . . . | 1.68 | 2.96 | 1.92 | 0.28 | 0.94 | 0.33 | ||||||
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Less distributions from net investment income . . . . . . . . . . . | (1.28) | (2.52) | (2.70) | (1.85) | (2.02) | (1.53) | ||||||
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Net asset value, end of year . . . . . . . . . . . . . . . . . . . . . . . . . . | $95.24 | $94.84 | $94.40 | $95.18 | $96.75 | $97.83 | ||||||
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Total returnd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 1.77% | 3.18% | 2.04% | 0.30% | 0.97% | 0.34% | ||||||
Ratios to average net assetse |
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Expenses before waiver and payments by affiliates . . . . . . . | 0.37% | 0.43% | 0.44% | 0.50% | 0.39% | 0.40% | ||||||
Expenses net of waiver and payments by affiliates . . . . . . . | 0.24% | 0.23% |
| 0.25%f |
| 0.27%f |
| 0.30%f |
| 0.30%f | ||
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 0.82% | 2.23% | 2.06% | 1.47% | 1.05% | 0.73% | ||||||
Supplemental data |
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Net assets, end of year (000’s) . . . . . . . . . . . . . . . . . . . . . . . . | $435,827 | $187,395 | $125,177 | $164,279 | $169,406 | $183,521 | ||||||
Portfolio turnover rateg . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 210.16% | 169.35% | 104.49% | 103.43% | 134.97% | 145.14% | ||||||
Portfolio turnover rate excluding mortgage dollar rollsg,h . . . | 189.55% | 105.08% | 64.69% | 68.15% | 75.90% | 62.17% |
aFor the period June 1, 2017 to March 31, 2018.
bThe amount shown for a share outstanding throughout the period may not correlate with the Statement of Operations for the period due to the timing of sales and repurchases of creation unit Fund shares in relation to income earned, adjustments to interest income for the inflation index bonds, and/or fluctuating market value of the investments of the Fund.
cBased on average daily shares outstanding.
dTotal return is not annualized for periods less than one year. Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption at net asset value on the last day of the period.
eRatios are annualized for periods less than one year, except for non-recurring expenses, if any. fBenefit of expense reduction rounds to less than 0.01%.
gPortfolio turnover rate includes portfolio transactions that are executed as a result of the Fund offering and redeeming Creation Units solely for cash (“Cash creations”). hSee Note 1(d) regarding mortgage dollar rolls.
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Annual Report | The accompanying notes are an integral part of these financial statements. | franklintempleton.com |
F R A N K LI N E T F T R U S T
Statement of Investments, March 31, 2021
Franklin Liberty Short Duration U.S. Government ETF
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| Principal Amount |
| Value | ||
U.S. Government and Agency Securities 23.4% |
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Dragon 2012 LLC, secured bond, 1.972%, 3/12/24 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | $ | 27,859 | $ | 28,482 | ||
Dy9 Leasing LLC, 2.372%, 3/19/27 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 1,493,135 |
| 1,568,963 | ||
Iraq Government Agency for International Development Bonds, 2.149%, 1/18/22 . . . . . . . . . . . . . . |
| 1,250,000 |
| 1,272,025 |
aKE Export Leasing LLC, 2013-A, secured note, FRN, 0.42%, (3-Month USD LIBOR + 0.23%),
2/28/25 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 701,906 | 700,888 |
MSN 41079 and 41084 Ltd., 1.631%, 12/14/24 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 1,683,266 | 1,719,518 |
Petroleos Mexicanos, 2.378%, 4/15/25 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 630,000 | 652,531 |
Reliance Industries Ltd., |
|
|
2.512%, 1/15/26 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 937,500 | 982,094 |
senior secured note, 2.06%, 1/15/26 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 1,250,000 | 1,295,353 |
Tagua Leasing LLC, 1.90%, 7/12/24 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 1,893,076 | 1,936,756 |
Tayarra Ltd., 3.628%, 2/15/22 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 167,068 | 169,393 |
U.S. International Development Finance Corp., |
|
|
2.12%, 3/20/24 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 1,100,000 | 1,131,967 |
4.01%, 5/15/30 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 1,575,000 | 1,786,451 |
U.S. Treasury Note, |
|
|
0.125%, 12/31/22 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 8,000,000 | 7,997,344 |
0.125%, 5/15/23 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 3,000,000 | 2,996,484 |
0.125%, 7/15/23 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 2,500,000 | 2,495,459 |
0.125%, 8/15/23 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 5,000,000 | 4,989,160 |
0.125%, 9/15/23 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 3,000,000 | 2,992,207 |
0.25%, 4/15/23 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 6,000,000 | 6,009,844 |
0.25%, 6/15/23 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 6,000,000 | 6,007,734 |
0.25%, 11/15/23 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 5,000,000 | 4,998,047 |
0.50%, 3/15/23 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 5,500,000 | 5,536,738 |
1.25%, 7/31/23 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 3,400,000 | 3,482,543 |
1.25%, 8/31/24 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 8,000,000 | 8,209,531 |
1.50%, 3/31/23 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 7,500,000 | 7,700,830 |
1.50%, 9/30/24 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 8,000,000 | 8,277,344 |
1.625%, 4/30/23 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 3,400,000 | 3,502,199 |
1.625%, 10/31/23 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 3,000,000 | 3,106,230 |
1.75%, 6/30/24 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 3,300,000 | 3,441,475 |
b Index Linked, 0.375%, 7/15/25 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 1,020,183 | 1,124,485 |
b Index Linked, 0.625%, 1/15/26 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 2,751,825 | 3,061,706 |
Ulani MSN 37894, 2.184%, 12/20/24 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 1,304,348 | 1,346,510 |
Zarapito Leasing LLC, 2.628%, 11/12/26 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 1,552,243 | 1,637,450 |
Total U.S. Government and Agency Securities (Cost $101,519,079) |
|
|
| 102,157,741 | |
|
|
|
Mortgage-Backed Securities 74.8%
cFederal Home Loan Mortgage Corp. (FHLMC) Adjustable Rate 33.2%
FHLMC, 0.242%, (SOFR +/- MBS Margin), 12/25/30 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 2,000,000 | 2,005,137 |
FHLMC, 0.242%, (SOFR +/- MBS Margin), 1/25/31 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 5,000,000 | 4,999,400 |
FHLMC, 0.242%, (SOFR +/- MBS Margin), 1/25/31 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 5,000,000 | 4,999,370 |
FHLMC, 0.282%, (SOFR +/- MBS Margin), 1/25/31 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 5,000,000 | 5,027,603 |
FHLMC, 0.29%, (1-Month USD LIBOR +/- MBS Margin), 12/25/30 . . . . . . . . . . . . . . . . . . . . . . . . . . | 1,000,000 | 1,001,735 |
FHLMC, 0.309%, (1-Month USD LIBOR +/- MBS Margin), 2/25/25 . . . . . . . . . . . . . . . . . . . . . . . . . . | 451,648 | 450,480 |
FHLMC, 0.329%, (1-Month USD LIBOR +/- MBS Margin), 3/25/25 . . . . . . . . . . . . . . . . . . . . . . . . . . | 939,128 | 940,353 |
FHLMC, 0.339%, (1-Month USD LIBOR +/- MBS Margin), 3/25/28 . . . . . . . . . . . . . . . . . . . . . . . . . . | 825,892 | 826,742 |
FHLMC, 0.349%, (1-Month USD LIBOR +/- MBS Margin), 5/25/25 . . . . . . . . . . . . . . . . . . . . . . . . . . | 650,027 | 651,416 |
FHLMC, 0.359%, (1-Month USD LIBOR +/- MBS Margin), 1/25/28 . . . . . . . . . . . . . . . . . . . . . . . . . . | 651,161 | 653,460 |
FHLMC, 0.369%, (1-Month USD LIBOR +/- MBS Margin), 12/25/24 . . . . . . . . . . . . . . . . . . . . . . . . . | 640,606 | 642,331 |
FHLMC, 0.379%, (1-Month USD LIBOR +/- MBS Margin), 11/25/30 . . . . . . . . . . . . . . . . . . . . . . . . . | 3,999,717 | 4,021,645 |
FHLMC, 0.379%, (1-Month USD LIBOR +/- MBS Margin), 12/25/30 . . . . . . . . . . . . . . . . . . . . . . . . . | 3,500,000 | 3,508,036 |
FHLMC, 0.40%, (1-Month USD LIBOR +/- MBS Margin), 8/25/27 . . . . . . . . . . . . . . . . . . . . . . . . . . . | 3,302,536 | 3,319,363 |
FHLMC, 0.406%, (1-Month USD LIBOR +/- MBS Margin), 12/15/48 . . . . . . . . . . . . . . . . . . . . . . . . . | 1,148,741 | 1,153,681 |
FHLMC, 0.409%, (1-Month USD LIBOR +/- MBS Margin), 6/25/28 . . . . . . . . . . . . . . . . . . . . . . . . . . | 967,063 | 972,593 |
FHLMC, 0.41%, (1-Month USD LIBOR +/- MBS Margin), 8/25/30 . . . . . . . . . . . . . . . . . . . . . . . . . . . | 4,044,000 | 4,068,660 |
FHLMC, 0.419%, (1-Month USD LIBOR +/- MBS Margin), 11/25/24 . . . . . . . . . . . . . . . . . . . . . . . . . | 118,501 | 119,023 |
franklintempleton.com | Annual Report |
9
F R A N K LI N E T F T R U S T
S T A T E M E N T O F I N V E S T M E N T S
Franklin Liberty Short Duration U.S. Government ETF (continued)
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|
|
| Principal Amount | Value | |
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|
|
|
|
|
|
| Mortgage-Backed Securities (continued) |
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|
|
| |
c Federal Home Loan Mortgage Corp. (FHLMC) Adjustable Rate (continued) |
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|
|
| ||
| FHLMC, 0.419%, (1-Month USD LIBOR +/- MBS Margin), 7/25/30 . . . . . . . . . . . . . . . . . . . . . . . . . . | $ 4,720,056 | $ 4,739,303 | |||
| FHLMC, 0.419%, (1-Month USD LIBOR +/- MBS Margin), 11/25/30 . . . . . . . . . . . . . . . . . . . . . . . . . | 1,500,000 | 1,505,815 | |||
| FHLMC, 0.439%, (1-Month USD LIBOR +/- MBS Margin), 9/25/30 . . . . . . . . . . . . . . . . . . . . . . . . . . | 2,889,540 | 2,899,980 | |||
| FHLMC, 0.449%, (1-Month USD LIBOR +/- MBS Margin), 9/25/24 . . . . . . . . . . . . . . . . . . . . . . . . . . | 828,145 | 830,453 | |||
| FHLMC, 0.449%, (1-Month USD LIBOR +/- MBS Margin), 9/25/30 . . . . . . . . . . . . . . . . . . . . . . . . . . | 2,000,000 | 2,008,790 | |||
| FHLMC, 0.459%, (1-Month USD LIBOR +/- MBS Margin), 8/25/24 . . . . . . . . . . . . . . . . . . . . . . . . . . | 745,423 | 746,876 | |||
| FHLMC, 0.459%, (1-Month USD LIBOR +/- MBS Margin), 11/25/27 . . . . . . . . . . . . . . . . . . . . . . . . . | 778,019 | 782,248 | |||
| FHLMC, 0.46%, (1-Month USD LIBOR +/- MBS Margin), 8/25/30 . . . . . . . . . . . . . . . . . . . . . . . . . . . | 6,400,000 | 6,433,924 | |||
| FHLMC, 0.469%, (1-Month USD LIBOR +/- MBS Margin), 8/25/24 . . . . . . . . . . . . . . . . . . . . . . . . . . | 500,711 | 501,527 | |||
| FHLMC, 0.479%, (1-Month USD LIBOR +/- MBS Margin), 1/25/24 . . . . . . . . . . . . . . . . . . . . . . . . . . | 853,004 | 854,115 | |||
| FHLMC, 0.479%, (1-Month USD LIBOR +/- MBS Margin), 8/25/24 . . . . . . . . . . . . . . . . . . . . . . . . . . | 3,429,889 | 3,441,550 | |||
| FHLMC, 0.479%, (1-Month USD LIBOR +/- MBS Margin), 6/25/27 . . . . . . . . . . . . . . . . . . . . . . . . . . | 1,987,400 | 2,002,978 | |||
| FHLMC, 0.479%, (1-Month USD LIBOR +/- MBS Margin), 6/25/30 . . . . . . . . . . . . . . . . . . . . . . . . . . | 2,194,000 | 2,217,851 | |||
| FHLMC, 0.489%, (1-Month USD LIBOR +/- MBS Margin), 5/25/24 . . . . . . . . . . . . . . . . . . . . . . . . . . | 3,032,033 | 3,037,434 | |||
| FHLMC, 0.489%, (1-Month USD LIBOR +/- MBS Margin), 3/25/27 . . . . . . . . . . . . . . . . . . . . . . . . . . | 249,745 | 250,308 | |||
| FHLMC, 0.489%, (1-Month USD LIBOR +/- MBS Margin), 6/25/30 . . . . . . . . . . . . . . . . . . . . . . . . . . | 1,500,000 | 1,507,875 | |||
| FHLMC, 0.499%, (1-Month USD LIBOR +/- MBS Margin), 5/25/22 . . . . . . . . . . . . . . . . . . . . . . . . . . | 28,982 | 28,948 | |||
| FHLMC, 0.499%, (1-Month USD LIBOR +/- MBS Margin), 7/25/22 . . . . . . . . . . . . . . . . . . . . . . . . . . | 85,921 | 85,769 | |||
| FHLMC, 0.506%, (1-Month USD LIBOR +/- MBS Margin), 12/15/39 . . . . . . . . . . . . . . . . . . . . . . . . . | 1,189,417 | 1,192,377 | |||
| FHLMC, 0.519%, (1-Month USD LIBOR +/- MBS Margin), 8/25/25 . . . . . . . . . . . . . . . . . . . . . . . . . . | 878,794 | 882,323 | |||
| FHLMC, 0.539%, (1-Month USD LIBOR +/- MBS Margin), 12/25/26 . . . . . . . . . . . . . . . . . . . . . . . . . | 838,049 | 840,132 | |||
| FHLMC, 0.556%, (1-Month USD LIBOR +/- MBS Margin), 10/15/40 . . . . . . . . . . . . . . . . . . . . . . . . . | 1,793,977 | 1,815,496 | |||
| FHLMC, 0.559%, (1-Month USD LIBOR +/- MBS Margin), 6/25/26 . . . . . . . . . . . . . . . . . . . . . . . . . . | 3,047,864 | 3,063,389 | |||
| FHLMC, 0.559%, (1-Month USD LIBOR +/- MBS Margin), 5/25/29 . . . . . . . . . . . . . . . . . . . . . . . . . . | 1,917,517 | 1,934,448 | |||
| FHLMC, 0.559%, (1-Month USD LIBOR +/- MBS Margin), 6/25/30 . . . . . . . . . . . . . . . . . . . . . . . . . . | 4,000,000 | 4,041,174 | |||
| FHLMC, 0.589%, (1-Month USD LIBOR +/- MBS Margin), 5/25/30 . . . . . . . . . . . . . . . . . . . . . . . . . . | 1,999,203 | 2,021,275 | |||
| FHLMC, 0.599%, (1-Month USD LIBOR +/- MBS Margin), 4/25/26 . . . . . . . . . . . . . . . . . . . . . . . . . . | 3,533,187 | 3,550,527 | |||
| FHLMC, 0.609%, (1-Month USD LIBOR +/- MBS Margin), 2/25/26 . . . . . . . . . . . . . . . . . . . . . . . . . . | 4,102,252 | 4,134,510 | |||
| FHLMC, 0.609%, (1-Month USD LIBOR +/- MBS Margin), 7/25/26 . . . . . . . . . . . . . . . . . . . . . . . . . . | 2,350,133 | 2,369,716 | |||
| FHLMC, 0.619%, (1-Month USD LIBOR +/- MBS Margin), 1/25/26 . . . . . . . . . . . . . . . . . . . . . . . . . . | 1,248,107 | 1,254,517 | |||
| FHLMC, 0.619%, (1-Month USD LIBOR +/- MBS Margin), 11/25/26 . . . . . . . . . . . . . . . . . . . . . . . . . | 3,563,298 | 3,593,728 | |||
| FHLMC, 0.629%, (1-Month USD LIBOR +/- MBS Margin), 11/25/25 . . . . . . . . . . . . . . . . . . . . . . . . . | 3,661,721 | 3,686,493 | |||
| FHLMC, 0.629%, (1-Month USD LIBOR +/- MBS Margin), 12/25/29 . . . . . . . . . . . . . . . . . . . . . . . . . | 4,976,747 | 5,018,718 | |||
| FHLMC, 0.639%, (1-Month USD LIBOR +/- MBS Margin), 7/25/29 . . . . . . . . . . . . . . . . . . . . . . . . . . | 1,977,337 | 2,003,306 | |||
| FHLMC, 0.639%, (1-Month USD LIBOR +/- MBS Margin), 8/25/29 . . . . . . . . . . . . . . . . . . . . . . . . . . | 2,000,000 | 2,025,470 | |||
| FHLMC, 0.639%, (1-Month USD LIBOR +/- MBS Margin), 9/25/29 . . . . . . . . . . . . . . . . . . . . . . . . . . | 1,667,051 | 1,683,267 | |||
| FHLMC, 0.649%, (1-Month USD LIBOR +/- MBS Margin), 3/25/29 . . . . . . . . . . . . . . . . . . . . . . . . . . | 3,675,559 | 3,721,124 | |||
| FHLMC, 0.659%, (1-Month USD LIBOR +/- MBS Margin), 12/25/28 . . . . . . . . . . . . . . . . . . . . . . . . . | 4,453,563 | 4,507,265 | |||
| FHLMC, 0.659%, (1-Month USD LIBOR +/- MBS Margin), 2/25/29 . . . . . . . . . . . . . . . . . . . . . . . . . . | 1,271,247 | 1,281,873 | |||
| FHLMC, 0.679%, (1-Month USD LIBOR +/- MBS Margin), 11/25/28 . . . . . . . . . . . . . . . . . . . . . . . . . | 1,754,742 | 1,777,938 | |||
| FHLMC, 0.819%, (1-Month USD LIBOR +/- MBS Margin), 2/25/27 . . . . . . . . . . . . . . . . . . . . . . . . . . | 1,620,226 | 1,639,594 | |||
| FHLMC, 0.919%, (1-Month USD LIBOR +/- MBS Margin), 3/25/30 . . . . . . . . . . . . . . . . . . . . . . . . . . | 2,000,000 | 2,027,932 | |||
| FHLMC, 1.769%, (12-Month USD LIBOR +/- MBS Margin), 3/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . | 156,148 | 163,162 | |||
| FHLMC, 2.035%, (12-Month USD LIBOR +/- MBS Margin), 1/01/38 . . . . . . . . . . . . . . . . . . . . . . . . . | 24,096 | 25,432 | |||
| FHLMC, 2.064%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/29 . . . . . . . . . . . . . . . . . . . . . . . . | 25,179 | 25,220 | |||
| FHLMC, 2.141%, (12-Month USD LIBOR +/- MBS Margin), 1/01/37 . . . . . . . . . . . . . . . . . . . . . . . . . | 10,179 | 10,792 | |||
| FHLMC, 2.163%, (12-Month USD LIBOR +/- MBS Margin), 12/01/36 . . . . . . . . . . . . . . . . . . . . . . . . | 60,771 | 64,404 | |||
| FHLMC, 2.164%, (12-Month USD LIBOR +/- MBS Margin), 4/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . | 67,817 | 71,498 | |||
| FHLMC, 2.206%, (12-Month USD LIBOR +/- MBS Margin), 6/01/37 . . . . . . . . . . . . . . . . . . . . . . . . . | 53,551 | 55,575 | |||
| FHLMC, 2.236%, (12-Month USD LIBOR +/- MBS Margin), 1/01/37 . . . . . . . . . . . . . . . . . . . . . . . . . | 2,506 | 2,603 | |||
| FHLMC, 2.241%, (12-Month USD LIBOR +/- MBS Margin), 3/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . | 11,126 | 11,626 | |||
| FHLMC, 2.311%, (12-Month USD LIBOR +/- MBS Margin), 1/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . | 6,858 | 7,281 | |||
| FHLMC, 2.344%, (US 1 Year CMT T-Note +/- MBS Margin), 10/01/33 . . . . . . . . . . . . . . . . . . . . . . . | 88,739 | 94,691 | |||
| FHLMC, 2.35%, (US 1 Year CMT T-Note +/- MBS Margin), 8/01/33 . . . . . . . . . . . . . . . . . . . . . . . . . | 48,981 | 49,426 | |||
| FHLMC, 2.35%, (US 1 Year CMT T-Note +/- MBS Margin), 11/01/33 . . . . . . . . . . . . . . . . . . . . . . . . | 125,193 | 133,599 | |||
| FHLMC, 2.356%, (US 1 Year CMT T-Note +/- MBS Margin), 10/01/33 . . . . . . . . . . . . . . . . . . . . . . . | 16,961 | 18,080 | |||
| FHLMC, 2.358%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/33 . . . . . . . . . . . . . . . . . . . . . . . . | 34,004 | 35,949 | |||
| FHLMC, 2.37%, (US 1 Year CMT T-Note +/- MBS Margin), 1/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . | 14,341 | 15,373 |
10
Annual Report | franklintempleton.com |
F R A N K LI N E T F T R U S T
S T A T E M E N T O F I N V E S T M E N T S
Franklin Liberty Short Duration U.S. Government ETF (continued)
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| Principal Amount |
| Value | ||
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| Mortgage-Backed Securities (continued) |
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c Federal Home Loan Mortgage Corp. (FHLMC) Adjustable Rate (continued) |
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|
|
|
|
| ||
| FHLMC, 2.375%, (US 1 Year CMT T-Note +/- MBS Margin), 11/01/33 . . . . . . . . . . . . . . . . . . . . . . . | $ | 15,509 | $ | 16,545 | |||
| FHLMC, 2.375%, (US 1 Year CMT T-Note +/- MBS Margin), 11/01/33 . . . . . . . . . . . . . . . . . . . . . . . |
| 18,216 |
| 18,513 | |||
| FHLMC, 2.375%, (US 1 Year CMT T-Note +/- MBS Margin), 11/01/34 . . . . . . . . . . . . . . . . . . . . . . . |
| 33,471 |
| 35,788 | |||
| FHLMC, 2.375%, (US 1 Year CMT T-Note +/- MBS Margin), 11/01/34 . . . . . . . . . . . . . . . . . . . . . . . |
| 52,456 |
| 56,085 | |||
| FHLMC, 2.375%, (US 1 Year CMT T-Note +/- MBS Margin), 2/01/35 . . . . . . . . . . . . . . . . . . . . . . . . |
| 28,404 |
| 30,393 | |||
| FHLMC, 2.376%, (US 1 Year CMT T-Note +/- MBS Margin), 2/01/36 . . . . . . . . . . . . . . . . . . . . . . . . |
| 46,717 |
| 50,087 | |||
| FHLMC, 2.38%, (12-Month USD LIBOR +/- MBS Margin), 9/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 1,667 |
| 1,764 | |||
| FHLMC, 2.383%, (US 1 Year CMT T-Note +/- MBS Margin), 10/01/38 . . . . . . . . . . . . . . . . . . . . . . . |
| 77,819 |
| 78,065 | |||
| FHLMC, 2.401%, (US 1 Year CMT T-Note +/- MBS Margin), 10/01/35 . . . . . . . . . . . . . . . . . . . . . . . |
| 110,254 |
| 117,854 | |||
| FHLMC, 2.416%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/33 . . . . . . . . . . . . . . . . . . . . . . . . |
| 4,998 |
| 5,322 | |||
| FHLMC, 2.42%, (12-Month USD LIBOR +/- MBS Margin), 12/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 184,032 |
| 194,362 | |||
| FHLMC, 2.423%, (12-Month USD LIBOR +/- MBS Margin), 1/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 14,959 |
| 15,105 | |||
| FHLMC, 2.453%, (12-Month USD LIBOR +/- MBS Margin), 9/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 6,590 |
| 6,857 | |||
| FHLMC, 2.469%, (6-Month USD LIBOR +/- MBS Margin), 9/01/30 . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 2,206 |
| 2,224 | |||
| FHLMC, 2.485%, (12-Month USD LIBOR +/- MBS Margin), 9/01/37 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 621,212 |
| 660,117 | |||
| FHLMC, 2.496%, (12-Month USD LIBOR +/- MBS Margin), 1/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 10,380 |
| 10,972 | |||
| FHLMC, 2.518%, (6-Month USD LIBOR +/- MBS Margin), 1/01/26 . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 619 |
| 616 | |||
| FHLMC, 2.525%, (12-Month USD LIBOR +/- MBS Margin), 3/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 43,557 |
| 46,159 | |||
| FHLMC, 2.525%, (12-Month USD LIBOR +/- MBS Margin), 6/01/37 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 2,448 |
| 2,455 | |||
| FHLMC, 2.534%, (US 1 Year CMT T-Note +/- MBS Margin), 11/01/33 . . . . . . . . . . . . . . . . . . . . . . . |
| 42,152 |
| 43,624 | |||
| FHLMC, 2.538%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/27 . . . . . . . . . . . . . . . . . . . . . . . . |
| 457 |
| 458 | |||
| FHLMC, 2.539%, (US 1 Year CMT T-Note +/- MBS Margin), 1/01/35 . . . . . . . . . . . . . . . . . . . . . . . . |
| 11,939 |
| 12,734 | |||
| FHLMC, 2.553%, (12-Month USD LIBOR +/- MBS Margin), 3/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 266,721 |
| 283,087 | |||
| FHLMC, 2.568%, (12-Month USD LIBOR +/- MBS Margin), 5/01/42 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 578,068 |
| 612,680 | |||
| FHLMC, 2.589%, (12-Month USD LIBOR +/- MBS Margin), 7/01/43 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 1,769,004 |
| 1,875,805 | |||
| FHLMC, 2.609%, (US 1 Year CMT T-Note +/- MBS Margin), 1/01/28 . . . . . . . . . . . . . . . . . . . . . . . . |
| 572 |
| 573 | |||
| FHLMC, 2.613%, (12-Month USD LIBOR +/- MBS Margin), 8/01/34 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 140,168 |
| 147,107 | |||
| FHLMC, 2.621%, (12-Month USD LIBOR +/- MBS Margin), 5/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 219,817 |
| 232,991 | |||
| FHLMC, 2.625%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/34 . . . . . . . . . . . . . . . . . . . . . . . . |
| 7,570 |
| 7,575 | |||
| FHLMC, 2.625%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/34 . . . . . . . . . . . . . . . . . . . . . . . . |
| 119,527 |
| 127,356 | |||
| FHLMC, 2.634%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/36 . . . . . . . . . . . . . . . . . . . . . . . . |
| 37,040 |
| 39,688 | |||
| FHLMC, 2.635%, (US 1 Year CMT T-Note +/- MBS Margin), 6/01/37 . . . . . . . . . . . . . . . . . . . . . . . . |
| 140,672 |
| 141,596 | |||
| FHLMC, 2.643%, (US 1 Year CMT T-Note +/- MBS Margin), 6/01/34 . . . . . . . . . . . . . . . . . . . . . . . . |
| 30,588 |
| 31,932 | |||
| FHLMC, 2.662%, (12-Month USD LIBOR +/- MBS Margin), 5/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 11,453 |
| 11,615 | |||
| FHLMC, 2.665%, (US 1 Year CMT T-Note +/- MBS Margin), 5/01/36 . . . . . . . . . . . . . . . . . . . . . . . . |
| 1,207,439 |
| 1,293,912 | |||
| FHLMC, 2.674%, (12-Month USD LIBOR +/- MBS Margin), 9/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 117,743 |
| 119,024 | |||
| FHLMC, 2.676%, (12-Month USD LIBOR +/- MBS Margin), 7/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 8,351 |
| 8,868 | |||
| FHLMC, 2.677%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/30 . . . . . . . . . . . . . . . . . . . . . . . . |
| 46 |
| 46 | |||
| FHLMC, 2.68%, (US 1 Year CMT T-Note +/- MBS Margin), 4/01/29 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 1,908 |
| 1,913 | |||
| FHLMC, 2.68%, (12-Month USD LIBOR +/- MBS Margin), 9/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 46,493 |
| 49,558 | |||
| FHLMC, 2.713%, (US 1 Year CMT T-Note +/- MBS Margin), 11/01/36 . . . . . . . . . . . . . . . . . . . . . . . |
| 13,861 |
| 14,862 | |||
| FHLMC, 2.727%, (12-Month USD LIBOR +/- MBS Margin), 2/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 42,736 |
| 43,402 | |||
| FHLMC, 2.733%, (US 1 Year CMT T-Note +/- MBS Margin), 8/01/32 . . . . . . . . . . . . . . . . . . . . . . . . |
| 1,696 |
| 1,705 | |||
| FHLMC, 2.744%, (12-Month USD LIBOR +/- MBS Margin), 8/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 3,995 |
| 4,147 | |||
| FHLMC, 2.752%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/35 . . . . . . . . . . . . . . . . . . . . . . . . |
| 351,528 |
| 374,865 | |||
| FHLMC, 2.761%, (12-Month USD LIBOR +/- MBS Margin), 11/01/42 . . . . . . . . . . . . . . . . . . . . . . . . |
| 395,065 |
| 419,666 | |||
| FHLMC, 2.767%, (US 1 Year CMT T-Note +/- MBS Margin), 12/01/35 . . . . . . . . . . . . . . . . . . . . . . . |
| 249,452 |
| 268,535 | |||
| FHLMC, 2.775%, (US 1 Year CMT T-Note +/- MBS Margin), 1/01/37 . . . . . . . . . . . . . . . . . . . . . . . . |
| 28,233 |
| 28,481 | |||
| FHLMC, 2.777%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/36 . . . . . . . . . . . . . . . . . . . . . . . . |
| 1,573,108 |
| 1,679,661 | |||
| FHLMC, 2.792%, (12-Month USD LIBOR +/- MBS Margin), 10/01/36 . . . . . . . . . . . . . . . . . . . . . . . . |
| 16,990 |
| 18,026 | |||
| FHLMC, 2.808%, (US 1 Year CMT T-Note +/- MBS Margin), 3/01/35 . . . . . . . . . . . . . . . . . . . . . . . . |
| 12,844 |
| 13,734 | |||
| FHLMC, 2.843%, (US 1 Year CMT T-Note +/- MBS Margin), 1/01/38 . . . . . . . . . . . . . . . . . . . . . . . . |
| 764,721 |
| 816,018 | |||
| FHLMC, 2.858%, (12-Month USD LIBOR +/- MBS Margin), 9/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 21,838 |
| 22,260 | |||
| FHLMC, 2.886%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/29 . . . . . . . . . . . . . . . . . . . . . . . . |
| 193,904 |
| 195,458 | |||
| FHLMC, 2.896%, (12-Month USD LIBOR +/- MBS Margin), 5/01/33 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 2,689 |
| 2,687 | |||
| FHLMC, 3.035%, (12-Month USD LIBOR +/- MBS Margin), 1/01/42 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 94,190 |
| 99,611 | |||
| FHLMC, 3.045%, (US 1 Year CMT T-Note +/- MBS Margin), 10/01/29 . . . . . . . . . . . . . . . . . . . . . . . |
| 5,068 |
| 5,143 | |||
| FHLMC, 3.077%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/37 . . . . . . . . . . . . . . . . . . . . . . . . |
| 44,466 |
| 46,616 |
franklintempleton.com | Annual Report |
11
F R A N K LI N E T F T R U S T
S T A T E M E N T O F I N V E S T M E N T S
Franklin Liberty Short Duration U.S. Government ETF (continued)
Principal Amount | Value |
Mortgage-Backed Securities (continued)
cFederal Home Loan Mortgage Corp. (FHLMC) Adjustable Rate (continued)
FHLMC, 3.215%, (US 1 Year CMT T-Note +/- MBS Margin), 1/01/29 . . . . . . . . . . . . . . . . . . . . . . . . | $ | 6,502 | $ | 6,571 |
FHLMC, 3.219%, (12-Month USD LIBOR +/- MBS Margin), 5/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 3,696 |
| 3,752 |
FHLMC, 3.303%, (12-Month USD LIBOR +/- MBS Margin), 3/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 345,447 |
| 366,500 |
FHLMC, 3.652%, (12-Month USD LIBOR +/- MBS Margin), 4/01/34 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 7,024 |
| 7,143 |
FHLMC, 3.68%, (12-Month USD LIBOR +/- MBS Margin), 4/01/37 . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 24,666 |
| 25,089 |
FHLMC, 5.467%, (US 1 Year CMT T-Note +/- MBS Margin), 8/01/24 . . . . . . . . . . . . . . . . . . . . . . . . |
| 658 |
| 662 |
|
|
|
|
|
|
|
|
| 144,944,094 |
Federal Home Loan Mortgage Corp. (FHLMC) Fixed Rate 7.7% |
|
|
|
|
|
|
|
| |
FHLMC, 0.75%, 5/25/44 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 2,636,925 |
| 2,604,442 |
FHLMC, 0.799%, 5/25/30 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 2,492,904 |
| 2,404,526 |
FHLMC, 0.826%, 2/25/31 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 971,876 |
| 924,058 |
FHLMC, 1.054%, 8/25/26 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 1,976,858 |
| 1,989,266 |
FHLMC, 2.00%, 12/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 11,067,187 |
| 11,371,060 |
FHLMC, 2.00%, 2/25/50 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 1,929,446 |
| 1,981,726 |
FHLMC, 2.745%, 1/25/26 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 1,500,000 |
| 1,612,181 |
FHLMC, 2.995%, 12/25/25 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 1,500,000 |
| 1,626,621 |
FHLMC, 3.062%, 12/25/24 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 1,500,000 |
| 1,619,248 |
FHLMC, 3.458%, 8/25/23 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 2,000,000 |
| 2,131,385 |
FHLMC, 3.49%, 1/25/24 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 2,000,000 |
| 2,151,084 |
FHLMC, 3.50%, 6/01/26 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 330,935 |
| 353,186 |
FHLMC, 3.50%, 3/15/43 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 568,517 |
| 582,363 |
FHLMC, 4.00%, 3/01/49 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 1,945,963 |
| 2,113,580 |
|
|
|
|
|
|
|
|
| 33,464,726 |
|
|
|
|
|
cFederal National Mortgage Association (FNMA) Adjustable Rate 7.5%
FNMA, 0.459%, (1-Month USD LIBOR +/- MBS Margin), 10/25/58 . . . . . . . . . . . . . . . . . . . . . . . . . . | 2,306,099 | 2,334,583 |
FNMA, 0.509%, (1-Month USD LIBOR +/- MBS Margin), 5/25/40 . . . . . . . . . . . . . . . . . . . . . . . . . . . | 765,769 | 773,266 |
FNMA, 0.509%, (1-Month USD LIBOR +/- MBS Margin), 9/25/46 . . . . . . . . . . . . . . . . . . . . . . . . . . . | 1,384,565 | 1,398,100 |
FNMA, 0.509%, (1-Month USD LIBOR +/- MBS Margin), 10/25/46 . . . . . . . . . . . . . . . . . . . . . . . . . . | 1,195,634 | 1,206,256 |
FNMA, 0.559%, (1-Month USD LIBOR +/- MBS Margin), 9/25/22 . . . . . . . . . . . . . . . . . . . . . . . . . . . | 2,792,937 | 2,793,847 |
FNMA, 0.559%, (1-Month USD LIBOR +/- MBS Margin), 10/25/41 . . . . . . . . . . . . . . . . . . . . . . . . . . | 2,679,398 | 2,713,643 |
FNMA, 0.559%, (1-Month USD LIBOR +/- MBS Margin), 7/25/49 . . . . . . . . . . . . . . . . . . . . . . . . . . . | 2,664,866 | 2,691,700 |
FNMA, 1.378%, (6-Month USD LIBOR +/- MBS Margin), 11/01/33 . . . . . . . . . . . . . . . . . . . . . . . . . . | 2,456 | 2,469 |
FNMA, 1.415%, (6-Month USD LIBOR +/- MBS Margin), 3/01/28 . . . . . . . . . . . . . . . . . . . . . . . . . . . | 2,572 | 2,583 |
FNMA, 1.428%, (6-Month USD LIBOR +/- MBS Margin), 11/01/33 . . . . . . . . . . . . . . . . . . . . . . . . . . | 497 | 492 |
FNMA, 1.557%, (6-Month USD LIBOR +/- MBS Margin), 9/01/27 . . . . . . . . . . . . . . . . . . . . . . . . . . . | 3,265 | 3,283 |
FNMA, 1.666%, (6-Month USD LIBOR +/- MBS Margin), 5/01/32 . . . . . . . . . . . . . . . . . . . . . . . . . . . | 4,231 | 4,262 |
FNMA, 1.672%, (6-Month USD LIBOR +/- MBS Margin), 8/01/33 . . . . . . . . . . . . . . . . . . . . . . . . . . . | 4,667 | 4,829 |
FNMA, 1.675%, (6-Month USD LIBOR +/- MBS Margin), 9/01/33 . . . . . . . . . . . . . . . . . . . . . . . . . . . | 736 | 737 |
FNMA, 1.68%, (6-Month USD LIBOR +/- MBS Margin), 2/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 276,252 | 286,968 |
FNMA, 1.741%, (6-Month USD LIBOR +/- MBS Margin), 5/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . . . | 14,976 | 15,591 |
FNMA, 1.76%, (6-Month USD LIBOR +/- MBS Margin), 2/01/33 . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 160,625 | 166,636 |
FNMA, 1.764%, (6-Month USD LIBOR +/- MBS Margin), 1/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . . | 3,256 | 3,388 |
FNMA, 1.764%, (6-Month USD LIBOR +/- MBS Margin), 3/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . . | 109,299 | 113,762 |
FNMA, 1.774%, (1 Year CMT +/- MBS Margin), 1/01/31 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 18,500 | 18,571 |
FNMA, 1.779%, (1 Year CMT +/- MBS Margin), 6/01/40 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 43,262 | 44,940 |
FNMA, 1.779%, (1 Year CMT +/- MBS Margin), 11/01/40 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 12,566 | 12,812 |
FNMA, 1.80%, (6-Month USD LIBOR +/- MBS Margin), 5/01/33 . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 7,915 | 7,986 |
FNMA, 1.80%, (6-Month USD LIBOR +/- MBS Margin), 3/01/34 . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 8,336 | 8,675 |
FNMA, 1.80%, (6-Month USD LIBOR +/- MBS Margin), 11/01/34 . . . . . . . . . . . . . . . . . . . . . . . . . . . | 5,968 | 6,009 |
FNMA, 1.80%, (6-Month USD LIBOR +/- MBS Margin), 5/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 1,875 | 1,949 |
FNMA, 1.80%, (6-Month USD LIBOR +/- MBS Margin), 3/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 3,198 | 3,338 |
FNMA, 1.815%, (6-Month USD LIBOR +/- MBS Margin), 6/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . . | 11,221 | 11,705 |
FNMA, 1.815%, (6-Month USD LIBOR +/- MBS Margin), 7/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . . | 15,247 | 15,906 |
FNMA, 1.82%, (12-Month USD LIBOR +/- MBS Margin), 1/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . . | 59,703 | 62,545 |
FNMA, 1.833%, (12-Month USD LIBOR +/- MBS Margin), 2/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . | 48,572 | 49,215 |
FNMA, 1.875%, (6-Month USD LIBOR +/- MBS Margin), 4/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . . . | 3,617 | 3,783 |
12
Annual Report | franklintempleton.com |
F R A N K LI N E T F T R U S T
S T A T E M E N T O F I N V E S T M E N T S
Franklin Liberty Short Duration U.S. Government ETF (continued)
|
|
|
| Principal Amount |
| Value | ||
|
|
|
|
|
|
|
|
|
| Mortgage-Backed Securities (continued) |
|
|
|
|
|
| |
c Federal National Mortgage Association (FNMA) Adjustable Rate (continued) |
|
|
|
|
|
| ||
| FNMA, 1.893%, (6-Month USD LIBOR +/- MBS Margin), 11/01/33 . . . . . . . . . . . . . . . . . . . . . . . . . . | $ | 5,780 | $ | 5,804 | |||
| FNMA, 1.897%, (6-Month USD LIBOR +/- MBS Margin), 6/01/34 . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 142,219 |
| 147,998 | |||
| FNMA, 1.905%, (6-Month USD LIBOR +/- MBS Margin), 11/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 8,638 |
| 8,977 | |||
| FNMA, 1.911%, (12-Month USD LIBOR +/- MBS Margin), 1/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 18,499 |
| 19,447 | |||
| FNMA, 1.915%, (12-Month USD LIBOR +/- MBS Margin), 1/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 28,946 |
| 30,444 | |||
| FNMA, 1.93%, (12-Month USD LIBOR +/- MBS Margin), 10/01/34 . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 36,303 |
| 37,601 | |||
| FNMA, 1.935%, (6-Month USD LIBOR +/- MBS Margin), 12/01/24 . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 600 |
| 607 | |||
| FNMA, 1.945%, (6-Month USD LIBOR +/- MBS Margin), 11/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 6,373 |
| 6,587 | |||
| FNMA, 1.953%, (6-Month USD LIBOR +/- MBS Margin), 4/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 5,644 |
| 5,867 | |||
| FNMA, 1.961%, (6-Month USD LIBOR +/- MBS Margin), 4/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 6,500 |
| 6,782 | |||
| FNMA, 1.973%, (12-Month USD LIBOR +/- MBS Margin), 1/01/33 . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 17,793 |
| 17,808 | |||
| FNMA, 1.981%, (12-Month USD LIBOR +/- MBS Margin), 10/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 3,512 |
| 3,544 | |||
| FNMA, 1.99%, (6-Month USD LIBOR +/- MBS Margin), 12/01/34 . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 7,868 |
| 7,896 | |||
| FNMA, 1.995%, (6-Month USD LIBOR +/- MBS Margin), 2/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 12,322 |
| 12,413 | |||
| FNMA, 1.996%, (12-Month USD LIBOR +/- MBS Margin), 12/01/34 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 8,698 |
| 9,171 | |||
| FNMA, 2.006%, (12-Month USD LIBOR +/- MBS Margin), 2/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 14,932 |
| 15,753 | |||
| FNMA, 2.011%, (12-Month USD LIBOR +/- MBS Margin), 1/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 6,542 |
| 6,673 | |||
| FNMA, 2.015%, (6-Month USD LIBOR +/- MBS Margin), 11/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 366,471 |
| 380,271 | |||
| FNMA, 2.018%, (12-Month USD LIBOR +/- MBS Margin), 12/01/32 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 1,646 |
| 1,647 | |||
| FNMA, 2.03%, (12-Month USD LIBOR +/- MBS Margin), 12/01/33 . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 2,304 |
| 2,309 | |||
| FNMA, 2.065%, (12-Month USD LIBOR +/- MBS Margin), 12/01/39 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 22,465 |
| 23,666 | |||
| FNMA, 2.08%, (12-Month USD LIBOR +/- MBS Margin), 12/01/34 . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 19,081 |
| 20,142 | |||
| FNMA, 2.098%, (6-Month USD LIBOR +/- MBS Margin), 11/01/34 . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 28,499 |
| 28,831 | |||
| FNMA, 2.103%, (12-Month USD LIBOR +/- MBS Margin), 11/01/34 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 5,814 |
| 6,133 | |||
| FNMA, 2.122%, (12-Month USD LIBOR +/- MBS Margin), 1/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 45,055 |
| 47,480 | |||
| FNMA, 2.124%, (US 1 Year CMT T-Note +/- MBS Margin), 12/01/34 . . . . . . . . . . . . . . . . . . . . . . . . |
| 4,878 |
| 5,083 | |||
| FNMA, 2.125%, (12-Month USD LIBOR +/- MBS Margin), 3/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 64,681 |
| 68,398 | |||
| FNMA, 2.127%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/34 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 17,235 |
| 17,345 | |||
| FNMA, 2.171%, (US 1 Year CMT T-Note +/- MBS Margin), 12/01/33 . . . . . . . . . . . . . . . . . . . . . . . . |
| 95,965 |
| 97,631 | |||
| FNMA, 2.174%, (12-Month USD LIBOR +/- MBS Margin), 2/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 18,572 |
| 19,520 | |||
| FNMA, 2.193%, (1 Year CMT +/- MBS Margin), 11/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 21,131 |
| 22,293 | |||
| FNMA, 2.195%, (12-Month USD LIBOR +/- MBS Margin), 12/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 33,490 |
| 35,570 | |||
| FNMA, 2.197%, (1 Year CMT +/- MBS Margin), 11/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 24,799 |
| 25,178 | |||
| FNMA, 2.203%, (12-Month USD LIBOR +/- MBS Margin), 7/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 5,225 |
| 5,262 | |||
| FNMA, 2.223%, (1 Year CMT +/- MBS Margin), 11/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 23,056 |
| 24,357 | |||
| FNMA, 2.235%, (1 Year CMT +/- MBS Margin), 11/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 79,079 |
| 83,587 | |||
| FNMA, 2.249%, (12-Month USD LIBOR +/- MBS Margin), 7/01/34 . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 410 |
| 415 | |||
| FNMA, 2.25%, (12-Month USD LIBOR +/- MBS Margin), 10/01/33 . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 38,127 |
| 38,268 | |||
| FNMA, 2.268%, (1 Year CMT +/- MBS Margin), 10/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 150,156 |
| 158,869 | |||
| FNMA, 2.272%, (12-Month USD LIBOR +/- MBS Margin), 1/01/37 . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 38,108 |
| 38,808 | |||
| FNMA, 2.274%, (12-Month USD LIBOR +/- MBS Margin), 1/01/41 . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 218,490 |
| 231,317 | |||
| FNMA, 2.276%, (12-Month USD LIBOR +/- MBS Margin), 12/01/34 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 183,296 |
| 188,275 | |||
| FNMA, 2.288%, (US 1 Year CMT T-Note +/- MBS Margin), 1/01/33 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 10,587 |
| 10,608 | |||
| FNMA, 2.29%, (12-Month USD LIBOR +/- MBS Margin), 9/01/37 . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 139,815 |
| 147,787 | |||
| FNMA, 2.293%, (12-Month USD LIBOR +/- MBS Margin), 6/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 52,357 |
| 54,687 | |||
| FNMA, 2.301%, (11th District COF +/- MBS Margin), 8/01/29 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 17,671 |
| 17,668 | |||
| FNMA, 2.301%, (US 1 Year CMT T-Note +/- MBS Margin), 8/01/29 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 1,168 |
| 1,169 | |||
| FNMA, 2.306%, (1 Year CMT +/- MBS Margin), 11/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 107,808 |
| 108,968 | |||
| FNMA, 2.313%, (12-Month USD LIBOR +/- MBS Margin), 3/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 20,828 |
| 22,105 | |||
| FNMA, 2.316%, (1 Year CMT +/- MBS Margin), 11/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 177,195 |
| 179,291 | |||
| FNMA, 2.318%, (US 1 Year CMT T-Note +/- MBS Margin), 2/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 34,449 |
| 36,929 | |||
| FNMA, 2.323%, (12-Month USD LIBOR +/- MBS Margin), 9/01/37 . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 424 |
| 431 | |||
| FNMA, 2.325%, (US 1 Year CMT T-Note +/- MBS Margin), 12/01/34 . . . . . . . . . . . . . . . . . . . . . . . . |
| 53,651 |
| 57,470 | |||
| FNMA, 2.33%, (12-Month USD LIBOR +/- MBS Margin), 3/01/42 . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 300,773 |
| 317,803 | |||
| FNMA, 2.353%, (1 Year CMT +/- MBS Margin), 11/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 24,011 |
| 25,427 | |||
| FNMA, 2.365%, (12-Month USD LIBOR +/- MBS Margin), 8/01/38 . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 310,096 |
| 327,688 | |||
| FNMA, 2.368%, (1 Year CMT +/- MBS Margin), 11/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 51,578 |
| 54,757 | |||
| FNMA, 2.369%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/33 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 2,170 |
| 2,178 |
franklintempleton.com | Annual Report |
13
F R A N K LI N E T F T R U S T
S T A T E M E N T O F I N V E S T M E N T S
Franklin Liberty Short Duration U.S. Government ETF (continued)
|
|
|
| Principal Amount |
| Value | |
|
|
|
|
|
|
|
|
| Mortgage-Backed Securities (continued) |
|
|
|
|
| |
c Federal National Mortgage Association (FNMA) Adjustable Rate (continued) |
|
|
|
|
| ||
| FNMA, 2.374%, (12-Month USD LIBOR +/- MBS Margin), 1/01/38 . . . . . . . . . . . . . . . . . . . . . . . . . . | $ 106,312 | $ | 112,368 | |||
| FNMA, 2.384%, (1 Year CMT +/- MBS Margin), 11/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 34,307 |
| 36,454 | |||
| FNMA, 2.384%, (12-Month USD LIBOR +/- MBS Margin), 4/01/40 . . . . . . . . . . . . . . . . . . . . . . . . . . | 265,805 |
| 280,927 | |||
| FNMA, 2.386%, (1 Year CMT +/- MBS Margin), 11/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 22,312 |
| 23,709 | |||
| FNMA, 2.395%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . | 70,792 |
| 75,405 | |||
| FNMA, 2.41%, (12-Month USD LIBOR +/- MBS Margin), 4/01/33 . . . . . . . . . . . . . . . . . . . . . . . . . . . | 8,735 |
| 8,799 | |||
| FNMA, 2.417%, (US 1 Year CMT T-Note +/- MBS Margin), 10/01/33 . . . . . . . . . . . . . . . . . . . . . . . . | 2,142 |
| 2,283 | |||
| FNMA, 2.417%, (1 Year CMT +/- MBS Margin), 10/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 348,949 |
| 371,005 | |||
| FNMA, 2.424%, (6-Month USD LIBOR +/- MBS Margin), 1/01/25 . . . . . . . . . . . . . . . . . . . . . . . . . . . | 1,471 |
| 1,483 | |||
| FNMA, 2.424%, (US 1 Year CMT T-Note +/- MBS Margin), 12/01/37 . . . . . . . . . . . . . . . . . . . . . . . . | 29,574 |
| 31,558 | |||
| FNMA, 2.428%, (US 1 Year CMT T-Note +/- MBS Margin), 11/01/34 . . . . . . . . . . . . . . . . . . . . . . . . | 26,504 |
| 26,558 | |||
| FNMA, 2.432%, (12-Month USD LIBOR +/- MBS Margin), 8/01/44 . . . . . . . . . . . . . . . . . . . . . . . . . . | 1,888,892 |
| 1,998,630 | |||
| FNMA, 2.444%, (12-Month USD LIBOR +/- MBS Margin), 9/01/37 . . . . . . . . . . . . . . . . . . . . . . . . . . | 458,757 |
| 485,120 | |||
| FNMA, 2.448%, (US 1 Year CMT T-Note +/- MBS Margin), 8/01/28 . . . . . . . . . . . . . . . . . . . . . . . . . | 751 |
| 756 | |||
| FNMA, 2.454%, (12-Month USD LIBOR +/- MBS Margin), 7/01/42 . . . . . . . . . . . . . . . . . . . . . . . . . . | 1,932,228 |
| 2,047,759 | |||
| FNMA, 2.459%, (US 1 Year CMT T-Note +/- MBS Margin), 6/01/32 . . . . . . . . . . . . . . . . . . . . . . . . . | 1,030 |
| 1,031 | |||
| FNMA, 2.459%, (12-Month USD LIBOR +/- MBS Margin), 7/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . | 7,309 |
| 7,694 | |||
| FNMA, 2.461%, (US 1 Year CMT T-Note +/- MBS Margin), 10/01/34 . . . . . . . . . . . . . . . . . . . . . . . . | 16,473 |
| 17,610 | |||
| FNMA, 2.467%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . | 90,642 |
| 92,240 | |||
| FNMA, 2.475%, (12-Month USD LIBOR +/- MBS Margin), 10/01/40 . . . . . . . . . . . . . . . . . . . . . . . . . | 500,397 |
| 529,891 | |||
| FNMA, 2.497%, (US 1 Year CMT T-Note +/- MBS Margin), 12/01/40 . . . . . . . . . . . . . . . . . . . . . . . . | 63,401 |
| 67,297 | |||
| FNMA, 2.513%, (12-Month USD LIBOR +/- MBS Margin), 11/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . | 33,308 |
| 35,249 | |||
| FNMA, 2.528%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/39 . . . . . . . . . . . . . . . . . . . . . . . . . | 51,356 |
| 54,649 | |||
| FNMA, 2.546%, (12-Month USD LIBOR +/- MBS Margin), 11/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . | 187,903 |
| 197,929 | |||
| FNMA, 2.548%, (12-Month USD LIBOR +/- MBS Margin), 7/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . | 67,310 |
| 68,323 | |||
| FNMA, 2.55%, (US 1 Year CMT T-Note +/- MBS Margin), 4/01/40 . . . . . . . . . . . . . . . . . . . . . . . . . . | 42,948 |
| 44,795 | |||
| FNMA, 2.553%, (US 1 Year CMT T-Note +/- MBS Margin), 8/01/32 . . . . . . . . . . . . . . . . . . . . . . . . . | 6,786 |
| 6,800 | |||
| FNMA, 2.553%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . | 40,114 |
| 40,197 | |||
| FNMA, 2.558%, (12-Month USD LIBOR +/- MBS Margin), 11/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . | 134,089 |
| 141,448 | |||
| FNMA, 2.568%, (US 1 Year CMT T-Note +/- MBS Margin), 12/01/40 . . . . . . . . . . . . . . . . . . . . . . . . | 968,149 |
| 1,030,203 | |||
| FNMA, 2.577%, (1 Year CMT +/- MBS Margin), 5/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 45,216 |
| 48,465 | |||
| FNMA, 2.581%, (12-Month USD LIBOR +/- MBS Margin), 5/01/38 . . . . . . . . . . . . . . . . . . . . . . . . . . | 1,194,597 |
| 1,263,806 | |||
| FNMA, 2.584%, (US 1 Year CMT T-Note +/- MBS Margin), 10/01/34 . . . . . . . . . . . . . . . . . . . . . . . . | 66,063 |
| 70,291 | |||
| FNMA, 2.591%, (1 Year CMT +/- MBS Margin), 1/01/23 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 624 |
| 625 | |||
| FNMA, 2.595%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/38 . . . . . . . . . . . . . . . . . . . . . . . . . | 194,079 |
| 195,461 | |||
| FNMA, 2.601%, (1 Year CMT +/- MBS Margin), 9/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 30,282 |
| 32,438 | |||
| FNMA, 2.604%, (US 1 Year CMT T-Note +/- MBS Margin), 5/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . | 9,977 |
| 10,592 | |||
| FNMA, 2.605%, (12-Month USD LIBOR +/- MBS Margin), 8/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . | 24,281 |
| 24,430 | |||
| FNMA, 2.605%, (12-Month USD LIBOR +/- MBS Margin), 4/01/44 . . . . . . . . . . . . . . . . . . . . . . . . . . | 2,108,055 |
| 2,228,810 | |||
| FNMA, 2.615%, (US 1 Year CMT T-Note +/- MBS Margin), 2/01/37 . . . . . . . . . . . . . . . . . . . . . . . . . | 29,214 |
| 28,951 | |||
| FNMA, 2.632%, (12-Month USD LIBOR +/- MBS Margin), 8/01/37 . . . . . . . . . . . . . . . . . . . . . . . . . . | 90,997 |
| 91,691 | |||
| FNMA, 2.638%, (12-Month USD LIBOR +/- MBS Margin), 8/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . . | 61,947 |
| 63,414 | |||
| FNMA, 2.65%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/33 . . . . . . . . . . . . . . . . . . . . . . . . . . | 5,503 |
| 5,535 | |||
| FNMA, 2.65%, (12-Month USD LIBOR +/- MBS Margin), 9/01/40 . . . . . . . . . . . . . . . . . . . . . . . . . . . | 66,821 |
| 70,766 | |||
| FNMA, 2.651%, (12-Month USD LIBOR +/- MBS Margin), 7/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . . | 52,945 |
| 53,406 | |||
| FNMA, 2.651%, (1 Year CMT +/- MBS Margin), 10/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 55,846 |
| 59,907 | |||
| FNMA, 2.678%, (12-Month USD LIBOR +/- MBS Margin), 9/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . | 132,507 |
| 138,480 | |||
| FNMA, 2.68%, (US 1 Year CMT T-Note +/- MBS Margin), 12/01/40 . . . . . . . . . . . . . . . . . . . . . . . . . | 287,650 |
| 306,512 | |||
| FNMA, 2.681%, (US 1 Year CMT T-Note +/- MBS Margin), 3/01/25 . . . . . . . . . . . . . . . . . . . . . . . . . | 4,134 |
| 4,145 | |||
| FNMA, 2.687%, (12-Month USD LIBOR +/- MBS Margin), 9/01/42 . . . . . . . . . . . . . . . . . . . . . . . . . . | 959,524 |
| 1,015,939 | |||
| FNMA, 2.695%, (12-Month USD LIBOR +/- MBS Margin), 5/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . | 89,129 |
| 94,525 | |||
| FNMA, 2.713%, (12-Month USD LIBOR +/- MBS Margin), 8/01/37 . . . . . . . . . . . . . . . . . . . . . . . . . . | 52,027 |
| 55,552 | |||
| FNMA, 2.72%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/39 . . . . . . . . . . . . . . . . . . . . . . . . . . | 1,194 |
| 1,195 | |||
| FNMA, 2.725%, (12-Month USD LIBOR +/- MBS Margin), 6/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . | 21,626 |
| 22,899 | |||
| FNMA, 2.727%, (US 1 Year CMT T-Note +/- MBS Margin), 8/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . | 125,605 |
| 133,925 | |||
| FNMA, 2.742%, (US 1 Year CMT T-Note +/- MBS Margin), 1/01/28 . . . . . . . . . . . . . . . . . . . . . . . . . | 1,533 |
| 1,540 | |||
| FNMA, 2.753%, (12-Month USD LIBOR +/- MBS Margin), 6/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . . | 29,719 |
| 31,519 | |||
| FNMA, 2.756%, (US 1 Year CMT T-Note +/- MBS Margin), 3/01/38 . . . . . . . . . . . . . . . . . . . . . . . . . | 8,453 |
| 8,543 |
14
Annual Report | franklintempleton.com |
F R A N K LI N E T F T R U S T
S T A T E M E N T O F I N V E S T M E N T S
Franklin Liberty Short Duration U.S. Government ETF (continued)
Principal Amount | Value |
Mortgage-Backed Securities (continued)
cFederal National Mortgage Association (FNMA) Adjustable Rate (continued)
FNMA, 2.783%, (US 1 Year CMT T-Note +/- MBS Margin), 5/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . | $ | 19,098 | $ | 19,182 |
FNMA, 2.784%, (12-Month USD LIBOR +/- MBS Margin), 5/01/37 . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 174,721 |
| 184,946 |
FNMA, 2.787%, (US 1 Year CMT T-Note +/- MBS Margin), 5/01/33 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 19,032 |
| 19,073 |
FNMA, 2.79%, (US 1 Year CMT T-Note +/- MBS Margin), 5/01/33 . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 29,360 |
| 31,278 |
FNMA, 2.801%, (12-Month USD LIBOR +/- MBS Margin), 10/01/34 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 5,529 |
| 5,567 |
FNMA, 2.807%, (US 1 Year CMT T-Note +/- MBS Margin), 1/01/32 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 19,170 |
| 19,718 |
FNMA, 2.816%, (US 1 Year CMT T-Note +/- MBS Margin), 6/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 33,727 |
| 36,016 |
FNMA, 2.878%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/28 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 1,449 |
| 1,446 |
FNMA, 2.884%, (US 1 Year CMT T-Note +/- MBS Margin), 4/01/34 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 37,901 |
| 37,266 |
FNMA, 2.917%, (US 1 Year CMT T-Note +/- MBS Margin), 2/01/25 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 4,370 |
| 4,373 |
FNMA, 2.941%, (US 1 Year CMT T-Note +/- MBS Margin), 12/01/30 . . . . . . . . . . . . . . . . . . . . . . . . |
| 3,153 |
| 3,148 |
FNMA, 2.98%, (12-Month USD LIBOR +/- MBS Margin), 3/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 5,573 |
| 5,884 |
FNMA, 2.984%, (12-Month USD LIBOR +/- MBS Margin), 3/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 22,164 |
| 23,721 |
FNMA, 3.001%, (US 1 Year CMT T-Note +/- MBS Margin), 8/01/39 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 4,436 |
| 4,489 |
FNMA, 3.025%, (12-Month USD LIBOR +/- MBS Margin), 4/01/33 . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 547 |
| 551 |
FNMA, 3.07%, (US 1 Year CMT T-Note +/- MBS Margin), 5/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 11,043 |
| 11,065 |
FNMA, 3.075%, (12-Month USD LIBOR +/- MBS Margin), 3/01/34 . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 126,621 |
| 132,535 |
FNMA, 3.233%, (12-Month USD LIBOR +/- MBS Margin), 3/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 2,207 |
| 2,221 |
FNMA, 3.383%, (12-Month USD LIBOR +/- MBS Margin), 5/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 21,431 |
| 22,661 |
FNMA, 3.575%, (11th District COF +/- MBS Margin), 10/01/27 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 243 |
| 246 |
FNMA, 3.64%, (12-Month USD LIBOR +/- MBS Margin), 5/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 87,117 |
| 92,294 |
FNMA, 4.109%, (11th District COF +/- MBS Margin), 8/01/28 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 17,361 |
| 17,676 |
FNMA, 4.825%, (US 1 Year CMT T-Note +/- MBS Margin), 3/01/33 . . . . . . . . . . . . . . . . . . . . . . . . . |
| 57,222 |
| 57,704 |
|
|
|
|
|
|
|
|
| 32,677,414 |
Federal National Mortgage Association (FNMA) Fixed Rate 23.3% |
|
|
|
|
|
|
|
| |
FNMA, 0.785%, 7/25/30 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 5,449,809 |
| 5,297,954 |
FNMA, 1.75%, 1/25/43 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 1,520,003 |
| 1,555,568 |
FNMA, 2.00%, 12/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 15,890,258 |
| 16,326,558 |
FNMA, 2.00%, 2/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 3,452,321 |
| 3,547,112 |
FNMA, 2.50%, 1/01/51 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 28,235,571 |
| 29,019,851 |
FNMA, 2.50%, 3/01/51 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 12,961,641 |
| 13,317,275 |
FNMA, 2.50%, 4/01/51 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 13,000,000 |
| 13,356,686 |
FNMA, 3.00%, 10/25/45 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 2,599,131 |
| 2,730,992 |
FNMA, 3.00%, 7/01/50 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 13,150,080 |
| 13,820,911 |
FNMA, 3.50%, 9/01/25 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 49,500 |
| 52,828 |
FNMA, 3.50%, 10/01/25 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 437,920 |
| 467,418 |
FNMA, 3.50%, 3/01/26 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 399,975 |
| 426,864 |
FNMA, 3.50%, 8/01/26 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 73,269 |
| 78,204 |
FNMA, 3.50%, 8/01/26 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 33,953 |
| 36,234 |
FNMA, 3.50%, 10/01/26 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 3,445 |
| 3,678 |
FNMA, 3.50%, 10/01/26 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 2,017 |
| 2,153 |
FNMA, 3.50%, 10/01/26 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 10,123 |
| 10,805 |
FNMA, 3.50%, 1/01/27 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 7,591 |
| 8,193 |
FNMA, 3.50%, 1/01/27 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 491,626 |
| 524,764 |
FNMA, 3.50%, 1/01/27 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 17,497 |
| 18,667 |
FNMA, 3.50%, 4/01/27 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 109,635 |
| 118,213 |
FNMA, 3.50%, 7/01/27 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 537,796 |
| 573,505 |
FNMA, 3.50%, 5/01/31 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 133,981 |
| 142,910 |
|
|
|
|
|
|
|
|
| 101,437,343 |
|
|
|
|
|
cGovernment National Mortgage Association (GNMA) Adjustable Rate 1.5%
GNMA, 0.411%, (1-Month USD LIBOR +/- MBS Margin), 4/20/37 . . . . . . . . . . . . . . . . . . . . . . . . . . . | 2,113,379 | 2,116,951 |
GNMA, 0.441%, (1-Month USD LIBOR +/- MBS Margin), 6/20/41 . . . . . . . . . . . . . . . . . . . . . . . . . . . | 2,731,831 | 2,752,500 |
GNMA, 0.706%, (1-Month USD LIBOR +/- MBS Margin), 1/16/40 . . . . . . . . . . . . . . . . . . . . . . . . . . . | 1,545,024 | 1,564,183 |
|
|
|
|
| 6,433,634 |
|
|
|
franklintempleton.com | Annual Report |
15
F R A N K LI N E T F T R U S T
S T A T E M E N T O F I N V E S T M E N T S
Franklin Liberty Short Duration U.S. Government ETF (continued)
|
|
|
|
|
| Principal Amount |
| Value | ||
|
|
|
|
|
|
|
|
|
|
|
| Mortgage-Backed Securities (continued) |
|
|
|
|
|
|
|
| |
| Government National Mortgage Association (GNMA) Fixed Rate 1.6% |
|
|
|
|
|
|
|
| |
| GNMA, 2.50%, 9/20/27 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| $ 1,484,755 |
| $ | 1,518,349 | ||||
| GNMA, 3.00%, 9/20/50 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 5,300,734 |
|
| 5,535,356 | ||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 7,053,705 |
| Total Mortgage-Backed Securities (Cost $326,567,207) |
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
| 326,010,916 | |||
|
|
| Number of |
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
| ||
|
|
| Contracts |
| Notional Amount# |
|
| |||
| Options Purchased 0.1% |
|
|
|
|
|
|
|
| |
| Puts – Exchange-Traded 0.1% |
|
|
|
|
|
|
|
| |
| U.S. Treasury 10 Yr. Note Futures, May Strike Price $130.00, Expires 5/21/21 . . | 165 | 165,000 |
|
|
| 113,437 | |||
| U.S. Treasury Long Bond Futures, May Strike Price $152.00, Expires 5/21/21 . . . | 46 | 46,000 |
|
|
| 61,813 | |||
| Total Options Purchased (Cost $127,248) |
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
| 175,250 | |||
| Total Investments before Short Term Investments |
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
| ||
|
| (Cost $428,213,534) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
|
|
|
|
| 428,343,907 | |
|
|
|
|
|
| Shares |
|
| ||
|
|
|
|
|
|
|
| |||
| Short Term Investments (Cost $6,687,494) 1.5% |
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
| ||
| Money Market Funds 1.5% |
|
|
|
|
|
|
|
| |
d,e Institutional Fiduciary Trust Money Market Portfolio, 0.01% . . . . . . . . . . . . . . . . . . . |
| 6,687,494 |
|
| 6,687,494 | |||||
| Total Investments (Cost $434,901,028) 99.8% |
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
| 435,031,401 | |||
| Other Assets, less Liabilities 0.2% . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
|
|
|
|
| 795,253 | ||
| Net Assets 100.0% |
|
|
|
|
|
|
|
| |
|
|
|
|
|
| $ | 435,826,654 |
#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.
aThe coupon rate shown represents the value inclusive of any caps or floors, if applicable, in effect at period end. bPrincipal amount of security is adjusted for inflation. See Note 1(f).
cAdjustable 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 mort- gages pay interest based on the index shown at their designated reset dates plus a spread, less the applicable servicing and guaranty fee (MBS margin).
dThe rate shown is the annualized seven-day effective yield at period end.
eSee Note 3(c) regarding investments in affiliated management investment companies.
At March 31, 2021, the Fund had the following futures contracts outstanding. See Note 1(c).
Futures Contracts
|
|
|
|
|
|
|
|
|
|
| Value/Unrealized | ||
|
|
|
| Number of | Notional | Expiration | Appreciation | ||||||
Description |
| Type | Contracts | Value* | Date | (Depreciation) | |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury 5 Yr. Note . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | Long | 130 | $16,041,797 |
| 6/30/21 | $ (65,256) | |||||||
U.S. Treasury 10 Yr. Note . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | Short | 150 | 19,640,625 |
| 6/21/21 | 109,951 | |||||||
U.S. Treasury 10 Yr. Ultra . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | Short | 48 | 6,897,000 |
| 6/21/21 | 235,644 | |||||||
U.S. Treasury Long Bond . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | Short | 94 | 14,531,812 |
| 6/21/21 | 341,027 | |||||||
U.S. Treasury Ultra Bond . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | Short | 4 | 724,875 |
| 6/21/21 | 30,307 | |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Futures Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | . . . . . . . | . . . . . . . . . . . . |
| . . . . . . . . . . . . . |
| . . | . . . . . . . . . . | $651,673 |
| ||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*As of period end.
See Note 8 regarding other derivative information.
See abbreviations on page 26.
16
Annual Report | The accompanying notes are an integral part of these financial statements. | franklintempleton.com |
F R A N K LI N E T F T R U S T
F I N A N C I A L S T A T E M E N T S
Statement of Assets and Liabilities
March 31, 2021
Franklin Liberty Short Duration U.S. Government ETF
Assets: |
|
|
Investments in securities: |
|
|
Cost – Unaffiliated issuers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | $ | 428,213,534 |
Cost – Non-controlled affiliates (Note 3c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 6,687,494 |
|
|
|
Value – Unaffiliated issuers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | $ | 428,343,907 |
Value – Non-controlled affiliates (Note 3c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 6,687,494 |
Receivables: |
|
|
Investment securities sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 283,168 |
Affiliates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 17,601 |
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 552,946 |
Deposits with broker for: |
|
|
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 641,638 |
Variation margin on futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 78,422 |
|
|
|
Total assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 436,605,176 |
Liabilities: |
|
|
|
| |
Payables: |
|
|
Distributions to shareholders . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 628,422 |
Accrued expenses and other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 150,100 |
|
|
|
Total liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 778,522 |
|
|
|
Net assets, at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | $ | 435,826,654 |
Net assets consist of: |
|
|
|
| |
Paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | $ | 444,008,717 |
Total distributable earnings (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| (8,182,063) |
|
|
|
Net assets, at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | $ | 435,826,654 |
|
|
|
Shares outstanding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 4,576,000 |
|
|
|
Net asset value per share . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | $ | 95.24 |
|
|
|
franklintempleton.com | The accompanying notes are an integral part of these financial statements. | Annual Report |
17
F R A N K LI N E T F T R U S T
F I N A N C I A L S T A T E M E N T S
Statement of Operations
for the year ended March 31, 2021
Franklin Liberty Short Duration U.S. Government ETF
Investment income: |
|
|
Dividends: |
|
|
Non-controlled affiliates (Note 3c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | $ | 2,042 |
Interest: |
|
|
Unaffiliated issuers: |
|
|
Inflation principal adjustments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 127,853 |
Paydown gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| (1,741,723) |
Paid in casha . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 6,309,648 |
Total investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 4,697,820 |
Expenses: |
|
|
|
| |
Management fees (Note 3a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 1,323,684 |
Transfer agent fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 10,522 |
Custodian fees (Note 4) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 3,969 |
Reports to shareholders . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 21,663 |
Registration and filing fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 36,314 |
Professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 171,518 |
Trustees fees and expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 26,989 |
Pricing fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 33,243 |
Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 3,438 |
|
|
|
Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 1,631,340 |
|
|
|
Expense reductions (Note 4) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| (33,765) |
Expenses waived/paid by affiliates (Note 3c and 3d) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| (528,271) |
|
|
|
Net expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 1,069,304 |
|
|
|
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 3,628,516 |
Realized and unrealized gains (losses): |
|
|
|
| |
Net realized gain (loss) from: |
|
|
Investments: |
|
|
Unaffiliated issuers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 1,171,641 |
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 983,977 |
|
|
|
Net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 2,155,618 |
Net change in unrealized appreciation (depreciation) on: |
|
|
|
| |
Investments: |
|
|
Unaffiliated issuers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| (1,392,688) |
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 852,218 |
|
|
|
Net change in unrealized appreciation (depreciation) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| (540,470) |
|
|
|
Net realized and unrealized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 1,615,148 |
|
|
|
Net increase (decrease) in net assets resulting from operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | $ | 5,243,664 |
|
|
|
aIncludes amortization of premium and accretion.
18
Annual Report | The accompanying notes are an integral part of these financial statements. | franklintempleton.com |
F R A N K LI N E T F T R U S T
F I N A N C I A L S T A T E M E N T S
Statements of Changes in Net Assets
Franklin Liberty Short Duration U.S. Government ETF
|
| Year Ended March 31, | |||
|
| 2021 |
|
| 2020 |
|
|
|
|
|
|
Increase (decrease) in net assets: |
|
|
|
|
|
Operations: |
|
|
|
|
|
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | $ | 3,628,516 | $ | 3,141,110 | |
Net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 2,155,618 |
|
| (418,495) |
Net change in unrealized appreciation (depreciation) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| (540,470) |
|
| 1,725,429 |
|
|
|
|
|
|
Net increase (decrease) in net assets resulting from operations . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 5,243,664 |
|
| 4,448,044 |
|
|
|
|
|
|
Distributions to shareholders (Note 1f) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| (5,978,409) |
|
| (3,778,883) |
|
|
|
|
|
|
Capital share transactions (Note 2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 249,166,328 |
|
| 61,549,347 |
|
|
|
|
|
|
Net increase (decrease) in net assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 248,431,583 |
|
| 62,218,508 |
Net assets: |
|
|
|
|
|
Beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| 187,395,071 |
|
| 125,176,563 |
|
|
|
|
| |
End of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | $ | 435,826,654 | $ | 187,395,071 | |
|
|
|
|
|
|
franklintempleton.com | The accompanying notes are an integral part of these financial statements. | Annual Report |
19
F R A N K LI N E T F T R U S T
F R A N K L I N L I B E R T Y S H O R T D U R AT I O N U . S . G O V E R N M E N T E T F
Notes to Financial Statements
1.Organization and Significant Accounting Policies
Franklin ETF Trust (Trust) is registered under the Investment Company Act of 1940 (1940 Act) as an open-end manage- ment investment company, consisting of three separate funds and applies the specialized accounting and reporting guidance in U.S. Generally Accepted Accounting Principles (U.S. GAAP). Franklin Liberty Short Duration U.S. Govern- ment ETF (Fund) is included in this report. The Fund is an exchange traded fund (ETF) and is actively managed, thus it is not designed to track an index.
Subsequent to May 31, 2017, the Fund’s fiscal year end changed to March 31.
The following summarizes the Fund’s significant accounting policies.
a. 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 mea- surement 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 securi- ties 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 ser- vices 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 deter- mine 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.
The Fund has procedures to determine the fair value of finan- cial 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 dis- counted 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 uncer- tainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed.
b. Securities Purchased on a TBA Basis
The Fund purchases securities on a to-be-announced (TBA) basis, with payment and delivery scheduled for a future date. These transactions are subject to market fluctuations and are subject to the risk that the value at delivery may be more or less than the trade date purchase price. Sufficient assets have been segregated for these securities.
c. Derivative Financial Instruments
The Fund 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 con- tain 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 which expose the Fund to gains or losses in excess of the amounts shown in the Statement of Assets and Liabilities. Realized gain and loss and unrealized appreciation and depreciation on these con- tracts for the period are included in the Statement
of Operations.
Collateral requirements differ by type of derivative. Collateral or initial margin requirements are set by the broker or
20
Annual Report | franklintempleton.com |
F R A N K LI N E T F T R U S T
N O T E S T O F I N A N C I A L S T A T E M E N T S
Franklin Liberty Short Duration U.S. Government ETF (continued)
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.
The Fund entered into exchange traded futures contracts pri- marily to manage and/or gain exposure to interest 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 varia- tion margin payable or receivable in the Statement of Assets and Liabilities.
The Fund purchased or wrote exchange traded and/or OTC option contracts primarily to manage and/or gain exposure to interest 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 invest- ment 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.
See Note 8 regarding other derivative information.
d. Mortgage Dollar Rolls
The Fund enters into mortgage dollar rolls, typically on a TBA basis. Mortgage dollar rolls are agreements between the Fund and a financial institution where the Fund sells (or buys) mortgage-backed securities for delivery on a specified date and simultaneously contracts to repurchase (or sell) substantially similar (same type, coupon, and maturity) secu- rities at a future date and at a predetermined price. Gains or losses are realized on the initial sale, and the difference between the repurchase price and the sale price is recorded as an unrealized gain or loss to the Fund upon entering into the mortgage dollar roll. In addition, the Fund may invest the cash proceeds that are received from the initial sale. During the period between the sale and repurchase, the Fund is not entitled to principal and interest paid on the mortgage-backed securities. Transactions in mortgage dollar rolls are accounted for as purchases and sales and may result in an
increase to the Fund’s portfolio turnover rate. The risks of mortgage dollar roll transactions include the potential inability of the counterparty to fulfill its obligations.
e. Income Taxes
It is the Fund’s policy to qualify as a regulated investment company under the Internal Revenue Code. The Fund intends to distribute to shareholders substantially all of its taxable income and net realized gains to relieve it from federal income and excise taxes. As a result, no provision for U.S. federal income taxes is required.
The Fund may recognize an income tax liability related to its uncertain tax positions under U.S. GAAP when the uncertain tax position has a less than 50% probability that it will be sus- tained upon examination by the tax authorities based on its technical merits. As of March 31, 2021, the Fund has deter- mined that no tax liability is required in its financial statements related to uncertain tax positions for any open tax years (or expected to be taken in future tax years). Open tax years are those that remain subject to examination and are based on the statute of limitations in each jurisdiction in which the Fund invests.
f. Security Transactions, Investment Income, Expenses and Distributions
Security transactions are accounted for on trade date. Real- ized gains and losses on security transactions are determined on a specific identification basis. Interest income and estimated expenses are accrued daily. Amortization of premium and accretion of discount on debt securities are included in interest income. Paydown gains and losses are recorded separately in the Statement of Operations. Dividend income is recorded on ex-dividend date. Distributions to shareholders are recorded on the ex-dividend date and are determined according to income tax regulations (tax basis). Distributable earnings determined on a tax basis may differ from earnings recorded in accordance with U.S. GAAP. These differences may be permanent or temporary. Perma- nent differences are reclassified among capital accounts to reflect their tax character. These reclassifications have no impact on net assets or the results of operations. Temporary differences are not reclassified, as they may reverse in sub- sequent periods.
Inflation-indexed bonds are adjusted for inflation through periodic increases or decreases in the security’s interest
franklintempleton.com | Annual Report |
21
F R A N K LI N E T F T R U S T
N O T E S T O F I N A N C I A L S T A T E M E N T S
Franklin Liberty Short Duration U.S. Government ETF (continued)
1.Organization and Significant Accounting Policies (continued)
f. Security Transactions, Investment Income, Expenses and Distributions (continued)
accruals, face amount, or principal redemption value, by amounts corresponding to the rate of inflation as measured by an index. Any increase or decrease in the face amount or principal redemption value will be included as inflation princi- pal adjustments in the Statement of Operations.
g. Accounting Estimates
The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and
liabilities at the date of the financial statements and the amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
h. Guarantees and Indemnifications
Under the Fund’s organizational documents, its officers and trustees are indemnified by the Fund against certain liabilities arising out of the performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts with service providers that contain gen- eral indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred. Currently, the Fund expects the risk of loss to be remote.
2. Shares of Beneficial Interest
Shares of the Fund are issued and redeemed at their respective NAV only in aggregations of a specified number of shares or multiples thereof (Creation Units). Only certain large institutional investors (Authorized Participants) may engage in creation or redemption transactions directly with the Fund. Once created, shares of the Fund generally trade in the secondary market in amounts less than one Creation Unit. The market price of the Fund ‘s shares will be based on the price in the secondary mar- ket which may be at, above or below the most recent NAV. Creation Units may be issued and redeemed for cash and/or in-kind. For the years ended March 31, 2021 and 2020, all Creations Unit transactions were made in cash.
Authorized participants pay a standard transaction fee to the shareholder servicing agent when purchasing or redeeming Cre- ation Units of the Fund regardless of the number of Creation Units that are being created or redeemed on the same day by the Authorized Participant. The standard transaction fee is imposed to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units and is not charged to or paid by the Fund.
In addition, for cash Creation Unit transactions, a variable fee for creation transactions and redemption transactions may be charged to the Authorized Participant to cover certain brokerage, tax, foreign exchange, execution, market impact and other costs and expenses related to the execution of trades. Variable fees, if any, are included in capital share transactions in the Statements of Changes in Net Assets.
At March 31, 2021, there were an unlimited number of shares authorized (without par value). Transactions in the Fund’s shares were as follows:
|
|
|
| Year ended March 31, |
|
|
| ||
|
| 2021 |
|
| 2020 | ||||
|
|
|
|
|
|
|
|
|
|
| Shares |
|
| Amount |
| Shares |
|
| Amount |
|
|
|
|
|
|
|
|
|
|
Shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 3,900,000 | $ 373,194,517 | 1,000,000 | $ 94,692,462 | |||||
Shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | (1,300,000) | (124,028,189) | (350,000) | (33,143,115) | |||||
|
|
|
|
| |||||
Net increase (decrease) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 2,600,000 | $ 249,166,328 | 650,000 | $ 61,549,347 | |||||
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22
Annual Report | franklintempleton.com |
F R A N K LI N E T F T R U S T
N O T E S T O F I N A N C I A L S T A T E M E N T S
Franklin Liberty Short Duration U.S. Government ETF (continued)
3. Transactions with Affiliates
Franklin Resources, Inc. is the holding company for various subsidiaries that together are referred to as Franklin Templeton. Certain officers and trustees of the Fund are also officers and/or directors of the following subsidiaries:
Subsidiary | Affiliation |
Franklin Advisers, Inc. (Advisers) | Investment manager |
|
|
Franklin Templeton Services, LLC (FT Services) | Administrative manager |
|
|
Franklin Templeton Distributors, Inc. (Distributors) | Principal underwriter |
|
|
a. Management Fees
The Fund pays an investment management fee to Advisers of 0.30% per year of the average daily net assets of the Fund.
b. Administrative Fees
Under an agreement with Advisers, FT Services provides administrative services to the Fund. The fee is paid by Advisers based on the Fund’s average daily net assets, and is not an additional expense of the Fund.
c. 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. Management fees paid by the Fund are waived on assets invested in the affiliated management investment companies as noted in the Statement of Operations. During the year ended March 31, 2021, the Fund held investments in affiliated management investment companies as follows:
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|
|
|
|
|
|
| Number of |
| |
|
|
|
|
|
|
|
|
|
|
| Net Change |
|
| Shares |
| ||
|
| Value at |
|
|
|
|
|
|
| in Unrealized | Value at | Held at |
| ||||
|
| Beginning |
|
|
|
|
| Realized | Appreciation | End of | End | Dividend | |||||
|
| of Year | Purchases | Sales | Gain (Loss) | (Depreciation) | Year | of Year | Income | ||||||||
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|
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Non-Controlled Affiliates |
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|
| |||
Institutional Fiduciary Trust |
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|
| |||
Money Market Portfolio, |
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|
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|
|
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|
| |||
0.01% . . . . . . . . . . . . . . . . . . . $27,976,197 | $598,679,963 | $(619,968,666) | $ — | $ — | $6,687,494 | 6,687,494 | $2,042 |
d. Waiver and Expense Reimbursements
Advisers has contractually agreed in advance to waive or limit its fees and to assume as its own expense certain expenses otherwise payable by the Fund so that the expenses (including acquired fund fees and expenses) of the Fund do not exceed 0.25% based on the average net assets (other than certain non-routine expenses or costs, including those relating to litigation, indemnification, reorganizations, and liquidations) until July 31, 2021. Total expenses waived or paid are not subject to recap- ture subsequent to the Fund’s fiscal year end.
e. Other Affiliated Transactions
At March 31, 2021, Franklin Resources Inc. owned 0.04% of the Fund’s outstanding shares.
4. Expense Offset Arrangement
The Fund has entered into an arrangement with its custodian whereby credits realized as a result of uninvested cash balances are used to reduce a portion of the Fund’s custodian expenses. During the year ended March 31, 2021, the custodian fees were reduced as noted in the Statement of Operations.
franklintempleton.com | Annual Report |
23
F R A N K LI N E T F T R U S T
N O T E S T O F I N A N C I A L S T A T E M E N T S
Franklin Liberty Short Duration U.S. Government ETF (continued)
5. Income Taxes
For tax purposes, capital losses may be carried over to offset future capital gains, if any. At March 31, 2021, the capital loss carryforwards were as follows:
Capital loss carryforwards: |
|
Short term . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | $3,223,368 |
Long term . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 4,810,925 |
|
|
Total capital loss carryforwards . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | $8,034,293 |
|
|
The tax character of distributions paid during the years ended March 31, 2021 and 2020 was as follows:
March 31,
2021 2020
Distributions paid from ordinary income . . . . . . . . . . . . . . . . . . | $5,978,409 | $3,778,883 |
At March 31, 2021, the cost of investments, net unrealized appreciation (depreciation) and undistributed ordinary income for income tax purposes were as follows:
Cost of investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | $ | 435,882,847 |
Unrealized appreciation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | $ | 1,915,475 |
Unrealized depreciation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
| (2,114,664) |
|
|
|
Net unrealized appreciation (depreciation) . . . . . . . . . . . . . . . . . . . . . . . . . . . . | $ | (199,189) |
|
|
|
Distributable earnings – undistributed ordinary income . . . . . . . . . . . . . . . . . | $ | 679,842 |
|
|
|
Differences between income and/or capital gains as determined on a book basis and a tax basis are primarily due to differing treatments of paydown losses and bond discounts and premiums.
6. Investment Transactions
Purchases and sales of investments (excluding short term securities) for the year ended March 31, 2021, aggregated $1,134,709,794 and $903,738,136, respectively.
7. Novel Coronavirus Pandemic
The global outbreak of a novel coronavirus disease, known as COVID-19, has caused adverse effects on many companies, sectors, nations, regions and the market in general, and may continue for an unpredictable duration. The effects of this pan- demic may materially impact the value and performance of the Fund, its ability to buy and sell fund investments at appropriate valuations and its ability to achieve its investment objectives.
8. Other Derivative Information
At March 31, 2021, the Fund’s investments in derivative contracts are reflected in the Statement of Assets and Liabilities as follows:
|
| Asset Derivatives |
|
|
| Liability Derivatives |
|
|
|
Derivative Contracts |
|
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|
|
|
|
|
|
|
Not Accounted for as |
| Statement of Assets and |
|
|
| Statement of Assets and |
|
|
|
Hedging Instruments |
| Liabilities Location |
| Fair Value |
| Liabilities Location |
| Fair Value | |
|
|
|
|
|
|
|
|
|
|
Interest rate contracts . . . . . . . . . . . . . . |
| Investments in securities, at value |
| $175,250a |
| Variation margin |
| $65,256b | |
|
| Variation margin |
| 716,929b |
|
|
|
|
|
aPurchased option contracts are included in investments in securities, at value in the Statement of Assets and Liabilities.
bThis amount reflects the cumulative appreciation (depreciation) of futures contracts as reported in the Statement of Investments. Only the variation margin receivable/payable at period end is separately reported within the Statement of Assets and Liabilities. Prior variation margin movements were recorded to cash upon receipt or payment.
24
Annual Report | franklintempleton.com |
F R A N K LI N E T F T R U S T
N O T E S T O F I N A N C I A L S T A T E M E N T S
Franklin Liberty Short Duration U.S. Government ETF (continued)
For the year ended March 31, 2021, the effect of derivative contracts in the Fund’s Statement of Operations was as follows:
|
|
|
|
|
|
|
| Net Change in | |
|
|
|
|
|
|
|
| Unrealized | |
Derivative Contracts |
|
|
| Net Realized |
|
|
| Appreciation | |
Not Accounted for as |
| Statement of |
| Gain (Loss) |
| Statement of |
| (Depreciation) | |
Hedging Instruments |
| Operations Locations |
| for the Year |
| Operations Locations |
| for the Year | |
|
|
|
|
|
|
|
|
|
|
|
| Net realized gain (loss) from: |
|
|
| Net change in unrealized |
|
|
|
|
|
|
|
|
| appreciation (depreciation) on: |
|
|
|
Interest rate contracts . . . . . . . . |
| Investments |
| $784,909a |
| Investments |
| $ 48,002a | |
|
| Futures contracts | 983,977 |
| Futures contracts | 852,218 |
aPurchased option contracts are included in net realized gain (loss) from investments and net change in unrealized appreciation (depreciation) on investments in the Statement of Operations.
For the year ended March 31, 2021, the average month end notional amount of options and futures contracts represented 49,000 shares/units and $26,303,145, respectively.
See Note 1(c) regarding derivative financial instruments.
9. Fair Value Measurements
The Fund follows a fair value hierarchy that distinguishes between market data obtained from independent sources (observ- able 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, pre- payment 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 March 31, 2021, in valuing the Fund’s assets carried at fair value, is as follows:
|
|
| Level 1 |
|
| Level 2 |
| Level 3 |
|
| Total |
Assets: |
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities: |
|
|
|
|
|
|
|
|
|
|
|
U.S. Government and Agency Securities . . . . . . . . . . . . . . . . . . . . . . . | $ | — | $ | 102,157,741 |
| $ — | $ | 102,157,741 | |||
Mortgage-Backed Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
| — |
|
| 326,010,916 |
| — |
|
| 326,010,916 |
Options Purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
| 175,250 |
|
| — |
| — |
|
| 175,250 |
Short Term Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
| 6,687,494 |
|
| — |
| — |
|
| 6,687,494 |
|
|
|
|
|
|
|
|
| |||
Total Investments in Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | $ | 6,862,744 | $ | 428,168,657 |
| $ — | $ | 435,031,401 | |||
Other Financial Instruments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Futures Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | $ | 716,929 | $ | — |
| $ — | $ | 716,929 | |||
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Other Financial Instruments: |
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | $ | 65,256 | $ | — |
| $ — | $ | 65,256 | |||
|
|
|
|
|
|
|
|
|
|
|
|
franklintempleton.com | Annual Report |
25
F R A N K LI N E T F T R U S T
N O T E S T O F I N A N C I A L S T A T E M E N T S
Franklin Liberty Short Duration U.S. Government ETF (continued)
10. New Accounting Pronouncement
In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2020-04, Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in the ASU provides optional temporary financial reporting relief from the effect of certain types of contract modi- fications due to the planned discontinuation of the London Interbank Offered Rate (LIBOR) and other interbank-offered based reference rates as of the end of 2021. The ASU is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management has reviewed the requirements and believes the adoption of this ASU will not have a material impact on the financial statements.
11. Subsequent Events
The Fund has evaluated subsequent events through the issuance of the financial statements and determined that no events have occurred that require disclosure.
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
26
Annual Report | franklintempleton.com |
F R A N K LI N E T F T R U S T
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Franklin ETF Trust and Shareholders of Franklin Liberty Short Duration U.S. Government ETF
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the statement of investments, of Franklin Lib- erty Short Duration U.S. Government ETF (one of the funds constituting Franklin ETF Trust, hereafter collectively referred to as the “Fund”) as of March 31, 2021, the related statement of operations for the year ended March 31, 2021, the statement of changes in net assets for each of the two years in the period ended March 31, 2021, including the related notes, and the finan- cial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of March 31, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended March 31, 2021 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Account- ing Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the
PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of March 31, 2021 by correspondence with the custodian, transfer agent, and brokers; when replies were not received from brokers, we performed other auditing pro- cedures. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
San Francisco, California
May 20, 2021
We have served as the auditor of one or more investment companies in the Franklin Templeton funds since 1948.
franklintempleton.com | Annual Report |
27
F R A N K LI N E T F T R U S T
Tax Information (unaudited)
Under section 871(k)(1)(C) of the Internal Revenue Code, the Fund hereby reports the maximum amount allowable but no less than $5,947,116 as interest related dividends for purposes of the tax imposed under Section 871(a)(1)(A) of the Internal Reve- nue Code for the fiscal year ended March 31, 2021.
28
Annual Report | franklintempleton.com |
F R A N K LI N E T F T R U S T
Board Members and Officers
The name, year of birth and address of the officers and board members, as well as their affiliations, positions held with the Trust, principal occupations during at least the past five years and number of U.S. registered portfolios overseen in the Franklin Templeton fund complex, are shown below. Generally, each board member serves until that person’s successor is elected and qualified.
Independent Board Members
|
|
| Number of Portfolios in |
|
Name, Year of Birth |
| Length of | Fund Complex Overseen | Other Directorships Held During |
and Address | Position | Time Served | by Board Member* | at Least the Past 5 Years |
|
|
|
|
|
Rohit Bhagat (1964) | Lead | Since 2017 | 49 | AssetMark Financial Holdings, Inc. |
One Franklin Parkway | Independent |
|
| (investment solutions) (2018-present) |
San Mateo, CA 94403-1906 | Trustee |
|
| and PhonePe (December 2020) |
|
|
|
| (payment and financial services); |
|
|
|
| formerly, Axis Bank (financial) (2013- |
|
|
|
| 2021), FlipKart Limited (2019- |
|
|
|
| December 2020) (eCommerce |
|
|
|
| company); CapFloat Financial |
|
|
|
| Services Pvt., Ltd. (non-banking |
|
|
|
| finance company) (2018) and Zentific |
|
|
|
| Investment Management (hedge fund) |
|
|
|
| (2015-2018). |
Principal Occupation During at Least the Past 5 Years:
Managing Member, Mukt Capital, LLC (private investment firm) (2014-present); Advisor, Optimal Asset Management (investment technology and advisory services company) (2015-present); Chief Executive Officer and Director, FinTech Evolution Acquisition (eCommerce company) (February 2021-present); and formerly, Chairman, Asia Pacific, BlackRock (2009-2012); Global Chief Operating Officer, Barclays Global Investors (investment management) (2005-2009); and Senior Partner, The Boston Consulting Group (management consulting) (1992-2005).
Deborah D. McWhinney (1955) | Trustee | Since 2020 | 49 | IHS Markit (information services) |
One Franklin Parkway |
|
|
| (2015-present), Borg Warner |
San Mateo, CA 94403-1906 |
|
|
| (automotive) (2018-present), |
|
|
|
| LegalShield (consumer services) |
|
|
|
| (2020-present); and formerly, Fluor |
|
|
|
| Corporation (construction and |
|
|
|
| engineering) (2014-2020) and Focus |
|
|
|
| Financial Partner, LLC (financial |
|
|
|
| services) (2018-2020). |
Principal Occupation During at Least the Past 5 Years:
Director of various companies; and formerly, Board Member, Lloyds Banking Group (2015-2018) (financial institution) and Fresenius Medical Group (2016-2018) (healthcare); Chief Executive Officer (2013-2014) and Chief Operating Officer (2011-2013), CitiGroup Global Enterprise Payments (financial services); and President, Citi’s Personal Banking and Wealth Management (2009-2011).
Anantha K. Pradeep (1963) Trustee Since 2017 49None
One Franklin Parkway
San Mateo, CA 94403-1906
Principal Occupation During at Least the Past 5 Years:
Chief Executive Officer, Smilable, Inc. (technology company) (2014-present); Chief Executive Officer, MachineVantage (technology company) (2018-present); Founder and Managing Partner, Consult Meridian, LLC (consulting company) (2009-present); and formerly, Founder, BoardVantage (board portal solutions provider delivering paperless process for boards and leadership) (2000-2002).
franklintempleton.com | Annual Report |
29
F R A N K LI N E T F T R U S T
Interested Board Members and Officers
|
|
| Number of Portfolios in |
|
Name, Year of Birth |
| Length of | Fund Complex Overseen | Other Directorships Held During |
and Address | Position | Time Served | by Board Member* | at Least the Past 5 Years |
|
|
|
|
|
**Jennifer M. Johnson (1964) | Trustee and | Since 2017 | 60 | None |
One Franklin Parkway | Chairperson of |
|
|
|
San Mateo, CA 94403-1906 | the Board |
|
|
|
Principal Occupation During at Least the Past 5 Years:
Chief Executive Officer, President and Director, Franklin Resources, Inc.; officer and/or director or trustee, as the case may be, of some of the other subsidiaries of Franklin Resources, Inc. and of six of the investment companies in Franklin Templeton; and formerly, Chief Operating Officer and Executive Vice President, Franklin Resources, Inc. (1994-2015); Executive Vice President of Operations and Technology, Franklin Resources, Inc. (2005-2010); and Senior Vice President, Franklin Resources, Inc. (2003-2005).
Alison E. Baur (1964) | Vice President Since 2012 | Not Applicable | Not Applicable |
One Franklin Parkway |
|
|
|
San Mateo, CA 94403-1906 |
|
|
|
Principal Occupation During at Least the Past 5 Years:
Deputy General Counsel, Franklin Templeton; and officer of some of the other subsidiaries of Franklin Resources, Inc. and of 42 of the investment companies in Franklin Templeton.
Breda M. Beckerle (1958) | Chief | Since | Not Applicable | Not Applicable |
280 Park Avenue | Compliance | November 2020 |
|
|
New York, NY 10017 | Officer |
|
|
|
Principal Occupation During at Least the Past 5 Years:
Chief Compliance Officer, Fiduciary Investment Management International, Inc., Franklin Advisers, Inc., Franklin Advisory Services, LLC, Franklin Mutual Advisers, LLC, Franklin Templeton Institutional, LLC; and officer of 42 of the investment companies in Franklin Templeton.
Steven J. Gray (1955) | Vice President Since 2012 | Not Applicable | Not Applicable |
One Franklin Parkway |
|
|
|
San Mateo, CA 94403-1906 |
|
|
|
Principal Occupation During at Least the Past 5 Years:
Senior Associate General Counsel, Franklin Templeton; Vice President, Franklin Templeton Distributors, Inc. and FASA, LLC; and officer of 42 of the investment companies in Franklin Templeton.
Matthew T. Hinkle (1971) | Chief | Since 2017 | Not Applicable | Not Applicable |
One Franklin Parkway | Executive |
|
|
|
San Mateo, CA 94403-1906 | Officer – |
|
|
|
| Finance and |
|
|
|
| Administration |
|
|
|
Principal Occupation During at Least the Past 5 Years:
Senior Vice President, Franklin Templeton Services, LLC; officer of 42 of the investment companies in Franklin Templeton; and formerly, Vice President, Global Tax (2012-April 2017) and Treasurer/Assistant Treasurer, Franklin Templeton (2009-2017).
Robert Lim (1948) | Vice | Since 2016 | Not Applicable | Not Applicable |
One Franklin Parkway | President – |
|
|
|
San Mateo, CA 94403-1906 | AML |
|
|
|
| Compliance |
|
|
|
Principal Occupation During at Least the Past 5 Years:
Vice President, Franklin Templeton Companies, LLC; Chief Compliance Officer, Franklin Templeton Distributors, Inc. and Franklin Templeton Investor Services, LLC; and officer of 42 of the investment companies in Franklin Templeton.
Patrick O’Connor (1967) | President and | Since 2017 | Not Applicable | Not Applicable |
One Franklin Parkway | Chief |
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San Mateo, CA 94403-1906 | Executive |
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| Officer – |
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| Investment |
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| Management |
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Principal Occupation During at Least the Past 5 Years:
President and Chief Investment Officer, Franklin Advisory Services, LLC; Senior Vice President, Franklin Advisers, Inc.; officer of three of the investment companies in Franklin Templeton; and formerly, Managing Director, Head of iShares Product Canada, BlackRock (1998-2014).
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Annual Report | franklintempleton.com |
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| F R A N K LI N E T F T R U S T |
Interested Board Members and Officers (continued) |
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| Number of Portfolios in |
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Name, Year of Birth |
| Length of | Fund Complex Overseen | Other Directorships Held During |
and Address | Position | Time Served | by Board Member* | at Least the Past 5 Years |
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Vivek Pai (1970) | Treasurer, | Since 2019 | Not Applicable | Not Applicable |
300 S.E. 2nd Street | Chief |
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Fort Lauderdale, | Financial |
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FL 33301-1923 | Officer and |
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| Chief |
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| Accounting |
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| Officer |
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Principal Occupation During at Least the Past 5 Years:
Treasurer, U.S. Fund Administration & Reporting and officer of three of the investment companies in Franklin Templeton.
Navid J. Tofigh (1972) | Vice President | Vice President | Not Applicable | Not Applicable |
One Franklin Parkway | and Secretary | since 2015 and |
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San Mateo, CA 94403-1906 |
| Secretary since |
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| 2017 |
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Principal Occupation During at Least the Past 5 Years:
Associate General Counsel and officer of 42 of the investment companies in Franklin Templeton.
Craig S. Tyle (1960) | Vice President Since 2012 | Not Applicable | Not Applicable |
One Franklin Parkway |
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San Mateo, CA 94403-1906 |
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Principal Occupation During at Least the Past 5 Years:
General Counsel and Executive Vice President, Franklin Resources, Inc.; and officer of some of the other subsidiaries of Franklin Resources, Inc. and of 42 of the investment companies in Franklin Templeton.
Lori A. Weber (1964) | Vice President Since 2012 | Not Applicable | Not Applicable |
300 S.E. 2nd Street |
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Fort Lauderdale, FL 33301-1923 |
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Principal Occupation During at Least the Past 5 Years:
Senior Associate General Counsel, Franklin Templeton; Assistant Secretary, Franklin Resources, Inc.; Vice President and Secretary, Templeton Investment Counsel, LLC; and officer of 42 of the investment companies in Franklin Templeton.
*We base the number of portfolios on each separate series of the U.S. registered investment companies within the Franklin Templeton fund complex. These portfolios have a common investment manager or affiliated investment managers.
**Jennifer M. Johnson is considered to be an interested person of the Fund under the federal securities laws due to her position as an officer and director of Franklin Resources, Inc. (Resources), which is the parent company of the Fund’s investment manager and distributor.
Note 1: Officer information is current as of the date of this report. It is possible that after this date, information about officers may change.
The Sarbanes-Oxley Act of 2002 and Rules adopted by the Securities and Exchange Commission require the Fund to disclose whether the Fund’s Audit Commit- tee includes at least one member who is an audit committee financial expert within the meaning of such Act and Rules. The Fund’s Board has determined that there is at least one such financial expert on the Audit Committee and has designated Rohit Bhagat as its audit committee financial expert. The Board believes that Mr. Bhagat qualifies as such an expert in view of his extensive business background and experience, including extensive experience in the asset manage- ment and financial services industries. Mr. Bhagat has been a Member and Chairman of the Fund’s Audit Committee since 2017. As a result of such background and experience, the Board believes that Mr. Bhagat has acquired an understanding of generally accepted accounting principles and financial statements, the gen- eral application of such principles in connection with the accounting estimates, accruals and reserves, and analyzing and evaluating financial statements that present a breadth and level of complexity of accounting issues generally comparable to those of the Fund, as well as an understanding of internal controls and procedures for financial reporting and an understanding of audit committee functions. Mr. Bhagat is an independent Board member as that term is defined under the relevant Securities and Exchange Commission Rules and Releases.
The Statement of Additional Information (SAI) includes additional information about the board members and is available, without charge, upon request. Share- holders may call (800) DIAL BEN/342-5236 to request the SAI.
franklintempleton.com | Annual Report |
31
F R A N K LI N E T F T R U S T
Shareholder Information
Proxy Voting Policies and Procedures
The Fund’s investment manager has established Proxy Vot- ing Policies and Procedures (Policies) that the Fund uses to determine how to vote proxies relating to portfolio securities. Shareholders may view the Fund’s complete Policies online at franklintempleton.com. Alternatively, shareholders may request copies of the Policies free of charge by calling the Proxy Group collect at (954) 527-7678 or by sending a writ- ten request to: Franklin Templeton Companies, LLC, 300 S.E. 2nd Street, Fort Lauderdale, FL 33301, Attention: Proxy Group. Copies of the Fund’s proxy voting records are also made available online at franklintempleton.com and posted on the U.S. Securities and Exchange Commission’s website at sec.gov and reflect the most recent 12-month period ended June 30.
Quarterly Statement of Investments
The Trust, on behalf of the Fund, files a complete statement of investments with the U.S. Securities and Exchange Com- mission for the first and third quarters for each fiscal year as an exhibit to its report on Form N-PORT. Shareholders may view the filed Form N-PORT by visiting the Commission’s website at sec.gov. The filed form may also be viewed and copied at the Commission’s Public Reference Room in Washington, DC. Information regarding the operations of the Public Reference Room may be obtained by calling
(800) SEC-0330.
Premium/Discount Information
Information about the differences between the daily market price on the secondary market for the shares of the Fund and the Fund’s net asset value may be found on the Fund’s web- site at franklintempleton.com.
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Annual Report | franklintempleton.com |
Authorized for distribution only when accompanied or preceded by a summary prospectus and/or prospectus. Investors should carefully consider a fund’s investment goals, risks, charges and expenses before investing. A prospectus contains this and other information; please read it carefully before investing.
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Annual Report
Franklin Liberty Short Duration U.S. Government ETF
Investment Manager | Distributor | Investor Services |
Franklin Advisers, Inc. | Franklin Templeton Distributors, Inc. | Transfer Agent |
| (800) DIAL BEN®/342-5236 | BNY Mellon |
| franklintempleton.com | (855) 231-1706 |
|
| 111 Sanders Creek Parkway |
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| East Syracuse, NY 13057 |
© 2021 Franklin Templeton Investments. All rights reserved. | FTSD A 05/21 |