Franklin
Strategic
Series
Statement
of
Investments
(unaudited),
January
31,
2021
Franklin
Biotechnology
Discovery
Fund
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
1
2
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Common
Stocks
95.4%
Biotechnology
76.4%
a
89bio,
Inc.
...........................................
United
States
284,400
$
5,773,320
a
ACADIA
Pharmaceuticals,
Inc.
...........................
United
States
294,600
14,155,530
a
Acceleron
Pharma,
Inc.
.................................
United
States
158,700
18,334,611
a,b
ADMA
Biologics,
Inc.
...................................
United
States
437,264
970,726
a
Akouos
,
Inc.
.........................................
United
States
157,600
2,508,992
a
Albireo
Pharma,
Inc.
...................................
United
States
102,400
3,755,008
a
Alector
,
Inc.
..........................................
United
States
454,300
7,650,412
a
ALX
Oncology
Holdings,
Inc.
.............................
United
States
86,100
6,823,425
Amgen,
Inc.
.........................................
United
States
318,700
76,943,741
a,b
Applied
Molecular
Transport,
Inc.
.........................
United
States
59,800
2,095,990
a
Applied
Therapeutics,
Inc.
...............................
United
States
154,857
3,242,706
a
Arcus
Biosciences,
Inc.
.................................
United
States
311,000
10,801,030
a
Argenx
SE,
ADR
......................................
Netherlands
51,298
15,031,340
a
Ascendis
Pharma
A/S,
ADR
.............................
Denmark
222,800
33,453,420
a
Assembly
Biosciences,
Inc.
..............................
United
States
381,295
2,127,626
a
Athenex
,
Inc.
.........................................
United
States
406,200
5,309,034
a
Autolus
Therapeutics
plc,
ADR
...........................
United
Kingdom
192,827
1,417,278
a
Biogen,
Inc.
.........................................
United
States
146,975
41,536,605
a
BioMarin
Pharmaceutical,
Inc.
............................
United
States
142,456
11,792,508
a
Black
Diamond
Therapeutics,
Inc.
.........................
United
States
127,800
3,165,606
a
Bluebird
Bio,
Inc.
......................................
United
States
30,900
1,376,595
a
Blueprint
Medicines
Corp.
...............................
United
States
117,200
11,339,100
a
Bridgebio
Pharma,
Inc.
.................................
United
States
118,800
6,743,088
a,b
Cardiff
Oncology,
Inc.
..................................
United
States
256,400
3,025,520
a,b
Codiak
Biosciences,
Inc.
................................
United
States
153,500
3,665,580
a
CRISPR
Therapeutics
AG
...............................
Switzerland
130,614
21,642,740
a
Cullinan
Management,
Inc.
..............................
United
States
59,400
2,257,794
a
Deciphera
Pharmaceuticals,
Inc.
..........................
United
States
594,954
26,296,967
a,c,d
Dyne
Therapeutics,
Inc.
................................
United
States
115,139
1,997,651
a
Dyne
Therapeutics,
Inc.
................................
United
States
100,400
1,940,732
a,b
Equillium
,
Inc.
........................................
United
States
294,800
1,689,204
a
Fate
Therapeutics,
Inc.
.................................
United
States
314,710
28,522,167
a
Forte
Biosciences,
Inc.
.................................
United
States
445,464
15,083,411
Gilead
Sciences,
Inc.
..................................
United
States
1,511,900
99,180,639
a
Global
Blood
Therapeutics,
Inc.
...........................
United
States
391,500
19,621,980
a
Harpoon
Therapeutics,
Inc.
..............................
United
States
220,200
4,245,456
a
Heron
Therapeutics,
Inc.
................................
United
States
1,739,677
30,200,793
a
Insmed
,
Inc.
.........................................
United
States
839,400
31,553,046
a,c,d
Intarcia
Therapeutics,
Inc.,
DD
...........................
United
States
80,195
—
a
Iovance
Biotherapeutics
,
Inc.
.............................
United
States
1,395,901
61,196,300
a
KalVista
Pharmaceuticals,
Inc.
...........................
United
States
165,600
2,517,120
a
Keros
Therapeutics,
Inc.
................................
United
States
108,900
6,212,745
a
Kezar
Life
Sciences,
Inc.
................................
United
States
853,550
4,532,350
a
Kinnate
Biopharma,
Inc.
................................
United
States
72,600
2,381,280
a
Kodiak
Sciences,
Inc.
..................................
United
States
77,300
9,763,763
a
Kronos
Bio,
Inc.
......................................
United
States
82,400
2,265,176
a
Kura
Oncology,
Inc.
....................................
United
States
104,900
3,141,755
a
Legend
Biotech
Corp.,
ADR
.............................
United
States
207,725
5,249,211
a
LogicBio
Therapeutics,
Inc.
..............................
United
States
661,200
5,329,272
a
Merus
NV
...........................................
Netherlands
73,200
2,014,464
a
Metacrine
,
Inc.
.......................................
United
States
251,900
2,450,987
a,c,d
Metacrine
,
Inc.
.......................................
United
States
260,919
2,407,594
a
Mirati
Therapeutics,
Inc.
................................
United
States
121,296
24,905,708
a
Neurocrine
Biosciences,
Inc.
.............................
United
States
215,800
23,684,050
a,b
Nkarta
,
Inc.
..........................................
United
States
238,955
9,476,955
a
Novavax
,
Inc.
........................................
United
States
241,600
53,379,104
a
Olema
Pharmaceuticals,
Inc.
.............................
United
States
154,500
6,558,525
a
PMV
Pharmaceuticals,
Inc.
..............................
United
States
83,100
2,837,034
Franklin
Strategic
Series
Statement
of
Investments
(unaudited)
Franklin
Biotechnology
Discovery
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
2
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Common
Stocks
(continued)
Biotechnology
(continued)
a,b
Praxis
Precision
Medicines,
Inc.
..........................
United
States
103,600
$
5,272,204
a
Protara
Therapeutics,
Inc.
...............................
United
States
145,500
2,616,090
a
PTC
Therapeutics,
Inc.
.................................
United
States
765,900
44,284,338
a
Regeneron
Pharmaceuticals,
Inc.
.........................
United
States
154,909
78,049,351
a,b
Repare
Therapeutics,
Inc.
...............................
Canada
38,100
1,413,891
a
Rocket
Pharmaceuticals,
Inc.
............................
United
States
375,771
20,697,467
a
Sage
Therapeutics,
Inc.
................................
United
States
101,070
8,151,295
a,b
Scholar
Rock
Holding
Corp.
.............................
United
States
41,500
2,475,890
a
Seagen
,
Inc.
.........................................
United
States
234,900
38,587,023
a,b
Silverback
Therapeutics,
Inc.
.............................
United
States
83,300
3,658,536
a
Sutro
Biopharma,
Inc.
..................................
United
States
607,903
13,465,051
a,b
Taysha
Gene
Therapies,
Inc.
.............................
United
States
166,100
4,318,600
a,c,d
Taysha
Gene
Therapies,
Inc.
.............................
United
States
138,156
3,396,953
a,b
Trillium
Therapeutics,
Inc.
...............................
Canada
1,091,800
14,357,170
a
Ultragenyx
Pharmaceutical,
Inc.
..........................
United
States
83,996
11,641,006
a,b
Vaxcyte
,
Inc.
.........................................
United
States
172,000
4,219,160
a
Vertex
Pharmaceuticals,
Inc.
.............................
United
States
367,600
84,209,808
a
Viela
Bio,
Inc.
........................................
United
States
108,198
3,752,307
a,b
VistaGen
Therapeutics,
Inc.
.............................
United
States
2,608,400
5,529,808
a,c
Yumanity
,
Inc.
........................................
United
States
90,804
1,535,517
a
Zentalis
Pharmaceuticals,
Inc.
............................
United
States
135,700
5,206,809
a
Zymeworks
,
Inc.
......................................
Canada
471,320
15,940,042
1,180,353,080
Capital
Markets
1.5%
a
ARYA
Sciences
Acquisition
Corp.
III
.......................
United
States
212,500
2,390,625
a,c,d
FS
Development
Corp.,
A
...............................
United
States
103,589
1,213,494
a,b
FS
Development
Corp.,
A
...............................
United
States
211,300
2,493,340
a
Health
Sciences
Acquisitions
Corp.
2
.......................
United
States
171,600
2,030,028
a
Jiya
Acquisition
Corp.,
A
................................
United
States
208,800
2,158,992
a
Omega
Alpha
SPAC,
A
.................................
United
States
294,400
3,102,976
a
Panacea
Acquisition
Corp.
..............................
United
States
345,800
3,803,800
a
Therapeutics
Acquisition
Corp.,
A
.........................
United
States
429,800
6,008,604
23,201,859
Life
Sciences
Tools
&
Services
4.5%
a
Illumina,
Inc.
.........................................
United
States
165,000
70,362,600
Pharmaceuticals
13.0%
a
Athira
Pharma,
Inc.
....................................
United
States
252,264
5,378,269
a,c,d
Athira
Pharma,
Inc.
....................................
United
States
407,548
8,164,711
a,b
EyePoint
Pharmaceuticals,
Inc.
...........................
United
States
592,330
6,634,096
a
GW
Pharmaceuticals
plc,
ADR
...........................
United
Kingdom
460,300
70,181,941
a
Horizon
Therapeutics
plc
................................
United
States
545,749
39,555,887
a,b
Marinus
Pharmaceuticals,
Inc.
............................
United
States
149,200
1,854,556
a,b
Pliant
Therapeutics,
Inc.
................................
United
States
149,100
3,669,351
a
Reata
Pharmaceuticals,
Inc.,
A
...........................
United
States
256,856
26,607,713
a,b
Relmada
Therapeutics,
Inc.
..............................
United
States
91,266
2,982,573
a
Revance
Therapeutics,
Inc.
..............................
United
States
275,500
7,008,720
Royalty
Pharma
plc,
A
..................................
United
States
150,300
7,065,603
a
VYNE
Therapeutics,
Inc.
................................
United
States
2,882,600
5,707,548
a
Zogenix
,
Inc.
.........................................
United
States
833,359
15,800,487
200,611,455
Total
Common
Stocks
(Cost
$816,303,501)
.....................................
1,474,528,994
Franklin
Strategic
Series
Statement
of
Investments
(unaudited)
Franklin
Biotechnology
Discovery
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
3
See
Abbreviations
on
page
78
.
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Preferred
Stocks
0.4%
Biotechnology
0.3%
a,c
VistaGen
Therapeutics,
Inc.,
D
...........................
United
States
84,111
$
4,101,252
a
Pharmaceuticals
0.1%
a,c,d
United
BioPharma
,
Inc.,
A
...............................
United
States
379,473
2,087,102
a
Total
Preferred
Stocks
(Cost
$3,866,891)
.......................................
6,188,354
Escrows
and
Litigation
Trusts
0.1%
a,c
True
North
Therapeutics,
Inc.,
Escrow
Account
...............
United
States
759,880
1,018,648
Total
Escrows
and
Litigation
Trusts
(Cost
$2,090,611)
...........................
1,018,648
Total
Long
Term
Investments
(Cost
$822,261,003)
...............................
1,481,735,996
a
Short
Term
Investments
7.5%
a
a
Country
Shares
a
Value
a
Money
Market
Funds
4.4%
e,f
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0%
........
United
States
67,927,397
67,927,397
Total
Money
Market
Funds
(Cost
$67,927,397)
..................................
67,927,397
a
a
a
a
a
Investments
from
Cash
Collateral
Received
for
Loaned
Securities
3.1%
Money
Market
Funds
3.1%
e,f
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0%
........
United
States
47,974,115
47,974,115
Total
Investments
from
Cash
Collateral
Received
for
Loaned
Securities
(Cost
$47,974,115)
...........................................................
47,974,115
Total
Short
Term
Investments
(Cost
$115,901,512
)
...............................
115,901,512
a
Total
Investments
(Cost
$938,162,515)
103.4%
..................................
$1,597,637,508
Other
Assets,
less
Liabilities
(3.4)%
...........................................
(52,074,203)
Net
Assets
100.0%
...........................................................
$1,545,563,305
a
Non-income
producing.
b
A
portion
or
all
of
the
security
is
on
loan
at
January
31,
2021.
c
Fair
valued
using
significant
unobservable
inputs.
See
Note
12
regarding
fair
value
measurements.
d
See
Note
7
regarding
restricted
securities.
e
See
Note
10
regarding
investments
in
affiliated
management
investment
companies.
f
The
rate
shown
is
the
annualized
seven-day
effective
yield
at
period
end.
Franklin
Strategic
Series
Statement
of
Investments
(unaudited),
January
31,
2021
Franklin
Growth
Opportunities
Fund
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
4
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Common
Stocks
93.5%
Auto
Components
0.5%
Aptiv
plc
............................................
United
States
193,320
$
25,827,552
Automobiles
1.2%
a
Tesla,
Inc.
...........................................
United
States
80,258
63,687,131
Beverages
1.3%
Constellation
Brands,
Inc.,
A
.............................
United
States
189,213
39,910,698
a
Monster
Beverage
Corp.
................................
United
States
331,280
28,765,042
68,675,740
Biotechnology
2.7%
a
Deciphera
Pharmaceuticals,
Inc.
..........................
United
States
172,150
7,609,030
a
Heron
Therapeutics,
Inc.
................................
United
States
2,140,035
37,151,008
a
Iovance
Biotherapeutics
,
Inc.
.............................
United
States
268,504
11,771,215
a,b
Novavax
,
Inc.
........................................
United
States
281,742
62,248,077
a
PTC
Therapeutics,
Inc.
.................................
United
States
466,661
26,982,339
145,761,669
Capital
Markets
4.9%
a,c,d
ArcLight
Clean
Transition
Corp.
...........................
United
States
477,500
9,979,882
a
Dragoneer
Growth
Opportunities
Corp.
.....................
United
States
1,112,700
16,657,119
Intercontinental
Exchange,
Inc.
...........................
United
States
416,605
45,972,362
MarketAxess
Holdings,
Inc.
..............................
United
States
85,572
46,273,915
MSCI,
Inc.
...........................................
United
States
208,889
82,573,821
S&P
Global,
Inc.
......................................
United
States
195,666
62,026,122
263,483,221
Chemicals
1.2%
Ecolab,
Inc.
..........................................
United
States
126,472
25,864,789
Linde
plc
............................................
United
Kingdom
156,944
38,514,057
64,378,846
Commercial
Services
&
Supplies
0.7%
a,c,d
Legalzoom.com,
Inc.
...................................
United
States
1,673,284
23,370,642
Republic
Services,
Inc.
.................................
United
States
158,671
14,362,899
37,733,541
Electric
Utilities
0.5%
NextEra
Energy,
Inc.
...................................
United
States
336,418
27,206,124
Entertainment
0.6%
a
Walt
Disney
Co.
(The)
..................................
United
States
191,533
32,210,105
Equity
Real
Estate
Investment
Trusts
(REITs)
2.3%
American
Tower
Corp.
..................................
United
States
92,470
21,023,979
SBA
Communications
Corp.
.............................
United
States
377,164
101,332,652
122,356,631
Food
Products
1.4%
a
Freshpet
,
Inc.
........................................
United
States
207,987
28,974,669
Lamb
Weston
Holdings,
Inc.
.............................
United
States
359,009
26,817,972
a
Nomad
Foods
Ltd.
....................................
United
Kingdom
874,298
21,944,880
77,737,521
Health
Care
Equipment
&
Supplies
6.5%
Danaher
Corp.
.......................................
United
States
276,594
65,785,117
a
Edwards
Lifesciences
Corp.
.............................
United
States
585,589
48,357,940
a
IDEXX
Laboratories,
Inc.
................................
United
States
98,571
47,183,966
a
Intuitive
Surgical,
Inc.
..................................
United
States
52,921
39,565,856
Franklin
Strategic
Series
Statement
of
Investments
(unaudited)
Franklin
Growth
Opportunities
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
5
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Common
Stocks
(continued)
Health
Care
Equipment
&
Supplies
(continued)
a
Nevro
Corp.
.........................................
United
States
313,282
$
50,685,895
West
Pharmaceutical
Services,
Inc.
........................
United
States
337,815
101,172,214
352,750,988
Health
Care
Providers
&
Services
2.2%
a
Guardant
Health,
Inc.
..................................
United
States
170,094
26,449,617
UnitedHealth
Group,
Inc.
................................
United
States
273,814
91,338,874
117,788,491
Health
Care
Technology
1.9%
a
Veeva
Systems,
Inc.,
A
.................................
United
States
366,940
101,436,894
Hotels,
Restaurants
&
Leisure
1.4%
a
Airbnb,
Inc.,
A
........................................
United
States
22,400
4,113,312
a
Chipotle
Mexican
Grill,
Inc.
..............................
United
States
39,040
57,779,200
Starbucks
Corp.
......................................
United
States
133,795
12,952,694
74,845,206
Industrial
Conglomerates
1.6%
Honeywell
International,
Inc.
.............................
United
States
196,100
38,312,057
Roper
Technologies,
Inc.
................................
United
States
120,978
47,533,466
85,845,523
Interactive
Media
&
Services
3.3%
a
Alphabet,
Inc.,
C
......................................
United
States
68,168
125,138,724
a
Facebook,
Inc.,
A
.....................................
United
States
142,781
36,884,616
a
ZoomInfo
Technologies,
Inc.,
A
...........................
United
States
302,278
14,512,367
176,535,707
Internet
&
Direct
Marketing
Retail
9.2%
a
Amazon.com,
Inc.
.....................................
United
States
144,019
461,753,718
a
Booking
Holdings,
Inc.
.................................
United
States
13,169
25,604,882
c,d
Marqeta
,
Inc.
.........................................
United
States
111,300
1,041,610
c,d
Marqeta
,
Inc.
.........................................
United
States
1,084,945
10,153,544
498,553,754
IT
Services
13.2%
a
Black
Knight,
Inc.
.....................................
United
States
360,298
29,432,744
Mastercard
,
Inc.,
A
....................................
United
States
634,990
200,840,987
a
Okta
,
Inc.
...........................................
United
States
96,161
24,906,661
a
PayPal
Holdings,
Inc.
..................................
United
States
439,575
102,996,818
a
Shopify,
Inc.,
A
.......................................
Canada
53,223
58,470,255
a
Snowflake,
Inc.,
A
.....................................
United
States
132,704
36,155,205
a
Twilio
,
Inc.,
A
.........................................
United
States
302,396
108,690,194
Visa,
Inc.,
A
..........................................
United
States
784,241
151,554,573
713,047,437
Leisure
Products
0.5%
a
Peloton
Interactive,
Inc.,
A
...............................
United
States
177,543
25,944,359
Life
Sciences
Tools
&
Services
1.4%
a
Illumina,
Inc.
.........................................
United
States
69,033
29,438,432
a
Maravai
LifeSciences
Holdings,
Inc.,
A
.....................
United
States
131,900
4,595,396
a,b
Wuxi
Biologics
Cayman,
Inc.,
ADR
........................
China
1,397,091
39,803,123
73,836,951
Franklin
Strategic
Series
Statement
of
Investments
(unaudited)
Franklin
Growth
Opportunities
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
6
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Common
Stocks
(continued)
Media
0.8%
a
Liberty
Broadband
Corp.,
C
..............................
United
States
289,314
$
42,254,310
Pharmaceuticals
1.8%
b
AstraZeneca
plc,
ADR
..................................
United
Kingdom
648,172
32,797,503
a
Catalent
,
Inc.
........................................
United
States
345,883
39,793,839
a
Reata
Pharmaceuticals,
Inc.,
A
...........................
United
States
114,500
11,861,055
Royalty
Pharma
plc,
A
..................................
United
States
325,046
15,280,413
99,732,810
Professional
Services
4.2%
a
CoStar
Group,
Inc.
....................................
United
States
139,279
125,310,709
TransUnion
..........................................
United
States
278,366
24,228,977
Verisk
Analytics,
Inc.
...................................
United
States
418,506
76,795,851
226,335,537
Road
&
Rail
0.9%
Union
Pacific
Corp.
....................................
United
States
247,411
48,856,250
Semiconductors
&
Semiconductor
Equipment
3.6%
Analog
Devices,
Inc.
...................................
United
States
250,576
36,917,362
Monolithic
Power
Systems,
Inc.
...........................
United
States
178,021
63,249,081
NVIDIA
Corp.
........................................
United
States
187,780
97,568,610
197,735,053
Software
17.5%
a
Adobe,
Inc.
..........................................
United
States
210,947
96,776,155
a
Atlassian
Corp.
plc,
A
..................................
United
States
80,156
18,526,456
a
Autodesk,
Inc.
........................................
United
States
71,892
19,944,998
a
Avalara,
Inc.
.........................................
United
States
38,000
5,700,000
a,c,d,e
Avidxchange
,
Inc.
.....................................
United
States
255,039
13,606,079
a
Bill.com
Holdings,
Inc.
..................................
United
States
600,289
73,163,223
a
DocuSign,
Inc.
.......................................
United
States
153,218
35,682,940
Intuit,
Inc.
...........................................
United
States
79,849
28,843,854
Microsoft
Corp.
.......................................
United
States
1,058,741
245,585,562
a
Paycom
Software,
Inc.
.................................
United
States
66,255
25,159,674
a
PTC,
Inc.
...........................................
United
States
278,539
37,020,619
a
Qualtrics
International,
Inc.,
A
............................
United
States
47,900
2,107,600
a
salesforce.com,
Inc.
...................................
United
States
230,696
52,035,790
a
ServiceNow
,
Inc.
......................................
United
States
296,126
160,843,798
a
Synopsys,
Inc.
.......................................
United
States
171,819
43,891,164
a
Tyler
Technologies,
Inc.
.................................
United
States
71,470
30,216,801
a
Workday,
Inc.,
A
......................................
United
States
127,073
28,912,920
a
Zendesk
,
Inc.
........................................
United
States
185,645
26,777,435
944,795,068
Specialty
Retail
0.2%
a
Burlington
Stores,
Inc.
..................................
United
States
51,461
12,808,643
Technology
Hardware,
Storage
&
Peripherals
3.9%
Apple,
Inc.
..........................................
United
States
1,619,864
213,757,253
Textiles,
Apparel
&
Luxury
Goods
1.0%
a,c
Figs,
Inc.
............................................
United
States
230,802
17,756,521
NIKE,
Inc.,
B
.........................................
United
States
259,006
34,600,612
52,357,133
Franklin
Strategic
Series
Statement
of
Investments
(unaudited)
Franklin
Growth
Opportunities
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
7
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Common
Stocks
(continued)
Wireless
Telecommunication
Services
1.1%
a
T-Mobile
US,
Inc.
.....................................
United
States
484,374
$
61,069,874
Total
Common
Stocks
(Cost
$1,794,354,438)
....................................
5,049,345,322
Preferred
Stocks
4.7%
Airlines
0.4%
a,c,d
Wheels
Up
Partners
LLC,
D
.............................
United
States
5,028,735
21,373,874
a
Automobiles
1.4%
a,c,f
Proterra
,
Inc.,
144A,
5
..................................
United
States
2,362,202
44,823,945
a,c,d
Proterra
,
Inc.,
144A,
6
..................................
United
States
596,775
11,324,099
a,c,d
Proterra
,
Inc.,
7
.......................................
United
States
780,667
14,813,541
a,c
Proterra
,
Inc.,
8
.......................................
United
States
289,016
5,484,221
76,445,806
Commercial
Services
&
Supplies
0.3%
a,c,d
Optoro
,
Inc.,
E
.......................................
United
States
509,182
14,364,065
a
Food
&
Staples
Retailing
0.3%
a,c,d
Sweetgreen
,
Inc.,
H
...................................
United
States
928,488
13,915,616
a,c,d
Sweetgreen
,
Inc.,
I
....................................
United
States
100,835
1,725,899
a,c,d
Sweetgreen
,
Inc.,
J
....................................
United
States
76,670
1,312,289
16,953,804
Health
Care
Providers
&
Services
0.5%
a,c,d
Tempus
Labs,
Inc.,
F
...................................
United
States
504,854
22,444,648
a,c,d
Tempus
Labs,
Inc.,
G
..................................
United
States
126,131
5,939,834
28,384,482
Internet
&
Direct
Marketing
Retail
0.4%
a,c,d
Fanatics,
Inc.,
E
......................................
United
States
920,577
17,048,344
a,c,d
Marqeta
,
Inc.,
A
.......................................
United
States
181,494
1,698,526
a,c,d
Marqeta
,
Inc.,
B
......................................
United
States
19,136
179,086
18,925,956
IT
Services
0.3%
a,c,d,e
HashiCorp
,
Inc.,
E
.....................................
United
States
415,102
18,635,477
a
Software
1.1%
a,c,d
ClearMotion
,
Inc.,
C
...................................
United
States
2,610,594
7,460,683
a,c,d
ClearMotion
,
Inc.,
D
...................................
United
States
3,698,772
11,440,454
a,c,d
Confluent,
Inc.,
E
.....................................
United
States
642,459
10,904,782
a,c,d
Gitlab
,
Inc.,
E
........................................
United
States
201,294
9,609,815
a,c,d,e
Talkdesk
,
Inc.,
C
......................................
United
States
1,753,060
11,964,471
a,c
Tanium,
Inc.,
G
.......................................
United
States
805,800
9,342,674
60,722,879
Total
Preferred
Stocks
(Cost
$157,048,048)
.....................................
255,806,343
Warrants
Warrants
0.0%
†
Food
&
Staples
Retailing
0.0%
†
a,c,d
Sweetgreen
,
Inc.,
1/20/26
...............................
United
States
23,001
739
Total
Warrants
(Cost
$—)
.....................................................
739
Total
Long
Term
Investments
(Cost
$1,951,402,486)
.............................
5,305,152,404
a
Franklin
Strategic
Series
Statement
of
Investments
(unaudited)
Franklin
Growth
Opportunities
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
8
See
Abbreviations
on
page
78
.
Short
Term
Investments
1.8%
a
a
Country
Shares
a
Value
a
Money
Market
Funds
1.8%
g,h
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0%
........
United
States
95,274,698
$
95,274,698
Total
Money
Market
Funds
(Cost
$95,274,698)
..................................
95,274,698
a
a
a
a
a
Investments
from
Cash
Collateral
Received
for
Loaned
Securities
0.0%
†
Money
Market
Funds
0.0%
†
g,h
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0%
........
United
States
1,434,100
1,434,100
Total
Investments
from
Cash
Collateral
Received
for
Loaned
Securities
(Cost
$1,434,100)
............................................................
1,434,100
Total
Short
Term
Investments
(Cost
$96,708,798
)
................................
96,708,798
a
Total
Investments
(Cost
$2,048,111,284)
100.0%
.................................
$5,401,861,202
Other
Assets,
less
Liabilities
0.0%
†
............................................
497,369
Net
Assets
100.0%
...........................................................
$5,402,358,571
†
Rounds
to
less
than
0.1%
of
net
assets.
a
Non-income
producing.
b
A
portion
or
all
of
the
security
is
on
loan
at
January
31,
2021.
c
Fair
valued
using
significant
unobservable
inputs.
See
Note
12
regarding
fair
value
measurements.
d
See
Note
7
regarding
restricted
securities.
e
See
Note
9
regarding
holdings
of
5%
voting
securities.
f
Security
was
purchased
pursuant
to
Rule
144A
or
Regulation
S
under
the
Securities
Act
of
1933.
144A
securities
may
be
sold
in
transactions
exempt
from
registration
only
to
qualified
institutional
buyers
or
in
a
public
offering
registered
under
the
Securities
Act
of
1933.
Regulation
S
securities
cannot
be
sold
in
the
United
States
without
either
an
effective
registration
statement
filed
pursuant
to
the
Securities
Act
of
1933,
or
pursuant
to
an
exemption
from
registration.
At
January
31,
2021,
the
aggregate
value
of
these
securities
was
$44,823,945,
representing
0.8%
of
net
assets.
g
See
Note
10
regarding
investments
in
affiliated
management
investment
companies.
h
The
rate
shown
is
the
annualized
seven-day
effective
yield
at
period
end.
Franklin
Strategic
Series
Statement
of
Investments
(unaudited),
January
31,
2021
Franklin
Natural
Resources
Fund
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
9
a
a
Country
Shares
a
Value
a
Common
Stocks
97.8%
Agricultural
Products
1.0%
Bunge
Ltd.
..........................................
United
States
14,600
$
955,424
a
Darling
Ingredients,
Inc.
................................
United
States
15,000
930,150
1,885,574
Application
Software
0.6%
a
Aspen
Technology,
Inc.
.................................
United
States
6,300
843,570
a
C3.ai,
Inc.,
A
.........................................
United
States
2,000
279,200
1,122,770
Construction
Materials
1.1%
Martin
Marietta
Materials,
Inc.
............................
United
States
7,400
2,126,834
a
Copper
8.2%
Antofagasta
plc
.......................................
Chile
303,300
5,914,856
First
Quantum
Minerals
Ltd.
.............................
Zambia
133,500
2,223,782
Freeport-McMoRan,
Inc.
................................
United
States
160,400
4,316,364
a
Imperial
Metals
Corp.
..................................
Canada
111,600
383,142
Lundin
Mining
Corp.
...................................
Chile
379,600
3,384,250
16,222,394
Diversified
Chemicals
0.5%
Huntsman
Corp.
......................................
United
States
39,200
1,035,664
a
Diversified
Metals
&
Mining
8.6%
Anglo
American
plc
....................................
South
Africa
100,300
3,299,093
BHP
Group
plc,
ADR
...................................
Australia
131,600
7,187,992
a
Glencore
plc
.........................................
Australia
569,200
1,899,993
Rio
Tinto
plc,
ADR
.....................................
Australia
42,800
3,270,776
Teck
Resources
Ltd.,
B
.................................
Canada
78,100
1,427,668
17,085,522
Electrical
Components
&
Equipment
0.4%
a
Array
Technologies,
Inc.
................................
United
States
6,500
264,940
a
Shoals
Technologies
Group,
Inc.,
A
........................
United
States
16,300
553,059
817,999
Environmental
&
Facilities
Services
0.7%
US
Ecology,
Inc.
......................................
United
States
41,600
1,372,800
a
Fertilizers
&
Agricultural
Chemicals
1.5%
Corteva
,
Inc.
.........................................
United
States
37,800
1,506,708
Nutrien
Ltd.
..........................................
Canada
30,500
1,499,685
3,006,393
Gold
10.7%
Agnico
Eagle
Mines
Ltd.
................................
Canada
33,800
2,359,682
Alamos
Gold,
Inc.,
A
...................................
Canada
261,900
2,101,426
B2Gold
Corp.
........................................
Canada
290,100
1,433,825
Barrick
Gold
Corp.
....................................
Canada
270,391
6,048,647
Newcrest
Mining
Ltd.
...................................
Australia
26,800
509,340
Newmont
Corp.
.......................................
United
States
117,615
7,009,854
a
SSR
Mining,
Inc.
......................................
Canada
98,600
1,734,867
21,197,641
Heavy
Electrical
Equipment
0.7%
a
TPI
Composites,
Inc.
...................................
United
States
21,500
1,288,065
a
Industrial
Gases
2.1%
Air
Products
and
Chemicals,
Inc.
..........................
United
States
7,700
2,054,052
Franklin
Strategic
Series
Statement
of
Investments
(unaudited)
Franklin
Natural
Resources
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
10
a
a
Country
Shares
a
Value
a
Common
Stocks
(continued)
Industrial
Gases
(continued)
Linde
plc
............................................
United
Kingdom
8,700
$
2,134,980
4,189,032
Integrated
Oil
&
Gas
15.0%
Chevron
Corp.
.......................................
United
States
85,700
7,301,640
Exxon
Mobil
Corp.
.....................................
United
States
141,900
6,362,796
Occidental
Petroleum
Corp.
.............................
United
States
130,100
2,609,806
Royal
Dutch
Shell
plc,
ADR,
A
............................
Netherlands
94,421
3,483,191
Suncor
Energy,
Inc.
....................................
Canada
307,400
5,142,165
TOTAL
SE,
ADR
......................................
France
112,410
4,730,213
29,629,811
Investment
Banking
&
Brokerage
1.1%
a,b
ArcLight
Clean
Transition
Corp.
...........................
United
States
18,500
386,655
a
ArcLight
Clean
Transition
Corp.,
A
.........................
United
States
35,300
846,141
a,b
Spartan
Acquisition
Corp.
II,
A
............................
United
States
74,343
873,076
2,105,872
Oil
&
Gas
Drilling
1.0%
Helmerich
&
Payne,
Inc.
................................
United
States
33,300
808,524
Patterson-UTI
Energy,
Inc.
..............................
United
States
177,200
1,089,780
1,898,304
Oil
&
Gas
Equipment
&
Services
9.2%
Baker
Hughes
Co.
.....................................
United
States
117,200
2,354,548
Cactus,
Inc.,
A
........................................
United
States
29,100
762,420
a
ChampionX
Corp.
.....................................
United
States
92,200
1,409,738
Halliburton
Co.
.......................................
United
States
79,735
1,405,728
Liberty
Oilfield
Services,
Inc.,
A
...........................
United
States
84,000
1,009,680
a
NexTier
Oilfield
Solutions,
Inc.
............................
United
States
312,522
1,037,573
a
Nine
Energy
Service,
Inc.
...............................
United
States
279,983
725,156
a
Oceaneering
International,
Inc.
...........................
United
States
77,900
658,255
a
Oil
States
International,
Inc.
.............................
United
States
117,066
655,570
a
Ranger
Energy
Services,
Inc.
............................
United
States
169,957
769,905
Schlumberger
NV
.....................................
United
States
150,647
3,345,870
Schoeller-Bleckmann
Oilfield
Equipment
AG
.................
Austria
27,200
1,021,037
a
Select
Energy
Services,
Inc.,
A
...........................
United
States
179,219
899,679
TechnipFMC
plc
......................................
United
Kingdom
204,500
2,186,105
18,241,264
Oil
&
Gas
Exploration
&
Production
19.3%
Aker
BP
ASA
.........................................
Norway
40,200
998,432
Cabot
Oil
&
Gas
Corp.
.................................
United
States
388,716
7,125,164
Cairn
Energy
plc
......................................
United
Kingdom
592,328
1,461,178
Canadian
Natural
Resources
Ltd.
.........................
Canada
172,600
3,899,596
ConocoPhillips
.......................................
United
States
142,291
5,695,909
Devon
Energy
Corp.
...................................
United
States
258,182
4,249,676
EOG
Resources,
Inc.
..................................
United
States
107,300
5,468,008
EQT
Corp.
..........................................
United
States
108,500
1,769,635
Hess
Corp.
..........................................
United
States
56,600
3,055,268
Pioneer
Natural
Resources
Co.
...........................
United
States
38,201
4,618,501
38,341,367
Oil
&
Gas
Refining
&
Marketing
6.6%
Marathon
Petroleum
Corp.
..............................
United
States
95,600
4,126,096
New
Fortress
Energy,
Inc.
...............................
United
States
18,100
808,708
Phillips
66
...........................................
United
States
62,900
4,264,620
Franklin
Strategic
Series
Statement
of
Investments
(unaudited)
Franklin
Natural
Resources
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
11
See
Abbreviations
on
page
78
.
a
a
Country
Shares
a
Value
a
Common
Stocks
(continued)
Oil
&
Gas
Refining
&
Marketing
(continued)
Valero
Energy
Corp.
...................................
United
States
65,000
$
3,667,950
12,867,374
Oil
&
Gas
Storage
&
Transportation
6.1%
Enbridge,
Inc.
........................................
Canada
60,247
2,024,299
Kinder
Morgan,
Inc.
....................................
United
States
98,100
1,381,248
Targa
Resources
Corp.
.................................
United
States
66,200
1,811,894
TC
Energy
Corp.
......................................
Canada
60,900
2,614,437
Williams
Cos.,
Inc.
(The)
................................
United
States
207,500
4,405,225
12,237,103
Packaged
Foods
&
Meats
0.7%
a
Nomad
Foods
Ltd.
....................................
United
Kingdom
57,600
1,445,760
a
Paper
Packaging
0.5%
Packaging
Corp.
of
America
.............................
United
States
7,200
968,112
a
Semiconductor
Equipment
0.2%
a
SolarEdge
Technologies,
Inc.
............................
United
States
1,800
518,994
a
Steel
1.2%
Vale
SA,
ADR
........................................
Brazil
146,600
2,367,590
a
Trading
Companies
&
Distributors
0.8%
a
Univar
Solutions,
Inc.
..................................
United
States
85,700
1,593,163
a
Total
Common
Stocks
(Cost
$156,434,953)
.....................................
193,565,402
Warrants
a
a
a
a
a
Warrants
0.1%
Integrated
Oil
&
Gas
0.1%
a
Occidental
Petroleum
Corp.
,
8/03/27
.......................
United
States
17,900
156,625
Total
Warrants
(Cost
$88,605)
.................................................
156,625
Total
Long
Term
Investments
(Cost
$156,523,558)
...............................
193,722,027
a
Short
Term
Investments
2.7%
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Money
Market
Funds
2.7%
c,d
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0%
........
United
States
5,422,091
5,422,091
Total
Money
Market
Funds
(Cost
$5,422,091)
...................................
5,422,091
Total
Short
Term
Investments
(Cost
$5,422,091
)
.................................
5,422,091
a
Total
Investments
(Cost
$161,945,649)
100.6%
..................................
$199,144,118
Other
Assets,
less
Liabilities
(0.6)%
...........................................
(1,295,008)
Net
Assets
100.0%
...........................................................
$197,849,110
a
Non-income
producing.
b
Fair
valued
using
significant
unobservable
inputs.
See
Note
12
regarding
fair
value
measurements.
c
See
Note
10
regarding
investments
in
affiliated
management
investment
companies.
Franklin
Strategic
Series
Statement
of
Investments
(unaudited)
Franklin
Natural
Resources
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
12
d
The
rate
shown
is
the
annualized
seven-day
effective
yield
at
period
end.
Franklin
Strategic
Series
Statement
of
Investments
(unaudited),
January
31,
2021
Franklin
Small
Cap
Growth
Fund
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
13
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Common
Stocks
92.9%
Aerospace
&
Defense
3.8%
a
Axon
Enterprise,
Inc.
...................................
United
States
137,600
$
22,588,416
BWX
Technologies,
Inc.
................................
United
States
625,100
33,705,392
Cubic
Corp.
.........................................
United
States
772,263
47,247,050
a
Kratos
Defense
&
Security
Solutions,
Inc.
...................
United
States
690,264
18,319,607
a
Mercury
Systems,
Inc.
..................................
United
States
401,116
28,503,303
150,363,768
Airlines
1.8%
Allegiant
Travel
Co.
....................................
United
States
393,248
71,370,580
Banks
2.1%
Pinnacle
Financial
Partners,
Inc.
..........................
United
States
659,804
45,216,368
Western
Alliance
Bancorp
...............................
United
States
569,500
38,828,510
84,044,878
Biotechnology
10.5%
a
Alector
,
Inc.
..........................................
United
States
864,000
14,549,760
a
Argenx
SE,
ADR
......................................
Netherlands
63,700
18,665,374
a
Ascendis
Pharma
A/S,
ADR
.............................
Denmark
178,900
26,861,835
a
Blueprint
Medicines
Corp.
...............................
United
States
203,800
19,717,650
a
Cullinan
Management,
Inc.
..............................
United
States
147,300
5,598,873
a
Deciphera
Pharmaceuticals,
Inc.
..........................
United
States
507,400
22,427,080
a
Dyne
Therapeutics,
Inc.
................................
United
States
377,400
7,295,142
a
Emergent
BioSolutions
,
Inc.
.............................
United
States
392,300
41,917,255
a
Global
Blood
Therapeutics,
Inc.
...........................
United
States
488,700
24,493,644
a
Harpoon
Therapeutics,
Inc.
..............................
United
States
493,300
9,510,824
a
Heron
Therapeutics,
Inc.
................................
United
States
1,775,508
30,822,819
a
Insmed
,
Inc.
.........................................
United
States
673,400
25,313,106
a
Iovance
Biotherapeutics
,
Inc.
.............................
United
States
1,042,900
45,720,736
a
Kura
Oncology,
Inc.
....................................
United
States
230,200
6,894,490
a
PTC
Therapeutics,
Inc.
.................................
United
States
753,100
43,544,242
a
Rocket
Pharmaceuticals,
Inc.
............................
United
States
272,000
14,981,760
a
Sutro
Biopharma,
Inc.
..................................
United
States
697,936
15,459,282
a,b
Taysha
Gene
Therapies,
Inc.
.............................
United
States
372,000
9,672,000
a,b
Trillium
Therapeutics,
Inc.
...............................
Canada
717,900
9,440,385
a
Twist
Bioscience
Corp.
.................................
United
States
118,362
19,475,284
412,361,541
Building
Products
0.8%
a
Masonite
International
Corp.
.............................
United
States
294,000
29,253,000
Capital
Markets
3.7%
a,c
ArcLight
Clean
Transition
Corp.
...........................
United
States
336,400
7,030,853
Ares
Management
Corp.
................................
United
States
415,800
18,777,528
Artisan
Partners
Asset
Management,
Inc.,
A
.................
United
States
154,572
7,481,285
Evercore
,
Inc.,
A
......................................
United
States
301,000
32,839,100
Houlihan
Lokey
,
Inc.
...................................
United
States
545,000
35,343,250
a,c
Spartan
Acquisition
Corp.
II,
A
............................
United
States
714,286
8,388,494
a
StepStone
Group,
Inc.,
A
................................
United
States
284,720
9,999,366
a,c
TPG
Pace
Governance
LLC,
A
...........................
United
States
2,500,000
25,000,000
144,859,876
Chemicals
1.2%
a
Ingevity
Corp.
........................................
United
States
684,686
44,977,023
Commercial
Services
&
Supplies
1.8%
Healthcare
Services
Group,
Inc.
..........................
United
States
822,800
26,675,176
a,c,d
Legalzoom.com,
Inc.
...................................
United
States
1,431,280
19,990,589
Franklin
Strategic
Series
Statement
of
Investments
(unaudited)
Franklin
Small
Cap
Growth
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
14
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Common
Stocks
(continued)
Commercial
Services
&
Supplies
(continued)
a
US
Ecology,
Inc.
......................................
United
States
729,376
$
24,069,408
70,735,173
Communications
Equipment
1.9%
a,b
ViaSat
,
Inc.
..........................................
United
States
940,283
40,939,922
a
Viavi
Solutions,
Inc.
....................................
United
States
2,253,900
34,822,755
75,762,677
Construction
&
Engineering
2.1%
Arcosa
,
Inc.
.........................................
United
States
903,800
50,423,002
Granite
Construction,
Inc.
...............................
United
States
1,049,543
31,076,968
81,499,970
Consumer
Finance
0.7%
a
PRA
Group,
Inc.
......................................
United
States
775,900
25,581,423
Diversified
Consumer
Services
1.0%
a
Grand
Canyon
Education,
Inc.
............................
United
States
460,600
39,123,364
Electrical
Equipment
0.1%
a
Shoals
Technologies
Group,
Inc.,
A
........................
United
States
110,600
3,752,658
Electronic
Equipment,
Instruments
&
Components
0.5%
a
Vontier
Corp.
.........................................
United
States
653,200
21,183,276
Equity
Real
Estate
Investment
Trusts
(REITs)
1.1%
Rexford
Industrial
Realty,
Inc.
............................
United
States
897,100
43,904,074
Food
&
Staples
Retailing
1.6%
a
Grocery
Outlet
Holding
Corp.
............................
United
States
985,694
42,079,277
a
Performance
Food
Group
Co.
............................
United
States
400,200
18,761,376
60,840,653
Food
Products
2.2%
a
Hostess
Brands,
Inc.
...................................
United
States
1,147,600
17,615,660
a
Nomad
Foods
Ltd.
....................................
United
Kingdom
1,212,000
30,421,200
a
Simply
Good
Foods
Co.
(The)
............................
United
States
1,385,500
39,542,170
87,579,030
Health
Care
Equipment
&
Supplies
5.7%
a,b
CryoPort
,
Inc.
........................................
United
States
217,800
14,853,960
a
Haemonetics
Corp.
....................................
United
States
249,600
28,526,784
a
Inari
Medical,
Inc.
.....................................
United
States
182,400
17,404,608
a
Integer
Holdings
Corp.
.................................
United
States
521,400
38,479,320
a
iRhythm
Technologies,
Inc.
..............................
United
States
180,697
30,432,989
a
Neogen
Corp.
........................................
United
States
165,466
13,381,235
a
Nevro
Corp.
.........................................
United
States
204,300
33,053,697
a,b
Penumbra,
Inc.
.......................................
United
States
141,200
36,865,908
a
Pulmonx
Corp.
.......................................
United
States
185,400
10,515,888
223,514,389
Health
Care
Providers
&
Services
2.4%
a
1Life
Healthcare,
Inc.
..................................
United
States
843,200
42,665,920
a
HealthEquity
,
Inc.
.....................................
United
States
473,016
39,520,487
a
Oak
Street
Health,
Inc.
.................................
United
States
206,500
10,711,155
92,897,562
Health
Care
Technology
4.4%
a
Accolade,
Inc.
........................................
United
States
318,700
16,154,903
Franklin
Strategic
Series
Statement
of
Investments
(unaudited)
Franklin
Small
Cap
Growth
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
15
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Common
Stocks
(continued)
Health
Care
Technology
(continued)
a,b
Certara
,
Inc.
.........................................
United
States
300,700
$
10,350,094
a
Inspire
Medical
Systems,
Inc.
............................
United
States
278,844
56,189,854
a
Phreesia
,
Inc.
........................................
United
States
906,082
59,158,094
a,b
Tabula
Rasa
HealthCare,
Inc.
............................
United
States
549,000
31,177,710
173,030,655
Hotels,
Restaurants
&
Leisure
3.7%
Extended
Stay
America,
Inc.
.............................
United
States
2,116,100
31,064,348
Red
Rock
Resorts,
Inc.,
A
...............................
United
States
1,243,300
29,192,684
Texas
Roadhouse,
Inc.
.................................
United
States
428,100
32,625,501
Wingstop
,
Inc.
........................................
United
States
332,729
49,925,986
142,808,519
Household
Durables
2.1%
a
M/I
Homes,
Inc.
.......................................
United
States
976,546
48,212,076
a
Tri
Pointe
Homes,
Inc.
..................................
United
States
1,670,300
33,740,060
81,952,136
Insurance
0.9%
James
River
Group
Holdings
Ltd.
.........................
United
States
317,700
14,131,296
a
Selectquote
,
Inc.
......................................
United
States
1,062,500
22,440,000
36,571,296
Internet
&
Direct
Marketing
Retail
0.4%
a,c,d
Marqeta
,
Inc.
.........................................
United
States
1,199,415
11,224,821
a
MYT
Netherlands
Parent
BV,
ADR
.........................
Germany
115,900
3,815,428
15,040,249
IT
Services
6.2%
a
LiveRamp
Holdings,
Inc.
................................
United
States
665,200
50,362,292
ManTech
International
Corp.,
A
...........................
United
States
355,610
31,894,661
a,c,d,e
Paya
Holdings,
Inc.
....................................
United
States
2,000,000
25,920,000
a
Repay
Holdings
Corp.
..................................
United
States
1,618,400
35,847,560
Science
Applications
International
Corp.
....................
United
States
445,500
42,781,365
a
Shift4
Payments,
Inc.,
A
................................
United
States
460,200
29,917,602
a
USA
Technologies,
Inc.
.................................
United
States
2,443,800
24,242,496
240,965,976
Life
Sciences
Tools
&
Services
1.4%
a
NeoGenomics
,
Inc.
....................................
United
States
1,017,300
53,937,246
Machinery
1.5%
Kennametal,
Inc.
......................................
United
States
1,256,200
47,584,856
a
RBC
Bearings,
Inc.
....................................
United
States
69,000
11,545,770
59,130,626
Personal
Products
0.8%
a
BellRing
Brands,
Inc.,
A
.................................
United
States
1,261,200
29,335,512
Pharmaceuticals
2.7%
a
Collegium
Pharmaceutical,
Inc.
...........................
United
States
350,035
8,449,845
a
GW
Pharmaceuticals
plc,
ADR
...........................
United
Kingdom
322,500
49,171,575
a
Reata
Pharmaceuticals,
Inc.,
A
...........................
United
States
236,574
24,506,701
a
Revance
Therapeutics,
Inc.
..............................
United
States
971,692
24,719,844
106,847,965
Semiconductors
&
Semiconductor
Equipment
5.4%
a
Allegro
MicroSystems
,
Inc.
..............................
Japan
502,600
14,032,592
Franklin
Strategic
Series
Statement
of
Investments
(unaudited)
Franklin
Small
Cap
Growth
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
16
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Common
Stocks
(continued)
Semiconductors
&
Semiconductor
Equipment
(continued)
a
Lattice
Semiconductor
Corp.
.............................
United
States
1,478,700
$
59,310,657
a
Onto
Innovation,
Inc.
...................................
United
States
857,309
46,337,552
a
Semtech
Corp.
.......................................
United
States
717,500
50,906,625
a
Silicon
Laboratories,
Inc.
................................
United
States
311,100
40,806,987
211,394,413
Software
8.2%
a
Alteryx,
Inc.,
A
........................................
United
States
230,200
29,016,710
a
Avalara,
Inc.
.........................................
United
States
200,546
30,081,900
a
Bill.com
Holdings,
Inc.
..................................
United
States
135,708
16,540,091
a,c
BTRS
Holdings,
Inc.
...................................
United
States
2,000,000
32,400,000
a
Datto
Holding
Corp.
...................................
United
States
783,100
18,684,766
a,b
Duck
Creek
Technologies,
Inc.
...........................
United
States
450,969
21,799,841
a
Envestnet
,
Inc.
.......................................
United
States
411,822
31,599,102
a,c,d
Hims
&
Hers
Health,
Inc.,
A
..............................
United
States
1,000,000
18,990,000
a
HubSpot
,
Inc.
........................................
United
States
80,429
29,935,674
a
Paylocity
Holding
Corp.
.................................
United
States
204,532
38,341,569
a
Q2
Holdings,
Inc.
.....................................
United
States
274,400
35,120,456
a
Zendesk
,
Inc.
........................................
United
States
135,314
19,517,691
322,027,800
Specialty
Retail
7.1%
American
Eagle
Outfitters,
Inc.
...........................
United
States
2,609,800
59,216,362
a
Boot
Barn
Holdings,
Inc.
................................
United
States
715,560
40,958,654
a
Five
Below,
Inc.
.......................................
United
States
277,200
48,712,356
Lithia
Motors,
Inc.,
A
...................................
United
States
153,426
48,893,798
a,b
Petco
Health
&
Wellness
Co.,
Inc.
.........................
United
States
867,800
22,588,834
a
RH
................................................
United
States
55,500
26,382,480
a
Urban
Outfitters,
Inc.
...................................
United
States
1,084,200
29,739,606
276,492,090
Textiles,
Apparel
&
Luxury
Goods
0.9%
Steven
Madden
Ltd.
...................................
United
States
1,082,650
36,377,040
Trading
Companies
&
Distributors
2.2%
a
Beacon
Roofing
Supply,
Inc.
.............................
United
States
1,163,000
46,252,510
a
Univar
Solutions,
Inc.
..................................
United
States
2,179,032
40,508,205
86,760,715
Total
Common
Stocks
(Cost
$2,219,202,195)
....................................
3,636,277,153
Preferred
Stocks
5.0%
Airlines
0.5%
a,c,d
Wheels
Up
Partners
LLC,
D
.............................
United
States
4,310,344
18,320,462
a
Auto
Components
0.2%
a,c,d
Tula
eTechnology
,
Inc.
..................................
United
States
361,111
—
a,c,d
Tula
eTechnology
,
Inc.,
E
...............................
United
States
3,611,111
7,680,761
7,680,761
Automobiles
1.7%
a,c,d
Proterra
,
Inc.,
144A,
5
..................................
United
States
1,787,047
33,910,096
a,c,d
Proterra
,
Inc.,
144A,
6
..................................
United
States
1,310,834
24,873,720
a,c,d
Proterra
,
Inc.,
7
.......................................
United
States
536,367
10,177,828
68,961,644
Franklin
Strategic
Series
Statement
of
Investments
(unaudited)
Franklin
Small
Cap
Growth
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
17
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Preferred
Stocks
(continued)
Commercial
Services
&
Supplies
0.4%
a,c,d
Optoro
,
Inc.,
E
.......................................
United
States
508,130
$
14,334,388
a
Diversified
Consumer
Services
0.4%
a,c
Newsela
,
Inc.,
D
......................................
United
States
709,046
14,999,996
a
Food
&
Staples
Retailing
0.2%
a,c,d
Sweetgreen
,
Inc.,
H
...................................
United
States
383,435
5,746,691
a,c,d
Sweetgreen
,
Inc.,
I
....................................
United
States
41,641
712,730
a,c,d
Sweetgreen
,
Inc.,
J
....................................
United
States
113,300
1,939,251
8,398,672
Software
0.8%
a,c,d
Alkami
Technology,
Inc.,
F
...............................
United
States
343,750
6,295,537
a,c,d
ClearMotion
,
Inc.,
D
...................................
United
States
3,698,772
11,440,453
a,c,d
Smule
,
Inc.,
144A,
G
...................................
United
States
1,542,673
10,088,702
a,c,d
Smule
,
Inc.,
144A,
H
...................................
United
States
352,675
2,678,331
30,503,023
Specialty
Retail
0.4%
a,c,d
Rent
the
Runway,
Inc.,
144A,
F
...........................
United
States
596,471
13,439,961
a,c,d
Rent
the
Runway,
Inc.,
G
................................
United
States
203,515
3,844,214
17,284,175
Textiles,
Apparel
&
Luxury
Goods
0.4%
a,c,d
Allbirds
,
Inc.,
E
.......................................
United
States
1,297,305
15,588,395
a
Total
Preferred
Stocks
(Cost
$134,845,206)
.....................................
196,071,516
Warrants
Warrants
0.0%
†
Food
&
Staples
Retailing
0.0%
†
a,c,d
Sweetgreen
,
Inc.,
1/20/26
...............................
United
States
33,990
1,093
Total
Warrants
(Cost
$—)
.....................................................
1,093
Total
Long
Term
Investments
(Cost
$2,354,047,401)
.............................
3,832,349,762
a
Short
Term
Investments
4.6%
a
a
Country
Shares
a
Value
a
Money
Market
Funds
3.2%
f,g
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0%
........
United
States
123,251,501
123,251,501
Total
Money
Market
Funds
(Cost
$123,251,501)
.................................
123,251,501
Franklin
Strategic
Series
Statement
of
Investments
(unaudited)
Franklin
Small
Cap
Growth
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
18
See
Abbreviations
on
page
78
.
Short
Term
Investments
(continued)
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Investments
from
Cash
Collateral
Received
for
Loaned
Securities
1.4%
Money
Market
Funds
1.4%
f,g
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0%
........
United
States
56,263,712
$
56,263,712
Total
Investments
from
Cash
Collateral
Received
for
Loaned
Securities
(Cost
$56,263,712)
...........................................................
56,263,712
Total
Short
Term
Investments
(Cost
$179,515,213
)
...............................
179,515,213
a
Total
Investments
(Cost
$2,533,562,614)
102.5%
................................
$4,011,864,975
Other
Assets,
less
Liabilities
(2.5)%
...........................................
(97,166,353)
Net
Assets
100.0%
...........................................................
$3,914,698,622
†
Rounds
to
less
than
0.1%
of
net
assets.
a
Non-income
producing.
b
A
portion
or
all
of
the
security
is
on
loan
at
January
31,
2021.
c
Fair
valued
using
significant
unobservable
inputs.
See
Note
12
regarding
fair
value
measurements.
d
See
Note
7
regarding
restricted
securities.
e
See
Note
9
regarding
holdings
of
5%
voting
securities.
f
See
Note
10
regarding
investments
in
affiliated
management
investment
companies.
g
The
rate
shown
is
the
annualized
seven-day
effective
yield
at
period
end.
Franklin
Strategic
Series
Statement
of
Investments
(unaudited),
January
31,
2021
Franklin
Small-Mid
Cap
Growth
Fund
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
19
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Common
Stocks
96.5%
Aerospace
&
Defense
1.2%
a
Mercury
Systems,
Inc.
..................................
United
States
488,000
$
34,677,280
a
TransDigm
Group,
Inc.
.................................
United
States
48,600
26,889,408
61,566,688
Airlines
0.4%
Southwest
Airlines
Co.
.................................
United
States
470,000
20,651,800
Banks
0.5%
a
SVB
Financial
Group
...................................
United
States
17,600
7,704,928
TCF
Financial
Corp.
...................................
United
States
473,300
18,392,438
26,097,366
Biotechnology
3.5%
a
Deciphera
Pharmaceuticals,
Inc.
..........................
United
States
440,500
19,470,100
a
Global
Blood
Therapeutics,
Inc.
...........................
United
States
623,800
31,264,856
a
Heron
Therapeutics,
Inc.
................................
United
States
1,274,000
22,116,640
a
Iovance
Biotherapeutics
,
Inc.
.............................
United
States
990,565
43,426,370
a
PTC
Therapeutics,
Inc.
.................................
United
States
433,000
25,036,060
a
Rocket
Pharmaceuticals,
Inc.
............................
United
States
234,300
12,905,244
a
Seagen
,
Inc.
.........................................
United
States
184,000
30,225,680
184,444,950
Capital
Markets
4.4%
a,b,c
ArcLight
Clean
Transition
Corp.
...........................
United
States
463,400
9,685,188
Ares
Management
Corp.
................................
United
States
846,000
38,205,360
MarketAxess
Holdings,
Inc.
..............................
United
States
106,400
57,536,864
MSCI,
Inc.
...........................................
United
States
174,100
68,821,730
a,b,c
Spartan
Acquisition
Corp.
II,
A
............................
United
States
963,371
11,313,720
Tradeweb
Markets,
Inc.,
A
...............................
United
States
771,600
46,905,564
232,468,426
Chemicals
0.0%
†
a
Ingevity
Corp.
........................................
United
States
10,000
656,900
Commercial
Services
&
Supplies
1.0%
Republic
Services,
Inc.
.................................
United
States
566,000
51,234,320
Construction
Materials
0.7%
Martin
Marietta
Materials,
Inc.
............................
United
States
120,200
34,546,682
Containers
&
Packaging
1.0%
Ball
Corp.
...........................................
United
States
621,000
54,660,420
Electronic
Equipment,
Instruments
&
Components
2.5%
Amphenol
Corp.,
A
....................................
United
States
451,000
56,320,880
a
Keysight
Technologies,
Inc.
..............................
United
States
516,500
73,131,235
129,452,115
Entertainment
3.2%
a
Roku,
Inc.
...........................................
United
States
239,778
93,280,835
a
Spotify
Technology
SA
..................................
United
States
91,800
28,917,000
a
Zynga,
Inc.,
A
........................................
United
States
4,920,000
48,757,200
170,955,035
Equity
Real
Estate
Investment
Trusts
(REITs)
1.9%
SBA
Communications
Corp.
.............................
United
States
282,800
75,979,876
Terreno
Realty
Corp.
...................................
United
States
396,800
22,450,944
98,430,820
Franklin
Strategic
Series
Statement
of
Investments
(unaudited)
Franklin
Small-Mid
Cap
Growth
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
20
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Common
Stocks
(continued)
Food
&
Staples
Retailing
0.4%
a
Grocery
Outlet
Holding
Corp.
............................
United
States
535,500
$
22,860,495
Food
Products
0.2%
a,d
Beyond
Meat,
Inc.
.....................................
United
States
59,600
10,613,568
Health
Care
Equipment
&
Supplies
6.7%
a
Align
Technology,
Inc.
..................................
United
States
43,000
22,591,340
a
DexCom
,
Inc.
........................................
United
States
71,314
26,732,053
a
IDEXX
Laboratories,
Inc.
................................
United
States
210,500
100,762,140
a
Inari
Medical,
Inc.
.....................................
United
States
271,500
25,906,530
a
Insulet
Corp.
.........................................
United
States
160,000
42,748,800
a
iRhythm
Technologies,
Inc.
..............................
United
States
106,350
17,911,467
a
Penumbra,
Inc.
.......................................
United
States
211,247
55,154,479
Teleflex,
Inc.
.........................................
United
States
162,800
61,478,164
353,284,973
Health
Care
Providers
&
Services
2.4%
a
Guardant
Health,
Inc.
..................................
United
States
483,500
75,184,250
a
HealthEquity
,
Inc.
.....................................
United
States
394,100
32,927,055
a
Oak
Street
Health,
Inc.
.................................
United
States
370,300
19,207,461
127,318,766
Health
Care
Technology
2.7%
a,d
American
Well
Corp.,
A
.................................
United
States
533,600
18,894,776
a
Certara
,
Inc.
.........................................
United
States
62,900
2,165,018
a
Teladoc
Health,
Inc.
...................................
United
States
158,241
41,748,723
a
Veeva
Systems,
Inc.,
A
.................................
United
States
281,500
77,817,860
140,626,377
Hotels,
Restaurants
&
Leisure
4.1%
a
Chipotle
Mexican
Grill,
Inc.
..............................
United
States
42,400
62,752,000
a
DraftKings
,
Inc.,
A
.....................................
United
States
976,155
52,819,747
Vail
Resorts,
Inc.
......................................
United
States
177,100
47,101,516
Wingstop
,
Inc.
........................................
United
States
266,500
39,988,325
Wynn
Resorts
Ltd.
....................................
United
States
158,000
15,725,740
218,387,328
Household
Durables
0.9%
a
NVR,
Inc.
...........................................
United
States
10,900
48,466,632
Household
Products
0.9%
Church
&
Dwight
Co.,
Inc.
...............................
United
States
552,200
46,622,246
Interactive
Media
&
Services
2.1%
a
Match
Group,
Inc.
.....................................
United
States
420,859
58,861,340
a
Pinterest,
Inc.,
A
......................................
United
States
729,200
49,957,492
108,818,832
Internet
&
Direct
Marketing
Retail
1.7%
a,d
ContextLogic
,
Inc.,
A
...................................
United
States
315,200
9,478,064
Expedia
Group,
Inc.
...................................
United
States
326,400
40,506,240
a,b,c
Marqeta
,
Inc.
.........................................
United
States
1,070,236
10,015,889
a,d
MYT
Netherlands
Parent
BV,
ADR
.........................
Germany
120,100
3,953,692
a
Wayfair,
Inc.,
A
.......................................
United
States
100,400
27,340,928
91,294,813
IT
Services
10.7%
a,d
BigCommerce
Holdings,
Inc.,
1
...........................
United
States
323,200
25,836,608
a
Black
Knight,
Inc.
.....................................
United
States
897,000
73,275,930
Franklin
Strategic
Series
Statement
of
Investments
(unaudited)
Franklin
Small-Mid
Cap
Growth
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
21
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Common
Stocks
(continued)
IT
Services
(continued)
Booz
Allen
Hamilton
Holding
Corp.
........................
United
States
437,200
$
37,236,324
a
EPAM
Systems,
Inc.
...................................
United
States
69,900
24,075,657
a
GoDaddy
,
Inc.,
A
......................................
United
States
590,300
46,385,774
Jack
Henry
&
Associates,
Inc.
............................
United
States
375,000
54,296,250
a
MongoDB,
Inc.
.......................................
United
States
134,000
49,527,740
a,e
Nuvei
Corp.,
144A,
Reg
S
...............................
Canada
192,200
10,090,500
a
Okta
,
Inc.
...........................................
United
States
331,500
85,861,815
a
Shift4
Payments,
Inc.,
A
................................
United
States
380,800
24,755,808
a
Twilio
,
Inc.,
A
.........................................
United
States
272,600
97,980,618
a
Wix.com
Ltd.
.........................................
Israel
145,500
35,945,775
565,268,799
Life
Sciences
Tools
&
Services
3.5%
a
10X
Genomics,
Inc.,
A
..................................
United
States
260,000
44,499,000
Bio-
Techne
Corp.
.....................................
United
States
170,200
55,299,682
a
Maravai
LifeSciences
Holdings,
Inc.,
A
.....................
United
States
511,700
17,827,628
a
Mettler
-Toledo
International,
Inc.
..........................
United
States
56,100
65,530,410
183,156,720
Machinery
2.0%
Fortive
Corp.
.........................................
United
States
574,500
37,962,960
IDEX
Corp.
..........................................
United
States
212,500
39,565,375
Stanley
Black
&
Decker,
Inc.
.............................
United
States
153,300
26,596,017
104,124,352
Personal
Products
0.5%
a
BellRing
Brands,
Inc.,
A
.................................
United
States
1,104,300
25,686,018
Pharmaceuticals
1.9%
a
GW
Pharmaceuticals
plc,
ADR
...........................
United
Kingdom
224,200
34,183,774
a
Horizon
Therapeutics
plc
................................
United
States
589,000
42,690,720
a
Reata
Pharmaceuticals,
Inc.,
A
...........................
United
States
211,200
21,878,208
98,752,702
Professional
Services
4.6%
a
CoStar
Group,
Inc.
....................................
United
States
116,800
105,086,128
TransUnion
..........................................
United
States
597,800
52,032,512
Verisk
Analytics,
Inc.
...................................
United
States
474,000
86,979,000
244,097,640
Road
&
Rail
1.5%
Kansas
City
Southern
..................................
United
States
199,300
40,392,131
Old
Dominion
Freight
Line,
Inc.
...........................
United
States
197,650
38,344,100
78,736,231
Semiconductors
&
Semiconductor
Equipment
6.7%
a
Allegro
MicroSystems
,
Inc.
..............................
Japan
716,500
20,004,680
Entegris
,
Inc.
.........................................
United
States
250,000
24,597,500
KLA
Corp.
...........................................
United
States
239,000
66,936,730
a
Lattice
Semiconductor
Corp.
.............................
United
States
1,322,214
53,034,003
Microchip
Technology,
Inc.
..............................
United
States
305,000
41,513,550
Monolithic
Power
Systems,
Inc.
...........................
United
States
114,700
40,751,763
a
Semtech
Corp.
.......................................
United
States
490,463
34,798,350
a
SiTime
Corp.
.........................................
United
States
496,000
60,536,800
a
SolarEdge
Technologies,
Inc.
............................
United
States
47,000
13,551,510
355,724,886
Franklin
Strategic
Series
Statement
of
Investments
(unaudited)
Franklin
Small-Mid
Cap
Growth
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
22
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Common
Stocks
(continued)
Software
16.6%
a
Alteryx,
Inc.,
A
........................................
United
States
429,600
$
54,151,080
a
ANSYS,
Inc.
.........................................
United
States
233,800
82,851,706
a
Avalara,
Inc.
.........................................
United
States
386,700
58,005,000
a
Bill.com
Holdings,
Inc.
..................................
United
States
351,133
42,796,090
a,b,c
BTRS
Holdings,
Inc.
...................................
United
States
1,118,700
18,122,940
a
Cloudflare
,
Inc.,
A
.....................................
United
States
623,000
47,759,180
a
Coupa
Software,
Inc.
...................................
United
States
98,100
30,398,247
a
DocuSign,
Inc.
.......................................
United
States
440,700
102,634,623
a
Duck
Creek
Technologies,
Inc.
...........................
United
States
308,016
14,889,494
a
HubSpot
,
Inc.
........................................
United
States
128,600
47,864,920
a
Lightspeed
POS,
Inc.
..................................
Canada
714,400
46,378,848
a
Paylocity
Holding
Corp.
.................................
United
States
410,500
76,952,330
a
Q2
Holdings,
Inc.
.....................................
United
States
352,000
45,052,480
a
Qualtrics
International,
Inc.,
A
............................
United
States
47,400
2,085,600
a
Synopsys,
Inc.
.......................................
United
States
496,500
126,830,925
a
Zendesk
,
Inc.
........................................
United
States
574,000
82,793,760
879,567,223
Specialty
Retail
4.1%
a
Burlington
Stores,
Inc.
..................................
United
States
269,600
67,103,440
a
Five
Below,
Inc.
.......................................
United
States
320,700
56,356,611
a,d
Petco
Health
&
Wellness
Co.,
Inc.
.........................
United
States
1,186,100
30,874,183
Tractor
Supply
Co.
....................................
United
States
240,000
34,017,600
a
Ulta
Beauty,
Inc.
......................................
United
States
108,200
30,270,032
218,621,866
Textiles,
Apparel
&
Luxury
Goods
1.2%
Levi
Strauss
&
Co.,
A
..................................
United
States
1,490,000
29,367,900
a
Lululemon
Athletica,
Inc.
................................
United
States
32,600
10,714,968
VF
Corp.
............................................
United
States
336,700
25,882,129
65,964,997
Trading
Companies
&
Distributors
0.8%
Fastenal
Co.
.........................................
United
States
923,400
42,097,806
Total
Common
Stocks
(Cost
$3,012,687,069)
....................................
5,095,258,792
Preferred
Stocks
1.4%
Automobiles
0.5%
a,b,c
Proterra
,
Inc.,
144A,
5
..................................
United
States
1,416,913
26,886,621
a
Diversified
Consumer
Services
0.2%
a,b,c
Newsela
,
Inc.,
D
......................................
United
States
423,782
8,965,184
a
Internet
&
Direct
Marketing
Retail
0.3%
a,b,c
Fanatics,
Inc.,
E
......................................
United
States
775,014
14,352,635
a
Semiconductors
&
Semiconductor
Equipment
0.1%
a,b,c
Phononic
Devices,
Inc.,
F
...............................
United
States
2,970,061
6,882,938
a
Software
0.1%
a,b,c
Alkami
Technology,
Inc.,
F
...............................
United
States
405,100
7,419,119
a
Textiles,
Apparel
&
Luxury
Goods
0.2%
a,b,c
Allbirds
,
Inc.,
E
.......................................
United
States
772,477
9,282,071
a
Total
Preferred
Stocks
(Cost
$52,414,408)
......................................
73,788,568
Franklin
Strategic
Series
Statement
of
Investments
(unaudited)
Franklin
Small-Mid
Cap
Growth
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
23
See
Abbreviations
on
page
78
.
a
a
Country
Warrants
a
Value
a
a
a
a
a
a
Warrants
0.0%
†
Semiconductors
&
Semiconductor
Equipment
0.0%
†
a,b,c
Phononic
Devices,
Inc.,
2/24/20
..........................
United
States
513,050
$
1,289,023
Total
Warrants
(Cost
$47)
.....................................................
1,289,023
Principal
Amount
*
f
Senior
Floating
Rate
Interests
0.0%
b,c,g
Phononic
,
Inc.,
Advance
Term
Loan
,
B,
12%,
PIK,
(1-month
USD
LIBOR),
7/31/26
...............
United
States
111,105
99,274
h
D,
12%,
PIK,
(1-month
USD
LIBOR),
12/01/25
..............
United
States
267,276
238,194
b,c
Phononic
,
Inc.,
Term
Loan
,
12%,
(1-month
USD
LIBOR),
8/25/24
.....................
United
States
107,623
95,913
g
A,
12%,
PIK,
(1-month
USD
LIBOR),
1/17/24
...............
United
States
540,246
492,902
926,283
a
a
a
a
a
a
Total
Senior
Floating
Rate
Interests
(Cost
$1,019,064)
...........................
926,283
Total
Long
Term
Investments
(Cost
$3,066,120,588)
.............................
5,171,262,666
a
Short
Term
Investments
3.7%
a
a
Country
Shares
a
Value
a
Money
Market
Funds
2.6%
i,j
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0%
........
United
States
135,945,392
135,945,392
Total
Money
Market
Funds
(Cost
$135,945,392)
.................................
135,945,392
a
a
a
a
a
Investments
from
Cash
Collateral
Received
for
Loaned
Securities
1.1%
Money
Market
Funds
1.1%
i,j
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0%
........
United
States
58,803,858
58,803,858
Total
Investments
from
Cash
Collateral
Received
for
Loaned
Securities
(Cost
$58,803,858)
...........................................................
58,803,858
Total
Short
Term
Investments
(Cost
$194,749,250
)
...............................
194,749,250
a
Total
Investments
(Cost
$3,260,869,838)
101.6%
................................
$5,366,011,916
Other
Assets,
less
Liabilities
(1.6)%
...........................................
(81,995,841)
Net
Assets
100.0%
...........................................................
$5,284,016,075
*
The
principal
amount
is
stated
in
U.S.
dollars
unless
otherwise
indicated.
†
Rounds
to
less
than
0.1%
of
net
assets.
a
Non-income
producing.
b
Fair
valued
using
significant
unobservable
inputs.
See
Note
12
regarding
fair
value
measurements.
c
See
Note
7
regarding
restricted
securities.
d
A
portion
or
all
of
the
security
is
on
loan
at
January
31,
2021.
e
Security
was
purchased
pursuant
to
Rule
144A
or
Regulation
S
under
the
Securities
Act
of
1933.
144A
securities
may
be
sold
in
transactions
exempt
from
registration
only
to
qualified
institutional
buyers
or
in
a
public
offering
registered
under
the
Securities
Act
of
1933.
Regulation
S
securities
cannot
be
sold
in
the
United
States
without
either
an
effective
registration
statement
filed
pursuant
to
the
Securities
Act
of
1933,
or
pursuant
to
an
exemption
from
registration.
At
January
31,
2021,
the
aggregate
value
of
these
securities
was
$10,090,500,
representing
0.2%
of
net
assets.
Franklin
Strategic
Series
Statement
of
Investments
(unaudited)
Franklin
Small-Mid
Cap
Growth
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
24
f
The
coupon
rate
shown
represents
the
rate
at
period
end.
g
Income
may
be
received
in
additional
securities
and/or
cash.
h
A
portion
or
all
of
the
security
purchased
on
a
delayed
delivery
basis.
i
See
Note
10
regarding
investments
in
affiliated
management
investment
companies.
j
The
rate
shown
is
the
annualized
seven-day
effective
yield
at
period
end.
Franklin
Strategic
Series
Consolidated
Statement
of
Investments
(unaudited),
January
31,
2021
Franklin
Strategic
Income
Fund
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
25
a
a
Country
Shares
a
Value
a
a
a
a
a
a
Common
Stocks
0.3%
Aerospace
&
Defense
0.0%
a,b,c,d
Remington
Outdoor
Co.,
Inc.
.............................
United
States
1,322,439
$
—
Energy
Equipment
&
Services
0.0%
†
b
Weatherford
International
plc
.............................
United
States
151,545
1,030,506
Machinery
0.1%
b
Birch
Permian
Holdings,
Inc.
.............................
United
States
46,176
369,408
b
Birch
Permian
Holdings,
Inc.
.............................
United
States
359,948
2,834,590
b
UTEX
Industries,
Inc.
..................................
United
States
19,197
652,698
3,856,696
Media
0.1%
b
Clear
Channel
Outdoor
Holdings,
Inc.
......................
United
States
285,564
568,272
b
iHeartMedia,
Inc.,
A
....................................
United
States
115,085
1,673,336
a,b
iHeartMedia,
Inc.,
B
...................................
United
States
1,941
26,247
2,267,855
Multiline
Retail
0.0%
a,b,c
K2016470219
South
Africa
Ltd.,
A
.........................
South
Africa
125,940,079
—
a,b,c
K2016470219
South
Africa
Ltd.,
B
.........................
South
Africa
12,532,821
—
—
Oil,
Gas
&
Consumable
Fuels
0.0%
†
Amplify
Energy
Corp.
..................................
United
States
5,288
9,571
a,b
Riviera
Resources,
Inc.
.................................
United
States
84,462
21,817
31,388
Paper
&
Forest
Products
0.1%
a,b,c
Appvion
Operations,
Inc.
................................
United
States
331,326
5,556,498
Verso
Corp.,
A
........................................
United
States
38,905
447,408
6,003,906
Road
&
Rail
0.0%
†
a,b
Onsite
Rental
Group
Operations
Pty.
Ltd.
...................
Australia
2,551,511
50,817
Specialty
Retail
0.0%
†
b
Party
City
Holdings,
Inc.
................................
United
States
117,385
843,998
Total
Common
Stocks
(Cost
$32,646,555)
......................................
14,085,166
Management
Investment
Companies
2.9%
Capital
Markets
2.9%
e
Franklin
Floating
Rate
Income
Fund
.......................
United
States
15,243,687
116,156,899
Total
Management
Investment
Companies
(Cost
$152,217,419)
...................
116,156,899
Warrants
Warrants
0.0%
†
Machinery
0.0%
†
a,b
UTEX
Industries,
Inc.,
2/20/49
............................
United
States
2,389
4,268
Oil,
Gas
&
Consumable
Fuels
0.0%
†
a,b
Battalion
Oil
Corp.,
A,
10/08/22
...........................
United
States
10,639
135
a,b
Battalion
Oil
Corp.,
B,
10/08/22
...........................
United
States
13,300
72
a,b
Battalion
Oil
Corp.,
C,
10/08/22
...........................
United
States
17,100
30
a,b
Chaparral
Energy,
Inc.,
10/01/24
..........................
United
States
18
—
237
Franklin
Strategic
Series
Consolidated
Statement
of
Investments
(unaudited)
Franklin
Strategic
Income
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
26
a
a
Country
Warrants
a
Value
a
a
a
a
a
a
Warrants
(continued)
Paper
&
Forest
Products
0.0%
†
b
Verso
Corp.,
7/25/23
...................................
United
States
4,095
$
4,914
Software
&
Services
0.0%
†
a,b
WorkCapital
BSD
SARL,
2/13/26
..........................
Brazil
6,000,000
750,000
Total
Warrants
(Cost
$750,000)
................................................
759,419
Principal
Amount
*
Convertible
Bonds
0.0%
†
Wireless
Telecommunication
Services
0.0%
†
f,g,h
Digicel
Group
0.5
Ltd.
,
Sub.
Bond
,
144A,
PIK,
7
%
,
Perpetual
.....
Bermuda
599,324
192,433
Total
Convertible
Bonds
(Cost
$108,082)
.......................................
192,433
Corporate
Bonds
48.8%
Aerospace
&
Defense
0.6%
h
Bombardier,
Inc.
,
Senior
Bond
,
144A,
7.5
%
,
3/15/25
...........
Canada
8,100,000
7,593,750
h
TransDigm,
Inc.
,
Senior
Secured
Note
,
144A,
6.25
%
,
3/15/26
....
United
States
15,000,000
15,884,325
23,478,075
Air
Freight
&
Logistics
0.5%
h
DAE
Funding
LLC
,
Senior
Note,
144A,
4.5%,
8/01/22
.......................
United
Arab
Emirates
2,000,000
2,018,600
Senior
Note,
144A,
5%,
8/01/24
........................
United
Arab
Emirates
14,000,000
14,549,850
FedEx
Corp.
,
Senior
Bond
,
4.05
%
,
2/15/48
..................
United
States
1,200,000
1,365,887
United
Parcel
Service,
Inc.
,
Senior
Bond
,
5.3
%
,
4/01/50
........
United
States
2,400,000
3,482,373
21,416,710
Airlines
0.6%
Delta
Air
Lines,
Inc.
,
Senior
Note
,
2.9
%
,
10/28/24
.............
United
States
8,100,000
7,963,839
h
Delta
Air
Lines,
Inc.
/
SkyMiles
IP
Ltd.
,
Senior
Secured
Note
,
144A,
4.5
%
,
10/20/25
.....................................
United
States
10,400,000
11,117,344
United
Airlines
Holdings,
Inc.
,
Senior
Note
,
5
%
,
2/01/24
.........
United
States
4,200,000
4,151,385
23,232,568
Auto
Components
1.0%
h
Allison
Transmission,
Inc.
,
Senior
Bond,
144A,
5.875%,
6/01/29
.....................
United
States
7,000,000
7,725,445
Senior
Bond,
144A,
3.75%,
1/30/31
......................
United
States
6,700,000
6,675,579
Dana,
Inc.
,
Senior
Note
,
5.625
%
,
6/15/28
...................
United
States
12,400,000
13,241,712
Goodyear
Tire
&
Rubber
Co.
(The)
,
Senior
Bond
,
4.875
%
,
3/15/27
United
States
13,000,000
13,280,475
40,923,211
Banks
2.0%
h
Akbank
T.A.S.
,
Senior
Bond,
144A,
5.125%,
3/31/25
.....................
Turkey
12,400,000
12,676,322
Senior
Note,
144A,
6.8%,
2/06/26
.......................
Turkey
3,200,000
3,423,635
Franklin
Strategic
Series
Consolidated
Statement
of
Investments
(unaudited)
Franklin
Strategic
Income
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
27
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Corporate
Bonds
(continued)
Banks
(continued)
Banco
Santander
SA
,
Sub.
Bond
,
2.749
%
,
12/03/30
...........
Spain
3,000,000
$
3,023,757
Bank
of
America
Corp.
,
Senior
Bond
,
3.248
%
,
10/21/27
.........
United
States
5,000,000
5,545,901
h
China
Construction
Bank
Corp.
,
Sub.
Bond
,
Reg
S,
4.25%
to
2/27/24,
FRN
thereafter
,
2/27/29
........................
China
8,000,000
8,641,214
g
Comerica,
Inc.
,
Junior
Sub.
Bond
,
5.625%
to
10/01/25,
FRN
thereafter
,
Perpetual
.................................
United
States
3,000,000
3,307,500
HSBC
Holdings
plc
,
Senior
Bond,
2.848%
to
6/04/30,
FRN
thereafter,
6/04/31
.....
United
Kingdom
8,300,000
8,779,718
Senior
Bond,
2.357%
to
8/18/30,
FRN
thereafter,
8/18/31
.....
United
Kingdom
2,900,000
2,950,901
Industrial
&
Commercial
Bank
of
China
Ltd.
,
Senior
Bond
,
3.538
%
,
11/08/27
..........................................
China
8,500,000
9,653,747
JPMorgan
Chase
&
Co.
,
Senior
Bond
,
2.522%
to
4/22/30,
FRN
thereafter
,
4/22/31
...................................
United
States
9,400,000
9,874,188
Lloyds
Banking
Group
plc
,
Senior
Note
,
3.87%
to
7/09/24,
FRN
thereafter
,
7/09/25
...................................
United
Kingdom
1,600,000
1,759,529
SVB
Financial
Group
,
Senior
Bond
,
3.125
%
,
6/05/30
...........
United
States
2,700,000
3,003,311
Wells
Fargo
&
Co.
,
Senior
Note
,
2.188%
to
4/30/25,
FRN
thereafter
,
4/30/26
...........................................
United
States
7,700,000
8,061,860
80,701,583
Beverages
0.3%
Anheuser-Busch
InBev
Worldwide,
Inc.
,
Senior
Bond
,
3.5
%
,
6/01/30
Belgium
10,000,000
11,418,684
Biotechnology
0.2%
AbbVie,
Inc.
,
Senior
Note
,
3.2
%
,
11/21/29
...................
United
States
6,000,000
6,643,269
Building
Products
0.7%
Carrier
Global
Corp.
,
Senior
Note
,
2.722
%
,
2/15/30
............
United
States
16,000,000
16,971,613
h
Cornerstone
Building
Brands,
Inc.
,
Senior
Note
,
144A,
8
%
,
4/15/26
United
States
9,000,000
9,416,250
26,387,863
Capital
Markets
0.8%
Goldman
Sachs
Group,
Inc.
(The)
,
Senior
Bond
,
3.75
%
,
2/25/26
..
United
States
8,500,000
9,588,542
Morgan
Stanley
,
Senior
Bond,
3.875%,
1/27/26
..........................
United
States
10,000,000
11,378,709
Senior
Bond,
3.591%
to
7/22/27,
FRN
thereafter,
7/22/28
.....
United
States
10,000,000
11,321,314
32,288,565
Franklin
Strategic
Series
Consolidated
Statement
of
Investments
(unaudited)
Franklin
Strategic
Income
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
28
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Corporate
Bonds
(continued)
Chemicals
2.7%
h
Alpek
SAB
de
CV
,
Senior
Bond
,
144A,
4.25
%
,
9/18/29
.........
Mexico
8,000,000
$
8,618,200
h
Axalta
Coating
Systems
LLC
,
Senior
Note
,
144A,
3.375
%
,
2/15/29
United
States
4,950,000
4,856,049
h
Braskem
Netherlands
Finance
BV
,
Senior
Bond
,
144A,
4.5
%
,
1/31/30
...........................................
Brazil
15,600,000
15,876,744
h
CNAC
HK
Finbridge
Co.
Ltd.
,
Senior
Note
,
Reg
S,
4.875
%
,
3/14/25
China
7,800,000
8,351,860
h
Element
Solutions,
Inc.
,
Senior
Note
,
144A,
3.875
%
,
9/01/28
.....
United
States
10,000,000
10,087,000
h
Gates
Global
LLC
/
Gates
Corp.
,
Senior
Note
,
144A,
6.25
%
,
1/15/26
United
States
12,500,000
13,145,875
HB
Fuller
Co.
,
Senior
Note
,
4.25
%
,
10/15/28
.................
United
States
3,000,000
3,073,125
h
Ingevity
Corp.
,
Senior
Note
,
144A,
3.875
%
,
11/01/28
...........
United
States
3,900,000
3,917,491
Methanex
Corp.
,
Senior
Note
,
5.125
%
,
10/15/27
..............
Canada
5,000,000
5,231,250
h
Neon
Holdings,
Inc.
,
Senior
Secured
Note
,
144A,
10.125
%
,
4/01/26
United
States
5,000,000
5,487,500
Olin
Corp.
,
Senior
Bond
,
5.125
%
,
9/15/27
...................
United
States
9,000,000
9,348,750
h
SABIC
Capital
II
BV
,
Senior
Bond
,
144A,
4.5
%
,
10/10/28
........
Saudi
Arabia
5,500,000
6,513,953
h
Syngenta
Finance
NV
,
Senior
Note
,
144A,
4.892
%
,
4/24/25
......
Switzerland
8,000,000
8,516,543
Westlake
Chemical
Corp.
,
Senior
Bond
,
3.375
%
,
6/15/30
.......
United
States
2,500,000
2,736,259
h
Yara
International
ASA
,
Senior
Bond
,
144A,
3.148
%
,
6/04/30
.....
Brazil
1,400,000
1,504,148
107,264,747
Commercial
Services
&
Supplies
0.4%
h
Prime
Security
Services
Borrower
LLC
/
Prime
Finance,
Inc.
,
Senior
Secured
Note
,
144A,
3.375
%
,
8/31/27
....................
United
States
13,000,000
12,847,770
RELX
Capital,
Inc.
,
Senior
Bond
,
3
%
,
5/22/30
................
United
Kingdom
1,500,000
1,634,839
14,482,609
Communications
Equipment
0.3%
h
CommScope
Technologies
LLC
,
Senior
Bond
,
144A,
6
%
,
6/15/25
.
United
States
12,652,000
12,936,670
Construction
&
Engineering
0.0%
†
h
Rutas
2
and
7
Finance
Ltd.
,
Senior
Secured
Bond
,
144A,
Zero
Cpn.,
9/30/36
...........................................
United
States
1,200,000
915,000
Construction
Materials
0.3%
h
Cemex
SAB
de
CV
,
Senior
Secured
Bond
,
144A,
5.7
%
,
1/11/25
...
Mexico
13,000,000
13,307,125
Consumer
Finance
0.7%
h
FirstCash,
Inc.
,
Senior
Note
,
144A,
4.625
%
,
9/01/28
...........
United
States
12,700,000
13,187,998
OneMain
Finance
Corp.
,
Senior
Bond,
5.375%,
11/15/29
.........................
United
States
3,300,000
3,638,250
Senior
Note,
6.625%,
1/15/28
..........................
United
States
5,700,000
6,664,383
Senior
Note,
4%,
9/15/30
.............................
United
States
5,000,000
5,042,300
28,532,931
Containers
&
Packaging
1.7%
h
Ardagh
Packaging
Finance
plc
/
Ardagh
Holdings
USA,
Inc.
,
Senior
Note,
144A,
6%,
2/15/25
........................
United
States
3,167,000
3,263,213
Senior
Note,
144A,
5.25%,
8/15/27
......................
United
States
3,700,000
3,838,898
Bemis
Co.,
Inc.
,
Senior
Bond
,
2.63
%
,
6/19/30
................
United
States
2,100,000
2,232,289
Crown
Americas
LLC
/
Crown
Americas
Capital
Corp.
VI
,
Senior
Note
,
4.75
%
,
2/01/26
.................................
United
States
7,100,000
7,384,355
h
Mauser
Packaging
Solutions
Holding
Co.
,
Senior
Note
,
144A,
7.25
%
,
4/15/25
...........................................
United
States
15,000,000
14,861,250
h
Owens-Brockway
Glass
Container,
Inc.
,
Senior
Note
,
144A,
5.875
%
,
8/15/23
...........................................
United
States
10,000,000
10,718,750
h
Reynolds
Group
Issuer,
Inc.
/
Reynolds
Group
Issuer
LLC
/
Reynolds
Group
Issuer
Luxembourg
SA
,
Senior
Secured
Note,
144A,
5.125%,
7/15/23
..............
United
States
222,000
224,864
Franklin
Strategic
Series
Consolidated
Statement
of
Investments
(unaudited)
Franklin
Strategic
Income
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
29
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Corporate
Bonds
(continued)
Containers
&
Packaging
(continued)
h
Reynolds
Group
Issuer,
Inc.
/
Reynolds
Group
Issuer
LLC
/
Reynolds
Group
Issuer
Luxembourg
SA,
(continued)
Senior
Secured
Note,
144A,
4%,
10/15/27
.................
United
States
4,600,000
$
4,633,120
h
Sealed
Air
Corp.
,
Senior
Bond,
144A,
5.125%,
12/01/24
....................
United
States
11,300,000
12,512,490
Senior
Note,
144A,
4.875%,
12/01/22
....................
United
States
4,000,000
4,197,500
WRKCo,
Inc.
,
Senior
Bond
,
3
%
,
6/15/33
....................
United
States
3,600,000
3,927,745
67,794,474
Distributors
0.1%
h
Resideo
Funding,
Inc.
,
Senior
Note
,
144A,
6.125
%
,
11/01/26
.....
United
States
5,000,000
5,325,000
Diversified
Financial
Services
0.4%
Cia
Securitizadora
de
Creditos
Financeiros
Vert-Fintech
,
12
,
Senior
Secured
Note
,
Zero
Cpn.,
(
BZDIOVRA
+
5.75
%
),
2/14/24
......
Brazil
11,513,000
BRL
2,416,746
h
MPH
Acquisition
Holdings
LLC
,
Senior
Note
,
144A,
5.75
%
,
11/01/28
United
States
13,000,000
12,902,500
15,319,246
Diversified
Telecommunication
Services
0.8%
h
Altice
France
Holding
SA
,
Senior
Note
,
144A,
6
%
,
2/15/28
......
Luxembourg
9,100,000
9,185,131
h
Altice
France
SA
,
Senior
Secured
Note
,
144A,
5.5
%
,
1/15/28
....
France
2,500,000
2,606,250
Bell
Canada,
Inc.
,
Senior
Bond
,
4.464
%
,
4/01/48
..............
Canada
1,400,000
1,776,325
h
CCO
Holdings
LLC
/
CCO
Holdings
Capital
Corp.
,
Senior
Bond,
144A,
4.5%,
8/15/30
.......................
United
States
2,000,000
2,108,750
Senior
Bond,
144A,
4.5%,
5/01/32
.......................
United
States
10,000,000
10,414,700
TELUS
Corp.
,
Senior
Bond
,
4.6
%
,
11/16/48
..................
Canada
1,000,000
1,275,059
h
Virgin
Media
Secured
Finance
plc
,
Senior
Secured
Bond
,
144A,
4.5
%
,
8/15/30
......................................
United
Kingdom
5,600,000
5,804,400
33,170,615
Electric
Utilities
2.0%
h
CGNPC
International
Ltd.
,
Senior
Bond
,
Reg
S,
3.75
%
,
12/11/27
..
China
3,289,000
3,584,188
Duke
Energy
Corp.
,
Senior
Bond,
2.45%,
6/01/30
...........................
United
States
3,800,000
3,966,705
Senior
Bond,
3.75%,
9/01/46
...........................
United
States
1,600,000
1,766,953
Exelon
Corp.
,
Senior
Bond,
4.05%,
4/15/30
...........................
United
States
13,400,000
15,687,295
Senior
Bond,
4.45%,
4/15/46
...........................
United
States
1,400,000
1,722,609
Southern
Co.
(The)
,
Senior
Bond
,
3.25
%
,
7/01/26
.............
United
States
14,200,000
15,802,192
h
State
Grid
Overseas
Investment
2016
Ltd.
,
Senior
Bond
,
144A,
3.5
%
,
5/04/27
......................................
China
15,800,000
17,746,728
h
Three
Gorges
Finance
I
Cayman
Islands
Ltd.
,
Senior
Bond
,
144A,
3.15
%
,
6/02/26
.....................................
China
12,800,000
13,720,781
h
TNB
Global
Ventures
Capital
Bhd.
,
Senior
Bond
,
Reg
S,
3.244
%
,
10/19/26
..........................................
Malaysia
3,775,000
4,099,224
Virginia
Electric
and
Power
Co.
,
Senior
Bond
,
6.35
%
,
11/30/37
...
United
States
820,000
1,224,568
79,321,243
Electronic
Equipment,
Instruments
&
Components
0.8%
CDW
LLC
/
CDW
Finance
Corp.
,
Senior
Note
,
3.25
%
,
2/15/29
....
United
States
10,000,000
10,073,200
Flex
Ltd.
,
Senior
Bond,
4.875%,
5/12/30
..........................
United
States
7,100,000
8,410,356
Senior
Note,
3.75%,
2/01/26
...........................
United
States
12,300,000
13,607,432
Franklin
Strategic
Series
Consolidated
Statement
of
Investments
(unaudited)
Franklin
Strategic
Income
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
30
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Corporate
Bonds
(continued)
Electronic
Equipment,
Instruments
&
Components
(continued)
FLIR
Systems,
Inc.
,
Senior
Note
,
2.5
%
,
8/01/30
...............
United
States
2,100,000
$
2,203,820
34,294,808
Energy
Equipment
&
Services
0.3%
Baker
Hughes
a
GE
Co.
LLC
/
Baker
Hughes
Co-Obligor,
Inc.
,
Senior
Bond
,
4.486
%
,
5/01/30
..........................
United
States
700,000
832,530
h
Nabors
Industries
Ltd.
,
Senior
Note
,
144A,
7.25
%
,
1/15/26
......
United
States
6,000,000
4,874,550
h
Schlumberger
Holdings
Corp.
,
Senior
Note
,
144A,
3.9
%
,
5/17/28
..
United
States
3,800,000
4,263,900
h
Weatherford
International
Ltd.
,
Senior
Note
,
144A,
11
%
,
12/01/24
.
United
States
4,591,000
3,948,260
13,919,240
Entertainment
0.7%
h
Live
Nation
Entertainment,
Inc.
,
Senior
Secured
Note
,
144A,
3.75
%
,
1/15/28
...........................................
United
States
1,900,000
1,920,587
Netflix,
Inc.
,
Senior
Bond,
4.375%,
11/15/26
.........................
United
States
11,800,000
13,514,835
h
Senior
Bond,
144A,
4.875%,
6/15/30
.....................
United
States
2,000,000
2,433,750
h
WMG
Acquisition
Corp.
,
Senior
Secured
Bond
,
144A,
3
%
,
2/15/31
.
United
States
12,100,000
11,797,500
29,666,672
Equity
Real
Estate
Investment
Trusts
(REITs)
1.5%
AvalonBay
Communities,
Inc.
,
Senior
Bond
,
2.45
%
,
1/15/31
.....
United
States
4,500,000
4,782,714
h
Global
Net
Lease,
Inc.
/
Global
Net
Lease
Operating
Partnership
LP
,
Senior
Note
,
144A,
3.75
%
,
12/15/27
......................
United
States
7,700,000
7,847,137
h
MGM
Growth
Properties
Operating
Partnership
LP
/
MGP
Finance
Co-Issuer,
Inc.
,
Senior
Note
,
144A,
3.875
%
,
2/15/29
..........
United
States
3,300,000
3,361,875
MPT
Operating
Partnership
LP
/
MPT
Finance
Corp.
,
Senior
Bond,
5.25%,
8/01/26
...........................
United
States
4,200,000
4,357,500
Senior
Bond,
5%,
10/15/27
............................
United
States
5,700,000
6,052,117
Senior
Bond,
3.5%,
3/15/31
............................
United
States
4,000,000
4,044,800
h
Park
Intermediate
Holdings
LLC
/
PK
Domestic
Property
LLC
/
PK
Finance
Co-Issuer
,
Senior
Secured
Note
,
144A,
5.875
%
,
10/01/28
United
States
10,200,000
10,703,625
SBA
Communications
Corp.
,
Senior
Note
,
3.875
%
,
2/15/27
......
United
States
9,000,000
9,410,040
h
VICI
Properties
LP
/
VICI
Note
Co.,
Inc.
,
Senior
Bond,
144A,
4.125%,
8/15/30
.....................
United
States
1,300,000
1,354,444
Senior
Note,
144A,
3.75%,
2/15/27
......................
United
States
7,500,000
7,634,775
59,549,027
Food
&
Staples
Retailing
0.2%
h
Cencosud
SA
,
Senior
Bond
,
144A,
4.375
%
,
7/17/27
...........
Chile
8,700,000
9,785,924
Food
Products
1.2%
B&G
Foods,
Inc.
,
Senior
Note
,
5.25
%
,
9/15/27
...............
United
States
9,000,000
9,480,960
h
Chobani
LLC
/
Chobani
Finance
Corp.,
Inc.
,
Senior
Secured
Note
,
144A,
4.625
%
,
11/15/28
...............................
United
States
7,000,000
7,157,500
Kraft
Heinz
Foods
Co.
,
Senior
Bond,
4.25%,
3/01/31
...........................
United
States
2,000,000
2,254,400
Senior
Note,
3.875%,
5/15/27
..........................
United
States
11,500,000
12,604,014
h
MHP
Lux
SA
,
Senior
Note
,
144A,
6.95
%
,
4/03/26
.............
Ukraine
10,500,000
11,457,285
h
Post
Holdings,
Inc.
,
Senior
Bond
,
144A,
4.625
%
,
4/15/30
.......
United
States
6,700,000
6,952,724
49,906,883
Gas
Utilities
0.1%
Piedmont
Natural
Gas
Co.,
Inc.
,
Senior
Bond
,
3.35
%
,
6/01/50
....
United
States
2,800,000
3,020,847
Franklin
Strategic
Series
Consolidated
Statement
of
Investments
(unaudited)
Franklin
Strategic
Income
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
31
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Corporate
Bonds
(continued)
Health
Care
Providers
&
Services
1.3%
Anthem,
Inc.
,
Senior
Bond
,
3.7
%
,
9/15/49
...................
United
States
1,400,000
$
1,611,746
Centene
Corp.
,
h
Senior
Note,
144A,
5.375%,
6/01/26
.....................
United
States
7,600,000
7,958,720
Senior
Note,
4.25%,
12/15/27
..........................
United
States
3,000,000
3,180,600
Senior
Note,
4.625%,
12/15/29
.........................
United
States
2,300,000
2,553,000
Senior
Note,
3.375%,
2/15/30
..........................
United
States
1,400,000
1,468,691
h
CHS/Community
Health
Systems,
Inc.
,
Secured
Note,
144A,
6.875%,
4/15/29
....................
United
States
8,000,000
8,105,000
Senior
Secured
Note,
144A,
5.625%,
3/15/27
..............
United
States
3,700,000
3,889,625
Senior
Secured
Note,
144A,
6%,
1/15/29
..................
United
States
3,600,000
3,829,500
Cigna
Corp.
,
Senior
Bond
,
4.9
%
,
12/15/48
...................
United
States
1,200,000
1,603,309
CVS
Health
Corp.
,
Senior
Bond
,
4.3
%
,
3/25/28
...............
United
States
3,272,000
3,846,051
HCA,
Inc.
,
Senior
Bond
,
5.875
%
,
2/15/26
...................
United
States
3,000,000
3,435,000
h
Molina
Healthcare,
Inc.
,
Senior
Note
,
144A,
3.875
%
,
11/15/30
....
United
States
4,600,000
4,927,750
Orlando
Health
Obligated
Group
,
3.777
%
,
10/01/28
............
United
States
3,870,000
4,413,904
Quest
Diagnostics,
Inc.
,
Senior
Bond
,
2.8
%
,
6/30/31
...........
United
States
2,100,000
2,280,139
53,103,035
Hotels,
Restaurants
&
Leisure
2.9%
h
1011778
BC
ULC
/
New
Red
Finance,
Inc.
,
Secured
Bond
,
144A,
4
%
,
10/15/30
.......................................
Canada
12,000,000
11,925,000
h
Caesars
Entertainment,
Inc.
,
Senior
Secured
Note
,
144A,
6.25
%
,
7/01/25
...........................................
United
States
3,700,000
3,904,129
h
Caesars
Resort
Collection
LLC
/
CRC
Finco,
Inc.
,
Senior
Secured
Note
,
144A,
5.75
%
,
7/01/25
............................
United
States
8,800,000
9,246,978
h
Carnival
Corp.
,
Senior
Note
,
144A,
7.625
%
,
3/01/26
...........
United
States
4,100,000
4,343,438
h
Genting
New
York
LLC
/
GENNY
Capital,
Inc.
,
Senior
Note
,
144A,
3.3
%
,
2/15/26
......................................
United
States
2,200,000
2,215,691
h
Golden
Nugget,
Inc.
,
Senior
Note
,
144A,
6.75
%
,
10/15/24
.......
United
States
13,200,000
13,246,860
h
International
Game
Technology
plc
,
Senior
Secured
Note
,
144A,
5.25
%
,
1/15/29
.....................................
United
States
13,000,000
13,898,365
h
KFC
Holding
Co./Pizza
Hut
Holdings
LLC/Taco
Bell
of
America
LLC
,
Senior
Note
,
144A,
5.25
%
,
6/01/26
.......................
United
States
5,100,000
5,294,437
Las
Vegas
Sands
Corp.
,
Senior
Bond
,
3.9
%
,
8/08/29
...........
United
States
8,300,000
8,718,389
MGM
Resorts
International
,
Senior
Note
,
4.75
%
,
10/15/28
.......
United
States
10,000,000
10,437,000
h
NCL
Corp.
Ltd.
,
Senior
Note
,
144A,
5.875
%
,
3/15/26
...........
United
States
11,300,000
11,201,182
h
Studio
City
Finance
Ltd.
,
Senior
Note
,
144A,
5
%
,
1/15/29
.......
Macau
7,000,000
7,078,750
h
Wynn
Las
Vegas
LLC
/
Wynn
Las
Vegas
Capital
Corp.
,
Senior
Bond
,
144A,
5.5
%
,
3/01/25
.................................
United
States
9,800,000
10,108,896
h
Wynn
Macau
Ltd.
,
Senior
Note
,
144A,
5.625
%
,
8/26/28
.........
Macau
5,800,000
5,975,885
117,595,000
Household
Durables
0.9%
KB
Home
,
Senior
Bond,
7.5%,
9/15/22
............................
United
States
5,000,000
5,469,075
Senior
Note,
7%,
12/15/21
............................
United
States
5,000,000
5,190,625
Mohawk
Industries,
Inc.
,
Senior
Bond
,
3.625
%
,
5/15/30
.........
United
States
14,300,000
16,024,241
h
Williams
Scotsman
International,
Inc.
,
Senior
Secured
Note
,
144A,
4.625
%
,
8/15/28
.....................................
United
States
7,500,000
7,739,063
34,423,004
Franklin
Strategic
Series
Consolidated
Statement
of
Investments
(unaudited)
Franklin
Strategic
Income
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
32
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Corporate
Bonds
(continued)
Household
Products
0.5%
h
Energizer
Holdings,
Inc.
,
Senior
Note
,
144A,
4.375
%
,
3/31/29
....
United
States
13,500,000
$
13,824,000
h
Kimberly-Clark
de
Mexico
SAB
de
CV
,
Senior
Bond
,
144A,
2.431
%
,
7/01/31
...........................................
Mexico
2,200,000
2,271,500
h
Spectrum
Brands,
Inc.
,
Senior
Bond
,
144A,
5.5
%
,
7/15/30
.......
United
States
2,300,000
2,476,813
18,572,313
Independent
Power
and
Renewable
Electricity
Producers
1.6%
h
Calpine
Corp.
,
Senior
Bond,
144A,
5%,
2/01/31
........................
United
States
4,300,000
4,424,700
Senior
Note,
144A,
5.125%,
3/15/28
.....................
United
States
4,000,000
4,145,660
Senior
Note,
144A,
4.625%,
2/01/29
.....................
United
States
6,500,000
6,574,750
Clearway
Energy
Operating
LLC
,
Senior
Note
,
5.75
%
,
10/15/25
..
United
States
12,800,000
13,436,416
h
Colbun
SA
,
Senior
Bond,
144A,
3.95%,
10/11/27
.....................
Chile
7,500,000
8,396,006
Senior
Bond,
144A,
3.15%,
3/06/30
......................
Chile
2,900,000
3,117,857
h
InterGen
NV
,
Senior
Secured
Bond
,
144A,
7
%
,
6/30/23
.........
Netherlands
11,900,000
11,528,125
h
Talen
Energy
Supply
LLC
,
Senior
Note,
144A,
10.5%,
1/15/26
......................
United
States
3,000,000
2,767,500
Senior
Secured
Note,
144A,
7.25%,
5/15/27
...............
United
States
10,800,000
11,439,252
65,830,266
Insurance
0.6%
h
Alliant
Holdings
Intermediate
LLC
/
Alliant
Holdings
Co-Issuer
,
Senior
Note
,
144A,
6.75
%
,
10/15/27
...........................
United
States
2,000,000
2,118,380
Arch
Capital
Group
Ltd.
,
Senior
Bond
,
3.635
%
,
6/30/50
.........
United
States
10,000,000
11,187,000
h
Five
Corners
Funding
Trust
II
,
Senior
Note
,
144A,
2.85
%
,
5/15/30
.
United
States
9,100,000
9,858,107
23,163,487
Interactive
Media
&
Services
0.4%
h
Tencent
Holdings
Ltd.
,
Senior
Bond
,
144A,
2.39
%
,
6/03/30
......
China
17,100,000
17,304,074
Internet
&
Direct
Marketing
Retail
0.3%
JD.com,
Inc.
,
Senior
Bond
,
3.375
%
,
1/14/30
.................
China
12,200,000
13,256,968
IT
Services
0.9%
h
Cablevision
Lightpath
LLC
,
Senior
Secured
Note
,
144A,
3.875
%
,
9/15/27
...........................................
United
States
9,200,000
9,258,420
h
Gartner,
Inc.
,
Senior
Note
,
144A,
4.5
%
,
7/01/28
...............
United
States
7,000,000
7,391,650
h
Presidio
Holdings,
Inc.
,
Senior
Secured
Note
,
144A,
4.875
%
,
2/01/27
United
States
12,000,000
12,625,080
h
Tempo
Acquisition
LLC
/
Tempo
Acquisition
Finance
Corp.
,
Senior
Note
,
144A,
6.75
%
,
6/01/25
............................
United
States
6,000,000
6,179,100
35,454,250
Machinery
0.6%
h
Manitowoc
Co.,
Inc.
(The)
,
Secured
Note
,
144A,
9
%
,
4/01/26
....
United
States
7,000,000
7,546,875
h
Navistar
International
Corp.
,
Senior
Note
,
144A,
6.625
%
,
11/01/25
United
States
3,300,000
3,444,045
h
Vertical
US
Newco,
Inc.
,
Senior
Secured
Note
,
144A,
5.25
%
,
7/15/27
Germany
9,000,000
9,419,490
Westinghouse
Air
Brake
Technologies
Corp.
,
Senior
Note
,
3.2
%
,
6/15/25
...........................................
United
States
1,900,000
2,042,170
22,452,580
Marine
0.3%
h
ICTSI
Treasury
BV
,
Senior
Bond
,
Reg
S,
4.625
%
,
1/16/23
.......
Philippines
12,000,000
12,558,180
Franklin
Strategic
Series
Consolidated
Statement
of
Investments
(unaudited)
Franklin
Strategic
Income
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
33
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Corporate
Bonds
(continued)
Media
3.2%
h
Altice
Financing
SA
,
Senior
Secured
Bond
,
144A,
7.5
%
,
5/15/26
..
Luxembourg
4,000,000
$
4,200,000
Charter
Communications
Operating
LLC
/
Charter
Communications
Operating
Capital
,
Senior
Secured
Bond
,
2.8
%
,
4/01/31
.......
United
States
16,300,000
16,834,491
h
Clear
Channel
International
BV
,
Senior
Secured
Note
,
144A,
6.625
%
,
8/01/25
.....................................
United
States
1,300,000
1,373,125
Clear
Channel
Worldwide
Holdings,
Inc.
,
Senior
Note,
9.25%,
2/15/24
...........................
United
States
10,362,000
10,798,085
h
Senior
Secured
Note,
144A,
5.125%,
8/15/27
..............
United
States
3,200,000
3,272,000
Comcast
Corp.
,
Senior
Bond
,
4.75
%
,
3/01/44
................
United
States
1,400,000
1,856,479
h
CSC
Holdings
LLC
,
Senior
Note
,
144A,
5.5
%
,
5/15/26
..........
United
States
16,000,000
16,615,360
h
Diamond
Sports
Group
LLC
/
Diamond
Sports
Finance
Co.
,
Senior
Note,
144A,
6.625%,
8/15/27
.....................
United
States
4,500,000
2,863,125
Senior
Secured
Note,
144A,
5.375%,
8/15/26
..............
United
States
4,300,000
3,477,625
DISH
DBS
Corp.
,
Senior
Note,
5%,
3/15/23
.............................
United
States
3,500,000
3,609,550
Senior
Note,
5.875%,
11/15/24
.........................
United
States
6,100,000
6,330,183
Senior
Note,
7.375%,
7/01/28
..........................
United
States
3,600,000
3,753,000
Fox
Corp.
,
Senior
Bond
,
3.5
%
,
4/08/30
.....................
United
States
4,000,000
4,512,684
h
Gray
Television,
Inc.
,
Senior
Note
,
144A,
4.75
%
,
10/15/30
.......
United
States
10,300,000
10,258,285
h
Nexstar
Broadcasting,
Inc.
,
Senior
Note
,
144A,
4.75
%
,
11/01/28
..
United
States
8,000,000
8,255,000
h
Outfront
Media
Capital
LLC
/
Outfront
Media
Capital
Corp.
,
Senior
Note
,
144A,
4.25
%
,
1/15/29
............................
United
States
4,100,000
4,076,937
h
Sinclair
Television
Group,
Inc.
,
Senior
Bond,
144A,
5.5%,
3/01/30
.......................
United
States
3,900,000
4,025,970
Senior
Secured
Note,
144A,
4.125%,
12/01/30
.............
United
States
7,600,000
7,585,750
h
Univision
Communications,
Inc.
,
Senior
Secured
Note
,
144A,
5.125
%
,
2/15/25
.....................................
United
States
16,000,000
16,116,800
129,814,449
Metals
&
Mining
0.8%
h
CSN
Inova
Ventures
,
Senior
Note
,
144A,
6.75
%
,
1/28/28
........
Brazil
8,000,000
8,623,200
h
FMG
Resources
August
2006
Pty.
Ltd.
,
Senior
Note
,
144A,
5.125
%
,
5/15/24
...........................................
Australia
7,700,000
8,381,450
h
Novelis
Corp.
,
Senior
Bond
,
144A,
5.875
%
,
9/30/26
...........
United
States
14,000,000
14,682,500
31,687,150
Multiline
Retail
0.0%
†
Dollar
Tree,
Inc.
,
Senior
Bond
,
4.2
%
,
5/15/28
.................
United
States
1,700,000
1,996,844
a,f,h
K2016470219
South
Africa
Ltd.
,
Senior
Secured
Note
,
144A,
PIK,
3
%
,
12/31/22
.......................................
South
Africa
10,437,480
—
a,f,h
K2016470260
South
Africa
Ltd.
,
Senior
Secured
Note
,
144A,
PIK,
25
%
,
12/31/22
......................................
South
Africa
3,376,654
16,883
2,013,727
Multi-Utilities
0.2%
Dominion
Energy,
Inc.
,
C
,
Senior
Note
,
3.375
%
,
4/01/30
........
United
States
8,500,000
9,504,377
Oil,
Gas
&
Consumable
Fuels
5.3%
h
Aker
BP
ASA
,
Senior
Bond,
144A,
4%,
1/15/31
........................
Norway
4,400,000
4,735,661
Senior
Note,
144A,
4.75%,
6/15/24
......................
Norway
5,900,000
6,081,187
h
Antero
Resources
Corp.
,
Senior
Note,
144A,
8.375%,
7/15/26
.....................
United
States
1,700,000
1,797,049
Senior
Note,
144A,
7.625%,
2/01/29
.....................
United
States
2,600,000
2,662,569
Franklin
Strategic
Series
Consolidated
Statement
of
Investments
(unaudited)
Franklin
Strategic
Income
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
34
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Corporate
Bonds
(continued)
Oil,
Gas
&
Consumable
Fuels
(continued)
Apache
Corp.
,
Senior
Note,
4.625%,
11/15/25
.........................
United
States
5,600,000
$
5,747,000
Senior
Note,
4.875%,
11/15/27
.........................
United
States
5,000,000
5,145,000
Canadian
Natural
Resources
Ltd.
,
Senior
Bond
,
2.95
%
,
7/15/30
..
Canada
3,700,000
3,857,198
Cheniere
Corpus
Christi
Holdings
LLC
,
Senior
Secured
Note
,
5.875
%
,
3/31/25
.....................................
United
States
6,400,000
7,421,081
Cheniere
Energy
Partners
LP
,
Senior
Secured
Note
,
5.25
%
,
10/01/25
..........................................
United
States
11,900,000
12,227,250
Comstock
Resources,
Inc.
,
Senior
Note
,
9.75
%
,
8/15/26
........
United
States
6,500,000
6,930,625
h
Continental
Resources,
Inc.
,
Senior
Bond
,
144A,
5.75
%
,
1/15/31
..
United
States
6,000,000
6,504,000
h
Crestwood
Midstream
Partners
LP
/
Crestwood
Midstream
Finance
Corp.
,
Senior
Note
,
144A,
6
%
,
2/01/29
....................
United
States
15,200,000
14,671,192
h
CVR
Energy,
Inc.
,
Senior
Note
,
144A,
5.25
%
,
2/15/25
..........
United
States
5,000,000
4,906,000
h
Endeavor
Energy
Resources
LP
/
EER
Finance,
Inc.
,
Senior
Bond
,
144A,
5.75
%
,
1/30/28
.................................
United
States
6,000,000
6,369,000
Energy
Transfer
Operating
LP
,
Senior
Bond
,
4.05
%
,
3/15/25
.....
United
States
1,300,000
1,418,781
EnLink
Midstream
LLC
,
Senior
Bond,
5.375%,
6/01/29
..........................
United
States
10,900,000
10,429,937
h
Senior
Note,
144A,
5.625%,
1/15/28
.....................
United
States
1,700,000
1,700,000
f,h
EnQuest
plc
,
Senior
Note
,
144A,
Reg
S,
PIK,
7
%
,
10/15/23
......
United
Kingdom
10,664,175
7,825,431
Enterprise
Products
Operating
LLC
,
Senior
Bond
,
4.8
%
,
2/01/49
..
United
States
1,200,000
1,475,893
h
Hilcorp
Energy
I
LP
/
Hilcorp
Finance
Co.
,
Senior
Bond,
144A,
6%,
2/01/31
........................
United
States
2,500,000
2,542,187
Senior
Note,
144A,
5.75%,
2/01/29
......................
United
States
2,000,000
2,037,390
h
Martin
Midstream
Partners
LP
/
Martin
Midstream
Finance
Corp.
,
Secured
Note,
144A,
10%,
2/29/24
......................
United
States
3,608,495
3,766,367
Secured
Note,
144A,
11.5%,
2/28/25
.....................
United
States
16,387,122
16,469,057
MPLX
LP
,
Senior
Note
,
2.65
%
,
8/15/30
.....................
United
States
15,000,000
15,365,073
h
NGL
Energy
Operating
LLC
/
NGL
Energy
Finance
Corp.
,
Senior
Secured
Note
,
144A,
7.5
%
,
2/01/26
......................
United
States
5,900,000
5,995,875
Occidental
Petroleum
Corp.
,
Senior
Bond,
8.875%,
7/15/30
..........................
United
States
6,800,000
8,549,300
Senior
Bond,
6.125%,
1/01/31
..........................
United
States
5,900,000
6,429,230
Senior
Bond,
6.45%,
9/15/36
...........................
United
States
5,000,000
5,494,375
h
Rattler
Midstream
LP
,
Senior
Note
,
144A,
5.625
%
,
7/15/25
......
United
States
8,200,000
8,604,875
h
Sabine
Pass
Liquefaction
LLC
,
Senior
Secured
Bond
,
144A,
4.5
%
,
5/15/30
...........................................
United
States
10,000,000
11,662,515
h
Seven
Generations
Energy
Ltd.
,
Senior
Note
,
144A,
5.375
%
,
9/30/25
Canada
1,700,000
1,731,303
h
Sunoco
LP
/
Sunoco
Finance
Corp.
,
Senior
Note
,
144A,
4.5
%
,
5/15/29
...........................................
United
States
12,000,000
12,287,760
212,840,161
Paper
&
Forest
Products
0.1%
Suzano
Austria
GmbH
,
Senior
Bond
,
3.75
%
,
1/15/31
...........
Brazil
3,700,000
3,931,990
Pharmaceuticals
1.3%
h
Bausch
Health
Americas,
Inc.
,
Senior
Note
,
144A,
8.5
%
,
1/31/27
..
United
States
5,000,000
5,544,575
h
Bausch
Health
Cos.,
Inc.
,
Senior
Bond,
144A,
6.125%,
4/15/25
.....................
United
States
3,100,000
3,179,236
Senior
Bond,
144A,
5.25%,
2/15/31
......................
United
States
4,000,000
4,121,400
Senior
Note,
144A,
5%,
2/15/29
........................
United
States
4,000,000
4,102,120
h
Bayer
US
Finance
II
LLC
,
Senior
Bond
,
144A,
4.375
%
,
12/15/28
..
Germany
11,700,000
13,730,111
h
Endo
Dac
/
Endo
Finance
LLC
/
Endo
Finco,
Inc.
,
Secured
Note,
144A,
9.5%,
7/31/27
......................
United
States
6,580,000
7,529,988
Franklin
Strategic
Series
Consolidated
Statement
of
Investments
(unaudited)
Franklin
Strategic
Income
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
35
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Corporate
Bonds
(continued)
Pharmaceuticals
(continued)
h
Endo
Dac
/
Endo
Finance
LLC
/
Endo
Finco,
Inc.,
(continued)
Senior
Note,
144A,
6%,
6/30/28
........................
United
States
6,537,000
$
5,483,562
h
Par
Pharmaceutical,
Inc.
,
Senior
Secured
Note
,
144A,
7.5
%
,
4/01/27
United
States
1,716,000
1,852,645
h
Royalty
Pharma
plc
,
Senior
Bond
,
144A,
3.3
%
,
9/02/40
.........
United
States
5,300,000
5,494,906
51,038,543
Real
Estate
Management
&
Development
0.7%
h
China
Overseas
Finance
Cayman
VI
Ltd.
,
Senior
Bond
,
Reg
S,
5.95
%
,
5/08/24
.....................................
China
7,500,000
8,517,137
h
Five
Point
Operating
Co.
LP
/
Five
Point
Capital
Corp.
,
Senior
Note
,
144A,
7.875
%
,
11/15/25
...............................
United
States
8,000,000
8,459,120
h
Howard
Hughes
Corp.
(The)
,
Senior
Note
,
144A,
5.375
%
,
8/01/28
.
United
States
10,000,000
10,568,750
27,545,007
Road
&
Rail
0.7%
CSX
Corp.
,
Senior
Bond
,
4.1
%
,
3/15/44
....................
United
States
1,600,000
1,926,104
h
Kazakhstan
Temir
Zholy
Finance
BV
,
Senior
Bond
,
144A,
6.95
%
,
7/10/42
...........................................
Kazakhstan
14,900,000
21,895,252
a,f
Onsite
Rental
Group
Operations
Pty.
Ltd.
,
PIK,
6.1
%
,
10/26/23
...
Australia
4,655,176
4,274,124
28,095,480
Semiconductors
&
Semiconductor
Equipment
0.3%
h
ON
Semiconductor
Corp.
,
Senior
Note
,
144A,
3.875
%
,
9/01/28
...
United
States
12,900,000
13,383,750
Software
0.5%
i
Anagram,
Inc.
,
FRN
,
10
%
,
8/15/26
........................
United
States
623,545
629,780
h
Blackboard,
Inc.
,
Secured
Note
,
144A,
10.375
%
,
11/15/24
.......
United
States
4,200,000
4,412,625
h
NortonLifeLock,
Inc.
,
Senior
Note
,
144A,
5
%
,
4/15/25
..........
United
States
7,500,000
7,652,250
h
Rocket
Software,
Inc.
,
Senior
Note
,
144A,
6.5
%
,
2/15/29
........
United
States
8,600,000
8,621,500
21,316,155
Specialty
Retail
0.4%
AutoNation,
Inc.
,
Senior
Bond
,
4.75
%
,
6/01/30
...............
United
States
1,900,000
2,289,332
L
Brands,
Inc.
,
Senior
Bond,
5.25%,
2/01/28
...........................
United
States
5,500,000
5,819,962
h
Senior
Bond,
144A,
6.625%,
10/01/30
....................
United
States
1,600,000
1,794,080
h
Lithia
Motors,
Inc.
,
Senior
Bond
,
144A,
4.375
%
,
1/15/31
........
United
States
5,000,000
5,301,825
h,i
Party
City
Holdings,
Inc.
,
144A,
FRN
,
5.318
%
,
7/15/25
.........
United
States
1,153,545
1,095,868
16,301,067
Textiles,
Apparel
&
Luxury
Goods
0.3%
h
Hanesbrands,
Inc.
,
Senior
Bond
,
144A,
4.875
%
,
5/15/26
........
United
States
10,000,000
10,837,500
Thrifts
&
Mortgage
Finance
1.1%
MGIC
Investment
Corp.
,
Senior
Note
,
5.25
%
,
8/15/28
..........
United
States
7,000,000
7,503,125
h
PennyMac
Financial
Services,
Inc.
,
Senior
Note
,
144A,
5.375
%
,
10/15/25
..........................................
United
States
11,500,000
12,060,625
h
Quicken
Loans
LLC
/
Quicken
Loans
Co-Issuer,
Inc.
,
Senior
Bond,
144A,
3.875%,
3/01/31
.....................
United
States
4,600,000
4,674,750
Senior
Note,
144A,
3.625%,
3/01/29
.....................
United
States
8,100,000
8,118,833
h
United
Wholesale
Mortgage
LLC
,
Senior
Note
,
144A,
5.5
%
,
11/15/25
United
States
11,400,000
12,012,750
44,370,083
Franklin
Strategic
Series
Consolidated
Statement
of
Investments
(unaudited)
Franklin
Strategic
Income
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
36
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Corporate
Bonds
(continued)
Tobacco
0.5%
Altria
Group,
Inc.
,
Senior
Bond
,
3.4
%
,
5/06/30
................
United
States
12,400,000
$
13,637,304
BAT
Capital
Corp.
,
Senior
Bond
,
4.54
%
,
8/15/47
..............
United
Kingdom
600,000
655,616
h
Imperial
Brands
Finance
plc
,
Senior
Bond
,
144A,
3.875
%
,
7/26/29
.
United
Kingdom
2,200,000
2,473,783
Reynolds
American,
Inc.
,
Senior
Bond
,
4.45
%
,
6/12/25
.........
United
Kingdom
1,900,000
2,151,419
18,918,122
Trading
Companies
&
Distributors
1.0%
h
Beacon
Roofing
Supply,
Inc.
,
Senior
Note
,
144A,
4.875
%
,
11/01/25
United
States
12,000,000
12,168,180
h
H&E
Equipment
Services,
Inc.
,
Senior
Note
,
144A,
3.875
%
,
12/15/28
United
States
11,600,000
11,558,240
h
Herc
Holdings,
Inc.
,
Senior
Note
,
144A,
5.5
%
,
7/15/27
..........
United
States
5,300,000
5,597,198
h
WESCO
Distribution,
Inc.
,
Senior
Note,
144A,
7.125%,
6/15/25
.....................
United
States
4,700,000
5,120,274
Senior
Note,
144A,
7.25%,
6/15/28
......................
United
States
5,500,000
6,186,235
40,630,127
Wireless
Telecommunication
Services
1.2%
f,h
Digicel
Group
0.5
Ltd.
,
Senior
Note
,
144A,
PIK,
8
%
,
4/01/25
.....
Bermuda
1,107,585
648,953
Hughes
Satellite
Systems
Corp.
,
Senior
Note
,
6.625
%
,
8/01/26
...
United
States
8,000,000
9,068,400
Sprint
Communications,
Inc.
,
Senior
Bond
,
6
%
,
11/15/22
........
United
States
10,000,000
10,758,000
T-Mobile
USA,
Inc.
,
Senior
Note,
5.125%,
4/15/25
..........................
United
States
6,000,000
6,108,810
h
Senior
Secured
Bond,
144A,
3.875%,
4/15/30
..............
United
States
13,400,000
15,147,628
h
Senior
Secured
Bond,
144A,
3.3%,
2/15/51
................
United
States
4,800,000
4,711,992
h
Vmed
O2
UK
Financing
I
plc
,
Senior
Secured
Bond
,
144A,
4.25
%
,
1/31/31
...........................................
United
Kingdom
3,400,000
3,400,714
49,844,497
Total
Corporate
Bonds
(Cost
$1,916,967,597)
...................................
1,970,788,931
i
Senior
Floating
Rate
Interests
4.2%
Aerospace
&
Defense
0.2%
f
Alloy
FinCo
Ltd.,
Facility
Term
Loan
,
B
,
14
%
,
PIK,
(
3-month
USD
LIBOR
+
0.5
%
),
3/06/25
...............................
United
Kingdom
4,178,619
2,097,500
Dynasty
Acquisition
Co.,
Inc.,
2020
Term
Loan
,
B1,
3.754%,
(3-month
USD
LIBOR
+
3.5%),
4/06/26
..........
United
States
3,285,112
3,165,205
B2,
3.754%,
(3-month
USD
LIBOR
+
3.5%),
4/06/26
..........
United
States
1,766,189
1,701,723
6,964,428
a
a
a
a
a
a
Airlines
0.0%
†
Delta
Air
Lines,
Inc.
/
SkyMiles
IP
Ltd.,
Initial
Term
Loan
,
4.75
%
,
(
3-month
USD
LIBOR
+
3.75
%
),
10/20/27
.................
United
States
568,379
596,906
JetBlue
Airways
Corp.,
Term
Loan
,
6.25
%
,
(
3-month
USD
LIBOR
+
5.25
%
),
6/17/24
.....................................
United
States
232,592
241,363
838,269
a
a
a
a
a
a
Auto
Components
0.1%
Adient
US
LLC,
Initial
Term
Loan
,
4.394
%
,
(
3-month
USD
LIBOR
+
4.25%;
1-month
USD
LIBOR
+
4.25%
),
5/06/24
.............
United
States
4,668,999
4,683,590
Highline
Aftermarket
Acquisition
LLC,
First
Lien,
Term
Loan
,
5.25
%
,
(
3-month
USD
LIBOR
+
4.5
%
),
11/09/27
..................
United
States
228,432
228,717
TRICO
Group
LLC,
First
Lien,
Term
Loan
,
B3
,
8.5
%
,
(
3-month
USD
LIBOR
+
7.5
%
),
2/02/24
...............................
United
States
230,596
235,352
Franklin
Strategic
Series
Consolidated
Statement
of
Investments
(unaudited)
Franklin
Strategic
Income
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
37
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
i
Senior
Floating
Rate
Interests
(continued)
Auto
Components
(continued)
j
Truck
Hero,
Inc.,
Initial
Term
Loan
,
4.5
%
,
(
1-month
USD
LIBOR
+
3.75
%
),
1/31/28
.....................................
United
States
300,991
$
302,082
5,449,741
a
a
a
a
a
a
Automobiles
0.0%
†
Thor
Industries,
Inc.,
Initial
USD
Term
Loan
,
3.938
%
,
(
1-month
USD
LIBOR
+
3.75
%
),
2/01/26
..............................
United
States
1,780,712
1,785,163
Biotechnology
0.1%
Grifols
Worldwide
Operations
Ltd.,
Dollar
Term
Loan
,
B
,
2.092
%
,
(
1-
week
USD
LIBOR
+
2
%
),
11/15/27
.......................
Ireland
2,224,537
2,223,302
Capital
Markets
0.1%
j
Citadel
Securities
LP,
Term
Loan
,
B
,
2.615
%
,
(
1-month
USD
LIBOR
+
2.5
%
),
2/29/28
....................................
United
States
1,180,000
1,176,065
j
Jane
Street
Group
LLC,
Term
Loan
,
2.875
%
,
(
1-month
USD
LIBOR
+
2.75
%
),
1/31/28
.....................................
United
States
668,147
667,074
Russell
Investments
US
Institutional
Holdco,
Inc.,
2025
Term
Loan
,
4
%
,
(
3-month
USD
LIBOR
+
3
%
),
5/30/25
.................
United
States
630,769
630,968
2,474,107
a
a
a
a
a
a
Chemicals
0.0%
†
j
INEOS
226
Ltd.,
USD
Term
Loan
,
B
,
3.25
%
,
(
1-month
USD
LIBOR
+
2.75
%
),
1/21/26
.....................................
United
Kingdom
436,748
439,023
j
NIC
Acquisition
Corp.,
Term
Loan
,
4.5
%
,
(
3-month
USD
LIBOR
+
3.75
%
),
12/29/27
....................................
United
States
323,642
325,262
764,285
a
a
a
a
a
a
Commercial
Services
&
Supplies
0.1%
CCI
Buyer,
Inc.,
Term
Loan
,
4.75
%
,
(
3-month
USD
LIBOR
+
4
%
),
12/17/27
..........................................
United
States
125,298
126,331
Prime
Security
Services
Borrower
LLC,
First
Lien,
2019
Refinancing
Term
Loan
,
B1
,
4.25
%
,
(
3-month
USD
LIBOR
+
3.25%;
1-month
USD
LIBOR
+
3.25%
+
3.25
%
),
9/23/26
...................
United
States
2,250,167
2,253,385
Staples,
Inc.,
2019
Refinancing
New
Term
Loan
,
B1
,
5.214
%
,
(
3-month
USD
LIBOR
+
5
%
),
4/16/26
.....................
United
States
1,090,000
1,070,244
3,449,960
a
a
a
a
a
a
Containers
&
Packaging
0.0%
†
Berry
Global,
Inc.,
Term
Loan
,
Y
,
2.133
%
,
(
1-month
USD
LIBOR
+
2
%
),
7/01/26
.......................................
United
States
1,481,184
1,480,903
BWay
Holding
Co.,
Initial
Term
Loan
,
3.381
%
,
(
1-month
USD
LIBOR
+
3.25
%
),
4/03/24
...................................
United
States
468,786
461,168
1,942,071
a
a
a
a
a
a
Diversified
Consumer
Services
0.2%
j
KUEHG
Corp.,
Term
Loan
,
B-3
,
4.75
%
,
(
3-month
USD
LIBOR
+
3.75
%
),
2/21/25
.....................................
United
States
6,630,000
6,439,388
j
Sedgwick
Claims
Management
Services,
Inc.
(Lightning
Cayman
Merger
Sub
Ltd.),
Initial
Term
Loan
,
3.371
%
,
(
1-month
USD
LIBOR
+
3.25
%
),
12/31/25
..................................
United
States
800,000
796,444
7,235,832
a
a
a
a
a
a
Diversified
Financial
Services
0.1%
First
Eagle
Holdings,
Inc.,
2020
Refinancing
Term
Loan
,
2.754
%
,
(
3-month
USD
LIBOR
+
2.5
%
),
2/01/27
...................
United
States
2,064,573
2,061,507
Franklin
Strategic
Series
Consolidated
Statement
of
Investments
(unaudited)
Franklin
Strategic
Income
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
38
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
i
Senior
Floating
Rate
Interests
(continued)
Diversified
Financial
Services
(continued)
Jefferies
Finance
LLC,
2020
Term
Loan
,
3.938
%
,
(
1-month
USD
LIBOR
+
3.75
%
),
9/30/27
..............................
United
States
799,469
$
802,467
2,863,974
a
a
a
a
a
a
Electric
Utilities
0.0%
†
Astoria
Energy
LLC,
Advance
(2020)
Term
Loan
,
B
,
4.5
%
,
(
6-month
USD
LIBOR
+
3.5
%
),
12/10/27
..........................
United
States
600,000
601,407
EFS
Cogen
Holdings
I
LLC,
Term
Loan
,
4.5
%
,
(
3-month
USD
LIBOR
+
3.5
%
),
10/01/27
...................................
United
States
1,145,842
1,144,650
1,746,057
a
a
a
a
a
a
Entertainment
0.2%
Diamond
Sports
Group
LLC,
Term
Loan
,
3.38
%
,
(
1-month
USD
LIBOR
+
3.25
%
),
8/24/26
..............................
United
States
2,962,500
2,545,291
William
Morris
Endeavor
Entertainment
LLC
(IMG
Worldwide
Holdings
LLC),
First
Lien,
Term
Loan
,
B-1
,
2.88
%
,
(
1-month
USD
LIBOR
+
2.75
%
),
5/18/25
..............................
United
States
7,262,637
6,800,770
9,346,061
a
a
a
a
a
a
Food
&
Staples
Retailing
0.1%
Aramark
Intermediate
HoldCo
Corp.,
U.S.
Term
Loan
,
B4
,
1.871
%
,
(
1-month
USD
LIBOR
+
1.75
%
),
1/15/27
..................
United
States
3,870,750
3,841,719
Food
Products
0.3%
B&G
Foods,
Inc.,
Term
Loan
,
B4
,
2.621
%
,
(
1-month
USD
LIBOR
+
2.5
%
),
10/10/26
.....................................
United
States
470,725
472,530
f
CSM
Bakery
Solutions
Ltd.,
Second
Lien,
Term
Loan
,
8.75
%
,
PIK,
(
3-month
USD
LIBOR
+
7.75
%
),
7/05/21
..................
United
States
7,846,051
7,705,441
JBS
USA
Lux
SA,
New
Term
Loan
,
2.121
%
,
(
1-month
USD
LIBOR
+
2
%
),
5/01/26
.......................................
Luxembourg
2,237,435
2,238,721
10,416,692
a
a
a
a
a
a
Health
Care
Providers
&
Services
0.0%
†
ADMI
Corp.,
Amendment
No.
3
Incremental
Term
Loan
,
4.75
%
,
(
1-month
USD
LIBOR
+
4
%
),
12/23/27
....................
United
States
511,984
517,104
CNT
Holdings
I
Corp.,
First
Lien,
Term
Loan
Facility
,
4.5
%
,
(
3-month
USD
LIBOR
+
3.75
%
),
11/08/27
.........................
United
States
116,829
117,643
j
eResearchTechnology,
Inc.,
First
Lien,
Initial
Term
Loan
,
5.5
%
,
(
1-month
USD
LIBOR
+
4.5
%
),
2/04/27
...................
United
States
213,045
214,288
j,k
National
Mentor
Holdings,
Inc.,
Incremental
Term
Loan
,
B,
TBD,
3/09/26
.....................................
United
States
314,456
315,241
C,
TBD,
3/09/26
.....................................
United
States
12,138
12,168
Navicure,
Inc.,
First
Lien,
Initial
Term
Loan
,
4.121
%
,
(
1-month
USD
LIBOR
+
4
%
),
10/22/26
...............................
United
States
518,693
519,342
Pluto
Acquisition
I,
Inc.,
Incremental
Term
Loan
,
5.5
%
,
(
1-month
USD
LIBOR
+
5
%
),
6/22/26
................................
United
States
226,076
227,206
1,922,992
a
a
a
a
a
a
Hotels,
Restaurants
&
Leisure
0.1%
Caesars
Resort
Collection
LLC,
Term
Loan
,
B,
2.871%,
(1-month
USD
LIBOR
+
2.75%),
12/23/24
.........
United
States
2,969,388
2,923,912
B1,
4.621%,
(1-month
USD
LIBOR
+
4.5%),
7/21/25
..........
United
States
114,595
114,732
IRB
Holding
Corp.,
Fourth
Amendment
Incremental
Term
Loan
,
4.25
%
,
(
3-month
USD
LIBOR
+
3.25
%
),
12/15/27
............
United
States
218,522
219,595
3,258,239
a
a
a
a
a
a
Franklin
Strategic
Series
Consolidated
Statement
of
Investments
(unaudited)
Franklin
Strategic
Income
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
39
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
i
Senior
Floating
Rate
Interests
(continued)
Household
Products
0.2%
a,f,l
FGI
Operating
Co.
LLC,
Term
Loan
,
12
%
,
PIK,
(
3-month
USD
LIBOR
+
11
%
),
5/16/22
.....................................
United
States
15,183,471
$
7,986,617
Insurance
0.0%
†
Asurion
LLC,
New
Term
Loan
,
B-8
,
3.371
%
,
(
1-month
USD
LIBOR
+
3.25
%
),
12/23/26
....................................
United
States
239,492
238,594
Asurion
LLC,
Term
Loan
,
5.365%,
(1-month
USD
LIBOR
+
5.25%),
12/31/27
...........
United
States
29,239
29,531
B9,
3.365%,
(1-month
USD
LIBOR
+
3.25%),
12/31/27
........
United
States
507,797
505,576
773,701
a
a
a
a
a
a
Internet
&
Direct
Marketing
Retail
0.0%
†
MH
Sub
I
LLC
(Micro
Holding
Corp.),
First
Lien,
2020
June
New
Term
Loan
,
4.75
%
,
(
1-month
USD
LIBOR
+
3.75
%
),
9/13/24
....
United
States
180,545
181,335
IT
Services
0.4%
Arches
Buyer,
Inc.,
Initial
Term
Loan
,
4.5
%
,
(
1-month
USD
LIBOR
+
4
%
),
12/06/27
......................................
United
States
376,219
378,503
Aventiv
Technologies
LLC,
First
Lien,
Initial
Term
Loan
,
5.5
%
,
(
3-month
USD
LIBOR
+
4.5
%
),
11/01/24
..................
United
States
2,455,696
2,252,217
Aventiv
Technologies
LLC,
Second
Lien,
Initial
Term
Loan
,
9.25
%
,
(
6-month
USD
LIBOR
+
8.25
%
),
11/01/25
..................
United
States
7,588,688
6,219,347
Barracuda
Networks,
Inc.,
First
Lien,
2020
Term
Loan
,
4.5
%
,
(
3-month
USD
LIBOR
+
3.75
%
),
2/12/25
..................
United
States
376,910
377,774
Milano
Acquisition
Corp.,
Term
Loan
,
B
,
4.75
%
,
(
3-month
USD
LIBOR
+
4
%
),
10/01/27
...............................
United
States
330,000
331,445
Pitney
Bowes,
Inc.,
Incremental
Term
Loan
,
B
,
5.63
%
,
(
1-month
USD
LIBOR
+
5.5
%
),
1/07/25
...............................
United
States
3,607,547
3,606,429
WEX,
Inc.,
Term
Loan
,
B3
,
2.371
%
,
(
1-month
USD
LIBOR
+
2.25
%
),
5/15/26
...........................................
United
States
4,097,740
4,102,863
17,268,578
a
a
a
a
a
a
Leisure
Products
0.2%
j
Hercules
Achievement,
Inc.
(Varsity
Brands
Holding
Co.,
Inc.),
First
Lien,
Initial
Term
Loan
,
4.5
%
,
(
1-month
USD
LIBOR
+
3.5
%
),
12/16/24
..........................................
United
States
6,816,456
6,555,625
NASCAR
Holdings
LLC,
Initial
Term
Loan
,
2.897
%
,
(
1-month
USD
LIBOR
+
2.75
%
),
10/19/26
.............................
United
States
2,928,801
2,932,916
9,488,541
a
a
a
a
a
a
Machinery
0.1%
Altra
Industrial
Motion
Corp.,
Term
Loan
,
2.121
%
,
(
1-month
USD
LIBOR
+
2
%
),
10/01/25
...............................
United
States
2,017,973
2,020,819
Navistar,
Inc.,
Term
Loan
,
B
,
3.63
%
,
(
1-month
USD
LIBOR
+
3.5
%
),
11/06/24
..........................................
United
States
1,493,178
1,495,231
3,516,050
a
a
a
a
a
a
Media
0.3%
j
Cengage
Learning,
Inc.,
2016
Refinancing
Term
Loan
,
5.25
%
,
(
3-month
USD
LIBOR
+
4.25
%
),
6/07/23
..................
United
States
7,000,883
6,751,511
Clear
Channel
Outdoor
Holdings,
Inc.,
Term
Loan
,
B
,
3.711
%
,
(
2-month
USD
LIBOR
+
3.5%;
3-month
USD
LIBOR
+
3.5%
),
8/21/26
...........................................
United
States
1,406,439
1,375,231
CSC
Holdings
LLC,
March
2017
Refinancing
Term
Loan
,
2.377
%
,
(
1-month
USD
LIBOR
+
2.25
%
),
7/17/25
..................
United
States
984,655
980,736
Gray
Television,
Inc.,
Term
Loan
,
C
,
2.644
%
,
(
1-month
USD
LIBOR
+
2.5
%
),
1/02/26
......................................
United
States
339,690
339,690
Franklin
Strategic
Series
Consolidated
Statement
of
Investments
(unaudited)
Franklin
Strategic
Income
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
40
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
i
Senior
Floating
Rate
Interests
(continued)
Media
(continued)
Nexstar
Broadcasting,
Inc.,
Term
Loan
,
B4
,
2.894
%
,
(
1-month
USD
LIBOR
+
2.75
%
),
9/18/26
..............................
United
States
860,697
$
862,728
Univision
Communications,
Inc.,
First
Lien,
2020
Replacement
Term
Loan
,
4.75
%
,
(
1-month
USD
LIBOR
+
3.75
%
),
3/15/26
........
United
States
788,020
790,754
j
Virgin
Media
Bristol
LLC,
Term
Loan
,
Q
,
2.627
%
,
(
1-month
USD
LIBOR
+
3.25
%
),
1/31/29
..............................
United
States
1,888,138
1,894,039
12,994,689
a
a
a
a
a
a
Multiline
Retail
0.0%
†
Harbor
Freight
Tools
USA,
Inc.,
Initial
Term
Loan
(2020)
,
4
%
,
(
1-month
USD
LIBOR
+
3.25
%
),
10/19/27
.................
United
States
1,862,471
1,867,360
Oil,
Gas
&
Consumable
Fuels
0.3%
Buckeye
Partners
LP,
Initial
Term
Loan
,
2.897
%
,
(
1-month
USD
LIBOR
+
2.75
%
),
11/01/26
.............................
United
States
1,557,663
1,560,148
j,m
Fieldwood
Energy
LLC,
Debtor-in-possession
Facility
Term
Loan
,
9.75
%
,
(
1-month
USD
LIBOR
+
8.75
%
),
8/04/21
.............
United
States
386,753
395,455
l
Fieldwood
Energy
LLC,
First
Lien,
Closing
Date
Term
Loan
,
6.25
%
,
(
3-month
USD
LIBOR
+
5.25
%
),
4/11/22
..................
United
States
32,439,645
8,420,845
UTEX
Industries,
Inc.,
First
Out
Term
Loan
,
8.5
%
,
(
1-month
USD
LIBOR
+
7
%
),
12/03/24
...............................
United
States
189,763
191,424
UTEX
Industries,
Inc.,
Second
Out
Term
Loan
,
11
%
,
(
1-month
USD
LIBOR
+
9.5
%
),
12/03/25
..............................
United
States
116,025
115,252
10,683,124
a
a
a
a
a
a
Paper
&
Forest
Products
0.1%
Appvion
Operations,
Inc.,
Term
Loan
,
7
%
,
(
3-month
USD
LIBOR
+
6
%
),
6/12/26
.......................................
United
States
3,574,018
3,541,262
Personal
Products
0.2%
j
Coty,
Inc.,
USD
Term
Loan
,
B
,
2.382
%
,
(
1-month
USD
LIBOR
+
2.25
%
),
4/07/25
.....................................
United
States
6,899,884
6,522,771
Professional
Services
0.0%
†
j
Dun
&
Bradstreet
Corp.
(The),
Initial
Term
Loan
Borrowing
,
B
,
3.378
%
,
(
1-month
USD
LIBOR
+
3.25
%
),
2/06/26
............
United
States
39,680
39,836
Real
Estate
Management
&
Development
0.1%
j
Cushman
&
Wakefield
U.S.
Borrower
LLC,
Replacement
Term
Loan
,
2.873
%
,
(
1-month
USD
LIBOR
+
2.75
%
),
8/21/25
............
United
States
3,557,398
3,550,354
Road
&
Rail
0.2%
Avis
Budget
Car
Rental
LLC,
New
Term
Loan
,
B
,
2.38
%
,
(
1-month
USD
LIBOR
+
2.25
%
),
8/06/27
..........................
United
States
1,662,203
1,629,258
a
Onsite
Rental
Group
Operations
Pty.
Ltd.,
Term
Loan
,
B
,
5.5
%
,
(
1-month
USD
LIBOR
+
4.5
%
),
10/26/22
..................
Australia
3,404,855
3,171,399
Ventia
Midco
Pty.
Ltd.,
2017
Refinancing
USD
Term
Loan
,
B
,
5
%
,
(
3-month
USD
LIBOR
+
4
%
),
5/21/26
.....................
Australia
2,283,412
2,283,412
7,084,069
a
a
a
a
a
a
Software
0.3%
Aristocrat
Leisure
Ltd.,
Term
Loan
,
B3
,
1.973
%
,
(
3-month
USD
LIBOR
+
1.75
%
),
10/19/24
.............................
Australia
1,000,348
998,263
j
athenahealth,
Inc.,
First
Lien,
Term
Loan
,
B
,
4.633
%
,
(
1-month
USD
LIBOR
+
4.5
%
),
2/11/26
...............................
United
States
274,332
275,661
DCert
Buyer,
Inc.,
First
Lien,
Initial
Term
Loan
,
4.121
%
,
(
1-month
USD
LIBOR
+
4
%
),
10/16/26
...........................
United
States
827,915
831,019
Ivanti
Software,
Inc.,
First
Lien,
Initial
Term
Loan
,
5.75
%
,
(
3-month
USD
LIBOR
+
4.75
%
),
12/01/27
.........................
United
States
580,000
585,800
Franklin
Strategic
Series
Consolidated
Statement
of
Investments
(unaudited)
Franklin
Strategic
Income
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
41
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
i
Senior
Floating
Rate
Interests
(continued)
Software
(continued)
LogMeIn,
Inc.,
First
Lien,
Initial
Term
Loan
,
4.881
%
,
(
1-month
USD
LIBOR
+
4.75
%
),
8/31/27
..............................
United
States
830,000
$
827,751
Mitchell
International,
Inc.,
First
Lien,
Amendment
No.
2
New
Term
Loan
Facility
,
4.75
%
,
(
1-month
USD
LIBOR
+
4.25
%
),
11/29/24
.
United
States
408,975
410,167
Perforce
Software,
Inc.,
First
Lien,
New
Term
Loan
,
3.871
%
,
(
1-month
USD
LIBOR
+
3.75
%
),
7/01/26
..................
United
States
487,006
486,701
Quest
Software
US
Holdings,
Inc.,
First
Lien,
Initial
Term
Loan
,
4.462
%
,
(
3-month
USD
LIBOR
+
4.25
%
),
5/16/25
............
United
States
837,857
839,055
Veritas
US,
Inc.,
Term
Loan
,
B
,
6.5
%
,
(
3-month
USD
LIBOR
+
5.5
%
),
9/01/25
...........................................
United
States
827,925
834,134
a,l
WorkCapital
BSD
SARL,
Term
Loan
,
(
1-month
USD
LIBOR
+
16
%
),
11/02/22
..........................................
United
States
20,000,000
3,991,702
10,080,253
a
a
a
a
a
a
Specialty
Retail
0.2%
j
Party
City
Holdings,
Inc.,
2018
Replacement
Term
Loan
,
3.25
%
,
(
2-month
USD
LIBOR
+
2.5%;
3-month
USD
LIBOR
+
2.5%
),
8/19/22
...........................................
United
States
4,369,577
4,224,835
j
Petco
Animal
Supplies,
Inc.,
Term
Loan
,
4.25
%
,
(
3-month
USD
LIBOR
+
3.25
%
),
1/26/23
..............................
United
States
2,428,138
2,428,830
PetSmart,
Inc.,
Term
Loan
,
B
,
4.5
%
,
(
3-month
USD
LIBOR
+
3.75
%
),
12/31/27
..........................................
United
States
292,389
290,927
Woof
Holdings,
Inc.,
First
Lien,
Initial
Term
Loan
,
4.5
%
,
(
1-year
USD
LIBOR
+
3.75
%
),
12/21/27
.............................
United
States
189,400
190,506
7,135,098
a
a
a
a
a
a
Technology
Hardware,
Storage
&
Peripherals
0.0%
†
Amentum
Government
Services
Holdings
LLC,
Incremental
Term
Loan
,
5.5
%
,
(
3-month
USD
LIBOR
+
4.75
%
),
1/29/27
.........
United
States
330,000
332,475
Cardtronics
USA,
Inc.,
Initial
Term
Loan
,
5
%
,
(
1-month
USD
LIBOR
+
4
%
),
6/29/27
.......................................
United
States
1,002,659
1,007,989
1,340,464
a
a
a
a
a
a
Wireless
Telecommunication
Services
0.0%
†
Altice
France
SA,
USD
Incremental
Term
Loan
,
B-13
,
4.127
%
,
(
1-month
USD
LIBOR
+
4
%
),
8/14/26
.....................
France
286,186
286,743
Total
Senior
Floating
Rate
Interests
(Cost
$225,655,621)
.........................
170,863,737
Marketplace
Loans
0.2%
Diversified
Financial
Services
0.2%
a
Lending
Club
-
LCX
PM,
8.24%
-
23.99%,
9/04/23
-
1/27/26
.....
United
States
4,245,080
4,081,255
a
Lending
Club
-
LCX,
6.46%
-
28.8%,
5/31/22
-
3/17/25
.........
United
States
3,628,625
3,292,971
a
Prosper,
11.99%
-
23.2%,
11/12/23
-
12/29/25
................
United
States
221,385
220,046
a
Upgrade,
14.19%
-
30.51%,
11/05/22
-
2/20/25
...............
United
States
1,697,521
1,512,878
9,107,150
a
a
a
a
a
a
Total
Marketplace
Loans
(Cost
$9,655,984)
.....................................
9,107,150
Loan
Participations
and
Assignments
0.4%
b,h
Russian
Railways
Via
RZD
Capital
plc,
Senior
Bond,
Reg
S,
5.7%,
4/05/22
...........................................
Russia
14,600,000
15,381,509
Total
Loan
Participations
and
Assignments
(Cost
$14,976,969)
...................
15,381,509
Franklin
Strategic
Series
Consolidated
Statement
of
Investments
(unaudited)
Franklin
Strategic
Income
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
42
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Foreign
Government
and
Agency
Securities
15.5%
h
African
Export-Import
Bank
(The)
,
Senior
Bond
,
144A,
3.994
%
,
9/21/29
...........................................
Supranational
n
19,100,000
$
20,757,498
h
Angola
Government
Bond
,
Senior
Bond
,
144A,
8.25
%
,
5/09/28
...
Angola
28,800,000
28,858,061
h
Banque
Centrale
de
Tunisie
,
Senior
Note
,
Reg
S,
5.625
%
,
2/17/24
Tunisia
24,800,000
EUR
27,742,289
h
Banque
Ouest
Africaine
de
Developpement
,
Senior
Bond
,
144A,
5
%
,
7/27/27
...........................................
Supranational
n
11,500,000
13,021,105
h
Belarus
Government
Bond
,
Senior
Bond,
144A,
7.625%,
6/29/27
.....................
Belarus
11,400,000
12,512,378
Senior
Bond,
144A,
6.2%,
2/28/30
.......................
Belarus
12,300,000
12,438,793
Brazil
Notas
do
Tesouro
Nacional
,
10%,
1/01/23
.......................................
Brazil
34,402,000
BRL
6,859,140
o
Index
Linked,
6%,
5/15/23
.............................
Brazil
67,261,506
BRL
13,659,568
Colombia
Government
Bond
,
Senior
Bond,
3.875%,
4/25/27
..........................
Colombia
14,000,000
15,442,840
Senior
Bond,
9.85%,
6/28/27
...........................
Colombia
55,750,000,000
COP
20,255,857
Senior
Bond,
4.5%,
3/15/29
............................
Colombia
2,800,000
3,191,496
Senior
Bond,
5%,
6/15/45
.............................
Colombia
20,700,000
24,079,275
h
Dominican
Republic
Government
Bond
,
Senior
Note
,
144A,
8.9
%
,
2/15/23
...........................................
Dominican
Republic
838,300,000
DOP
14,895,714
Ecopetrol
SA
,
Senior
Bond
,
4.125
%
,
1/16/25
.................
Colombia
8,200,000
8,860,100
g,h
Electricite
de
France
SA
,
Junior
Sub.
Bond,
144A,
5.25%
to
1/29/23,
FRN
thereafter,
Perpetual
..........................................
France
25,000,000
26,250,000
Junior
Sub.
Bond,
144A,
5.625%
to
1/22/24,
FRN
thereafter,
Perpetual
..........................................
France
5,000,000
5,337,500
Equinor
ASA
,
Senior
Bond
,
2.375
%
,
5/22/30
.................
Norway
7,000,000
7,381,478
h
Export-Import
Bank
of
India
,
Senior
Bond
,
144A,
3.875
%
,
2/01/28
.
India
16,000,000
17,542,240
h
Gabon
Government
Bond
,
144A,
6.375%,
12/12/24
...............................
Gabon
10,443,918
10,954,949
Senior
Bond,
144A,
6.625%,
2/06/31
.....................
Gabon
17,150,000
16,980,867
h
Indonesia
Asahan
Aluminium
Persero
PT
,
Senior
Bond
,
144A,
5.45
%
,
5/15/30
.....................................
Indonesia
9,800,000
11,585,560
Indonesia
Government
Bond
,
FR34,
12.8%,
6/15/21
................................
Indonesia
129,210,000,000
IDR
9,559,606
FR39,
11.75%,
8/15/23
...............................
Indonesia
29,150,000,000
IDR
2,435,199
FR44,
10%,
9/15/24
..................................
Indonesia
8,340,000,000
IDR
686,294
FR56,
8.375%,
9/15/26
...............................
Indonesia
363,988,000,000
IDR
29,401,046
h
Senior
Bond,
144A,
4.35%,
1/08/27
......................
Indonesia
8,100,000
9,382,149
h
Senior
Bond,
144A,
3.85%,
7/18/27
......................
Indonesia
22,000,000
25,078,492
h
Iraq
Government
Bond
,
Senior
Bond
,
144A,
5.8
%
,
1/15/28
......
Iraq
23,975,000
22,642,949
h
Israel
Electric
Corp.
Ltd.
,
Senior
Secured
Bond
,
144A,
Reg
S,
4.25
%
,
8/14/28
...........................................
Israel
9,200,000
10,513,300
h
Kazakhstan
Government
Bond
,
Senior
Bond
,
144A,
4.875
%
,
10/14/44
..........................................
Kazakhstan
17,700,000
23,485,847
Mexico
Government
Bond
,
Senior
Bond,
4.15%,
3/28/27
...........................
Mexico
30,400,000
34,827,304
Senior
Bond,
3.75%,
1/11/28
...........................
Mexico
4,000,000
4,458,980
Peru
Government
Bond
,
Senior
Bond
,
6.55
%
,
3/14/37
..........
Peru
8,600,000
12,851,023
Petroleos
Mexicanos
,
Senior
Bond
,
6.625
%
,
6/15/35
...........
Mexico
6,500,000
6,119,750
h
Russia
Government
Bond
,
Senior
Bond,
144A,
4.875%,
9/16/23
.....................
Russia
6,800,000
7,489,289
Senior
Bond,
Reg
S,
4.75%,
5/27/26
.....................
Russia
12,000,000
13,817,088
South
Africa
Government
Bond
,
Senior
Bond,
5.875%,
6/22/30
..........................
South
Africa
6,500,000
7,167,264
Senior
Bond,
7%,
2/28/31
.............................
South
Africa
365,000,000
ZAR
20,659,193
Franklin
Strategic
Series
Consolidated
Statement
of
Investments
(unaudited)
Franklin
Strategic
Income
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
43
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Foreign
Government
and
Agency
Securities
(continued)
Turkey
Government
Bond
,
Senior
Bond
,
4.875
%
,
10/09/26
......
Turkey
8,000,000
$
8,124,512
h
Turkiye
Vakiflar
Bankasi
TAO
,
Covered
Note
,
Reg
S,
2.375
%
,
5/04/21
...........................................
Turkey
3,900,000
EUR
4,742,660
h
Ukraine
Government
Bond
,
Senior
Note,
144A,
7.75%,
9/01/23
.......................
Ukraine
4,355,000
4,748,283
Senior
Note,
144A,
7.75%,
9/01/24
.......................
Ukraine
4,355,000
4,819,225
Senior
Bond,
144A,
7.375%,
9/25/32
.....................
Ukraine
6,000,000
6,454,320
p
VRI,
GDP
Linked
Security,
Senior
Bond,
144A,
5/31/40
.......
Ukraine
9,990,000
11,311,877
o
Uruguay
Government
Bond
,
Index
Linked,
Senior
Bond
,
3.7
%
,
6/26/37
...........................................
Uruguay
925,311,316
UYU
24,846,221
Total
Foreign
Government
and
Agency
Securities
(Cost
$621,350,888)
............
624,228,579
U.S.
Government
and
Agency
Securities
2.8%
U.S.
Treasury
Bonds
,
7.125%,
2/15/23
.....................................
United
States
3,000,000
3,429,844
6.25%,
8/15/23
.....................................
United
States
4,000,000
4,621,562
6.875%,
8/15/25
.....................................
United
States
1,000,000
1,293,320
U.S.
Treasury
Notes
,
1.5%,
11/30/21
......................................
United
States
30,000,000
30,355,239
o
0.125%,
7/15/24
.....................................
United
States
10,340,000
12,230,706
0.25%,
6/30/25
.....................................
United
States
41,000,000
40,819,024
o
0.375%,
7/15/25
.....................................
United
States
17,700,000
21,517,398
Total
U.S.
Government
and
Agency
Securities
(Cost
$109,914,821)
................
114,267,093
Asset-Backed
Securities
9.4%
Airlines
0.1%
United
Airlines
Pass-Through
Trust
,
2020-1
,
B
,
4.875
%
,
7/15/27
..
United
States
1,200,000
1,236,067
Capital
Markets
0.1%
h,q
Mountain
View
CLO
XIV
Ltd.
,
2019-1A
,
C
,
144A,
FRN
,
3.141
%
,
(
3-month
USD
LIBOR
+
2.9
%
),
4/15/29
...................
United
States
4,500,000
4,511,654
Consumer
Finance
0.5%
q
Citibank
Credit
Card
Issuance
Trust
,
2017-A7
,
A7
,
FRN
,
0.502
%
,
(
1-month
USD
LIBOR
+
0.37
%
),
8/08/24
..................
United
States
20,069,000
20,190,249
Diversified
Financial
Services
8.7%
h,q
AMMC
CLO
XI
Ltd.
,
2012-11A,
BR2,
144A,
FRN,
1.814%,
(3-month
USD
LIBOR
+
1.6%),
4/30/31
......................................
United
States
3,000,000
3,000,914
2012-11A,
CR2,
144A,
FRN,
2.114%,
(3-month
USD
LIBOR
+
1.9%),
4/30/31
......................................
United
States
1,000,000
970,728
h,q
Antares
CLO
Ltd.
,
2018-1A
,
B
,
144A,
FRN
,
1.874
%
,
(
3-month
USD
LIBOR
+
1.65
%
),
4/20/31
..............................
United
States
17,500,000
17,261,894
h,q
Ares
L
CLO
Ltd.
,
2018-50A
,
B
,
144A,
FRN
,
1.941
%
,
(
3-month
USD
LIBOR
+
1.7
%
),
1/15/32
...............................
United
States
15,700,000
15,742,194
h,q
BCC
Middle
Market
CLO
LLC
,
2018-1A
,
A2
,
144A,
FRN
,
2.374
%
,
(
3-month
USD
LIBOR
+
2.15
%
),
10/20/30
.................
United
States
6,300,000
6,156,710
h,q
BlueMountain
CLO
Ltd.
,
2012-2A,
BR2,
144A,
FRN,
1.674%,
(3-month
USD
LIBOR
+
1.45%),
11/20/28
....................................
United
States
6,710,000
6,664,849
2012-2A,
CR2,
144A,
FRN,
2.224%,
(3-month
USD
LIBOR
+
2%),
11/20/28
..........................................
United
States
2,730,000
2,714,638
2014-2A,
CR2,
144A,
FRN,
2.424%,
(3-month
USD
LIBOR
+
2.2%),
10/20/30
.....................................
United
States
3,800,000
3,797,501
Franklin
Strategic
Series
Consolidated
Statement
of
Investments
(unaudited)
Franklin
Strategic
Income
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
44
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Asset-Backed
Securities
(continued)
Diversified
Financial
Services
(continued)
h,q
BlueMountain
CLO
Ltd.,
(continued)
2016-3A,
CR,
144A,
FRN,
2.421%,
(3-month
USD
LIBOR
+
2.2%),
11/15/30
..........................................
United
States
300,000
$
299,803
2018-1A,
D,
144A,
FRN,
3.264%,
(3-month
USD
LIBOR
+
3.05%),
7/30/30
...........................................
United
States
5,000,000
4,865,709
h,q
BlueMountain
Fuji
EUR
CLO
V
DAC
,
5A
,
B
,
144A,
FRN
,
1.55
%
,
(
3-month
EURIBOR
+
1.55
%
),
1/15/33
....................
Ireland
6,200,000
EUR
7,541,381
h,q
BlueMountain
Fuji
US
CLO
III
Ltd.
,
2017-3A
,
C
,
144A,
FRN
,
1.941
%
,
(
3-month
USD
LIBOR
+
1.7
%
),
1/15/30
...................
United
States
1,250,000
1,230,547
h,q
Burnham
Park
CLO
Ltd.
,
2016-1A
,
BR
,
144A,
FRN
,
1.724
%
,
(
3-month
USD
LIBOR
+
1.5
%
),
10/20/29
..................
United
States
3,500,000
3,497,382
h,q
Buttermilk
Park
CLO
Ltd.
,
2018-1A
,
C
,
144A,
FRN
,
2.341
%
,
(
3-month
USD
LIBOR
+
2.1
%
),
10/15/31
..................
United
States
9,730,950
9,743,836
h,q
Carlyle
Global
Market
Strategies
CLO
Ltd.
,
2013-3A,
BR,
144A,
FRN,
1.941%,
(3-month
USD
LIBOR
+
1.7%),
10/15/30
..........................................
United
States
300,000
289,579
2014-2RA,
B,
144A,
FRN,
2.046%,
(3-month
USD
LIBOR
+
1.825%),
5/15/31
....................................
United
States
580,000
563,744
2014-4RA,
C,
144A,
FRN,
3.141%,
(3-month
USD
LIBOR
+
2.9%),
7/15/30
...........................................
United
States
3,000,000
2,837,581
h,q
Carlyle
GMS
Finance
MM
CLO
LLC
,
2015-1A
,
A2R
,
144A,
FRN
,
2.441
%
,
(
3-month
USD
LIBOR
+
2.2
%
),
10/15/31
............
United
States
12,000,000
11,775,398
h
CF
Hippolyta
LLC
,
2020-1
,
A1
,
144A,
1.69
%
,
7/15/60
..........
United
States
4,094,285
4,183,410
h,q
Cole
Park
CLO
Ltd.
,
2015-1A
,
BR
,
144A,
FRN
,
1.824
%
,
(
3-month
USD
LIBOR
+
1.6
%
),
10/20/28
..........................
United
States
3,530,000
3,534,186
h,r
Consumer
Loan
Underlying
Bond
Certificate
Issuer
Trust
I
,
2018-14,
PT,
144A,
FRN,
9.46%,
9/16/41
..................
United
States
1,165,579
1,136,984
2018-29,
PT,
144A,
FRN,
27.093%,
12/15/43
...............
United
States
1,132,296
1,104,012
2019-26,
PT,
144A,
FRN,
19.577%,
8/15/44
................
United
States
4,393,319
4,265,639
2019-31,
PT,
144A,
FRN,
19.55%,
9/15/44
.................
United
States
3,971,509
3,814,205
2019-37,
PT,
144A,
FRN,
18.312%,
10/17/44
...............
United
States
4,115,715
3,945,176
2019-42,
PT,
144A,
FRN,
18.677%,
11/15/44
...............
United
States
4,551,873
4,403,855
2019-51,
PT,
144A,
FRN,
16.134%,
1/15/45
................
United
States
4,963,750
4,800,932
2019-52,
PT,
144A,
FRN,
16.405%,
1/15/45
................
United
States
4,922,840
4,794,767
2019-S1,
PT,
144A,
FRN,
15.064%,
4/15/44
................
United
States
2,945,811
2,817,663
2019-S2,
PT,
144A,
FRN,
14.235%,
5/16/44
................
United
States
2,228,949
2,163,733
2019-S3,
PT,
144A,
FRN,
14.033%,
6/15/44
................
United
States
3,026,579
2,925,858
2019-S4,
PT,
144A,
FRN,
11.862%,
8/15/44
................
United
States
3,454,909
3,340,368
2019-S5,
PT,
144A,
FRN,
13.112%,
9/15/44
................
United
States
3,369,588
3,257,002
2019-S6,
PT,
144A,
FRN,
11.165%,
10/17/44
...............
United
States
3,267,530
3,104,827
2019-S7,
PT,
144A,
FRN,
11.301%,
12/15/44
...............
United
States
2,892,415
2,763,184
2019-S8,
PT,
144A,
FRN,
10.21%,
1/15/45
.................
United
States
3,635,365
3,455,109
2020-2,
PT,
144A,
FRN,
16.489%,
3/15/45
.................
United
States
4,805,287
4,658,293
2020-7,
PT,
144A,
FRN,
16.191%,
4/17/45
.................
United
States
3,047,473
2,925,263
Franklin
Strategic
Series
Consolidated
Statement
of
Investments
(unaudited)
Franklin
Strategic
Income
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
45
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Asset-Backed
Securities
(continued)
Diversified
Financial
Services
(continued)
r
CWABS
Asset-Backed
Certificates
Trust
,
2005-11
,
AF4
,
FRN
,
5.21
%
,
3/25/34
...........................................
United
States
386,853
$
388,021
h,q
Dryden
38
Senior
Loan
Fund
,
2015-38A
,
CR
,
144A,
FRN
,
2.241
%
,
(
3-month
USD
LIBOR
+
2
%
),
7/15/30
.....................
United
States
7,186,000
7,198,540
h,q
Dryden
42
Senior
Loan
Fund
,
2016-42A
,
DR
,
144A,
FRN
,
3.171
%
,
(
3-month
USD
LIBOR
+
2.93
%
),
7/15/30
..................
United
States
8,400,000
8,363,133
h,q
Dryden
55
CLO
Ltd.
,
2018-55A
,
D
,
144A,
FRN
,
3.091
%
,
(
3-month
USD
LIBOR
+
2.85
%
),
4/15/31
..........................
United
States
3,000,000
2,904,382
h,q
Eaton
Vance
CLO
Ltd.
,
2014-1RA
,
C
,
144A,
FRN
,
2.341
%
,
(
3-month
USD
LIBOR
+
2.1
%
),
7/15/30
...........................
United
States
1,972,575
1,966,583
h,q
Galaxy
XVIII
CLO
Ltd.
,
2018-28A
,
C
,
144A,
FRN
,
2.191
%
,
(
3-month
USD
LIBOR
+
1.95
%
),
7/15/31
..........................
United
States
3,070,000
3,051,061
h,q
Galaxy
XXVII
CLO
Ltd.
,
2018-27A
,
C
,
144A,
FRN
,
2.021
%
,
(
3-month
USD
LIBOR
+
1.8
%
),
5/16/31
...........................
United
States
3,600,000
3,584,700
h,q
HPS
Loan
Management
Ltd.
,
13A-18
,
C
,
144A,
FRN
,
2.391
%
,
(
3-month
USD
LIBOR
+
2.15
%
),
10/15/30
.................
United
States
4,950,000
4,916,126
h,q
LCM
XVI
LP
,
16A
,
BR2
,
144A,
FRN
,
1.991
%
,
(
3-month
USD
LIBOR
+
1.75
%
),
10/15/31
..................................
United
States
13,525,832
13,543,832
h,q
LCM
XVII
LP
,
17A,
BRR,
144A,
FRN,
1.841%,
(3-month
USD
LIBOR
+
1.6%),
10/15/31
..........................................
United
States
4,590,000
4,556,211
17A,
CRR,
144A,
FRN,
2.341%,
(3-month
USD
LIBOR
+
2.1%),
10/15/31
..........................................
United
States
4,240,000
4,194,644
h,q
LCM
XVIII
LP
,
18A
,
DR
,
144A,
FRN
,
3.024
%
,
(
3-month
USD
LIBOR
+
2.8
%
),
4/20/31
....................................
United
States
6,860,000
6,555,315
h,q
Madison
Park
Euro
Funding
VIII
DAC
,
8A
,
BRN
,
144A,
FRN
,
1.7
%
,
(
3-month
EURIBOR
+
1.7
%
),
4/15/32
.....................
Ireland
4,100,000
EUR
4,989,232
h,r
Mill
City
Mortgage
Loan
Trust
,
2018-4
,
A1B
,
144A,
FRN
,
3.5
%
,
4/25/66
...........................................
United
States
14,277,440
15,171,202
h,q
Neuberger
Berman
CLO
XVIII
Ltd.
,
2014-18A
,
CR2
,
144A,
FRN
,
3.224
%
,
(
3-month
USD
LIBOR
+
3
%
),
10/21/30
.............
United
States
500,000
497,546
h,q
Neuberger
Berman
CLO
XXII
Ltd.
,
2016-22A
,
CR
,
144A,
FRN
,
2.423
%
,
(
3-month
USD
LIBOR
+
2.2
%
),
10/17/30
............
United
States
2,129,630
2,132,113
h,q
NZCG
Funding
Ltd.
,
2015-1A
,
A2R
,
144A,
FRN
,
1.783
%
,
(
3-month
USD
LIBOR
+
1.55
%
),
2/26/31
..........................
United
States
15,500,000
15,472,270
h,q
Octagon
Investment
Partners
28
Ltd.
,
2016-1A,
A2R,
144A,
FRN,
1.668%,
(3-month
USD
LIBOR
+
1.45%),
10/24/30
....................................
United
States
5,000,000
4,982,332
2016-1A,
BR,
144A,
FRN,
2.018%,
(3-month
USD
LIBOR
+
1.8%),
10/24/30
..........................................
United
States
3,914,730
3,922,022
h,q
Octagon
Investment
Partners
36
Ltd.
,
2018-1A
,
A1
,
144A,
FRN
,
1.211
%
,
(
3-month
USD
LIBOR
+
0.97
%
),
4/15/31
............
United
States
7,475,000
7,466,565
h,q
Octagon
Investment
Partners
37
Ltd.
,
2018-2A
,
C
,
144A,
FRN
,
3.068
%
,
(
3-month
USD
LIBOR
+
2.85
%
),
7/25/30
............
United
States
4,000,000
3,891,566
h,q
Octagon
Investment
Partners
38
Ltd.
,
2018-1A
,
C
,
144A,
FRN
,
3.174
%
,
(
3-month
USD
LIBOR
+
2.95
%
),
7/20/30
............
United
States
5,000,000
4,867,983
h,q
Octagon
Investment
Partners
XVI
Ltd.
,
2013-1A
,
DR
,
144A,
FRN
,
3.223
%
,
(
3-month
USD
LIBOR
+
3
%
),
7/17/30
..............
United
States
6,000,000
5,897,548
h,q
Octagon
Investment
Partners
XXIII
Ltd.
,
2015-1A
,
BR
,
144A,
FRN
,
1.441
%
,
(
3-month
USD
LIBOR
+
1.2
%
),
7/15/27
.............
United
States
4,590,000
4,560,204
h,r
Prosper
Pass-Thru
Trust
III
,
2020-PT1,
A,
144A,
FRN,
8.796%,
3/15/26
.................
United
States
2,963,053
2,919,713
2020-PT2,
A,
144A,
FRN,
9.444%,
4/15/26
.................
United
States
3,391,118
3,335,051
2020-PT3,
A,
144A,
FRN,
7.183%,
5/15/26
.................
United
States
925,864
934,625
Franklin
Strategic
Series
Consolidated
Statement
of
Investments
(unaudited)
Franklin
Strategic
Income
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
46
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Asset-Backed
Securities
(continued)
Diversified
Financial
Services
(continued)
h,q
Strata
CLO
I
Ltd.
,
2018-1A
,
B
,
144A,
FRN
,
2.441
%
,
(
3-month
USD
LIBOR
+
2.2
%
),
1/15/31
...............................
United
States
14,100,000
$
13,952,790
h
Upgrade
Master
Pass-Thru
Trust
,
r
2019-PT1,
A,
144A,
FRN,
11.523%,
6/15/25
................
United
States
1,719,712
1,551,194
2019-PT2,
A,
144A,
1.1%,
2/15/26
.......................
United
States
2,558,063
2,523,857
h,q
Voya
CLO
Ltd.
,
2013-2A,
A2AR,
144A,
FRN,
1.618%,
(3-month
USD
LIBOR
+
1.4%),
4/25/31
......................................
United
States
2,200,000
2,186,849
2013-2A,
BR,
144A,
FRN,
2.068%,
(3-month
USD
LIBOR
+
1.85%),
4/25/31
.....................................
United
States
5,770,000
5,701,191
2014-1A,
CR2,
144A,
FRN,
3.023%,
(3-month
USD
LIBOR
+
2.8%),
4/18/31
......................................
United
States
8,000,000
7,721,420
2015-2A,
BR,
144A,
FRN,
1.718%,
(3-month
USD
LIBOR
+
1.5%),
7/23/27
...........................................
United
States
9,290,000
9,255,399
2016-1A,
BR,
144A,
FRN,
2.024%,
(3-month
USD
LIBOR
+
1.8%),
1/20/31
...........................................
United
States
590,000
581,696
352,085,770
a
a
a
a
a
a
Total
Asset-Backed
Securities
(Cost
$377,763,223)
..............................
378,023,740
Commercial
Mortgage-Backed
Securities
0.1%
Diversified
Financial
Services
0.1%
r
Commercial
Mortgage
Trust
,
2006-GG7
,
AJ
,
FRN
,
6.214
%
,
7/10/38
United
States
2,355,155
2,120,229
Total
Commercial
Mortgage-Backed
Securities
(Cost
$2,269,339)
.................
2,120,229
Mortgage-Backed
Securities
4.5%
s
Federal
Home
Loan
Mortgage
Corp.
(FHLMC)
Adjustable
Rate
0.0%
†
FHLMC,
3.848%,
(1-year
CMT
T-Note
+/-
MBS
Margin),
1/01/33
..
United
States
10,342
10,309
Federal
Home
Loan
Mortgage
Corp.
(FHLMC)
Fixed
Rate
0.1%
FHLMC
Gold
Pools,
15
Year,
5%,
7/01/22
...................
United
States
13,105
13,732
FHLMC
Gold
Pools,
20
Year,
5%,
5/01/27
-
5/01/30
............
United
States
225,808
251,879
FHLMC
Gold
Pools,
20
Year,
6.5%,
10/01/21
.................
United
States
540
607
FHLMC
Gold
Pools,
20
Year,
7%,
9/01/21
...................
United
States
455
460
FHLMC
Gold
Pools,
30
Year,
4.5%,
10/01/40
.................
United
States
93,800
105,610
FHLMC
Gold
Pools,
30
Year,
5%,
3/01/34
-
2/01/38
............
United
States
503,689
577,023
FHLMC
Gold
Pools,
30
Year,
5.5%,
6/01/33
-
6/01/36
..........
United
States
585,653
674,381
FHLMC
Gold
Pools,
30
Year,
6%,
6/01/33
-
6/01/37
............
United
States
221,799
256,087
FHLMC
Gold
Pools,
30
Year,
6.5%,
12/01/25
-
6/01/36
.........
United
States
71,510
83,281
FHLMC
Gold
Pools,
30
Year,
7%,
4/01/28
-
8/01/32
............
United
States
12,780
13,550
FHLMC
Gold
Pools,
30
Year,
7.5%,
1/01/26
-
1/01/31
..........
United
States
3,555
4,264
FHLMC
Gold
Pools,
30
Year,
8%,
11/01/25
-
1/01/26
...........
United
States
54
54
FHLMC
Gold
Pools,
30
Year,
9%,
12/01/24
..................
United
States
39
42
1,980,970
s
Federal
National
Mortgage
Association
(FNMA)
Adjustable
Rate
0.0%
†
FNMA,
2.329%,
(1-year
CMT
T-Note
+/-
MBS
Margin),
12/01/34
..
United
States
90,119
92,112
Federal
National
Mortgage
Association
(FNMA)
Fixed
Rate
3.8%
FNMA,
15
Year,
2.5%,
7/01/27
...........................
United
States
161,807
170,340
FNMA,
15
Year,
5.5%,
3/01/21
-
4/01/22
....................
United
States
2,727
2,738
FNMA,
20
Year,
4.5%,
3/01/28
...........................
United
States
41,723
45,297
FNMA,
20
Year,
5%,
9/01/23
-
6/01/31
......................
United
States
284,639
316,839
FNMA,
30
Year,
3%,
9/01/48
-
9/01/50
......................
United
States
27,534,449
29,200,934
FNMA,
30
Year,
4.5%,
2/01/41
...........................
United
States
239,801
267,984
FNMA,
30
Year,
5%,
10/01/35
............................
United
States
516,016
599,467
Franklin
Strategic
Series
Consolidated
Statement
of
Investments
(unaudited)
Franklin
Strategic
Income
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
47
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Mortgage-Backed
Securities
(continued)
Federal
National
Mortgage
Association
(FNMA)
Fixed
Rate
(continued)
FNMA,
30
Year,
5.5%,
9/01/33
-
12/01/35
...................
United
States
759,981
$
878,496
FNMA,
30
Year,
6%,
6/01/34
-
5/01/38
......................
United
States
1,671,431
1,947,751
FNMA,
30
Year,
6.5%,
3/01/28
-
10/01/37
...................
United
States
226,637
263,433
FNMA,
30
Year,
7.5%,
10/01/29
...........................
United
States
3,986
4,706
FNMA,
30
Year,
8%,
1/01/25
-
5/01/26
......................
United
States
1,677
1,867
t
FNMA,
Single-family,
15
Year,
1.5%,
2/25/36
.................
United
States
9,046,000
9,276,390
t
FNMA,
Single-family,
15
Year,
2%,
2/25/36
..................
United
States
22,264,000
23,263,271
t
FNMA,
Single-family,
30
Year,
2%,
2/25/51
..................
United
States
30,010,000
30,992,359
t
FNMA,
Single-family,
30
Year,
2.5%,
2/25/51
.................
United
States
53,302,000
56,169,065
153,400,937
Government
National
Mortgage
Association
(GNMA)
Fixed
Rate
0.6%
GNMA
I,
30
Year,
8%,
2/15/25
............................
United
States
23
25
GNMA
I,
Single-family,
30
Year,
5%,
6/15/34
-
7/15/34
..........
United
States
84,524
97,280
GNMA
I,
Single-family,
30
Year,
5.5%,
2/15/33
-
6/15/36
........
United
States
266,923
303,521
GNMA
I,
Single-family,
30
Year,
6%,
8/15/36
.................
United
States
18,826
22,497
GNMA
I,
Single-family,
30
Year,
6.5%,
2/15/29
-
3/15/32
........
United
States
4,432
4,938
GNMA
I,
Single-family,
30
Year,
7%,
11/15/27
-
5/15/28
.........
United
States
5,030
5,072
GNMA
I,
Single-family,
30
Year,
7.5%,
9/15/23
-
5/15/27
........
United
States
502
520
GNMA
I,
Single-family,
30
Year,
8%,
7/15/26
-
9/15/27
..........
United
States
2,504
2,609
GNMA
I,
Single-family,
30
Year,
8.5%,
8/15/24
................
United
States
34
35
GNMA
I,
Single-family,
30
Year,
9%,
1/15/25
.................
United
States
128
128
GNMA
I,
Single-family,
30
Year,
9.5%,
6/15/25
................
United
States
298
299
t
GNMA
II,
Single-family,
30
Year,
2%,
2/15/51
.................
United
States
11,864,000
12,322,803
t
GNMA
II,
Single-family,
30
Year,
2.5%,
2/15/51
...............
United
States
11,751,000
12,366,550
GNMA
II,
Single-family,
30
Year,
5%,
9/20/33
-
11/20/33
.........
United
States
135,898
154,715
GNMA
II,
Single-family,
30
Year,
5.5%,
6/20/34
...............
United
States
70,770
82,815
GNMA
II,
Single-family,
30
Year,
6%,
11/20/34
................
United
States
73,574
86,837
GNMA
II,
Single-family,
30
Year,
6.5%,
7/20/28
-
12/20/31
.......
United
States
40,470
47,363
GNMA
II,
Single-family,
30
Year,
7.5%,
4/20/32
...............
United
States
14,155
16,386
25,514,393
Total
Mortgage-Backed
Securities
(Cost
$178,775,070)
...........................
180,998,721
Municipal
Bonds
2.0%
California
0.3%
City
of
San
Francisco,
Public
Utilities
Commission
Water,
Revenue,
2019
A,
Refunding,
3.473%,
11/01/43
.....................
United
States
2,310,000
2,489,972
San
Bernardino
Community
College
District,
GO,
2019
A-1,
3.271%,
8/01/39
...........................................
United
States
2,160,000
2,315,671
San
Diego
County
Regional
Transportation
Commission,
Revenue,
2019
A,
Refunding,
3.248%,
4/01/48
.....................
United
States
2,360,000
2,517,082
San
Jose
Redevelopment
Agency
Successor
Agency,
Tax
Allocation,
Senior
Lien,
2017A-T,
Refunding,
3.25%,
8/01/29
............
United
States
5,675,000
6,372,230
13,694,955
Colorado
0.1%
Metro
Wastewater
Reclamation
District,
Revenue,
2019
B,
Refunding,
3.158%,
4/01/41
............................
United
States
4,880,000
5,168,115
Hawaii
0.0%
†
City
&
County
Honolulu,
Wastewater
System,
Revenue,
2019
B,
Refunding,
2.585%,
7/01/28
............................
United
States
1,180,000
1,281,232
Illinois
0.2%
State
of
Illinois,
GO,
2003,
5.1%,
6/01/33
...................
United
States
6,960,000
7,794,574
Franklin
Strategic
Series
Consolidated
Statement
of
Investments
(unaudited)
Franklin
Strategic
Income
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
48
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Municipal
Bonds
(continued)
Massachusetts
0.1%
Massachusetts
School
Building
Authority,
Revenue,
2019
B,
Refunding,
3.395%,
10/15/40
...........................
United
States
2,905,000
$
3,071,253
New
Jersey
0.3%
New
Jersey
Transportation
Trust
Fund
Authority,
Revenue,
2019
B,
Refunding,
4.131%,
6/15/42
............................
United
States
3,535,000
3,954,604
State
of
New
Jersey,
GO,
2020
A,
3%,
6/01/32
...............
United
States
6,730,000
7,765,882
11,720,486
New
York
0.2%
Metropolitan
Transportation
Authority,
Revenue,
2020
E,
Refunding,
4%,
11/15/45
.......................................
United
States
5,340,000
6,141,427
New
York
State
Dormitory
Authority,
State
University
of
New
York,
Revenue,
2019B,
Refunding,
3.142%,
7/01/43
..............
United
States
3,145,000
3,269,825
9,411,252
Ohio
0.1%
State
of
Ohio,
Cleveland
Clinic
Health
System
Obligated
Group,
Revenue,
2019G,
Refunding,
3.276%,
1/01/42
..............
United
States
1,975,000
2,228,709
Oregon
0.1%
State
of
Oregon,
Department
of
Transportation,
Revenue,
Senior
Lien,
2019
B,
Refunding,
3.168%,
11/15/38
................
United
States
3,930,000
4,254,147
Pennsylvania
0.1%
University
of
Pittsburgh-of
the
Commonwealth
System
of
Higher
Education,
Revenue,
2017
C,
Refunding,
3.005%,
9/15/41
.....
United
States
5,500,000
5,883,625
Texas
0.3%
State
of
Texas,
GO,
2019,
Refunding,
3.211%,
4/01/44
.........
United
States
5,895,000
6,344,612
Texas
State
University
System
,
Revenue,
2019
B,
Refunding,
2.938%,
3/15/33
..............
United
States
2,315,000
2,514,044
Revenue,
2019
B,
Refunding,
3.289%,
3/15/40
..............
United
States
1,965,000
2,094,041
10,952,697
Utah
0.2%
Salt
Lake
City
Corp.,
Revenue,
2019B,
Refunding,
3.102%,
4/01/38
United
States
2,750,000
2,914,202
Utah
Transit
Authority,
Revenue,
Senior
Lien,
2019
B,
Refunding,
3.443%,
12/15/42
....................................
United
States
3,930,000
4,150,591
7,064,793
Total
Municipal
Bonds
(Cost
$75,794,774)
......................................
82,525,838
Residential
Mortgage-Backed
Securities
9.2%
Capital
Markets
0.0%
†
q
Merrill
Lynch
Mortgage
Investors
Trust
,
2005-A6
,
2A3
,
FRN
,
0.89
%
,
(
1-month
USD
LIBOR
+
0.76
%
),
8/25/35
..................
United
States
263,146
264,401
Diversified
Financial
Services
0.9%
h
BRAVO
Residential
Funding
Trust
,
2019-1,
A1C,
144A,
3.5%,
3/25/58
.......................
United
States
6,150,258
6,360,490
r
2019-2,
A3,
144A,
FRN,
3.5%,
10/25/44
...................
United
States
7,627,603
8,009,768
h,r
CIM
Trust
,
2019-INV1,
A1,
144A,
FRN,
4%,
2/25/49
..................
United
States
5,893,338
6,082,331
2019-INV2,
A3,
144A,
FRN,
4%,
5/25/49
..................
United
States
7,563,882
7,817,697
h,r
Provident
Funding
Mortgage
Trust
,
2019-1,
A2,
144A,
FRN,
3%,
12/25/49
....................
United
States
4,325,617
4,409,888
Franklin
Strategic
Series
Consolidated
Statement
of
Investments
(unaudited)
Franklin
Strategic
Income
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
49
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Residential
Mortgage-Backed
Securities
(continued)
Diversified
Financial
Services
(continued)
h,r
Provident
Funding
Mortgage
Trust,
(continued)
2020-1,
A3,
144A,
FRN,
3%,
2/25/50
.....................
United
States
3,238,498
$
3,260,777
35,940,951
a
a
a
a
a
a
Thrifts
&
Mortgage
Finance
8.3%
q
FHLMC
Structured
Agency
Credit
Risk
Debt
Notes
,
2013-DN2,
M2,
FRN,
4.38%,
(1-month
USD
LIBOR
+
4.25%),
11/25/23
..........................................
United
States
8,817,117
8,902,847
2014-DN2,
M3,
FRN,
3.73%,
(1-month
USD
LIBOR
+
3.6%),
4/25/24
...........................................
United
States
16,847,919
16,869,855
2014-DN3,
M3,
FRN,
4.13%,
(1-month
USD
LIBOR
+
4%),
8/25/24
United
States
597,866
613,799
2014-DN4,
M3,
FRN,
4.68%,
(1-month
USD
LIBOR
+
4.55%),
10/25/24
..........................................
United
States
6,990,364
7,195,219
2014-HQ1,
M3,
FRN,
4.23%,
(1-month
USD
LIBOR
+
4.1%),
8/25/24
...........................................
United
States
1,184,820
1,201,924
2014-HQ3,
M3,
FRN,
4.88%,
(1-month
USD
LIBOR
+
4.75%),
10/25/24
..........................................
United
States
2,125,180
2,161,876
2015-DNA1,
M3,
FRN,
3.43%,
(1-month
USD
LIBOR
+
3.3%),
10/25/27
..........................................
United
States
2,331,658
2,393,984
2015-DNA3,
M3,
FRN,
4.83%,
(1-month
USD
LIBOR
+
4.7%),
4/25/28
...........................................
United
States
17,111,920
17,892,487
2015-HQA1,
M3,
FRN,
4.83%,
(1-month
USD
LIBOR
+
4.7%),
3/25/28
...........................................
United
States
13,719,890
14,249,039
2016-DNA2,
M3,
FRN,
4.78%,
(1-month
USD
LIBOR
+
4.65%),
10/25/28
..........................................
United
States
12,379,265
12,981,301
2017-DNA1,
M2,
FRN,
3.38%,
(1-month
USD
LIBOR
+
3.25%),
7/25/29
...........................................
United
States
6,993,191
7,239,714
2017-DNA2,
M2,
FRN,
3.58%,
(1-month
USD
LIBOR
+
3.45%),
10/25/29
..........................................
United
States
5,868,312
6,085,145
2017-DNA3,
M2,
FRN,
2.63%,
(1-month
USD
LIBOR
+
2.5%),
3/25/30
...........................................
United
States
26,312,269
26,900,559
2017-HQA1,
M2,
FRN,
3.68%,
(1-month
USD
LIBOR
+
3.55%),
8/25/29
...........................................
United
States
23,968,455
24,755,440
2017-HQA2,
M2,
FRN,
2.78%,
(1-month
USD
LIBOR
+
2.65%),
12/25/29
..........................................
United
States
2,668,539
2,710,337
q
FNMA
Connecticut
Avenue
Securities
,
2013-C01,
M2,
FRN,
5.38%,
(1-month
USD
LIBOR
+
5.25%),
10/25/23
..........................................
United
States
9,504,421
9,856,654
2014-C01,
M2,
FRN,
4.53%,
(1-month
USD
LIBOR
+
4.4%),
1/25/24
...........................................
United
States
11,486,922
11,797,818
2014-C02,
1M2,
FRN,
2.73%,
(1-month
USD
LIBOR
+
2.6%),
5/25/24
...........................................
United
States
9,598,478
9,485,151
2014-C03,
1M2,
FRN,
3.13%,
(1-month
USD
LIBOR
+
3%),
7/25/24
...........................................
United
States
20,653,981
20,449,322
2014-C03,
2M2,
FRN,
3.03%,
(1-month
USD
LIBOR
+
2.9%),
7/25/24
...........................................
United
States
2,237,850
2,270,727
2015-C01,
1M2,
FRN,
4.43%,
(1-month
USD
LIBOR
+
4.3%),
2/25/25
...........................................
United
States
4,737,441
4,862,688
2015-C01,
2M2,
FRN,
4.68%,
(1-month
USD
LIBOR
+
4.55%),
2/25/25
...........................................
United
States
3,013,527
3,049,400
2015-C02,
1M2,
FRN,
4.13%,
(1-month
USD
LIBOR
+
4%),
5/25/25
...........................................
United
States
14,042,286
14,405,279
2015-C02,
2M2,
FRN,
4.13%,
(1-month
USD
LIBOR
+
4%),
5/25/25
...........................................
United
States
4,573,252
4,663,766
2015-C03,
1M2,
FRN,
5.13%,
(1-month
USD
LIBOR
+
5%),
7/25/25
...........................................
United
States
15,774,318
16,240,598
Franklin
Strategic
Series
Consolidated
Statement
of
Investments
(unaudited)
Franklin
Strategic
Income
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
50
a
a
Country
Principal
Amount
*
a
Value
a
a
a
a
a
a
Residential
Mortgage-Backed
Securities
(continued)
Thrifts
&
Mortgage
Finance
(continued)
q
FNMA
Connecticut
Avenue
Securities,
(continued)
2015-C03,
2M2,
FRN,
5.13%,
(1-month
USD
LIBOR
+
5%),
7/25/25
...........................................
United
States
5,734,226
$
5,868,234
2016-C02,
1M2,
FRN,
6.13%,
(1-month
USD
LIBOR
+
6%),
9/25/28
...........................................
United
States
5,322,977
5,619,062
2016-C04,
1M2,
FRN,
4.38%,
(1-month
USD
LIBOR
+
4.25%),
1/25/29
...........................................
United
States
6,489,175
6,780,071
2016-C05,
2M2,
FRN,
4.58%,
(1-month
USD
LIBOR
+
4.45%),
1/25/29
...........................................
United
States
3,610,953
3,762,060
2016-C06,
1M2,
FRN,
4.38%,
(1-month
USD
LIBOR
+
4.25%),
4/25/29
...........................................
United
States
1,646,845
1,717,772
2016-C07,
2M2,
FRN,
4.48%,
(1-month
USD
LIBOR
+
4.35%),
5/25/29
...........................................
United
States
2,526,700
2,642,485
2017-C01,
1M2,
FRN,
3.68%,
(1-month
USD
LIBOR
+
3.55%),
7/25/29
...........................................
United
States
15,981,986
16,557,219
2017-C03,
1M2,
FRN,
3.13%,
(1-month
USD
LIBOR
+
3%),
10/25/29
..........................................
United
States
22,605,834
23,146,316
2017-C04,
2M2,
FRN,
2.98%,
(1-month
USD
LIBOR
+
2.85%),
11/25/29
..........................................
United
States
6,090,243
6,217,257
2017-C05,
1M2,
FRN,
2.33%,
(1-month
USD
LIBOR
+
2.2%),
1/25/30
...........................................
United
States
15,314,259
15,467,236
337,012,641
a
a
a
a
a
a
Total
Residential
Mortgage-Backed
Securities
(Cost
$393,811,582)
................
373,217,993
Shares/Units
Escrows
and
Litigation
Trusts
0.0%
†
a,b
Millennium
Corporate
Claim
Trust,
Escrow
Account
............
United
States
8,736,450
—
a,b
Millennium
Lender
Claim
Trust,
Escrow
Account
..............
United
States
8,736,450
—
a,b,d
Remington
Outdoor
Co.,
Inc.,
Litigation
Units
.................
United
States
124,500
—
Sanchez
Energy
Corp.,
Escrow
Account
....................
United
States
6,000,000
60,000
a,b
Vistra
Energy
Corp.,
Escrow
Account
......................
United
States
30,000,000
45,000
Total
Escrows
and
Litigation
Trusts
(Cost
$6,576,620)
...........................
105,000
Total
Long
Term
Investments
(Cost
$4,119,234,544)
.............................
4,052,822,437
a
Short
Term
Investments
3.0%
a
a
Principal
Amount
*
a
Value
a
a
a
a
a
a
u
Repurchase
Agreements
1.7%
v
Joint
Repurchase
Agreement,
0.04%,
2/01/21
(Maturity
Value
$69,712,579)
BNP
Paribas
Securities
Corp.
(Maturity
Value
$41,217,562)
Deutsche
Bank
Securities,
Inc.
(Maturity
Value
$12,007,992)
HSBC
Securities
(USA),
Inc.
(Maturity
Value
$16,487,025)
Collateralized
by
U.S.
Government
Agency
Securities,
3.5%
-
5%,
11/20/41
-
2/20/50;
U.S.
Treasury
Bonds,
6.25%
-
7.63%,
11/15/22
-
8/15/23;
and
U.S.
Treasury
Note,
1.63%,
11/15/22
(valued
at
$71,126,046)
.......................................
69,712,347
69,712,347
Total
Repurchase
Agreements
(Cost
$69,712,347)
...............................
69,712,347
Franklin
Strategic
Series
Consolidated
Statement
of
Investments
(unaudited)
Franklin
Strategic
Income
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
51
Short
Term
Investments
(continued)
a
a
Country
Shares
a
Value
a
Money
Market
Funds
1.3%
e,w
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0%
........
United
States
52,640,545
$
52,640,545
Total
Money
Market
Funds
(Cost
$52,640,545)
..................................
52,640,545
Total
Short
Term
Investments
(Cost
$122,352,892
)
...............................
122,352,892
a
Total
Investments
(Cost
$4,241,587,436)
103.3%
................................
$4,175,175,329
Other
Assets,
less
Liabilities
(3.3)%
...........................................
(135,015,194)
Net
Assets
100.0%
...........................................................
$4,040,160,135
*
The
principal
amount
is
stated
in
U.S.
dollars
unless
otherwise
indicated.
†
Rounds
to
less
than
0.1%
of
net
assets.
a
Fair
valued
using
significant
unobservable
inputs.
See
Note
12
regarding
fair
value
measurements.
b
Non-income
producing.
c
See
Note
7
regarding
restricted
securities.
d
See
Note
9
regarding
holdings
of
5%
voting
securities.
e
See
Note
10
regarding
investments
in
affiliated
management
investment
companies.
f
Income
may
be
received
in
additional
securities
and/or
cash.
g
Perpetual
security
with
no
stated
maturity
date.
h
Security
was
purchased
pursuant
to
Rule
144A
or
Regulation
S
under
the
Securities
Act
of
1933.
144A
securities
may
be
sold
in
transactions
exempt
from
registration
only
to
qualified
institutional
buyers
or
in
a
public
offering
registered
under
the
Securities
Act
of
1933.
Regulation
S
securities
cannot
be
sold
in
the
United
States
without
either
an
effective
registration
statement
filed
pursuant
to
the
Securities
Act
of
1933,
or
pursuant
to
an
exemption
from
registration.
At
January
31,
2021,
the
aggregate
value
of
these
securities
was
$2,045,311,158,
representing
50.6%
of
net
assets.
i
The
coupon
rate
shown
represents
the
rate
at
period
end.
j
A
portion
or
all
of
the
security
purchased
on
a
delayed
delivery
basis.
k
A
portion
or
all
of
the
security
represents
an
unsettled
loan
commitment.
The
coupon
rate
is
to-be
determined
(TBD)
at
the
time
of
the
settlement
and
will
be
based
upon
a
reference
index/floor
plus
a
spread.
l
Defaulted
security
or
security
for
which
income
has
been
deemed
uncollectible.
m
See
Note
8
regarding
unfunded
loan
commitments.
n
A
supranational
organization
is
an
entity
formed
by
two
or
more
central
governments
through
international
treaties.
o
Principal
amount
of
security
is
adjusted
for
inflation.
p
The
principal
represents
the
notional
amount.
See
Note
3
regarding
value
recovery
instruments.
q
The
coupon
rate
shown
represents
the
rate
inclusive
of
any
caps
or
floors,
if
applicable,
in
effect
at
period
end.
r
Adjustable
rate
security
with
an
interest
rate
that
is
not
based
on
a
published
reference
index
and
spread. The
rate
is
based
on
the
structure
of
the
agreement
and
current
market
conditions.
The
coupon
rate
shown
represents
the
rate
at
period
end.
s
Adjustable
Rate
Mortgage-Backed
Security
(ARM);
the
rate
shown
is
the
effective
rate
at
period
end.
ARM
rates
are
not
based
on
a
published
reference
rate
and
spread,
but
instead
pass-through
weighted
average
interest
income
inclusive
of
any
caps
or
floors,
if
applicable,
from
the
underlying
mortgage
loans
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).
t
Security
purchased
on
a
to-be-announced
(TBA)
basis.
u
At
January
31,
2021,
all
repurchase
agreements
had
been
entered
into
on
that
date.
v
Investment
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,
2021,
all
repurchase
agreements
had
been
entered
into
on
that
date.
w
The
rate
shown
is
the
annualized
seven-day
effective
yield
at
period
end.
Franklin
Strategic
Series
Consolidated
Statement
of
Investments
(unaudited)
Franklin
Strategic
Income
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
52
At
January
31,
2021,
the
Fund
had
the
following futures
contracts
outstanding.
See
Note
3.
At
January
31,
2021,
the
Fund
had
the
following
forward
exchange
contracts
outstanding.
See
Note
3
.
At
January
31,
2021,
the
Fund
had
the
following credit
default
swap
contracts outstanding.
See
Note
3
.
Futures
Contracts
Description
Type
Number
of
Contracts
Notional
Amount
*
Expiration
Date
Value/
Unrealized
Appreciation
(Depreciation)
Interest
rate
contracts
Australia
3
Year
Bonds
........................
Long
1,173
$
105,257,594
3/15/21
$
69,450
U.S.
Treasury
10
Year
Notes
....................
Long
190
26,035,938
3/22/21
(21,041)
U.S.
Treasury
10
Year
Ultra
Notes
................
Short
329
50,609,453
3/22/21
(94,054)
U.S.
Treasury
5
Year
Notes
.....................
Long
1,769
222,672,875
3/31/21
(165,150)
Total
Futures
Contracts
......................................................................
$(210,795)
*
As
of
period
end.
Forward
Exchange
Contracts
Currency
Counter-
party
a
Type
Quantity
Contract
Amount
*
Settlement
Date
Unrealized
Appreciation
Unrealized
Depreciation
a
a
a
a
a
a
a
a
OTC
Forward
Exchange
Contracts
Brazilian
Real
......
JPHQ
Sell
3,778,007
669,919
2/08/21
$
—
$
(20,524)
South
African
Rand
..
JPHQ
Buy
50,000,000
3,161,156
2/16/21
138,340
—
South
African
Rand
..
JPHQ
Sell
50,000,000
3,197,953
2/16/21
—
(101,542)
Canadian
Dollar
....
JPHQ
Buy
8,700,000
6,806,875
2/25/21
—
(1,438)
Canadian
Dollar
....
JPHQ
Sell
23,800,000
18,159,552
2/25/21
—
(457,622)
Japanese
Yen
......
JPHQ
Buy
4,850,000,000
46,061,395
2/25/21
250,310
—
Brazilian
Real
......
JPHQ
Sell
119,495,000
22,242,263
3/01/21
414,777
—
Indonesian
Rupiah
..
JPHQ
Sell
190,000,000,000
13,370,866
3/01/21
—
(147,254)
Canadian
Dollar
....
JPHQ
Sell
24,000,000
18,767,668
3/15/21
—
(7,826)
Euro
.............
JPHQ
Buy
6,000,000
7,356,906
3/15/21
—
(69,329)
Euro
.............
JPHQ
Sell
34,262,000
41,673,042
3/15/21
58,548
—
South
African
Rand
..
JPHQ
Sell
316,000,000
20,973,683
3/16/21
206,119
—
Mexican
Peso
......
JPHQ
Buy
357,700,000
17,802,662
3/22/21
—
(452,293)
Singapore
Dollar
....
JPHQ
Buy
13,500,000
10,189,448
4/12/21
—
(28,610)
Singapore
Dollar
....
JPHQ
Sell
13,500,000
10,244,697
4/12/21
83,858
—
Turkish
Lira
........
JPHQ
Buy
61,000,000
7,955,138
4/12/21
146,413
—
Euro
.............
JPHQ
Buy
6,200,000
7,647,731
4/16/21
—
(111,486)
Australian
Dollar
....
JPHQ
Buy
11,000,000
8,470,660
6/28/21
—
(58,097)
South
Korean
Won
..
JPHQ
Buy
10,300,000,000
9,314,945
6/28/21
—
(101,038)
Total
Forward
Exchange
Contracts
...................................................
$1,298,365
$(1,557,059)
Net
unrealized
appreciation
(depreciation)
............................................
$(258,694)
*
In
U.S.
dollars
unless
otherwise
indicated.
a
May
be
comprised
of
multiple
contracts
with
the
same
counterparty,
currency
and
settlement
date.
Franklin
Strategic
Series
Consolidated
Statement
of
Investments
(unaudited)
Franklin
Strategic
Income
Fund
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
53
Credit
Default
Swap
Contracts
Description
Periodic
Payment
Rate
Received
(Paid)
Payment
Frequency
Counter-
party
Maturity
Date
Notional
Amount
(a)
Value
Unamortized
Upfront
Payments
(Receipts)
Unrealized
Appreciation
(Depreciation)
Rating
(b)
Centrally
Cleared
Swap
Contracts
Contracts
to
Sell
Protection
(c)(d)
Traded
Index
CDX.NA.HY.35
.....
5.00%
Quarterly
12/20/25
$
55,500,000
$
4,792,639
$
3,338,727
$
1,453,912
Non-
Investment
Grade
Total
Centrally
Cleared
Swap
Contracts
.....................................
$4,792,639
$3,338,727
$1,453,912
OTC
Swap
Contracts
Contracts
to
Buy
Protection
(c)
Single
Name
Ally
Financial,
Inc.
...
(5.00)%
Quarterly
JPHQ
12/20/24
19,800,000
(3,401,894)
(2,873,537)
(528,357)
Contracts
to
Sell
Protection
(c)(d)
Single
Name
Air
France-KLM
.....
5.00%
Quarterly
MSCO
12/20/25
6,680,000
(507,879)
7,807
(515,686)
NR
American
Airlines
Group,
Inc.
......
5.00%
Quarterly
CITI
12/20/21
8,100,000
(258,744)
(479,197)
220,453
CCC
Carnival
Corp.
......
1.00%
Quarterly
CITI
12/20/25
8,100,000
(1,497,285)
(1,236,902)
(260,383)
B
Macy's
Retail
Holdings
LLC
...........
1.00%
Quarterly
JPHQ
12/20/25
8,100,000
(1,395,225)
(1,473,303)
78,078
B
Royal
Caribbean
Cruises
Ltd.
......
5.00%
Quarterly
BZWS
12/20/25
8,100,000
(518,712)
(235,601)
(283,111)
B+
United
Airlines
Holdings,
Inc.
...........
5.00%
Quarterly
FBCO
12/20/25
5,918,000
(238,676)
(27,742)
(210,934)
B
Traded
Index
(e)
Citibank
Bespoke
Palma
Index,
Mezzanine
Tranche
5-7%
..........
2.30%
Quarterly
CITI
6/20/21
6,700,000
48,740
—
48,740
Non-
Investment
Grade
(e)
Citibank
Bespoke
Phoenix
Index,
Mezzanine
Tranche
5-7%
..........
2.90%
Quarterly
CITI
12/20/21
8,500,000
58,129
—
58,129
Non-
Investment
Grade
MCDX.NA.MAIN.31
..
1.00%
Quarterly
CITI
12/20/23
23,060,000
141,229
134,557
6,672
Investment
Grade
(e)
Morgan
Stanley
Bespoke
Pecan
Index,
Mezzanine
Tranche
5-10%
...
4.10%
Quarterly
MSCO
12/20/21
9,000,000
(387,315)
—
(387,315)
Non-
Investment
Grade
(e)
Morgan
Stanley
Bespoke
Pecan
Index,
Mezzanine
Tranche
5-10%
...
3.98%
Quarterly
MSCO
12/20/21
9,000,000
(397,918)
—
(397,918)
Non-
Investment
Grade
Total
OTC
Swap
Contracts
..............................................
$(8,355,550)
$(6,183,918)
$(2,171,632)
Total
Credit
Default
Swap
Contracts
....................................
$(3,562,911)
$
(2,845,191)
$(717,720)
(a)
In
U.S.
dollars
unless
otherwise
indicated.
For
contracts
to
sell
protection,
the
notional
amount
is
equal
to
the
maximum
potential
amount
of
the
future
payments
and
no
recourse
provisions
have
been
entered
into
in
association
with
the
contracts.
(b)
Based
on
Standard
and
Poor's
(S&P)
Rating
for
single
name
swaps
and
internal
ratings
for
index
swaps.
Internal
ratings
based
on
mapping
into
equivalent
ratings
from
external
vendors.
(c)
Performance
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.
Franklin
Strategic
Series
Consolidated
Statement
of
Investments
(unaudited)
Franklin
Strategic
Income
Fund
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
54
At
January
31,
2021,
the
Fund
had
the
following cross-currency
swap
contracts outstanding.
See
Note
3
.
At
January
31,
2021,
the
Fund
had
the
following inflation index
swap
contracts outstanding.
See
Note
3
.
See
abbreviations
on
page
78
.
(d)
The
fund
enters
contracts
to
sell
protection
to
create
a
long
credit
position.
(e)
Represents
a
custom
index
comprised
of
a
basket
of
underlying
instruments.
Cross-Currency
Swap
Contracts
Description
Payment
Frequency
Counter-
party
Maturity
Date
Notional
Amount
Value/
Unrealized
Appreciation
(Depreciation)
aA
aaa
aaa
aaa
OTC
Swap
Contracts
Receive
Floating
3-month
USD
LIBOR
+
2.87%
.....
Quarterly
3,834,600
USD
Pay
Fixed
2.5%
.............................
Annual
CITI
5/04/21
3,300,000
EUR
$
(219,442)
Total
Cross
Currency
Swap
Contracts
...........................................................
$(219,442)
Inflation
Index
Swap
Contracts
Description
Payment
Frequency
Counter-
party
Maturity
Date
Notional
Amount
Value
Unamortized
Upfront
Payments
(Receipts)
Unrealized
Appreciation
(Depreciation)
Centrally
Cleared
Swap
Contracts
Receive
variable
change
in
USA
CPI-U
........
At
Maturity
Pay
Fixed
1.913%
.....
At
Maturity
1/14/29
$
34,600,000
$
973,629
$
—
$
973,629
Receive
variable
change
in
USA
CPI-U
........
At
Maturity
Pay
Fixed
1.943%
.....
At
Maturity
1/15/29
26,900,000
678,048
—
678,048
Total
Inflation
Index
Swap
Contracts
..................................
$1,651,677
$—
$1,651,677
Franklin
Strategic
Series
55
Notes
to
Statement
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 twelve
separate
funds, six
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
and
certain
preferred
securities
generally
trade
in
the
OTC
market
rather
than
on
a
securities
exchange.
The
Funds’
pricing
services
use
multiple
valuation
techniques
to
determine
fair
value.
In
instances
where
sufficient
market
activity
exists,
the
pricing
services
may
utilize
a
market-based
approach
through
which
quotes
from
market
makers
are
used
to
determine
fair
value.
In
instances
where
sufficient
market
activity
may
not
exist
or
is
limited,
the
pricing
services
also
utilize
proprietary
valuation
models
which
may
consider
market
characteristics
such
as
benchmark
yield
curves,
credit
spreads,
estimated
default
rates,
anticipated
market
interest
rate
volatility,
coupon
rates,
anticipated
timing
of
principal
repayments,
underlying
collateral,
and
other
unique
security
features
in
order
to
estimate
the
relevant
cash
flows,
which
are
then
discounted
to
calculate
the
fair
value.
Securities
denominated
in
a
foreign
currency
are
converted
into
their
U.S.
dollar
equivalent
at
the
foreign
exchange
rate
in
effect
at
4
p.m.
Eastern
time
on
the
date
that
the
values
of
the
foreign
debt
securities
are
determined.
Investments
in
open-end
mutual
funds
are
valued
at
the
closing
NAV.
Investments
in
repurchase
agreements
are
valued
at
cost,
which
approximates
fair
value.
Certain
derivative
financial
instruments
are
centrally
cleared
or
trade
in
the
OTC
market.
The
Funds’
pricing
services
use
various
techniques
including
industry
standard
option
pricing
models
and
proprietary
discounted
cash
flow
models
to
determine
the
fair
value
of
those
instruments.
The
Funds’ net
benefit
or
obligation
under
the
derivative
contract,
as
measured
by
the
fair
value
of
the
contract,
is
included
in
net
assets.
The
Funds
have procedures
to
determine
the
fair
value
of
financial
instruments
for
which
market
prices
are
not
reliable
or
readily
available.
Under
these
procedures,
the
Funds
primarily employ
a
market-based
approach
which
may
use
related
or
comparable
assets
or
liabilities,
recent
transactions,
market
multiples,
book
values,
and
other
relevant
information
for
the
investment
to
determine
the
fair
value
of
the
investment.
An
income-based
valuation
approach
may
also
be
used
in
which
the
anticipated
future
cash
flows
of
the
investment
are
discounted
to
calculate
fair
value.
Discounts
may
also
be
applied
due
to
the
nature
or
duration
of
any
restrictions
on
the
disposition
of
the
investments.
Due
to
the
inherent
uncertainty
of
valuations
of
such
investments,
the
fair
values
may
differ
significantly
from
the
values
that
would
have
been
used
had
an
active
market
existed.
Franklin
Strategic
Series
Notes
to
Statement
of
Investments
(unaudited)
56
Trading
in
securities
on
foreign
securities
stock
exchanges
and
OTC
markets
may
be
completed
before
4
p.m.
Eastern
time.
In
addition,
trading
in
certain
foreign
markets
may
not
take
place
on
every
Funds’ business
day.
Events
can
occur
between
the
time
at
which
trading
in
a
foreign
security
is
completed
and
4
p.m.
Eastern
time
that
might
call
into
question
the
reliability
of
the
value
of
a
portfolio
security
held
by
the
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,
an
independent
pricing
service
may
be
used
to
adjust
the
value
of
the
Funds'
portfolio
securities
to
the
latest
indications
of
fair
value
at 4
p.m.
Eastern
time.
At
January
31,
2021,
certain
securities
may
have
been
fair
valued
using
these
procedures,
in
which
case
the
securities
were
categorized
as
Level
2
inputs
within
the
fair
value
hierarchy.
See
the
Fair
Value
Measurements
note
for
more
information.
When
the
last
day
of
the
reporting
period
is
a
non-business
day,
certain
foreign
markets
may
be
open
on
those
days
that
the
Funds’
NAV
is
not
calculated,
which
could
result
in
differences
between
the
value
of
the
Funds’
portfolio securities
on
the
last
business
day
and
the
last
calendar
day
of
the
reporting
period.
Any
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
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.
2. Financial
Instrument
Valuation
(continued)
Franklin
Strategic
Series
Notes
to
Statement
of
Investments
(unaudited)
57
At
January
31,
2021,
the
Funds
received
U.S.
Treasury
Bills,
Bonds
and
Notes
as
collateral
for
derivatives,
as
follows:
Franklin
Strategic
Income Fund
-
$489,789
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
Funds
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
interest
rate
risk
and
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
the
daily
change
in
fair
value
is
accounted
for
as
a
variation
margin
payable
or
receivable.
Over
the
term
of
the
contract,
3.
Derivative
Financial
Instruments
(continued)
Franklin
Strategic
Series
Notes
to
Statement
of
Investments
(unaudited)
58
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
markets
risk
of
an
underlying
instrument
such
as
a
stock,
bond,
index
or
basket
of
securities
or
indices.
A
total
return
swap
is
an
agreement
between
the
Fund
and
a
counterparty
to
exchange
a
return
linked
to
an
underlying
instrument
for
a
floating
or
fixed
rate
payment,
both
based
upon
a
notional
amount.
Over
the
term
of
the
contract,
contractually
required
payments
to
be
paid
or
received
are
accrued
daily
and
recorded
as
unrealized
appreciation
or
depreciation
until
the
payments
are
made,
at
which
time
they
are
recognized
as
realized
gain
or
loss.
Certain
or
all
Funds purchased
or
wrote
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.
The
Funds
did
not
hold
any
option
contracts
at
period
end.
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
3.
Derivative
Financial
Instruments
(continued)
Franklin
Strategic
Series
Notes
to
Statement
of
Investments
(unaudited)
59
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.
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,
regional
and
global
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. Novel
Coronavirus
Pandemic
The
global
outbreak
of
the
novel
coronavirus
disease,
known
as
COVID-19, has
caused
adverse
effects
on
many
companies,
sectors,
nations,
regions
and
the
markets
in
general, and
may
continue for
an unpredictable duration.
The
effects
of
this
pandemic
may
materially
impact
the
value
and
performance
of
the
Funds, their ability
to
buy
and
sell
fund
investments
at
appropriate
valuations
and their ability
to
achieve their investment
objectives.
7. Restricted
Securities
At
January
31,
2021,
investments
in
restricted
securities,
excluding
securities
exempt
from
registration
under
the
Securities
Act
of
1933,
were
as
follows:
Shares
Issuer
Acquisition
Date
Cost
Value
Franklin
Biotechnology
Discovery
Fund
407,548
a
Athira
Pharma,
Inc.
..........................
5/29/20
$
2,976,236
$
8,164,711
115,139
b
Dyne
Therapeutics,
Inc.
.......................
8/07/20
1,073,538
1,997,651
103,589
c
FS
Development
Corp.
........................
1/28/21
1,035,890
1,213,494
80,195
Intarcia
Therapeutics,
Inc.
.....................
3/26/14
2,597,516
—
260,919
d
Metacrine
,
Inc.
..............................
6/04/18
2,821,056
2,407,594
138,156
e
Taysha
Gene
Therapies,
Inc.
...................
7/28/20
2,155,719
3,396,953
379,473
United
BioPharma
,
Inc.
.......................
1/28/21
2,087,102
2,087,102
Total
Restricted
Securities
(Value
is
1.24%
of
Net
Assets)
.............
$14,747,057
$19,267,505
Shares
/
Warrants
Issuer
Acquisition
Date
Cost
Value
Franklin
Growth
Opportunities
Fund
477,500
ArcLight
Clean
Transition
Corp.
.................
1/28/21
$
4,775,000
$
9,979,882
255,039
Avidxchange
,
Inc.
............................
7/30/20
12,499,971
13,606,079
2,610,594
ClearMotion
,
Inc.,
C
..........................
11/06/17
5,499,999
7,460,683
3,698,772
ClearMotion
,
Inc.,
D
..........................
12/21/18
10,000,000
11,440,454
642,459
Confluent,
Inc.,
E
............................
4/13/20
9,616,776
10,904,782
920,577
Fanatics,
Inc.,
E
.............................
8/13/20
15,916,776
17,048,344
201,294
Gitlab
,
Inc.,
E
...............................
9/11/19
3,749,987
9,609,815
415,102
HashiCorp
,
Inc.,
E
...........................
3/06/20
12,004,812
18,635,477
4.
Mortgage
Dollar
Rolls
(continued)
Franklin
Strategic
Series
Notes
to
Statement
of
Investments
(unaudited)
60
Shares/
Warrants
Issuer
Acquisition
Date
Cost
Value
Franklin
Growth
Opportunities
Fund
(continued)
1,673,284
Legalzoom.com,
Inc.
.........................
7/20/18
$
16,479,338
$
23,370,642
1,196,245
Marqeta
,
Inc.
...............................
8/20/20
10,353,396
11,195,154
181,494
Marqeta
,
Inc.,
A
.............................
10/09/20
2,212,159
1,698,526
19,136
Marqeta
,
Inc.,
B
.............................
10/21/20
234,416
179,086
509,182
Optoro
,
Inc.,
E
..............................
7/24/18
10,020,702
14,364,065
596,775
f
Proterra
,
Inc.,
144A,
6
........................
6/07/17
3,306,052
11,324,099
780,667
f
Proterra
,
Inc.,
7
.............................
5/21/18
–
9/01/18
5,094,960
14,813,541
23,001
Sweetgreen
,
Inc.
............................
1/21/21
—
739
928,488
Sweetgreen
,
Inc.,
H
..........................
11/09/18
12,107,484
13,915,616
100,835
Sweetgreen
,
Inc.,
I
...........................
9/16/19
1,724,278
1,725,899
76,670
Sweetgreen
,
Inc.,
J
..........................
1/21/21
1,311,057
1,312,289
1,753,060
Talkdesk
,
Inc.,
C
............................
7/15/20
11,517,955
11,964,471
504,854
Tempus
Labs,
Inc.,
F
.........................
5/29/19
12,499,983
22,444,648
126,131
Tempus
Labs,
Inc.,
G
.........................
2/06/20
4,837,427
5,939,834
5,028,735
Wheels
Up
Partners
LLC
......................
5/16/19
–
8/02/19
17,499,998
21,373,874
Total
Restricted
Securities
(Value
is
4.70%
of
Net
Assets)
.............
$183,262,526
$254,307,999
Shares
/
Warrants
Issuer
Acquisition
Date
Cost
Value
Franklin
Small
Cap
Growth
Fund
343,750
Alkami
Technology,
Inc.,
F
.....................
9/24/20
$
5,500,000
$
6,295,537
1,297,305
Allbirds
,
Inc.,
E
..............................
9/22/20
14,999,998
15,588,395
3,698,772
ClearMotion
,
Inc.,
D
..........................
12/21/18
10,000,000
11,440,453
1,000,000
Hims
&
Hers
Health,
Inc.,
A
....................
1/20/21
10,000,000
18,990,000
1,431,280
Legalzoom.com,
Inc
..........................
7/20/18
14,095,961
19,990,589
1,199,415
Marqeta
,
Inc
................................
8/20/20
10,000,003
11,224,821
508,130
Optoro
,
Inc.,
E
..............................
7/24/18
9,999,998
14,334,388
2,000,000
Paya
Holdings,
Inc
...........................
10/16/20
20,000,000
25,920,000
1,787,047
Proterra
,
Inc.,
144A,
5
........................
9/21/16
–
1/13/17
8,999,997
33,910,096
1,310,834
Proterra
,
Inc.,
144A,
6
........................
6/07/17
–
1/02/18
7,261,842
24,873,720
536,367
Proterra
,
Inc.,
7
.............................
5/21/18
3,500,556
10,177,828
596,471
Rent
the
Runway,
Inc.,
144A,
F
.................
3/21/19
13,333,328
13,439,961
203,515
Rent
the
Runway,
Inc.,
G
......................
4/30/20
3,000,006
3,844,214
1,542,673
Smule
,
Inc.,
144A,
G
.........................
5/31/16
11,099,995
10,088,702
352,675
Smule
,
Inc.,
144A,
H
.........................
4/27/17
2,999,995
2,678,331
33,990
Sweetgreen
,
Inc.,
1/20/26
......................
1/21/21
—
1,093
383,435
Sweetgreen
,
Inc.,
H
..........................
11/09/18
4,999,993
5,746,691
41,641
Sweetgreen
,
Inc.,
I
...........................
9/16/19
712,061
712,730
113,300
Sweetgreen
,
Inc.,
J
..........................
1/21/21
1,937,430
1,939,251
361,111
Tula
eTechnology
,
Inc
.........................
11/01/18
—
—
3,611,111
Tula
eTechnology
,
Inc.,
E
......................
9/08/17
6,500,000
7,680,761
7. Restricted
Securities
(continued)
Franklin
Strategic
Series
Notes
to
Statement
of
Investments
(unaudited)
61
Shares/
Warrants
Issuer
Acquisition
Date
Cost
Value
Franklin
Small
Cap
Growth
Fund
(continued)
4,310,344
Wheels
Up
Partners
LLC,
D
....................
5/16/19
–
8/02/19
$
14,999,997
$
18,320,462
Total
Restricted
Securities
(Value
is
6.56%
of
Net
Assets)
.............
$173,941,160
$257,198,023
Principal
Amount
*
/
Shares
/
Warrants
Issuer
Acquisition
Date
Cost
Value
Franklin
Small-Mid
Cap
Growth
Fund
405,100
Alkami
Technology,
Inc.,
F
.....................
9/24/20
$
6,481,600
$
7,419,119
772,477
Allbirds
,
Inc.m
E
.............................
9/22/20
8,931,711
9,282,071
463,400
ArcLight
Clean
Transition
Corp.
.................
1/28/21
4,634,000
9,685,188
1,118,700
BTRS
Holdings,
Inc.
..........................
1/12/21
11,187,000
18,122,940
775,014
Fanatics,
Inc.,
E
.............................
8/13/20
13,399,992
14,352,635
1,070,236
Marqeta
,
Inc.
...............................
8/20/20
8,922,985
10,015,889
423,782
Newsela
,
Inc.,
D
.............................
1/21/21
8,965,193
8,965,184
513,050
Phononic
Devices,
Inc.
........................
1/17/20
47
1,289,023
2,970,061
Phononic
Devices,
Inc.,
F
......................
6/06/19
7,499,998
6,882,938
111,105
Phononic
,
Inc.,
Advance
Term
Loan,
B,
12%,
PIK,
7/31/26
..................................
8/25/20
108,470
99,274
267,276
Phononic
,
Inc.,
Advance
Term
Loan,
D,
12%,
PIK,
12/01/25
.................................
1/15/21
267,275
238,194
107,623
Phononic
,
Inc.,
Term
Loan,
12%,
8/25/24
..........
12/03/20
107,545
95,913
540,246
Phononic
,
Inc.,
Term
Loan,
A,
12%,
PIK,
1/17/24
....
1/17/20
535,774
492,902
1,416,913
Proterra
,
Inc.,
5
.............................
9/21/16
7,135,914
26,886,621
963,371
Spartan
Acquisition
Corp
II
.....................
1/28/21
9,633,710
11,313,720
Total
Restricted
Securities
(Value
is
2.37%
of
Net
Assets)
.............
$87,811,214
$125,141,611
Shares
Issuer
Acquisition
Date
Cost
Value
Franklin
Strategic
Income
Fund
331,326
g
Appvion
Operations,
Inc.
......................
4/12/19
$
4,481,262
$
5,556,498
125,940,079
K2016470219
South
Africa
Ltd.,
A
...............
2/08/13
–
2/01/17
977,123
—
12,532,821
K2016470219
South
Africa
Ltd.,
B
...............
2/01/17
9,307
—
1,322,439
Remington
Outdoor
Co.,
Inc.
...................
4/13/12
–
4/12/18
1,686,109
—
Total
Restricted
Securities
(Value
is
0.14%
of
Net
Assets)
.............
$7,153,801
$5,556,498
*
In
U.S.
dollars
unless
otherwise
indicated.
a
The
Fund
also
invests
in
unrestricted
securities
of
the
issuer,
valued
at
$5,378,268
as
of
January
31,
2021.
b
The
Fund
also
invests
in
unrestricted
securities
of
the
issuer,
valued
at
$1,940,732
as
of
January
31,
2021.
c
The
Fund
also
invests
in
unrestricted
securities
of
the
issuer,
valued
at
$2,493,340
as
of
January
31,
2021.
d
The
Fund
also
invests
in
unrestricted
securities
of
the
issuer,
valued
at
$2,450,987
as
of
January
31,
2021.
e
The
Fund
also
invests
in
unrestricted
securities
of
the
issuer,
valued
at
$4,318,600
as
of
January
31,
2021.
f
The
Fund
also
invests
in
unrestricted
securities
of
the
issuer,
valued
at
$50,308,166
as
of
January
31,
2021.
g
The
Fund
also
invests
in
unrestricted
securities
of
the
issuer,
valued
at
$3,541,262
as
of
January
31,
2021.
7. Restricted
Securities
(continued)
Franklin
Strategic
Series
Notes
to
Statement
of
Investments
(unaudited)
62
8.
Unfunded
Loan
Commitments
The
Fund
enters
into
certain
credit
agreements,
all
or
a
portion
of
which
may
be
unfunded.
The
Fund
is
obligated
to
fund
these
loan
commitments
at
the
borrowers’
discretion.
Unfunded
loan
commitments
and
funded
portions
of
credit
agreements
are
marked
to
market
daily.
Funded
portions
of
credit
agreements
are
presented
in
the
Statements
of
Investments.
At
January
31,
2021,
unfunded
commitments
were
as
follows:
9.
Holding
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,
2021,
investments
in
“affiliated
companies”
were
as
follows:
Borrower
Unfunded
Commitment
Franklin
Strategic
Income
Fund
Fieldwood
Energy
LLC
$3,559,092
Value
at
Beginning
of
Period
Purchases
Sales
Realized
Gain
(Loss)
Net
Change
in
Unrealized
Appreciation
(Depreciation)
Value
at
End
of
Period
Number
of
Shares/Principal
Amount
Held
at
End
of
Period
Investment
Income
Franklin
Growth
Opportunities
Fund
Non-Controlled
Affiliates
Dividends
Avidxchange
,
Inc.
........
$
—
$
12,499,971
$
—
$
—
$
1,106,108
$
13,606,079
255,039
$
—
HashiCorp
,
Inc.,
E
........
12,004,812
—
—
—
6,630,665
18,635,477
415,102
—
Talkdesk
,
Inc.,
C
.........
—
11,517,955
—
—
446,516
11,964,471
1,753,060
—
Total
Affiliated
Securities
(Value
is
0.8%
of
Net
Assets)
$12,004,812
$24,017,926
$—
—
8,183,289
$44,206,027
$—
Franklin
Small
Cap
Growth
Fund
Non-Controlled
Affiliates
Dividends
Paya
Holdings,
Inc
........
—
20,000,000
a
—
—
5,920,000
25,920,000
2,000,000
—
Total
Affiliated
Securities
(Value
is
0.7%
of
Net
Assets)
$—
$20,000,000
$—
—
5,920,000
$25,920,000
$—
Franklin
Strategic
Income
Fund
Non-Controlled
Affiliates
Dividends
Remington
Outdoor
Co.,
Inc.
.
661,219
—
—
—
(661,219)
—
1,322,439
—
Remington
Outdoor
Co.,
Inc.,
Litigation
Units
.........
—
—
—
—
—
—
124,500
—
Total
Affiliated
Securities
(Value
is
—%
of
Net
Assets)
$661,219
$—
$—
—
(661,219)
$—
$—
a
May
include
accretion,
amortization,
partnership
adjustments,
and/or
corporate
actions.
Franklin
Strategic
Series
Notes
to
Statement
of
Investments
(unaudited)
63
10.
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,
2021,
investments
in
affiliated
management
investment
companies
were
as
follows:
aa
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
a
a
a
a
a
a
a
a
Franklin
Biotechnology
Discovery
Fund
Non-Controlled
Affiliates
Dividends
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0%
.........
$102,836,782
$333,799,621
$(368,709,006)
$—
$—
$67,927,397
67,927,397
$2
Non-Controlled
Affiliates
Income
from
securities
loaned
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0%
.........
$39,742,135
$347,147,340
$(338,915,360)
$
—
$
—
$47,974,115
47,974,115
$—
Total
Affiliated
Securities
....
$142,578,917
$680,946,961
$(707,624,366)
$—
$—
$115,901,512
$2
Franklin
Growth
Opportunities
Fund
Non-Controlled
Affiliates
Dividends
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0%
.........
$47,687,960
$638,281,827
$(590,695,089)
$—
$—
$95,274,698
95,274,698
$—
Non-Controlled
Affiliates
Income
from
securities
loaned
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0%
.........
$9,585,975
$551,653,937
$(559,805,812)
—
—
$1,434,100
1,434,100
$—
Total
Affiliated
Securities
....
$57,273,935
$1,189,935,764
$(1,150,500,901)
$—
$—
$96,708,798
$—
Franklin
Natural
Resources
Fund
Non-Controlled
Affiliates
Dividends
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0%
.........
$6,778,486
$43,913,821
$(45,270,216)
$—
$—
$5,422,091
5,422,091
$—
Total
Affiliated
Securities
....
$6,778,486
$43,913,821
$(45,270,216)
$—
$—
$5,422,091
$—
Franklin
Small
Cap
Growth
Fund
Non-Controlled
Affiliates
Dividends
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0%
.........
$74,538,382
$629,937,279
$(581,224,160)
$—
$—
$123,251,501
123,251,501
$—
Franklin
Strategic
Series
Notes
to
Statement
of
Investments
(unaudited)
64
11.
Investments
in
FT
Holdings
Corporation
II
(FT
Subsidiary)
Franklin
Strategic
Income
Fund
invests
in
certain
financial
instruments
through
its
investment
in
the
FT
Subsidiary.
The
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.
Prior
to
January
31,
2021,
FT
Subsidiary's
investment,
Turtle
Bay
Resort,
liquidated
and
paid
a
final
distribution.
At
January
31,
2021,
other
assets
and
liabilities
of
FT
Subsidiary
are
reflected
in
the
Fund's
Consolidated
Statement
of
Investments.
At
January
31,
2021,
the
net
assets
of
the
FT
Subsidiary
were
$18,403,771,
representing
0.5%
of
the
Fund’s
consolidated
net
assets.
aa
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
(continued)
Non-Controlled
Affiliates
Income
from
securities
loaned
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0%
.........
$34,288,350
$530,789,694
$(508,814,332)
$
—
$
—
$56,263,712
56,263,712
$—
Total
Affiliated
Securities
....
$108,826,732
$1,160,726,973
$(1,090,038,492)
$—
$—
$179,515,213
$—
Franklin
Small-Mid
Cap
Growth
Fund
Non-Controlled
Affiliates
Dividends
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0%
.........
$52,245,134
$837,053,194
$(753,352,936)
$—
$—
$135,945,392
135,945,392
$—
Non-Controlled
Affiliates
Income
from
securities
loaned
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0%
.........
$14,660,525
$374,849,932
$(330,706,599)
—
—
$58,803,858
58,803,858
$—
Total
Affiliated
Securities
....
$66,905,659
$1,211,903,126
$(1,084,059,535)
$—
$—
$194,749,250
$—
Franklin
Strategic
Income
Fund
Non-Controlled
Affiliates
Dividends
Franklin
Floating
Rate
Income
Fund
$108,077,744
$—
$—
$—
$8,079,155
$116,156,899
15,243,687
$661,683
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0%
.........
$51,021,802
$37,884,230
$(36,265,487)
$—
$—
$52,640,545
52,640,545
$—
Total
Affiliated
Securities
....
$159,099,546
$37,884,230
$(36,265,487)
$—
$8,079,155
$168,797,444
$661,683
10.
Investments
in
Affiliated
Management
Investment
Companies
(continued)
Franklin
Strategic
Series
Notes
to
Statement
of
Investments
(unaudited)
65
12. 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,
2021,
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:
Common
Stocks
:
Biotechnology
.........................
$
1,171,015,365
$
—
$
9,337,715
a
$
1,180,353,080
Capital
Markets
........................
21,988,365
—
1,213,494
23,201,859
Life
Sciences
Tools
&
Services
............
70,362,600
—
—
70,362,600
Pharmaceuticals
.......................
192,446,744
—
8,164,711
200,611,455
Preferred
Stocks
........................
—
—
6,188,354
6,188,354
Escrows
and
Litigation
Trusts
...............
—
—
1,018,648
1,018,648
Short
Term
Investments
...................
115,901,512
—
—
115,901,512
Total
Investments
in
Securities
...........
$1,571,714,586
$—
$25,922,922
$1,597,637,508
Franklin
Growth
Opportunities
Fund
Assets:
Investments
in
Securities:
Common
Stocks
:
Auto
Components
......................
25,827,552
—
—
25,827,552
Automobiles
..........................
63,687,131
—
—
63,687,131
Beverages
...........................
68,675,740
—
—
68,675,740
Biotechnology
.........................
145,761,669
—
—
145,761,669
Capital
Markets
........................
253,503,339
—
9,979,882
263,483,221
Chemicals
...........................
64,378,846
—
—
64,378,846
Commercial
Services
&
Supplies
...........
14,362,899
—
23,370,642
37,733,541
Electric
Utilities
........................
27,206,124
—
—
27,206,124
Entertainment
.........................
32,210,105
—
—
32,210,105
Equity
Real
Estate
Investment
Trusts
(REITs)
.
122,356,631
—
—
122,356,631
Food
Products
........................
77,737,521
—
—
77,737,521
Health
Care
Equipment
&
Supplies
.........
352,750,988
—
—
352,750,988
Health
Care
Providers
&
Services
..........
117,788,491
—
—
117,788,491
Health
Care
Technology
.................
101,436,894
—
—
101,436,894
Hotels,
Restaurants
&
Leisure
.............
74,845,206
—
—
74,845,206
Industrial
Conglomerates
................
85,845,523
—
—
85,845,523
Interactive
Media
&
Services
..............
176,535,707
—
—
176,535,707
Internet
&
Direct
Marketing
Retail
..........
487,358,600
—
11,195,154
498,553,754
IT
Services
...........................
713,047,437
—
—
713,047,437
Leisure
Products
.......................
25,944,359
—
—
25,944,359
Life
Sciences
Tools
&
Services
............
73,836,951
—
—
73,836,951
Media
...............................
42,254,310
—
—
42,254,310
Pharmaceuticals
.......................
99,732,810
—
—
99,732,810
Franklin
Strategic
Series
Notes
to
Statement
of
Investments
(unaudited)
66
Level
1
Level
2
Level
3
Total
Franklin
Growth
Opportunities
Fund
(continued)
Assets:
(continued)
Investments
in
Securities:
Common
Stocks:
Professional
Services
...................
$
226,335,537
$
—
$
—
$
226,335,537
Road
&
Rail
..........................
48,856,250
—
—
48,856,250
Semiconductors
&
Semiconductor
Equipment
.
197,735,053
—
—
197,735,053
Software
.............................
931,188,989
—
13,606,079
944,795,068
Specialty
Retail
........................
12,808,643
—
—
12,808,643
Technology
Hardware,
Storage
&
Peripherals
.
213,757,253
—
—
213,757,253
Textiles,
Apparel
&
Luxury
Goods
..........
34,600,612
—
17,756,521
52,357,133
Wireless
Telecommunication
Services
.......
61,069,874
—
—
61,069,874
Preferred
Stocks
........................
—
—
255,806,343
255,806,343
Warrants
..............................
—
—
739
739
Short
Term
Investments
...................
96,708,798
—
—
96,708,798
Total
Investments
in
Securities
...........
$5,070,145,842
$—
$331,715,360
$5,401,861,202
Level
1
Level
2
Level
3
Total
Franklin
Natural
Resources
Fund
Assets:
Investments
in
Securities:
Common
Stocks
:
Agricultural
Products
....................
$
1,885,574
$
—
$
—
$
1,885,574
Application
Software
....................
1,122,770
—
—
1,122,770
Construction
Materials
..................
2,126,834
—
—
2,126,834
Copper
..............................
10,307,538
5,914,856
—
16,222,394
Diversified
Chemicals
...................
1,035,664
—
—
1,035,664
Diversified
Metals
&
Mining
...............
11,886,436
5,199,086
—
17,085,522
Electrical
Components
&
Equipment
........
817,999
—
—
817,999
Environmental
&
Facilities
Services
.........
1,372,800
—
—
1,372,800
Fertilizers
&
Agricultural
Chemicals
.........
3,006,393
—
—
3,006,393
Gold
................................
20,688,301
509,340
—
21,197,641
Heavy
Electrical
Equipment
..............
1,288,065
—
—
1,288,065
Industrial
Gases
.......................
4,189,032
—
—
4,189,032
Integrated
Oil
&
Gas
....................
29,629,811
—
—
29,629,811
Investment
Banking
&
Brokerage
..........
846,141
—
1,259,731
2,105,872
Oil
&
Gas
Drilling
......................
1,898,304
—
—
1,898,304
Oil
&
Gas
Equipment
&
Services
...........
17,220,227
1,021,037
—
18,241,264
Oil
&
Gas
Exploration
&
Production
.........
35,881,757
2,459,610
—
38,341,367
Oil
&
Gas
Refining
&
Marketing
............
12,867,374
—
—
12,867,374
Oil
&
Gas
Storage
&
Transportation
.........
12,237,103
—
—
12,237,103
Packaged
Foods
&
Meats
................
1,445,760
—
—
1,445,760
Paper
Packaging
......................
968,112
—
—
968,112
Semiconductor
Equipment
...............
518,994
—
—
518,994
Steel
................................
2,367,590
—
—
2,367,590
Trading
Companies
&
Distributors
..........
1,593,163
—
—
1,593,163
Warrants
..............................
156,625
—
—
156,625
Short
Term
Investments
...................
5,422,091
—
—
5,422,091
Total
Investments
in
Securities
...........
$182,780,458
$15,103,929
$1,259,731
$199,144,118
12. Fair
Value
Measurements
(continued)
Franklin
Strategic
Series
Notes
to
Statement
of
Investments
(unaudited)
67
Level
1
Level
2
Level
3
Total
Franklin
Small
Cap
Growth
Fund
Assets:
Investments
in
Securities:
Common
Stocks
:
Aerospace
&
Defense
...................
$
150,363,768
$
—
$
—
$
150,363,768
Airlines
..............................
71,370,580
—
—
71,370,580
Banks
...............................
84,044,878
—
—
84,044,878
Biotechnology
.........................
412,361,541
—
—
412,361,541
Building
Products
......................
29,253,000
—
—
29,253,000
Capital
Markets
........................
104,440,529
—
40,419,347
144,859,876
Chemicals
...........................
44,977,023
—
—
44,977,023
Commercial
Services
&
Supplies
...........
50,744,584
—
19,990,589
70,735,173
Communications
Equipment
..............
75,762,677
—
—
75,762,677
Construction
&
Engineering
...............
81,499,970
—
—
81,499,970
Consumer
Finance
.....................
25,581,423
—
—
25,581,423
Diversified
Consumer
Services
............
39,123,364
—
—
39,123,364
Electrical
Equipment
....................
3,752,658
—
—
3,752,658
Electronic
Equipment,
Instruments
&
Components
........................
21,183,276
—
—
21,183,276
Equity
Real
Estate
Investment
Trusts
(REITs)
.
43,904,074
—
—
43,904,074
Food
&
Staples
Retailing
.................
60,840,653
—
—
60,840,653
Food
Products
........................
87,579,030
—
—
87,579,030
Health
Care
Equipment
&
Supplies
.........
223,514,389
—
—
223,514,389
Health
Care
Providers
&
Services
..........
92,897,562
—
—
92,897,562
Health
Care
Technology
.................
173,030,655
—
—
173,030,655
Hotels,
Restaurants
&
Leisure
.............
142,808,519
—
—
142,808,519
Household
Durables
....................
81,952,136
—
—
81,952,136
Insurance
............................
36,571,296
—
—
36,571,296
Internet
&
Direct
Marketing
Retail
..........
3,815,428
—
11,224,821
15,040,249
IT
Services
...........................
215,045,976
—
25,920,000
240,965,976
Life
Sciences
Tools
&
Services
............
53,937,246
—
—
53,937,246
Machinery
............................
59,130,626
—
—
59,130,626
Personal
Products
.....................
29,335,512
—
—
29,335,512
Pharmaceuticals
.......................
106,847,965
—
—
106,847,965
Semiconductors
&
Semiconductor
Equipment
.
211,394,413
—
—
211,394,413
Software
.............................
270,637,800
—
51,390,000
322,027,800
Specialty
Retail
........................
276,492,090
—
—
276,492,090
Textiles,
Apparel
&
Luxury
Goods
..........
36,377,040
—
—
36,377,040
Trading
Companies
&
Distributors
..........
86,760,715
—
—
86,760,715
Preferred
Stocks
........................
—
—
196,071,516
a
196,071,516
Warrants
..............................
—
—
1,093
1,093
Short
Term
Investments
...................
179,515,213
—
—
179,515,213
Total
Investments
in
Securities
...........
$3,666,847,609
$—
$345,017,366
$4,011,864,975
Franklin
Small-Mid
Cap
Growth
Fund
Assets:
Investments
in
Securities:
Common
Stocks
:
Aerospace
&
Defense
...................
61,566,688
—
—
61,566,688
Airlines
..............................
20,651,800
—
—
20,651,800
Banks
...............................
26,097,366
—
—
26,097,366
Biotechnology
.........................
184,444,950
—
—
184,444,950
Capital
Markets
........................
211,469,518
—
20,998,908
232,468,426
Chemicals
...........................
656,900
—
—
656,900
Commercial
Services
&
Supplies
...........
51,234,320
—
—
51,234,320
Construction
Materials
..................
34,546,682
—
—
34,546,682
Containers
&
Packaging
.................
54,660,420
—
—
54,660,420
12. Fair
Value
Measurements
(continued)
Franklin
Strategic
Series
Notes
to
Statement
of
Investments
(unaudited)
68
Level
1
Level
2
Level
3
Total
Franklin
Small-Mid
Cap
Growth
Fund
(continued)
Assets:
(continued)
Investments
in
Securities:
Common
Stocks:
Electronic
Equipment,
Instruments
&
Components
........................
$
129,452,115
$
—
$
—
$
129,452,115
Entertainment
.........................
170,955,035
—
—
170,955,035
Equity
Real
Estate
Investment
Trusts
(REITs)
.
98,430,820
—
—
98,430,820
Food
&
Staples
Retailing
.................
22,860,495
—
—
22,860,495
Food
Products
........................
10,613,568
—
—
10,613,568
Health
Care
Equipment
&
Supplies
.........
353,284,973
—
—
353,284,973
Health
Care
Providers
&
Services
..........
127,318,766
—
—
127,318,766
Health
Care
Technology
.................
140,626,377
—
—
140,626,377
Hotels,
Restaurants
&
Leisure
.............
218,387,328
—
—
218,387,328
Household
Durables
....................
48,466,632
—
—
48,466,632
Household
Products
....................
46,622,246
—
—
46,622,246
Interactive
Media
&
Services
..............
108,818,832
—
—
108,818,832
Internet
&
Direct
Marketing
Retail
..........
81,278,924
—
10,015,889
91,294,813
IT
Services
...........................
565,268,799
—
—
565,268,799
Life
Sciences
Tools
&
Services
............
183,156,720
—
—
183,156,720
Machinery
............................
104,124,352
—
—
104,124,352
Personal
Products
.....................
25,686,018
—
—
25,686,018
Pharmaceuticals
.......................
98,752,702
—
—
98,752,702
Professional
Services
...................
244,097,640
—
—
244,097,640
Road
&
Rail
..........................
78,736,231
—
—
78,736,231
Semiconductors
&
Semiconductor
Equipment
.
355,724,886
—
—
355,724,886
Software
.............................
861,444,283
—
18,122,940
879,567,223
Specialty
Retail
........................
218,621,866
—
—
218,621,866
Textiles,
Apparel
&
Luxury
Goods
..........
65,964,997
—
—
65,964,997
Trading
Companies
&
Distributors
..........
42,097,806
—
—
42,097,806
Preferred
Stocks
........................
—
—
73,788,568
73,788,568
Warrants
..............................
—
—
1,289,023
1,289,023
Senior
Floating
Rate
Interests
...............
—
—
926,283
926,283
Short
Term
Investments
...................
194,749,250
—
—
194,749,250
Total
Investments
in
Securities
...........
$5,240,870,305
$—
$125,141,611
$5,366,011,916
Franklin
Strategic
Income
Fund
Assets:
Investments
in
Securities:
Common
Stocks
:
Aerospace
&
Defense
...................
—
—
—
a
—
Energy
Equipment
&
Services
.............
1,030,506
—
—
1,030,506
Machinery
............................
—
3,856,696
—
3,856,696
Media
...............................
2,241,608
—
26,247
2,267,855
Multiline
Retail
........................
—
—
—
a
—
Oil,
Gas
&
Consumable
Fuels
.............
9,571
—
21,817
31,388
Paper
&
Forest
Products
.................
447,408
—
5,556,498
6,003,906
Road
&
Rail
..........................
—
—
50,817
50,817
Specialty
Retail
........................
843,998
—
—
843,998
Management
Investment
Companies
.........
116,156,899
—
—
116,156,899
Warrants
:
Machinery
............................
—
—
4,268
4,268
Oil,
Gas
&
Consumable
Fuels
.............
—
—
237
a
237
Paper
&
Forest
Products
.................
4,914
—
—
4,914
Software
&
Services
....................
—
—
750,000
750,000
Convertible
Bonds
.......................
—
192,433
—
192,433
Corporate
Bonds
:
Aerospace
&
Defense
...................
—
23,478,075
—
23,478,075
12. Fair
Value
Measurements
(continued)
Franklin
Strategic
Series
Notes
to
Statement
of
Investments
(unaudited)
69
Level
1
Level
2
Level
3
Total
Franklin
Strategic
Income
Fund
(continued)
Assets:
(continued)
Investments
in
Securities:
Corporate
Bonds:
Air
Freight
&
Logistics
...................
$
—
$
21,416,710
$
—
$
21,416,710
Airlines
..............................
—
23,232,568
—
23,232,568
Auto
Components
......................
—
40,923,211
—
40,923,211
Banks
...............................
—
80,701,583
—
80,701,583
Beverages
...........................
—
11,418,684
—
11,418,684
Biotechnology
.........................
—
6,643,269
—
6,643,269
Building
Products
......................
—
26,387,863
—
26,387,863
Capital
Markets
........................
—
32,288,565
—
32,288,565
Chemicals
...........................
—
107,264,747
—
107,264,747
Commercial
Services
&
Supplies
...........
—
14,482,609
—
14,482,609
Communications
Equipment
..............
—
12,936,670
—
12,936,670
Construction
&
Engineering
...............
—
915,000
—
915,000
Construction
Materials
..................
—
13,307,125
—
13,307,125
Consumer
Finance
.....................
—
28,532,931
—
28,532,931
Containers
&
Packaging
.................
—
67,794,474
—
67,794,474
Distributors
...........................
—
5,325,000
—
5,325,000
Diversified
Financial
Services
.............
—
15,319,246
—
15,319,246
Diversified
Telecommunication
Services
.....
—
33,170,615
—
33,170,615
Electric
Utilities
........................
—
79,321,243
—
79,321,243
Electronic
Equipment,
Instruments
&
Components
........................
—
34,294,808
—
34,294,808
Energy
Equipment
&
Services
.............
—
13,919,240
—
13,919,240
Entertainment
.........................
—
29,666,672
—
29,666,672
Equity
Real
Estate
Investment
Trusts
(REITs)
.
—
59,549,027
—
59,549,027
Food
&
Staples
Retailing
.................
—
9,785,924
—
9,785,924
Food
Products
........................
—
49,906,883
—
49,906,883
Gas
Utilities
..........................
—
3,020,847
—
3,020,847
Health
Care
Providers
&
Services
..........
—
53,103,035
—
53,103,035
Hotels,
Restaurants
&
Leisure
.............
—
117,595,000
—
117,595,000
Household
Durables
....................
—
34,423,004
—
34,423,004
Household
Products
....................
—
18,572,313
—
18,572,313
Independent
Power
and
Renewable
Electricity
Producers
..........................
—
65,830,266
—
65,830,266
Insurance
............................
—
23,163,487
—
23,163,487
Interactive
Media
&
Services
..............
—
17,304,074
—
17,304,074
Internet
&
Direct
Marketing
Retail
..........
—
13,256,968
—
13,256,968
IT
Services
...........................
—
35,454,250
—
35,454,250
Machinery
............................
—
22,452,580
—
22,452,580
Marine
..............................
—
12,558,180
—
12,558,180
Media
...............................
—
129,814,449
—
129,814,449
Metals
&
Mining
.......................
—
31,687,150
—
31,687,150
Multiline
Retail
........................
—
1,996,844
16,883
a
2,013,727
Multi-Utilities
..........................
—
9,504,377
—
9,504,377
Oil,
Gas
&
Consumable
Fuels
.............
—
212,840,161
—
212,840,161
Paper
&
Forest
Products
.................
—
3,931,990
—
3,931,990
Pharmaceuticals
.......................
—
51,038,543
—
51,038,543
Real
Estate
Management
&
Development
....
—
27,545,007
—
27,545,007
Road
&
Rail
..........................
—
23,821,356
4,274,124
28,095,480
Semiconductors
&
Semiconductor
Equipment
.
—
13,383,750
—
13,383,750
Software
.............................
—
21,316,155
—
21,316,155
Specialty
Retail
........................
—
16,301,067
—
16,301,067
Textiles,
Apparel
&
Luxury
Goods
..........
—
10,837,500
—
10,837,500
Thrifts
&
Mortgage
Finance
...............
—
44,370,083
—
44,370,083
Tobacco
.............................
—
18,918,122
—
18,918,122
12. Fair
Value
Measurements
(continued)
Franklin
Strategic
Series
Notes
to
Statement
of
Investments
(unaudited)
70
A
reconciliation
in
which
Level
3
inputs
are
used
in
determining
fair
value
is
presented
when
there
are
significant
Level
3
assets
and/or
liabilities
at
the
beginning
and/or
end
of
the
period.
At January
31,
2021,
the
reconciliation
is
as
follows:
Level
1
Level
2
Level
3
Total
Franklin
Strategic
Income
Fund
(continued)
Assets:
(continued)
Investments
in
Securities:
Corporate
Bonds:
Trading
Companies
&
Distributors
..........
$
—
$
40,630,127
$
—
$
40,630,127
Wireless
Telecommunication
Services
.......
—
49,844,497
—
49,844,497
Senior
Floating
Rate
Interests
...............
—
155,714,019
15,149,718
170,863,737
Marketplace
Loans
......................
—
—
9,107,150
9,107,150
Loan
Participations
and
Assignments
.........
—
15,381,509
—
15,381,509
Foreign
Government
and
Agency
Securities
....
—
624,228,579
—
624,228,579
U.S.
Government
and
Agency
Securities
.......
—
114,267,093
—
114,267,093
Asset-Backed
Securities
..................
—
378,023,740
—
378,023,740
Commercial
Mortgage-Backed
Securities
......
—
2,120,229
—
2,120,229
Mortgage-Backed
Securities
................
—
180,998,721
—
180,998,721
Municipal
Bonds
.........................
—
82,525,838
—
82,525,838
Residential
Mortgage-Backed
Securities
......
—
373,217,993
—
373,217,993
Escrows
and
Litigation
Trusts
...............
—
60,000
45,000
a
105,000
Short
Term
Investments
...................
52,640,545
69,712,347
—
122,352,892
Total
Investments
in
Securities
...........
$173,375,449
$3,966,797,121
$35,002,759
$4,175,175,329
Other
Financial
Instruments:
Forward
exchange
contracts
...............
$
—
$
1,298,365
$
—
$
1,298,365
Futures
contracts
........................
69,450
—
—
69,450
Swap
contracts
.........................
—
9,557,047
—
9,557,047
Unfunded
Loan
Commitments
..............
—
182,741
—
182,741
Total
Other
Financial
Instruments
.........
$69,450
$11,038,153
$—
$11,107,603
Liabilities:
Other
Financial
Instruments:
Forward
exchange
contracts
................
$
—
$
1,557,059
$
—
$
1,557,059
Futures
contracts
........................
280,245
—
—
280,245
Swap
contracts
..........................
—
8,842,533
—
8,842,533
Total
Other
Financial
Instruments
.........
$280,245
$10,399,592
$—
$10,679,837
a
Includes
securities
determined
to
have
no
value
at
January
31,
2021.
Balance
at
Beginning
of
Period
Purchases
Sales
Transfer
Into
Level
3
a
Transfer
Out
of
Level
3
b
Cost
Basis
Adjust-
ments
c
Net
Realized
Gain
(Loss)
Net
Unr
ealized
Appreciatio
n
(
Depreciation
)
Balance
at
End
of
Period
Net
Change
in
Unrealized
Appreciation
(Depreciation)
on
Assets
Held
at
Period
End
a
a
a
a
a
a
a
a
a
a
a
Franklin
Biotechnology
Discovery
Fund
Assets:
Investments
in
Securities:
Common
Stocks
:
Biotechnology
......
$
—
$
8,138,805
$
—
$
—
$
—
$
—
$
—
$
1,198,910
$
9,337,715
$
1,198,910
Capital
Markets
.....
—
1,035,890
—
—
—
—
—
177,604
1,213,494
177,604
Pharmaceuticals
....
—
2,976,235
—
—
—
—
—
5,188,476
8,164,711
5,188,476
Escrows
and
Litigation
Trusts
...........
958,814
—
—
—
—
—
—
59,834
1,018,648
59,834
Preferred
Stocks
:
Biotechnology
......
2,747,737
1,779,789
(2,821,056)
—
—
—
—
2,394,783
4,101,252
2,394,783
12. Fair
Value
Measurements
(continued)
Franklin
Strategic
Series
Notes
to
Statement
of
Investments
(unaudited)
71
Balance
at
Beginning
of
Period
Purchases
Sales
Transfer
Into
Level
3
Transfer
Out
of
Level
3
Cost
Basis
Adjust-
ments
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
a
a
a
a
a
a
a
a
a
a
a
Franklin
Biotechnology
Discovery
Fund
(continued)
Assets:
Investments
in
Securities:
Preferred
Stocks:
Pharmaceuticals
....
$
—
$
2,087,101
$
—
$
—
$
—
$
—
$
—
$
—
$
2,087,102
$
—
Total
Investments
in
Securities
.
$3,706,551
$16,017,820
$(2,821,056)
$—
$—
$—
$—
$9,019,607
$25,922,922
$9,019,607
Balance
at
Beginning
of
Period
Purchases
Sales
Transfer
Into
Level
3
a
Transfer
Out
of
Level
3
b
Cost
Basis
Adjust-
ments
c
Net
Realized
Gain
(Loss)
Net
Unr
ealized
Appreciatio
n
(
Depreciation
)
Balance
at
End
of
Period
Net
Change
in
Unrealized
Appreciation
(Depreciation)
on
Assets
Held
at
Period
End
a
a
a
a
a
a
a
a
a
a
a
Franklin
Growth
Opportunities
Fund
Assets:
Investments
in
Securities:
Common
Stocks
:
Capital
Markets
.....
$
—
$
4,775,000
$
—
$
—
$
—
$
—
$
—
$
5,204,882
$
9,979,882
$
5,204,882
Commercial
Services
&
Supplies
........
20,046,660
—
—
—
—
—
—
3,323,982
23,370,642
3,323,982
Internet
&
Direct
Marketing
Retail
...
—
10,353,395
—
—
—
—
—
841,759
11,195,154
841,759
Software
..........
43,653,245
12,499,971
—
—
(52,300,561)
—
—
9,753,424
13,606,079
9,753,424
Textiles,
Apparel
&
Luxury
Goods
....
—
17,756,521
—
—
—
—
—
—
17,756,521
—
Preferred
Stocks
:
Airlines
..........
17,193,220
—
—
—
—
—
—
4,180,654
21,373,874
4,180,654
Automobiles
.......
33,649,056
—
—
—
—
—
—
42,796,750
76,445,806
42,796,750
Commercial
Services
&
Supplies
........
13,293,475
—
—
—
—
—
—
1,070,590
14,364,065
1,070,590
Food
&
Staples
Retailing
15,056,118
1,311,058
—
—
—
—
—
586,628
16,953,804
586,628
Health
Care
Providers
&
Services
........
20,693,106
—
—
—
—
—
—
7,691,376
28,384,482
7,691,376
Internet
&
Direct
Marketing
Retail
...
—
18,363,351
—
—
—
—
—
562,605
18,925,956
562,605
IT
Services
........
12,004,812
—
—
—
—
—
—
6,630,665
18,635,477
6,630,665
Software
..........
38,260,725
11,517,955
—
—
—
—
—
10,944,199
60,722,879
10,944,199
Warrants
:
Food
&
Staples
Retailing
—
—
—
—
—
—
—
739
739
739
Total
Investments
in
Securities
.
$213,850,417
$76,577,251
$—
$—
$(52,300,561)
$—
$—
$93,588,253
$331,715,360
$93,588,253
Franklin
Small
Cap
Growth
Fund
Assets:
Investments
in
Securities:
Common
Stocks
:
Capital
Markets
.....
—
1,937,430
—
—
—
—
—
2,913
40,419,347
2,913
Commercial
Services
&
Supplies
........
17,147,349
—
—
—
—
—
—
2,843,240
19,990,589
2,843,240
Hotels,
Restaurants
&
Leisure
.........
60,602,791
—
(74,522,452)
—
—
—
47,970,632
(34,050,971)
—
—
Internet
&
Direct
Marketing
Retail
...
—
10,000,003
—
—
—
—
—
1,224,819
11,224,821
1,224,819
12. Fair
Value
Measurements
(continued)
Franklin
Strategic
Series
Notes
to
Statement
of
Investments
(unaudited)
72
Balance
at
Beginning
of
Period
Purchases
Sales
Transfer
Into
Level
3
a
Transfer
Out
of
Level
3
b
Cost
Basis
Adjust-
ments
c
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
a
a
a
a
a
a
a
a
a
a
a
Franklin
Small
Cap
Growth
Fund
(continued)
Assets:
Investments
in
Securities:
Common
Stocks:
IT
Services
........
$
—
$
20,000,000
$
—
$
—
$
—
$
—
$
—
$
5,920,000
$
25,920,000
$
5,920,000
Software
..........
—
60,000,000
—
—
—
—
—
21,390,000
51,390,000
21,390,000
Preferred
Stocks
:
Airlines
..........
14,737,045
—
—
—
—
—
—
3,583,417
18,320,462
3,583,417
Auto
Components
....
7,165,798
—
—
—
—
—
—
514,963
7,680,761
514,963
Automobiles
.......
30,354,762
—
—
—
—
—
—
38,606,882
68,961,644
38,606,882
Commercial
Services
&
Supplies
........
13,266,009
—
—
—
—
—
—
1,068,379
14,334,388
1,068,379
Diversified
Consumer
Services
........
—
15,000,010
—
—
—
—
—
(14)
14,999,996
(14)
Food
&
Staples
Retailing
6,217,673
—
—
—
—
—
—
241,749
8,398,672
241,749
Software
..........
23,409,805
5,500,000
—
—
—
—
—
1,593,219
30,503,023
1,593,219
Specialty
Retail
.....
14,399,688
—
—
—
—
—
—
2,884,483
17,284,175
2,884,483
Textiles,
Apparel
&
Luxury
Goods
....
—
14,999,998
—
—
—
—
—
588,397
15,588,395
588,397
Warrants
:
Food
&
Staples
Retailing
—
35,506,860
—
—
—
—
—
4,912,487
1,093
4,912,487
Hotels,
Restaurants
&
Leisure
.........
637,467
—
—
—
—
—
—
—
—
637,462
Escrows
and
Litigation
Trusts
...........
—
—
—
—
—
—
—
—
—
—
Total
Investments
in
Securities
.
$187,938,387
$162,944,301
$(74,522,452)
$—
$—
$—
$47,970,632
$51,323,963
$345,017,366
$86,012,396
Franklin
Small-Mid
Cap
Growth
Fund
Assets:
Investments
in
Securities:
Common
Stocks
:
Capital
Markets
.....
—
14,267,710
—
—
—
—
—
6,731,198
20,998,908
6,731,198
Consumer
Discretionary
48,788,058
—
—
—
—
—
—
—
—
27,468,362
Internet
&
Direct
Marketing
Retail
...
—
8,922,986
—
—
—
—
—
1,092,904
10,015,889
1,092,904
Software
..........
—
11,187,000
—
—
(27,893,645)
—
—
6,935,940
18,122,940
6,935,940
Preferred
Stocks
:
Automobiles
.......
11,834,651
—
—
—
—
—
—
15,051,970
26,886,621
15,051,970
Diversified
Consumer
Services
........
—
8,965,193
—
—
—
—
—
(8)
8,965,184
(8)
Internet
&
Direct
Marketing
Retail
...
—
13,399,992
—
—
—
—
—
952,643
14,352,635
952,643
Semiconductors
&
Semiconductor
Equipment
.......
3,875,755
—
—
—
—
—
—
3,007,183
6,882,938
3,007,183
Software
..........
23,281,742
6,481,600
—
—
(27,893,645)
—
—
5,549,422
7,419,119
937,519
Textiles,
Apparel
&
Luxury
Goods
....
—
8,931,711
—
—
—
—
—
350,359
9,282,071
350,359
Warrants
:
Hotels,
Restaurants
&
Leisure
.........
140,884
—
—
—
—
—
—
—
—
80,275
Semiconductors
&
Semiconductor
Equipment
.......
628,432
—
—
—
—
—
—
660,591
1,289,023
660,591
12. Fair
Value
Measurements
(continued)
Franklin
Strategic
Series
Notes
to
Statement
of
Investments
(unaudited)
73
Significant
unobservable
valuation
inputs
for
material
Level
3
assets
and/or
liabilities
and
impact
to
fair
value
as
a
result
of
changes
in
unobservable
valuation
inputs
as
of
January
31,
2021,
are
as
follows:
Balance
at
Beginning
of
Period
Purchases
Sales
Transfer
Into
Level
3
a
Transfer
Out
of
Level
3
b
Cost
Basis
Adjust-
ments
c
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
a
a
a
a
a
a
a
a
a
a
a
Franklin
Small-Mid
Cap
Growth
Fund
(continued)
Assets:
Investments
in
Securities:
Senior
Floating
Rate
Interests
:
Semiconductors
&
Semiconductor
Equipment
.......
$
394,282
$
531,254
$
—
$
—
$
—
$
424
$
—
$
323
$
926,283
$
323
Escrows
and
Litigation
Trusts
...........
—
—
—
—
—
—
—
—
—
—
Total
Investments
in
Securities
.
$88,943,804
$72,687,446
$—
$—
$(55,787,290)
$424
$—
$40,332,525
$125,141,611
$63,269,259
a
Transferred
into
level
3
as
a
result
of
the
unavailability
of
a
quoted
market
price
in
an
active
market
for
identical
securities
or
as
a
result
of
the
unreliability
of
the
foreign
exchange
rate
and
other
significant
observable
valuation
inputs.
May
include
amounts
related
to
a
corporate
action.
b
Transferred
out
of
Level
3
as
a
result
of
the
availability
of
a
quoted
price
in
an
active
market
for
identical
securities
and
other
significant
observable
valuation
inputs.
May
include
amounts
related
to
a
corporate
action.
c
May
include
accretion,
amortization,
partnership
adjustments,
and/or
other
cost
basis
adjustments.
d
Includes
securities
determined
to
have
no
value.
Description
Fair
Value
at
End
of
Period
Valuation
Technique
Unobservable
Inputs
Amount
/
Range
(Weighted
Average)
a
Impact
to
Fair
Value
if
Input
Increases
b
Franklin
Biotechnology
Discovery
Fund
Assets:
Investments
in
Securities:
Common
Stock:
Biotechnology
.............
$9,337,715
Market
comparables
Discount
for
lack
of
marketability
5.2%
-
10.2%
(6.4%)
Decrease
c
Pharmaceuticals
...........
8,164,711
Market
comparables
Discount
for
lack
of
marketability
6.0%
Decrease
All
Other
Investments
..........
8,420,496
e,f
Total
.......................
$25,922,922
12. Fair
Value
Measurements
(continued)
Franklin
Strategic
Series
Notes
to
Statement
of
Investments
(unaudited)
74
Description
Fair
Value
at
End
of
Period
Valuation
Technique
Unobservable
Inputs
Amount
/
Range
(Weighted
Average)
a
Impact
to
Fair
Value
if
Input
Increases
b
Franklin
Growth
Opportunities
Fund
Assets:
Investments
in
Securities:
Common
Stock:
Capital
Markets
.............
$9,979,882
Market
comparables
Discount
for
lack
of
marketability
12.8%
Decrease
c
Commercial
Services
&
Supplies
....................
23,370,642
Discounted
cash
flow
Discount
for
lack
of
marketability
12.5%
Decrease
c
Discount
rate
11.2%
Decrease
d
Long
term
growth
rate
4.0%
Increase
d
Internet
&
Direct
Marketing
Retail
......................
11,195,154
Market
comparables
Weighted
average
transaction
price
$9.1
-
$12.0
($9.4)
Increase
c
Software
...................
13,606,079
Market
comparables
EV
/
EBITDA
multiple
18.7x
Increase
c
Discount
for
lack
of
marketability
9.8%
Decrease
c
Preferred
Stocks:
Airlines
....................
21,373,874
Discounted
cash
flow
Discount
for
lack
of
marketability
13.2%
Decrease
c
Discount
rate
12.4%
Decrease
d
Long
term
growth
rate
4.0%
Increase
c
Automobiles
................
76,445,806
Discounted
cash
flow
Discount
for
lack
of
marketability
12.9%
Decrease
c
Commercial
Services
&
Supplies
....................
14,364,065
Discounted
cash
flow
Discount
for
lack
of
marketability
7.6%
Decrease
c
Discount
rate
19.3%
Decrease
c
Long
term
growth
rate
5.0%
Increase
Food
&
Staples
Retailing
.......
13,915,616
Market
comparables
Discount
for
lack
of
marketability
10.5%
Decrease
c
Volatility
33.6%
Decrease
Health
Care
Providers
&
Services
....................
28,384,482
Market
comparables
Discount
for
lack
of
marketability
10.0%
Decrease
Volatility
28.5%
Decrease
Internet
&
Direct
Marketing
Retail
......................
17,048,344
Market
comparables
EV
/
EBITDA
multiple
32.6x
Increase
c
EV
/
revenue
multiple
4.2x
Increase
c
Discount
for
lack
of
marketability
12.2%
Decrease
c
IT
Services
.................
18,635,477
Market
comparables
Discount
for
lack
of
marketability
10.9%
Decrease
c
EV
/
revenue
multiple
31.1x
-
42.2x
(36.7x)
Increase
12. Fair
Value
Measurements
(continued)
Franklin
Strategic
Series
Notes
to
Statement
of
Investments
(unaudited)
75
Description
Fair
Value
at
End
of
Period
Valuation
Technique
Unobservable
Inputs
Amount
/
Range
(Weighted
Average)
a
Impact
to
Fair
Value
if
Input
Increases
b
Software
...................
60,722,879
Discounted
cash
flow
Discount
for
lack
of
marketability
14.7%
-
16.1%
(15.2%)
Decrease
c
Discount
rate
8.7%
-
10.4%
(9.8%)
Decrease
c
Long
term
growth
rate
2.0%
Increase
c
Terminal
Multiple
34.6x
Increase
c
Market
comparables
Discount
for
lack
of
marketability
10.7%
-
14.0%
(12.7%)
Decrease
c
EV
/
revenue
multiple
12.6x
-
37.8x
(23.2x)
Increase
c
All
Other
Investments
..........
22,673,060
e
Total
..........................
$331,715,360
Franklin
Small
Cap
Growth
Fund
Assets:
Investments
in
Securities:
Common
Stock:
Capital
Markets
.............
$40,419,347
Market
comparables
Discount
for
lack
of
marketability
8.4%
-
12.8%
(9.5%)
Decrease
c
Commercial
Services
&
Supplies
....................
19,990,589
Discounted
cash
flow
Discount
for
lack
of
marketability
12.5%
Decrease
c
Discount
rate
11.2%
Decrease
d
Long
term
growth
rate
4.0%
Increase
d
Internet
&
Direct
Marketing
Retail
......................
11,224,821
Market
comparables
Weighted
average
transaction
price
$9.1
-
$12.0
($9.4)
Increase
c
Preferred
Stocks:
Airlines
....................
18,320,462
Discounted
cash
flow
Discount
for
lack
of
marketability
13.2%
Decrease
c
Discount
rate
12.4%
Decrease
d
Long
term
growth
rate
4.0%
Increase
c
Auto
Components
............
7,680,761
Market
comparables
EV
/
EBITDA
multiple
21.2x
Increase
c
Discount
for
lack
of
marketability
10.5%
Decrease
c
Automobiles
................
68,961,644
Discounted
cash
flow
Discount
for
lack
of
marketability
12.9%
Decrease
c
Commercial
Services
&
Supplies
....................
14,334,388
Discounted
cash
flow
Discount
for
lack
of
marketability
7.6%
Decrease
c
Discount
rate
19.3%
Decrease
c
Long
term
growth
rate
5.0%
Increase
Food
&
Staples
Retailing
.......
5,746,691
Discounted
cash
flow
Discount
for
lack
of
marketability
10.5%
Decrease
Volatility
33.6%
Decrease
12. Fair
Value
Measurements
(continued)
Franklin
Strategic
Series
Notes
to
Statement
of
Investments
(unaudited)
76
Description
Fair
Value
at
End
of
Period
Valuation
Technique
Unobservable
Inputs
Amount
/
Range
(Weighted
Average)
a
Impact
to
Fair
Value
if
Input
Increases
b
Software
...................
27,824,692
Discounted
cash
flow
Discount
for
lack
of
marketability
14.7
Decrease
c
Discount
rate
10.4
Decrease
d
Long
term
growth
rate
2.0%
Increase
Market
comparables
Discount
for
lack
of
marketability
10.0%
-
10.5%
(10.3%)
Decrease
c
EV
/
EBITDA
multiple
21.4x
Increase
c
EV
/
revenue
multiple
3.9x
Increase
c
Specialty
Retail
..............
17,284,175
Discounted
cash
flow
Discount
for
lack
of
marketability
14.6%
Decrease
c
Discount
rate
13.4%
Decrease
d
Long
term
growth
rate
4.0%
Increase
c
Textiles,
Apparel
&
Luxury
Goods
......................
15,588,395
Market
comparables
Discount
for
lack
of
marketability
10.2%
Decrease
c
EV
/
revenue
multiple
5.0x
Increase
All
Other
Investments
..........
97,641,401
e,f
Total
..........................
$345,017,366
Franklin
Small-Mid
Cap
Growth
Fund
Assets:
Investments
in
Securities:
Common
Stock:
Capital
Markets
.............
$20,998,908
Market
comparables
Discount
for
lack
of
marketability
9.9%
-
12.8%
(11.2%)
Decrease
c
Internet
&
Direct
Marketing
Retail
......................
10,015,889
Market
comparables
Weighted
average
transaction
price
$9.1
-
$12.0
($9.4)
Increase
c
Preferred
Stocks:
Automobiles
................
26,886,621
Discounted
cash
flow
Discount
for
lack
of
marketability
12.9%
Decrease
c
Internet
&
Direct
Marketing
Retail
......................
14,352,635
Market
comparables
EV
/
EBITDA
multiple
32.6x
Increase
c
EV
/
revenue
multiple
4.2x
Increase
c
Discount
for
lack
of
marketability
12.2%
Decrease
c
Semiconductors
&
Semiconductor
Equipment
..................
6,882,938
Discounted
cash
flow
Discount
rate
15.7%
Decrease
c
Discount
for
lack
of
marketability
14.6%
Decrease
c
Terminal
multiple
18.0x
Increase
Market
comparables
EV
/
revenue
multiple
8.3x
–
9.1x
(8.7x)
Increase
12. Fair
Value
Measurements
(continued)
Franklin
Strategic
Series
Notes
to
Statement
of
Investments
(unaudited)
77
13.
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.
Description
Fair
Value
at
End
of
Period
Valuation
Technique
Unobservable
Inputs
Amount
/
Range
(Weighted
Average)
a
Impact
to
Fair
Value
if
Input
Increases
b
Software
...................
7,419,119
Market
comparables
Discount
for
lack
of
marketability
10.0%
Decrease
c
EV
/
EBITDA
multiple
21.4x
Increase
c
Textiles,
Apparel
&
Luxury
Goods
.....................
9,282,071
Market
comparables
Discount
for
lack
of
marketability
10.2%
Decrease
c
EV
/
revenue
multiple
5.0x
Increase
All
Other
Investments
..........
29,303,430
e
Total
..........................
$125,141,611
a
Weighted
based
on
the
relative
fair
value
of
the
financial
instruments.
b
Represents
the
directional
change
in
the
fair
value
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.
c
Represents
a
significant
impact
to
fair
value
but
not
net
assets.
d
Represents
a
significant
impact
to
fair
value
and
net
assets.
e
Includes
fair
value
of
immaterial
assets
and/or
liabilities
developed
using
various
valuation
techniques
and
unobservable
inputs.
May
also
include
values
derived
using
private
transaction
prices
or
non-public
third
party
pricing
information
which
is
unobservable.
f
Includes
securities
determined
to
have
no
value
at
January
31,
2021.
Abbreviations
List
EBITDA
-
Earnings
before
interest,
taxes,
depreciation
and
amortization
EV
-
Enterprise
value
12. Fair
Value
Measurements
(continued)
Franklin
Strategic
Series
Notes
to
Statement
of
Investments
(unaudited)
78
Abbreviations
Selected
Portfolio
ADR
American
Depositary
Receipt
BZDIOVRA
Brazil
Inter-Bank
Deposit
Rate
CLO
Collateralized
Loan
Obligation
CMT
Constant
Monthly
U.S.
Treasury
Securities
Yield
Curve
Rate
Index
CVR
Contingent
Voting
Rights
EURIBOR
Euro
Inter-Bank
Offer
Rate
FHLMC
Federal
Home
Loan
Mortgage
Corp.
FNMA
Federal
National
Mortgage
Association
FRN
Floating
Rate
Note
GDP
Gross
Domestic
Product
GNMA
Government
National
Mortgage
Association
GO
General
Obligation
LIBOR
London
Inter-Bank
Offered
Rate
MBS
Mortgage-Backed
Security
PIK
Payment-In-Kind
TBD
To
Be
Determined
T-Note
Treasury
Note
VRI
Value
Recovery
Instrument
Currency
AUD
Australian
Dollar
BRL
Brazilian
Real
CAD
Canadian
Dollar
COP
Colombian
Peso
DOP
Dominican
Peso
EUR
Euro
GBP
British
Pound
IDR
Indonesian
Rupiah
JPY
Japanese
Yen
USD
United
States
Dollar
UYU
Uruguayan
Peso
ZAR
South
African
Rand
Counterparty
BZWS
Barclays
Bank
plc
CITI
Citibank
NA
CITI
Citigroup,
Inc
FBCO
Credit
Suisse
Group
AG
JPHQ
JPMorgan
Chase
Bank
NA
MSCO
Morgan
Stanley
For
additional
information
on
the
Funds'
significant
accounting
policies,
please
refer
to
the Funds'
most
recent
semiannual
or
annual
shareholder
report.