FRANKLIN INTERNATIONAL LOW VOLATILITY HIGH DIVIDEND INDEX ETF
Schedules of investments (unaudited) | December 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | SHARES | VALUE | ||||||
COMMON STOCKS - 98.5% | ||||||||
COMMUNICATION SERVICES - 11.9% | ||||||||
Diversified Telecommunication Services - 6.9% | ||||||||
BT Group PLC | 1,098,880 | $ | 1,731,455 | |||||
Koninklijke KPN NV | 2,064,797 | 7,111,779 | ||||||
Orange SA | 1,039,465 | 11,831,518 | ||||||
Proximus SADP | 133,071 | 1,250,944 | ||||||
Singapore Telecommunications Ltd. | 4,428,400 | 8,292,129 | ||||||
Swisscom AG, Registered Shares | 11,208 | 6,738,250 | ||||||
Telefonica SA | 2,133,343 | 8,328,216 | ||||||
|
| |||||||
Total Diversified Telecommunication Services | 45,284,291 | |||||||
|
| |||||||
Wireless Telecommunication Services - 5.0% | ||||||||
SoftBank Corp. | 1,426,900 | 17,808,416 | ||||||
Vodafone Group PLC | 16,796,654 | 14,680,339 | ||||||
|
| |||||||
Total Wireless Telecommunication Services | 32,488,755 | |||||||
|
| |||||||
TOTAL COMMUNICATION SERVICES | 77,773,046 | |||||||
|
| |||||||
CONSUMER DISCRETIONARY - 12.3% | ||||||||
Automobile Components - 1.3% | ||||||||
Cie Generale des Etablissements Michelin SCA | 231,946 | 8,316,874 | ||||||
Exedy Corp. | 28,200 | 518,874 | ||||||
|
| |||||||
Total Automobile Components | 8,835,748 | |||||||
|
| |||||||
Automobiles - 8.1% | ||||||||
Bayerische Motoren Werke AG | 148,664 | 16,550,264 | ||||||
Mercedes-Benz Group AG | 246,736 | 17,048,437 | ||||||
Stellantis NV | 830,001 | 19,391,604 | ||||||
|
| |||||||
Total Automobiles | 52,990,305 | |||||||
|
| |||||||
Broadline Retail - 0.4% | ||||||||
Harvey Norman Holdings Ltd. | 801,895 | 2,298,128 | ||||||
|
| |||||||
Household Durables - 2.0% | ||||||||
Haseko Corp. | 229,700 | 2,984,895 | ||||||
Taylor Wimpey PLC | 4,054,670 | 7,600,865 | ||||||
Vistry Group PLC | 228,710 | 2,675,061 | ||||||
|
| |||||||
Total Household Durables | 13,260,821 | |||||||
|
| |||||||
Specialty Retail - 0.5% | ||||||||
JB Hi-Fi Ltd. | 94,519 | 3,420,173 | ||||||
|
| |||||||
TOTAL CONSUMER DISCRETIONARY | 80,805,175 | |||||||
|
| |||||||
CONSUMER STAPLES - 7.5% | ||||||||
Consumer Staples Distribution & Retail - 0.3% | ||||||||
Kesko oyj, Class B Shares | 105,228 | 2,083,604 | ||||||
|
| |||||||
Food Products - 0.3% | ||||||||
Orkla ASA | 200,316 | 1,555,079 | ||||||
|
| |||||||
Tobacco - 6.9% | ||||||||
British American Tobacco PLC | 495,357 | 14,495,663 | ||||||
Imperial Brands PLC | 633,545 | 14,590,088 | ||||||
Japan Tobacco Inc. | 623,900 | 16,130,767 | ||||||
|
| |||||||
Total Tobacco | 45,216,518 | |||||||
|
| |||||||
TOTAL CONSUMER STAPLES | 48,855,201 | |||||||
|
|
See Notes to Schedules of Investments.
Franklin Low Volatility High Dividend Index ETFs 2023 Quarterly Report |
1 |
FRANKLIN INTERNATIONAL LOW VOLATILITY HIGH DIVIDEND INDEX ETF
Schedules of investments (unaudited) (cont’d) | December 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | SHARES | VALUE | ||||||
ENERGY - 6.7% | ||||||||
Energy Equipment & Services - 0.2% | ||||||||
SBM Offshore NV | 82,160 | $ | 1,129,938 | |||||
|
| |||||||
Oil, Gas & Consumable Fuels - 6.5% | ||||||||
Eni SpA | 982,927 | 16,664,712 | ||||||
Gibson Energy Inc. | 291,806 | 4,454,766 | ||||||
Hafnia Ltd. | 212,743 | 1,470,559 | ||||||
OMV AG | 68,639 | 3,015,444 | ||||||
Pembina Pipeline Corp. | 502,226 | 17,375,664 | ||||||
|
| |||||||
Total Oil, Gas & Consumable Fuels | 42,981,145 | |||||||
|
| |||||||
TOTAL ENERGY | 44,111,083 | |||||||
|
| |||||||
FINANCIALS - 21.6% | ||||||||
Banks - 10.9% | ||||||||
ANZ Group Holdings Ltd. | 19,714 | 348,672 | ||||||
Bank of Nova Scotia | 320,429 | 15,673,950 | ||||||
BOC Hong Kong Holdings Ltd. | 1,680,904 | 4,563,608 | ||||||
Canadian Imperial Bank of Commerce | 260,165 | 12,587,993 | ||||||
DBS Group Holdings Ltd. | 664,600 | 16,832,906 | ||||||
Oversea-Chinese Banking Corp. Ltd. | 989,800 | 9,754,681 | ||||||
United Overseas Bank Ltd. | 540,700 | 11,661,675 | ||||||
|
| |||||||
Total Banks | 71,423,485 | |||||||
|
| |||||||
Insurance - 10.7% | ||||||||
Assicurazioni Generali SpA | 403,887 | 8,523,769 | ||||||
Baloise Holding AG, Registered Shares | 15,290 | 2,394,370 | ||||||
Great-West Lifeco Inc. | 431,025 | 14,336,991 | ||||||
Japan Post Holdings Co. Ltd. | 1,782,100 | 15,921,088 | ||||||
Legal & General Group PLC | 664,296 | 2,126,429 | ||||||
Mapfre SA | 465,438 | 998,986 | ||||||
Poste Italiane SpA | 350,705 | 3,980,600 | ||||||
Power Corp. of Canada | 153,732 | 4,417,492 | ||||||
Zurich Insurance Group AG | 32,780 | 17,121,236 | ||||||
|
| |||||||
Total Insurance | 69,820,961 | |||||||
|
| |||||||
TOTAL FINANCIALS | 141,244,446 | |||||||
|
| |||||||
HEALTH CARE - 2.6% | ||||||||
Pharmaceuticals - 2.6% | ||||||||
Roche Holding AG | 58,283 | 16,931,258 | ||||||
|
| |||||||
INDUSTRIALS - 6.5% | ||||||||
Construction & Engineering - 2.6% | ||||||||
ACS Actividades de Construccion y Servicios SA | 87,507 | 3,882,051 | ||||||
Bouygues SA | 168,665 | 6,357,096 | ||||||
Hazama Ando Corp. | 112,100 | 887,385 | ||||||
Koninklijke BAM Groep NV | 176,198 | 470,633 | ||||||
Kumagai Gumi Co. Ltd. | 37,100 | 948,684 | ||||||
NCC AB, Class B Shares | 34,781 | 433,475 | ||||||
Nishimatsu Construction Co. Ltd. | 62,100 | 1,729,356 | ||||||
NRW Holdings Ltd. | 336,656 | 684,558 | ||||||
Okumura Corp. | 33,700 | 1,119,907 | ||||||
Peab AB, Class B Shares | 93,857 | 531,783 | ||||||
|
| |||||||
Total Construction & Engineering | 17,044,928 | |||||||
|
|
See Notes to Schedules of Investments.
2 | Franklin Low Volatility High Dividend Index ETFs 2023 Quarterly Report |
FRANKLIN INTERNATIONAL LOW VOLATILITY HIGH DIVIDEND INDEX ETF
Schedules of investments (unaudited) (cont’d) | December 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | SHARES | VALUE | ||||||
Electrical Equipment - 0.1% | ||||||||
Nippon Carbon Co. Ltd. | 14,000 | $ | 435,452 | |||||
|
| |||||||
Ground Transportation - 0.2% | ||||||||
ComfortDelGro Corp. Ltd. | 1,268,500 | 1,346,297 | ||||||
|
| |||||||
Industrial Conglomerates - 0.8% | ||||||||
CK Hutchison Holdings Ltd. | 957,204 | 5,130,144 | ||||||
|
| |||||||
Machinery - 0.2% | ||||||||
Mitsuboshi Belting Ltd. | 53,700 | 1,670,269 | ||||||
|
| |||||||
Professional Services - 0.1% | ||||||||
SmartGroup Corp. Ltd. | 156,484 | 931,094 | ||||||
|
| |||||||
Trading Companies & Distributors - 2.5% | ||||||||
Kanematsu Corp. | 78,100 | 1,143,967 | ||||||
Mitsubishi Corp. | 939,000 | 15,009,480 | ||||||
|
| |||||||
Total Trading Companies & Distributors | 16,153,447 | |||||||
|
| |||||||
TOTAL INDUSTRIALS | 42,711,631 | |||||||
|
| |||||||
INFORMATION TECHNOLOGY - 2.1% | ||||||||
Electronic Equipment, Instruments & Components - 0.7% | ||||||||
Venture Corp. Ltd. | 441,700 | 4,557,302 | ||||||
|
| |||||||
IT Services - 0.2% | ||||||||
TietoEVRY oyj | 44,288 | 1,053,796 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 1.2% | ||||||||
Canon Inc. | 313,800 | 8,057,568 | ||||||
|
| |||||||
TOTAL INFORMATION TECHNOLOGY | 13,668,666 | |||||||
|
| |||||||
MATERIALS - 11.1% | ||||||||
Chemicals - 0.7% | ||||||||
Tosoh Corp. | 345,300 | 4,411,160 | ||||||
|
| |||||||
Construction Materials - 2.9% | ||||||||
CSR Ltd. | 414,951 | 1,868,737 | ||||||
Holcim AG | 220,244 | 17,276,194 | ||||||
|
| |||||||
Total Construction Materials | 19,144,931 | |||||||
|
| |||||||
Containers & Packaging - 0.1% | ||||||||
Transcontinental Inc., Class A Shares | 52,682 | 547,356 | ||||||
|
| |||||||
Metals & Mining - 6.0% | ||||||||
Acerinox SA | 99,174 | 1,167,283 | ||||||
ARE Holdings Inc. | 86,200 | 1,192,908 | ||||||
BHP Group Ltd. | 535,847 | 18,431,677 | ||||||
Labrador Iron Ore Royalty Corp. | 25,374 | 613,856 | ||||||
Rio Tinto PLC | 240,049 | 17,877,383 | ||||||
|
| |||||||
Total Metals & Mining | 39,283,107 | |||||||
|
|
See Notes to Schedules of Investments.
Franklin Low Volatility High Dividend Index ETFs 2023 Quarterly Report |
3 |
FRANKLIN INTERNATIONAL LOW VOLATILITY HIGH DIVIDEND INDEX ETF
Schedules of investments (unaudited) (cont’d) | December 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | SHARES | VALUE | ||||||
Paper & Forest Products - 1.4% | ||||||||
Navigator Co. SA | 177,264 | $ | 694,750 | |||||
UPM-Kymmene oyj | 222,486 | 8,370,899 | ||||||
|
| |||||||
Total Paper & Forest Products | 9,065,649 | |||||||
|
| |||||||
TOTAL MATERIALS | 72,452,203 | |||||||
|
| |||||||
REAL ESTATE - 5.5% | ||||||||
Diversified REITs - 0.6% | ||||||||
Activia Properties Inc. | 359 | 989,300 | ||||||
Hankyu Hanshin REIT Inc. | 337 | 332,267 | ||||||
Heiwa Real Estate REIT Inc. | 366 | 349,437 | ||||||
Hulic REIT Inc. | 741 | 784,205 | ||||||
NTT UD REIT Investment Corp. | 1,145 | 1,012,778 | ||||||
Takara Leben Real Estate Investment Corp. | 742 | 530,526 | ||||||
|
| |||||||
Total Diversified REITs | 3,998,513 | |||||||
|
| |||||||
Health Care REITs - 0.1% | ||||||||
Cofinimmo SA | 7,322 | 577,501 | ||||||
|
| |||||||
Industrial REITs - 1.0% | ||||||||
CapitaLand Ascendas REIT | 1,842,500 | 4,232,261 | ||||||
Mapletree Industrial Trust | 897,900 | 1,708,535 | ||||||
SOSiLA Logistics REIT Inc. | 428 | 364,611 | ||||||
|
| |||||||
Total Industrial REITs | 6,305,407 | |||||||
|
| |||||||
Office REITs - 0.4% | ||||||||
Global One Real Estate Investment Corp. | 628 | 487,772 | ||||||
Ichigo Office REIT Investment Corp. | 950 | 555,930 | ||||||
Japan Prime Realty Investment Corp. | 127 | 315,293 | ||||||
Mirai Corp. | 1,118 | 344,567 | ||||||
Mori Hills REIT Investment Corp. | 670 | 666,293 | ||||||
|
| |||||||
Total Office REITs | 2,369,855 | |||||||
|
| |||||||
Real Estate Management & Development - 2.8% | ||||||||
Daiwa House Industry Co. Ltd. | 322,000 | 9,757,299 | ||||||
Henderson Land Development Co. Ltd. | 410,177 | 1,263,327 | ||||||
Kerry Properties Ltd. | 199,078 | 364,067 | ||||||
Sun Hung Kai Properties Ltd. | 635,693 | 6,875,063 | ||||||
|
| |||||||
Total Real Estate Management & Development | 18,259,756 | |||||||
|
| |||||||
Retail REITs - 0.6% | ||||||||
CT Real Estate Investment Trust | 39,697 | 441,044 | ||||||
Frasers Centrepoint Trust | 471,400 | 807,645 | ||||||
Frontier Real Estate Investment Corp. | 355 | 1,090,332 | ||||||
Fukuoka REIT Corp. | 289 | 351,154 | ||||||
SmartCentres Real Estate Investment Trust | 84,131 | 1,588,063 | ||||||
|
| |||||||
Total Retail REITs | 4,278,238 | |||||||
|
| |||||||
TOTAL REAL ESTATE | 35,789,270 | |||||||
|
| |||||||
UTILITIES - 10.7% | ||||||||
Electric Utilities - 6.9% | ||||||||
CK Infrastructure Holdings Ltd. | 242,042 | 1,339,073 | ||||||
CLP Holdings Ltd. | 449,544 | 3,710,434 | ||||||
Emera Inc. | 283,761 | 10,824,494 |
See Notes to Schedules of Investments.
4 | Franklin Low Volatility High Dividend Index ETFs 2023 Quarterly Report |
FRANKLIN INTERNATIONAL LOW VOLATILITY HIGH DIVIDEND INDEX ETF
Schedules of investments (unaudited) (cont’d) | December 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | SHARES | VALUE | ||||||||||
Electric Utilities - (continued) | ||||||||||||
Enel SpA | 194,242 | $ | 1,444,053 | |||||||||
Iberdrola SA | 1,351,747 | 17,724,373 | ||||||||||
Power Assets Holdings Ltd. | 394,176 | 2,284,222 | ||||||||||
Redeia Corp. SA | 196,842 | 3,242,053 | ||||||||||
Terna - Rete Elettrica Nazionale SpA | 577,500 | 4,818,965 | ||||||||||
|
| |||||||||||
Total Electric Utilities | 45,387,667 | |||||||||||
|
| |||||||||||
Gas Utilities - 0.4% | ||||||||||||
Italgas SpA | 340,822 | 1,950,214 | ||||||||||
Rubis SCA | 36,897 | 917,061 | ||||||||||
|
| |||||||||||
Total Gas Utilities | 2,867,275 | |||||||||||
|
| |||||||||||
Multi-Utilities - 3.4% | ||||||||||||
A2A SpA | 1,762,518 | 3,619,409 | ||||||||||
ACEA SpA | 42,260 | 645,619 | ||||||||||
Iren SpA | 331,098 | 721,620 | ||||||||||
National Grid PLC | 1,254,186 | 16,915,705 | ||||||||||
|
| |||||||||||
Total Multi-Utilities | 21,902,353 | |||||||||||
|
| |||||||||||
TOTAL UTILITIES | 70,157,295 | |||||||||||
|
| |||||||||||
TOTAL COMMON STOCKS (Cost - $585,090,644) | 644,499,274 | |||||||||||
|
| |||||||||||
RATE | ||||||||||||
PREFERRED STOCKS - 2.6% | ||||||||||||
CONSUMER DISCRETIONARY - 2.6% | ||||||||||||
Automobile Components - 0.1% | ||||||||||||
Schaeffler AG | 8.043 | % | 96,472 | 596,247 | (a) | |||||||
|
| |||||||||||
Automobiles - 2.5% | ||||||||||||
Volkswagen AG | 7.835 | % | 134,287 | 16,584,429 | (a) | |||||||
|
| |||||||||||
TOTAL PREFERRED STOCKS (Cost - $18,117,325) | 17,180,676 | |||||||||||
|
| |||||||||||
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost - $603,207,969) | 661,679,950 | |||||||||||
|
| |||||||||||
SHORT-TERM INVESTMENTS - 0.2% | ||||||||||||
Invesco Treasury Portfolio, Institutional Class (Cost - $1,478,616) | 5.622 | % | 1,478,616 | 1,478,616 | (b) | |||||||
|
| |||||||||||
TOTAL INVESTMENTS - 101.3% (Cost - $604,686,585) | 663,158,566 | |||||||||||
Liabilities in Excess of Other Assets - (1.3)% | (8,808,640 | ) | ||||||||||
|
| |||||||||||
TOTAL NET ASSETS - 100.0% | $ | 654,349,926 | ||||||||||
|
|
(a) | The rate shown represents the yield as of December 31, 2023. |
(b) | Rate shown is one-day yield as of the end of the reporting period. |
Abbreviation(s) used in this schedule:
REIT | — Real Estate Investment Trust |
At December 31, 2023, the Fund had the following open futures contracts:
Number of Contracts | Expiration Date | Notional Amount | Market Value | Unrealized Appreciation | ||||||||||||||||
Contracts to Buy: | ||||||||||||||||||||
MSCI EAFE Index | 21 | 3/24 | $ | 2,278,228 | $ | 2,365,020 | $ | 86,792 |
See Notes to Schedules of Investments.
Franklin Low Volatility High Dividend Index ETFs 2023 Quarterly Report |
5 |
FRANKLIN INTERNATIONAL LOW VOLATILITY HIGH DIVIDEND INDEX ETF
Schedules of investments (unaudited) (cont’d) | December 31, 2023 |
At December 31, 2023, the Fund had the following open forward foreign currency contracts:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
USD | 151,337 | CHF | 132,246 | State Street Bank and Trust Co. | 1/9/24 | $ | (5,947 | ) | ||||||||||||||
USD | 201,948 | CHF | 177,093 | State Street Bank and Trust Co. | 1/9/24 | (8,674 | ) | |||||||||||||||
USD | 449,299 | CHF | 389,098 | State Street Bank and Trust Co. | 1/9/24 | (13,466 | ) | |||||||||||||||
USD | 1,211,066 | CHF | 1,046,326 | State Street Bank and Trust Co. | 1/9/24 | (33,359 | ) | |||||||||||||||
USD | 59,762,856 | CHF | 52,064,145 | State Street Bank and Trust Co. | 1/9/24 | (2,158,504 | ) | |||||||||||||||
USD | 508,037 | EUR | 470,647 | State Street Bank and Trust Co. | 1/9/24 | (12,064 | ) | |||||||||||||||
USD | 985,511 | EUR | 914,029 | State Street Bank and Trust Co. | 1/9/24 | (24,562 | ) | |||||||||||||||
USD | 1,512,653 | EUR | 1,384,577 | State Street Bank and Trust Co. | 1/9/24 | (17,412 | ) | |||||||||||||||
USD | 4,097,317 | EUR | 3,722,969 | State Street Bank and Trust Co. | 1/9/24 | (16,852 | ) | |||||||||||||||
USD | 197,155,274 | EUR | 182,094,594 | State Street Bank and Trust Co. | 1/9/24 | (4,073,371 | ) | |||||||||||||||
USD | 232,589 | GBP | 185,094 | State Street Bank and Trust Co. | 1/9/24 | (3,382 | ) | |||||||||||||||
USD | 495,628 | GBP | 395,007 | State Street Bank and Trust Co. | 1/9/24 | (7,955 | ) | |||||||||||||||
USD | 688,644 | GBP | 544,604 | State Street Bank and Trust Co. | 1/9/24 | (5,656 | ) | |||||||||||||||
USD | 1,868,952 | GBP | 1,464,339 | State Street Bank and Trust Co. | 1/9/24 | 2,110 | ||||||||||||||||
USD | 91,568,910 | GBP | 72,644,450 | State Street Bank and Trust Co. | 1/9/24 | (1,043,321 | ) | |||||||||||||||
USD | 7,238 | NOK | 79,424 | State Street Bank and Trust Co. | 1/9/24 | (585 | ) | |||||||||||||||
USD | 15,593 | NOK | 169,528 | State Street Bank and Trust Co. | 1/9/24 | (1,104 | ) | |||||||||||||||
USD | 22,405 | NOK | 233,044 | State Street Bank and Trust Co. | 1/9/24 | (547 | ) | |||||||||||||||
USD | 60,002 | NOK | 627,375 | State Street Bank and Trust Co. | 1/9/24 | (1,788 | ) | |||||||||||||||
USD | 2,836,778 | NOK | 30,779,711 | State Street Bank and Trust Co. | 1/9/24 | (194,751 | ) | |||||||||||||||
USD | 2,124 | SEK | 22,181 | State Street Bank and Trust Co. | 1/9/24 | (78 | ) | |||||||||||||||
USD | 5,602 | SEK | 58,495 | State Street Bank and Trust Co. | 1/9/24 | (205 | ) | |||||||||||||||
USD | 6,397 | SEK | 65,230 | State Street Bank and Trust Co. | 1/9/24 | (79 | ) | |||||||||||||||
USD | 17,214 | SEK | 175,420 | State Street Bank and Trust Co. | 1/9/24 | (199 | ) | |||||||||||||||
USD | 869,393 | SEK | 9,009,915 | State Street Bank and Trust Co. | 1/9/24 | (24,991 | ) | |||||||||||||||
USD | 64,843 | AUD | 98,755 | UBS Securities LLC | 1/9/24 | (2,564 | ) | |||||||||||||||
USD | 165,698 | AUD | 251,482 | UBS Securities LLC | 1/9/24 | (5,956 | ) | |||||||||||||||
USD | 194,555 | AUD | 290,447 | UBS Securities LLC | 1/9/24 | (3,695 | ) | |||||||||||||||
USD | 523,732 | AUD | 781,082 | UBS Securities LLC | 1/9/24 | (9,411 | ) | |||||||||||||||
USD | 25,532,322 | AUD | 38,590,614 | UBS Securities LLC | 1/9/24 | (808,455 | ) | |||||||||||||||
USD | 199,801 | CAD | 271,664 | UBS Securities LLC | 1/9/24 | (6,251 | ) | |||||||||||||||
USD | 388,768 | CAD | 527,805 | UBS Securities LLC | 1/9/24 | (11,563 | ) | |||||||||||||||
USD | 596,733 | CAD | 799,173 | UBS Securities LLC | 1/9/24 | (9,425 | ) | |||||||||||||||
USD | 1,601,870 | CAD | 2,149,214 | UBS Securities LLC | 1/9/24 | (28,269 | ) | |||||||||||||||
USD | 77,322,782 | CAD | 105,053,438 | UBS Securities LLC | 1/9/24 | (2,358,300 | ) | |||||||||||||||
USD | 61,345 | HKD | 479,096 | UBS Securities LLC | 1/9/24 | (24 | ) | |||||||||||||||
USD | 138,720 | HKD | 1,083,323 | UBS Securities LLC | 1/9/24 | (47 | ) | |||||||||||||||
USD | 180,769 | HKD | 1,409,645 | UBS Securities LLC | 1/9/24 | 203 | ||||||||||||||||
USD | 485,647 | HKD | 3,790,599 | UBS Securities LLC | 1/9/24 | 96 | ||||||||||||||||
USD | 23,211,456 | HKD | 181,298,507 | UBS Securities LLC | 1/9/24 | (11,722 | ) | |||||||||||||||
USD | 279,249 | JPY | 40,491,510 | UBS Securities LLC | 1/9/24 | (8,385 | ) | |||||||||||||||
USD | 578,150 | JPY | 83,153,486 | UBS Securities LLC | 1/9/24 | (12,536 | ) | |||||||||||||||
USD | 834,811 | JPY | 119,049,779 | UBS Securities LLC | 1/9/24 | (10,868 | ) | |||||||||||||||
USD | 2,266,660 | JPY | 319,964,520 | UBS Securities LLC | 1/9/24 | (6,231 | ) | |||||||||||||||
USD | 110,009,886 | JPY | 15,691,260,068 | UBS Securities LLC | 1/9/24 | (1,454,141 | ) | |||||||||||||||
USD | 142,945 | SGD | 191,701 | UBS Securities LLC | 1/9/24 | (2,447 | ) | |||||||||||||||
USD | 307,249 | SGD | 411,320 | UBS Securities LLC | 1/9/24 | (4,709 | ) | |||||||||||||||
USD | 423,530 | SGD | 564,026 | UBS Securities LLC | 1/9/24 | (4,245 | ) | |||||||||||||||
USD | 1,144,615 | SGD | 1,516,653 | UBS Securities LLC | 1/9/24 | (5,662 | ) | |||||||||||||||
USD | 55,484,220 | SGD | 74,089,744 | UBS Securities LLC | 1/9/24 | (707,782 | ) | |||||||||||||||
|
| |||||||||||||||||||||
Net unrealized depreciation on open forward foreign currency contracts | $ | (13,119,131 | ) | |||||||||||||||||||
|
|
See Notes to Schedules of Investments.
6 | Franklin Low Volatility High Dividend Index ETFs 2023 Quarterly Report |
FRANKLIN INTERNATIONAL LOW VOLATILITY HIGH DIVIDEND INDEX ETF
Schedules of investments (unaudited) (cont’d) | December 31, 2023 |
Abbreviation(s) used in this table:
AUD | — Australian Dollar | |
CAD | — Canadian Dollar | |
CHF | — Swiss Franc | |
EUR | — Euro | |
GBP | — British Pound | |
HKD | — Hong Kong Dollar | |
JPY | — Japanese Yen | |
NOK | — Norwegian Krone | |
SEK | — Swedish Krona | |
SGD | — Singapore Dollar | |
USD | — United States Dollar |
This Schedule of Investments is unaudited and is intended to provide information about the Fund’s investments as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.
See Notes to Schedules of Investments.
Franklin Low Volatility High Dividend Index ETFs 2023 Quarterly Report |
7 |
FRANKLIN U.S. LOW VOLATILITY HIGH DIVIDEND INDEX ETF
Schedules of investments (unaudited) | December 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | SHARES | VALUE | ||||||
COMMON STOCKS - 99.3% | ||||||||
COMMUNICATION SERVICES - 5.6% | ||||||||
Diversified Telecommunication Services - 2.9% | ||||||||
Verizon Communications Inc. | 659,104 | $ | 24,848,221 | |||||
|
| |||||||
Media - 2.7% | ||||||||
Interpublic Group of Cos. Inc. | 326,208 | 10,647,429 | ||||||
Omnicom Group Inc. | 153,701 | 13,296,673 | ||||||
|
| |||||||
Total Media | 23,944,102 | |||||||
|
| |||||||
TOTAL COMMUNICATION SERVICES | 48,792,323 | |||||||
|
| |||||||
CONSUMER DISCRETIONARY - 2.7% | ||||||||
Hotels, Restaurants & Leisure - 1.8% | ||||||||
Darden Restaurants Inc. | 94,783 | 15,572,847 | ||||||
|
| |||||||
Household Durables - 0.9% | ||||||||
Garmin Ltd. | 64,616 | 8,305,741 | ||||||
|
| |||||||
TOTAL CONSUMER DISCRETIONARY | 23,878,588 | |||||||
|
| |||||||
CONSUMER STAPLES - 21.1% | ||||||||
Beverages - 7.5% | ||||||||
Coca-Cola Co. | 367,159 | 21,636,680 | ||||||
Keurig Dr Pepper Inc. | 689,268 | 22,966,409 | ||||||
PepsiCo Inc. | 122,476 | 20,801,324 | ||||||
|
| |||||||
Total Beverages | 65,404,413 | |||||||
|
| |||||||
Consumer Staples Distribution & Retail - 0.8% | ||||||||
Sysco Corp. | 91,268 | 6,674,429 | ||||||
|
| |||||||
Food Products - 8.1% | ||||||||
Conagra Brands Inc. | 394,457 | 11,305,138 | ||||||
Flowers Foods Inc. | 157,072 | 3,535,691 | ||||||
General Mills Inc. | 313,990 | 20,453,308 | ||||||
Kellanova | 226,022 | 12,636,890 | ||||||
Kraft Heinz Co. | 625,395 | 23,127,107 | ||||||
|
| |||||||
Total Food Products | 71,058,134 | |||||||
|
| |||||||
Household Products - 2.1% | ||||||||
Kimberly-Clark Corp. | 145,557 | 17,686,631 | ||||||
Reynolds Consumer Products Inc. | 28,357 | 761,102 | ||||||
|
| |||||||
Total Household Products | 18,447,733 | |||||||
|
| |||||||
Tobacco - 2.6% | ||||||||
Philip Morris International Inc. | 226,673 | 21,325,396 | ||||||
Universal Corp. | 11,078 | 745,771 | ||||||
Vector Group Ltd. | 52,404 | 591,117 | ||||||
|
| |||||||
Total Tobacco | 22,662,284 | |||||||
|
| |||||||
TOTAL CONSUMER STAPLES | 184,246,993 | |||||||
|
| |||||||
ENERGY - 0.3% | ||||||||
Oil, Gas & Consumable Fuels - 0.3% | ||||||||
DT Midstream Inc. | 53,954 | 2,956,679 | ||||||
|
|
See Notes to Schedules of Investments.
8 | Franklin Low Volatility High Dividend Index ETFs 2023 Quarterly Report |
FRANKLIN U.S. LOW VOLATILITY HIGH DIVIDEND INDEX ETF
Schedules of investments (unaudited) (cont’d) | December 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | SHARES | VALUE | ||||||
FINANCIALS - 13.0% | ||||||||
Banks - 10.9% | ||||||||
Associated Banc-Corp. | 149,995 | $ | 3,208,393 | |||||
Atlantic Union Bankshares Corp. | 39,747 | 1,452,355 | ||||||
Bank of Hawaii Corp. | 19,701 | 1,427,534 | ||||||
Brookline Bancorp Inc. | 45,013 | 491,092 | ||||||
Community Bank System Inc. | 31,515 | 1,642,247 | ||||||
CVB Financial Corp. | 106,400 | 2,148,216 | ||||||
Eagle Bancorp Inc. | 29,683 | 894,646 | ||||||
First Commonwealth Financial Corp. | 46,140 | 712,402 | ||||||
First Financial Bancorp | 28,052 | 666,235 | ||||||
First Hawaiian Inc. | 86,245 | 1,971,561 | ||||||
First Interstate BancSystem Inc., Class A Shares | 68,681 | 2,111,941 | ||||||
First Merchants Corp. | 16,832 | 624,131 | ||||||
FNB Corp. | 214,714 | 2,956,612 | ||||||
Fulton Financial Corp. | 113,912 | 1,874,992 | ||||||
Hope Bancorp Inc. | 76,366 | 922,501 | ||||||
Independent Bank Group Inc. | 23,552 | 1,198,326 | ||||||
NBT Bancorp Inc. | 18,760 | 786,232 | ||||||
New York Community Bancorp Inc. | 903,339 | 9,241,158 | ||||||
Northwest Bancshares Inc. | 54,136 | 675,617 | ||||||
Old National Bancorp | 188,278 | 3,180,015 | ||||||
Park National Corp. | 4,207 | 558,942 | ||||||
PNC Financial Services Group Inc. | 93,348 | 14,454,938 | ||||||
Preferred Bank | 6,999 | 511,277 | ||||||
Prosperity Bancshares Inc. | 70,813 | 4,796,164 | ||||||
Provident Financial Services Inc. | 47,243 | 851,791 | ||||||
Sandy Spring Bancorp Inc. | 23,051 | 627,909 | ||||||
Simmons First National Corp., Class A Shares | 49,178 | 975,692 | ||||||
Towne Bank | 19,640 | 584,486 | ||||||
United Bankshares Inc. | 71,659 | 2,690,795 | ||||||
US Bancorp | 598,174 | 25,888,971 | ||||||
Valley National Bancorp | 376,254 | 4,086,118 | ||||||
WesBanco Inc. | 16,178 | 507,504 | ||||||
Westamerica BanCorp | 11,511 | 649,335 | ||||||
|
| |||||||
Total Banks | 95,370,128 | |||||||
|
| |||||||
Capital Markets - 0.1% | ||||||||
Cohen & Steers Inc. | 8,768 | 664,001 | ||||||
|
| |||||||
Insurance - 1.4% | ||||||||
CNA Financial Corp. | 18,234 | 771,480 | ||||||
Fidelity National Financial Inc. | 125,625 | 6,409,387 | ||||||
Old Republic International Corp. | 150,484 | 4,424,230 | ||||||
|
| |||||||
Total Insurance | 11,605,097 | |||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) - 0.6% | ||||||||
Ladder Capital Corp. | 54,455 | 626,777 | ||||||
Starwood Property Trust Inc. | 228,724 | 4,807,778 | ||||||
|
| |||||||
Total Mortgage Real Estate Investment Trusts (REITs) | 5,434,555 | |||||||
|
| |||||||
TOTAL FINANCIALS | 113,073,781 | |||||||
|
|
See Notes to Schedules of Investments.
Franklin Low Volatility High Dividend Index ETFs 2023 Quarterly Report |
9 |
FRANKLIN U.S. LOW VOLATILITY HIGH DIVIDEND INDEX ETF
Schedules of investments (unaudited) (cont’d) | December 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | SHARES | VALUE | ||||||
HEALTH CARE - 6.6% | ||||||||
Pharmaceuticals - 6.6% | ||||||||
Bristol-Myers Squibb Co. | 349,064 | $ | 17,910,474 | |||||
Johnson & Johnson | 141,052 | 22,108,490 | ||||||
Pfizer Inc. | 614,420 | 17,689,152 | ||||||
|
| |||||||
TOTAL HEALTH CARE | 57,708,116 | |||||||
|
| |||||||
INDUSTRIALS - 10.4% | ||||||||
Aerospace & Defense - 2.3% | ||||||||
Lockheed Martin Corp. | 44,484 | 20,161,928 | ||||||
|
| |||||||
Air Freight & Logistics - 2.1% | ||||||||
United Parcel Service Inc., Class B Shares | 115,505 | 18,160,851 | ||||||
|
| |||||||
Machinery - 2.1% | ||||||||
Cummins Inc. | 76,564 | 18,342,438 | ||||||
|
| |||||||
Professional Services - 1.5% | ||||||||
Paychex Inc. | 109,149 | 13,000,737 | ||||||
|
| |||||||
Trading Companies & Distributors - 2.4% | ||||||||
Fastenal Co. | 281,202 | 18,213,454 | ||||||
MSC Industrial Direct Co. Inc., Class A Shares | 31,267 | 3,166,096 | ||||||
|
| |||||||
Total Trading Companies & Distributors | 21,379,550 | |||||||
|
| |||||||
TOTAL INDUSTRIALS | 91,045,504 | |||||||
|
| |||||||
INFORMATION TECHNOLOGY - 2.1% | ||||||||
Communications Equipment - 2.1% | ||||||||
Cisco Systems Inc. | 369,076 | 18,645,720 | ||||||
|
| |||||||
MATERIALS - 1.0% | ||||||||
Containers & Packaging - 1.0% | ||||||||
Packaging Corp. of America | 51,364 | 8,367,709 | ||||||
|
| |||||||
REAL ESTATE - 15.2% | ||||||||
Diversified REITs - 1.2% | ||||||||
American Assets Trust Inc. | 34,244 | 770,832 | ||||||
Broadstone Net Lease Inc. | 86,618 | 1,491,562 | ||||||
WP Carey Inc. | 125,136 | 8,110,064 | ||||||
|
| |||||||
Total Diversified REITs | 10,372,458 | |||||||
|
| |||||||
Health Care REITs - 1.5% | ||||||||
CareTrust REIT Inc. | 56,019 | 1,253,705 | ||||||
Healthcare Realty Trust Inc. | 220,311 | 3,795,959 | ||||||
LTC Properties Inc. | 20,669 | 663,888 | ||||||
Medical Properties Trust Inc. | 1,051,187 | 5,161,328 | ||||||
Physicians Realty Trust | 174,898 | 2,327,893 | ||||||
|
| |||||||
Total Health Care REITs | 13,202,773 | |||||||
|
| |||||||
Industrial REITs - 0.6% | ||||||||
LXP Industrial Trust | 128,797 | 1,277,666 | ||||||
STAG Industrial Inc. | 101,110 | 3,969,579 | ||||||
|
| |||||||
Total Industrial REITs | 5,247,245 | |||||||
|
|
See Notes to Schedules of Investments.
10 | Franklin Low Volatility High Dividend Index ETFs 2023 Quarterly Report |
FRANKLIN U.S. LOW VOLATILITY HIGH DIVIDEND INDEX ETF
Schedules of investments (unaudited) (cont’d) | December 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | SHARES | VALUE | ||||||
Office REITs - 0.9% | ||||||||
Brandywine Realty Trust | 204,388 | $ | 1,103,695 | |||||
COPT Defense Properties | 66,300 | 1,699,269 | ||||||
Easterly Government Properties Inc. | 84,877 | 1,140,747 | ||||||
Highwoods Properties Inc. | 102,830 | 2,360,977 | ||||||
NET Lease Office Properties | 8,340 | 154,123 | ||||||
Office Properties Income Trust | 90,963 | 665,849 | ||||||
Piedmont Office Realty Trust Inc., Class A Shares | 134,000 | 952,740 | ||||||
|
| |||||||
Total Office REITs | 8,077,400 | |||||||
|
| |||||||
Residential REITs - 1.1% | ||||||||
Essex Property Trust Inc. | 37,465 | 9,289,072 | ||||||
|
| |||||||
Retail REITs - 5.6% | ||||||||
Agree Realty Corp. | 86,595 | 5,451,155 | ||||||
Getty Realty Corp. | 29,889 | 873,357 | ||||||
Kimco Realty Corp. | 376,843 | 8,030,524 | ||||||
NETSTREIT Corp. | 65,255 | 1,164,802 | ||||||
NNN REIT Inc. | 129,746 | 5,592,053 | ||||||
Realty Income Corp. | 397,589 | 22,829,560 | ||||||
Retail Opportunity Investments Corp. | 80,045 | 1,123,031 | ||||||
Spirit Realty Capital Inc. | 78,266 | 3,419,442 | ||||||
|
| |||||||
Total Retail REITs | 48,483,924 | |||||||
|
| |||||||
Specialized REITs - 4.3% | ||||||||
Crown Castle Inc. | 148,107 | 17,060,445 | ||||||
CubeSmart | 141,657 | 6,565,802 | ||||||
Four Corners Property Trust Inc. | 43,896 | 1,110,569 | ||||||
Gaming and Leisure Properties Inc. | 154,243 | 7,611,892 | ||||||
National Storage Affiliates Trust | 62,379 | 2,586,857 | ||||||
Uniti Group Inc. | 223,865 | 1,293,940 | ||||||
VICI Properties Inc. | 55,134 | 1,757,672 | ||||||
|
| |||||||
Total Specialized REITs | 37,987,177 | |||||||
|
| |||||||
TOTAL REAL ESTATE | 132,660,049 | |||||||
|
| |||||||
UTILITIES - 21.3% | ||||||||
Electric Utilities - 14.9% | ||||||||
ALLETE Inc. | 28,838 | 1,763,732 | ||||||
Alliant Energy Corp. | 140,411 | 7,203,084 | ||||||
American Electric Power Co. Inc. | 258,597 | 21,003,248 | ||||||
Entergy Corp. | 129,776 | 13,132,034 | ||||||
Evergy Inc. | 140,582 | 7,338,381 | ||||||
Eversource Energy | 166,730 | 10,290,576 | ||||||
Exelon Corp. | 505,990 | 18,165,041 | ||||||
Hawaiian Electric Industries Inc. | 37,265 | 528,791 | ||||||
OGE Energy Corp. | 109,467 | 3,823,682 | ||||||
Pinnacle West Capital Corp. | 70,167 | 5,040,797 | ||||||
Portland General Electric Co. | 79,989 | 3,466,723 | ||||||
Southern Co. | 319,226 | 22,384,127 | ||||||
Xcel Energy Inc. | 253,855 | 15,716,163 | ||||||
|
| |||||||
Total Electric Utilities | 129,856,379 | |||||||
|
|
See Notes to Schedules of Investments.
Franklin Low Volatility High Dividend Index ETFs 2023 Quarterly Report |
11 |
FRANKLIN U.S. LOW VOLATILITY HIGH DIVIDEND INDEX ETF
Schedules of investments (unaudited) (cont’d) | December 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | SHARES | VALUE | ||||||||||
Gas Utilities - 0.3% | ||||||||||||
Northwest Natural Holding Co. | 16,880 | $ | 657,307 | |||||||||
Spire Inc. | 28,429 | 1,772,264 | ||||||||||
|
| |||||||||||
Total Gas Utilities | 2,429,571 | |||||||||||
|
| |||||||||||
Multi-Utilities - 6.1% | ||||||||||||
Avista Corp. | 66,513 | 2,377,175 | ||||||||||
Black Hills Corp. | 48,677 | 2,626,124 | ||||||||||
Consolidated Edison Inc. | 161,502 | 14,691,837 | ||||||||||
DTE Energy Co. | 116,326 | 12,826,105 | ||||||||||
NiSource Inc. | 338,072 | 8,975,811 | ||||||||||
Northwestern Energy Group Inc. | 33,018 | 1,680,286 | ||||||||||
WEC Energy Group Inc. | 119,152 | 10,029,024 | ||||||||||
|
| |||||||||||
Total Multi-Utilities | 53,206,362 | |||||||||||
|
| |||||||||||
TOTAL UTILITIES | 185,492,312 | |||||||||||
|
| |||||||||||
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost - $898,501,048) | 866,867,774 | |||||||||||
|
| |||||||||||
RATE | ||||||||||||
SHORT-TERM INVESTMENTS - 1.0% | ||||||||||||
Invesco Treasury Portfolio, Institutional Class (Cost - $8,390,196) | 5.622 | % | 8,390,196 | 8,390,196 | (a) | |||||||
|
| |||||||||||
TOTAL INVESTMENTS - 100.3% (Cost - $906,891,244) | 875,257,970 | |||||||||||
Liabilities in Excess of Other Assets - (0.3)% | (2,545,793 | ) | ||||||||||
|
| |||||||||||
TOTAL NET ASSETS - 100.0% | $ | 872,712,177 | ||||||||||
|
|
(a) | Rate shown is one-day yield as of the end of the reporting period. |
Abbreviation(s) used in this schedule:
REIT | — Real Estate Investment Trust |
At December 31, 2023, the Fund had the following open futures contracts:
Number of Contracts | Expiration Date | Notional Amount | Market Value | Unrealized Appreciation | ||||||||||||||||
Contracts to Buy: | ||||||||||||||||||||
E-mini S&P 500 Index | 13 | 3/24 | $ | 3,074,030 | $ | 3,133,000 | $ | 58,970 |
This Schedule of Investments is unaudited and is intended to provide information about the Fund’s investments as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.
See Notes to Schedules of Investments.
12 | Franklin Low Volatility High Dividend Index ETFs 2023 Quarterly Report |
Notes to Schedules of Investments (unaudited)
1. Organization and significant accounting policies
Franklin International Low Volatility High Dividend Index ETF (“International Low Volatility High Dividend Index ETF”) and Franklin U.S. Low Volatility High Dividend Index ETF (“U.S. Low Volatility High Dividend Index ETF”) (the “Funds”) are separate diversified investment series of Legg Mason ETF Investment Trust (the “Trust”). The Trust, a Maryland statutory trust, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
The Funds are exchange-traded funds (“ETFs”). ETFs are funds that trade like other publicly-traded securities. The Funds are designed to track an index. Similar to shares of an index mutual fund, each share of the Funds represents an ownership interest in an underlying portfolio of securities intended to track an index. Unlike shares of a mutual fund, which can be bought from and redeemed by the issuing fund by all shareholders at a price based on net asset value (“NAV”), shares of the Funds may be directly purchased from and redeemed by the Funds at NAV solely by certain large institutional investors who have entered into agreements with the Funds’ distributor (“Authorized Participants”). Also unlike shares of a mutual fund, shares of the Funds are listed on a national securities exchange and trade in the secondary market at market prices that change throughout the day.
Shares of the Funds are listed and traded at market prices on the Cboe BZX Exchange, Inc. for International Low Volatility High Dividend Index ETF and NASDAQ for U.S. Low Volatility High Dividend Index ETF. The market price for a Fund’s shares may be different from a Fund’s NAV. The Funds issue and redeem shares at NAV only in blocks of a specified number of shares or multiples thereof (“Creation Units”). Only Authorized Participants may purchase or redeem Creation Units directly with the Funds at NAV. Creation Units are issued and redeemed generally in-kind for a basket of securities and/or cash. Except when aggregated in Creation Units, shares of the Funds are not redeemable securities. Shareholders who are not Authorized Participants may not redeem shares directly from the Funds at NAV.
International Low Volatility High Dividend Index ETF and U.S. Low Volatility High Dividend Index ETF seek to track the investment results of the QS International Low Volatility High Dividend Hedged Index and QS Low Volatility High Dividend Index, respectively (together, the “Indices”). The QS International Low Volatility High Dividend Hedged Index seeks to provide more stable income through investments in stocks of profitable companies in developed markets outside of the United States with relatively high dividend yields or anticipated dividend yields and lower price and earnings volatility while mitigating exposure to exchange-rate fluctuations between the U.S. dollar and other international currencies. The QS Low Volatility High Dividend Index seeks to provide more stable income through investments in stocks of profitable U.S. companies with relatively high dividend yields and lower price and earnings volatility. The Indices are based on a proprietary methodology created and sponsored by Franklin Advisers, Inc., the Funds’ subadviser.
The Funds follow the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (“ASC 946”). The following are significant accounting policies consistently followed by the Funds and are in conformity with U.S. generally accepted accounting principles (“GAAP”), including, but not limited to, ASC 946.
(a) Investment valuation. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services typically use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. When the Funds hold securities or other assets that are denominated in a foreign currency, the Funds will use the currency exchange rates, generally determined as of 4:00 p.m. (London Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before each Fund calculates its net asset value, the Funds value these securities as determined in accordance with procedures approved by the Funds’ Board of Trustees.
Franklin Low Volatility High Dividend Index ETFs 2023 Quarterly Report |
13 |
Notes to Schedules of Investments (unaudited) (continued)
Pursuant to policies adopted by the Board of Trustees, the Funds’ manager has been designated as the valuation designee and is responsible for the oversight of the daily valuation process. The Funds’ manager is assisted by the Global Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee is responsible for making fair value determinations, evaluating the effectiveness of the Funds’ pricing policies, and reporting to the Funds’ manager and the Board of Trustees. When determining the reliability of third party pricing information for investments owned by the Funds, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Trustees, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Trustees quarterly.
The Funds use valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
• | Level 1 – unadjusted quoted prices in active markets for identical investments |
• | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments) |
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
14 | Franklin Low Volatility High Dividend Index ETFs 2023 Quarterly Report |
Notes to Schedules of Investments (unaudited) (continued)
The following is a summary of the inputs used in valuing the Funds’ assets and liabilities carried at fair value:
International Low Volatility High Dividend Index ETF
ASSETS | ||||||||||||||||
DESCRIPTION | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTAL | ||||||||||||
Long-Term Investments†: | ||||||||||||||||
Common Stocks | $ | 644,499,274 | — | — | $ | 644,499,274 | ||||||||||
Preferred Stocks | 17,180,676 | — | — | 17,180,676 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Long-Term Investments | 661,679,950 | — | — | 661,679,950 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments† | 1,478,616 | — | — | 1,478,616 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 663,158,566 | — | — | $ | 663,158,566 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments: | ||||||||||||||||
Futures Contracts†† | $ | 86,792 | — | — | $ | 86,792 | ||||||||||
Forward Foreign Currency Contracts†† | — | $ | 2,409 | — | 2,409 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 86,792 | $ | 2,409 | — | $ | 89,201 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 663,245,358 | $ | 2,409 | — | $ | 663,247,767 | |||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES | ||||||||||||||||
DESCRIPTION | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTAL | ||||||||||||
Other Financial Instruments: | ||||||||||||||||
Forward Foreign Currency Contracts†† | — | $ | 13,121,540 | — | $ | 13,121,540 |
† | See Schedule of Investments for additional detailed categorizations. |
†† | Reflects the unrealized appreciation (depreciation) of the instruments. |
U.S. Low Volatility High Dividend Index ETF
ASSETS | ||||||||||||||||
DESCRIPTION | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTAL | ||||||||||||
Common Stocks† | $ | 866,867,774 | — | — | $ | 866,867,774 | ||||||||||
Short-Term Investments† | 8,390,196 | — | — | 8,390,196 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 875,257,970 | — | — | $ | 875,257,970 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments: | ||||||||||||||||
Futures Contracts†† | $ | 58,970 | — | — | $ | 58,970 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 875,316,940 | — | — | $ | 875,316,940 | ||||||||||
|
|
|
|
|
|
|
|
† | See Schedule of Investments for additional detailed categorizations. |
†† | Reflects the unrealized appreciation (depreciation) of the instruments. |
Franklin Low Volatility High Dividend Index ETFs 2023 Quarterly Report |
15 |