Franklin Strategic Series
Statement of Investments, January 31, 2020 (unaudited)
Franklin Biotechnology Discovery Fund
Country | Shares | Value | |||
Common Stocks 95.2% | |||||
Biotechnology 77.8% | |||||
a,b | 89bio Inc. | United States | 94,800 | $2,533,056 | |
a | Acadia Pharmaceuticals Inc. | United States | 294,600 | 11,766,324 | |
a | Alector Inc. | United States | 367,000 | 10,253,980 | |
a | Alexion Pharmaceuticals Inc. | United States | 314,100 | 31,218,399 | |
a | Allogene Therapeutics Inc. | United States | 326,797 | 7,098,031 | |
a | Alnylam Pharmaceuticals Inc. | United States | 52,300 | 6,003,517 | |
Amgen Inc. | United States | 351,500 | 75,941,575 | ||
a | Amicus Therapeutics Inc. | United States | 556,000 | 4,915,040 | |
a | Applied Therapeutics Inc | United States | 189,413 | 9,938,500 | |
a | Argenx SE, ADR | Netherlands | 186,125 | 26,855,976 | |
a | Ascendis Pharma AS, ADR | Denmark | 211,600 | 28,587,160 | |
a | Assembly Biosciences Inc. | United States | 291,300 | 5,115,228 | |
a,b | Aurinia Pharmaceuticals Inc. | Canada | 536,900 | 9,825,270 | |
a,b | Autolus Therapeutics PLC, ADR | United Kingdom | 232,430 | 2,282,463 | |
a | Biogen Inc. | United States | 189,261 | 50,882,820 | |
a | BioMarin Pharmaceutical Inc. | United States | 142,456 | 11,895,076 | |
a | Black Diamond Therapeutics Inc. | United States | 127,800 | 4,792,500 | |
a | Bluebird Bio Inc. | United States | 30,900 | 2,462,421 | |
a | Blueprint Medicines Corp. | United States | 42,600 | 2,702,970 | |
a | Bridgebio Pharma Inc. | United States | 118,800 | 4,097,412 | |
a | Constellation Pharmaceuticals Inc. | United States | 161,800 | 5,345,872 | |
a | CRISPR Therapeutics AG | Switzerland | 166,314 | 8,640,012 | |
a | Cytokinetics Inc. | United States | 110,900 | 1,364,070 | |
a | Deciphera Pharmaceuticals Inc. | United States | 694,854 | 43,518,706 | |
a | Fate Therapeutics Inc. | United States | 616,393 | 15,631,727 | |
Gilead Sciences Inc. | United States | 1,042,000 | 65,854,400 | ||
a | Global Blood Therapeutics Inc. | United States | 304,100 | 19,845,566 | |
a | Gossamer Bio Inc. | United States | 242,900 | 3,225,712 | |
a | Heron Therapeutics Inc. | United States | 1,609,277 | 33,569,518 | |
a | Homology Medicines Inc. | United States | 138,400 | 2,165,960 | |
a | Immunomedics Inc. | United States | 762,000 | 14,150,340 | |
a | Insmed Inc. | United States | 404,000 | 8,298,160 | |
a,c,d | Intarcia Therapeutics Inc., DD | United States | 80,195 | 610,926 | |
a | Ionis Pharmaceuticals Inc. | United States | 102,400 | 5,971,968 | |
a | Iovance Biotherapeutics Inc. | United States | 1,477,701 | 32,125,220 | |
a | KalVista Pharmaceuticals Inc. | United States | 99,100 | 1,516,230 | |
a | Kezar Life Sciences Inc. | United States | 853,550 | 2,620,399 | |
a,b | LogicBio Therapeutics Inc. | United States | 280,700 | 2,770,509 | |
a | Minerva Neurosciences Inc. | United States | 492,400 | 4,003,212 | |
a | Mirati Therapeutics Inc. | United States | 156,251 | 13,567,274 | |
a | MorphoSys AG, ADR | Germany | 248,700 | 7,881,303 | |
a | Neurocrine Biosciences Inc. | United States | 326,800 | 32,706,144 | |
a | Pfenex Inc. | United States | 870,884 | 9,335,876 | |
a | Precision BioSciences Inc. | United States | 377,397 | 3,053,142 | |
a,e | Precision BioSciences Inc., 144A | United States | 73,892 | 597,786 | |
a | Principia Biopharma Inc. | United States | 64,400 | 3,390,660 | |
a | PTC Therapeutics Inc. | United States | 789,700 | 40,669,550 |
Quarterly Statement of Investments | See Notes to Statements of Investments. | 1
Franklin Strategic Series
Statement of Investments (unaudited)
Statement of Investments (unaudited)
Franklin Biotechnology Discovery Fund (continued)
Country | Shares | Value | |||
Common Stocks (continued) | |||||
Biotechnology (continued) | |||||
a | Regeneron Pharmaceuticals Inc. | United States | 128,009 | $43,259,361 | |
a | REGENXBIO Inc. | United States | 123,076 | 5,357,498 | |
a | Rocket Pharmaceuticals Inc. | United States | 153,771 | 3,149,230 | |
a | Sage Therapeutics Inc. | United States | 144,470 | 9,575,472 | |
a | Sarepta Therapeutics Inc. | United States | 65,400 | 7,583,784 | |
a | SpringWorks Therapeutics Inc. | United States | 76,800 | 2,417,664 | |
a | Ultragenyx Pharmaceutical Inc. | United States | 162,100 | 8,518,355 | |
a | uniQure NV | Netherlands | 182,800 | 10,521,968 | |
a | Vertex Pharmaceuticals Inc. | United States | 353,900 | 80,352,995 | |
a,b | Viela Bio Inc. | United States | 151,600 | 5,965,460 | |
a | Xencor Inc. | United States | 157,332 | 5,339,848 | |
a | Zymeworks Inc. | Canada | 209,220 | 9,130,361 | |
882,769,956 | |||||
Life Sciences Tools & Services 4.5% | |||||
a | Illumina Inc. | United States | 176,000 | 51,052,320 | |
Pharmaceuticals 12.9% | |||||
a,b | Aerie Pharmaceuticals Inc. | United States | 505,400 | 10,350,592 | |
a | Arvinas Inc. | United States | 47,700 | 2,311,542 | |
a,b | Cara Therapeutics Inc. | United States | 227,000 | 3,654,700 | |
a | Collegium Pharmaceutical Inc. | United States | 392,050 | 7,886,086 | |
a | Cymabay Therapeutics Inc. | United States | 438,356 | 675,068 | |
a | GW Pharmaceuticals PLC, ADR | United Kingdom | 384,400 | 44,409,732 | |
a | Odonate Therapeutics Inc. | United States | 309,782 | 9,045,634 | |
a | Optinose Inc. | United States | 507,900 | 3,976,857 | |
a | Reata Pharmaceuticals Inc. | United States | 177,400 | 38,813,346 | |
a,b | Relmada Therapeutics Inc. | United States | 91,266 | 4,047,647 | |
a | Revance Therapeutics Inc. | United States | 647,300 | 14,480,101 | |
a,b | TherapeuticsMD Inc. | United States | 2,847,040 | 6,405,840 | |
a | Trevi Therapeutics Inc. | United States | 223,709 | 1,114,071 | |
147,171,216 | |||||
Total Common Stocks (Cost $618,023,746) | 1,080,993,492 | ||||
Preferred Stocks (Cost $2,821,056) 0.3% | |||||
Biotechnology 0.3% | |||||
a,c,d | Metacrine Inc., pfd., C | United States | 1,330,687 | 2,821,056 | |
Escrows and Litigation Trusts (Cost $2,090,611) 0.1% | |||||
a,c | True North Therapeutics Inc., Escrow Account | United States | 759,880 | 936,544 | |
Total Investments before Short Term Investments (Cost $622,935,413) | 1,084,751,092 | ||||
Short Term Investments 7.3% | |||||
Money Market Funds (Cost $50,790,829) 4.5% | |||||
f,g | Institutional Fiduciary Trust Money Market Portfolio, 1.21% | United States | 50,790,829 | 50,790,829 |
| 2
Franklin Strategic Series
Statement of Investments (unaudited)
Franklin Biotechnology Discovery Fund (continued)
Country | Shares | Value | |||
Short Term Investments (continued) | |||||
Investments from Cash Collateral Received for Loaned Securities 2.8% | |||||
Money Market Funds (Cost $32,426,535) 2.8% | |||||
f,g | Institutional Fiduciary Trust Money Market Portfolio, 1.21% | United States | 32,426,535 | $32,426,535 | |
Total Investments (Cost $706,152,777) 102.9% | 1,167,968,456 | ||||
Other Assets, less Liabilities (2.9)% | (32,895,161) | ||||
Net Assets 100.0% | $1,135,073,295 |
See Abbreviations on page 65.
aNon-income producing. |
bA portion or all of the security is on loan at January 31, 2020. |
cFair valued using significant unobservable inputs. See Note 11 regarding fair value measurements. |
dSee Note 6 regarding restricted securities. |
eSecurity was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from registration only to qualified institutional buyers or in a public offering registered under the Securities Act of 1933. At January 31, 2020, the value of this security was $597,786, representing less than 0.1% of net assets. |
fSee Note 8 regarding investments in affiliated management investment companies. |
gThe rate shown is the annualized seven-day effective yield at period end. |
| 3
Franklin Strategic Series
Statement of Investments, January 31, 2020 (unaudited)
Franklin Growth Opportunities Fund
Country | Shares | Value | |||
Common Stocks 97.1% | |||||
Communication Services 6.5% | |||||
a | Alphabet Inc., C | United States | 97,216 | $139,430,103 | |
a | Facebook Inc., A | United States | 151,743 | 30,638,429 | |
a | Liberty Broadband Corp., C | United States | 346,818 | 46,102,517 | |
The Walt Disney Co. | United States | 425,225 | 58,812,870 | ||
274,983,919 | |||||
Consumer Discretionary 10.4% | |||||
a | Amazon.com Inc. | United States | 154,624 | 310,596,321 | |
Aptiv PLC | United States | 295,903 | 25,089,615 | ||
a | Chipotle Mexican Grill Inc. | United States | 25,751 | 22,319,937 | |
Levi Strauss & Co., A | United States | 833,386 | 16,367,701 | ||
NIKE Inc., B | United States | 199,306 | 19,193,168 | ||
a,b | Peloton Interactive Inc., A | United States | 663,400 | 21,467,624 | |
a | Under Armour Inc., A | United States | 1,165,850 | 23,526,853 | |
438,561,219 | |||||
Consumer Staples 3.0% | |||||
Constellation Brands Inc., A | United States | 167,865 | 31,608,979 | ||
Lamb Weston Holdings Inc. | United States | 558,234 | 50,972,347 | ||
a | Monster Beverage Corp. | United States | 352,068 | 23,447,729 | |
a | Nomad Foods Ltd. | United Kingdom | 959,344 | 19,359,562 | |
125,388,617 | |||||
Energy 0.4% | |||||
Diamondback Energy Inc. | United States | 225,705 | 16,792,452 | ||
Financials 6.3% | |||||
The Charles Schwab Corp. | United States | 714,275 | 32,535,226 | ||
Intercontinental Exchange Inc. | United States | 521,651 | 52,029,471 | ||
MarketAxess Holdings Inc. | United States | 105,804 | 37,473,661 | ||
MSCI Inc. | United States | 279,833 | 79,976,271 | ||
S&P Global Inc. | United States | 227,424 | 66,801,252 | ||
268,815,881 | |||||
Health Care 15.4% | |||||
AstraZeneca PLC, ADR | United Kingdom | 310,659 | 15,129,093 | ||
a | Deciphera Pharmaceuticals Inc. | United States | 268,895 | 16,840,894 | |
a | Edwards Lifesciences Corp. | United States | 280,122 | 61,587,623 | |
a | Elanco Animal Health Inc. | United States | 373,022 | 11,526,380 | |
a | Guardant Health Inc. | United States | 259,017 | 19,695,653 | |
a | GW Pharmaceuticals PLC, ADR | United Kingdom | 298,788 | 34,518,978 | |
a | Heron Therapeutics Inc. | United States | 2,500,782 | 52,166,312 | |
a | IDEXX Laboratories Inc. | United States | 104,759 | 28,390,737 | |
a | Illumina Inc. | United States | 101,824 | 29,536,088 | |
a | Intuitive Surgical Inc. | United States | 69,742 | 39,040,177 | |
a | Nevro Corp. | United States | 492,387 | 65,443,156 | |
a | PTC Therapeutics Inc. | United States | 582,961 | 30,022,491 | |
a | Reata Pharmaceuticals Inc. | United States | 135,829 | 29,718,027 | |
a | Sage Therapeutics Inc. | United States | 140,396 | 9,305,447 | |
UnitedHealth Group Inc. | United States | 309,579 | 84,344,798 |
Quarterly Statement of Investments | See Notes to Statements of Investments. | 4
Franklin Strategic Series
Statement of Investments (unaudited)
Franklin Growth Opportunities Fund (continued)
Country | Shares | Value | |||
Common Stocks (continued) | |||||
Health Care (continued) | |||||
a | Veeva Systems Inc. | United States | 396,044 | $58,064,011 | |
West Pharmaceutical Services Inc. | United States | 419,011 | 65,344,765 | ||
650,674,630 | |||||
Industrials 10.9% | |||||
The Boeing Co. | United States | 74,133 | 23,594,310 | ||
a | CoStar Group Inc. | United States | 168,692 | 110,154,189 | |
Honeywell International Inc. | United States | 220,100 | 38,125,722 | ||
a | IHS Markit Ltd. | United States | 636,224 | 50,172,625 | |
Raytheon Co. | United States | 201,632 | 44,548,574 | ||
Roper Technologies Inc. | United States | 128,568 | 49,069,263 | ||
Stanley Black & Decker Inc. | United States | 127,420 | 20,301,828 | ||
TransUnion | United States | 239,903 | 21,999,105 | ||
Union Pacific Corp. | United States | 44,630 | 8,007,515 | ||
a | Univar Solutions Inc. | United States | 950,507 | 20,483,426 | |
Verisk Analytics Inc. | United States | 475,500 | 77,254,485 | ||
463,711,042 | |||||
Information Technology 40.4% | |||||
a | Adobe Inc. | United States | 266,362 | 93,530,353 | |
Analog Devices Inc. | United States | 266,301 | 29,226,535 | ||
Apple Inc. | United States | 441,508 | 136,651,141 | ||
a | Autodesk Inc. | United States | 119,419 | 23,507,630 | |
a | Bill.Com Holdings Inc. | United States | 30,900 | 1,554,888 | |
a,c | Bill.Com Holdings Inc. | United States | 812,499 | 38,532,367 | |
a | Black Knight Inc. | United States | 328,967 | 22,014,472 | |
a | CloudFlare Inc., A | United States | 465,253 | 8,309,419 | |
a | Fiserv Inc. | United States | 326,248 | 38,696,275 | |
a | Guidewire Software Inc. | United States | 62,745 | 7,058,813 | |
a | InterXion Holding NV | Netherlands | 495,448 | 43,118,839 | |
Intuit Inc. | United States | 73,846 | 20,704,942 | ||
a,c,d | LegalZoom.com Inc. | United States | 1,673,284 | 20,077,696 | |
Mastercard Inc., A | United States | 758,815 | 239,740,011 | ||
Microsoft Corp. | United States | 1,566,958 | 266,743,260 | ||
Monolithic Power Systems | United States | 238,216 | 40,775,433 | ||
NVIDIA Corp. | United States | 172,870 | 40,871,654 | ||
a | PayPal Holdings Inc. | United States | 422,534 | 48,122,397 | |
a | PTC Inc. | United States | 417,558 | 34,707,421 | |
a | salesforce.com Inc. | United States | 258,798 | 47,181,463 | |
a | ServiceNow Inc. | United States | 384,532 | 130,060,258 | |
a | Synopsys Inc. | United States | 71,815 | 10,593,431 | |
a | Twilio Inc., A | United States | 385,850 | 47,976,589 | |
a | Tyler Technologies Inc. | United States | 97,251 | 31,478,204 | |
Visa Inc., A | United States | 927,459 | 184,536,517 | ||
a | Workday Inc., A | United States | 230,968 | 42,643,622 | |
Xilinx Inc. | United States | 223,375 | 18,870,720 | ||
a | Zendesk Inc. | United States | 522,791 | 45,169,142 | |
1,712,453,492 |
| 5
Franklin Strategic Series
Statement of Investments (unaudited)
Statement of Investments (unaudited)
Franklin Growth Opportunities Fund (continued)
Country | Shares | Value | |||
Common Stocks (continued) | |||||
Materials 0.3% | |||||
a | Ingevity Corp. | United States | 211,907 | $13,820,575 | |
Real Estate 3.5% | |||||
American Tower Corp. | United States | 129,305 | 29,965,141 | ||
SBA Communications Corp., A | United States | 472,242 | 117,852,713 | ||
147,817,854 | |||||
Total Common Stocks (Cost $1,834,756,092) | 4,113,019,681 | ||||
Preferred Stocks 3.1% | |||||
Communication Services 0.1% | |||||
a,c,d | Tanium Inc., pfd., G | United States | 805,800 | 6,139,941 | |
Consumer Discretionary 1.8% | |||||
a,c,d | ClearMotion Inc., pfd., C | United States | 2,610,594 | 8,855,696 | |
a,c,d | ClearMotion Inc., pfd., D | United States | 3,698,772 | 13,244,903 | |
a,c,d | Proterra Inc., pfd., 5, 144A | United States | 2,362,202 | 20,867,451 | |
a,c,d | Proterra Inc., pfd., 6, 144A | United States | 596,775 | 5,271,849 | |
a,c,d | Proterra Inc., pfd., 7 | United States | 780,667 | 6,896,333 | |
a,c,d | Proterra Inc., pfd., 8 | United States | 289,016 | 2,553,138 | |
a,c,d | Sweetgreen Inc., pfd., H | United States | 928,488 | 14,822,377 | |
a,c,d | Sweetgreen Inc., pfd., I | United States | 100,835 | 1,784,123 | |
74,295,870 | |||||
Health Care 0.3% | |||||
a,c,d | Tempus Labs Inc., pfd., F | United States | 504,854 | 12,499,983 | |
Industrials 0.8% | |||||
a,c,d | Optoro Inc., pfd., E | United States | 509,182 | 14,022,397 | |
a,c,d | Wheels Up Partners LLC, pfd., D | United States | 5,028,735 | 19,102,384 | |
33,124,781 | |||||
Information Technology 0.1% | |||||
a,c,d | GitLab Inc., pfd., E | United States | 201,294 | 3,749,987 | |
Total Preferred Stocks (Cost $99,396,671) | 129,810,562 | ||||
Total Investments before Short Term Investments (Cost $1,934,152,763) | 4,242,830,243 | ||||
Short Term Investments 0.5% | |||||
Money Market Funds (Cost $22,801) 0.0%† | |||||
e,f | Institutional Fiduciary Trust Money Market Portfolio, 1.21% | United States | 22,801 | 22,801 |
| 6
Franklin Strategic Series
Statement of Investments (unaudited)
Franklin Growth Opportunities Fund (continued)
Country | Shares | Value | |||
Short Term Investments (continued) | |||||
Investments from Cash Collateral Received for Loaned Securities (Cost $20,791,095) 0.5% | |||||
Money Market Funds 0.5% | |||||
e,f | Institutional Fiduciary Trust Money Market Portfolio, 1.21% | United States | 20,791,095 | $20,791,095 | |
Total Investments (Cost $1,954,966,659) 100.7% | 4,263,644,139 | ||||
Other Assets, less Liabilities (0.7)% | (29,001,123) | ||||
Net Assets 100.0% | $4,234,643,016 |
See Abbreviations on page 65.
†Rounds to less than 0.1% of net assets. |
aNon-income producing. |
bA portion or all of the security is on loan at January 31, 2020. |
cFair valued using significant unobservable inputs. See Note 11 regarding fair value measurements. |
dSee Note 6 regarding restricted securities. |
eSee Note 8 regarding investments in affiliated management investment companies. |
fThe rate shown is the annualized seven-day effective yield at period end. |
| 7
Franklin Strategic Series
Statement of Investments, January 31, 2020 (unaudited)
Franklin Natural Resources Fund
Country | Shares | Value | |||
Common Stocks 97.6% | |||||
Copper 4.5% | |||||
Antofagasta PLC | United Kingdom | 344,500 | $3,732,394 | ||
First Quantum Minerals Ltd. | Zambia | 138,300 | 1,082,575 | ||
Freeport-McMoRan Inc. | United States | 302,700 | 3,359,970 | ||
a | Imperial Metals Corp. | Canada | 364,500 | 531,534 | |
Lundin Mining Corp. | Chile | 380,000 | 1,992,595 | ||
10,699,068 | |||||
Diversified Chemicals 0.9% | |||||
BASF SE | Germany | 31,100 | 2,099,336 | ||
Diversified Metals & Mining 7.9% | |||||
Anglo American PLC | United Kingdom | 103,100 | 2,689,690 | ||
BHP Group PLC, ADR | United Kingdom | 116,000 | 5,037,880 | ||
Glencore PLC | Switzerland | 1,335,900 | 3,906,078 | ||
a,b | Nautilus Minerals Inc. | Canada | 3,895,831 | — | |
Rio Tinto PLC, ADR | Australia | 52,300 | 2,794,389 | ||
South32 Ltd. | Australia | 742,000 | 1,273,100 | ||
Teck Resources Ltd., B | Canada | 237,600 | 3,067,416 | ||
18,768,553 | |||||
Fertilizers & Agricultural Chemicals 1.0% | |||||
Corteva Inc. | United States | 38,800 | 1,122,096 | ||
Nutrien Ltd. | Canada | 28,400 | 1,212,396 | ||
2,334,492 | |||||
Gold 6.6% | |||||
Agnico Eagle Mines Ltd. | Canada | 35,300 | 2,181,745 | ||
Alamos Gold Inc., A | Canada | 337,000 | 2,126,143 | ||
B2Gold Corp. | Canada | 568,900 | 2,463,013 | ||
Barrick Gold Corp. | Canada | 156,691 | 2,901,917 | ||
a | Guyana Goldfields Inc. | Canada | 1,122,300 | 602,065 | |
Newcrest Mining Ltd. | Australia | 84,000 | 1,681,557 | ||
Newmont Corp. | United States | 64,615 | 2,911,552 | ||
OceanaGold Corp. | Australia | 329,810 | 690,271 | ||
15,558,263 | |||||
Integrated Oil & Gas 14.2% | |||||
Chevron Corp. | United States | 65,200 | 6,985,528 | ||
Exxon Mobil Corp. | United States | 56,600 | 3,515,992 | ||
Occidental Petroleum Corp. | United States | 210,700 | 8,369,004 | ||
Royal Dutch Shell PLC, A, ADR | United Kingdom | 111,021 | 5,789,745 | ||
Suncor Energy Inc. | Canada | 215,200 | 6,577,136 | ||
Total SA, B, ADR | France | 48,610 | 2,361,960 | ||
33,599,365 | |||||
Oil & Gas Drilling 1.5% | |||||
Helmerich & Payne Inc. | United States | 25,700 | 1,042,135 | ||
Patterson-UTI Energy Inc. | United States | 324,500 | 2,576,530 | ||
3,618,665 |
Quarterly Statement of Investments | See Notes to Statements of Investments. | 8
Franklin Strategic Series
Statement of Investments (unaudited)
Franklin Natural Resources Fund (continued)
Country | Shares | Value | |||
Common Stocks (continued) | |||||
Oil & Gas Equipment & Services 15.7% | |||||
a | Apergy Corp. | United States | 32,900 | $850,794 | |
Baker Hughes Co., A | United States | 219,300 | 4,750,038 | ||
Cactus Inc. | United States | 39,800 | 1,147,036 | ||
a | Dril-Quip Inc. | United States | 27,100 | 1,108,390 | |
Halliburton Co. | United States | 217,435 | 4,742,257 | ||
Liberty Oilfield Services Inc., A | United States | 265,400 | 2,250,592 | ||
a | NexTier Oilfield Solutions Inc. | United States | 157,460 | 810,919 | |
a | Nine Energy Service Inc. | United States | 194,650 | 942,106 | |
a | Oceaneering International Inc. | United States | 143,900 | 1,785,799 | |
a | Oil States International Inc. | United States | 176,766 | 1,905,538 | |
a | ProPetro Holding Corp. | United States | 47,500 | 462,650 | |
a | Ranger Energy Services Inc. | United States | 154,157 | 1,079,099 | |
Schlumberger Ltd. | United States | 211,047 | 7,072,185 | ||
Schoeller-Bleckmann Oilfield Equipment AG | Austria | 27,500 | 1,268,868 | ||
a | Select Energy Services Inc. | United States | 251,500 | 1,750,440 | |
a | Superior Energy Services Inc. | United States | 78,610 | 411,916 | |
TechnipFMC PLC | United Kingdom | 285,100 | 4,707,001 | ||
37,045,628 | |||||
Oil & Gas Exploration & Production 29.8% | |||||
Cabot Oil & Gas Corp., A | United States | 412,400 | 5,810,716 | ||
a | Cairn Energy PLC | United Kingdom | 1,014,093 | 2,264,687 | |
a | Callon Petroleum Co. | United States | 1,078,400 | 3,235,200 | |
Canadian Natural Resources Ltd. | Canada | 203,300 | 5,717,284 | ||
Concho Resources Inc. | United States | 120,200 | 9,108,756 | ||
ConocoPhillips | United States | 135,392 | 8,046,347 | ||
Diamondback Energy Inc. | United States | 103,400 | 7,692,960 | ||
EOG Resources Inc. | United States | 111,600 | 8,136,756 | ||
Hess Corp. | United States | 39,100 | 2,211,887 | ||
Noble Energy Inc. | United States | 292,200 | 5,776,794 | ||
Parsley Energy Inc., A | United States | 152,210 | 2,532,774 | ||
Pioneer Natural Resources Co. | United States | 49,224 | 6,645,240 | ||
a | WPX Energy Inc. | United States | 259,300 | 3,098,635 | |
70,278,036 | |||||
Oil & Gas Refining & Marketing 5.1% | |||||
Marathon Petroleum Corp. | United States | 89,000 | 4,850,500 | ||
Phillips 66 | United States | 39,200 | 3,581,704 | ||
Valero Energy Corp. | United States | 42,500 | 3,583,175 | ||
12,015,379 | |||||
Oil & Gas Storage & Transportation 7.5% | |||||
Enbridge Inc. | Canada | 55,447 | 2,255,030 | ||
Kinder Morgan Inc. | United States | 117,100 | 2,443,877 | ||
ONEOK Inc. | United States | 34,500 | 2,583,015 | ||
Targa Resources Corp. | United States | 118,600 | 4,328,900 | ||
TC Energy Corp. | Canada | 53,000 | 2,905,460 | ||
The Williams Cos. Inc. | United States | 152,400 | 3,153,156 | ||
17,669,438 |
| 9
Franklin Strategic Series
Statement of Investments (unaudited)
Statement of Investments (unaudited)
Franklin Natural Resources Fund (continued)
Country | Shares | Value | |||
Common Stocks (continued) | |||||
Paper Packaging 0.6% | |||||
Packaging Corp. of America | United States | 15,200 | $1,455,400 | ||
Pharmaceuticals 0.3% | |||||
a | Elanco Animal Health Inc. | United States | 25,800 | 797,220 | |
Specialty Chemicals 1.4% | |||||
Albemarle Corp. | United States | 31,000 | 2,488,680 | ||
DuPont de Nemours Inc. | United States | 16,700 | 854,706 | ||
3,343,386 | |||||
Trading Companies & Distributors 0.6% | |||||
a | Univar Solutions Inc. | United States | 61,300 | 1,321,015 | |
Total Common Stocks (Cost $235,916,275) | 230,603,244 | ||||
Short Term Investments (Cost $6,654,410) 2.8% | |||||
Money Market Funds 2.8% | |||||
c,d | Institutional Fiduciary Trust Money Market Portfolio, 1.21% | United States | 6,654,410 | 6,654,410 | |
Total Investments (Cost $242,570,685) 100.4% | 237,257,654 | ||||
Other Assets, less Liabilities (0.4)% | (1,052,462) | ||||
Net Assets 100.0% | $236,205,192 |
See Abbreviations on page 65.
aNon-income producing. |
bFair valued using significant unobservable inputs. See Note 11 regarding fair value measurements. |
cSee Note 8 regarding investments in affiliated management investment companies. |
dThe rate shown is the annualized seven-day effective yield at period end. |
| 10
Franklin Strategic Series
Statement of Investments, January 31, 2020 (unaudited)
Franklin Select U.S. Equity Fund
Country | Shares | Value | |||
Common Stocks 98.7% | |||||
Communication Services 6.0% | |||||
a | Alphabet Inc., A | United States | 2,720 | $3,897,161 | |
The Walt Disney Co. | United States | 17,770 | 2,457,769 | ||
6,354,930 | |||||
Consumer Discretionary 10.6% | |||||
a | Alibaba Group Holding Ltd., ADR | China | 13,010 | 2,687,736 | |
a | Amazon.com Inc. | United States | 2,390 | 4,800,841 | |
Aptiv PLC | United States | 14,860 | 1,259,979 | ||
NIKE Inc., B | United States | 25,320 | 2,438,316 | ||
11,186,872 | |||||
Consumer Staples 6.5% | |||||
Constellation Brands Inc., A | United States | 7,600 | 1,431,080 | ||
Estee Lauder Cos. Inc., A | United States | 8,820 | 1,721,311 | ||
Lamb Weston Holdings Inc. | United States | 22,780 | 2,080,042 | ||
a | Monster Beverage Corp. | United States | 24,100 | 1,605,060 | |
6,837,493 | |||||
Energy 1.4% | |||||
Cabot Oil & Gas Corp., A | United States | 57,470 | 809,752 | ||
Concho Resources Inc. | United States | 9,000 | 682,020 | ||
1,491,772 | |||||
Financials 9.6% | |||||
BlackRock Inc. | United States | 5,070 | 2,673,665 | ||
The Charles Schwab Corp. | United States | 49,860 | 2,271,123 | ||
Intercontinental Exchange Inc. | United States | 25,060 | 2,499,484 | ||
S&P Global Inc. | United States | 9,180 | 2,696,441 | ||
10,140,713 | |||||
Health Care 15.1% | |||||
a | ABIOMED Inc. | United States | 4,110 | 765,652 | |
AstraZeneca PLC, ADR | United Kingdom | 51,130 | 2,490,031 | ||
a | Illumina Inc. | United States | 5,260 | 1,525,768 | |
a | Mettler-Toledo International Inc. | United States | 3,120 | 2,362,402 | |
Stryker Corp. | United States | 10,390 | 2,189,173 | ||
Teleflex Inc. | United States | 6,750 | 2,507,692 | ||
UnitedHealth Group Inc. | United States | 9,100 | 2,479,295 | ||
a | Waters Corp. | United States | 7,110 | 1,591,147 | |
15,911,160 | |||||
Industrials 10.1% | |||||
BWX Technologies Inc. | United States | 21,710 | 1,380,539 | ||
Fortive Corp. | United States | 28,230 | 2,115,274 | ||
Raytheon Co. | United States | 10,990 | 2,428,131 | ||
Republic Services Inc. | United States | 20,300 | 1,929,515 | ||
Verisk Analytics Inc. | United States | 16,990 | 2,760,365 | ||
10,613,824 |
Quarterly Statement of Investments | See Notes to Statements of Investments. | 11
Franklin Strategic Series
Statement of Investments (unaudited)
Statement of Investments (unaudited)
Franklin Select U.S. Equity Fund (continued)
Country | Shares | Value | |||
Common Stocks (continued) | |||||
Information Technology 31.4% | |||||
a | Adyen NV | Netherlands | 363 | $334,578 | |
Amphenol Corp., A | United States | 15,640 | 1,555,711 | ||
Analog Devices Inc. | United States | 26,400 | 2,897,400 | ||
Apple Inc. | United States | 9,970 | 3,085,815 | ||
Applied Materials Inc. | United States | 45,630 | 2,646,084 | ||
Cognex Corp. | United States | 27,230 | 1,387,913 | ||
a | InterXion Holding NV | Netherlands | 29,540 | 2,570,866 | |
Mastercard Inc., A | United States | 11,460 | 3,620,672 | ||
Microsoft Corp. | United States | 29,830 | 5,077,961 | ||
NVIDIA Corp. | United States | 9,040 | 2,137,327 | ||
a | salesforce.com Inc. | United States | 13,680 | 2,494,001 | |
a | ServiceNow Inc. | United States | 9,880 | 3,341,712 | |
a | Tyler Technologies Inc. | United States | 6,220 | 2,013,290 | |
33,163,330 | |||||
Materials 2.3% | |||||
Ecolab Inc. | United States | 12,060 | 2,365,087 | ||
Real Estate 2.4% | |||||
SBA Communications Corp., A | United States | 10,230 | 2,552,999 | ||
Utilities 3.3% | |||||
NextEra Energy Inc. | United States | 13,110 | 3,516,102 | ||
Total Common Stocks (Cost $73,131,934) | 104,134,282 | ||||
Short Term Investments (Cost $1,490,059) 1.4% | |||||
Money Market Funds 1.4% | |||||
b,c | Institutional Fiduciary Trust Money Market Portfolio, 1.21% | United States | 1,490,059 | 1,490,059 | |
Total Investments (Cost $74,621,993) 100.1% | 105,624,341 | ||||
Other Assets, less Liabilities (0.1)% | (78,642) | ||||
Net Assets 100.0% | $105,545,699 |
See Abbreviations on page 65.
aNon-income producing. |
bSee Note 8 regarding investments in affiliated management investment companies. |
cThe rate shown is the annualized seven-day effective yield at period end. |
| 12
Franklin Strategic Series
Statement of Investments, January 31, 2020 (unaudited)
Franklin Small Cap Growth Fund
Country | Shares | Value | |||
Common Stocks 93.3% | |||||
Communication Services 1.1% | |||||
a | IMAX Corp. | United States | 680,200 | $11,250,508 | |
a | Yelp Inc. | United States | 543,600 | 17,721,360 | |
28,971,868 | |||||
Consumer Discretionary 14.3% | |||||
American Eagle Outfitters Inc. | United States | 1,516,200 | 21,833,280 | ||
a | Boot Barn Holdings Inc. | United States | 578,860 | 24,294,754 | |
Dave & Buster’s Entertainment Inc. | United States | 536,500 | 23,691,840 | ||
a,b,c | DraftKings Inc. | United States | 9,905,685 | 40,522,741 | |
a | Five Below Inc. | United States | 229,000 | 25,927,380 | |
a | Grand Canyon Education Inc. | United States | 212,900 | 16,665,812 | |
Lithia Motors Inc. | United States | 145,300 | 19,708,492 | ||
a | M/I Homes Inc. | United States | 861,376 | 38,236,481 | |
a,b | Peloton Interactive Inc., B | United States | 1,038,769 | 32,628,249 | |
a,d | The RealReal Inc. | United States | 751,100 | 10,868,417 | |
a,d | Revolve Group Inc. | United States | 535,600 | 9,528,324 | |
a | RH | United States | 127,300 | 26,573,875 | |
a,e | Sportsman’s Warehouse Holdings Inc. | United States | 2,356,100 | 15,267,528 | |
Steven Madden Ltd. | United States | 826,350 | 31,864,056 | ||
a | TRI Pointe Group Inc. | United States | 971,300 | 15,793,338 | |
Wingstop Inc. | United States | 451,229 | 41,860,514 | ||
395,265,081 | |||||
Consumer Staples 3.1% | |||||
a | BellRing Brands Inc., A | United States | 290,500 | 6,286,420 | |
a | Grocery Outlet Holding Corp. | United States | 728,900 | 23,864,186 | |
a | Hostess Brands Inc., A | United States | 1,007,600 | 13,521,992 | |
a | Nomad Foods Ltd. | United Kingdom | 937,100 | 18,910,678 | |
a | The Simply Good Foods Co. | United States | 1,050,600 | 24,132,282 | |
86,715,558 | |||||
Energy 0.9% | |||||
a | Callon Petroleum Co. | United States | 3,755,900 | 11,267,700 | |
Liberty Oilfield Services Inc., A | United States | 1,620,100 | 13,738,448 | ||
25,006,148 | |||||
Financials 6.4% | |||||
Evercore Inc. | United States | 180,800 | 13,852,896 | ||
FGL Holdings., A | United States | 435,200 | 4,199,680 | ||
Houlihan Lokey Inc. | United States | 566,400 | 29,367,840 | ||
a | Metropolitan Bank Holding Corp. | United States | 318,661 | 15,662,188 | |
Pinnacle Financial Partners Inc. | United States | 586,304 | 34,627,114 | ||
a | PRA Group Inc. | United States | 506,500 | 17,909,840 | |
TCF Financial Corp. | United States | 653,223 | 27,618,269 | ||
Western Alliance Bancorp | United States | 623,400 | 34,430,382 | ||
177,668,209 |
Quarterly Statement of Investments | See Notes to Statements of Investments. | 13
Franklin Strategic Series
Statement of Investments (unaudited)
Statement of Investments (unaudited)
Franklin Small Cap Growth Fund (continued)
Country | Shares | Value | |||
Common Stocks (continued) | |||||
Health Care 23.1% | |||||
a | Argenx SE, ADR | Netherlands | 83,700 | $12,077,073 | |
a | Ascendis Pharma AS, ADR | Denmark | 178,900 | 24,169,390 | |
a | Collegium Pharmaceutical Inc. | United States | 698,800 | 14,056,362 | |
a | Deciphera Pharmaceuticals Inc. | United States | 564,600 | 35,360,898 | |
a | Dermira Inc. | United States | 147,100 | 2,787,545 | |
a | Emergent BioSolutions Inc. | United States | 382,600 | 21,077,434 | |
a | Global Blood Therapeutics Inc. | United States | 311,800 | 20,348,068 | |
a | GW Pharmaceuticals PLC, ADR | United Kingdom | 282,600 | 32,648,778 | |
a | HealthEquity Inc. | United States | 341,116 | 22,534,123 | |
a | Heron Therapeutics Inc. | United States | 1,366,308 | 28,501,185 | |
a | Inspire Medical Systems Inc. | United States | 323,744 | 24,216,051 | |
a | Integer Holdings Corp. | United States | 369,000 | 31,512,600 | |
a | Iovance Biotherapeutics Inc. | United States | 1,060,500 | 23,055,270 | |
a | iRhythm Technologies Inc. | United States | 391,097 | 33,489,636 | |
a,d | Livongo Health Inc. | United States | 816,785 | 19,733,526 | |
a | Neogen Corp. | United States | 267,266 | 17,978,984 | |
a | NeoGenomics Inc. | United States | 1,062,300 | 34,237,929 | |
a | Neuronetics Inc. | United States | 267,005 | 969,228 | |
a | Nevro Corp. | United States | 247,500 | 32,895,225 | |
a | Odonate Therapeutics Inc. | United States | 383,200 | 11,189,440 | |
a | Penumbra Inc. | United States | 175,200 | 30,740,592 | |
a | Pfenex Inc. | United States | 1,097,731 | 11,767,676 | |
a | Phreesia Inc. | United States | 418,282 | 12,966,742 | |
a | PTC Therapeutics Inc. | United States | 812,100 | 41,823,150 | |
a | Reata Pharmaceuticals Inc. | United States | 136,974 | 29,968,541 | |
a | Revance Therapeutics Inc. | United States | 1,138,292 | 25,463,592 | |
a | Sage Therapeutics Inc. | United States | 12,577 | 833,604 | |
a,d | TherapeuticsMD Inc. | United States | 1,783,100 | 4,011,975 | |
a | Tivity Health Inc. | United States | 1,690,778 | 36,596,890 | |
637,011,507 | |||||
Industrials 17.5% | |||||
Allegiant Travel Co. | United States | 266,248 | 44,740,314 | ||
Altra Industrial Motion Corp. | United States | 233,185 | 7,755,733 | ||
Arcosa Inc. | United States | 518,500 | 22,684,375 | ||
a | Axon Enterprise Inc. | United States | 351,300 | 26,983,353 | |
a | Beacon Roofing Supply Inc. | United States | 878,200 | 29,077,202 | |
BWX Technologies Inc. | United States | 431,200 | 27,420,008 | ||
Cubic Corp. | United States | 666,800 | 43,535,372 | ||
Granite Construction Inc. | United States | 1,049,543 | 28,474,101 | ||
Healthcare Services Group Inc. | United States | 817,200 | 20,920,320 | ||
Kennametal Inc. | United States | 1,203,400 | 37,654,386 | ||
a | Kratos Defence & Security Solutions Inc. | United States | 605,564 | 11,106,044 | |
Lindsay Corp. | United States | 139,421 | 13,946,283 | ||
a | Mercury Systems Inc. | United States | 533,016 | 40,908,978 | |
a | SAIA Inc. | United States | 249,924 | 21,768,380 | |
a | Spirit Airlines Inc. | United States | 930,300 | 38,207,421 | |
a | Univar Solutions Inc. | United States | 1,664,832 | 35,877,130 |
| 14
Franklin Strategic Series
Statement of Investments (unaudited)
Franklin Small Cap Growth Fund (continued)
Country | Shares | Value | |||
Common Stocks (continued) | |||||
Industrials (continued) | |||||
US Ecology Inc. | United States | 588,246 | $31,771,166 | ||
482,830,566 | |||||
Information Technology 24.9% | |||||
a | Alteryx Inc. | United States | 356,100 | 49,665,267 | |
a | Bill.Com Holdings Inc. | United States | 234,300 | 11,789,976 | |
a | CloudFlare Inc., A | United States | 1,405,400 | 25,100,444 | |
a | Envestnet Inc. | United States | 405,722 | 31,999,294 | |
a | Hubspot Inc. | United States | 183,529 | 33,207,737 | |
a | InterXion Holding NV | Netherlands | 390,795 | 34,010,889 | |
a | Lattice Semiconductor Corp. | United States | 1,898,700 | 35,315,820 | |
a,b,c | LegalZoom.com Inc. | United States | 1,431,280 | 17,173,896 | |
ManTech International Corp., A | United States | 334,500 | 26,853,660 | ||
Monolithic Power Systems | United States | 156,900 | 26,856,573 | ||
a | Onto Innovation Inc. | United States | 1,053,800 | 39,981,172 | |
a | Pagerduty Inc. | United States | 652,200 | 15,209,304 | |
a | Paylocity Holding Corp. | United States | 268,532 | 38,102,005 | |
a | Pluralsight Inc., A | United States | 1,134,200 | 21,992,138 | |
a | Pure Storage Inc., A | United States | 597,300 | 10,631,940 | |
a | Q2 Holdings Inc. | United States | 350,400 | 30,551,376 | |
a | Repay Holdings Corp. | United States | 910,300 | 15,393,173 | |
a | Semtech Corp. | United States | 527,000 | 25,396,130 | |
a | Silicon Laboratories Inc. | United States | 311,100 | 30,584,241 | |
a | USA Technologies Inc. | United States | 1,220,200 | 11,042,810 | |
a | ViaSat Inc. | United States | 546,283 | 34,770,913 | |
a | Viavi Solutions Inc. | United States | 1,920,800 | 27,083,280 | |
a | Wix.com Ltd. | Israel | 215,500 | 30,749,695 | |
a | Zendesk Inc. | United States | 350,914 | 30,318,970 | |
a | Zscaler Inc. | United States | 628,500 | 35,252,565 | |
689,033,268 | |||||
Materials 1.0% | |||||
a | Ingevity Corp. | United States | 429,329 | 28,000,837 | |
Real Estate 1.0% | |||||
Coresite Realty Corp. | United States | 244,600 | 28,728,270 | ||
Total Common Stocks (Cost $1,825,772,402) | 2,579,231,312 | ||||
Preferred Stocks 4.3% | |||||
Consumer Discretionary 2.7% | |||||
a,b,c | ClearMotion Inc., pfd., D | United States | 3,698,772 | 13,244,903 | |
a,b,c | Proterra Inc., pfd., 5, 144A | United States | 1,787,047 | 15,786,591 | |
a,b,c | Proterra Inc., pfd., 6, 144A | United States | 1,310,834 | 11,579,774 | |
a,b,c | Proterra Inc., pfd., 7 | United States | 536,367 | 4,738,211 | |
a,b,c | Rent the Runway Inc., pfd. | United States | 596,471 | 14,293,965 | |
a,b,c | Sweetgreen Inc., pfd., H | United States | 383,435 | 6,121,154 | |
a,b,c | Sweetgreen Inc., pfd., I | United States | 41,641 | 736,775 | |
a,b,c | Tula eTechnology Inc. | United States | 361,111 | — |
| 15
Franklin Strategic Series
Statement of Investments (unaudited)
Statement of Investments (unaudited)
Franklin Small Cap Growth Fund (continued)
Country | Shares | Value | |||
Preferred Stocks (continued) | |||||
Consumer Discretionary (continued) | |||||
a,b,c | Tula Technology Inc., E | United States | 3,611,111 | $7,573,637 | |
74,075,010 | |||||
Industrials 1.1% | |||||
a,b,c | Optoro Inc., pfd., E | United States | 508,130 | 13,993,426 | |
a,b,c | Wheels Up Partners LLC, pfd., D | United States | 4,310,344 | 16,373,471 | |
30,366,897 | |||||
Information Technology 0.5% | |||||
a,b,c | Smule Inc., pfd., G, 144A | United States | 1,542,673 | 10,322,756 | |
a,b,c | Smule Inc., pfd., H, 144A | United States | 352,675 | 2,783,979 | |
13,106,735 | |||||
Total Preferred Stocks (Cost $94,407,763) | 117,548,642 | ||||
Total Investments before Short Term Investments (Cost $1,920,180,165) | 2,696,779,954 | ||||
Short Term Investments 4.1% | |||||
Money Market Funds (Cost $76,907,160) 2.8% | |||||
f,g | Institutional Fiduciary Trust Money Market Portfolio, 1.21% | United States | 76,907,160 | 76,907,160 | |
Investments from Cash Collateral Received for Loaned Securities (Cost $35,347,221) 1.3% | |||||
Money Market Funds 1.3% | |||||
f,g | Institutional Fiduciary Trust Money Market Portfolio, 1.21% | United States | 35,347,221 | 35,347,221 | |
Total Investments (Cost $2,032,434,546) 101.7% | 2,809,034,335 | ||||
Other Assets, less Liabilities (1.7)% | (45,643,508) | ||||
Net Assets 100.0% | $2,763,390,827 |
See Abbreviations on page 65.
aNon-income producing. |
bFair valued using significant unobservable inputs. See Note 11 regarding fair value measurements. |
cSee Note 6 regarding restricted securities. |
dA portion or all of the security is on loan at January 31, 2020. |
eSee Note 7 regarding holdings of 5% voting securities. |
fSee Note 8 regarding investments in affiliated management investment companies. |
gThe rate shown is the annualized seven-day effective yield at period end. |
| 16
Franklin Strategic Series
Statement of Investments, January 31, 2020 (unaudited)
Franklin Small-Mid Cap Growth Fund
Shares/Warrants | Value | |||
Common Stocks and Other Equity Interests 96.0% | ||||
Communication Services 3.4% | ||||
a | IAC/InterActiveCorp | 226,000 | $55,051,340 | |
a | Pinterest Inc., A | 1,405,000 | 30,952,150 | |
a | Spotify Technology SA | 159,500 | 22,537,350 | |
a | Zynga Inc. | 1,520,000 | 9,150,400 | |
117,691,240 | ||||
Consumer Discretionary 16.6% | ||||
Aptiv PLC | 205,000 | 17,381,950 | ||
a | Burlington Stores Inc. | 218,000 | 47,408,460 | |
a | Chipotle Mexican Grill Inc. | 50,300 | 43,598,028 | |
Domino’s Pizza Inc. | 87,000 | 24,512,250 | ||
a,b,c | DraftKings Inc. | 7,974,537 | 32,622,691 | |
Expedia Group Inc. | 357,000 | 38,716,650 | ||
a | Five Below Inc. | 249,500 | 28,248,390 | |
a | Grand Canyon Education Inc. | 108,000 | 8,454,240 | |
Levi Strauss & Co., A | 1,200,000 | 23,568,000 | ||
MGM Resorts International | 1,073,000 | 33,327,380 | ||
a | NVR Inc. | 7,350 | 28,054,729 | |
a | O’Reilly Automotive Inc. | 89,000 | 36,142,900 | |
a,d | Peloton Interactive Inc., A | 650,000 | 21,034,000 | |
a,d | Revolve Group Inc. | 505,000 | 8,983,950 | |
a | RH | 81,000 | 16,908,750 | |
Tractor Supply Co. | 478,500 | 44,476,575 | ||
a | Ulta Beauty Inc. | 144,000 | 38,579,040 | |
a | Under Armour Inc., A | 875,500 | 17,667,590 | |
Vail Resorts Inc. | ��� 185,000 | 43,384,350 | ||
Wingstop Inc. | 300,000 | 27,831,000 | ||
580,900,923 | ||||
Consumer Staples 2.2% | ||||
a | BellRing Brands Inc., A | 439,800 | 9,517,272 | |
Church & Dwight Co. Inc. | 495,000 | 36,738,900 | ||
McCormick & Co. Inc. | 180,500 | 29,488,285 | ||
75,744,457 | ||||
Energy 0.5% | ||||
Diamondback Energy Inc. | 241,000 | 17,930,400 | ||
Financials 6.2% | ||||
Ares Management Corp., A | 724,000 | 26,107,440 | ||
MarketAxess Holdings Inc. | 125,000 | 44,272,500 | ||
MSCI Inc. | 237,500 | 67,877,500 | ||
TCF Financial Corp. | 486,000 | 20,548,080 | ||
Tradeweb Markets Inc. | 685,500 | 31,656,390 | ||
Western Alliance Bancorp | 500,000 | 27,615,000 | ||
218,076,910 |
Quarterly Statement of Investments | See Notes to Statements of Investments. | 17
Franklin Strategic Series
Statement of Investments (unaudited)
Statement of Investments (unaudited)
Franklin Small-Mid Cap Growth Fund (continued)
Shares/Warrants | Value | |||
Common Stocks and Other Equity Interests (continued) | ||||
Health Care 13.7% | ||||
a | Argenx SE, ADR (Netherlands) | 73,000 | $10,533,170 | |
a | Avantor Inc | 1,149,380 | 21,229,049 | |
a | Deciphera Pharmaceuticals Inc. | 60,000 | 3,757,800 | |
a | DexCom Inc. | 230,414 | 55,472,170 | |
a | Elanco Animal Health Inc. | 660,000 | 20,394,000 | |
a | Guardant Health Inc. | 247,000 | 18,781,880 | |
a | GW Pharmaceuticals PLC, ADR (United Kingdom) | 169,700 | 19,605,441 | |
a | HealthEquity Inc. | 401,000 | 26,490,060 | |
a | Heron Therapeutics Inc. | 1,374,000 | 28,661,640 | |
a | IDEXX Laboratories Inc. | 198,500 | 53,795,485 | |
a | iRhythm Technologies Inc. | 199,450 | 17,078,903 | |
a,d | Livongo Health Inc. | 583,000 | 14,085,280 | |
a | Mettler-Toledo International Inc. | 69,000 | 52,245,420 | |
a | Neurocrine Biosciences Inc. | 102,042 | 10,212,363 | |
a | Penumbra Inc. | 181,247 | 31,801,599 | |
a | PTC Therapeutics Inc. | 320,000 | 16,480,000 | |
a | Reata Pharmaceuticals Inc. | 137,000 | 29,974,230 | |
a | Revance Therapeutics Inc. | 575,000 | 12,862,750 | |
a | Veeva Systems Inc. | 241,000 | 35,333,010 | |
478,794,250 | ||||
Industrials 16.7% | ||||
BWX Technologies Inc. | 285,695 | 18,167,345 | ||
a | CoStar Group Inc. | 121,300 | 79,207,687 | |
Fastenal Co. | 385,000 | 13,428,800 | ||
Fortive Corp. | 579,500 | 43,421,935 | ||
Hexcel Corp. | 204,500 | 15,177,990 | ||
IDEX Corp. | 263,500 | 43,174,475 | ||
L3Harris Technologies Inc. | 143,500 | 31,760,855 | ||
a | Lyft Inc., A | 437,500 | 20,772,500 | |
a | Mercury Systems Inc. | 402,000 | 30,853,500 | |
Old Dominion Freight Line Inc. | 86,100 | 16,895,403 | ||
Republic Services Inc. | 425,000 | 40,396,250 | ||
Rockwell Automation Inc. | 180,000 | 34,498,800 | ||
Roper Technologies Inc. | 130,130 | 49,665,416 | ||
Stanley Black & Decker Inc. | 202,500 | 32,264,325 | ||
TransUnion | 442,000 | 40,531,400 | ||
a | Univar Solutions Inc. | 133,295 | 2,872,507 | |
Verisk Analytics Inc. | 434,000 | 70,511,980 | ||
583,601,168 | ||||
Information Technology 32.0% | ||||
a | Advanced Micro Devices Inc. | 148,000 | 6,956,000 | |
a | Adyen NV (Netherlands) | 23,000 | 21,199,184 | |
a | Alteryx Inc. | 296,000 | 41,283,120 | |
Amphenol Corp., A | 443,000 | 44,065,210 | ||
a | ANSYS Inc. | 161,000 | 44,167,130 |
| 18
Franklin Strategic Series
Statement of Investments (unaudited)
Franklin Small-Mid Cap Growth Fund (continued)
Shares/Warrants | Value | |||
Common Stocks and Other Equity Interests (continued) | ||||
Information Technology (continued) | ||||
a | Atlassian Corp. PLC | 319,000 | $46,893,000 | |
a | Bill.Com Holdings Inc. | 169,899 | 8,549,318 | |
a,b | Bill.Com Holdings Inc. | 433,333 | 20,550,605 | |
a | Black Knight Inc. | 818,000 | 54,740,560 | |
a | CloudFlare Inc., A | 804,400 | 14,366,584 | |
a | DocuSign Inc. | 707,000 | 55,506,570 | |
a | EPAM Systems Inc. | 163,000 | 37,186,820 | |
Global Payments Inc. | 358,500 | 70,068,825 | ||
a | GoDaddy Inc., A | 776,800 | 52,208,728 | |
a | Keysight Technologies Inc. | 279,000 | 25,944,210 | |
KLA Corp. | 268,500 | 44,501,190 | ||
a | Lattice Semiconductor Corp. | 975,214 | 18,138,980 | |
a | MACOM Technology Solutions Holdings Inc. | 295,000 | 8,383,900 | |
Microchip Technology Inc. | 210,000 | 20,470,800 | ||
Monolithic Power Systems | 197,500 | 33,806,075 | ||
NXP Semiconductors NV (Netherlands) | 82,000 | 10,402,520 | ||
a | Okta Inc., A | 192,500 | 24,649,625 | |
a | Paylocity Holding Corp. | 311,000 | 44,127,790 | |
a,b,c | Phononic Devices Inc., wts., 12/01/29 | 470,777 | 903,709 | |
a | Q2 Holdings Inc. | 313,000 | 27,290,470 | |
a | Semtech Corp. | 160,963 | 7,756,807 | |
a | SiTime Corp. (Japan) | 469,000 | 11,921,980 | |
a | Square Inc., A | 333,000 | 24,871,770 | |
a | Synopsys Inc. | 377,000 | 55,611,270 | |
a | Trimble Inc. | 523,000 | 22,237,960 | |
a | Twilio Inc., A | 444,000 | 55,206,960 | |
a | ViaSat Inc. | 479,050 | 30,491,533 | |
a | WEX Inc. | 139,500 | 30,260,340 | |
a | Wix.com Ltd. (Israel) | 136,000 | 19,405,840 | |
Xilinx Inc. | 315,500 | 26,653,440 | ||
a | Zendesk Inc. | 425,000 | 36,720,000 | |
a | Zscaler Inc. | 369,000 | 20,697,210 | |
1,118,196,033 | ||||
Materials 2.8% | ||||
Ball Corp. | 541,000 | 39,049,380 | ||
a | Ingevity Corp. | 361,780 | 23,595,292 | |
Martin Marietta Materials Inc. | 128,500 | 33,898,300 | ||
96,542,972 | ||||
Real Estate 1.9% | ||||
SBA Communications Corp., A | 261,000 | 65,135,160 | ||
Total Common Stocks and Other Equity Interests (Cost $2,400,921,376) | 3,352,613,513 |
| 19
Franklin Strategic Series
Statement of Investments (unaudited)
Statement of Investments (unaudited)
Franklin Small-Mid Cap Growth Fund (continued)
Shares | Value | |||
Preferred Stocks 0.6% | ||||
Consumer Discretionary 0.4% | ||||
a,b,c | Proterra Inc., pfd., 5, 144A | 1,416,913 | $12,516,865 | |
Financials 0.2% | ||||
a,b,c | Phononic Inc., pfd., F | 2,970,061 | 5,461,568 | |
Total Preferred Stocks (Cost $14,635,912) | 17,978,433 | |||
Principal Amount | ||||
e | Senior Floating Rate Interests (Cost $481,096) 0.0%† | |||
Financials 0.0%† | ||||
b,c,f | Phononic Inc., Term Loan A, PIK, 6.50%, 1/17/24 | $481,096 | 481,096 | |
Total Investments before Short Term Investments (Cost $2,416,038,384) | 3,371,073,042 | |||
Shares | ||||
Short Term Investments 4.8% | ||||
Money Market Funds (Cost $125,062,607) 3.6% | ||||
g,h | Institutional Fiduciary Trust Money Market Portfolio, 1.21% | 125,062,607 | 125,062,607 | |
Investments from Cash Collateral Received for Loaned Securities 1.2% | ||||
Money Market Funds (Cost $43,331,230) 1.2% | ||||
g,h | Institutional Fiduciary Trust Money Market Portfolio, 1.21% | 43,331,230 | 43,331,230 | |
Total Investments (Cost $2,584,432,221) 101.4% | 3,539,466,879 | |||
Other Assets, less Liabilities (1.4)% | (47,266,986) | |||
Net Assets 100.0% | $3,492,199,893 |
See Abbreviations on page 65.
†Rounds to less than 0.1% of net assets. |
aNon-income producing. |
bFair valued using significant unobservable inputs. See Note 11 regarding fair value measurements. |
cSee Note 6 regarding restricted securities. |
dA portion or all of the security is on loan at January 31, 2020. |
eThe coupon rate shown represents the rate at period end. |
fIncome may be received in additional securities and/or cash. |
gSee Note 8 regarding investments in affiliated management investment companies. |
hThe rate shown is the annualized seven-day effective yield at period end. |
| 20
Franklin Strategic Series
Consolidated Statement of Investments, January 31, 2020 (unaudited)
Franklin Strategic Income Fund
Country/Organization | Shares/Warrants | Value | |||
Common Stocks and Other Equity Interests 0.4% | |||||
Commercial & Professional Services 0.0%† | |||||
a,aa | Remington Outdoor Co. Inc. | United States | 1,322,439 | $826,524 | |
Consumer Services 0.0%† | |||||
a,b,c | Turtle Bay Resort | United States | 5,579,939 | 122,759 | |
Energy 0.2% | |||||
Amplify Energy Corp. | United States | 5,288 | 28,502 | ||
a,c | Amplify Energy Corp., wts., 4/21/20 | United States | 50,712 | — | |
a | Battalion Oil Corp. | United States | 2,215 | 24,409 | |
a,c | Battalion Oil Corp., wts., A, 10/08/22 | United States | 10,639 | 2,829 | |
a,c | Battalion Oil Corp., wts., B, 10/08/22 | United States | 13,300 | 2,110 | |
a,c | Battalion Oil Corp., wts., C, 10/08/22 | United States | 17,100 | 1,364 | |
a | Birch Permian Holdings Inc. | United States | 46,176 | 461,760 | |
a | Birch Permian Holdings Inc. | United States | 359,948 | 3,554,487 | |
a | Chaparral Energy Inc., A | United States | 94,305 | 97,134 | |
a,d | Chaparral Energy Inc., A, 144A | United States | 3,418 | 3,521 | |
Riviera Resources Inc. | United States | 84,462 | 620,796 | ||
a | Weatherford International PLC | United States | 151,545 | 4,319,032 | |
9,115,944 | |||||
Materials 0.1% | |||||
a,c,e | Appvion Operations Inc. | United States | 331,326 | 4,809,415 | |
a | Verso Corp., A | United States | 38,905 | 655,550 | |
a | Verso Corp., wts., 7/25/23 | United States | 4,095 | 9,623 | |
5,474,588 | |||||
Media & Entertainment 0.1% | |||||
a | Clear Channel Outdoor Holdings Inc. | United States | 285,564 | 779,590 | |
a | iHeartMedia Inc., A | United States | 115,084 | 2,034,685 | |
a,c | iHeartMedia Inc., B | United States | 1,941 | 29,169 | |
a | iHeartMedia Inc., wts., A, 5/01/39 | United States | 1 | 18 | |
2,843,462 | |||||
Retailing 0.0%† | |||||
a,c,e | K2016470219 South Africa Ltd., A | South Africa | 125,940,079 | 83,942 | |
a,c,e | K2016470219 South Africa Ltd., B | South Africa | 12,532,821 | 8,353 | |
92,295 | |||||
Software & Services 0.0%† | |||||
a,c | WorkCapital BSD SARL, wts., 2/13/26 | Brazil | 6,000,000 | 750,000 | |
Total Common Stocks and Other Equity Interests (Cost $65,657,995) | 19,225,572 | ||||
Management Investment Companies (Cost $152,217,419) 2.8% | |||||
Diversified Financials 2.8% | |||||
f | Franklin Floating Rate Income Fund | United States | 15,243,688 | 127,589,664 |
Quarterly Statement of Investments | See Notes to Statements of Investments. | 21
Franklin Strategic Series
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
Franklin Strategic Income Fund (continued)
Country/Organization | Principal Amount* | Value | |||
Corporate Bonds 30.5% | |||||
Banks 1.7% | |||||
d | Akbank T.A.S., senior note, 144A, 5.125%, 3/31/25 | Turkey | 12,400,000 | $12,680,662 | |
Bank of America Corp., | |||||
senior bond, 3.248%, 10/21/27 | United States | 5,000,000 | 5,322,964 | ||
senior note, 3.50%, 4/19/26 | United States | 29,800,000 | 32,078,471 | ||
g | BDO Unibank Inc., senior note, Reg S, 2.95%, 3/06/23 | Philippines | 1,550,000 | 1,574,761 | |
Industrial & Commercial Bank of China Ltd., senior note, 3.538%, 11/08/27 | China | 8,500,000 | 9,063,153 | ||
JPMorgan Chase & Co., sub. note, 3.875%, 9/10/24 | United States | 10,000,000 | 10,813,095 | ||
g | Turkiye Vakiflar Bankasi TAO, secured note, Reg S, 2.375%, 11/04/22 | Turkey | 3,900,000 | EUR | 4,403,050 |
75,936,156 | |||||
Capital Goods 1.0% | |||||
d | Beacon Roofing Supply Inc., senior note, 144A, 4.875%, 11/01/25 | United States | 12,000,000 | 11,961,420 | |
CNH Industrial NV, senior bond, 3.85%, 11/15/27 | United Kingdom | 6,600,000 | 6,993,878 | ||
d | Herc Holdings Inc., senior note, 144A, 5.50%, 7/15/27 | United States | 5,300,000 | 5,550,292 | |
h | Onsite Rental Group Operations Pty. Ltd., secured note, PIK, 6.10%, 10/26/23 | Australia | 4,655,176 | 4,271,124 | |
d | Vertiv Group Corp., senior note, 144A, 9.25%, 10/15/24 | United States | 14,000,000 | 15,035,510 | |
43,812,224 | |||||
Commercial & Professional Services 0.7% | |||||
d | Intrado Corp., senior note, 144A, 8.50%, 10/15/25 | United States | 17,300,000 | 13,796,750 | |
United Rentals North America Inc., senior bond, 5.875%, 9/15/26 | United States | 16,000,000 | 17,060,400 | ||
30,857,150 | |||||
Consumer Durables & Apparel 0.7% | |||||
d | Hanesbrands Inc., senior bond, 144A, 4.875%, 5/15/26 | United States | 15,000,000 | 15,834,000 | |
KB Home, | |||||
senior bond, 7.50%, 9/15/22 | United States | 5,000,000 | 5,645,310 | ||
senior note, 7.00%, 12/15/21 | United States | 8,000,000 | 8,583,200 | ||
30,062,510 | |||||
Consumer Services 1.3% | |||||
d | 1011778 BC ULC/New Red Finance Inc., | ||||
secured note, second lien, 144A, 5.00%, 10/15/25 | Canada | 11,500,000 | 11,876,912 | ||
senior secured note, first lien, 144A, 4.25%, 5/15/24 | Canada | 2,000,000 | 2,046,670 | ||
d | Golden Nugget Inc., senior note, 144A, 6.75%, 10/15/24 | United States | 13,200,000 | 13,598,508 | |
d | KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, | ||||
senior note, 144A, 5.00%, 6/01/24 | United States | 6,000,000 | 6,185,010 | ||
senior note, 144A, 5.25%, 6/01/26 | United States | 9,100,000 | 9,555,228 | ||
d | Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., senior bond, 144A, 5.50%, 3/01/25 | United States | 13,700,000 | 14,316,363 | |
57,578,691 |
| 22
Franklin Strategic Series
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
Franklin Strategic Income Fund (continued)
Country/Organization | Principal Amount* | Value | |||
Corporate Bonds (continued) | |||||
Diversified Financials 2.7% | |||||
Capital One Financial Corp., senior note, 3.20%, 2/05/25 | United States | 11,900,000 | $12,487,433 | ||
i | Cia Securitizadora de Creditos Financeiros Vert-Fintech, senior secured note, FRN, 5.96%, (BZDIOVRA + 5.75%), 2/14/24 | Brazil | 7,975j | BRL | 1,973,932 |
The Goldman Sachs Group Inc., | |||||
senior note, 3.50%, 1/23/25 | United States | 23,000,000 | 24,503,994 | ||
senior note, 3.75%, 2/25/26 | United States | 15,000,000 | 16,250,051 | ||
Morgan Stanley, | |||||
senior bond, 3.591% to 7/22/27, FRN thereafter, 7/22/28 | United States | 10,000,000 | 10,830,246 | ||
senior note, 3.875%, 1/27/26 | United States | 32,300,000 | 35,415,206 | ||
Springleaf Finance Corp., | |||||
senior bond, 5.375%, 11/15/29 | United States | 3,300,000 | 3,437,775 | ||
senior note, 6.625%, 1/15/28 | United States | 5,700,000 | 6,423,045 | ||
g | TNB Global Ventures Capital Bhd., senior note, Reg S, 3.244%, 10/19/26 | Malaysia | 3,775,000 | 3,878,067 | |
d,k | Ypso Finance Bis SA, senior note, 144A, 6.00%, 2/15/28 | Luxembourg | 6,100,000 | 6,053,335 | |
121,253,084 | |||||
Energy 2.6% | |||||
d | Aker BP ASA, senior note, 144A, 4.75%, 6/15/24 | Norway | 5,900,000 | 6,149,688 | |
Cheniere Corpus Christi Holdings LLC, senior secured note, first lien, 5.875%, 3/31/25 | United States | 6,400,000 | 7,282,464 | ||
Cheniere Energy Partners LP, senior secured note, first lien, 5.25%, 10/01/25 | United States | 11,900,000 | 12,286,631 | ||
CONSOL Energy Inc., senior note, 5.875%, 4/15/22 | United States | 11,076,000 | 10,965,240 | ||
Ecopetrol SA, senior bond, 4.125%, 1/16/25 | Colombia | 8,200,000 | 8,704,997 | ||
Energy Transfer Operating LP, senior bond, 4.05%, 3/15/25 | United States | 1,300,000 | 1,379,776 | ||
d,h | EnQuest PLC, senior note, 144A, PIK, 7.00%, 4/15/22 | United Kingdom | 9,955,122 | 8,710,667 | |
Enterprise Products Operating LLC, senior bond, 4.80%, 2/01/49 | United States | 1,200,000 | 1,425,850 | ||
d | Gazprom PJSC Via Gaz Capital SA, (OJSC Gazprom), loan participation, senior note, 144A, 3.85%, 2/06/20 | Russia | 20,000,000 | 20,014,100 | |
Martin Midstream Partners LP/Martin Midstream Finance Corp., senior note, 7.25%, 2/15/21 | United States | 19,000,000 | 17,535,100 | ||
Oceaneering International Inc., senior note, 4.65%, 11/15/24 | United States | 2,100,000 | 2,031,750 | ||
l | Sanchez Energy Corp., senior note, 6.125%, 1/15/23 | United States | 6,000,000 | 327,000 | |
d | Schlumberger Holdings Corp., senior note, 144A, 3.90%, 5/17/28 | United States | 3,800,000 | 4,102,413 | |
Sunoco LP/Sunoco Finance Corp., senior note, 4.875%, 1/15/23 | United States | 5,900,000 | 6,072,073 | ||
d | Weatherford International Ltd., senior note, 144A, 11.00%, 12/01/24 | United States | 4,591,000 | 4,886,064 | |
d | Woodside Finance Ltd., senior note, 144A, 3.70%, 9/15/26 | Australia | 5,400,000 | 5,755,513 | |
117,629,326 | |||||
Food & Staples Retailing 0.7% | |||||
d | Cencosud SA, senior note, 144A, 4.375%, 7/17/27 | Chile | 7,500,000 | 7,677,775 | |
The Kroger Co., senior bond, 4.45%, 2/01/47 | United States | 1,200,000 | 1,312,223 | ||
Walgreens Boots Alliance Inc., senior note, 3.80%, 11/18/24 | United States | 21,900,000 | 23,213,596 | ||
32,203,594 |
| 23
Franklin Strategic Series
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
Franklin Strategic Income Fund (continued)
Country/Organization | Principal Amount* | Value | |||
Corporate Bonds (continued) | |||||
Food, Beverage & Tobacco 0.4% | |||||
B&G Foods Inc., senior note, 5.25%, 9/15/27 | United States | 9,000,000 | $8,988,750 | ||
BAT Capital Corp., senior bond, 4.54%, 8/15/47 | United Kingdom | 600,000 | 622,616 | ||
Bunge Ltd. Finance Corp., senior note, 3.25%, 8/15/26 | United States | 2,000,000 | 2,046,673 | ||
g | China Mengniu Dairy Co. Ltd., senior note, Reg S, 4.25%, 8/07/23 | China | 392,000 | 415,867 | |
d | Imperial Brands Finance PLC, senior bond, 144A, 3.875%, 7/26/29 | United Kingdom | 2,200,000 | 2,309,894 | |
Reynolds American Inc., senior note, 4.45%, 6/12/25 | United Kingdom | 1,900,000 | 2,082,003 | ||
16,465,803 | |||||
Health Care Equipment & Services 1.4% | |||||
Anthem Inc., senior bond, 3.70%, 9/15/49 | United States | 1,400,000 | 1,419,279 | ||
Centene Corp., | |||||
d senior bond, 144A, 4.625%, 12/15/29 | United States | 2,300,000 | 2,479,745 | ||
senior note, 4.75%, 5/15/22 | United States | 2,000,000 | 2,038,635 | ||
d senior note, 144A, 5.375%, 6/01/26 | United States | 7,600,000 | 8,098,560 | ||
d senior note, 144A, 4.25%, 12/15/27 | United States | 3,000,000 | 3,140,550 | ||
CHS/Community Health Systems Inc., | |||||
senior note, 6.875%, 2/01/22 | United States | 7,223,000 | 6,590,987 | ||
senior secured note, first lien, 6.25%, 3/31/23 | United States | 3,900,000 | 3,987,750 | ||
Cigna Corp., senior bond, 4.90%, 12/15/48 | United States | 1,200,000 | 1,474,625 | ||
CVS Health Corp., senior bond, 4.30%, 3/25/28 | United States | 5,800,000 | 6,439,365 | ||
DaVita Inc., | |||||
senior bond, 5.125%, 7/15/24 | United States | 8,000,000 | 8,196,680 | ||
senior bond, 5.00%, 5/01/25 | United States | 6,000,000 | 6,162,510 | ||
HCA Inc., senior bond, 5.875%, 2/15/26 | United States | 3,000,000 | 3,448,200 | ||
d | MEDNAX Inc., senior note, 144A, 6.25%, 1/15/27 | United States | 11,300,000 | 11,540,407 | |
65,017,293 | |||||
Materials 4.9% | |||||
d | Alpek SAB de CV, senior note, 144A, 4.25%, 9/18/29 | Mexico | 7,500,000 | 7,813,125 | |
d | Ardagh Packaging Finance PLC/Ardagh MP Holdings USA Inc., senior note, 144A, 6.00%, 2/15/25 | Luxembourg | 11,500,000 | 12,046,250 | |
d | Braskem Netherlands Finance BV, senior bond, 144A, 4.50%, 1/31/30 | Brazil | 7,800,000 | 7,848,360 | |
d | Cemex SAB de CV, | ||||
senior secured bond, first lien, 144A, 5.70%, 1/11/25 | Mexico | 13,000,000 | 13,357,500 | ||
senior secured bond, first lien, 144A, 6.125%, 5/05/25 | Mexico | 2,000,000 | 2,069,170 | ||
g | CNAC HK Finbridge Co. Ltd., senior note, Reg S, 4.875%, 3/14/25 | China | 7,800,000 | 8,542,982 | |
Crown Americas LLC/Crown Americas Capital Corp. VI, senior note, 4.75%, 2/01/26 | United States | 7,100,000 | 7,395,342 | ||
d | First Quantum Minerals Ltd., | ||||
senior note, 144A, 7.00%, 2/15/21 | Zambia | 2,144,000 | 2,147,002 | ||
senior note, 144A, 7.25%, 4/01/23 | Zambia | 7,200,000 | 7,147,512 | ||
d | FMG Resources (August 2006) Pty. Ltd., | ||||
senior note, 144A, 5.125%, 3/15/23 | Australia | 3,600,000 | 3,779,964 | ||
senior note, 144A, 5.125%, 5/15/24 | Australia | 7,700,000 | 8,168,429 |
| 24
Franklin Strategic Series
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
Franklin Strategic Income Fund (continued)
Country/Organization | Principal Amount* | Value | |||
Corporate Bonds (continued) | |||||
Materials (continued) | |||||
Freeport-McMoRan Inc., senior note, 4.55%, 11/14/24 | United States | 13,000,000 | $13,742,105 | ||
d | Glencore Funding LLC, | ||||
senior note, 144A, 4.125%, 5/30/23 | Switzerland | 5,000,000 | 5,262,207 | ||
senior note, 144A, 4.625%, 4/29/24 | Switzerland | 2,500,000 | 2,700,678 | ||
d | Mauser Packaging Solutions Holding Co., senior note, 144A, 7.25%, 4/15/25 | United States | 15,000,000 | 14,962,350 | |
d | New Gold Inc., senior note, 144A, 6.375%, 5/15/25 | Canada | 5,900,000 | 5,563,198 | |
d | Novelis Corp., senior bond, 144A, 5.875%, 9/30/26 | United States | 14,000,000 | 14,872,515 | |
d | Owens-Brockway Glass Container Inc., | ||||
senior note, 144A, 5.00%, 1/15/22 | United States | 6,000,000 | 6,220,680 | ||
senior note, 144A, 5.875%, 8/15/23 | United States | 10,000,000 | 10,708,350 | ||
Reynolds Group Issuer Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg SA, | |||||
senior secured note, first lien, 5.75%, 10/15/20 | United States | 5,427,003 | 5,446,269 | ||
d senior secured note, first lien, 144A, 5.125%, 7/15/23 | United States | 5,900,000 | 6,052,426 | ||
d,i senior secured note, first lien, 144A, FRN, 5.331%, (3-month USD LIBOR + 3.50%), 7/15/21 | United States | 6,500,000 | 6,514,690 | ||
d | SABIC Capital II BV, senior note, 144A, 4.50%, 10/10/28 | Saudi Arabia | 5,500,000 | 6,193,429 | |
d | Sealed Air Corp., | ||||
senior bond, 144A, 5.125%, 12/01/24 | United States | 11,300,000 | 12,232,250 | ||
senior note, 144A, 4.875%, 12/01/22 | United States | 4,000,000 | 4,221,248 | ||
d | Sociedad Quimica y Minera de Chile SA, senior note, 144A, 3.625%, 4/03/23 | Chile | 1,500,000 | 1,536,248 | |
d | SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp., senior note, 144A, 7.50%, 6/15/25 | United States | 12,000,000 | 11,549,880 | |
d | TPC Group Inc., secured note, 144A, 10.50%, 8/01/24 | United States | 11,000,000 | 11,380,435 | |
219,474,594 | |||||
Media & Entertainment 2.7% | |||||
d | Altice Financing SA, secured bond, 144A, 7.50%, 5/15/26 | Luxembourg | 4,000,000 | 4,282,200 | |
CCO Holdings LLC/CCO Holdings Capital Corp., | |||||
senior bond, 5.25%, 9/30/22 | United States | 6,500,000 | 6,577,805 | ||
d senior bond, 144A, 5.375%, 5/01/25 | United States | 13,000,000 | 13,427,895 | ||
d | Clear Channel Worldwide Holdings Inc., | ||||
senior secured note, first lien, 144A, 5.125%, 8/15/27 | United States | 6,400,000 | 6,603,840 | ||
senior sub. note, 144A, 9.25%, 2/15/24 | United States | 1,362,000 | 1,485,717 | ||
Comcast Corp., senior bond, 4.75%, 3/01/44 | United States | 1,400,000 | 1,783,301 | ||
d | CSC Holdings LLC, senior secured note, first lien, 144A, 5.50%, 5/15/26 | United States | 16,000,000 | 16,800,440 | |
d | Diamond Sports Group LLC/Diamond Sports Finance Co., | ||||
first lien, 144A, 5.375%, 8/15/26 | United States | 4,300,000 | 4,291,297 | ||
senior note, 144A, 6.625%, 8/15/27 | United States | 4,500,000 | 4,215,825 | ||
DISH DBS Corp., | |||||
senior bond, 5.00%, 3/15/23 | United States | 6,000,000 | 6,105,060 | ||
senior note, 5.875%, 11/15/24 | United States | 8,000,000 | 8,112,120 | ||
iHeartCommunications Inc., | |||||
secured note, 6.375%, 5/01/26 | United States | 661,721 | 715,899 | ||
senior note, 8.375%, 5/01/27 | United States | 1,199,371 | 1,306,523 |
| 25
Franklin Strategic Series
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
Franklin Strategic Income Fund (continued)
Country/Organization | Principal Amount* | Value | |||
Corporate Bonds (continued) | |||||
Media & Entertainment (continued) | |||||
d | Live Nation Entertainment Inc., senior note, 144A, 4.75%, 10/15/27 | United States | 4,400,000 | $4,534,860 | |
Netflix Inc., senior bond, 4.375%, 11/15/26 | United States | 11,800,000 | 12,423,630 | ||
d | Nexstar Broadcasting Inc., senior note, 144A, 5.625%, 8/01/24 | United States | 15,000,000 | 15,631,275 | |
d | Univision Communications Inc., senior secured note, first lien, 144A, 5.125%, 2/15/25 | United States | 16,000,000 | 16,000,000 | |
124,297,687 | |||||
Pharmaceuticals, Biotechnology & Life Sciences 1.8% | |||||
d | AbbVie Inc., senior note, 144A, 2.95%, 11/21/26 | United States | 5,900,000 | 6,099,279 | |
Allergan Funding SCS, senior bond, 3.80%, 3/15/25 | United States | 25,000,000 | 26,864,175 | ||
d | Bausch Health Cos. Inc., | ||||
senior bond, 144A, 6.125%, 4/15/25 | United States | 3,100,000 | 3,195,185 | ||
senior note, 144A, 8.50%, 1/31/27 | United States | 5,000,000 | 5,665,500 | ||
senior note, 144A, 5.00%, 1/30/28 | United States | 3,000,000 | 3,045,000 | ||
senior note, first lien, 144A, 7.00%, 3/15/24 | United States | 2,100,000 | 2,181,449 | ||
d | Bayer U.S. Finance II LLC, senior bond, 144A, 4.375%, 12/15/28 | Germany | 11,700,000 | 13,187,082 | |
d,h | Eagle Holdings Co. II LLC, senior note, 144A, PIK, 7.625%, 5/15/22 | United States | 3,300,000 | 3,341,227 | |
d | Endo DAC/Endo Finance LLC/Endo Finco Inc., | ||||
senior bond, 144A, 6.00%, 2/01/25 | United States | 11,000,000 | 7,648,410 | ||
senior note, 144A, 6.00%, 7/15/23 | United States | 1,637,000 | 1,256,381 | ||
d | Jaguar Holding Co. II/Pharmaceutical Product Development LLC, senior note, 144A, 6.375%, 8/01/23 | United States | 10,000,000 | 10,299,900 | |
82,783,588 | |||||
Real Estate 0.5% | |||||
g | China Overseas Finance Cayman VI Ltd., senior note, Reg S, 5.95%, 5/08/24 | China | 7,500,000 | 8,516,250 | |
MPT Operating Partnership LP/MPT Finance Corp., | |||||
senior bond, 5.25%, 8/01/26 | United States | 4,200,000 | 4,414,505 | ||
senior bond, 5.00%, 10/15/27 | United States | 5,700,000 | 6,006,232 | ||
d,k | VICI Properties LP/VICI Note Co. Inc., senior note, 144A, 3.75%, 2/15/27 | United States | 2,500,000 | 2,517,188 | |
21,454,175 | |||||
Retailing 0.1% | |||||
c,d,h | K2016470219 South Africa Ltd., senior secured note, 144A, PIK, 3.00%, 12/31/22 | South Africa | 10,131,263 | 12,664 | |
c,d,h | K2016470260 South Africa Ltd., senior secured note, 144A, PIK, 25.00%, 12/31/22 | South Africa | 2,667,972 | 13,340 | |
d | Party City Holdings Inc., senior note, 144A, 6.625%, 8/01/26 | United States | 5,300,000 | 3,816,000 | |
3,842,004 | |||||
Semiconductors & Semiconductor Equipment 0.1% | |||||
Maxim Integrated Products Inc., senior note, 3.375%, 3/15/23 | United States | 1,800,000 | 1,872,168 | ||
Qorvo Inc., senior note, 5.50%, 7/15/26 | United States | 1,400,000 | 1,483,124 | ||
3,355,292 |
| 26
Franklin Strategic Series
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
Franklin Strategic Income Fund (continued)
Country/Organization | Principal Amount* | Value | |||
Corporate Bonds (continued) | |||||
Software & Services 0.2% | |||||
d | Norton LifeLock Inc., senior note, 144A, 5.00%, 4/15/25 | United States | 9,500,000 | $9,704,917 | |
Technology Hardware & Equipment 0.5% | |||||
d | Blackboard Inc., secured note, second lien, 144A, 10.375%, 11/15/24 | United States | 3,200,000 | 3,224,000 | |
d | CommScope Technologies LLC, senior bond, 144A, 6.00%, 6/15/25 | United States | 14,600,000 | 13,970,448 | |
d | Dell International LLC/EMC Corp., senior note, 144A, 7.125%, 6/15/24 | United States | 7,000,000 | 7,367,500 | |
24,561,948 | |||||
Telecommunication Services 1.3% | |||||
AT&T Inc., senior note, 2.95%, 7/15/26 | United States | 14,800,000 | 15,404,516 | ||
Bell Canada Inc., senior bond, 4.464%, 4/01/48 | Canada | 1,400,000 | 1,693,226 | ||
d | Digicel Group Two Ltd., | ||||
senior note, 144A, 8.25%, 9/30/22 | Bermuda | 2,427,000 | 659,489 | ||
h senior note, 144A, PIK, 9.125%, 4/01/24 | Bermuda | 3,042,961 | 526,174 | ||
Sprint Communications Inc., | |||||
senior note, 6.00%, 11/15/22 | United States | 10,000,000 | 10,342,800 | ||
d senior note, 144A, 7.00%, 3/01/20 | United States | 5,000,000 | 5,021,450 | ||
Telefonica Emisiones SA, senior bond, 4.895%, 3/06/48 | Spain | 1,000,000 | 1,179,719 | ||
TELUS Corp., senior bond, 4.60%, 11/16/48 | Canada | 1,000,000 | 1,253,978 | ||
T-Mobile USA Inc., | |||||
senior bond, 6.50%, 1/15/24 | United States | 3,000,000 | 3,086,220 | ||
senior bond, 6.375%, 3/01/25 | United States | 13,000,000 | 13,445,575 | ||
senior note, 5.125%, 4/15/25 | United States | 6,000,000 | 6,193,800 | ||
58,806,947 | |||||
Transportation 1.7% | |||||
CSX Corp., senior bond, 4.10%, 3/15/44 | United States | 1,600,000 | 1,838,689 | ||
d | DAE Funding LLC, | ||||
senior note, 144A, 4.50%, 8/01/22 | United Arab Emirates | 2,000,000 | 2,039,986 | ||
senior note, 144A, 5.00%, 8/01/24 | United Arab Emirates | 14,000,000 | 14,682,360 | ||
FedEx Corp., senior bond, 4.05%, 2/15/48 | United States | 1,200,000 | 1,220,304 | ||
d | Kazakhstan Temir Zholy Finance BV, senior bond, 144A, 6.95%, 7/10/42 | Kazakhstan | 18,100,000 | 25,677,022 | |
d | Mexico City Airport Trust, senior secured bond, first lien, 144A, 5.50%, 7/31/47 | Mexico | 12,718,000 | 14,033,486 | |
g | RZD Capital PLC, (Russian Railways), loan participation, senior bond, Reg S, 5.70%, 4/05/22 | Russia | 17,600,000 | 18,937,125 | |
78,428,972 | |||||
Utilities 3.5% | |||||
Calpine Corp., | |||||
senior bond, 5.75%, 1/15/25 | United States | 9,000,000 | 9,274,680 | ||
d senior note, 144A, 5.125%, 3/15/28 | United States | 4,000,000 | 3,990,000 | ||
g | CGNPC International Ltd., senior note, Reg S, 3.75%, 12/11/27 | China | 3,289,000 | 3,537,204 | |
Clearway Energy Operating LLC, senior note, 5.75%, 10/15/25 | United States | 12,800,000 | 13,479,488 | ||
d | Colbun SA, senior note, 144A, 3.95%, 10/11/27 | Chile | 7,500,000 | 7,889,138 | |
Duke Energy Corp., senior bond, 3.75%, 9/01/46 | United States | 1,600,000 | 1,717,863 |
| 27
Franklin Strategic Series
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
Franklin Strategic Income Fund (continued)
Country/Organization | Principal Amount* | Value | |||
Corporate Bonds (continued) | |||||
Utilities (continued) | |||||
d,m | EDF SA, | ||||
junior sub. bond, 144A, 5.625% to 1/22/24, FRN thereafter, Perpetual | France | 5,000,000 | $5,260,431 | ||
junior sub. note, 144A, 5.25% to 1/29/23, FRN thereafter, Perpetual | France | 25,000,000 | 26,312,250 | ||
Exelon Corp., senior bond, 4.45%, 4/15/46 | United States | 1,400,000 | 1,651,158 | ||
d | InterGen NV, secured bond, 144A, 7.00%, 6/30/23 | Netherlands | 4,800,000 | 4,752,000 | |
d | Israel Electric Corp. Ltd., secured bond, 144A, 4.25%, 8/14/28 | Israel | 9,200,000 | 10,116,918 | |
The Southern Co., senior bond, 3.25%, 7/01/26 | United States | 24,200,000 | 25,785,419 | ||
d | State Grid Overseas Investment 2016 Ltd., senior note, 144A, 3.50%, 5/04/27 | China | 15,800,000 | 16,958,352 | |
d | Talen Energy Supply LLC, | ||||
senior note, 144A, 10.50%, 1/15/26 | United States | 3,000,000 | 2,667,907 | ||
senior secured note, 144A, 7.25%, 5/15/27 | United States | 10,800,000 | 11,089,980 | ||
d | Three Gorges Finance I Cayman Islands Ltd., senior note, 144A, 3.15%, 6/02/26 | China | 12,800,000 | 13,424,544 | |
Virginia Electric & Power Co., senior bond, 6.35%, 11/30/37 | United States | 820,000 | 1,209,465 | ||
159,116,797 | |||||
Total Corporate Bonds (Cost $1,363,417,932) | 1,376,642,752 | ||||
i | Senior Floating Rate Interests 4.4% | ||||
Automobiles & Components 0.1% | |||||
Adient U.S. LLC, Initial Term Loans, 6.144% - 6.195%, (3-month USD LIBOR + 4.25%), 5/06/24 | United States | 716,400 | 718,490 | ||
Thor Industries Inc., Initial USD Term Loans, 5.438%, (1-month USD LIBOR + 3.75%), 2/01/26 | United States | 1,859,190 | 1,867,695 | ||
2,586,185 | |||||
Capital Goods 0.1% | |||||
n | Altra Industrial Motion Corp., Term Loan, 3.645%, (1-month USD LIBOR + 2.00%), 10/01/25 | United States | 1,312,950 | 1,319,672 | |
Doncasters U.S. Finance LLC, Second-Lien Term Loans, 10.195%, (3-month USD LIBOR + 8.25%), 10/09/20 | United States | 12,543,188 | 1,450,306 | ||
Onsite Rental Group Operations Pty. Ltd., Term Loan, 6.16%, (1-month USD LIBOR + 4.50%), 10/25/22 | Australia | 3,404,855 | 3,302,710 | ||
6,072,688 | |||||
Commercial & Professional Services 0.1% | |||||
Harsco Corp., Term Loan B-2, 3.938%, (1-month USD LIBOR + 2.25%), 12/10/24 | United States | 2,040,990 | 2,052,470 | ||
n,o | Pitney Bowes Inc., Term Loan B, TBD, 1/15/25 | United States | 1,000,000 | 995,825 | |
n | Prime Security Services Borrower LLC, Term B-1 Facility, 5.01%, (1-month USD LIBOR + 3.25%), 9/12/26 | United States | 935,156 | 938,339 | |
United Rentals North America Inc., Initial Term Loans, 3.395%, (1-month USD LIBOR + 1.75%), 10/31/25 | United States | 994,962 | 1,000,737 | ||
Ventia Pty. Ltd., Term B Loans, 5.445%, (3-month USD LIBOR + 3.50%), 5/21/26 | Australia | 827,873 | 829,942 | ||
5,817,313 |
| 28
Franklin Strategic Series
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
Franklin Strategic Income Fund (continued)
Country/Organization | Principal Amount* | Value | |||
i | Senior Floating Rate Interests (continued) | ||||
Consumer Durables & Apparel 0.0%† | |||||
n,o | Champ Acquisition Corp., Initial Term Loan, TBD, 12/21/25 | United States | 710,000 | $710,666 | |
n,o | PUG LLC (Viagogo/StubHub), Term B Loan, TBD, 2/13/27 | United States | 566,667 | 565,958 | |
1,276,624 | |||||
Consumer Services 0.1% | |||||
Aristocrat Technologies Inc., Term B-3 Loans, 3.577%, (3-month USD LIBOR + 1.75%), 10/19/24 | United States | 1,371,348 | 1,376,880 | ||
n | Caesars Resort Collection LLC, Term B Loans, 4.395%, (1-month USD LIBOR + 2.75%), 12/22/24 | United States | 3,000,000 | 3,003,324 | |
Eldorado Resorts Inc., Initial Term Loan, 3.938%, (1-month USD LIBOR + 2.25%), 4/17/24 | United States | 1,792,284 | 1,793,394 | ||
6,173,598 | |||||
Diversified Financials 0.0%† | |||||
Russell Investments U.S. Institutional Holdco Inc., Initial Term Loan, 4.895%, (1-month USD LIBOR + 3.25%), 6/01/23 | United States | 649,771 | 651,639 | ||
Energy 0.7% | |||||
Fieldwood Energy LLC, Closing Date Loans, 7.027%, (3-month USD LIBOR + 5.25%), 4/11/22 | United States | 32,439,645 | 28,073,820 | ||
Utex Industries Inc., | |||||
Initial Term Loan (First Lien), 5.645%, (1-month USD LIBOR + 4.00%), 5/21/21 | United States | 2,144,249 | 1,838,694 | ||
Second Lien Initial Term Loan, 8.895%, (1-month USD LIBOR + 7.25%), 5/20/22 | United States | 955,410 | 531,845 | ||
30,444,359 | |||||
Food & Staples Retailing 0.1% | |||||
n | Aramark Corp., U.S. Term B-4 Loan, 3.47%, (1-month USD LIBOR + 1.75%), 1/15/27 | United States | 3,900,000 | 3,918,654 | |
Food, Beverage & Tobacco 0.4% | |||||
CSM Bakery Supplies LLC, Second Lien Term Loan, 9.62%, (3-month USD LIBOR + 7.75%), 7/03/21 | United States | 13,621,246 | 13,050,857 | ||
JBS USA Lux SA, New Term Loans, 3.645%, (1-month USD LIBOR + 2.00%), 5/01/26 | United States | 2,260,208 | 2,275,276 | ||
15,326,133 | |||||
Household & Personal Products 1.0% | |||||
c | FGI Operating Co. LLC (Freedom Group), | ||||
h Term Loan, PIK, 12.00%, (3-month USD LIBOR + 10.00%), 5/15/22 | United States | 15,104,489 | 14,275,184 | ||
Term Loan FILO, 9.409% - 9.50%, (3-month USD LIBOR + 7.50%), 5/15/21 | United States | 28,662,305 | 28,712,561 | ||
n,o | Knowlton Development Corp., Initial Term Loan, TBD, 12/21/25 | United States | 603,817 | 605,578 | |
43,593,323 | |||||
Materials 0.2% | |||||
Appvion Operations, Inc., | |||||
Term Loan, 7.79%, (1-month USD LIBOR + 6.00%), 6/15/26 | United States | 2,657,098 | 2,683,669 | ||
Term Loan, 7.91%, (3-month USD LIBOR + 6.00%), 6/15/26 | United States | 4,714,707 | 4,761,854 |
| 29
Franklin Strategic Series
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
Franklin Strategic Income Fund (continued)
Country/Organization | Principal Amount* | Value | |||
i | Senior Floating Rate Interests (continued) | ||||
Materials (continued) | |||||
Axalta Coating Systems U.S. Holdings Inc. (DuPont Performance Coatings), Term B-3 Dollar Loan, 3.695%, (3-month USD LIBOR + 1.75%), 6/01/24 | United States | 1,903,854 | $1,906,234 | ||
n | Berry Global Inc., Term Y Loans, 3.781%, (1-month USD LIBOR + 2.00%), 7/01/26 | United States | 1,184,211 | 1,192,106 | |
10,543,863 | |||||
Media & Entertainment 0.3% | |||||
Charter Communications Operating LLC, Term A-2 Loan, 3.15%, (1-month USD LIBOR + 1.50%), 3/31/23 | United States | 2,918,919 | 2,910,711 | ||
CSC Holdings LLC, March 2017 Incremental Term Loans, 3.926%, (1-month USD LIBOR + 2.25%), 7/17/25 | United States | 994,885 | 999,234 | ||
Diamond Sports Group LLC, Term Loan, 4.91%, (1-month USD LIBOR + 3.25%), 8/24/26 | United States | 2,992,500 | 2,988,759 | ||
Gray Television Inc., Term C Loan, 4.281%, (1-month USD LIBOR + 2.50%), 1/02/26 | United States | 339,690 | 341,778 | ||
iHeartCommunications Inc., Term Loan, 5.781%, (1-month USD LIBOR + 4.00%), 5/04/26 | United States | 1,868,681 | 1,876,077 | ||
Lions Gate Capital Holdings LLC, Term A Loan, 3.395%, (1-month USD LIBOR + 1.75%), 3/22/23 | Canada | 2,446,348 | 2,431,058 | ||
Nexstar Broadcasting Inc., Term B-4 Loan, 4.531%, (1-month USD LIBOR + 2.75%), 9/19/26 | United States | 995,131 | 1,001,869 | ||
12,549,486 | |||||
Pharmaceuticals, Biotechnology & Life Sciences 0.2% | |||||
Grifols Worldwide Operations USA Inc., Dollar Tranche B Term Loan, 3.561%, (1-week USD LIBOR + 2.00%), 11/15/27 | United States | 5,762,120 | 5,821,707 | ||
Syneos Health Inc., (INC Research, LLC), Initial Term B Loans, 3.645%, (1-month USD LIBOR + 2.00%), 8/01/24 | United States | 1,352,136 | 1,359,910 | ||
7,181,617 | |||||
Real Estate 0.0%† | |||||
n,o | Cushman & Wakefield U.S. Borrower LLC, Replacement Term Loan, TBD, 8/21/25 | United States | 277,392 | 278,903 | |
Retailing 0.1% | |||||
n | Bass Pro Group LLC, Initial Term Loans, 6.645%, (1-month USD LIBOR + 5.00%), 9/25/24 | United States | 1,246,811 | 1,245,773 | |
n | Harbor Freight Tools USA Inc., Refinancing Loans, 4.145%, (1-month USD LIBOR + 2.50%), 8/19/23 | United States | 1,994,894 | 1,984,420 | |
n,o | Staples Inc., 2019 Refinancing Term B-1 Loans, TBD, 4/12/26 | United States | 536,585 | 527,419 | |
3,757,612 | |||||
Semiconductors & Semiconductor Equipment 0.1% | |||||
MKS Instruments Inc., Tranche B-6 Term Loans, 3.395%, (1-month USD LIBOR + 1.75%), 2/02/26 | United States | 3,342,049 | 3,350,404 | ||
ON Semiconductor Corp., 2019 Replacement Term B-4 Loans, 3.645%, (1-month USD LIBOR + 2.00%), 9/18/26 | United States | 1,995,000 | 2,008,710 | ||
5,359,114 |
| 30
Franklin Strategic Series
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
Franklin Strategic Income Fund (continued)
Country/Organization | Principal Amount* | Value | |||
i | Senior Floating Rate Interests (continued) | ||||
Software & Services 0.5% | |||||
Infor (U.S.) Inc. (Lawson), Tranche B-6 Term Loan, 4.695%, (3-month USD LIBOR + 2.75%), 2/01/22 | United States | 997,436 | $1,005,415 | ||
n,o | Sophos (Surf Holdings LLC), Term Loan B, TBD, 3/31/27 | United States | 754,770 | 760,432 | |
WEX Inc., Term B-3 Loan, 3.895%, (1-month USD LIBOR + 2.25%), 5/17/26 | United States | 1,839,448 | 1,853,933 | ||
c | WorkCapital BSD SARL, Loan, 17.905%, (3-month USD LIBOR + 16.00%), 2/11/22 | Luxembourg | 20,000,000 | 20,083,375 | |
23,703,155 | |||||
Technology Hardware & Equipment 0.1% | |||||
n | CommScope Inc., Initial Term Loans, 4.895%, (1-month USD LIBOR + 3.25%), 4/04/26 | United States | 2,200,000 | 2,206,589 | |
Telecommunication Services 0.2% | |||||
Global Tel*Link Corp., | |||||
First Lien Term Loan, 5.895%, (1-month USD LIBOR + 4.25%), 11/29/25 | United States | 994,975 | 954,927 | ||
Second Lien Term Loan, 9.895%, (1-month USD LIBOR + 8.25%), 11/29/26 | United States | 545,755 | 485,154 | ||
Securus Technologies Holdings Inc., | |||||
Initial Term Loan, 6.145%, (1-month USD LIBOR + 4.50%), 11/01/24 | United States | 2,481,013 | 1,951,470 | ||
Second Lien Initial Loan, 9.895%, (1-month USD LIBOR + 8.25%), 11/01/25 | United States | 10,588,688 | 5,152,720 | ||
8,544,271 | |||||
Transportation 0.1% | |||||
Air Canada, Term Loans, 3.408%, (1-month USD LIBOR + 1.75%), 10/06/23 | Canada | 406,037 | 407,813 | ||
Allegiant Travel Co., Class B Term Loans, 6.394%, (3-month USD LIBOR + 4.50%), 2/05/24 | United States | 2,894,275 | 2,906,938 | ||
Avis Budget Car Rental LLC, Tranche B Term Loans, 3.65%, (1-month USD LIBOR + 2.00%), 2/13/25 | United States | 1,989,848 | 1,996,050 | ||
Hertz Corp., Tranche B-1 Term Loan, 4.395%, (1-month USD LIBOR + 2.75%), 6/30/23 | United States | 989,501 | 996,717 | ||
6,307,518 | |||||
Utilities 0.0%† | |||||
EFS Cogen Holdings I LLC (Linden), | |||||
Term B Advance, 4.90%, (1-month USD LIBOR + 3.25%), 6/28/23 | United States | 282,435 | 282,317 | ||
Term B Advance, 5.20%, (3-month USD LIBOR + 3.25%), 6/28/23 | United States | 685,523 | 685,237 | ||
967,554 | |||||
Total Senior Floating Rate Interests (Cost $215,042,621) | 197,260,198 |
| 31
Franklin Strategic Series
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
Franklin Strategic Income Fund (continued)
Country/Organization | Principal Amount* | Value | |||
Marketplace Loans 0.1% | |||||
Diversified Financials 0.1% | |||||
c | Lending Club LCX, 6.46% - 28.80%, 5/31/22 - 1/27/25 | United States | 2,211,285 | $2,195,015 | |
c | Upgrade, 14.19% - 30.51%, 11/05/22 - 12/30/24 | United States | 3,107,079 | 3,031,324 | |
Total Marketplace Loans (Cost $5,264,312) | 5,226,339 | ||||
Foreign Government and Agency Securities 10.6% | |||||
d | The African Export-Import Bank, senior bond, 144A, 3.994%, 9/21/29 | Supranationalp | 8,600,000 | 8,993,536 | |
d | Angolan Government International Bond, senior note, 144A, 8.25%, 5/09/28 | Angola | 26,800,000 | 28,935,880 | |
g | Banque Centrale de Tunisie International Bond, senior note, Reg S, 5.625%, 2/17/24 | Tunisia | 25,700,000 | EUR | 28,391,448 |
d | Banque Ouest Africaine de Developpement, senior note, 144A, 5.00%, 7/27/27 | Supranationalp | 7,400,000 | 8,009,464 | |
q | Brazil Notas do Tesouro Nacional, Index Linked, 6.00%, 5/15/23 | Brazil | 19,500j | BRL | 16,948,177 |
d | Dominican Republic, senior note, 144A, 8.90%, 2/15/23 | Dominican Republic | 838,300,000 | DOP | 15,774,720 |
d | The Export-Import Bank of India, senior note, 144A, 3.875%, 2/01/28 | India | 16,000,000 | 16,985,280 | |
d | Government of Belarus International Bond, | ||||
senior bond, 144A, 6.20%, 2/28/30 | Belarus | 12,300,000 | 13,441,255 | ||
senior note, 144A, 7.625%, 6/29/27 | Belarus | 7,500,000 | 8,683,613 | ||
Government of Colombia, | |||||
senior bond, 9.85%, 6/28/27 | Colombia | 55,750,000,000 | COP | 20,676,320 | |
senior bond, 4.50%, 3/15/29 | Colombia | 2,800,000 | 3,167,969 | ||
senior bond, 5.00%, 6/15/45 | Colombia | 20,700,000 | 25,200,904 | ||
d | Government of Gabon, | ||||
144A, 6.375%, 12/12/24 | Gabon | 29,000,000 | 31,235,929 | ||
k senior note, 144A, 6.625%, 2/06/31 | Gabon | 16,950,000 | 16,989,892 | ||
Government of Indonesia, | |||||
senior bond, FR34, 12.80%, 6/15/21 | Indonesia | 129,210,000,000 | IDR | 10,408,731 | |
senior bond, FR39, 11.75%, 8/15/23 | Indonesia | 29,150,000,000 | IDR | 2,499,615 | |
senior bond, FR44, 10.00%, 9/15/24 | Indonesia | 8,340,000,000 | IDR | �� 703,788 | |
senior bond, FR56, 8.375%, 9/15/26 | Indonesia | 363,988,000,000 | IDR | 29,414,853 | |
d | Government of Iraq, 144A, 5.80%, 1/15/28 | Iraq | 29,000,000 | 27,993,584 | |
d | Government of Kazakhstan, senior bond, 144A, 4.875%, 10/14/44 | Kazakhstan | 19,300,000 | 24,372,986 | |
Government of Mexico, senior note, 4.15%, 3/28/27 | Mexico | 13,900,000 | 15,151,139 | ||
Government of Peru, senior bond, 6.55%, 3/14/37 | Peru | 11,400,000 | 17,367,159 | ||
d | Government of Russia, senior note, 144A, 4.875%, 9/16/23 | Russia | 8,600,000 | 9,419,417 | |
Government of South Africa, senior bond, 7.00%, 2/28/31 | South Africa | 365,000,000 | ZAR | 20,677,499 | |
d | Government of Ukraine, | ||||
144A, 7.75%, 9/01/22 | Ukraine | 2,200,000 | 2,395,690 | ||
144A, 7.75%, 9/01/23 | Ukraine | 4,355,000 | 4,819,330 | ||
144A, 7.75%, 9/01/24 | Ukraine | 4,355,000 | 4,861,051 | ||
a,r 144A, VRI, GDP Linked Security, 5/31/40 | Ukraine | 9,990,000 | 9,927,562 | ||
senior bond, 144A, 7.375%, 9/25/32 | Ukraine | 6,000,000 | 6,649,416 |
| 32
Franklin Strategic Series
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
Franklin Strategic Income Fund (continued)
Country/Organization | Principal Amount* | Value | |||
Foreign Government and Agency Securities (continued) | |||||
Government of Uruguay, | |||||
senior bond, 4.375%, 1/23/31 | Uruguay | 8,000,000 | $9,206,000 | ||
s senior bond, Index Linked, 3.70%, 6/26/37 | Uruguay | 845,649,198 | UYU | 22,184,373 | |
Nota do Tesouro Nacional, 10.00%, 1/01/23 | Brazil | 34,402j | BRL | 8,962,745 | |
d | Panama Notas del Tesoro, senior note, 144A, 3.75%, 4/17/26 | Panama | 8,200,000 | 8,719,655 | |
Total Foreign Government and Agency Securities (Cost $473,745,269) | 479,168,980 | ||||
U.S. Government and Agency Securities 6.4% | |||||
U.S. Treasury Bond, | |||||
7.125%, 2/15/23 | United States | 3,000,000 | 3,520,313 | ||
6.25%, 8/15/23 | United States | 4,000,000 | 4,681,406 | ||
6.875%, 8/15/25 | United States | 1,000,000 | 1,295,469 | ||
s Index Linked, 1.75%, 1/15/28 | United States | 57,704,964 | 66,371,516 | ||
U.S. Treasury Note, | |||||
1.50%, 11/30/21 | United States | 30,000,000 | 30,083,203 | ||
s Index Linked, 0.625%, 1/15/24 | United States | 25,298,980 | 26,105,422 | ||
s Index Linked, 0.125%, 7/15/24 | United States | 98,077,126 | 99,865,090 | ||
s Index Linked, 0.375%, 7/15/25 | United States | 34,382,682 | 35,611,230 | ||
s Index Linked, 0.375%, 7/15/27 | United States | 18,832,088 | 19,660,680 | ||
Total U.S. Government and Agency Securities (Cost $280,808,765) | 287,194,329 | ||||
Asset-Backed Securities and Commercial Mortgage-Backed Securities 30.5% | |||||
Banks 0.4% | |||||
t | Commercial Mortgage Trust, 2006-GG7, AJ, FRN, 5.725%, 7/10/38 | United States | 5,333,000 | 4,940,834 | |
CSAIL Commercial Mortgage Trust, 2015-C1, A4, 3.505%, 4/15/50 | United States | 10,050,000 | 10,765,169 | ||
t | CWABS Asset-Backed Certificates Trust, 2005-11, AF4, FRN, 5.21%, 3/25/34 | United States | 1,392,984 | 1,400,552 | |
u | Merrill Lynch Mortgage Investors Trust, 2005-A6, 2A3, FRN, 2.041%, (1-month USD LIBOR + 0.38%), 8/25/35 | United States | 741,037 | 747,449 | |
17,854,004 | |||||
Diversified Financials 30.1% | |||||
u | American Express Credit Account Master Trust, 2017-2, A, FRN, 2.126%, (1-month USD LIBOR + 0.45%), 9/16/24 | United States | 9,170,000 | 9,220,743 | |
d,u | AMMC CLO XI Ltd., | ||||
2012-11A, BR2, 144A, FRN, 3.37%, (3-month USD LIBOR + 1.60%), 4/30/31 | United States | 3,000,000 | 2,988,060 | ||
2012-11A, CR2, 144A, FRN, 3.67%, (3-month USD LIBOR + 1.90%), 4/30/31 | United States | 1,000,000 | 975,430 |
| 33
Franklin Strategic Series
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
Franklin Strategic Income Fund (continued)
Country/Organization | Principal Amount* | Value | |||
Asset-Backed Securities and Commercial Mortgage-Backed Securities (continued) | |||||
Diversified Financials (continued) | |||||
d,u | Antares CLO Ltd., 2018-1A, B, 144A, FRN, 3.469%, (3-month USD LIBOR + 1.65%), 4/20/31 | United States | 17,500,000 | $17,315,900 | |
d,t | ARES L CLO Ltd., 2018-50A, B, 144A, FRN, 3.531%, 1/15/32 | United States | 15,700,000 | 15,675,037 | |
d,t | ARES LII CLO Ltd., | ||||
2019-52A, A2, 144A, FRN, 3.452%, 4/22/31 | United States | 2,522,358 | 2,515,976 | ||
2019-52A, B, 144A, FRN, 3.652%, 4/22/31 | United States | �� 3,500,000 | 3,504,725 | ||
2019-52A, C, 144A, FRN, 4.482%, 4/22/31 | United States | 1,000,000 | 1,003,470 | ||
d,u | Ares XLIII CLO Ltd., 2017-43A, A, 144A, FRN, 3.051%, (3-month USD LIBOR + 1.22%), 10/15/29 | United States | 3,870,000 | 3,871,935 | |
Banc of America Commercial Mortgage Trust, | |||||
2015-UBS7, A3, 3.441%, 9/15/48 | United States | 10,920,000 | 11,727,582 | ||
2015-UBS7, A4, 3.705%, 9/15/48 | United States | 12,450,000 | 13,561,407 | ||
t 2015-UBS7, B, FRN, 4.36%, 9/15/48 | United States | 6,740,000 | 7,365,587 | ||
d,t | BCC Middle Market CLO LLC, 2018-1A, A2, 144A, FRN, 3.969%, 10/20/30 | United States | 6,300,000 | 6,254,766 | |
d,t | Betony CLO 2 Ltd., 2018-1A, A1, 144A, FRN, 2.85%, 4/30/31 | United States | 15,300,000 | 15,264,198 | |
d,t | BlueMountain CLO Ltd., | ||||
2012-2A, BR2, 144A, FRN, 3.349%, 11/20/28 | United States | 6,710,000 | 6,711,879 | ||
2012-2A, CR2, 144A, FRN, 3.899%, 11/20/28 | United States | 2,730,000 | 2,709,552 | ||
2014-2A, CR2, 144A, FRN, 4.019%, 10/20/30 | United States | 3,800,000 | 3,801,064 | ||
2018-1A, D, 144A, FRN, 4.82%, 7/30/30 | United States | 5,000,000 | 4,973,050 | ||
d,t | Bluemountain Fuji Eur CLO V DAC, | ||||
5A, A, 144A, FRN, 0.91%, 1/15/33 | Ireland | 20,900,000 | EUR | 23,310,914 | |
5A, B, 144A, FRN, 1.55%, 1/15/33 | Ireland | 6,200,000 | EUR | 6,915,660 | |
d,u | BlueMountain Fuji U.S. CLO II Ltd., 2017-2A, A1A, 144A, FRN, 3.019%, (3-month USD LIBOR + 1.20%), 10/20/30 | United States | 4,200,000 | 4,202,436 | |
d,u | BlueMountain Fuji U.S. CLO III Ltd., | ||||
2017-3A, A2, 144A, FRN, 2.981%, (3-month USD LIBOR + 1.15%), 1/15/30 | United States | 4,600,000 | 4,525,204 | ||
2017-3A, C, 144A, FRN, 3.531%, (3-month USD LIBOR + 1.70%), 1/15/30 | United States | 600,000 | 592,230 | ||
d | BRAVO Residential Funding Trust, | ||||
2019-1, A1C, 144A, 3.50%, 3/25/58 | United States | 9,770,728 | 9,951,902 | ||
t 2019-2, A3, 144A, FRN, 3.50%, 10/25/44 | United States | 10,506,837 | 10,788,888 | ||
d,t | Burnham Park CLO Ltd., | ||||
2016-1A, BR, 144A, FRN, 3.319%, 10/20/29 | United States | 3,500,000 | 3,504,690 | ||
2016-1A, CR, 144A, FRN, 3.969%, 10/20/29 | United States | 4,000,000 | 4,027,200 | ||
d,t | Buttermilk Park CLO Ltd., 2018-1A, C, 144A, FRN, 3.931%, 10/15/31 | United States | 9,730,950 | 9,701,660 | |
u | Capital One Multi-Asset Execution Trust, | ||||
2016-A2, A2, FRN, 2.306%, (1-month USD LIBOR + 0.63%), 2/15/24 | United States | 44,033,000 | 44,350,901 | ||
2016-A7, A7, FRN, 2.186%, (1-month USD LIBOR + 0.51%), 9/16/24 | United States | 4,400,000 | 4,432,458 |
| 34
Franklin Strategic Series
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
Franklin Strategic Income Fund (continued)
Country/Organization | Principal Amount* | Value | |||
Asset-Backed Securities and Commercial Mortgage-Backed Securities (continued) | |||||
Diversified Financials (continued) | |||||
d,u | Carlyle Global Market Strategies CLO Ltd., 2014-4RA, C, 144A, FRN, 4.731%, (3-month USD LIBOR + 2.90%), 7/15/30 | United States | 3,000,000 | $2,824,800 | |
d,t | Carlyle GMS Finance MM CLO LLC, 2015-1A, A2R, 144A, FRN, 4.031%, 10/15/31 | United States | 12,000,000 | 11,904,720 | |
d,u | Carlyle U.S. CLO Ltd., 2017-2A, A1B, 144A, FRN, 3.039%, (3-month USD LIBOR + 1.22%), 7/20/31 | United States | 8,500,000 | 8,497,790 | |
d,u | Catamaran CLO Ltd., 2014-2A, BR, 144A, FRN, 4.769%, (3-month USD LIBOR + 2.95%), 10/18/26 | United States | 11,770,000 | 11,814,961 | |
d,t | CGRBS Commercial Mortgage Trust, 2013-VN05, C, 144A, FRN, 3.584%, 3/13/35 | United States | 7,700,000 | 8,088,109 | |
d,t | CIM Trust, | ||||
2019-INV1, A1, 144A, FRN, 4.00%, 2/25/49 | United States | 12,280,534 | 12,626,396 | ||
2019-INV2, A3, 144A, FRN, 4.00%, 5/25/49 | United States | 15,904,269 | 16,477,246 | ||
t | Citibank Credit Card Issuance Trust, | ||||
2016-A3, A3, FRN, 2.204%, 12/07/23 | United States | 4,800,000 | 4,829,314 | ||
2017-A7, A7, FRN, 2.062%, 8/08/24 | United States | 36,060,000 | 36,249,272 | ||
d,t | Cole Park CLO Ltd., 2015-1A, BR, 144A, FRN, 3.419%, 10/20/28 | United States | 3,530,000 | 3,531,377 | |
d,t | Consumer Loan Underlying Bond CLUB Certificate Issuer Trust I, | ||||
2018-14, PT, 144A, FRN, 9.35%, 9/16/41 | United States | 4,230,350 | 4,079,043 | ||
2018-29, PT, 144A, FRN, 25.34%, 12/15/43 | United States | 2,051,993 | 1,661,128 | ||
2019-26, PT, 144A, FRN, 19.137%, 8/15/44 | United States | 7,354,582 | 6,687,183 | ||
2019-31, PT, 144A, FRN, 19.17%, 9/15/44 | United States | 6,672,741 | 6,008,135 | ||
2019-37, PT, 144A, FRN, 19.627%, 10/17/44 | United States | 6,727,030 | 6,279,686 | ||
2019-42, PT, 144A, FRN, 19.31%, 11/15/44 | United States | 7,087,657 | 6,587,357 | ||
2019-51, PT, 144A, FRN, 17.50%, 1/15/45 | United States | 7,461,651 | 7,164,032 | ||
2019-52, PT, 144A, FRN, 11.118%, 1/15/45 | United States | 7,292,478 | 7,169,164 | ||
2019-S1, PT, 144A, FRN, 14.26%, 4/15/44 | United States | 6,096,719 | 5,245,567 | ||
2019-S2, PT, 144A, FRN, 13.513%, 5/16/44 | United States | 4,505,618 | 3,991,814 | ||
2019-S3, PT, 144A, FRN, 13.77%, 6/15/44 | United States | 5,227,067 | 4,702,580 | ||
2019-S4, PT, 144A, FRN, 11.83%, 8/15/44 | United States | 6,059,877 | 5,472,096 | ||
2019-S5, PT, 144A, FRN, 13.01%, 9/15/44 | United States | 5,623,337 | 5,070,102 | ||
2019-S6, PT, 144A, FRN, 11.68%, 10/17/44 | United States | 5,276,374 | 4,837,884 | ||
2019-S7, PT, 144A, FRN, 11.34%, 12/15/44 | United States | 4,562,476 | 4,178,076 | ||
2019-S8, PT, 144A, FRN, 10.53%, 1/15/45 | United States | 5,596,967 | 5,235,248 | ||
2020-2, PT, 144A, FRN, 16.113%, 3/15/45 | United States | 6,994,212 | 6,861,288 | ||
t | Discover Card Execution Note Trust, 2017-A7, A7, FRN, 2.036%, 4/15/25 | United States | 5,360,000 | 5,379,015 | |
d,t | Dryden 38 Senior Loan Fund, 2015-38A, CR, 144A, FRN, 3.831%, 7/15/30 | United States | 7,186,000 | 7,156,753 | |
d,u | Dryden 41 Senior Loan Fund, 2015-41A, AR, 144A, FRN, 2.801%, (3-month USD LIBOR + 0.97%), 4/15/31 | United States | 9,850,000 | 9,810,600 | |
d,u | Dryden 42 Senior Loan Fund, 2016-42A, DR, 144A, FRN, 4.761%, (3-month USD LIBOR + 2.93%), 7/15/30 | United States | 8,400,000 | 8,391,516 |
| 35
Franklin Strategic Series
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
Franklin Strategic Income Fund (continued)
Country/Organization | Principal Amount* | Value | |||
Asset-Backed Securities and Commercial Mortgage-Backed Securities (continued) | |||||
Diversified Financials (continued) | |||||
d,u | Dryden 55 CLO Ltd., | ||||
2018-55A, A1, 144A, FRN, 2.851%, (3-month USD LIBOR + 1.02%), 4/15/31 | United States | 11,500,000 | $11,502,645 | ||
2018-55A, D, 144A, FRN, 4.681%, (3-month USD LIBOR + 2.85%), 4/15/31 | United States | 3,000,000 | 2,962,410 | ||
d,u | Dryden 64 CLO Ltd., 2018-64A, A, 144A, FRN, 2.789%, (3-month USD LIBOR + 0.97%), 4/18/31 | United States | 5,070,000 | 5,046,678 | |
d,t | Eaton Vance CLO Ltd., 2014-1RA, C, 144A, FRN, 3.931%, 7/15/30 | United States | 1,972,575 | 1,966,953 | |
d,t | Eleven Madison Trust Mortgage Trust, 2015-11MD, A, 144A, FRN, 3.555%, 9/10/35 | United States | 14,920,000 | 16,155,081 | |
FHLMC Structured Agency Credit Risk Debt Notes, | |||||
u 2013-DN2, M2, FRN, 5.911%, (1-month USD LIBOR + 4.25%), 11/25/23 | United States | 11,600,868 | 12,587,439 | ||
u 2014-DN1, M2, FRN, 3.861%, (1-month USD LIBOR + 2.20%), 2/25/24 | United States | 4,960,419 | 5,016,426 | ||
u 2014-DN2, M3, FRN, 5.261%, (1-month USD LIBOR + 3.60%), 4/25/24 | United States | 21,379,000 | 22,791,391 | ||
u 2014-DN3, M3, FRN, 5.661%, (1-month USD LIBOR + 4.00%), 8/25/24 | United States | 983,939 | 1,050,242 | ||
u 2014-DN4, M3, FRN, 6.211%, (1-month USD LIBOR + 4.55%), 10/25/24 | United States | 12,747,100 | 13,749,851 | ||
u 2014-HQ1, M3, FRN, 5.761%, (1-month USD LIBOR + 4.10%), 8/25/24 | United States | 2,791,936 | 2,958,541 | ||
u 2014-HQ2, M2, FRN, 3.861%, (1-month USD LIBOR + 2.20%), 9/25/24 | United States | 5,875,814 | 5,951,471 | ||
u 2014-HQ3, M3, FRN, 6.411%, (1-month USD LIBOR + 4.75%), 10/25/24 | United States | 5,453,241 | 5,800,964 | ||
u 2015-DNA1, M3, FRN, 4.961%, (1-month USD LIBOR + 3.30%), 10/25/27 | United States | 2,830,000 | 3,058,906 | ||
u 2015-DNA3, M3, FRN, 6.361%, (1-month USD LIBOR + 4.70%), 4/25/28 | United States | 18,411,581 | 20,456,883 | ||
u 2015-HQ1, M3, FRN, 5.461%, (1-month USD LIBOR + 3.80%), 3/25/25 | United States | 6,122,737 | 6,293,550 | ||
u 2015-HQA1, M3, FRN, 6.361%, (1-month USD LIBOR + 4.70%), 3/25/28 | United States | 18,830,000 | 20,081,743 | ||
u 2016-DNA2, M3, FRN, 6.311%, (1-month USD LIBOR + 4.65%), 10/25/28 | United States | 16,214,343 | 17,467,170 | ||
t 2017-DNA1, M2, FRN, 4.911%, 7/25/29 | United States | 7,300,000 | 7,757,124 | ||
t 2017-DNA2, M2, FRN, 5.111%, 10/25/29 | United States | 5,868,312 | 6,325,138 | ||
u 2017-DNA3, M2, FRN, 4.161%, (1-month USD LIBOR + 2.50%), 3/25/30 | United States | 26,312,269 | 27,285,081 | ||
t 2017-HQA1, M2, FRN, 5.211%, 8/25/29 | United States | 28,226,000 | 29,803,116 | ||
t 2017-HQA2, M2, FRN, 4.311%, 12/25/29 | United States | 2,885,000 | 2,982,260 | ||
d,u | Flagship CLO VIII Ltd., | ||||
2014-8A, ARR, 144A, FRN, 2.693%, (3-month USD LIBOR + 0.85%), 1/16/26 | United States | 3,949,439 | 3,949,992 | ||
2014-8A, DR, 144A, FRN, 4.893%, (3-month USD LIBOR + 3.05%), 1/16/26 | United States | 3,000,000 | 2,953,170 |
| 36
Franklin Strategic Series
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
Franklin Strategic Income Fund (continued)
Country/Organization | Principal Amount* | Value | |||
Asset-Backed Securities and Commercial Mortgage-Backed Securities (continued) | |||||
Diversified Financials (continued) | |||||
FNMA Connecticut Avenue Securities, | |||||
u 2013-C01, M2, FRN, 6.911%, (1-month USD LIBOR + 5.25%), 10/25/23 | United States | 14,108,791 | $15,569,470 | ||
u 2014-C01, M2, FRN, 6.061%, (1-month USD LIBOR + 4.40%), 1/25/24 | United States | 16,330,761 | 17,799,285 | ||
u 2014-C02, 1M2, FRN, 4.261%, (1-month USD LIBOR + 2.60%), 5/25/24 | United States | 13,229,130 | 13,775,427 | ||
u 2014-C03, 1M2, FRN, 4.661%, (1-month USD LIBOR + 3.00%), 7/25/24 | United States | 29,127,822 | 30,772,627 | ||
u 2014-C03, 2M2, FRN, 4.561%, (1-month USD LIBOR + 2.90%), 7/25/24 | United States | 3,658,356 | 3,826,642 | ||
u 2015-C01, 1M2, FRN, 5.961%, (1-month USD LIBOR + 4.30%), 2/25/25 | United States | 7,292,138 | 7,809,936 | ||
u 2015-C01, 2M2, FRN, 6.211%, (1-month USD LIBOR + 4.55%), 2/25/25 | United States | 8,427,442 | 8,771,654 | ||
u 2015-C02, 1M2, FRN, 5.661%, (1-month USD LIBOR + 4.00%), 5/25/25 | United States | 21,107,458 | 22,569,660 | ||
u 2015-C02, 2M2, FRN, 5.661%, (1-month USD LIBOR + 4.00%), 5/25/25 | United States | 9,895,368 | 10,307,280 | ||
u 2015-C03, 1M2, FRN, 6.661%, (1-month USD LIBOR + 5.00%), 7/25/25 | United States | 25,368,089 | 27,727,096 | ||
u 2015-C03, 2M2, FRN, 6.661%, (1-month USD LIBOR + 5.00%), 7/25/25 | United States | 12,355,882 | 13,168,877 | ||
t 2016-C02, 1M2, FRN, 7.661%, 9/25/28 | United States | 9,121,120 | 10,050,996 | ||
t 2016-C04, 1M2, FRN, 5.911%, 1/25/29 | United States | 9,674,713 | 10,312,785 | ||
t 2016-C05, 2M2, FRN, 6.111%, 1/25/29 | United States | 5,927,827 | 6,286,911 | ||
t 2016-C06, 1M2, FRN, 5.911%, 4/25/29 | United States | 2,220,000 | 2,382,959 | ||
t 2016-C07, 2M2, FRN, 6.011%, 5/25/29 | United States | 3,697,841 | 3,919,515 | ||
u 2017-C01, 1M2, FRN, 5.211%, (1-month USD LIBOR + 3.55%), 7/25/29 | United States | 22,910,000 | 24,194,215 | ||
t 2017-C03, 1M2, FRN, 4.661%, 10/25/29 | United States | 24,932,535 | 26,186,908 | ||
t 2017-C03, 2M2, FRN, 4.511%, 11/25/29 | United States | 7,075,499 | 7,346,446 | ||
t 2017-C05, 1M2, FRN, 3.861%, 1/25/30 | United States | 20,670,408 | 21,075,058 | ||
d | Galaxy XVIII CLO Ltd., | ||||
t 2018-28A, A2, 144A, FRN, 2.901%, 7/15/31 | United States | 9,500,000 | 9,502,375 | ||
u 2018-28A, C, 144A, FRN, 3.781%, (3-month USD LIBOR + 1.95%), 7/15/31 | United States | 3,070,000 | 3,063,338 | ||
d,t | Galaxy XXVI CLO Ltd., 2018-26A, A, 144A, FRN, 3.099%, 11/22/31 | United States | 7,600,000 | 7,598,480 | |
d,u | Galaxy XXVII CLO Ltd., 2018-27A, C, 144A, FRN, 3.704%, (3-month USD LIBOR + 1.80%), 5/16/31 | United States | 3,600,000 | 3,561,984 | |
GS Mortgage Securities Trust, | |||||
t 2016-GS3, B, FRN, 3.395%, 10/10/49 | United States | 8,037,000 | 8,447,111 | ||
2017-GS6, B, 3.869%, 5/10/50 | United States | 7,700,000 | 8,331,151 |
| 37
Franklin Strategic Series
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
Franklin Strategic Income Fund (continued)
Country/Organization | Principal Amount* | Value | |||
Asset-Backed Securities and Commercial Mortgage-Backed Securities (continued) | |||||
Diversified Financials (continued) | |||||
d,t | HPS Loan Management Ltd., 2013A-18, C, 144A, FRN, 3.981%, 10/15/30 | United States | 4,950,000 | $4,912,826 | |
d,t | LCM XVI LP, | ||||
2016A, A2R, 144A, FRN, 3.011%, 10/15/31 | United States | 7,655,557 | 7,631,825 | ||
2016A, BR2, 144A, FRN, 3.581%, 10/15/31 | United States | 13,525,832 | 13,491,476 | ||
d,t | LCM XVII LP, | ||||
2017A, BRR, 144A, FRN, 3.431%, 10/15/31 | United States | 4,590,000 | 4,511,373 | ||
2017A, CRR, 144A, FRN, 3.931%, 10/15/31 | United States | 4,240,000 | 4,177,926 | ||
d,u | LCM XVIII LP, 2018A, DR, 144A, FRN, 4.619%, (3-month USD LIBOR + 2.80%), 4/20/31 | United States | 6,860,000 | 6,577,162 | |
d,u | LCM XXIV Ltd., 24A, A, 144A, FRN, 3.129%, (3-month USD LIBOR + 1.31%), 3/20/30 | United States | 4,300,000 | 4,303,182 | |
d,t | Madison Park Euro Funding VIII DAC, | ||||
8A, ARN, 144A, FRN, 0.95%, 4/15/32 | Ireland | 27,500,000 | EUR | 30,561,899 | |
8A, BRN, 144A, FRN, 1.70%, 4/15/32 | Ireland | 4,100,000 | EUR | 4,577,508 | |
d,t | Madison Park Euro Funding XIV DAC, 2014A, A1N, 144A, FRN, 1.12%, 7/15/32 | Ireland | 9,800,000 | EUR | 10,925,027 |
d,u | Madison Park Funding XXIII Ltd., | ||||
2017-23A, B, 144A, FRN, 3.494%, (3-month USD LIBOR + 1.70%), 7/27/30 | United States | 2,400,000 | 2,401,896 | ||
2017-23A, C, 144A, FRN, 4.144%, (3-month USD LIBOR + 2.35%), 7/27/30 | United States | 5,000,000 | 5,001,100 | ||
d,t | Magnetite Ltd., 2015-14RA, A1, 144A, FRN, 2.939%, 10/18/31 | United States | 2,000,000 | 1,995,040 | |
d,t | Mill City Mortgage Loan Trust, 2018-4, A1B, 144A, FRN, 3.50%, 4/25/66 | United States | 16,720,000 | 17,393,100 | |
u | MortgageIT Trust, | ||||
2004-1, A2, FRN, 2.561%, (1-month USD LIBOR + 0.90%), 11/25/34 | United States | 1,496,747 | 1,517,815 | ||
2005-5, A1, FRN, 2.181%, (1-month USD LIBOR + 0.26%), 12/25/35 | United States | 1,360,815 | 1,364,175 | ||
d,t | Mountain View Funding CLO XIV Ltd., | ||||
2019-1A, A1, 144A, FRN, 3.271%, 4/15/29 | United States | 5,000,000 | 5,002,950 | ||
2019-1A, C, 144A, FRN, 4.731%, 4/15/29 | United States | 4,500,000 | 4,510,440 | ||
d,t | Neuberger Berman CLO XVIII Ltd., 2014-18A, CR2, 144A, FRN, 4.819%, 10/21/30 | United States | 500,000 | 496,490 | |
d,t | Neuberger Berman CLO XXII Ltd., 2016-22A, CR, 144A, FRN, 4.036%, 10/17/30 | United States | 2,129,630 | 2,135,167 | |
d,u | NZCG Funding Ltd., 2015-1A, A2R, 144A, FRN, 3.467%, (3-month USD LIBOR + 1.55%), 2/26/31 | United States | 15,500,000 | 15,395,065 | |
d,t | Octagon Investment Partners 24 Ltd., 2015-1A, BS, 144A, FRN, 3.719%, 4/21/31 | United States | 4,485,000 | 4,492,176 | |
d,t | Octagon Investment Partners 28 Ltd., | ||||
2016-1A, A2R, 144A, FRN, 3.251%, 10/24/30 | United States | 10,000,000 | 10,035,300 | ||
2016-1A, BR, 144A, FRN, 3.601%, 10/24/30 | United States | 3,914,730 | 3,926,044 |
| 38
Franklin Strategic Series
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
Franklin Strategic Income Fund (continued)
Country/Organization | Principal Amount* | Value | |||
Asset-Backed Securities and Commercial Mortgage-Backed Securities (continued) | |||||
Diversified Financials (continued) | |||||
d,u | Octagon Investment Partners 30 Ltd., 144A, FRN, 3.139%, (3-month USD LIBOR + 1.32%), 3/17/30 | United States | 4,300,000 | $4,327,520 | |
d,u | Octagon Investment Partners 36 Ltd., 2018-1A, A1, 144A, FRN, 2.801%, (3-month USD LIBOR + 0.97%), 4/15/31 | United States | 7,475,000 | 7,443,082 | |
d,u | Octagon Investment Partners 37 Ltd., 2018-2A, C, 144A, FRN, 4.644%, (3-month USD LIBOR + 2.85%), 7/25/30 | United States | 4,000,000 | 3,924,680 | |
d,t | Octagon Investment Partners 38 Ltd., 2018-1A, C, 144A, FRN, 4.769%, 7/20/30 | United States | 5,000,000 | 4,933,600 | |
d,u | Octagon Investment Partners XVI Ltd., 2013-1A, DR, 144A, FRN, 4.836%, (3-month USD LIBOR + 3.00%), 7/17/30 | United States | 6,000,000 | 5,940,900 | |
d,u | Octagon Investment Partners XXIII Ltd., 2015-1A, BR, 144A, FRN, 3.031%, (3-month USD LIBOR + 1.20%), 7/15/27 | United States | 4,590,000 | 4,543,274 | |
u | Opteum Mortgage Acceptance Corp. Trust, 2005-4, 1APT, FRN, 1.971%, (1-month USD LIBOR + 0.31%), 11/25/35 | United States | 1,546,933 | 1,560,043 | |
d | Prosper Pass-Thru Trust III, 2020-PT1, A, 144A, 8.796%, 3/15/26 | United States | 4,652,589 | 4,697,194 | |
d,t | Provident Funding Mortgage Trust, 2019-1, A2, 144A, FRN, 3.00%, 12/25/49 | United States | 9,993,507 | 10,164,824 | |
d,u | Race Point IX CLO Ltd., 2015-9A, A1AR, 144A, FRN, 3.041%, (3-month USD LIBOR + 1.21%), 10/15/30 | United States | 3,600,000 | 3,601,800 | |
d,t | Strata CLO I Ltd., 2018-1A, B, 144A, FRN, 4.031%, 1/15/31 | United States | 14,100,000 | 13,746,090 | |
u | Structured Asset Securities Corp., 2005-2XS, 2A2, FRN, 3.281%, (1-month USD LIBOR + 1.50%), 2/25/35 | United States | 1,724,349 | 1,755,732 | |
t | Thornburg Mortgage Securities Trust, 2005-1, A3, FRN, 4.184%, 4/25/45 | United States | 1,957,049 | 1,980,362 | |
d | Upgrade Master Pass-Thru Trust, | ||||
t 2019-PT1, A, 144A, FRN, 11.222%, 6/15/25 | United States | 3,205,302 | 3,181,903 | ||
2019-PT2, A, 144A, 4.846%, 2/15/26 | United States | 4,080,633 | 4,079,009 | ||
d | Voya CLO Ltd., | ||||
t 2013-2A, A2AR, 144A, FRN, 3.194%, 4/25/31 | United States | 2,200,000 | 2,170,410 | ||
u 2013-2A, BR, 144A, FRN, 3.644%, (3-month USD LIBOR + 1.85%), 4/25/31 | United States | 5,770,000 | 5,736,419 | ||
u 2014-1A, CR2, 144A, FRN, 4.619%, (3-month USD LIBOR + 2.80%), 4/18/31 | United States | 8,000,000 | 7,820,000 | ||
t 2015-2A, BR, 144A, FRN, 3.306%, 7/23/27 | United States | 9,290,000 | 9,313,782 | ||
t 2016-3A, A1R, 144A, FRN, 3.009%, 10/18/31 | United States | 10,000,000 | 9,997,200 | ||
t 2018-2A, A1, 144A, FRN, 2.831%, 7/15/31 | United States | 5,000,000 | 4,981,500 | ||
1,358,105,453 | |||||
Total Asset-Backed Securities and Commercial Mortgage-Backed Securities (Cost $1,386,657,767) | 1,375,959,457 | ||||
Mortgage-Backed Securities 8.3% | |||||
v | Federal Home Loan Mortgage Corp. (FHLMC) Adjustable Rate 0.0%† | ||||
FHLMC, 4.973%, (US 1 Year CMT T-Note +/- MBS Margin), 1/01/33 | United States | 10,982 | 11,247 |
| 39
Franklin Strategic Series
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
Franklin Strategic Income Fund (continued)
Country/Organization | Principal Amount* | Value | |||
Mortgage-Backed Securities (continued) | |||||
Federal Home Loan Mortgage Corp. (FHLMC) Fixed Rate 3.2% | |||||
FHLMC 30 Year, 2.50%, 10/01/49 | United States | 2,889,797 | $2,912,867 | ||
w | FHLMC 30 Year, 2.50%, 2/01/50 | United States | 13,500,000 | 13,602,832 | |
w | FHLMC 30 Year, 3.00%, 2/01/50 | United States | 122,800,000 | 125,582,186 | |
FHLMC Gold 15 Year, 5.00%, 7/01/22 | United States | 28,791 | 30,424 | ||
FHLMC Gold 30 Year, 4.50%, 10/01/40 | United States | 124,856 | 136,547 | ||
FHLMC Gold 30 Year, 5.00%, 5/01/27 - 2/01/38 | United States | 1,014,097 | 1,112,555 | ||
FHLMC Gold 30 Year, 5.50%, 6/01/33 - 6/01/36 | United States | 667,833 | 736,009 | ||
FHLMC Gold 30 Year, 6.00%, 6/01/33 - 6/01/37 | United States | 256,371 | 288,319 | ||
FHLMC Gold 30 Year, 6.50%, 10/01/21 - 6/01/36 | United States | 92,994 | 105,623 | ||
FHLMC Gold 30 Year, 7.00%, 9/01/21 - 8/01/32 | United States | 19,196 | 20,095 | ||
FHLMC Gold 30 Year, 7.50%, 1/01/26 - 1/01/31 | United States | 4,683 | 5,521 | ||
FHLMC Gold 30 Year, 8.00%, 11/01/25 - 1/01/26 | United States | 64 | 64 | ||
FHLMC Gold 30 Year, 9.00%, 12/01/24 | United States | 49 | 53 | ||
144,533,095 | |||||
v | Federal National Mortgage Association (FNMA) Adjustable Rate 0.0%† | ||||
FNMA, 4.031%, (US 1 Year CMT T-Note +/- MBS Margin), 12/01/34 | United States | 114,671 | 121,418 | ||
Federal National Mortgage Association (FNMA) Fixed Rate 1.2% | |||||
FNMA 15 Year, 2.50%, 7/01/27 - 12/01/34 | United States | 10,107,933 | 10,292,899 | ||
FNMA 15 Year, 5.50%, 3/01/21 - 4/01/22 | United States | 16,439 | 16,547 | ||
FNMA 30 Year, 3.00%, 9/01/48 | United States | 37,510,032 | 38,738,404 | ||
FNMA 30 Year, 4.50%, 3/01/28 - 2/01/41 | United States | 382,797 | 416,358 | ||
FNMA 30 Year, 5.00%, 9/01/23 - 10/01/35 | United States | 1,020,595 | 1,119,310 | ||
FNMA 30 Year, 5.50%, 9/01/33 - 12/01/35 | United States | 949,414 | 1,060,713 | ||
FNMA 30 Year, 6.00%, 6/01/34 - 5/01/38 | United States | 2,095,447 | 2,372,730 | ||
FNMA 30 Year, 6.50%, 3/01/28 - 10/01/37 | United States | 272,507 | 313,107 | ||
FNMA 30 Year, 7.50%, 10/01/29 | United States | 4,655 | 5,410 | ||
FNMA 30 Year, 8.00%, 1/01/25 - 5/01/26 | United States | 2,233 | 2,488 | ||
54,337,966 | |||||
Government National Mortgage Association (GNMA) Fixed Rate 3.9% | |||||
GNMA I SF 30 Year, 5.00%, 6/15/34 - 7/15/34 | United States | 116,621 | 128,487 | ||
GNMA I SF 30 Year, 5.50%, 2/15/33 - 6/15/36 | United States | 311,002 | 341,361 | ||
GNMA I SF 30 Year, 6.00%, 8/15/36 | United States | 20,812 | 23,828 | ||
GNMA I SF 30 Year, 6.50%, 2/15/29 - 3/15/32 | United States | 37,377 | 41,260 | ||
GNMA I SF 30 Year, 7.00%, 11/15/27 - 5/15/28 | United States | 8,966 | 9,199 | ||
GNMA I SF 30 Year, 7.50%, 9/15/23 - 5/15/27 | United States | 604 | 623 | ||
GNMA I SF 30 Year, 8.00%, 2/15/25 - 9/15/27 | United States | 2,924 | 3,026 | ||
GNMA I SF 30 Year, 8.50%, 8/15/24 | United States | 42 | 43 | ||
GNMA I SF 30 Year, 9.00%, 1/15/25 | United States | 172 | 173 | ||
GNMA I SF 30 Year, 9.50%, 6/15/25 | United States | 354 | 355 | ||
GNMA II SF 30 Year, 3.50%, 11/20/49 | United States | 60,907,602 | 63,131,889 | ||
GNMA II SF 30 Year, 3.50%, 12/20/49 | United States | 62,692,722 | 65,022,604 |
| 40
Franklin Strategic Series
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
Franklin Strategic Income Fund (continued)
Country/Organization | Principal Amount* | Value | |||
Mortgage-Backed Securities (continued) | |||||
Government National Mortgage Association (GNMA) Fixed Rate (continued) | |||||
w | GNMA II SF 30 Year, 3.50%, 1/01/50 | United States | 42,500,000 | $43,844,727 | |
GNMA II SF 30 Year, 5.00%, 9/20/33 - 11/20/33 | United States | 177,065 | 197,040 | ||
GNMA II SF 30 Year, 5.50%, 6/20/34 | United States | 91,278 | 102,925 | ||
GNMA II SF 30 Year, 6.00%, 11/20/34 | United States | 89,494 | 103,467 | ||
GNMA II SF 30 Year, 6.50%, 7/20/28 - 12/20/31 | United States | 50,597 | 58,061 | ||
GNMA II SF 30 Year, 7.50%, 4/20/32 | United States | 15,484 | 17,543 | ||
173,026,611 | |||||
Total Mortgage-Backed Securities (Cost $367,806,019) | 372,030,337 | ||||
Municipal Bonds 4.5% | |||||
Birmingham Water Works Board Water Revenue, Senior, Refunding, 3.573%, 1/01/45 | United States | 11,790,000 | 12,288,599 | ||
Board of Regents of the Texas A & M University System Revenue, Permanent University Fund, Refunding, 3.10%, 7/01/49 | United States | 7,860,000 | 8,030,012 | ||
Broward County Airport System Revenue, Refunding, Series C, 3.477%, 10/01/43 | United States | 3,160,000 | 3,300,399 | ||
California Health Facilities Financing Authority Revenue, | |||||
Senior, No Place Like Home Program, 2.934%, 6/01/32 | United States | 3,010,000 | 3,157,520 | ||
Senior, No Place Like Home Program, 2.984%, 6/01/33 | United States | 2,600,000 | 2,722,044 | ||
Senior, No Place Like Home Program, 3.034%, 6/01/34 | United States | 1,965,000 | 2,043,168 | ||
City of Austin Electric Utility System Revenue, Travis and Williamson Counties, Refunding, 6.262%, 11/15/32 | United States | 5,955,000 | 7,530,931 | ||
Foothill/Eastern Transportation Corridor Agency Toll Road Revenue, Refunding, Series A, 4.094%, 1/15/49 | United States | 1,540,000 | 1,607,806 | ||
Gilroy USD, GO, Santa Clara County, Refunding, 3.364%, 8/01/47 | United States | 6,485,000 | 6,565,674 | ||
Greenville City School District GO, County of Darke, School Improvement, Refunding, 3.541%, 1/01/51 | United States | 7,335,000 | 7,508,473 | ||
Honolulu City and County Wastewater System Revenue, Second Bond Resolution, Refunding, Junior Series B, 2.585%, 7/01/28 | United States | 1,180,000 | 1,230,610 | ||
Kaiser Foundation Hospitals, 3.266%, 11/01/49 | United States | 9,825,000 | 10,500,389 | ||
Massachusetts State College Building Authority Revenue, Refunding, Series C, 3.373%, 5/01/43 | United States | 5,140,000 | 5,258,528 | ||
Massachusetts State School Building Authority Dedicated Sales Tax Revenue, Subordinated, Refunding, Series B, 3.395%, 10/15/40 | United States | 5,895,000 | 6,145,773 | ||
Metro Wastewater Reclamation District Sewer Revenue, Refunding, Series B, 3.158%, 4/01/41 | United States | 4,880,000 | 5,028,059 | ||
Metropolitan St. Louis Sewer District Wastewater System Revenue, Refunding, Series C, 3.259%, 5/01/45 | United States | 14,150,000 | 14,668,032 | ||
New Jersey State Transportation Trust Fund Authority Revenue, Transportation System, Series B, 4.131%, 6/15/42 | United States | 3,535,000 | 3,797,898 | ||
New York State Dormitory Authority Revenues, Non State Supported Debt, State University of New York Dormitory Facilities, Series B, 3.142%, 7/01/43 | United States | 3,145,000 | 3,311,559 |
| 41
Franklin Strategic Series
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
Franklin Strategic Income Fund (continued)
Country/Organization | Principal Amount* | Value | |||
Municipal Bonds (continued) | |||||
New York State GO, Refunding, Series B, 3.20%, 2/15/39 | United States | 11,740,000 | $12,326,413 | ||
New York State Urban Development Corp. Sales Tax Revenue, Bidding Group 2, Series B, 2.97%, 3/15/34 | United States | 19,210,000 | 20,082,903 | ||
Ohio State Hospital Facility Revenue, Cleveland Clinic Health System Obligated Group, Refunding, Series G, 3.276%, 1/01/42 | United States | 1,975,000 | 2,091,209 | ||
Oregon State Department of Transportation Highway User Tax Revenue, senior lien, Refunding, Series B, 3.168%, 11/15/38 | United States | 3,930,000 | 4,083,584 | ||
Orlando Health Obligated Group, 3.777%, 10/01/28 | United States | 3,870,000 | 4,229,043 | ||
Pennsylvania State Turnpike Commission Turnpike Revenue, Motor License Fund-Enhanced, Subordinate, Refunding, First Series, 3.579%, 12/01/43 | United States | 9,825,000 | 10,128,887 | ||
Regional Transportation District Sales Tax Revenue, FasTracks Project, Refunding, Series A, 3.258%, 11/01/38 | United States | 3,145,000 | 3,286,368 | ||
RWJ Barnabas Health Inc., 3.477%, 7/01/49 | United States | 2,650,000 | 2,803,666 | ||
Salt Lake City Sales and Excise Tax Revenue, Refunding, Series B, 3.102%, 4/01/38 | United States | 2,750,000 | 2,800,050 | ||
San Bernardino Community College District GO, San Bernadino and Riverside Counties, Election of 2018, Series A-1, 3.271%, 8/01/39 | United States | 2,160,000 | 2,213,827 | ||
San Diego County Regional Transportation Commission Sales Tax Revenue, Limited Tax, Refunding, Series A, 3.248%, 4/01/48 | United States | 2,360,000 | 2,450,081 | ||
San Francisco City and County Public Utilities Commission Water Revenue, Green Bonds, Refunding, Sub-Series A, 3.473%, 11/01/43 | United States | 2,310,000 | 2,412,171 | ||
San Jose RDA Successor Agency Tax Allocation, Senior, Refunding, Series A-T, 3.25%, 8/01/29 | United States | 5,675,000 | 6,152,608 | ||
Texas State GO, Transportation Commission, Highway Improvement, Refunding, 3.211%, 4/01/44 | United States | 5,895,000 | 6,153,496 | ||
Texas State University System Financing Revenue, | |||||
Refunding, Series B, 2.938%, 3/15/33 | United States | 2,315,000 | 2,400,308 | ||
Refunding, Serise B, 3.289%, 3/15/40 | United States | 1,965,000 | 2,012,533 | ||
University of Pittsburgh of the Commonwealth System of Higher Education Revenue, Refunding, Series C, 3.005%, 9/15/41 | United States | 5,500,000 | 5,697,120 | ||
Utah Transit Authority Sales Tax Revenue, Refunding, Series B, 3.443%, 12/15/42 | United States | 3,930,000 | 4,120,723 | ||
Total Municipal Bonds (Cost $191,692,055) | 200,140,464 | ||||
Shares/Units | |||||
Escrows and Litigation Trusts 0.0%† | |||||
a,c | Clear Channel Communications Inc., Escrow Account | United States | 8,000,000 | — | |
a,c | iHeartCommunications Inc., Escrow Account | United States | 3,100,000 | — | |
a,c | Millennium Corporate Claim Trust, Escrow Account | United States | 8,736,451 | — | |
a,c | Millennium Lender Claim Trust, Escrow Account | United States | 8,736,450 | — | |
a,aa,c,e | Remington Outdoor Co. Inc., Litigation Units | United States | 124,500 | — | |
a,c | T-Mobile USA Inc., Escrow Account | United States | 29,900,000 | — |
| 42
Franklin Strategic Series
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
Franklin Strategic Income Fund (continued)
Country/Organization | Shares/Units | Value | ||||
Escrows and Litigation Trusts (continued) | ||||||
a | Vistra Energy Corp., Escrow Account | United States | 30,000,000 | $60,000 | ||
Total Escrows and Litigation Trusts (Cost $869,132) | 60,000 | |||||
Number of Contracts | Notional Amount* | |||||
Options Purchased (Cost $1,430,322) 0.1% | ||||||
Puts - Over-the-Counter | ||||||
Currency Options 0.1% | ||||||
USD/JPY, Counterparty CITI, July Strike Price 109.00 JPY, Expires 7/14/20 | 1 | 89,200,000 | 2,020,023 | |||
Total Investments before Short Term Investments (Cost $4,504,609,608) | 4,442,518,115 | |||||
Country/Organization | Shares | |||||
Short Term Investments 4.0% | ||||||
Money Market Funds (Cost $58,820,753) 1.3% | ||||||
f,x | Institutional Fiduciary Trust Money Market Portfolio, 1.21% | United States | 58,820,753 | 58,820,753 | ||
Principal Amount* | ||||||
Repurchase Agreements (Cost $123,817,564) 2.7% | ||||||
y | Joint Repurchase Agreement, 1.568%, 2/03/20 (Maturity Value $123,833,748) BNP Paribas Securities Corp. (Maturity Value $57,396,942) Deutsche Bank Securities Inc. (Maturity Value $18,606,021) HSBC Securities (USA) Inc. (Maturity Value $47,830,785) Collateralized by U.S. Government Agency Securities, 2.625% - 5.00%, 9/06/24 - 12/20/49; U.S. Government Agency Strips, 5/15/21 - 11/15/39; zU.S. Treasury Bills, 2/06/20 - 1/28/21; U.S. Treasury Bonds, 2.875% - 4.375%, 11/15/39 - 8/15/45; U.S. Treasury Bonds, Index Linked, 2.00%, 1/15/26; and U.S. Treasury Notes, 1.375% - 2.625%, 3/31/21 - 12/31/25 (valued at $126,302,240) | United States | 123,817,564 | 123,817,564 | ||
Total Investments (Cost $4,687,247,925) 102.6% | 4,625,156,432 | |||||
Other Assets, less Liabilities (2.6)% | (117,444,147) | |||||
Net Assets 100.0% | $4,507,712,285 |
| 43
Franklin Strategic Series
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
Franklin Strategic Income Fund (continued)
†Rounds to less than 0.1% of net assets. |
*The principal/notional amount is stated in U.S. dollars unless otherwise indicated. |
aNon-income producing. |
aaSee Note 7 regarding holdings of 5% voting securities. |
bThe security is owned by FT Holdings Corporation ll, a wholly-owned subsidiary of the Fund. See Note 9. |
cFair valued using significant unobservable inputs. See Note 11 regarding fair value measurements. |
dSecurity was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from registration only to qualified institutional buyers or in a public offering registered under the Securities Act of 1933. At January 31, 2020, the aggregate value of these securities was $1,705,597,761, representing 37.8% of net assets. |
eSee Note 6 regarding restricted securities. |
fSee Note 8 regarding investments in affiliated management investment companies. |
gSecurity was purchased pursuant to Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. Such a security cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. At January 31, 2020, the aggregate value of these securities was $78,196,754, representing 1.7% of net assets. |
hIncome may be received in additional securities and/or cash. |
iThe coupon rate shown represents the rate at period end. |
jPrincipal amount is stated in 1,000 Brazilian Real Units. |
kSecurity purchased on a when-issued basis. |
lDefaulted security or security for which income has been deemed uncollectible. |
mPerpetual security with no stated maturity date. |
nA portion or all of the security purchased on a delayed delivery basis. |
oA portion or all of the security represents an unsettled loan commitment. The coupon rate is to-be determined (TBD) at the time of settlement and will be based upon a reference index/floor plus a spread. |
pA supranational organization is an entity formed by two or more central governments through international treaties. |
qRedemption price at maturity and coupon payment are adjusted for inflation. |
rThe principal represents the notional amount. See Note 3 regarding value recovery instruments. |
sPrincipal amount of security is adjusted for inflation. |
tAdjustable rate security with an interest rate that is not based on a published reference index and spread. The rate is based on the structure of the agreement and current market conditions. The coupon rate shown represents the rate at period end. |
uThe coupon rate shown represents the rate inclusive of any caps or floors, if applicable, in effect at period end. |
vAdjustable 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 in which the majority of mortgages pay interest based on the index shown at their designated reset dates plus a spread, less the applicable servicing and guaranty fee (MBS margin). |
wSecurity purchased on a to-be-announced (TBA) basis. |
xThe rate shown is the annualized seven-day effective yield at period end. |
yInvestment is through participation in a joint account with other funds managed by the investment manager or an affiliate of the investment manager. At January 31, 2020, all repurchase agreements had been entered into on that date. |
zThe security was issued on a discount basis with no stated coupon rate. |
| 44
Franklin Strategic Series
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
Franklin Strategic Income Fund (continued)
At January 31, 2020, the Fund had the following futures contracts outstanding. See Note 3.
Futures Contracts
Description | Type | Number of Contracts | Notional Amount* | Expiration Date | Value/Unrealized Appreciation (Depreciation) |
Interest Rate Contracts | |||||
Australian 3 Yr. Bond | Long | 1,173 | $91,063,399 | 3/16/20 | $379,898 |
Australian 10 Yr. Bond | Long | 372 | 36,823,582 | 3/16/20 | 721,485 |
Canada 10 Yr. Bond | Long | 114 | 12,245,848 | 3/20/20 | 184,169 |
Euro-BTP | Long | 953 | 156,470,665 | 3/06/20 | 5,600,744 |
Euro-Bund | Long | 138 | 26,792,095 | 3/06/20 | 438,783 |
Euro-OAT | Short | 365 | 67,697,304 | 3/06/20 | (1,318,362) |
U.S. Treasury 2 Yr. Note | Long | 3,725 | 805,938,672 | 3/31/20 | 3,330,821 |
Ultra 10 Yr. U.S. Treasury Note | Short | 1,830 | 266,550,937 | 3/20/20 | (7,663,674) |
Total Futures Contracts | $1,673,864 |
*As of period end. |
At January 31, 2020, the Fund had the following forward exchange contracts outstanding. See Note 3.
Forward Exchange Contracts
Currency | Counterpartya | Type | Quantity | Contract Amount | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |
OTC Forward Exchange Contracts | ||||||||
Australian Dollar | JPHQ | Sell | 10,000,000 | $6,850,450 | 2/11/20 | $155,667 | $ — | |
Chinese Yuan Renminbi | JPHQ | Sell | 636,100,000 | 89,112,406 | 2/24/20 | — | (1,699,346) | |
Brazilian Real | JPHQ | Sell | 46,700,000 | 11,423,679 | 3/02/20 | 534,683 | — | |
Brazilian Real | JPHQ | Sell | 72,795,000 | 17,318,383 | 3/04/20 | 346,686 | — | |
South Korean Won | JPHQ | Sell | 17,000,000,000 | 14,311,812 | 3/04/20 | 92,112 | — | |
Indonesian Rupiah | JPHQ | Sell | 190,000,000,000 | 13,310,915 | 3/05/20 | — | (404,470) | |
Japanese Yen | JPHQ | Buy | 4,450,000,000 | 41,768,204 | 3/13/20 | — | (613,992) | |
Canadian Dollar | JPHQ | Sell | 40,400,000 | 30,579,761 | 3/16/20 | 55,699 | — | |
Euro | JPHQ | Sell | 29,500,000 | 32,753,702 | 3/16/20 | — | (57,610) | |
Euro | JPHQ | Sell | 106,706,321 | 119,274,053 | 3/16/20 | 590,173 | — | |
Norwegian Krone | JPHQ | Buy | 417,400,000 | 46,610,832 | 3/16/20 | — | (1,227,042) | |
Swedish Krona | JPHQ | Buy | 294,000,000 | 29,995,562 | 3/16/20 | 609,840 | — | |
Swedish Krona | JPHQ | Sell | 294,000,000 | 30,910,276 | 3/16/20 | 304,874 | — | |
New Zealand Dollar | JPHQ | Sell | 30,600,000 | 20,205,602 | 3/19/20 | 413,541 | — | |
Australian Dollar | JPHQ | Sell | 45,200,000 | 31,104,832 | 4/15/20 | 806,348 | — | |
Turkish Lira | JPHQ | Buy | 62,000,000 | 9,831,127 | 4/15/20 | 356,825 | — | |
Canadian Dollar | JPHQ | Sell | 8,500,000 | 6,519,255 | 4/16/20 | 97,040 | — | |
Australian Dollar | DBAB | Sell | 3,000,000 | 2,056,200 | 4/27/20 | 44,793 | — | |
Australian Dollar | JPHQ | Sell | 25,000,000 | 17,137,750 | 4/27/20 | 376,028 | — | |
Japanese Yen | JPHQ | Buy | 15,730,000,000 | 144,505,484 | 4/28/20 | 1,349,751 | — | |
Canadian Dollar | JPHQ | Sell | 23,800,000 | 18,105,468 | 4/29/20 | 123,198 | — | |
Mexican Peso | JPHQ | Buy | 297,700,000 | 15,611,971 | 4/29/20 | — | (52,340) | |
Euro | JPHQ | Sell | 36,246,949 | 40,398,856 | 7/23/20 | — | (225,286) |
| 45
Franklin Strategic Series
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
Franklin Strategic Income Fund (continued)
Forward Exchange Contracts (continued)
Currency | Counterpartya | Type | Quantity | Contract Amount | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |
OTC Forward Exchange Contracts (continued) | ||||||||
Norwegian Krone | JPHQ | Buy | 257,400,000 | $28,461,094 | 7/23/20 | $ — | $(472,152) | |
Total Forward Exchange Contracts | $6,257,258 | $(4,752,238) | ||||||
Net unrealized appreciation (depreciation) | $1,505,020 |
aMay be comprised of multiple contracts with the same counterparty, currency and settlement date. |
At January 31, 2020, the Fund had the following credit default swap contracts outstanding. See Note 3.
Credit Default Swap Contracts
Description | Periodic Payment Rate Received (Paid) | Payment Frequency | Counter-partya | Maturity Date | Notional Amountb | Value | Unamortized Upfront Payments (Receipts) | Unrealized Appreciation (Depreciation) | Ratingc | |
Centrally Cleared Swap Contracts | ||||||||||
Contracts to Sell Protectiond,e | ||||||||||
Traded Index | ||||||||||
CDX.EM.31 | 1.00% | Quarterly | 6/20/24 | $48,700,000 | $(1,545,826) | $(1,122,980) | $(422,846) | Investment | ||
Grade | ||||||||||
OTC Swap Contracts | ||||||||||
Contracts to Buy Protectiond | ||||||||||
Single Name | ||||||||||
Ally Financial Inc. | (5.00)% | Quarterly | JPHQ | 12/20/24 | $19,800,000 | $(4,135,438) | $(3,617,253) | $(518,185) | ||
Government of Italy | (1.00)% | Quarterly | BZWS | 6/20/23 | 14,200,000 | (241,601) | 104,705 | (346,306) | ||
Contracts to Sell Protectiond,e | ||||||||||
Single Name | ||||||||||
Government of Argentina | 5.00% | Quarterly | CITI | 12/20/21 | 48,600,000 | (28,719,433) | (24,088,194) | (4,631,239) | CCC- | |
Government of Indonesia | 1.00% | Quarterly | CITI | 12/20/24 | 24,700,000 | 409,521 | 157,997 | 251,524 | NR | |
Government of Italy | 1.00% | Quarterly | BZWS | 6/20/23 | 14,200,000 | 103,441 | (459,144) | 562,585 | NR | |
Government of Russia | 1.00% | Quarterly | CITI | 12/20/24 | 13,500,000 | 241,247 | 130,815 | 110,432 | BBB- | |
Traded Index | ||||||||||
fBNP Paribas Bespoke Bordeaux Index, Mezzanine Tranche 7-10% | 2.10% | Quarterly | BNDP | 6/20/20 | 6,850,000 | 68,325 | — | 68,325 | Non- | |
Investment Grade | ||||||||||
fBNP Paribas Bespoke Rodez2 Index, Mezzanine Tranche 5-7% | 3.20% | Quarterly | BNDP | 12/20/20 | 3,300,000 | 78,648 | — | 78,648 | Non- | |
Investment Grade | ||||||||||
fCitibank Bespoke Bogota Index, Mezzanine Tranche 7-10% | 1.35% | Quarterly | CITI | 6/20/20 | 7,000,000 | 27,742 | — | 27,742 | Non- | |
Investment Grade |
| 46
Franklin Strategic Series
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
Franklin Strategic Income Fund (continued)
Credit Default Swap Contracts (continued)
Description | Periodic Payment Rate Received (Paid) | Payment Frequency | Counter-partya | Maturity Date | Notional Amountb | Value | Unamortized Upfront Payments (Receipts) | Unrealized Appreciation (Depreciation) | Ratingc | |
OTC Swap Contracts (continued) | ||||||||||
Contracts to Sell Protectiond,e (continued) | ||||||||||
Traded Index (continued) | ||||||||||
fCitibank Bespoke Palma Index, Mezzanine Tranche 5-7% | 2.30% | Quarterly | CITI | 6/20/21 | $6,700,000 | $156,919 | $ — | $156,919 | Non- | |
Investment Grade | ||||||||||
fCitibank Bespoke Phoenix Index, Mezzanine Tranche 5-7% | 2.90% | Quarterly | CITI | 12/20/21 | 8,500,000 | 253,097 | — | 253,097 | Non- | |
Investment Grade | ||||||||||
fCitibank Bespoke Singapore Index, Equity Tranche 0-3% | 0.00% | Quarterly | CITI | 6/20/20 | 7,000,000 | (409,595) | (377,314) | (32,281) | Non- | |
Investment Grade | ||||||||||
fCitibank Bespoke Sydney Index, Equity Tranche 0-3% | 0.00% | Quarterly | CITI | 6/20/20 | 4,394,022 | (311,923) | (270,391) | (41,532) | Non- | |
Investment Grade | ||||||||||
MCDX.NA.31 | 1.00% | Quarterly | CITI | 12/20/23 | 23,060,000 | 433,716 | 181,498 | 252,218 | Investment | |
Grade | ||||||||||
fMorgan Stanley Bespoke Pecan Index, Mezzanine Tranche 5-10% | 3.98% | Quarterly | MSCO | 12/20/21 | 9,000,000 | 284,346 | — | 284,346 | Non- | |
Investment Grade | ||||||||||
fMorgan Stanley Bespoke Pecan Index, Mezzanine Tranche 5-10% | 4.10% | Quarterly | MSCO | 12/20/21 | 9,000,000 | 344,371 | — | 344,371 | Non- | |
Investment Grade | ||||||||||
Total OTC Swap Contracts | $(31,416,617) | $(28,237,281) | $(3,179,336) | |||||||
Total Credit Default Swap Contracts | $(32,962,443) | $(29,360,261) | $(3,602,182) |
aPosting of collateral is required by either the Fund or the applicable counterparty if the total net exposure of all OTC derivatives with the applicable counterparty exceeds the minimum transfer amount, which typically ranges from $100,000 to $250,000, and can vary depending on the counterparty and the type of the agreement. The table below summarizes the cash and/or securities held as collateral for each applicable counterparty at period end. |
| 47
Franklin Strategic Series
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
Franklin Strategic Income Fund (continued)
Counterparty | Collateral Pledged (Received) |
BNDP | $(315,025) |
BZWS | 280,000 |
CITI | 25,060,000 |
DBAB | (74,096) |
GSCO | (2,600,000) |
JPHQ | 2,900,000 |
MSCS | (660,000) |
Total collateral | $24,590,879 |
bFor contracts to sell protection, the notional amount is equal to the maximum potential amount of the future payments and no recourse provisions have been entered into in association with the contracts. |
cBased on Standard and Poor’s (S&P) Rating for single name swaps. Internal ratings based on mapping into equivalent ratings from external vendors. |
dPerformance triggers for settlement of contract include default, bankruptcy or restructuring for single name swaps and failure to pay or bankruptcy of the underlying securities for traded index swaps. |
eThe Fund enters contracts to sell protection to create a long credit position. |
fRepresents a custom index comprised of a basket of underlying issuers. |
At January 31, 2020, the Fund had the following cross-currency swap contracts outstanding. See Note 3.
Cross-Currency Swap Contracts
Description | Payment Frequency | Counterparty | Maturity Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) | |
OTC Swap Contracts | ||||||
Receive Floating 3-month USD LIBOR + 2.87% | Quarterly | 3,834,600 | USD | |||
Pay Fixed 2.50% | Annual | CITI | 5/04/21 | 3,300,000 | EUR | $153,656 |
Receive Floating 3-month USD LIBOR + 1.334% | Quarterly | 10,976,000 | USD | |||
Pay Floating 3-month EUR LIBOR + 1.12% | Quarterly | CITI | 7/10/21 | 9,800,000 | EUR | 130,677 |
Total Cross Currency Swap Contracts | $284,333 |
At January 31, 2020, the Fund had the following interest rate swap contracts outstanding. See Note 3.
Interest Rate Swap Contracts
Description | Payment Frequency | Maturity Date | Notional Amount* | Value/Unrealized Appreciation (Depreciation) | ||
Centrally Cleared Swap Contracts | ||||||
Receive Fixed 2.773% | Quarterly | |||||
Pay Floating 3-month CNY CNRR | Quarterly | 8/23/24 | 196,750,000 | CNY | $185,293 | |
Receive Fixed 2.765% | Quarterly | |||||
Pay Floating 3-month CNY CNRR | Quarterly | 8/26/24 | 158,000,000 | CNY | 162,531 | |
Receive Fixed 2.79% | Quarterly | |||||
Pay Floating 3-month CNY CNRR | Quarterly | 8/30/24 | 236,250,000 | CNY | 281,147 | |
Receive Fixed 1.956% | Semi-Annual | |||||
Pay Floating 3-month CAD CABA | Semi-Annual | 7/17/29 | 55,000,000 | CAD | 961,707 | |
Receive Fixed 1.232% | Semi-Annual | |||||
Pay Floating 3-month AUD BBSW | Semi-Annual | 9/06/29 | 55,000,000 | AUD | 622,969 | |
Total Interest Rate Swap Contracts | $2,213,647 | |||||
*In U.S. dollars unless otherwise indicated. |
| 48
Franklin Strategic Series
CONSOLIDATED STATEMENT OF INVESTMENTS (unaudited)
Franklin Strategic Income Fund (continued)
At January 31, 2020, the Fund had the following inflation index swap contracts outstanding. See Note 3.
Inflation Index Swap Contracts
Description | Payment Frequency | Maturity Date | Notional Amount | Value/Unrealized Appreciaton (Depreciation) | ||
Centrally Cleared Swap Contracts | ||||||
Receive variable change in USA-CPI-U | At maturity | |||||
Pay Fixed 1.913% | At maturity | 1/14/29 | $44,600,000 | $(467,996) | ||
Receive variable change in USA-CPI-U | At maturity | |||||
Pay Fixed 1.943% | At maturity | 1/15/29 | 154,400,000 | (2,025,289) | ||
Total Inflation Index Swap Contracts | $(2,493,285) |
At January 31, 2020, the Fund had the following total return swap contracts outstanding. See Note 3.
Total Return Swap Contracts
Underlying Instruments | Financing Rate | Payment Frequency | Counterparty | Maturity Date | Notional Value | Value/Unrealized Appreciation (Depreciation) | |
OTC Swap Contracts | |||||||
Longa | |||||||
Markit iBoxx USD Liquid Leveraged Loan Index | 3-month USD LIBOR | Quarterly | GSCO | 3/20/20 | $61,400,000 | $2,653,718 | |
Markit iBoxx USD Liquid Leveraged Loan Index | 3-month USD LIBOR | Quarterly | GSCO | 9/20/20 | 23,600,000 | (79,319) | |
Total Total Return Swap Contracts | $2,574,399 |
aThe Fund receives the total return on the underlying instrument and pays a variable financing rate. |
See Abbreviations on page 65.
| 49
Franklin Strategic Series
Notes to Statements of Investments (unaudited)
1. ORGANIZATION
Franklin Strategic Series (Trust) is registered under the Investment Company Act of 1940 (1940 Act) as an open-end management investment company, consisting of eleven separate funds, seven of which are included in this report (Funds) and applies the specialized accounting and reporting guidance in U.S. Generally Accepted Accounting Principles (U.S. GAAP).
2. FINANCIAL INSTRUMENT VALUATION
The Funds’ investments in financial instruments are carried at fair value daily. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Funds calculate the net asset value (NAV) per share each business day as of 4 p.m. Eastern time or the regularly scheduled close of the New York Stock Exchange (NYSE), whichever is earlier. Under compliance policies and procedures approved by the Trust’s Board of Trustees (the Board), the Funds’ administrator has responsibility for oversight of valuation, including leading the cross-functional Valuation Committee (VC). The Funds may utilize independent pricing services, quotations from securities and financial instrument dealers, and other market sources to determine fair value.
Equity securities, exchange traded funds and derivative financial instruments listed on an exchange or on the NASDAQ National Market System are valued at the last quoted sale price or the official closing price of the day, respectively. Foreign equity securities are valued as of the close of trading on the foreign stock exchange on which the security is primarily traded or as of 4 p.m. Eastern time. The value is then converted into its U.S. dollar equivalent at the foreign exchange rate in effect at 4 p.m. Eastern time on the day that the value of the security is determined. Over-the-counter (OTC) securities are valued within the range of the most recent quoted bid and ask prices. Securities that trade in multiple markets or on multiple exchanges are valued according to the broadest and most representative market. Certain equity securities are valued based upon fundamental characteristics or relationships to similar securities.
Debt securities generally trade in the OTC market rather than on a securities exchange. The Funds’ pricing services use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the pricing services may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the pricing services also utilize proprietary valuation models which may consider market characteristics such as benchmark yield curves, credit spreads, estimated default rates, anticipated market interest rate volatility, coupon rates, anticipated timing of principal repayments, underlying collateral, and other unique security features in order to estimate the relevant cash flows, which are then discounted to calculate the fair value. Securities denominated in a foreign currency are converted into their U.S. dollar equivalent at the foreign exchange rate in effect at 4 p.m. Eastern time on the date that the values of the foreign debt securities are determined.
Investments in open-end mutual funds are valued at the closing NAV. Investments in repurchase agreements are valued at cost, which approximates fair value.
Certain derivative financial instruments are centrally cleared or trade in the OTC market. The Funds’ pricing services use various techniques including industry standard option pricing models and proprietary discounted cash flow models to determine the fair value of those instruments. The Funds’ net benefit or obligation under the derivative contract, as measured by the fair value of the contract, is included in net assets.
The Funds have procedures to determine the fair value of financial instruments for which market prices are not reliable or readily available. Under these procedures, the Funds primarily employ a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. An income-based valuation approach may also be used in which the
| 50
Franklin Strategic Series
Notes to Statements of Investments (unaudited)
anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed.
Trading in securities on foreign securities stock exchanges and OTC markets may be completed before 4 p.m. Eastern time. In addition, trading in certain foreign markets may not take place on every Funds’ business day. Occasionally, events occur between the time at which trading in a foreign security is completed and 4 p.m. Eastern time that might call into question the reliability of the value of a portfolio security held by the Fund. As a result, differences may arise between the value of the Funds’ portfolio securities as determined at the foreign market close and the latest indications of value at 4 p.m. Eastern time. In order to minimize the potential for these differences, the VC monitors price movements following the close of trading in foreign stock markets through a series of country specific market proxies (such as baskets of American Depositary Receipts, futures contracts and exchange traded funds). These price movements are measured against established trigger thresholds for each specific market proxy to assist in determining if an event has occurred that may call into question the reliability of the values of the foreign securities held by the Funds. If such an event occurs, the securities may be valued using fair value procedures, which may include the use of independent pricing services. At January 31, 2020, a market event occurred resulting in a portion of the securities held by certain or all Funds being valued using fair value procedures.
When the last day of the reporting period is a non-business day, certain foreign markets may be open on those days that the Funds’ NAV is not calculated, which could result in differences between the value of the Funds’ portfolio securities on the last business day and the last calendar day of the reporting period. Any significant security valuation changes due to an open foreign market are adjusted and reflected by the Funds for financial reporting purposes.
3. DERIVATIVE FINANCIAL INSTRUMENTS
Certain or all Funds invested in derivative financial instruments in order to manage risk or gain exposure to various other investments or markets. Derivatives are financial contracts based on an underlying or notional amount, require no initial investment or an initial net investment that is smaller than would normally be required to have a similar response to changes in market factors, and require or permit net settlement. Derivatives contain various risks including the potential inability of the counterparty to fulfill their obligations under the terms of the contract, the potential for an illiquid secondary market, and/or the potential for market movements.
Derivative counterparty credit risk is managed through a formal evaluation of the creditworthiness of all potential counterparties. Certain or all Funds attempt to reduce their exposure to counterparty credit risk on OTC derivatives, whenever possible, by entering into International Swaps and Derivatives Association (ISDA) master agreements with certain counterparties. These agreements contain various provisions, including but not limited to collateral requirements, events of default, or early termination. Termination events applicable to the counterparty include certain deteriorations in the credit quality of the counterparty. Termination events applicable to the Funds include failure of the Funds to maintain certain net asset levels and/or limit the decline in net assets over various periods of time. In the event of default or early termination, the ISDA master agreement gives the non-defaulting party the right to net and close-out all transactions traded, whether or not arising under the ISDA agreement, to one net amount payable by one counterparty to the other. Early termination by the counterparty may result in an immediate payment by the Funds of any net liability owed to that counterparty under the ISDA agreement.
Collateral requirements differ by type of derivative. Collateral or initial margin requirements are set by the broker or exchange clearing house for exchange traded and centrally cleared derivatives. Initial margin deposited is held at the exchange and can be in the form of cash and/or securities. For OTC derivatives traded under an ISDA master agreement, posting of collateral is required by either the Fund or the applicable counterparty if the total net exposure of all OTC derivatives with the applicable counterparty exceeds the minimum transfer amount, which typically ranges from $100,000 to $250,000, and can vary depending on the counterparty and the type of the agreement. Generally, collateral is determined at the close of Fund business each day and any additional collateral required due to changes in derivative values may be delivered by the Fund or the counterparty the next business day, or within a few business days. Collateral pledged and/or received by the Fund for OTC
| 51
Franklin Strategic Series
Notes to Statements of Investments (unaudited)
Notes to Statements of Investments (unaudited)
3. DERIVATIVE FINANCIAL INSTRUMENTS (continued)
derivatives, if any, is held in segregated accounts with the Fund’s custodian/counterparty broker and can be in the form of cash and/or securities. Unrestricted cash may be invested according to the Funds’ investment objectives. To the extent that the amounts due to the Fund from its counterparties are not subject to collateralization or are not fully collateralized, the Fund bears the risk of loss from counterparty non-performance.
At January 31, 2020, Franklin Strategic Income Fund received $389,121 in U.S. Treasury Bills, Bonds and Notes as collateral for derivatives.
Certain or all Funds entered into exchange traded futures contracts primarily 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 a variation margin payable or receivable.
Certain or all Funds entered into OTC forward exchange contracts primarily to manage and/or gain exposure to certain foreign currencies. A forward exchange contract is an agreement between the Fund and a counterparty to buy or sell a foreign currency for a specific exchange rate on a future date.
Certain or all Funds entered into credit default swap contracts primarily to manage and/or gain exposure to credit risk. A credit default swap is an agreement between the Fund and a counterparty whereby the buyer of the contract receives credit protection and the seller of the contract guarantees the credit worthiness of a referenced debt obligation. These agreements may be privately negotiated in the over-the-counter market (OTC credit default swaps) or may be executed in a multilateral trade facility platform, such as a registered exchange (centrally cleared credit default swaps). The underlying referenced debt obligation may be a single issuer of corporate or sovereign debt, a credit index, a basket of issuers or indices, or a tranche of a credit index or basket of issuers or indices. In the event of a default of the underlying referenced debt obligation, the buyer is entitled to receive the notional amount of the credit default swap contract from the seller in exchange for the referenced debt obligation, a net settlement amount equal to the notional amount of the credit default swap less the recovery value of the referenced debt obligation, or other agreed upon amount. For centrally cleared credit default swaps, required initial margins are pledged by the Fund, and the daily change in fair value is accounted for as a variation margin payable or receivable. Over the term of the contract, the buyer pays the seller a periodic stream of payments, provided that no event of default has occurred. Such periodic payments are accrued daily as an unrealized appreciation or depreciation until the payments are made, at which time they are realized. Upfront payments and receipts represent compensating factors between stated terms of the credit default swap agreement and prevailing market conditions (credit spreads and other relevant factors). These upfront payments and receipts are amortized over the term of the contract as a realized gain or loss.
Certain or all Funds entered into OTC cross currency swap contracts primarily to manage and/or gain exposure to certain foreign currencies. A cross currency swap is an agreement between the Fund and a counterparty to exchange cash flows (determined using either a fixed or floating rate) based on the notional amounts of two different currencies. The notional amounts are typically determined based on the spot exchange rates at the opening of the contract. Cross currency swaps may require the exchange of notional amounts at the opening and/or closing of the contract. Over the term of the contract, contractually required payments to be paid and to be received are accrued daily and recorded as unrealized depreciation and appreciation until the payments are made, at which time they are realized. Upfront payments and receipts represent compensating factors between stated terms of the cross currency swap contract and prevailing market conditions (interest rate spreads and other relevant factors). These upfront payments and receipts are amortized over the term of the contract as a realized gain or loss.
Certain or all Funds entered into inflation index swap contracts primarily to manage and/or gain exposure to inflation risk. An inflation index swap is an agreement between the Fund and a counterparty to exchange cash flows whereby one party makes payments based on the percentage change in an index that serves as a measure of inflation and the other party makes a regular payment based on a compounded fixed rate, applied to a notional amount. These agreements may be privately negotiated in the over-the-counter market (OTC inflation index swap) or may be executed on a registered exchange (centrally cleared inflation index swap). For centrally cleared inflation index swaps, required initial margins are pledged by the Fund, and
| 52
Franklin Strategic Series
Notes to Statements of Investments (unaudited)
the daily change in fair value is accounted for as a variation margin payable or receivable. Over the term of the contract, contractually required payments to be paid and to be received are accrued daily and recorded as unrealized depreciation and appreciation until the payments are made, at which time they are realized. Typically, an inflation index swap has payment obligations netted and exchanged upon maturity.
Certain or all Funds entered into interest rate swap contracts primarily to manage interest rate risk. An interest rate swap is an agreement between the Fund and a counterparty to exchange cash flows based on the difference between two interest rates, applied to a notional amount. These agreements may be privately negotiated in the over-the-counter market (OTC interest rate swaps) or may be executed on a registered exchange (centrally cleared interest rate swaps). For centrally cleared interest rate swaps, required initial margins are pledged by the Fund, and the daily change in fair value is accounted for as a variation margin payable or receivable. Over the term of the contract, contractually required payments to be paid and to be received are accrued daily and recorded as unrealized depreciation and appreciation until the payments are made, at which time they are realized.
Certain or all Funds entered into OTC total return swap contracts primarily to manage and/or gain exposure to credit and other market risks of an underlying instrument such as a stock, bond, index or basket of securities or indices. A total return swap is an agreement between the Fund and a counterparty to exchange a return linked to an underlying instrument for a floating or fixed rate payment, both based upon a notional amount. Over the term of the contract, contractually required payments to be paid or received are accrued daily and recorded as unrealized appreciation or depreciation until the payments are made, at which time they are recognized as realized gain or loss.
Certain or all Funds purchased or wrote OTC option contracts primarily to manage and/or gain exposure to foreign exchange rate risk. An option is a contract entitling the holder to purchase or sell a specific amount of shares or units of an asset or notional amount of a swap (swaption), at a specified price. When an option is purchased or written, an amount equal to the premium paid or received is recorded as an asset or liability, respectively. Upon exercise of an option, the acquisition cost or sales proceeds of the underlying investment is adjusted by any premium received or paid. Upon expiration of an option, any premium received or paid is recorded as a realized gain or loss. Upon closing an option other than through expiration or exercise, the difference between the premium received or paid and the cost to close the position is recorded as a realized gain or loss.
Certain or all Funds invest in value recovery instruments (VRI) primarily to gain exposure to economic growth. Periodic payments from VRI are dependent on established benchmarks for underlying variables. VRI has a notional amount, which is used to calculate amounts of payments to holders. Payments are recorded upon receipt as realized gains. The risks of investing in VRI include growth risk, liquidity, and the potential loss of investment.
The following Funds have invested in derivatives during the period.
Franklin Strategic Income Fund – Futures, forwards, options, swaps and VRI
4. MORTGAGE DOLLAR ROLLS
Franklin Strategic Income Fund enters into mortgage dollar rolls, typically on a to-be-announced 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) securities 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.
| 53
Franklin Strategic Series
Notes to Statements of Investments (unaudited)
Notes to Statements of Investments (unaudited)
5. CONCENTRATION OF RISK
Investing in foreign securities may include certain risks and considerations not typically associated with investing in U.S. securities, such as fluctuating currency values and changing local and regional economic, political and social conditions, which may result in greater market volatility. Current political and financial uncertainty surrounding the European Union may increase market volatility and the economic risk of investing in securities in Europe. In addition, certain foreign securities may not be as liquid as U.S. securities.
6. RESTRICTED SECURITIES
At January 31, 2020, investments in restricted securities, excluding securities exempt from registration under the Securities Act of 1933, were as follows:
Principal Amount/ Shares/ Units/ Warrants | Issuer | Acquisition Date | Cost | Value | |
Franklin Biotechnology Discovery Fund | |||||
80,195 | Intarcia Therapeutics Inc., DD | 3/26/14 | $2,597,516 | $610,926 | |
1,330,687 | Metacrine Inc., pfd., C | 6/04/18 | 2,821,056 | 2,821,056 | |
Total Restricted Securities (Value is 0.3% of Net Assets) | $5,418,572 | $3,431,982 | |||
Franklin Growth Opportunities Fund | |||||
2,610,594 | ClearMotion Inc., pfd., C | 11/06/17 | $5,500,000 | $8,855,696 | |
3,698,772 | ClearMotion Inc., pfd., D | 12/21/18 | 10,000,000 | 13,244,903 | |
201,294 | GitLab Inc., pfd., E | 9/11/19 | 3,749,986 | 3,749,987 | |
1,673,284 | LegalZoom.com Inc. | 7/20/18 | 16,479,337 | 20,077,696 | |
509,182 | Optoro Inc., pfd., E | 7/24/18 | 10,020,702 | 14,022,397 | |
2,362,202 | Proterra Inc., pfd., 5, 144A | 9/21/16 - 1/13/17 | 11,896,616 | 20,867,451 | |
596,775 | Proterra Inc., pfd., 6, 144A | 6/07/17 | 3,306,052 | 5,271,849 | |
780,667 | Proterra Inc., pfd., 7 | 5/21/18 - 9/18/18 | 5,094,960 | 6,896,333 | |
289,016 | Proterra Inc., pfd., 8 | 8/02/19 | 1,996,378 | 2,553,138 | |
928,488 | Sweetgreen Inc., pfd., H | 11/09/18 | 12,107,484 | 14,822,377 | |
100,835 | Sweetgreen Inc., pfd., I | 9/16/19 | 1,724,279 | 1,784,123 | |
805,800 | Tanium Inc., pfd., G | 9/14/15 | 4,000,233 | 6,139,941 | |
504,854 | Tempus Labs Inc., pfd., F | 5/29/19 | 12,499,983 | 12,499,983 | |
5,028,735 | Wheels Up Partners LLC, pfd., D | 5/16/19 - 8/02/19 | 17,499,998 | 19,102,384 | |
Total Restricted Securities (Value is 3.5% of Net Assets) | $115,876,008 | $149,888,258 | |||
Franklin Small Cap Growth Fund | |||||
3,698,772 | ClearMotion Inc., pfd., D | 12/21/18 | $10,000,000 | $13,244,903 | |
9,905,685 | DraftKings Inc. | 8/07/15 - 3/02/17 | 26,627,302 | 40,522,741 | |
1,431,280 | LegalZoom.com Inc. | 7/20/18 | 14,095,961 | 17,173,896 | |
508,130 | Optoro Inc., pfd., E | 7/24/18 | 9,999,999 | 13,993,426 | |
1,787,047 | Proterra Inc., pfd., 5, 144A | 9/21/16 - 1/13/17 | 8,999,998 | 15,786,591 | |
1,310,834 | Proterra Inc., pfd., 6, 144A | 6/07/17 - 1/02/18 | 7,261,842 | 11,579,774 | |
536,367 | Proterra Inc., pfd., 7 | 5/21/18 | 3,500,556 | 4,738,211 | |
596,471 | Rent the Runway Inc., pfd. | 3/21/19 | 13,333,328 | 14,293,965 | |
1,542,673 | Smule Inc., pfd., G, 144A | 5/31/16 | 11,099,995 | 10,322,756 | |
352,675 | Smule Inc., pfd., H, 144A | 4/27/17 | 2,999,995 | 2,783,979 | |
383,435 | Sweetgreen Inc., pfd., H | 11/09/18 | 4,999,992 | 6,121,154 | |
41,641 | Sweetgreen Inc., pfd., I | 9/16/19 | 712,061 | 736,775 |
| 54
Franklin Strategic Series
Notes to Statements of Investments (unaudited)
Principal Amount/ Shares/ Units/ Warrants | Issuer | Acquisition Date | Cost | Value | |
Franklin Small Cap Growth Fund | |||||
361,111 | Tula eTechnology Inc. | 11/01/18 | $ — | $ — | |
3,611,111 | Tula Technology Inc., E | 9/08/17 | 6,500,000 | 7,573,637 | |
4,310,344 | Wheels Up Partners LLC, pfd., D | 5/16/19 - 8/02/19 | 14,999,997 | 16,373,471 | |
Total Restricted Securities (Value is 6.3% of Net Assets) | $135,131,026 | $175,245,279 | |||
Franklin Small-Mid Cap Growth Fund | |||||
7,974,537 | DraftKings Inc. | 8/07/15 - 3/02/17 | $21,380,303 | $32,622,691 | |
470,777 | Phononic Devices Inc., wts., 12/01/29 | 1/17/20 | 47 | 903,709 | |
2,970,061 | Phononic Inc., pfd., F | 6/06/19 | 7,499,998 | 5,461,568 | |
481,096 | Phononic Inc., Term Loan A, PIK, 6.50%, 1/17/24 | 1/17/20 | 481,096 | 481,096 | |
1,416,913 | Proterra Inc., pfd., 5, 144A | 9/21/16 | 7,135,914 | 12,516,865 | |
Total Restricted Securities (Value is 1.5% of Net Assets) | $36,497,358 | $51,985,929 | |||
Franklin Strategic Income Fund | |||||
331,326 | a | Appvion Operations Inc. | 4/12/19 | $4,481,262 | $4,809,415 |
125,940,079 | b | K2016470219 South Africa Ltd., A | 2/08/13 - 2/01/17 | 977,122 | 83,942 |
12,532,821 | b | K2016470219 South Africa Ltd., B | 2/01/17 | 9,305 | 8,353 |
124,500 | c | Remington Outdoor Co. Inc., Litigation Units | 4/12/19 | — | — |
Total Restricted Securities (Value is 0.1% of Net Assets) | $5,467,689 | $4,901,710 |
aThe Fund also invests in unrestricted securities of other investments in the issuer, valued at $7,445,523 as of January 31, 2020. |
bThe Fund also invests in unrestricted securities of other investments in the issuer, valued at $26,004 as of January 31, 2020. |
cThe Fund also invests in unrestricted securities of other investments in the issuer, valued at $826,524 as of January 31, 2020. |
7. HOLDINGS OF 5% VOTING SECURITIES OF PORTFOLIO COMPANIES
The 1940 Act defines "affiliated companies" to include investments in portfolio companies in which a fund owns 5% or more of the outstanding voting securities. During the period ended January 31, 2020, investments in “affiliated companies” were as follows:
Name of Issuer | Value at Beginning of Period | Purchases | Sales | Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation) | Value at End of Period | Number of Shares/ Units Held at End of Period | Dividend Income |
Franklin Small Cap Growth Fund | ||||||||
Non-Controlled Affiliates | ||||||||
The KeyW Holding Corp. | $33,592,278 | $ — | $(33,325,672) | $7,901,967 | $(8,168,573) | $—a | — | $ — |
Sportsman’s Warehouse Holdings Inc. | 16,003,372 | — | (8,904,835) | (2,523,714) | 10,692,705 | $15,267,528 | 2,356,100 | — |
Total Affiliated Securities (Value is 0.6% of Net Assets) | $49,595,650 | $ — | $(42,230,507) | $5,378,253 | $2,524,132 | $15,267,528 | $ — | |
Franklin Strategic Income Fund | ||||||||
Non-Controlled Affiliates | ||||||||
Remington Outdoor Co. Inc. | $2,909,366 | $ — | $ — | $ — | $(2,082,842) | $826,524 | 1,322,439 | $ — |
Remington Outdoor Co. Inc., Litigation Units | — | — | — | — | — | — | 124,500 | — |
Total Affiliated Securities (Value is —%† of Net Assets) | $2,909,366 | $ — | $ — | $ — | $(2,082,842) | $826,524 | $ — |
†Rounds to less than 0.1% of net assets.
aAs of January 31, 2020, no longer held by the fund.
| 55
Franklin Strategic Series
Notes to Statements of Investments (unaudited)
Notes to Statements of Investments (unaudited)
8. INVESTMENTS IN AFFILIATED MANAGEMENT INVESTMENT COMPANIES
Certain or all Funds invest in one or more affiliated management investment companies for purposes other than exercising a controlling influence over the management or policies. During the period ended January 31, 2020, investments in affiliated management investment companies were as follows:
Value at Beginning of Period | Purchases | Sales | Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation) | Value at End of Period | Number of Shares Held at End of Period | Investment Income | |
Franklin Biotechnology Discovery Fund | ||||||||
Non-Controlled Affiliates | ||||||||
Dividends | ||||||||
Institutional Fiduciary Trust Money Market Portfolio, 1.21% | $27,393,876 | $276,532,493 | $(253,135,540) | $ — | $ — | $50,790,829 | 50,790,829 | $577,335 |
Income from securities loaned | ||||||||
Institutional Fiduciary Trust Money Market Portfolio, 1.21% | 27,827,675 | 187,871,290 | (183,272,430) | — | — | 32,426,535 | 32,426,535 | 292,185 |
Total Affiliated Securities | $55,221,551 | $464,403,783 | $(436,407,970) | $ — | $ — | $83,217,364 | $869,520 | |
Franklin Growth Opportunities Fund | ||||||||
Non-Controlled Affiliates | ||||||||
Dividends | ||||||||
Institutional Fiduciary Trust Money Market Portfolio, 1.21% | $69,126,928 | $389,490,095 | $(458,594,222) | $ — | $ — | $22,801 | 22,801 | $399,086 |
Income from securities loaned | ||||||||
Institutional Fiduciary Trust Money Market Portfolio, 1.21% | — | 195,469,970 | (174,678,875) | — | — | 20,791,095 | 20,791,095 | 177,531 |
Total Affiliated Securities | $69,126,928 | $584,960,065 | $(633,273,097) | $ — | $ — | $20,813,896 | $576,617 | |
Franklin Natural Resources Fund | ||||||||
Non-Controlled Affiliates | ||||||||
Dividends | ||||||||
Institutional Fiduciary Trust Money Market Portfolio, 1.21% | $788,220 | $53,990,481 | $(48,124,291) | $ — | $ — | $6,654,410 | 6,654,410 | $27,097 |
Income from securities loaned | ||||||||
Institutional Fiduciary Trust Money Market Portfolio, 1.21% | — | 3,665,379 | (3,665,379) | — | — | — | — | 2,928 |
Total Affiliated Securities | $788,220 | $57,655,860 | $(51,789,670) | $ — | $ — | $6,654,410 | $30,025 | |
Franklin Select U.S. Equity Fund | ||||||||
Non-Controlled Affiliates | ||||||||
Institutional Fiduciary Trust Money Market Portfolio, 1.21% | $7,161,073 | $17,368,717 | $(23,039,731) | $ — | $ — | $1,490,059 | 1,490,059 | $20,508 |
| 56
Franklin Strategic Series
Notes to Statements of Investments (unaudited)
Value at Beginning of Period | Purchases | Sales | Realized Gain (Loss) | Net Change in Unrealized Appreciation (Depreciation) | Value at End of Period | Number of Shares Held at End of Period | Investment Income | |
Franklin Small Cap Growth Fund | ||||||||
Non-Controlled Affiliates | ||||||||
Dividends | ||||||||
Institutional Fiduciary Trust Money Market Portfolio, 1.21% | $70,752,806 | $356,961,193 | $(350,806,839) | $ — | $ — | $76,907,160 | 76,907,160 | $890,605 |
Income from securities loaned | ||||||||
Institutional Fiduciary Trust Money Market Portfolio, 1.21% | 18,262,684 | 306,613,112 | (289,528,575) | — | — | 35,347,221 | 35,347,221 | 376,726 |
Total Affiliated Securities | $89,015,490 | $663,574,305 | $(640,335,414) | $ — | $ — | $112,254,381 | $1,267,331 | |
Franklin Small-Mid Cap Growth Fund | ||||||||
Non-Controlled Affiliates | ||||||||
Dividends | ||||||||
Institutional Fiduciary Trust Money Market Portfolio, 1.21% | $124,157,073 | $625,768,445 | $(624,862,911) | $ — | $ — | $125,062,607 | 125,062,607 | $1,404,758 |
Income from securities loaned | ||||||||
Institutional Fiduciary Trust Money Market Portfolio, 1.21% | 6,811,635 | 270,614,212 | (234,094,617) | — | — | 43,331,230 | 43,331,230 | 363,143 |
Total Affiliated Securities | $130,968,708 | $896,382,657 | $(858,957,528) | $ — | $ — | $168,393,837 | $1,767,901 | |
Franklin Strategic Income Fund | ||||||||
Controlled Affiliates | ||||||||
Dividends | ||||||||
Franklin Floating Rate Income Funda | $194,101,482 | $ — | $(54,960,600) | $(10,939,400) | $(611,818) | $127,589,664 | 15,243,688 | $8,691,043 |
Non-Controlled Affiliates | ||||||||
Dividends | ||||||||
Institutional Fiduciary Trust Money Market Portfolio, 1.21% | 63,183,777 | 53,329,158 | (57,692,182) | — | — | 58,820,753 | 58,820,753 | 779,350 |
Total Affiliated Securities | $257,285,259 | $53,329,158 | $(112,652,782) | $(10,939,400) | $(611,818) | $186,410,417 | $9,470,393 |
aEffective May 31, 2019, Franklin Middle Tier Floating Rate Fund was renamed Franklin Floating Rate Income Fund.
9. INVESTMENTS IN FT HOLDINGS CORPORATION II (FT SUBSIDIARY)
Franklin Strategic Income Fund invests in certain financial instruments through its investment in FT Subsidiary. FT Subsidiary is a Delaware Corporation, is a wholly-owned subsidiary of the Fund, and is able to invest in certain financial instruments consistent with the investment objective of the Fund. At January 31, 2020, FT Subsidiary’s investment, Turtle Bay Resort, as well as any other assets and liabilities of FT Subsidiary are reflected in the Fund’s Consolidated Statement of Investments. At January 31, 2020, the net assets of FT Subsidiary were $18,480,697, representing 0.4% of the Fund’s consolidated net assets. The Fund’s investment in FT Subsidiary is limited to 25% of consolidated assets.
| 57
Franklin Strategic Series
Notes to Statements of Investments (unaudited)
Notes to Statements of Investments (unaudited)
10. REORGANIZATION/ UPCOMING MERGERS/ ACQUISITIONS
On December 6, 2019, Franklin Low Duration Total Return Fund (Surviving Fund), pursuant to a plan of reorganization approved on October 18, 2019, by shareholders of Franklin Flexible Alpha Bond Fund (Acquired Fund), a series of Franklin Strategic Series, acquired 100% of the Acquired Fund’s net assets, primarily made up of investment securities, through a tax-free exchange of shares of the Surviving Fund for the net assets of the Acquired Fund. Capital losses obtained by the Surviving Fund may be carried over to offset future capital gains, subject to certain limitations.
On February 7, 2020, Franklin Growth Fund (Surviving Fund), a series of Franklin Custodian Funds, pursuant to a plan of reorganization approved on November 22, 2019, by shareholders of Franklin Select U.S. Equity Fund (Acquired Fund), acquired 100% of the Acquired Fund’s net assets, primarily made up of investment securities, through a tax-free exchange of shares of the Surviving Fund for the net assets of the Acquired Fund.
11. FAIR VALUE MEASUREMENTS
The Funds follow a fair value hierarchy that distinguishes between market data obtained from independent sources (observable inputs) and the Funds’ own market assumptions (unobservable inputs). These inputs are used in determining the value of the Funds’ financial instruments and are summarized in the following fair value hierarchy:
• | Level 1 – quoted prices in active markets for identical financial instruments |
• | Level 2 – other significant observable inputs (including quoted prices for similar financial instruments, interest rates, prepayment speed, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of financial instruments) |
The input levels are not necessarily an indication of the risk or liquidity associated with financial instruments at that level.
A summary of inputs used as of January 31, 2020, in valuing the Funds’ assets and liabilities carried at fair value, is as follows:
Level 1 | Level 2 | Level 3 | Total | |
Franklin Biotechnology Discovery Fund | ||||
Assets: | ||||
Investments in Securities:a | ||||
Equity Investments:b | ||||
Biotechnology | $882,159,030 | $— | $3,431,982 | $885,591,012 |
All Other Equity Investments | 198,223,536 | — | — | 198,223,536 |
Escrows and Litigation Trusts | — | — | 936,544 | 936,544 |
Short Term Investments | 83,217,364 | — | — | 83,217,364 |
Total Investments in Securities | $1,163,599,930 | $ — | $4,368,526 | $1,167,968,456 |
Franklin Growth Opportunities Fund | ||||
Assets: | ||||
Investments in Securities:a | ||||
Equity Investments:b | ||||
Communication Services | $274,983,919 | $— | $6,139,941 | $281,123,860 |
Consumer Discretionary | 438,561,219 | — | 74,295,870 | 512,857,089 |
Health Care | 650,674,630 | — | 12,499,983 | 663,174,613 |
Industrials | 463,711,042 | — | 33,124,781 | 496,835,823 |
Information Technology | 1,653,843,429 | — | 62,360,050 | 1,716,203,479 |
All Other Equity Investments | 572,635,379 | — | — | 572,635,379 |
Short Term Investments | 20,813,896 | — | — | 20,813,896 |
| 58
Franklin Strategic Series
Notes to Statements of Investments (unaudited)
Level 1 | Level 2 | Level 3 | Total | |
Franklin Growth Opportunities Fund (continued) | ||||
Total Investments in Securities | $4,075,223,514 | $ — | $188,420,625 | $4,263,644,139 |
Franklin Natural Resources Fund | ||||
Assets: | ||||
Investments in Securities:a | ||||
Equity Investments: | ||||
Copper | $6,966,674 | $3,732,394 | $— | $10,699,068 |
Diversified Chemicals | — | 2,099,336 | — | 2,099,336 |
Diversified Metals & Mining | 10,899,685 | 7,868,868 | —c | 18,768,553 |
Gold | 13,876,706 | 1,681,557 | — | 15,558,263 |
Oil & Gas Exploration & Production | 68,013,349 | 2,264,687 | — | 70,278,036 |
All Other Equity Investments | 113,199,988 | — | — | 113,199,988 |
Short Term Investments | 6,654,410 | — | — | 6,654,410 |
Total Investments in Securities | $219,610,812 | $17,646,842 | $ — | $237,257,654 |
Franklin Select U.S. Equity Fund | ||||
Assets: | ||||
Investments in Securities:a | ||||
Equity Investments | $104,134,282 | $— | $— | $104,134,282 |
Short Term Investments | 1,490,059 | — | — | 1,490,059 |
Total Investments in Securities | $105,624,341 | $ — | $ — | $105,624,341 |
Franklin Small Cap Growth Fund | ||||
Assets: | ||||
Investments in Securities:a | ||||
Equity Investments:b | ||||
Consumer Discretionary | $322,114,091 | $— | $147,226,000c | $469,340,091 |
Industrials | 482,830,566 | — | 30,366,897 | 513,197,463 |
Information Technology | 671,859,372 | — | 30,280,631 | 702,140,003 |
All Other Equity Investments | 1,012,102,397 | — | — | 1,012,102,397 |
Short Term Investments | 112,254,381 | — | — | 112,254,381 |
Total Investments in Securities | $2,601,160,807 | $ — | $207,873,528 | $2,809,034,335 |
Franklin Small-Mid Cap Growth Fund | ||||
Assets: | ||||
Investments in Securities:a | ||||
Equity Investments:b | ||||
Consumer Discretionary | $548,278,232 | $— | $45,139,556 | $593,417,788 |
Financials | 218,076,910 | — | 5,461,568 | 223,538,478 |
Information Technology | 1,096,741,719 | — | 21,454,314 | 1,118,196,033 |
All Other Equity Investments | 1,435,439,647 | — | — | 1,435,439,647 |
Senior Floating Rate Interests | — | — | 481,096 | 481,096 |
Short Term Investments | 168,393,837 | — | — | 168,393,837 |
Total Investments in Securities | $3,466,930,345 | $ — | $72,536,534 | $3,539,466,879 |
| 59
Franklin Strategic Series
Notes to Statements of Investments (unaudited)
Notes to Statements of Investments (unaudited)
11. FAIR VALUE MEASUREMENTS (continued)
Level 1 | Level 2 | Level 3 | Total | |
Franklin Strategic Income Fund | ||||
Assets: | ||||
Investments in Securities:a | ||||
Equity Investments:b | ||||
Commercial & Professional Services | $— | $826,524 | $— | $826,524 |
Consumer Services | — | — | 122,759 | 122,759 |
Energy | 5,093,394 | 4,016,247 | 6,303c | 9,115,944 |
Materials | 665,173 | — | 4,809,415 | 5,474,588 |
Media & Entertainment | 2,814,293 | — | 29,169 | 2,843,462 |
Retailing | — | — | 92,295 | 92,295 |
Software & Services | — | — | 750,000 | 750,000 |
All Other Equity Investments | 127,589,664 | — | — | 127,589,664 |
Corporate Bonds: | ||||
Retailing | — | 3,816,000 | 26,004 | 3,842,004 |
All Other Corporate Bonds | — | 1,372,800,748 | — | 1,372,800,748 |
Senior Floating Rate Interests: | ||||
Household & Personal Products | — | 605,578 | 42,987,745 | 43,593,323 |
Software & Services | — | 3,619,780 | 20,083,375 | 23,703,155 |
All Other Senior Floating Rate Interests | — | 129,963,720 | — | 129,963,720 |
Marketplace Loans | — | — | 5,226,339 | 5,226,339 |
Foreign Government and Agency Securities | — | 479,168,980 | — | 479,168,980 |
U.S. Government and Agency Securities | — | 287,194,329 | — | 287,194,329 |
Asset-Backed Securities and Commercial Mortgage-Backed Securities | — | 1,375,959,457 | — | 1,375,959,457 |
Mortgage-Backed Securities | — | 372,030,337 | — | 372,030,337 |
Municipal Bonds | — | 200,140,464 | — | 200,140,464 |
Escrows and Litigation Trusts | — | 60,000 | —c | 60,000 |
Options Purchased | — | 2,020,023 | — | 2,020,023 |
Short Term Investments | 58,820,753 | 123,817,564 | — | 182,638,317 |
Total Investments in Securities | $194,983,277 | $4,356,039,751 | $74,133,404 | $4,625,156,432 |
Other Financial Instruments: | ||||
Futures Contracts | $10,655,900 | $— | $— | $10,655,900 |
Forward Exchange Contracts | — | 6,257,258 | — | 6,257,258 |
Swap Contracts | — | 7,541,905 | — | 7,541,905 |
Total Other Financial Instruments | $10,655,900 | $13,799,163 | $ — | $24,455,063 |
Liabilities: | ||||
Other Financial Instruments: | ||||
Futures Contracts | $8,982,036 | $— | $— | $8,982,036 |
Forward Exchange Contracts | — | 4,752,238 | — | 4,752,238 |
Swap Contracts | — | 8,564,993 | — | 8,564,993 |
Total Other Financial Instruments | $8,982,036 | $13,317,231 | $ — | $22,299,267 |
aFor detailed categories, see the accompanying Statement of Investments. |
bIncludes common and preferred stocks and management investment companies as well as other equity interests. |
cIncludes securities determined to have no value at January 31, 2020. |
| 60
Franklin Strategic Series
Notes to Statements of Investments (unaudited)
A reconciliation of assets and/or liabilities in which Level 3 inputs are used in determining fair value is presented when there are significant Level 3 assets and/or liabilities at the beginning and/or end of the year. At January 31, 2020, the reconciliation of assets and/or liabilities, is as follows:
Balance at Beginning of Period | Purchases | Sales | Transfers Into Level 3a | Transfers Out of Level 3 | Cost Basis Adjustmentsb | Net Realized Gain (Loss) | Net Unrealized Appreciation (Depreciation) | Balance at End of Period | Net Change in Unrealized Appreciation (Depreciation) on Assets Held at Period End | |
Franklin Growth Opportunities Fund | ||||||||||
Assets: | ||||||||||
Investments in Securities: | ||||||||||
Equity Investments:c | ||||||||||
Communication Services | $ 4,893,610 | $ — | $ — | $ — | $ — | $ — | $ — | $ 1,246,331 | $ 6,139,941 | $ 1,246,331 |
Consumer Discretionary | 65,366,728 | 3,720,657 | — | — | — | — | — | 5,208,485 | 74,295,870 | 5,208,485 |
Financials | 14,395,754 | — | — | — | — | (13,500,004) | — | (895,750) | — | — |
Health Care | — | 12,499,983 | — | — | — | — | — | — | 12,499,983 | — |
Industrials | 12,168,487 | 17,499,998 | — | — | — | — | — | 3,456,296 | 33,124,781 | 3,456,296 |
Information Technology | 20,473,416 | 3,749,986 | — | — | — | 13,500,004 | — | 24,636,644 | 62,360,050 | 24,636,644 |
Total Investments in Securities | $ 117,297,995 | $ 37,470,624 | $ — | $ — | $ — | $ — | $ — | $ 33,652,006 | $ 188,420,625 | $ 34,547,756 |
Franklin Small Cap Growth Fund | ||||||||||
Assets: | ||||||||||
Investments in Securities: | ||||||||||
Equity Investments:c | ||||||||||
Consumer Discretionary | $119,996,881d | $712,061 | $— | $— | $— | $ — | $ — | $26,517,058 | $147,226,000d | $26,517,058 |
Industrials | 12,143,346 | 14,999,997 | — | — | — | — | — | 3,223,554 | 30,366,897 | 3,223,554 |
Information Technology | 31,063,930 | — | — | — | — | — | — | (783,299) | 30,280,631 | (783,299) |
Total Investments in Securities | $ 163,204,157 | $ 15,712,058 | $ — | $ — | $ — | $ — | $ — | $ 28,957,313 | $ 207,873,528 | $28,957,313 |
Franklin Small-Mid Cap Growth Fund | ||||||||||
Assets: | ||||||||||
Investments in Securities: | ||||||||||
Equity Investments:c | ||||||||||
Consumer Discretionary | $33,865,637 | $ — | $ — | $ — | $ — | $ — | $ — | $11,273,919 | $45,139,556 | $11,273,919 |
Financials | 7,677,734 | 7,499,998 | — | — | — | (7,200,001) | — | (2,516,163) | 5,461,568 | (2,038,430) |
Information Technology | — | 47 | — | — | — | 7,200,001 | — | 14,254,266 | 21,454,314 | 14,254,266 |
Senior Floating Rate Interests | — | 481,096 | — | — | — | — | — | — | 481,096 | — |
Total Investments in Securities | $ 41,543,371 | $ 7,981,141 | $ — | $ — | $ — | $ — | $ — | $ 23,012,022 | $ 72,536,534 | $ 23,489,755 |
| 61
Franklin Strategic Series
Notes to Statements of Investments (unaudited)
Notes to Statements of Investments (unaudited)
11. FAIR VALUE MEASUREMENTS (continued)
Balance at Beginning of Period | Purchases | Sales | Transfers Into Level 3a | Transfers Out of Level 3 | Cost Basis Adjustmentsb | Net Realized Gain (Loss) | Net Unrealized Appreciation (Depreciation) | Balance at End of Period | Net Change in Unrealized Appreciation (Depreciation) on Assets Held at Period End | |
Franklin Strategic Income Fund | ||||||||||
Assets: | ||||||||||
Investments in Securities: | ||||||||||
Equity Investments:c | ||||||||||
Consumer Services | $122,759 | $— | $— | $— | $— | $— | $— | $— | $122,759 | $— |
Energy | 2 | — | — | 138,516d | — | — | — | (132,215) | 6,303d | (132,215) |
Materials | 4,615,489 | — | — | — | — | — | — | 193,926 | 4,809,415 | 193,926 |
Media & Entertainment | — | 24,605 | — | — | — | — | — | 4,564 | 29,169 | 4,564 |
Retailing | 96,878 | — | — | — | — | — | — | (4,583) | 92,295 | (4,583) |
Software & Services | 750,000 | — | — | — | — | — | — | - | 750,000 | — |
Corporate Bonds: | ||||||||||
Retailing | 90,006 | — | — | — | — | (1,269,781) | — | 1,205,779 | 26,004 | 1,205,779 |
Senior Floating Rate Interests: | ||||||||||
Household & Personal Products | 42,108,964 | — | — | — | — | 1,274,154 | — | (395,373) | 42,987,745 | (395,373) |
Software & Services | 19,883,394 | — | — | — | — | 175,253 | — | 24,728 | 20,083,375 | 24,728 |
Marketplace Loans | — | 5,264,312 | — | — | — | — | — | (37,973) | 5,226,339 | (37,973) |
Escrows and Litigation Trusts | —d | — | — | — | — | — | — | — | —d | — |
Total Investments in Securities | $ 67,667,492 | $5,288,917 | $ — | $ 138,516 | $ — | $179,626 | $ — | $ 858,853 | $ 74,133,404 | $ 858,853 |
aTransferred into Level 3 as a result of the unavailability of a quoted market price in an active market for identical securities and other significant observable valuation inputs. May include amounts related to a corporate action.
bMay include accretion, amortization, partnership adjustments, and/or other cost basis adjustments.
cIncludes common and preferred stocks as well as other equity interests.
dIncludes securities determined to have no value.
Significant unobservable valuation inputs developed by the VC for material Level 3 financial instruments and impact to fair value as a result of changes in unobservable valuation inputs as of January 31, 2020, are as follows:
Description | Fair Value at End of Period | Valuation Technique | Unobservable Inputs | Amount/Range (Weighted Averagea) | Impact to Fair Value if Input Increasesb |
Franklin Growth Opportunities Fund | |||||
Assets: | |||||
Investments in Securities: | |||||
Equity Investments:c | |||||
Communication Services | $6,139,941 | Discounted cash flow | Terminal multiple | 22.3x | Increased |
Discount rate | 8.5% | Decreasee | |||
Discount for lack of marketability | 9.9% | Decreased | |||
Consumer Discretionary | 74,295,870 | Discounted cash flow | Forward EBITDA growth rate | 4.0% | Increased |
Long term growth rate | 2.0% | Increased |
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Franklin Strategic Series
Notes to Statements of Investments (unaudited)
Description | Fair Value at End of Period | Valuation Technique | Unobservable Inputs | Amount/Range (Weighted Averagea) | Impact to Fair Value if Input Increasesb |
Discount rate | 10.1% - 13.9% (11.0%) | Decreasee | |||
Discount for lack of marketability | 4.6% - 17.3% (9.9%) | Decreased | |||
Terminal multiple | 32.5x | Increased | |||
Industrials | $33,124,781 | Discounted cash flow | Discount rate | 11.0% - 21.2% (15.3%) | Decreasee |
Long term growth rate | 3.0% - 5.0% (3.8%) | Increased | |||
Discount for lack of marketability | 6.2% - 9.8% (8.3%) | Decreased | |||
Information Technology | 58,610,063 | Discounted cash flow | Discount rate | 12.1% | Decreasee |
Long term growth rate | 4.0% | Increasee | |||
Discount for lack of marketability | 7.7% | Decrease | |||
Market comparables | Discount for lack of marketability | 5.8% | Decreased | ||
All Other Investmentsf | 16,249,970 | ||||
Total | $188,420,625 | ||||
Franklin Small Cap Growth Fund | |||||
Assets: | |||||
Investments in Securities: | |||||
Equity Investments:c | |||||
Consumer Discretionary | $147,226,000 | Discounted cash flow | Forward EBITDA growth rate | 4.0% | Increased |
Long term growth rate | 2.0% | Increased | |||
Discount rate | 10.1% - 14.7% (11.5%) | Decreasee | |||
Discount for lack of marketability | 4.6% - 17.3% (8.5%) | Decreased | |||
Terminal multiple | 32.5x | Increased | |||
Market comparables | EV / EBITDA multiple | 18.3x - 22.2x | Increased | ||
EV / revenue multiple | 12.3x | Increase | |||
Discount for lack of marketability | 2.9% - 11.0% (7.0%) | Decreased | |||
Industrials | 30,366,897 | Discounted cash flow | Discount rate | 11.0% - 21.2% (15.7%) | Decreasee |
Long term growth rate | 3.0% - 5.0% (3.9%) | Increased | |||
Discount for lack of marketability | 6.2% - 9.8% (8.1%) | Decreased | |||
Information Technology | 30,280,631 | Market comparables | EV / revenue multiple | 3.0x | Increase |
Discount for lack of marketability | 6.0% | Decreased | |||
Discounted cash flow | Discount rate | 12.1% | Decreasee | ||
Long term growth rate | 4.0% | Increasee |
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Franklin Strategic Series
Notes to Statements of Investments (unaudited)
Notes to Statements of Investments (unaudited)
11. FAIR VALUE MEASUREMENTS (continued)
Description | Fair Value at End of Period | Valuation Technique | Unobservable Inputs | Amount/Range (Weighted Averagea) | Impact to Fair Value if Input Increasesb |
Discount for lack of marketability | 7.7% | Decrease | |||
All Other Investmentsf | $—g | ||||
Total | $207,873,528 | ||||
Franklin Small-Mid Cap Growth Fund | |||||
Assets: | |||||
Investments in Securities: | |||||
Equity Investments:c | |||||
Consumer Discretionary | $45,139,556 | Discounted cash flow | Forward EBITDA growth rate | 4.0% | Increased |
Discount rate | 10.1% | Decreasee | |||
Discount for lack of marketability | 4.6% | Decreased | |||
Market comparables | Discount for lack of marketability | 9.5% | Decreased | ||
Financials | 5,461,568 | Discounted cash flow | Discount rate | 16.6% | Decrease |
Discount for lack of marketability | 12.4% | Decreased | |||
Terminal multiple | 20.5x | Increase | |||
Information Technology | 20,550,605 | Market comparables | Discount for lack of marketability | 5.8% | Decreased |
All Other Investmentsf | 1,384,805 | ||||
Total | $ 72,536,534 | ||||
Franklin Strategic Income Fund | |||||
Assets: | |||||
Investments in Securities: | |||||
Equity Investments:c | |||||
Materials | $4,809,415 | Discounted cash flow | Weighted average cost of capital | 16.8% | Decreased |
Unlevered free cash flow | $129.1 mil | Increased | |||
Discount for lack of marketability | 20.0% | Decreased | |||
Long term growth rate | 0.0% | Increase | |||
Senior Floating Rate Interests: | |||||
Household & Personal Products | 42,987,745 | Discounted cash flow | Free cash flow | $19.5 - $33.1 mil ($28.6 mil) | Increasee |
Discount rate | 10.6% - 15.0% (12.1%) | Decreased | |||
Software & Services | 20,083,375 | Discounted cash flow | Free cash flow | $25.7 mil | Increasee |
Discount rate | 18.5% | Increased | |||
All other investmentsf | 6,252,869g | ||||
Total | $74,133,404 |
aWeighted based on the relative fair value of the financial instruments.
bRepresents the directional change in the fair value of the Level 3 financial instruments that would result from a significant and reasonable increase in the corresponding input. A significant and reasonable decrease in the input would have the opposite effect. Significant impacts, if any, to fair value and/or net assets have been indicated.
cIncludes common and preferred stocks.
dRepresents a significant impact to fair value but not net assets.
eRepresents a significant impact to fair value and net assets.
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Franklin Strategic Series
Notes to Statements of Investments (unaudited)
fIncludes financial instruments with values derived using private transaction prices or non-public third party pricing information which is unobservable. May also include fair value of immaterial financial instruments developed using various valuation techniques and unobservable inputs.
gIncludes securities determined to have no value at January 31, 2020.
Abbreviations List
EBITDA Earnings before interest, taxes, depreciation and amortizatin
EV Enterprise value
12. SUBSEQUENT EVENTS
The Funds have evaluated subsequent events through the issuance of the Statements of Investments and determined that no events have occurred that require disclosure.
Abbreviations
Counterparty | |
BNDP | BNP Paribas |
BZWS | Barclays Bank PLC |
CITI | Citigroup, Inc. |
DBAB | Deutsche Bank AG |
GSCO | The Goldman Sachs Group, Inc. |
JPHQ | JP Morgan Chase & Co. |
MSCO | Morgan Stanley |
Currency | |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
CNY | Chinese Yuan |
COP | Colombian Peso |
DOP | Dominican Peso |
EUR | Euro |
IDR | Indonesian Rupiah |
USD | United States Dollar |
UYU | Uruguayan Peso |
ZAR | South African Rand |
Selected Portfolio | |
ADR | American Depositary Receipt |
ARM | Adjustable Rate Mortgage |
BBSW | Bank Bill Swap Rate |
BZDIOVRA | Brazil Cetip DI Interbank Deposit Rate |
CABA | Canada Banker’s Acceptance |
CLO | Collateralized Loan Obligation |
CMT | Constant Maturity Treasury Index |
CNRR | China Reverse Repo Rate |
CPI | Consumer Price Index |
FRN | Floating Rate Note |
GDP | Gross Domestic Product |
GO | General Obligation |
LIBOR | London InterBank Offered Rate |
MBS | Mortgage-Backed Security |
PIK | Payment-In-Kind |
RDA | Redevelopment Agency/Authority |
SF | Single Family |
T-Note | Treasury Note |
VRI | Value Recovery Instruments |
Index Abbreviation | |
CDX.EM.Series number | CDX Emerging Markets Index |
MCDX.NA.Series number | MCDX North America Index |
For additional information on the Funds’ significant accounting policies, please refer to the Funds’ most recent semiannual or annual shareholder report.
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