FRANKLIN ALTERNATIVE STRATEGIES FUNDS
Consolidated Statement of Investments, August 31, 2021 (unaudited)
Franklin K2 Alternative Strategies Fund
Country | Shares/ Warrants/ Rights |
Value | ||||||||||
Common Stocks and Other Equity Interests 42.9% |
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Aerospace & Defense 0.1% |
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Aerojet Rocketdyne Holdings Inc. |
United States | 14,007 | $ | 581,570 | ||||||||
aBombardier Inc., B |
Canada | 917,471 | 1,338,047 | |||||||||
|
|
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1,919,617 | ||||||||||||
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|
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Air Freight & Logistics 0.4% |
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Expeditors International of Washington Inc. |
United States | 1,117 | 139,223 | |||||||||
aGXO Logistics Inc. |
United States | 21,139 | 1,728,959 | |||||||||
United Parcel Service Inc., B |
United States | 316 | 61,819 | |||||||||
aXPO Logistics Inc. |
United States | 37,522 | 3,261,037 | |||||||||
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|
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5,191,038 | ||||||||||||
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Airlines 0.1% |
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a,bControladora Vuela Cia de Aviacion SAB de CV, ADR |
Mexico | 6,201 | 123,214 | |||||||||
aJapan Airlines Co. Ltd. |
Japan | 31,191 | 664,515 | |||||||||
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|
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787,729 | ||||||||||||
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Automobiles 0.0% |
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aGeneral Motors Co. |
United States | 8,800 | 431,288 | |||||||||
aXos Inc., 12/31/25, wts. |
United States | 382 | 420 | |||||||||
|
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431,708 | ||||||||||||
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Banks 0.0% |
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Barclays PLC |
United Kingdom | 108,406 | 274,855 | |||||||||
Citigroup Inc. |
United States | 894 | 64,288 | |||||||||
cJPMorgan Chase & Co. |
United States | 411 | 65,739 | |||||||||
Truist Financial Corp. |
United States | 1,116 | 63,679 | |||||||||
|
|
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468,561 | ||||||||||||
|
|
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Beverages 0.4% |
||||||||||||
The Coca-Cola Co. |
United States | 4,092 | 230,420 | |||||||||
Davide Campari-Milano NV |
Italy | 270,210 | 3,737,008 | |||||||||
dNongfu Spring Co. Ltd., H, 144A |
China | 1,790 | 9,473 | |||||||||
PepsiCo Inc. |
United States | 397 | 62,087 | |||||||||
Primo Water Corp. |
United States | 97,339 | 1,728,741 | |||||||||
Tsingtao Brewery Co. Ltd., H |
China | 2,000 | 16,365 | |||||||||
|
|
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5,784,094 | ||||||||||||
|
|
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Biotechnology 2.1% |
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AbbVie Inc. |
United States | 18,883 | 2,280,689 | |||||||||
a,e,fAlder Biopharmaceuticals Inc., Contingent Value, rts., 12/31/24 |
United States | 50,624 | 44,549 | |||||||||
aAllakos Inc. |
United States | 2,157 | 192,318 | |||||||||
aAmicus Therapeutics Inc. |
United States | 51,566 | 587,337 | |||||||||
a,bApellis Pharmaceuticals Inc. |
United States | 38,021 | 2,503,683 | |||||||||
aArgenx SE, ADR |
Netherlands | 5,281 | 1,748,117 | |||||||||
a,bBioNTech SE, ADR |
Germany | 6,568 | 2,162,120 | |||||||||
aBlueprint Medicines Corp. |
United States | 8,030 | 748,958 | |||||||||
aBurning Rock Biotech Ltd., ADR |
China | 20,514 | 382,176 | |||||||||
aC4 Therapeutics Inc. |
United States | 6,325 | 253,822 | |||||||||
aCaribou Biosciences Inc. |
United States | 7,303 | 198,642 | |||||||||
aCRISPR Therapeutics AG |
Switzerland | 8,743 | 1,092,438 | |||||||||
aCytoDyn Inc. |
United States | 2,742 | 3,784 | |||||||||
aDenali Therapeutics Inc. |
United States | 4,940 | 262,808 | |||||||||
aFate Therapeutics Inc. |
United States | 16,262 | 1,191,191 | |||||||||
aGenetron Holdings Ltd., ADR |
China | 26,644 | 354,099 | |||||||||
a,fGraphite Bio Inc. |
United States | 6,744 | 131,778 | |||||||||
aI-Mab, ADR |
China | 3,466 | 245,809 | |||||||||
aImmatics NV, 12/31/25, wts. |
Germany | 10,049 | 39,593 | |||||||||
aIntellia Therapeutics Inc. |
United States | 15,283 | 2,453,380 | |||||||||
aKaruna Therapeutics Inc. |
United States | 1,897 | 225,553 | |||||||||
aKymera Therapeutics Inc. |
United States | 4,162 | 258,627 |
Quarterly Consolidated Statement of Investments | See Notes to the Consolidated Statements of Investments.
1
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Shares/ Warrants/ Rights |
Value | ||||||||||
Common Stocks and Other Equity Interests (continued) |
|
|||||||||||
Biotechnology (continued) |
||||||||||||
aMirati Therapeutics Inc. |
United States | 3,219 | $ | 546,361 | ||||||||
aMonte Rosa Therapeutics Inc. |
United States | 6,745 | 240,729 | |||||||||
aNatera Inc. |
United States | 13,824 | 1,637,176 | |||||||||
a,fNovavax Inc. |
United States | 2,742 | 654,077 | |||||||||
aNurix Therapeutics Inc. |
United States | 7,354 | 236,725 | |||||||||
aORIC Pharmaceuticals Inc. |
United States | 10,440 | 230,620 | |||||||||
aPMV Pharmaceuticals Inc. |
United States | 7,999 | 242,770 | |||||||||
aPraxis Precision Medicines Inc. |
United States | 4,250 | 84,447 | |||||||||
a,fProQR Therapeutics NV |
Netherlands | 39,814 | 265,957 | |||||||||
aSeagen Inc. |
United States | 4,869 | 816,044 | |||||||||
aSpringWorks Therapeutics Inc. |
United States | 9,485 | 712,323 | |||||||||
a,cTranslate Bio Inc. |
United States | 45,853 | 1,714,902 | |||||||||
aTurning Point Therapeutics Inc. |
United States | 10,563 | 813,562 | |||||||||
aVertex Pharmaceuticals Inc. |
United States | 9,090 | 1,820,636 | |||||||||
a,fVerve Therapeutics Inc. |
United States | 8,505 | 595,010 | |||||||||
a,fZai Lab Ltd., ADR |
China | 7,846 | 1,133,747 | |||||||||
|
|
|||||||||||
29,106,557 | ||||||||||||
|
|
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Building Products 0.4% |
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AO Smith Corp. |
United States | 8,656 | 629,464 | |||||||||
Carrier Global Corp. |
United States | 48,534 | 2,795,559 | |||||||||
aJohnson Controls International PLC |
United States | 5,391 | 403,247 | |||||||||
aTrane Technologies PLC |
United States | 6,440 | 1,278,340 | |||||||||
|
|
|||||||||||
5,106,610 | ||||||||||||
|
|
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Capital Markets 0.6% |
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dAmundi SA, 144A |
France | 26,558 | 2,513,529 | |||||||||
dAnima Holding SpA, 144A |
Italy | 102,616 | 529,284 | |||||||||
Artisan Partners Asset Management Inc., A |
United States | 1,299 | 67,496 | |||||||||
cThe Blackstone Group Inc., A |
United States | 569 | 71,540 | |||||||||
a,bCapstar Special Purpose Acquisition Corp., A |
United States | 10,190 | 100,779 | |||||||||
aCapstar Special Purpose Acquisition Corp., A, 7/9/27, wts. |
United States | 6,891 | 6,340 | |||||||||
a,fCoinbase Global Inc., A |
United States | 6,116 | 1,584,044 | |||||||||
a,bE.Merge Technology Acquisition Corp., A |
United States | 6,534 | 63,837 | |||||||||
cThe Goldman Sachs Group Inc. |
United States | 160 | 66,162 | |||||||||
aGS Acquisition Holdings Corp. II, A |
United States | 4,764 | 47,307 | |||||||||
Moodys Corp. |
United States | 9,081 | 3,457,772 | |||||||||
cMorgan Stanley |
United States | 632 | 66,000 | |||||||||
aSCVX Corp., A |
United States | 6,585 | 65,521 | |||||||||
|
|
|||||||||||
8,639,611 | ||||||||||||
|
|
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Chemicals 1.0% |
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Albemarle Corp. |
United States | 5,405 | 1,279,580 | |||||||||
aFerro Corp. |
United States | 43,983 | 914,846 | |||||||||
bInternational Flavors & Fragrances Inc. |
United States | 2,323 | 351,935 | |||||||||
a,cKraton Corp. |
United States | 29,339 | 1,235,759 | |||||||||
LyondellBasell Industries NV, A |
United States | 606 | 60,812 | |||||||||
bThe Sherwin-Williams Co. |
United States | 31,064 | 9,433,205 | |||||||||
bWR Grace & Co. |
United States | 16,552 | 1,152,681 | |||||||||
|
|
|||||||||||
14,428,818 | ||||||||||||
|
|
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Commercial Services & Supplies 1.5% |
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a468 SPAC I SE, A |
Germany | 142,088 | 1,652,537 | |||||||||
a468 SPAC I SE, A, 4/30/26, wts. |
Germany | 41,605 | 29,475 | |||||||||
a7GC & Co. Holdings Inc., A, 12/31/26, wts. |
United States | 3,244 | 1,785 | |||||||||
a,bAtlas Crest Investment Corp. II, A |
United States | 20,011 | 193,306 | |||||||||
aAtlas Crest Investment Corp. II, A, 2/23/28, wts. |
United States | 4,212 | 3,833 | |||||||||
Cintas Corp. |
United States | 13,412 | 5,308,067 | |||||||||
a,bClass Acceleration Corp., A |
United States | 13,473 | 130,688 |
2
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Shares/ Warrants/ Rights |
Value | ||||||||||
Common Stocks and Other Equity Interests (continued) |
||||||||||||
Commercial Services & Supplies (continued) |
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aClass Acceleration Corp., A, 3/31/28, wts. |
United States | 4,133 | $ | 2,398 | ||||||||
aCM Life Sciences III Inc. |
United States | 8,817 | 89,581 | |||||||||
a,bCM Life Sciences III Inc., A |
United States | 13,400 | 132,392 | |||||||||
Covanta Holding Corp. |
United States | 267,803 | 5,369,450 | |||||||||
aDigital Transformation Opportunities Corp. |
United States | 39,182 | 383,592 | |||||||||
a,c,fdMY Technology Group Inc. III, A |
United States | 12,989 | 129,760 | |||||||||
adMY Technology Group Inc. III, A, 1/31/26, wts. |
United States | 48,353 | 101,058 | |||||||||
adMY Technology Group Inc. IV |
United States | 3 | 30 | |||||||||
a,bdMY Technology Group Inc. IV, A |
United States | 38,695 | 383,467 | |||||||||
adMY Technology Group Inc. IV,, A, 12/31/27, wts. |
United States | 21,893 | 30,650 | |||||||||
aExecutive Network Partnering Corp., A |
United States | 19,832 | 193,164 | |||||||||
aExecutive Network Partnering Corp., A, 9/25/28, wts. |
United States | 2,901 | 2,000 | |||||||||
aGores Guggenheim Inc., A |
United States | 3,084 | 30,316 | |||||||||
aGores Guggenheim Inc., A, 3/25/28, wts. |
United States | 616 | 1,010 | |||||||||
aGores Metropoulos II Inc. |
United States | 110 | 1,114 | |||||||||
a,fGores Metropoulos II Inc., A |
United States | 140 | 1,390 | |||||||||
aGores Metropoulos II Inc., A, 1/31/28, wts. |
United States | 4,212 | 5,097 | |||||||||
a,bGores Technology Partners II Inc. |
United States | 12,807 | 127,942 | |||||||||
aGores Technology Partners II Inc., A |
United States | 1,220 | 11,980 | |||||||||
a,bGores Technology Partners Inc. |
United States | 11,237 | 112,032 | |||||||||
aHedosophia European Growth |
United Kingdom | 35,835 | 410,724 | |||||||||
aHedosophia European Growth, 5/13/27, wts. |
United Kingdom | 11,638 | 10,031 | |||||||||
Iron Spark I Inc., A |
United States | 5,353 | 52,995 | |||||||||
aKins Technology Group Inc., A, 12/31/25, wts. |
United States | 1,892 | 1,154 | |||||||||
aLandcadia Holdings IV Inc. |
United States | 4,686 | 46,579 | |||||||||
aNorthern Star Investment Corp. II, A, 1/31/28, wts. |
United States | 4,249 | 5,311 | |||||||||
a,bNovus Capital Corp. II, A |
United States | 19,008 | 184,188 | |||||||||
aNovus Capital Corp. II, A, 2/2/26, wts. |
United States | 6,336 | 6,209 | |||||||||
aOne Equity Partners Open Water I Corp., A |
United States | 2,269 | 21,998 | |||||||||
aOne Equity Partners Open Water I Corp., A, 1/14/26, wts. |
United States | 2,933 | 2,098 | |||||||||
bRepublic Services Inc., A |
United States | 38,905 | 4,829,278 | |||||||||
a,bStar Peak Corp. II, A |
United States | 29 | 289 | |||||||||
aStar Peak Corp. II, A, 12/24/25, wts. |
United States | 22,046 | 29,542 | |||||||||
aTech And Energy Transition Corp. |
United States | 8,501 | 84,202 | |||||||||
aTishman Speyer Innovation Corp. II |
United States | 1,534 | 15,095 | |||||||||
aTishman Speyer Innovation Corp. II, A |
United States | 509 | 4,973 | |||||||||
a,bTwelve Seas Investment Co. II, A |
United States | 15,317 | 148,269 | |||||||||
aTwelve Seas Investment Co. II, A, 3/2/28, wts. |
United States | 5,105 | 3,736 | |||||||||
|
|
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20,284,785 | ||||||||||||
|
|
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Communications Equipment 0.1% |
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Accton Technology Corp. |
Taiwan | 166,667 | 1,688,563 | |||||||||
Cisco Systems Inc. |
United States | 1,108 | 65,394 | |||||||||
Motorola Solutions Inc. |
United States | 177 | 43,227 | |||||||||
|
|
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1,797,184 | ||||||||||||
|
|
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Construction & Engineering 0.6% |
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aAECOM |
United States | 24,328 | 1,594,944 | |||||||||
aMastec Inc. |
United States | 31,458 | 2,876,520 | |||||||||
Quanta Services Inc. |
United States | 37,533 | 3,832,119 | |||||||||
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|
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8,303,583 | ||||||||||||
|
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Construction Materials 0.4% |
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aCemex SAB de CV, ADR |
Mexico | 213,433 | 1,750,151 | |||||||||
LafargeHolcim Ltd., B |
Switzerland | 69,827 | 3,978,851 | |||||||||
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|
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5,729,002 | ||||||||||||
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|
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Consumer Finance 0.0% |
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a,fKatapult Holdings Inc. |
United States | 4,979 | 24,123 |
3
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Shares/ Warrants/ Rights |
Value | ||||||||||
Common Stocks and Other Equity Interests (continued) |
|
|||||||||||
Consumer Finance (continued) |
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OneMain Holdings Inc., A |
United States | 1,061 | $ | 61,358 | ||||||||
|
|
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85,481 | ||||||||||||
|
|
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Containers & Packaging 0.8% |
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Ball Corp. |
United States | 115,464 | 11,079,925 | |||||||||
|
|
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Distributors 0.3% |
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Pool Corp. |
United States | 7,289 | 3,602,953 | |||||||||
|
|
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Diversified Consumer Services 0.0% |
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aMister Car Wash Inc. |
United States | 21,307 | 408,881 | |||||||||
|
|
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Diversified Financial Services 1.4% |
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a2MX Organic SA, 11/16/25, wts. |
France | 3,920 | 1,067 | |||||||||
aAdit EdTech Acquisition Corp., 12/31/27, wts. |
United States | 1,411 | 818 | |||||||||
aAEA-Bridges Impact Corp., 9/19/25, wts. |
Cayman Islands | 1,407 | 957 | |||||||||
aAEA-Bridges Impact Corp., A |
Cayman Islands | 28,592 | 279,058 | |||||||||
aAequi Acquisition Corp. |
United States | 1,470 | 14,516 | |||||||||
aAequi Acquisition Corp., A |
United States | 11,885 | 115,403 | |||||||||
aAfrican Gold Acquisition Corp., A |
United States | 6,518 | 63,094 | |||||||||
aAfrican Gold Acquisition Corp., A, 3/13/28, wts. |
United States | 4,888 | 2,346 | |||||||||
aAgile Growth Corp. |
United States | 3,910 | 38,787 | |||||||||
aAlkuri Global Acquisition Corp., A |
United States | 4,150 | 41,168 | |||||||||
aAlkuri Global Acquisition Corp., A, 1/1/28, wts. |
United States | 159 | 227 | |||||||||
a,bAltitude Acquisition Corp., A |
United States | 10,922 | 106,926 | |||||||||
aAltitude Acquisition Corp., A, 11/30/27, wts. |
United States | 24,529 | 14,963 | |||||||||
aAngel Pond Holdings Corp. |
United States | 7,260 | 71,148 | |||||||||
aApollo Strategic Growth Capital, A |
United States | 8,654 | 84,203 | |||||||||
aApollo Strategic Growth Capital II |
United States | 8,845 | 87,345 | |||||||||
aAres Acquisition Corp., 12/30/21, wts. |
United States | 1,934 | 1,856 | |||||||||
aAres Acquisition Corp., A |
United States | 13,000 | 126,230 | |||||||||
aAthena Technology Acquisition Corp., A, 3/31/28, wts. |
United States | 4,041 | 5,496 | |||||||||
aAthlon Acquisition Corp., A, 1/18/23, wts. |
United States | 4,234 | 2,920 | |||||||||
a,bAtlantic Avenue Acquisition Corp., A |
United States | 8,680 | 84,890 | |||||||||
aAtlantic Avenue Acquisition Corp., A, 10/6/27, wts. |
United States | 4,340 | 2,951 | |||||||||
a,bAtlantic Coastal Acquisition Corp., A |
United States | 16,329 | 158,065 | |||||||||
aAtlantic Coastal Acquisition Corp., A, 4/26/26, wts. |
United States | 5,443 | 5,824 | |||||||||
aAusterlitz Acquisition Corp. I, 2/19/26, wts. |
United States | 25,483 | 32,109 | |||||||||
aAusterlitz Acquisition Corp. I, 12/31/27, wts. |
United States | 3,158 | 3,067 | |||||||||
a,fAusterlitz Acquisition Corp. I, A |
United States | 27,264 | 270,186 | |||||||||
aAusterlitz Acquisition Corp. II, A |
United States | 33,691 | 326,129 | |||||||||
aAuthentic Equity Acquisition Corp. I, 1/20/28, wts. |
Cayman Islands | 9,239 | 6,837 | |||||||||
aBiotech Acquisition Co., 11/30/27, wts. |
United States | 4,353 | 2,677 | |||||||||
aBlue Whale Acquisition Corp. I |
United Arab Emirates | 12,847 | 138,105 | |||||||||
a,b,fBowX Acquisition Corp., A |
United States | 6,381 | 63,363 | |||||||||
aBowX Acquisition Corp., A, 8/7/27, wts. |
United States | 25,497 | 38,755 | |||||||||
aBridgetown Holdings Ltd., A |
Hong Kong | 3,261 | 31,990 | |||||||||
a,bBroadscale Acquisition Corp., A |
United States | 6,216 | 60,109 | |||||||||
aBroadscale Acquisition Corp., A, 2/2/26, wts. |
United States | 1,554 | 1,166 | |||||||||
aBroadstone Acquisition Corp., 9/15/28, wts. |
United States | 25,789 | 23,927 | |||||||||
aBurgundy Technology Acquisition Corp. |
United States | 8,583 | 84,886 | |||||||||
a,bCarney Technology Acquisition Corp. II, A |
United States | 12,636 | 122,822 | |||||||||
aCarney Technology Acquisition Corp. II, A, 11/30/27, wts. |
United States | 5,876 | 4,113 | |||||||||
aCBRE Acquisition Holdings Inc. |
United States | 4 | 41 | |||||||||
aCC Neuberger Principal Holdings II |
United States | 12,116 | 118,616 | |||||||||
aCC Neuberger Principal Holdings II, 7/29/25, wts. |
United States | 673 | 680 | |||||||||
aCC Neuberger Principal Holdings III |
United States | 558 | 5,524 | |||||||||
aCentricus Acquisition Corp., A, 2/8/28, wts. |
United States | 4,892 | 4,794 |
4
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Shares/ Warrants/ Rights |
Value | ||||||||||
Common Stocks and Other Equity Interests (continued) |
|
|||||||||||
Diversified Financial Services (continued) |
||||||||||||
aCF Acquisition Corp. V, A |
United States | 6,004 | $ | 58,839 | ||||||||
aCF Acquisition Corp. V, A, 1/25/26, wts. |
United States | 24,745 | 25,240 | |||||||||
a,bChurchill Capital Corp. V, A |
United States | 6,430 | 62,628 | |||||||||
aChurchill Capital Corp. VI |
United States | 1,080 | 10,800 | |||||||||
a,bChurchill Capital Corp. VII |
United States | 9,560 | 94,118 | |||||||||
aClarim Acquisition Corp., A |
United States | 50,724 | 492,023 | |||||||||
aClarim Acquisition Corp., A, 2/3/28, wts. |
United States | 16,908 | 9,975 | |||||||||
aClimate Real Impact Solutions II Acquisition Corp., A |
United States | 563 | 5,444 | |||||||||
aClimate Real Impact Solutions II Acquisition Corp., A, 12/31/27, wts. |
United States | 112 | 104 | |||||||||
a,bColicity Inc. |
United States | 37,960 | 372,008 | |||||||||
aColonnade Acquisition Corp. II, 12/31/27, wts. |
United States | 9,555 | 8,217 | |||||||||
aConcord Acquisition Corp., A, 11/28/25, wts. |
United States | 150 | 269 | |||||||||
aCorner Growth Acquisition Corp. |
United States | 17,211 | 172,971 | |||||||||
aCorner Growth Acquisition Corp., 1/2/28, wts. |
United States | 7,606 | 6,240 | |||||||||
aCorner Growth Acquisition Corp., A |
United States | 22,818 | 221,335 | |||||||||
aCorsair Partnering Corp. |
United States | 3,898 | 38,902 | |||||||||
a,bCrucible Acquisition Corp. |
United States | 4,437 | 44,281 | |||||||||
aCrystal Peak Acquisition |
Netherlands | 6,767 | 64,422 | |||||||||
aCrystal Peak Acquisition, 6/22/26, wts. |
Netherlands | 2,725 | 1,117 | |||||||||
a,bDecarbonization Plus Acquisition Corp. II, A |
United States | 7,711 | 76,030 | |||||||||
aDecarbonization Plus Acquisition Corp. II, A, 1/19/26, wts. |
United States | 1,009 | 1,140 | |||||||||
aDecarbonization Plus Acquisition Corp. III |
United States | 2 | 21 | |||||||||
a,bDecarbonization Plus Acquisition Corp. III, A |
United States | 1,794 | 17,796 | |||||||||
aDecarbonization Plus Acquisition Corp. III, A, 2/12/23, wts. |
United States | 26,925 | 37,964 | |||||||||
aDHC Acquisition Corp., 12/31/27, wts. |
United States | 2,088 | 1,420 | |||||||||
aDHC Acquisition Corp., A |
United States | 6,265 | 60,395 | |||||||||
aDisruptive Acquisition Corp. I |
United States | 6,844 | 67,824 | |||||||||
aDragoneer Growth Opportunities Corp. II, A |
United States | 1,335 | 13,217 | |||||||||
aDragoneer Growth Opportunities Corp. III, A |
United States | 20,225 | 198,003 | |||||||||
a,bECP Environmental Growth Opportunities Corp. |
United States | 10,712 | 107,227 | |||||||||
aECP Environmental Growth Opportunities Corp., A, 2/11/28, wts. |
United States | 462 | 402 | |||||||||
aElliott Opportunity II Corp. |
United States | 4,526 | 45,034 | |||||||||
aEnergy Transition Partners BV |
Netherlands | 3,372 | 38,804 | |||||||||
aEnergy Transition Partners BV, 7/16/26, wts. |
Netherlands | 1,124 | 410 | |||||||||
aESM Acquisition Corp. |
United States | 8,367 | 82,708 | |||||||||
aEuropean Biotech Acquisition Corp. |
Netherlands | 1,230 | 12,202 | |||||||||
aFar Peak Acquisition Corp. |
United States | 26,072 | 258,634 | |||||||||
aFar Peak Acquisition Corp., 12/7/25, wts. |
United States | 5,206 | 9,058 | |||||||||
a,bFast Acquisition Corp. II |
United States | 14,427 | 143,044 | |||||||||
aFigure Acquisition Corp. I, A |
United States | 1,393 | 13,665 | |||||||||
aFigure Acquisition Corp. I, A, 12/31/27, wts. |
United States | 1,176 | 1,188 | |||||||||
a,bFintech Acquisition Corp. VI |
United States | 39,608 | 394,100 | |||||||||
aFintech Evolution Acquisition Group |
United States | 17,597 | 173,506 | |||||||||
a,fFirst Reserve Sustainable Growth Corp., A |
United States | 32,362 | 317,471 | |||||||||
aFirst Reserve Sustainable Growth Corp., A, 4/26/26, wts. |
United States | 8,090 | 5,096 | |||||||||
aForesight Acquisition Corp., A, 1/31/27, wts. |
United States | 1,814 | 1,995 | |||||||||
aFortress Capital Acquisition Corp., 1/4/28, wts. |
United States | 1,961 | 1,745 | |||||||||
aFortress Capital Acquisition Corp., A |
United States | 9,805 | 95,109 | |||||||||
a,bFortress Value Acquisition Corp. III, A |
United States | 10,335 | 100,353 | |||||||||
a,bFortress Value Acquisition Corp. IV |
United States | 8,256 | 81,074 | |||||||||
aForum Merger IV Corp. |
United States | 2,892 | 28,833 | |||||||||
aFreedom Acquisition I Corp., A |
United States | 1,955 | 19,003 | |||||||||
a,bFS Development Corp. II, A |
United States | 2,114 | 20,907 | |||||||||
aFTAC Athena Acquisition Corp., A |
United States | 28,460 | 280,616 | |||||||||
aFTAC Athena Acquisition Corp., A, 3/1/26, wts. |
United States | 7,115 | 7,613 |
5
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Shares/ Warrants/ Rights |
Value | ||||||||||
Common Stocks and Other Equity Interests (continued) |
|
|||||||||||
Diversified Financial Services (continued) |
||||||||||||
aFTAC Hera Acquisition Corp., 2/28/26, wts. |
United States | 8,945 | $ | 8,945 | ||||||||
aFTAC Hera Acquisition Corp., A |
United States | 41,936 | 408,456 | |||||||||
a,bFTAC Parnassus Acquisition Corp., A |
United States | 49,016 | 474,965 | |||||||||
aFTAC Parnassus Acquisition Corp., A, 3/10/26, wts. |
United States | 12,254 | 12,010 | |||||||||
a,bFusion Acquisition Corp. II |
United States | 12,633 | 124,309 | |||||||||
aFusion Acquisition Corp. II, A |
United States | 3,259 | 31,449 | |||||||||
aFusion Acquisition Corp. II, A, 12/31/27, wts. |
United States | 1,086 | 749 | |||||||||
aG Squared Ascend I Inc. |
United States | 5,572 | 55,163 | |||||||||
aG Squared Ascend I Inc., A, 12/31/27, wts. |
United States | 2,639 | 2,428 | |||||||||
aGalileo Acquisition Corp., 10/31/26, wts. |
United States | 18,558 | 19,486 | |||||||||
aGlenfarne Merger Corp. |
United States | 1,231 | 12,076 | |||||||||
aGlobal Partner Acquisition Corp II, 12/31/27, wts. |
United States | 2,950 | 2,949 | |||||||||
aGlobal Partner Acquisition Corp. II, A |
United States | 17,700 | 172,575 | |||||||||
aGores Holdings VII Inc. |
United States | 38,284 | 381,309 | |||||||||
a,bGores Holdings VIII Inc. |
United States | 8,934 | 88,536 | |||||||||
aGroup Nine Acquisition Corp., A |
United States | 22,173 | 213,304 | |||||||||
aGroup Nine Acquisition Corp., A, 1/14/26, wts. |
United States | 7,391 | 5,395 | |||||||||
a,bHealthcare Services Acquisition Corp., A |
United States | 3,074 | 29,818 | |||||||||
aHealthcare Services Acquisition Corp., A, 1/4/28, wts. |
United States | 4,019 | 2,452 | |||||||||
aHealthCor Catalio Acquisition Corp., A |
United States | 4,875 | 48,311 | |||||||||
aHorizon Acquisition Corp., A |
United States | 6,416 | 63,711 | |||||||||
aHorizon Acquisition Corp., A, 8/19/25, wts. |
United States | 5,608 | 8,132 | |||||||||
aInvestindustrial Acquisition Corp., 10/30/27, wts. |
United States | 2,150 | 2,623 | |||||||||
aION Acquisition Corp II Ltd., 2/17/28, wts. |
Israel | 69 | 74 | |||||||||
aION Acquisition Corp. 2 Ltd, A |
Israel | 555 | 5,467 | |||||||||
aION Acquisition Corp. 3 Ltd, A |
Israel | 2,698 | 26,090 | |||||||||
aIvanhoe Capital Acquisition Corp., A, 12/31/27, wts. |
United States | 5,954 | 6,073 | |||||||||
aJack Creek Investment Corp., 10/1/25, wts. |
United States | 5,880 | 3,881 | |||||||||
aJaws Mustang Acquisition Corp. |
United States | 6,135 | 61,166 | |||||||||
aJaws Mustang Acquisition Corp., 1/30/27, wts. |
United States | 1,965 | 1,965 | |||||||||
aJaws Mustang Acquisition Corp., A |
United States | 7,860 | 76,399 | |||||||||
aJaws Spitfire Acquisition Corp., 12/1/25, wts. |
United States | 34,666 | 36,746 | |||||||||
aJoff Fintech Acquisition Corp., A |
United States | 5,277 | 51,081 | |||||||||
aJoff Fintech Acquisition Corp., A, 2/4/28, wts. |
United States | 1,759 | 1,187 | |||||||||
aKairos Acquisition Corp., 12/31/27, wts. |
Cayman Islands | 4,433 | 2,780 | |||||||||
a,b,fKensington Capital Acquisition Corp. II, A |
United States | 13,309 | 132,025 | |||||||||
aKensington Capital Acquisition Corp. II, A, 12/31/28, wts. |
United States | 10,297 | 9,061 | |||||||||
a,bKhosla Ventures Acquisition Co., A |
United States | 34,826 | 343,732 | |||||||||
a,bKhosla Ventures Acquisition Co. III, A |
United States | 17,594 | 171,014 | |||||||||
a,bKKR Acquisition Holdings I Corp. |
United States | 10,052 | 99,615 | |||||||||
aL Catterton Asia Acquisition Corp. |
Singapore | 2,279 | 22,482 | |||||||||
aLakestar SPAC I SE |
Luxembourg | 1,899 | 21,952 | |||||||||
aLakestar SPAC I SE, 12/31/25, wts. |
Luxembourg | 716 | 651 | |||||||||
aLazard Growth Acquisition Corp. I |
United States | 4,240 | 41,679 | |||||||||
aLDH Growth Corp. I |
United States | 615 | 6,076 | |||||||||
aLead Edge Growth Opportunities Ltd. |
United States | 4,701 | 46,634 | |||||||||
aLeo Holdings III Corp., 3/2/28, wts. |
United States | 260 | 188 | |||||||||
aLeo Holdings III Corp., A |
United States | 1,303 | 12,861 | |||||||||
aLerer Hippeau Acquisition Corp., A |
United States | 20,644 | 199,937 | |||||||||
a,bLive Oak Acquisition Corp. II, A |
United States | 10,381 | 103,499 | |||||||||
aLive Oak Acquisition Corp. II, A, 12/7/27, wts. |
United States | 4,626 | 6,106 | |||||||||
aLive Oak Mobility Acquisition Corp., A |
United States | 3,947 | 38,484 | |||||||||
a,bLongview Acquisition Corp. II, A |
United States | 14,811 | 146,185 | |||||||||
aLongview Acquisition Corp. II, A, 5/10/26, wts. |
United States | 9,978 | 12,373 | |||||||||
aMarlin Technology Corp., 3/5/26, wts. |
United States | 3,305 | 2,644 | |||||||||
aMarlin Technology Corp., A |
United States | 9,915 | 96,374 |
6
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Shares/ Warrants/ Rights |
Value | ||||||||||
Common Stocks and Other Equity Interests (continued) |
|
|||||||||||
Diversified Financial Services (continued) |
||||||||||||
aMarquee Raine Acquisition Corp., A, 12/1/25, wts. |
Cayman Islands | 7,939 | $ | 5,559 | ||||||||
aMDH Acquisition Corp., A |
United States | 4,587 | 44,998 | |||||||||
aMDH Acquisition Corp., A, 2/2/28, wts. |
United States | 2,293 | 1,261 | |||||||||
aMotive Capital Corp., 12/9/25, wts. |
United States | 3,179 | 2,384 | |||||||||
aMotive Capital Corp., A |
United States | 17,457 | 169,857 | |||||||||
aThe Music Acquisition Corp., A |
United States | 5,363 | 51,860 | |||||||||
aThe Music Acquisition Corp., A, 2/5/28, wts. |
United States | 2,681 | 1,904 | |||||||||
aNextGen Acquisition Corp. II, A, 3/31/27, wts. |
United States | 3,287 | 4,635 | |||||||||
aNightdragon Acquisition Corp. |
United States | 21,996 | 216,881 | |||||||||
aNightdragon Acquisition Corp., A |
United States | 1,253 | 12,192 | |||||||||
aNorth Atlantic Acquisition Corp., 10/20/25, wts. |
United States | 2,165 | 1,624 | |||||||||
aNorth Atlantic Acquisition Corp., A |
United States | 6,495 | 63,131 | |||||||||
aNorthern Genesis Acquisition Corp. II, 12/31/27, wts. |
United States | 1,040 | 952 | |||||||||
aOaktree Acquisition Corp. II, 9/15/27, wts. |
United States | 4,143 | 3,791 | |||||||||
aOaktree Acquisition Corp. II, A |
United States | 17,512 | 171,968 | |||||||||
aObotech Acquisition SE, A |
Luxembourg | 4,205 | 47,863 | |||||||||
aObotech Acquisition SE, A, 4/30/26, wts. |
Luxembourg | 1,401 | 1,323 | |||||||||
aOrion Biotech Opportunities Corp. |
United States | 16,960 | 168,582 | |||||||||
aPathfinder Acquisition Corp. |
United States | 35,815 | 355,643 | |||||||||
aPathfinder Acquisition Corp., A |
United States | 3,257 | 32,081 | |||||||||
aPegasus Acquisition Co. Europe BV |
Netherlands | 118,076 | 1,383,028 | |||||||||
aPegasus Acquisition Co. Europe BV, A |
Netherlands | 1,736 | 19,965 | |||||||||
aPegasus Acquisition Co. Europe BV, A, 4/27/26, wts. |
Netherlands | 579 | 485 | |||||||||
aPeridot Acquisition Corp. II |
United States | 2,506 | 24,559 | |||||||||
a,bPeriphas Capital Partnering Corp., A |
United States | 10,736 | 259,274 | |||||||||
aPeriphas Capital Partnering Corp., A, 12/10/28, wts. |
United States | 50 | 75 | |||||||||
aPershing Square Tontine Holdings Ltd., A |
United States | 3,103 | 61,222 | |||||||||
aPioneer Merger Corp., A |
United States | 2,043 | 20,205 | |||||||||
aPioneer Merger Corp., A, 12/31/27, wts. |
United States | 3,494 | 3,459 | |||||||||
aPMV Consumer Acquisition Corp., A, 8/31/27, wts. |
United States | 2,466 | 1,553 | |||||||||
aPoema Global Holdings Corp., 1/8/26, wts. |
United States | 4,433 | 3,245 | |||||||||
aPoema Global Holdings Corp., A |
United States | 8,866 | 85,646 | |||||||||
aPontem Corp., 1/5/26, wts. |
United States | 5,482 | 4,106 | |||||||||
aPontem Corp., A |
United States | 16,446 | 159,526 | |||||||||
aPopulation Health Investment Co. Inc., A |
United States | 1,144 | 11,177 | |||||||||
a,bPost Holdings Partnering Corp., A |
United States | 12,717 | 122,719 | |||||||||
aPost Holdings Partnering Corp., A, 4/12/26, wts. |
United States | 2,729 | 3,138 | |||||||||
aPower & Digital Infrastructure Acquisition Corp., A |
United States | 5,532 | 56,150 | |||||||||
aPower & Digital Infrastructure Acquisition Corp., A, 2/12/28, wts. |
United States | 1,383 | 2,807 | |||||||||
aPowered Brands, A |
United States | 3,648 | 35,568 | |||||||||
aPrimavera Capital Acquisition Corp., 1/19/26, wts. |
Hong Kong | 1,524 | 930 | |||||||||
aPrimavera Capital Acquisition Corp., A |
Hong Kong | 3,048 | 29,413 | |||||||||
aPWP Forward Acquisition Corp. I |
United States | 6,157 | 60,585 | |||||||||
aPWP Forward Acquisition Corp. I, A, 3/9/26, wts. |
United States | 2,959 | 2,574 | |||||||||
aRedBall Acquisition Corp. |
United States | 8,172 | 79,922 | |||||||||
aReinvent Technology Partners, 12/31/28, wts. |
United States | 24,735 | 30,919 | |||||||||
a,fReinvent Technology Partners, A |
United States | 17,710 | 174,444 | |||||||||
aRice Acquisition Corp. II |
United States | 13,176 | 134,132 | |||||||||
aRMG Acquisition Corp. III |
United States | 2,786 | 27,442 | |||||||||
aRMG Acquisition Corp. III, 12/31/27, wts. |
United States | 4,311 | 3,880 | |||||||||
aRMG Acquisition Corp. III, A |
United States | 21,555 | 208,006 | |||||||||
aRosecliff Acquisition Corp. I |
United States | 59,628 | 590,317 | |||||||||
a,bRXR Acquisition Corp. |
United States | 9,640 | 95,436 | |||||||||
aSarissa Capital Acquisition Corp., A |
United States | 13,243 | 129,384 | |||||||||
a,bScience Strategic Acquisition Corp. Alpha |
United States | 5,442 | 53,876 | |||||||||
aScION Tech Growth I, 11/1/25, wts. |
United Kingdom | 1,102 | 818 |
7
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Shares/ Warrants/ Rights |
Value | ||||||||||
Common Stocks and Other Equity Interests (continued) |
|
|||||||||||
Diversified Financial Services (continued) |
||||||||||||
aScION Tech Growth I, A |
United Kingdom | 3,306 | $ | 32,167 | ||||||||
aScION Tech Growth II |
United Kingdom | 2,073 | 20,523 | |||||||||
aSCP & Co. Healthcare Acquisition Co., A, 1/31/28, wts. |
United States | 5,434 | 3,506 | |||||||||
aSilver Crest Acquisition Corp., 12/15/25, wts. |
United States | 1,465 | 776 | |||||||||
aSilver Crest Acquisition Corp., A |
United States | 2,931 | 28,753 | |||||||||
aSlam Corp. |
United States | 5,816 | 57,171 | |||||||||
aSlam Corp., A, 12/31/27, wts. |
United States | 6,474 | 4,589 | |||||||||
a,fSoaring Eagle Acquisition Corp., A |
United States | 19,990 | 199,300 | |||||||||
aSocial Capital Hedosophia Holdings Corp., A |
United States | 14,167 | 140,537 | |||||||||
a,fSocial Capital Hedosophia Holdings Corp. VI, A |
United States | 45,111 | 444,343 | |||||||||
aSocial Leverage Acquisition Corp. I |
United States | 13,866 | 136,441 | |||||||||
a,bSocial Leverage Acquisition Corp. I, A |
United States | 3,470 | 33,520 | |||||||||
aSpartacus Acquisition Corp., A, 10/31/27, wts. |
United States | 17,254 | 27,261 | |||||||||
a,bSpartan Acquisition Corp. III, A |
United States | 32,665 | 323,384 | |||||||||
aSpartan Acquisition Corp. III, A, 3/4/28, wts. |
United States | 4,089 | 4,171 | |||||||||
aStoneBridge Acquisition Corp. |
United States | 3,244 | 32,213 | |||||||||
aSupernova Partners Acquisition Co. II Ltd., 12/31/27, wts. |
United States | 2,026 | 1,783 | |||||||||
aSupernova Partners Acquisition Co. II Ltd., A |
United States | 8,105 | 78,497 | |||||||||
aSupernova Partners Acquisition Co. III Ltd. |
United States | 8,623 | 84,721 | |||||||||
aSupernova Partners Acquisition Co. Inc., A, 10/16/25, wts. |
United States | 10,253 | 11,791 | |||||||||
aSustainable Development Acquisition I Corp. |
United States | 8,363 | 83,546 | |||||||||
aSVF Investment Corp., A |
United States | 16,643 | 161,770 | |||||||||
aSVF Investment Corp. 2, A |
United States | 10,063 | 98,115 | |||||||||
aSVF Investment Corp. 3, A |
United States | 10,062 | 98,004 | |||||||||
aTailwind Acquisition Corp., A, 9/7/27, wts. |
United States | 11,194 | 5,821 | |||||||||
aTB SA Acquisition Corp. |
Cayman Islands | 22,005 | 217,850 | |||||||||
aTCV Acquisition Corp., A |
United States | 1,698 | 16,522 | |||||||||
aTCW Special Purpose Acquisition Corp., A |
United States | 6,265 | 60,896 | |||||||||
aTCW Special Purpose Acquisition Corp., A, 12/31/28, wts. |
United States | 2,088 | 1,564 | |||||||||
aTekkorp Digital Acquisition Corp., 9/29/27, wts. |
United States | 1,328 | 1,248 | |||||||||
aThimble Point Acquisition Corp., A, 2/4/26, wts. |
United States | 18,602 | 14,510 | |||||||||
aTLG Acquisition One Corp., A |
United States | 9,876 | 97,476 | |||||||||
aTLG Acquisition One Corp., A, 1/25/28, wts. |
United States | 3,292 | 2,140 | |||||||||
aTPG Pace Beneficial II Corp., A |
United States | 17,023 | 165,549 | |||||||||
aTPG Pace Solutions Corp. |
United States | 8,045 | 80,048 | |||||||||
aTrebia Acquisition Corp., A, 12/31/25, wts. |
Cayman Islands | 17,611 | 22,630 | |||||||||
aTwin Ridge Capital Acquisition Corp., 3/7/28, wts. |
United States | 2,503 | 1,665 | |||||||||
aTwin Ridge Capital Acquisition Corp., A |
United States | 7,511 | 72,932 | |||||||||
atwo, A |
United States | 9,851 | 95,850 | |||||||||
aValor Latitude Acquisition Corp. |
United States | 16,723 | 165,306 | |||||||||
aVector Acquisition Corp. II, A |
United States | 8,707 | 85,067 | |||||||||
aVelocity Acquisition Corp., A |
United States | 6,445 | 63,225 | |||||||||
aVirgin Group Acquisition Corp. II |
United States | 10,835 | 106,941 | |||||||||
aVirtuoso Acquisition Corp., A, 1/31/28, wts. |
United States | 34,309 | 37,740 | |||||||||
aViveon Health Acquisition Corp. |
United States | 22,809 | 4,562 | |||||||||
aViveon Health Acquisition Corp., 12/31/27, wts. |
United States | 22,809 | 5,510 | |||||||||
aVPC Impact Acquisition Holdings II Inc., 3/5/26, wts. |
United States | 1,300 | 1,378 | |||||||||
aVPC Impact Acquisition Holdings II Inc., A |
United States | 6,544 | 64,393 | |||||||||
a,bVPC Impact Acquisition Holdings III Inc., A |
United States | 10,252 | 101,393 | |||||||||
aVPC Impact Acquisition Holdings III Inc., A, 12/31/27, wts. |
United States | 4,604 | 7,136 | |||||||||
aWaldencast Acquisition Corp. |
United States | 279 | 2,854 | |||||||||
aZimmer Energy Transition Acquisition Corp. |
United States | 7,144 | 72,083 | |||||||||
|
|
|||||||||||
19,927,971 | ||||||||||||
|
|
|||||||||||
Diversified Telecommunication Services 0.3% |
||||||||||||
aBT Group PLC, A |
United Kingdom | 34,679 | 81,066 | |||||||||
aORBCOMM Inc. |
United States | 296,002 | 3,401,063 |
8
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Shares/ Warrants/ Rights |
Value | ||||||||||
Common Stocks and Other Equity Interests (continued) |
|
|||||||||||
Diversified Telecommunication Services (continued) |
||||||||||||
Verizon Communications Inc. |
United States | 1,077 | $ | 59,235 | ||||||||
|
|
|||||||||||
3,541,364 | ||||||||||||
|
|
|||||||||||
Electric Utilities 1.1% |
||||||||||||
Duke Energy Corp. |
United States | 2,117 | 221,565 | |||||||||
Edison International |
United States | 30,076 | 1,739,596 | |||||||||
aEnergy Harbor Corp. |
United States | 43,817 | 1,621,229 | |||||||||
Exelon Corp. |
United States | 124,440 | 6,100,049 | |||||||||
bFirstEnergy Corp. |
United States | 32,457 | 1,261,604 | |||||||||
aPG&E Corp. |
United States | 439,972 | 4,034,543 | |||||||||
aReNew Energy Global PLC, 12/27/25, wts. |
United Kingdom | 1,928 | 2,506 | |||||||||
The Southern Co. |
United States | 947 | 62,246 | |||||||||
|
|
|||||||||||
15,043,338 | ||||||||||||
|
|
|||||||||||
Electrical Equipment 0.4% |
||||||||||||
aArray Technologies Inc. |
United States | 104,770 | 1,997,964 | |||||||||
aChargepoint Holdings Inc. |
United States | 36,705 | 776,311 | |||||||||
aGenerac Holdings Inc. |
United States | 5,197 | 2,270,985 | |||||||||
Graftech International Ltd. |
United States | 42,284 | 468,084 | |||||||||
|
|
|||||||||||
5,513,344 | ||||||||||||
|
|
|||||||||||
Electronic Equipment, Instruments & Components 0.3% |
|
|||||||||||
aCoherent Inc. |
United States | 3,675 | 928,562 | |||||||||
Hollysys Automation Technologies Ltd. |
China | 123,933 | 2,435,284 | |||||||||
a,fII-VI Inc. |
United States | 15,992 | 1,007,176 | |||||||||
|
|
|||||||||||
4,371,022 | ||||||||||||
|
|
|||||||||||
Entertainment 0.1% |
||||||||||||
Activision Blizzard Inc. |
United States | 747 | 61,530 | |||||||||
aBilibili Inc., Z |
China | 126 | 10,038 | |||||||||
aPlaystudios Inc., A, 6/17/26, wts. |
United States | 245 | 204 | |||||||||
aSciPlay Corp., A |
United States | 52,963 | 990,938 | |||||||||
|
|
|||||||||||
1,062,710 | ||||||||||||
|
|
|||||||||||
Equity Real Estate Investment Trusts (REITs) 0.1% |
||||||||||||
cAmerican Tower Corp. |
United States | 219 | 63,985 | |||||||||
Gaming and Leisure Properties Inc. |
United States | 707 | 34,855 | |||||||||
c,fIron Mountain Inc. |
United States | 1,368 | 65,322 | |||||||||
OMEGA Healthcare Investors Inc. |
United States | 1,907 | 63,942 | |||||||||
Public Storage |
United States | 126 | 40,775 | |||||||||
bQts Realty Trust Inc., A |
United States | 5,889 | 459,224 | |||||||||
VICI Properties Inc. |
United States | 17,645 | 545,407 | |||||||||
|
|
|||||||||||
1,273,510 | ||||||||||||
|
|
|||||||||||
Food & Staples Retailing 0.4% |
||||||||||||
bCostco Wholesale Corp. |
United States | 13,056 | 5,946,878 | |||||||||
Walmart Inc. |
United States | 1,192 | 176,535 | |||||||||
|
|
|||||||||||
6,123,413 | ||||||||||||
|
|
|||||||||||
Food Products 0.5% |
||||||||||||
Nestle SA |
Switzerland | 36,068 | 4,554,986 | |||||||||
aPilgrims Pride Corp. |
United States | 62,256 | 1,733,207 | |||||||||
Tyson Foods Inc., A |
United States | 795 | 62,424 | |||||||||
|
|
|||||||||||
6,350,617 | ||||||||||||
|
|
|||||||||||
Gas Utilities 0.1% |
||||||||||||
Hong Kong & China Gas Co. Ltd. |
Hong Kong | 541,396 | 870,435 | |||||||||
|
|
|||||||||||
Health Care Equipment & Supplies 1.7% |
||||||||||||
Abbott Laboratories |
United States | 501 | 63,311 | |||||||||
aAlign Technology Inc. |
United States | 2,729 | 1,934,861 | |||||||||
a,fAxonics Inc. |
United States | 6,496 | 487,070 |
9
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Shares/ Warrants/ Rights |
Value | ||||||||||
Common Stocks and Other Equity Interests (continued) |
|
|||||||||||
Health Care Equipment & Supplies (continued) |
||||||||||||
bThe Cooper Cos. Inc. |
United States | 1,811 | $ | 816,236 | ||||||||
Danaher Corp., W |
United States | 26,903 | 8,720,877 | |||||||||
a,bDexCom Inc. |
United States | 5,311 | 2,811,750 | |||||||||
Hill-Rom Holdings Inc. |
United States | 3,137 | 456,684 | |||||||||
aHologic Inc. |
United States | 12,469 | 986,921 | |||||||||
aInari Medical Inc. |
United States | 1,937 | 158,563 | |||||||||
aIntuitive Surgical Inc. |
United States | 1,575 | 1,659,357 | |||||||||
aLivaNova PLC |
United States | 6,307 | 521,526 | |||||||||
aNevro Corp. |
United States | 3,767 | 459,574 | |||||||||
aNuVasive Inc. |
United States | 8,385 | 521,044 | |||||||||
a,fOutset Medical Inc. |
United States | 7,691 | 379,089 | |||||||||
aShockwave Medical Inc. |
United States | 6,117 | 1,310,323 | |||||||||
aSight Sciences Inc. |
United States | 872 | 24,756 | |||||||||
a,fSmileDirectClub Inc., A |
United States | 8,115 | 44,632 | |||||||||
aTandem Diabetes Care Inc. |
United States | 6,070 | 680,872 | |||||||||
aTreace Medical Concepts Inc. |
United States | 2,347 | 59,262 | |||||||||
Zimmer Biomet Holdings Inc. |
United States | 4,818 | 724,868 | |||||||||
|
|
|||||||||||
22,821,576 | ||||||||||||
|
|
|||||||||||
Health Care Providers & Services 1.3% |
||||||||||||
aAccolade Inc. |
United States | 6,507 | 308,302 | |||||||||
a,fAgilon Health Inc. |
United States | 9,169 | 320,915 | |||||||||
Anthem Inc. |
United States | 27 | 10,128 | |||||||||
bCVS Health Corp. |
United States | 32,003 | 2,764,739 | |||||||||
a,bGuardant Health Inc. |
United States | 9,043 | 1,150,902 | |||||||||
Humana Inc. |
United States | 10,122 | 4,103,661 | |||||||||
aInnovage Holding Corp. |
United States | 10,554 | 158,627 | |||||||||
aNew Frontier Health Corp. |
Hong Kong | 160,873 | 1,808,212 | |||||||||
Quest Diagnostics Inc. |
United States | 414 | 63,272 | |||||||||
a,fTalkspace Inc. |
United States | 30,219 | 158,650 | |||||||||
UnitedHealth Group Inc. |
United States | 16,417 | 6,833,905 | |||||||||
|
|
|||||||||||
17,681,313 | ||||||||||||
|
|
|||||||||||
Health Care Technology 0.3% |
||||||||||||
aInovalon Holdings Inc., A |
United States | 68,797 | 2,810,358 | |||||||||
aPhreesia Inc. |
United States | 12,944 | 926,143 | |||||||||
aTeladoc Health Inc. |
United States | 5,569 | 804,275 | |||||||||
|
|
|||||||||||
4,540,776 | ||||||||||||
|
|
|||||||||||
Hotels, Restaurants & Leisure 1.2% |
||||||||||||
aAirbnb Inc., A |
United States | 8,869 | 1,374,606 | |||||||||
a,fCarnival Corp. |
United States | 1,409 | 34,013 | |||||||||
aCarnival PLC |
United States | 23,908 | 518,042 | |||||||||
aChipotle Mexican Grill Inc., A |
United States | 1,848 | 3,517,354 | |||||||||
aCrown Resorts Ltd. |
Australia | 163,211 | 1,107,016 | |||||||||
Dominos Pizza Inc. |
United States | 5,612 | 2,900,787 | |||||||||
aGreat Canadian Gaming Corp. |
Canada | 166,910 | 5,827,595 | |||||||||
McDonalds Corp. |
United States | 1,090 | 258,831 | |||||||||
a,fNorwegian Cruise Line Holdings Ltd. |
United States | 1,314 | 33,954 | |||||||||
aRoyal Caribbean Cruises Ltd. |
United States | 896 | 74,126 | |||||||||
Starbucks Corp. |
United States | 1,624 | 190,804 | |||||||||
aTrip.Com Group Ltd. |
China | 324 | 9,686 | |||||||||
aWynn Resorts Ltd. |
United States | 604 | 61,421 | |||||||||
Yum China Holdings Inc. |
China | 155 | 9,542 | |||||||||
|
|
|||||||||||
15,917,777 | ||||||||||||
|
|
|||||||||||
Household Products 0.0% |
||||||||||||
cThe Procter & Gamble Co. |
United States | 1,827 | 260,147 | |||||||||
|
|
10
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Shares/ Warrants/ Rights |
Value | ||||||||||
Common Stocks and Other Equity Interests (continued) |
|
|||||||||||
Independent Power & Renewable Electricity Producers 1.1% |
|
|||||||||||
The AES Corp. |
United States | 290,602 | $ | 6,936,670 | ||||||||
cClearway Energy Inc., C |
United States | 49,002 | 1,538,173 | |||||||||
NextEra Energy Partners LP |
United States | 37,944 | 3,032,864 | |||||||||
aSunnova Energy International Inc. |
United States | 76,684 | 2,775,961 | |||||||||
Vistra Corp. |
United States | 48,251 | 921,111 | |||||||||
|
|
|||||||||||
15,204,779 | ||||||||||||
|
|
|||||||||||
Industrial Conglomerates 0.1% |
||||||||||||
Smiths Group PLC |
United Kingdom | 17,888 | 355,024 | |||||||||
Toshiba Corp. |
Japan | 9,747 | 422,774 | |||||||||
|
|
|||||||||||
777,798 | ||||||||||||
|
|
|||||||||||
Insurance 1.0% |
||||||||||||
American National Group Inc. |
United States | 2,414 | 464,695 | |||||||||
aAthene Holding Ltd., A |
United States | 79,395 | 5,317,083 | |||||||||
Fidelity National Financial Inc. |
United States | 1,367 | 66,751 | |||||||||
aTrupanion Inc. |
United States | 15,562 | 1,425,168 | |||||||||
a,cWillis Towers Watson PLC |
United States | 31,328 | 6,914,716 | |||||||||
|
|
|||||||||||
14,188,413 | ||||||||||||
|
|
|||||||||||
Interactive Media & Services 1.9% |
||||||||||||
a,bAlphabet Inc., A |
United States | 2,354 | 6,812,358 | |||||||||
a,bAlphabet Inc., C |
United States | 833 | 2,423,397 | |||||||||
aCarGurus Inc., A |
United States | 3,300 | 100,254 | |||||||||
a,bFacebook Inc., A |
United States | 15,962 | 6,055,663 | |||||||||
a,dKuaishou Technology, B, 144A |
China | 1,000 | 10,911 | |||||||||
aMatch Group Inc. |
United States | 27,927 | 3,838,287 | |||||||||
a,bSnap Inc., A |
United States | 42,574 | 3,240,307 | |||||||||
Tencent Holdings Ltd. |
China | 56,572 | 3,494,046 | |||||||||
|
|
|||||||||||
25,975,223 | ||||||||||||
|
|
|||||||||||
Internet & Direct Marketing Retail 1.2% |
||||||||||||
a,bAlibaba Group Holding Ltd., ADR |
China | 22,706 | 3,728,143 | |||||||||
aAmazon.com Inc. |
United States | 1,482 | 5,143,711 | |||||||||
aBooking Holdings Inc. |
United States | 50 | 114,984 | |||||||||
a,fCoupang Inc., A |
South Korea | 29,896 | 895,684 | |||||||||
a,dDeliveroo PLC, A, 144A |
United Kingdom | 144,586 | 693,426 | |||||||||
beBay Inc. |
United States | 38,325 | 2,941,060 | |||||||||
aJD.Com Inc., A |
China | 259 | 10,179 | |||||||||
a,dMeituan, B, 144A |
China | 400 | 12,790 | |||||||||
aMercadoLibre Inc. |
Argentina | 107 | 199,817 | |||||||||
aPinduoduo Inc., ADR |
China | 115 | 11,502 | |||||||||
a,cStamps.Com Inc. |
United States | 10,669 | 3,509,034 | |||||||||
|
|
|||||||||||
17,260,330 | ||||||||||||
|
|
|||||||||||
Internet Software & Services 0.4% |
||||||||||||
aCornerstone OnDemand Inc. |
United States | 78,568 | 4,501,946 | |||||||||
aZillow Group Inc., A |
United States | 7,634 | 729,811 | |||||||||
|
|
|||||||||||
5,231,757 | ||||||||||||
|
|
|||||||||||
IT Services 2.6% |
||||||||||||
cAccenture PLC, A |
United States | 194 | 65,293 | |||||||||
aAfterpay Ltd. |
Australia | 6,334 | 616,105 | |||||||||
Genpact Ltd. |
United States | 47,360 | 2,457,037 | |||||||||
bGlobal Payments Inc. |
United States | 25,853 | 4,204,732 | |||||||||
International Business Machines Corp. |
United States | 2,072 | 290,784 | |||||||||
bMasterCard Inc., A |
United States | 14,591 | 5,051,842 | |||||||||
aMongoDB Inc., A |
United States | 5,173 | 2,026,937 | |||||||||
aNuvei Corp. |
Canada | 30,748 | 3,904,996 | |||||||||
a,bPaya Holdings Inc. |
United States | 6,432 | 62,069 |
11
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Shares/ Warrants/ Rights |
Value | ||||||||||
Common Stocks and Other Equity Interests (continued) |
|
|||||||||||
IT Services (continued) |
||||||||||||
a,bPayPal Holdings Inc. |
United States | 34,218 | $ | 9,877,367 | ||||||||
a,fRepay Holdings Corp., A |
United States | 28,966 | 666,508 | |||||||||
aShopify Inc., A |
Canada | 1,326 | 2,021,858 | |||||||||
aStoneCo. Ltd. |
Brazil | 37,357 | 1,738,595 | |||||||||
aTwilio Inc., A |
United States | 4,762 | 1,699,844 | |||||||||
aVeriSign Inc. |
United States | 3,108 | 672,136 | |||||||||
fVisa Inc., A |
United States | 731 | 167,472 | |||||||||
|
|
|||||||||||
35,523,575 | ||||||||||||
|
|
|||||||||||
Leisure Products 0.0% |
||||||||||||
a,b,cCallaway Golf Co. |
United States | 722 | 20,259 | |||||||||
|
|
|||||||||||
Life Sciences Tools & Services 1.9% |
||||||||||||
a10x Genomics Inc., A |
United States | 2,345 | 412,532 | |||||||||
aAkoya Biosciences Inc. |
United States | 5,431 | 86,733 | |||||||||
aAvantor Inc. |
United States | 26,701 | 1,053,087 | |||||||||
a,bBIO-RAD Laboratories Inc., A |
United States | 451 | 362,974 | |||||||||
Eurofins Scientific SE |
Luxembourg | 23,368 | 3,315,707 | |||||||||
Gerresheimer AG |
Germany | 9,835 | 1,044,745 | |||||||||
aIllumina Inc. |
United States | 2,404 | 1,099,013 | |||||||||
aIQVIA Holdings Inc. |
United States | 5,730 | 1,488,253 | |||||||||
Lonza Group AG |
Switzerland | 484 | 409,332 | |||||||||
a,bMettler-Toledo International Inc. |
United States | 4,846 | 7,525,014 | |||||||||
a,fOlink Holding AB, ADR |
Sweden | 3,494 | 111,843 | |||||||||
a,dPolypeptide Group AG, 144A |
United States | 2,088 | 302,531 | |||||||||
aQIAGEN NV |
United States | 8,719 | 486,695 | |||||||||
aRapid Micro Biosystems Inc., A |
United States | 2,803 | 52,977 | |||||||||
aRepligen Corp. |
United States | 2,054 | 581,241 | |||||||||
Sartorius Stedim Biotech |
France | 3,487 | 2,115,103 | |||||||||
Thermo Fisher Scientific Inc. |
United States | 10,097 | 5,603,330 | |||||||||
a,dWuxi Biologics Cayman Inc., 144A |
China | 21,353 | 330,586 | |||||||||
|
|
|||||||||||
26,381,696 | ||||||||||||
|
|
|||||||||||
Machinery 0.5% |
||||||||||||
aBerkshire Grey Inc., 7/21/26, wts. |
United States | 24,376 | 30,226 | |||||||||
Caterpillar Inc. |
United States | 296 | 62,418 | |||||||||
Cummins Inc. |
United States | 261 | 61,591 | |||||||||
cDeere & Co. |
United States | 6,560 | 2,479,877 | |||||||||
aMarkforged Holding Corp., 8/17/25, wts. |
United States | 9,448 | 14,833 | |||||||||
a,fNikola Corp. |
United States | 5,563 | 58,022 | |||||||||
Stanley Black & Decker Inc. |
United States | 6,973 | 1,347,672 | |||||||||
bThe Toro Co. |
United States | 17,131 | 1,883,382 | |||||||||
aWelbilt Inc. |
United States | 48,096 | 1,125,446 | |||||||||
|
|
|||||||||||
7,063,467 | ||||||||||||
|
|
|||||||||||
Media 0.4% |
||||||||||||
a,bAltice USA Inc., A |
United States | 9,027 | 247,701 | |||||||||
a,fCardlytics Inc. |
United States | 11,018 | 1,000,214 | |||||||||
cComcast Corp., A |
United States | 1,147 | 69,600 | |||||||||
cFox Corp. |
United States | 1,639 | 61,364 | |||||||||
The Interpublic Group of Cos. Inc. |
United States | 1,727 | 64,296 | |||||||||
aITV PLC |
United Kingdom | 293,248 | 467,375 | |||||||||
Nexstar Media Group Inc., A |
United States | 214 | 32,047 | |||||||||
Shaw Communications Inc., B |
Canada | 96,920 | 2,852,328 | |||||||||
Stroeer SE & Co. KGaA |
Germany | 1,613 | 132,839 | |||||||||
|
|
|||||||||||
4,927,764 | ||||||||||||
|
|
|||||||||||
Metals & Mining 0.0% |
||||||||||||
Arcelormittal SA |
Luxembourg | 15,543 | 521,311 |
12
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Shares/ Warrants/ Rights |
Value | ||||||||||
Common Stocks and Other Equity Interests (continued) |
||||||||||||
Metals & Mining (continued) |
||||||||||||
Newmont Corp. |
United States | 1,110 | $ | 64,369 | ||||||||
|
|
|||||||||||
585,680 | ||||||||||||
|
|
|||||||||||
Multiline Retail 0.3% |
||||||||||||
bKohls Corp. |
United States | 21,566 | 1,237,888 | |||||||||
cTarget Corp. |
United States | 11,946 | 2,950,423 | |||||||||
|
|
|||||||||||
4,188,311 | ||||||||||||
|
|
|||||||||||
Multi-Utilities 0.0% |
||||||||||||
NiSource Inc. |
United States | 7,973 | 196,534 | |||||||||
|
|
|||||||||||
Oil, Gas & Consumable Fuels 0.1% |
||||||||||||
aBattalion Oil Corp. |
United States | 3,790 | 40,250 | |||||||||
aCalifornia Resources Corp. |
United States | 9,392 | 321,488 | |||||||||
Chevron Corp. |
United States | 676 | 65,417 | |||||||||
cConocoPhillips |
United States | 726 | 40,315 | |||||||||
Energy Transfer Equity LP |
United States | 4,536 | 42,185 | |||||||||
EOG Resources Inc. |
United States | 996 | 67,250 | |||||||||
aLonestar Resources US Inc. |
United States | 3,072 | 31,288 | |||||||||
aWhiting Petroleum Corp. |
United States | 2,732 | 128,267 | |||||||||
|
|
|||||||||||
736,460 | ||||||||||||
|
|
|||||||||||
Paper & Forest Products 0.0% |
||||||||||||
a,eTopco Associates LLC |
United Kingdom | 144,632 | | |||||||||
|
|
|||||||||||
Personal Products 0.2% |
||||||||||||
The Estee Lauder Cos. Inc., A |
United States | 406 | 138,239 | |||||||||
aUnilever PLC |
United Kingdom | 44,866 | 2,497,529 | |||||||||
|
|
|||||||||||
2,635,768 | ||||||||||||
|
|
|||||||||||
Pharmaceuticals 1.0% |
||||||||||||
aArvinas Inc. |
United States | 3,611 | 311,304 | |||||||||
cBristol-Myers Squibb Co. |
United States | 931 | 62,247 | |||||||||
aCatalent Inc. |
United States | 2,601 | 339,274 | |||||||||
a,fCentessa Pharmaceuticals PLC, ADR |
United Kingdom | 6,778 | 149,455 | |||||||||
bEli Lilly & Co., W |
United States | 16,155 | 4,172,675 | |||||||||
Hikma Pharmaceuticals PLC |
Jordan | 19,075 | 665,810 | |||||||||
Johnson & Johnson |
United States | 1,533 | 265,408 | |||||||||
Novo Nordisk AS, ADR |
Denmark | 12,001 | 1,199,740 | |||||||||
cPfizer Inc. |
United States | 1,269 | 58,463 | |||||||||
a,fRevance Therapeutics Inc. |
United States | 17,112 | 458,259 | |||||||||
Roche Holding AG |
Switzerland | 13,876 | 5,571,980 | |||||||||
Viatris Inc. |
United States | 43,030 | 629,529 | |||||||||
a,dZhaoke Ophthalmology Ltd., 144A |
Hong Kong | 52,004 | 47,925 | |||||||||
|
|
|||||||||||
13,932,069 | ||||||||||||
|
|
|||||||||||
Professional Services 0.8% |
||||||||||||
aIHS Markit Ltd. |
United States | 50,726 | 6,117,556 | |||||||||
a,dIntertrust NV, 144A |
Netherlands | 228,075 | 3,535,910 | |||||||||
SGS SA |
Switzerland | 208 | 653,710 | |||||||||
aTriNet Group Inc. |
United States | 8,003 | 736,916 | |||||||||
|
|
|||||||||||
11,044,092 | ||||||||||||
|
|
|||||||||||
Real Estate Management & Development 0.2% |
||||||||||||
Deutsche Wohnen Se |
Germany | 51,307 | 3,184,782 | |||||||||
|
|
|||||||||||
Road & Rail 1.5% |
||||||||||||
Canadian Pacific Railway Ltd. |
Canada | 41,158 | 2,831,259 | |||||||||
bCSX Corp. |
United States | 63,976 | 2,081,139 | |||||||||
a,bHertz Global Holdings Inc. |
United States | 186,805 | 2,191,073 | |||||||||
Kansas City Southern |
United States | 26,974 | 7,570,792 | |||||||||
Norfolk Southern Corp. |
United States | 233 | 59,075 |
13
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Shares/ Warrants/ Rights |
Value | ||||||||||
Common Stocks and Other Equity Interests (continued) |
|
|||||||||||
Road & Rail (continued) |
||||||||||||
Ryder System Inc. |
United States | 797 | $ | 63,354 | ||||||||
bUnion Pacific Corp. |
United States | 28,525 | 6,185,361 | |||||||||
|
|
|||||||||||
20,982,053 | ||||||||||||
|
|
|||||||||||
Semiconductors & Semiconductor Equipment 2.2% |
||||||||||||
aAdvanced Micro Devices Inc. |
United States | 24,091 | 2,667,356 | |||||||||
aAnalog Devices Inc. |
United States | 28,372 | 4,623,217 | |||||||||
cApplied Materials Inc. |
United States | 1,148 | 155,129 | |||||||||
|
|
|||||||||||
ASML Holding NV, G |
Netherlands | 3,528 | 2,938,965 | |||||||||
|
|
|||||||||||
a,eDialog Semiconductor PLC |
United Kingdom | 30,919 | 2,464,262 | |||||||||
aFirst Solar Inc. |
United States | 9,309 | 875,046 | |||||||||
KLA Corp. |
United States | 4,882 | 1,659,685 | |||||||||
LAM Research Corp. |
United States | 98 | 59,272 | |||||||||
Marvell Technology Inc. |
United States | 60,424 | 3,697,345 | |||||||||
MediaTek Inc. |
Taiwan | 50,077 | 1,623,858 | |||||||||
cNVIDIA Corp. |
United States | 896 | 200,570 | |||||||||
cNXP Semiconductors NV |
Netherlands | 310 | 66,690 | |||||||||
aQorvo Inc. |
United States | 5,713 | 1,074,215 | |||||||||
QUALCOMM Inc. |
United States | 1,321 | 193,777 | |||||||||
Skyworks Solutions Inc. |
United States | 5,732 | 1,051,593 | |||||||||
aSolarEdge Technologies Inc. |
United States | 2,969 | 860,357 | |||||||||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR |
Taiwan | 84 | 9,997 | |||||||||
cTexas Instruments Inc. |
United States | 12,615 | 2,408,330 | |||||||||
Xilinx Inc. |
United States | 26,948 | 4,192,839 | |||||||||
|
|
|||||||||||
30,822,503 | ||||||||||||
|
|
|||||||||||
Software 4.8% |
||||||||||||
a,bAdobe Inc. |
United States | 6,938 | 4,604,751 | |||||||||
aAtlassian Corp. PLC, A |
United States | 4,855 | 1,782,076 | |||||||||
aAutodesk Inc. |
United States | 272 | 84,344 | |||||||||
aAvalara Inc. |
United States | 16,741 | 3,008,358 | |||||||||
aBlackberry Ltd. |
Canada | 30,479 | 347,765 | |||||||||
a,b,cBox Inc., A |
United States | 50,556 | 1,303,334 | |||||||||
aCCC Intelligent Solutions Holdings Inc., 8/18/27, wts. |
United States | 17,575 | 51,143 | |||||||||
aCeridian HCM Holding Inc. |
United States | 29,608 | 3,326,459 | |||||||||
aDynatrace Inc. |
United States | 32,926 | 2,263,004 | |||||||||
aFive9 Inc. |
United States | 5,852 | 925,962 | |||||||||
aHubSpot Inc. |
United States | 3,885 | 2,659,166 | |||||||||
bIntuit Inc. |
United States | 7,657 | 4,334,704 | |||||||||
aIronSource Ltd. |
Israel | 1,583 | 15,735 | |||||||||
aLivevox Holdings Inc., 6/18/26, wts. |
United States | 18,565 | 22,278 | |||||||||
a,cMedallia Inc. |
United States | 8,790 | 296,838 | |||||||||
b,cMicrosoft Corp. |
United States | 24,887 | 7,512,887 | |||||||||
bNortonLifeLock Inc. |
United States | 2,555 | 67,861 | |||||||||
a,bNuance Communications Inc. |
United States | 117,350 | 6,460,118 | |||||||||
cOracle Corp. |
United States | 711 | 63,371 | |||||||||
a,b,eProofpoint Inc. |
United States | 44,646 | 7,853,232 | |||||||||
aRingCentral Inc., A |
United States | 3,498 | 882,405 | |||||||||
aSalesforce.com Inc. |
United States | 12,437 | 3,299,163 | |||||||||
SAP SE |
Germany | 52,910 | 7,947,606 | |||||||||
aServiceNow Inc. |
United States | 4,744 | 3,053,428 | |||||||||
aVaronis Systems Inc., B |
United States | 26,168 | 1,805,854 | |||||||||
aWorkday Inc., A |
United States | 2,455 | 670,608 | |||||||||
aZoom Video Communications Inc., A |
United States | 974 | 281,973 | |||||||||
a,bZscaler Inc. |
United States | 3,923 | 1,091,928 | |||||||||
|
|
|||||||||||
66,016,351 | ||||||||||||
|
|
14
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Shares/ Warrants/ Rights |
Value | ||||||||||
Common Stocks and Other Equity Interests (continued) |
||||||||||||
Specialty Retail 1.2% |
||||||||||||
bBath & Body Works Inc. |
United States | 20,576 | $ | 1,388,469 | ||||||||
aCapri Listco, A, 8/26/26, wts. |
Cayman Islands | 19,197 | 26,300 | |||||||||
aCazoo Group Ltd., 8/26/26, wts. |
Cayman Islands | 1,535 | 2,149 | |||||||||
aFive Below Inc. |
United States | 16,366 | 3,482,848 | |||||||||
aFrasers Group PLC |
United Kingdom | 180,900 | 1,665,283 | |||||||||
cThe Home Depot Inc. |
United States | 19,656 | 6,411,394 | |||||||||
Lowes Cos. Inc. |
United States | 116 | 23,651 | |||||||||
cRoss Stores Inc. |
United States | 529 | 62,634 | |||||||||
cThe TJX Cos. Inc. |
United States | 864 | 62,830 | |||||||||
Tractor Supply Co. |
United States | 10,600 | 2,059,050 | |||||||||
a,bVictorias Secret & Co. |
United States | 4,452 | 295,168 | |||||||||
a,dWatches of Switzerland Group PLC, 144A |
United Kingdom | 127,764 | 1,784,673 | |||||||||
|
|
|||||||||||
17,264,449 | ||||||||||||
|
|
|||||||||||
Technology Hardware, Storage & Peripherals 0.1% |
||||||||||||
cApple Inc. |
United States | 1,686 | 255,985 | |||||||||
aCanaan Inc., ADR |
China | 2,319 | 21,799 | |||||||||
aDell Technologies Inc., C |
United States | 8,971 | 874,314 | |||||||||
HP Inc. |
United States | 2,168 | 64,476 | |||||||||
NetApp Inc. |
United States | 800 | 71,144 | |||||||||
a,dXiaomi Corp., B, 144A |
China | 3,000 | 9,670 | |||||||||
|
|
|||||||||||
1,297,388 | ||||||||||||
|
|
|||||||||||
Textiles, Apparel & Luxury Goods 0.7% |
||||||||||||
Adidas AG |
Germany | 15,140 | 5,370,908 | |||||||||
aCapri Holdings Ltd. |
United States | 46,992 | 2,655,518 | |||||||||
LVMH Moet Hennessy Louis Vuitton SE |
France | 174 | 128,901 | |||||||||
cNike Inc., B |
United States | 1,292 | 212,844 | |||||||||
a,dSamsonite International SA, 144A |
United States | 35,674 | 74,754 | |||||||||
a,bTapestry Inc. |
United States | 43,737 | 1,763,476 | |||||||||
|
|
|||||||||||
10,206,401 | ||||||||||||
|
|
|||||||||||
Trading Companies & Distributors 0.4% |
||||||||||||
Brenntag SE |
Germany | 52,412 | 5,289,328 | |||||||||
IMCD Group NV |
Netherlands | 2,228 | 438,872 | |||||||||
|
|
|||||||||||
5,728,200 | ||||||||||||
|
|
|||||||||||
Transportation Infrastructure 0.1% |
||||||||||||
aAtlantia SpA |
Italy | 80,102 | 1,500,442 | |||||||||
|
|
|||||||||||
Water Utilities 0.1% |
||||||||||||
Guangdong Investment Ltd. |
China | 1,272,652 | 1,767,433 | |||||||||
|
|
|||||||||||
Wireless Telecommunication Services 0.1% |
||||||||||||
aT-Mobile USA Inc. |
United States | 2,627 | 359,952 | |||||||||
bVodafone Group PLC, ADR |
United Kingdom | 49,788 | 849,881 | |||||||||
|
|
|||||||||||
1,209,833 | ||||||||||||
|
|
|||||||||||
Total Common Stocks and Other Equity Interests |
594,309,260 | |||||||||||
|
|
|||||||||||
Convertible Preferred Stocks 0.1% |
||||||||||||
Banks 0.1% |
||||||||||||
Bank of America Corp., 7.25%, cvt. pfd., L |
United States | 206 | 302,408 | |||||||||
Wells Fargo & Co., 7.50%, cvt. pfd., L |
United States | 268 | 399,588 | |||||||||
|
|
|||||||||||
701,996 | ||||||||||||
|
|
|||||||||||
Diversified Telecommunication Services 0.0% |
||||||||||||
d2020 Cash Mandatory Exchangeable Trust, 5.25%, cvt. pfd., 144A |
United States | 250 | 298,330 | |||||||||
|
|
15
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Shares | Value | ||||||||||||
Convertible Preferred Stocks (continued) |
||||||||||||||
Food Products 0.0% |
||||||||||||||
Bunge Ltd., 4.875%, cvt. pfd. |
United States | 4,040 | $ | 459,550 | ||||||||||
|
|
|||||||||||||
Gas Utilities 0.0% |
||||||||||||||
El Paso Energy Capital Trust I, 4.75%, cvt. pfd. |
United States | 114 | 5,729 | |||||||||||
|
|
|||||||||||||
Health Care Equipment & Supplies 0.0% |
||||||||||||||
Boston Scientific Corp., 5.50%, cvt. pfd., A |
United States | 609 | 73,177 | |||||||||||
|
|
|||||||||||||
Multi-Utilities 0.0% |
||||||||||||||
NiSource Inc., 7.75%, cvt. pfd. |
United States | 1,700 | 175,372 | |||||||||||
|
|
|||||||||||||
Total Convertible Preferred Stocks (Cost $1,593,725) |
1,714,154 | |||||||||||||
|
|
|||||||||||||
Preferred Stocks 0.0% |
||||||||||||||
Diversified Financial Services 0.0% |
||||||||||||||
a2MX Organic SA, pfd. |
France | 3,964 | 45,167 | |||||||||||
|
|
|||||||||||||
Electric Utilities 0.0% |
||||||||||||||
SCE Trust IV, 5.375%, pfd., J |
United States | 1,212 | 30,421 | |||||||||||
SCE Trust VI, 5.00%, pfd. |
United States | 3,020 | 75,228 | |||||||||||
|
|
|||||||||||||
105,649 | ||||||||||||||
|
|
|||||||||||||
Professional Services 0.0% |
||||||||||||||
Clarivate PLC, 5.25%, pfd. |
United Kingdom | 2,010 | 192,136 | |||||||||||
|
|
|||||||||||||
Thrifts & Mortgage Finance 0.0% |
||||||||||||||
FHLMC, 8.375%, pfd., Z |
United States | 3,672 | 5,398 | |||||||||||
FNMA, 8.25%, pfd., S |
United States | 3,650 | 6,424 | |||||||||||
|
|
|||||||||||||
11,822 | ||||||||||||||
|
|
|||||||||||||
Total Preferred Stocks (Cost $411,737) |
354,774 | |||||||||||||
|
|
|||||||||||||
Principal Amount* |
||||||||||||||
Convertible Bonds 12.6% |
||||||||||||||
Aerospace & Defense 0.2% |
||||||||||||||
Kaman Corp., senior note, 3.25%, 5/01/24 |
United States | 1,418,000 | 1,462,383 | |||||||||||
b,dParsons Corp., senior note, 144A, 0.25%, 8/15/25 |
United States | 1,007,000 | 1,019,825 | |||||||||||
|
|
|||||||||||||
2,482,208 | ||||||||||||||
|
|
|||||||||||||
Air Freight & Logistics 0.3% |
||||||||||||||
bAir Transport Services Group Inc., senior note, 1.125%, 10/15/24 |
United States | 849,000 | 943,494 | |||||||||||
bAtlas Air Worldwide Holdings Inc., senior note, |
||||||||||||||
2.25%, 6/01/22 |
United States | 1,729,000 | 1,921,351 | |||||||||||
1.875%, 6/01/24 |
United States | 1,091,000 | 1,458,531 | |||||||||||
|
|
|||||||||||||
4,323,376 | ||||||||||||||
|
|
|||||||||||||
Airlines 0.2% |
||||||||||||||
dAir France-KLM, senior note, Reg S, 0.125%, 3/25/26 |
France | 39,954 | EUR | 759,717 | ||||||||||
dGOL Equity Finance SA, senior note, 144A, 3.75%, 7/15/24 |
Brazil | 1,008,000 | 917,910 | |||||||||||
dJetblue Airways Corp., senior note, 144A, 0.50%, 4/01/26 |
United States | 60,000 | 59,284 | |||||||||||
Southwest Airlines Co., senior note, 1.25%, 5/01/25 |
United States | 275,000 | 402,187 | |||||||||||
fSpirit Airlines Inc., senior note, 1.00%, 5/15/26 |
United States | 403,000 | 374,024 | |||||||||||
|
|
|||||||||||||
2,513,122 | ||||||||||||||
|
|
|||||||||||||
Auto Components 0.1% |
||||||||||||||
Patrick Industries Inc., senior note, 1.00%, 2/01/23 |
United States | 1,680,000 | 1,890,702 | |||||||||||
|
|
|||||||||||||
Automobiles 0.3% |
||||||||||||||
dFisker Inc., senior note, 144A, 2.50%, 9/15/26 |
United States | 806,000 | 765,216 | |||||||||||
b,dLI Auto Inc., senior note, 144A, 0.25%, 5/01/28 |
China | 661,000 | 848,643 |
16
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country |
Principal Amount* |
Value | ||||||||||||||
Convertible Bonds (continued) |
||||||||||||||||
Automobiles (continued) |
||||||||||||||||
dNIO Inc., senior note, 144A, |
||||||||||||||||
0.50%, 2/01/27 |
China | 1,181,000 | $ | 986,135 | ||||||||||||
bzero cpn., 2/01/26 |
China | 1,724,000 | 1,484,290 | |||||||||||||
|
|
|||||||||||||||
4,084,284 | ||||||||||||||||
|
|
|||||||||||||||
Banks 0.3% |
||||||||||||||||
bHope Bancorp Inc., senior bond, 2.00%, 5/15/38 |
United States | 2,487,000 | 2,427,039 | |||||||||||||
dJPMorgan Chase Bank NA, senior note, Reg S, zero cpn., 12/28/23 |
United States | 1,200,000 | 1,188,600 | |||||||||||||
|
|
|||||||||||||||
3,615,639 | ||||||||||||||||
|
|
|||||||||||||||
Biotechnology 1.2% |
||||||||||||||||
dAvid SPV LLC, senior note, 144A, 1.25%, 3/15/26 |
United States | 909,000 | 1,225,902 | |||||||||||||
BioMarin Pharmaceutical Inc., senior sub. note, 1.25%, 5/15/27 |
United States | 2,048,000 | 2,070,254 | |||||||||||||
Coherus Biosciences Inc., senior sub. note, 1.50%, 4/15/26 |
United States | 1,082,000 | 1,174,797 | |||||||||||||
dDynavax Technologies Corp., 144A, 2.50%, 5/15/26 |
United States | 1,004,000 | 2,039,204 | |||||||||||||
bFlexion Therapeutics Inc., senior note, 3.375%, 5/01/24 |
United States | 876,000 | 767,567 | |||||||||||||
Gossamer Bio Inc., senior note, 5.00%, 6/01/27 |
United States | 818,000 | 737,182 | |||||||||||||
Insmed Inc., senior note, 0.75%, 6/01/28 |
United States | 1,259,000 | 1,362,406 | |||||||||||||
dIntercept Pharmaceuticals Inc., senior secured note, 144A, 3.50%, 2/15/26 |
United States | 926,000 | 928,144 | |||||||||||||
dIonis Pharmaceuticals Inc., senior note, 144A, zero cpn., 4/01/26 |
United States | 80,000 | 78,888 | |||||||||||||
fIronwood Pharmaceuticals Inc., senior note, 1.50%, 6/15/26 |
United States | 703,000 | 850,499 | |||||||||||||
dKadmon Holdings Inc., senior note, 144A, 3.625%, 2/15/27 |
United States | 856,000 | 970,451 | |||||||||||||
bKaryopharm Therapeutics Inc., senior note, 3.00%, 10/15/25 |
United States | 736,000 | 564,647 | |||||||||||||
Ligand Pharmaceuticals Inc., senior note, 0.75%, 5/15/23 |
United States | 1,454,000 | 1,450,472 | |||||||||||||
dMannkind Corp., senior note, 144A, 2.50%, 3/01/26 |
United States | 1,197,000 | 1,418,961 | |||||||||||||
dPharming Group NV, senior note, Reg S, 3.00%, 1/21/25 |
Netherlands | 800,000 | EUR | 786,379 | ||||||||||||
|
|
|||||||||||||||
16,425,753 | ||||||||||||||||
|
|
|||||||||||||||
Capital Markets 0.1% |
||||||||||||||||
dSGX Treasury I Pte Ltd., senior note, Reg S, zero cpn., 3/01/24 |
Singapore | 1,100,000 | EUR | 1,326,099 | ||||||||||||
|
|
|||||||||||||||
Consumer Finance 0.6% |
||||||||||||||||
Encore Capital Group Inc., senior note, |
||||||||||||||||
3.25%, 3/15/22 |
United States | 2,309,000 | 2,652,243 | |||||||||||||
b3.25%, 10/01/25 |
United States | 1,254,000 | 1,739,078 | |||||||||||||
EZCORP Inc., senior note, 2.875%, 7/01/24 |
United States | 941,000 | 945,465 | |||||||||||||
PRA Group Inc., senior note, 3.50%, 6/01/23 |
United States | 1,630,000 | 1,811,253 | |||||||||||||
dUpstart Holdings Inc., senior note, 144A, 0.25%, 8/15/26 |
United States | 618,000 | 699,167 | |||||||||||||
dZip Co. Ltd., senior note, Reg S, zero cpn., 4/23/28 |
Australia | 800,000 | AUD | 522,210 | ||||||||||||
|
|
|||||||||||||||
8,369,416 | ||||||||||||||||
|
|
|||||||||||||||
Diversified Consumer Services 0.1% |
||||||||||||||||
b,dStride Inc., senior note, 144A, 1.125%, 9/01/27 |
United States | 1,004,000 | 969,663 | |||||||||||||
|
|
|||||||||||||||
Diversified Financial Services 0.1% |
||||||||||||||||
bLendingtree Inc., senior note, 0.50%, 7/15/25 |
United States | 927,000 | 815,204 | |||||||||||||
|
|
|||||||||||||||
Electronic Equipment, Instruments & Components 0.2% |
||||||||||||||||
bOSI Systems Inc., senior note, 1.25%, 9/01/22 |
United States | 1,415,000 | 1,502,212 | |||||||||||||
bVishay Intertechnology Inc., senior note, 2.25%, 6/15/25 |
United States | 710,000 | 749,973 | |||||||||||||
|
|
|||||||||||||||
2,252,185 | ||||||||||||||||
|
|
|||||||||||||||
Energy Equipment & Services 0.1% |
||||||||||||||||
bHelix Energy Solutions Group Inc., senior note, 6.75%, 2/15/26 |
United States | 1,563,000 | 1,613,023 | |||||||||||||
dOil States International Inc., senior note, 144A, 4.75%, 4/01/26 |
United States | 66,000 | 63,839 | |||||||||||||
|
|
|||||||||||||||
1,676,862 | ||||||||||||||||
|
|
|||||||||||||||
Entertainment 0.3% |
||||||||||||||||
Cinemark Holdings Inc., senior note, 4.50%, 8/15/25 |
United States | 926,000 | 1,407,090 | |||||||||||||
bLive Nation Entertainment Inc., senior note, 2.00%, 2/15/25 |
United States | 907,000 | 1,025,695 | |||||||||||||
b,dThe Marcus Corp., senior note, 144A, 5.00%, 9/15/25 |
United States | 750,000 | 1,249,369 |
17
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country |
Principal Amount* |
Value | ||||||||||||
Convertible Bonds (continued) |
||||||||||||||
Entertainment (continued) |
||||||||||||||
dZynga Inc., senior note, 144A, zero cpn., 12/15/26 |
United States | 25,000 | $ | 25,106 | ||||||||||
|
|
|||||||||||||
3,707,260 | ||||||||||||||
|
|
|||||||||||||
Equity Real Estate Investment Trusts (REITs) 0.4% |
||||||||||||||
dBraemar Hotels & Resorts Inc., senior note, 144A, 4.50%, 6/01/26 |
United States | 470,000 | 524,784 | |||||||||||
dIIP Operating Partnership LP, senior note, 144A, 3.75%, 2/21/24 |
United States | 712,000 | 2,668,220 | |||||||||||
Pebblebrook Hotel Trust, senior note, 1.75%, 12/15/26 |
United States | 1,158,000 | 1,285,688 | |||||||||||
Summit Hotel Properties Inc., senior note, 1.50%, 2/15/26 |
United States | 1,252,000 | 1,291,294 | |||||||||||
|
|
|||||||||||||
5,769,986 | ||||||||||||||
|
|
|||||||||||||
Food & Staples Retailing 0.2% |
||||||||||||||
The Chefs Warehouse Inc., senior note, 1.875%, 12/01/24 |
United States | 2,286,000 | 2,360,295 | |||||||||||
|
|
|||||||||||||
Food Products 0.1% |
||||||||||||||
dBeyond Meat Inc., senior note, 144A, zero cpn., 3/15/27 |
United States | 1,237,000 | 1,130,635 | |||||||||||
|
|
|||||||||||||
Health Care Equipment & Supplies 0.6% |
||||||||||||||
dAlphatec Holdings Inc., senior note, 144A, 0.75%, 8/01/26 |
United States | 811,000 | 846,131 | |||||||||||
b,dCutera Inc., senior note, 144A, 2.25%, 3/15/26 |
United States | 856,000 | 1,421,536 | |||||||||||
Mesa Laboratories Inc., senior note, 1.375%, 8/15/25 |
United States | 501,000 | 575,549 | |||||||||||
NuVasive Inc., senior note, |
||||||||||||||
b1.00%, 6/01/23 |
United States | 2,011,000 | 2,073,484 | |||||||||||
0.375%, 3/15/25 |
United States | 480,000 | 470,013 | |||||||||||
b,dSmileDirectClub Inc., senior note, 144A, zero cpn., 2/01/26 |
United States | 2,034,000 | 1,442,920 | |||||||||||
Varex Imaging Corp., senior note, 4.00%, 6/01/25 |
United States | 1,329,000 | 2,096,473 | |||||||||||
|
|
|||||||||||||
8,926,106 | ||||||||||||||
|
|
|||||||||||||
Health Care Providers & Services 0.1% |
||||||||||||||
1life Healthcare Inc., senior note, 3.00%, 6/15/25 |
United States | 773,000 | 761,405 | |||||||||||
dGuardant Health Inc., senior note, 144A, zero cpn., 11/15/27 |
United States | 70,000 | 81,872 | |||||||||||
Petiq Inc., senior note, 4.00%, 6/01/26 |
United States | 990,000 | 1,196,316 | |||||||||||
|
|
|||||||||||||
2,039,593 | ||||||||||||||
|
|
|||||||||||||
Health Care Technology 0.1% |
||||||||||||||
Livongo Health Inc., senior note, 0.875%, 6/01/25 |
United States | 70,000 | 100,474 | |||||||||||
bTabula Rasa Healthcare Inc., senior sub. note, 1.75%, 2/15/26 |
United States | 772,000 | 661,943 | |||||||||||
Teladoc Health Inc., senior note, 1.25%, 6/01/27 |
United States | 420,000 | 446,887 | |||||||||||
|
|
|||||||||||||
1,209,304 | ||||||||||||||
|
|
|||||||||||||
Hotels, Restaurants & Leisure 0.3% |
||||||||||||||
b,dDraftkings Inc., senior note, 144A, zero cpn., 3/15/28 |
United States | 1,160,000 | 1,117,018 | |||||||||||
b,dMarriott Vacations Worldwide Corp., senior note, 144A, zero cpn., 1/15/26 |
United States | 1,198,000 | 1,292,402 | |||||||||||
Penn National Gaming Inc., senior note, 2.75%, 5/15/26 |
United States | 30,000 | 106,756 | |||||||||||
b,dRoyal Caribbean Cruises Ltd., senior note, 144A, 2.875%, 11/15/23 |
United States | 1,467,000 | 1,834,534 | |||||||||||
|
|
|||||||||||||
4,350,710 | ||||||||||||||
|
|
|||||||||||||
Independent Power & Renewable Electricity Producers 0.1% |
|
|||||||||||||
dSunnova Energy International Inc., senior note, 144A, 0.25%, 12/01/26 |
United States | 1,096,000 | 1,332,466 | |||||||||||
|
|
|||||||||||||
Interactive Media & Services 0.0% |
||||||||||||||
dTwitter Inc., senior note, 144A, zero cpn., 3/15/26 |
United States | 130,000 | 123,496 | |||||||||||
|
|
|||||||||||||
Internet & Direct Marketing Retail 0.5% |
||||||||||||||
dCornwall Jersey Ltd., senior note, Reg S, 0.75%, 4/16/26 |
United Kingdom | 200,000 | GBP | 255,106 | ||||||||||
dDelivery Hero AG, senior note, Reg S, 1.50%, 1/15/28 |
Germany | 1,000,000 | EUR | 1,290,264 | ||||||||||
d,fExpedia Group Inc., senior note, 144A, zero cpn., 2/15/26 |
United States | 85,000 | 89,238 | |||||||||||
dFiverr International Ltd., senior note, 144A, zero cpn., 11/01/25 |
Israel | 950,000 | 1,064,805 | |||||||||||
dGroupon Inc., senior note, 144A, 1.125%, 3/15/26 |
United States | 1,243,000 | 975,687 | |||||||||||
dJust Eat Takeaway.Com NV, B, senior note, Reg S, 0.625%, 2/09/28 |
United Kingdom | 500,000 | EUR | 553,287 | ||||||||||
Pinduoduo Inc., senior note, zero cpn., 12/01/25 |
China | 183,000 | 176,002 |
18
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* |
Value | ||||||||||||
Convertible Bonds (continued) |
||||||||||||||
Internet & Direct Marketing Retail (continued) |
||||||||||||||
dThe Realreal Inc., senior note, 144A, 1.00%, 3/01/28 |
United States | 339,000 | $ | 275,302 | ||||||||||
dSpotify USA Inc., senior note, 144A, zero cpn., 3/15/26 |
United States | 317,000 | 287,082 | |||||||||||
dTakeaway.com NV, senior note, Reg S, 1.25%, 4/30/26 |
Germany | 800,000 | EUR | 946,210 | ||||||||||
bWayfair Inc., senior note, 0.625%, 10/01/25 |
United States | 1,179,000 | 1,216,558 | |||||||||||
|
|
|||||||||||||
7,129,541 | ||||||||||||||
|
|
|||||||||||||
IT Services 0.3% |
||||||||||||||
dAfterpay Ltd., senior note, Reg S, zero cpn., 3/12/26 |
Australia | 800,000 | AUD | 604,114 | ||||||||||
CSG Systems International Inc., senior bond, 4.25%, 3/15/36 |
United States | 2,206,000 | 2,286,078 | |||||||||||
b,dFastly Inc., senior note, 144A, zero cpn., 3/15/26 |
United States | 1,616,000 | 1,377,713 | |||||||||||
dShift4 Payments Inc., senior note, 144A, 0.50%, 8/01/27 |
United States | 108,000 | 110,571 | |||||||||||
|
|
|||||||||||||
4,378,476 | ||||||||||||||
|
|
|||||||||||||
Leisure Products 0.0% |
||||||||||||||
dPeloton Interactive Inc., senior note, 144A, zero cpn., 2/15/26 |
United States | 292,000 | 264,610 | |||||||||||
|
|
|||||||||||||
Machinery 0.2% |
||||||||||||||
Fortive Corp., senior note, 0.875%, 2/15/22 |
United States | 1,454,000 | 1,466,431 | |||||||||||
dThe Greenbrier Cos. Inc., senior note, 144A, 2.875%, 4/15/28 |
United States | 1,198,000 | 1,271,402 | |||||||||||
|
|
|||||||||||||
2,737,833 | ||||||||||||||
|
|
|||||||||||||
Media 1.5% |
||||||||||||||
Dish Network Corp., |
||||||||||||||
senior bond, 3.375%, 8/15/26 |
United States | 2,503,000 | 2,617,147 | |||||||||||
dsenior note, 144A, zero cpn., 12/15/25 |
United States | 80,000 | 95,985 | |||||||||||
dLiberty Broadband Corp., senior bond, 144A, |
||||||||||||||
1.25%, 9/30/50 |
United States | 2,188,000 | 2,323,442 | |||||||||||
2.75%, 9/30/50 |
United States | 1,952,000 | 2,170,093 | |||||||||||
Liberty Interactive LLC, |
||||||||||||||
senior bond, 4.00%, 11/15/29 |
United States | 1,410,000 | 1,099,800 | |||||||||||
bsenior note, 3.75%, 2/15/30 |
United States | 1,480,000 | 1,147,000 | |||||||||||
Liberty Media Corp., |
||||||||||||||
b,dsenior bond, 144A, 2.125%, 3/31/48 |
United States | 1,906,000 | 1,974,668 | |||||||||||
dsenior bond, 144A, 2.75%, 12/01/49 |
United States | 2,089,000 | 2,190,943 | |||||||||||
b,dsenior bond, 144A, 0.50%, 12/01/50 |
United States | 749,000 | 868,607 | |||||||||||
bsenior note, 1.00%, 1/30/23 |
United States | 1,126,000 | 1,580,633 | |||||||||||
bsenior note, 1.375%, 10/15/23 |
United States | 919,000 | 1,284,552 | |||||||||||
b,dMagnite Inc., senior note, 144A, 0.25%, 3/15/26 |
United States | 1,775,000 | 1,515,421 | |||||||||||
b,dTechtarget Inc., senior note, 144A, 0.125%, 12/15/25 |
United States | 1,074,000 | 1,442,167 | |||||||||||
|
|
|||||||||||||
20,310,458 | ||||||||||||||
|
|
|||||||||||||
Metals & Mining 0.3% |
||||||||||||||
dCentury Aluminum Co., senior note, 144A, 2.75%, 5/01/28 |
United States | 454,000 | 448,326 | |||||||||||
dIvanhoe Mines Ltd., senior note, 144A, 2.50%, 4/15/26 |
Canada | 912,000 | 1,200,444 | |||||||||||
dMP Materials Corp., senior note, 144A, 0.25%, 4/01/26 |
United States | 1,295,000 | 1,321,196 | |||||||||||
Pretium Resources Inc., senior sub. note, 2.25%, 3/15/22 |
Canada | 1,590,000 | 1,619,574 | |||||||||||
|
|
|||||||||||||
4,589,540 | ||||||||||||||
|
|
|||||||||||||
Mortgage Real Estate Investment Trusts (REITs) 0.8% |
||||||||||||||
Apollo Commercial Real Estate Finance Inc., senior note, 4.75%, 8/23/22 |
United States | 1,198,000 | 1,220,522 | |||||||||||
Arbor Realty Trust Inc., senior note, 4.75%, 11/01/22 |
United States | 1,969,000 | 2,195,725 | |||||||||||
KKR Real Estate Finance Trust Inc., senior note, 6.125%, 5/15/23 |
United States | 484,000 | 516,623 | |||||||||||
PennyMac Corp., senior note, |
||||||||||||||
5.50%, 11/01/24 |
United States | 1,816,000 | 1,851,185 | |||||||||||
b,d144A, 5.50%, 3/15/26 |
United States | 1,237,000 | 1,272,951 | |||||||||||
Redwood Trust Inc., senior note, 4.75%, 8/15/23 |
United States | 2,286,000 | 2,321,719 | |||||||||||
Starwood Property Trust Inc., senior note, 4.375%, 4/01/23 |
United States | 406,000 | 434,664 | |||||||||||
Two Harbors Investment Corp., senior note, 6.25%, 1/15/26 |
United States | 919,000 | 960,589 | |||||||||||
|
|
|||||||||||||
10,773,978 | ||||||||||||||
|
|
19
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* |
Value | ||||||||||||
Convertible Bonds (continued) |
||||||||||||||
Personal Products 0.1% |
||||||||||||||
Herbalife Nutrition Ltd., senior note, 2.625%, 3/15/24 |
United States | 1,817,000 | $ | 1,953,968 | ||||||||||
|
|
|||||||||||||
Pharmaceuticals 0.9% |
||||||||||||||
Aerie Pharmaceuticals Inc., senior note, 1.50%, 10/01/24 |
United States | 856,000 | 844,230 | |||||||||||
Aurora Cannabis Inc., senior note, 5.50%, 2/28/24 |
Canada | 2,318,000 | 1,970,300 | |||||||||||
b,dAvadel Finance Cayman Ltd., senior note, 144A, 4.50%, 2/01/23 |
United States | 1,292,000 | 1,421,329 | |||||||||||
dCanopy Growth Corp., senior note, 144A, 4.25%, 7/15/23 |
Canada | 1,714,000 | CAD | 1,350,048 | ||||||||||
Collegium Pharmaceutical Inc., senior note, 2.625%, 2/15/26 |
United States | 1,006,000 | 1,022,852 | |||||||||||
Innoviva Inc., sub. note, 2.125%, 1/15/23 |
United States | 2,239,000 | 2,343,953 | |||||||||||
bOmeros Corp., senior note, 5.25%, 2/15/26 |
United States | 1,285,000 | 1,529,167 | |||||||||||
bRevance Therapeutics Inc., senior note, 1.75%, 2/15/27 |
United States | 1,179,000 | 1,324,371 | |||||||||||
dZogenix Inc., senior note, 144A, 2.75%, 10/01/27 |
United States | 1,003,000 | 944,440 | |||||||||||
|
|
|||||||||||||
12,750,690 | ||||||||||||||
|
|
|||||||||||||
Professional Services 0.1% |
||||||||||||||
dUpwork Inc., senior note, 144A, 0.25%, 8/15/26 |
United States | 1,035,000 | 1,049,947 | |||||||||||
|
|
|||||||||||||
Real Estate Management & Development 0.3% |
||||||||||||||
dOpendoor Technologies Inc., senior note, 144A, 0.25%, 8/15/26 |
United States | 1,406,000 | 1,574,720 | |||||||||||
d Realogy Group LLC / Realogy Co.-Issuer Corp., senior note, 144A, 0.25%, 6/15/26 |
United States | 749,000 | 750,140 | |||||||||||
dTricon Residential Inc., senior sub. note, 144A, 5.75%, 3/31/22 |
Canada | 1,423,000 | 1,734,922 | |||||||||||
|
|
|||||||||||||
4,059,782 | ||||||||||||||
|
|
|||||||||||||
Road & Rail 0.0% |
||||||||||||||
d,fUber Technologies Inc., senior note, 144A, zero cpn., 12/15/25 |
United States | 115,000 | 107,837 | |||||||||||
|
|
|||||||||||||
Semiconductors & Semiconductor Equipment 0.3% |
||||||||||||||
dams AG, senior note, Reg S, 2.125%, 11/03/27 |
Austria | 1,200,000 | EUR | 1,406,059 | ||||||||||
bImpinj Inc., senior note, 2.00%, 12/15/26 |
United States | 677,000 | 1,238,142 | |||||||||||
Sunpower Corp., senior note, 4.00%, 1/15/23 |
United States | 856,000 | 1,028,313 | |||||||||||
|
|
|||||||||||||
3,672,514 | ||||||||||||||
|
|
|||||||||||||
Software 1.1% |
||||||||||||||
bAlteryx Inc., senior note, 0.50%, 8/01/24 |
United States | 950,000 | 894,805 | |||||||||||
Avaya Holdings Corp., senior note, 2.25%, 6/15/23 |
United States | 1,567,000 | 1,643,993 | |||||||||||
dBentley Systems Inc., senior note, 144A, 0.125%, 1/15/26 |
United States | 1,814,000 | 2,172,265 | |||||||||||
dDye & Durham Ltd., senior note, 144A, 3.75%, 3/01/26 |
Canada | 751,000 | CAD | 606,785 | ||||||||||
b,dfuboTV Inc., senior note, 144A, 3.25%, 2/15/26 |
United States | 1,326,000 | 1,284,234 | |||||||||||
bi3 Verticals LLC, senior note, 1.00%, 2/15/25 |
United States | 998,000 | 988,185 | |||||||||||
dKaleyra Inc., senior note, 144A, 6.125%, 6/01/26 |
Italy | 393,000 | 421,987 | |||||||||||
b,dMicrostrategy Inc., senior note, 144A, zero cpn., 2/15/27 |
United States | 1,004,000 | 800,928 | |||||||||||
dMitek Systems Inc., senior note, 144A, 0.75%, 2/01/26 |
United States | 1,004,000 | 1,251,961 | |||||||||||
bNutanix Inc., senior note, zero cpn., 1/15/23 |
United States | 1,180,000 | 1,245,523 | |||||||||||
Palo Alto Networks Inc., senior note, 0.375%, 6/01/25 |
United States | 445,000 | 716,140 | |||||||||||
bPROS Holdings Inc., senior note, 1.00%, 5/15/24 |
United States | 778,000 | 778,131 | |||||||||||
b,dRapid7 Inc., senior note, 144A, 0.25%, 3/15/27 |
United States | 850,000 | 1,116,730 | |||||||||||
fSplunk Inc., senior note, 1.125%, 6/15/27 |
United States | 1,420,000 | 1,422,662 | |||||||||||
|
|
|||||||||||||
15,344,329 | ||||||||||||||
|
|
|||||||||||||
Specialty Retail 0.2% |
||||||||||||||
bGuess? Inc., senior note, 2.00%, 4/15/24 |
United States | 1,028,000 | 1,214,325 | |||||||||||
b,dShift Technologies Inc., senior note, 144A, 4.75%, 5/15/26 |
United States | 825,000 | 948,750 | |||||||||||
dVroom Inc., senior note, 144A, 0.75%, 7/01/26 |
United States | 927,000 | 781,984 | |||||||||||
|
|
|||||||||||||
2,945,059 | ||||||||||||||
|
|
|||||||||||||
Technology Hardware, Storage & Peripherals 0.0% |
||||||||||||||
bPure Storage Inc., senior note, 0.125%, 4/15/23 |
United States | 154,000 | 179,877 | |||||||||||
|
|
|||||||||||||
Total Convertible Bonds (Cost $162,287,330) |
173,942,803 | |||||||||||||
|
|
20
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* |
Value | ||||||||||||
Corporate Bonds and Notes 8.3% |
||||||||||||||
Aerospace & Defense 0.4% |
||||||||||||||
The Boeing Co., |
||||||||||||||
senior bond, 2.25%, 6/15/26 |
United States | 115,000 | $ | 118,203 | ||||||||||
senior bond, 2.95%, 2/01/30 |
United States | 50,000 | 51,440 | |||||||||||
senior bond, 3.375%, 6/15/46 |
United States | 90,000 | 88,339 | |||||||||||
senior bond, 3.625%, 3/01/48 |
United States | 25,000 | 25,154 | |||||||||||
senior bond, 3.90%, 5/01/49 |
United States | 100,000 | 104,961 | |||||||||||
senior bond, 3.75%, 2/01/50 |
United States | 130,000 | 134,918 | |||||||||||
senior bond, 5.805%, 5/01/50 |
United States | 610,000 | 829,846 | |||||||||||
senior bond, 3.825%, 3/01/59 |
United States | 25,000 | 25,537 | |||||||||||
senior bond, 3.95%, 8/01/59 |
United States | 30,000 | 31,296 | |||||||||||
senior bond, 5.93%, 5/01/60 |
United States | 20,000 | 27,854 | |||||||||||
senior note, 2.196%, 2/04/26 |
United States | 435,000 | 436,786 | |||||||||||
senior note, 5.15%, 5/01/30 |
United States | 140,000 | 165,788 | |||||||||||
b,dBombardier Inc., 144A, |
||||||||||||||
senior bond, 6.125%, 1/15/23 |
Canada | 1,423,000 | 1,531,924 | |||||||||||
senior note, 6.00%, 10/15/22 |
Canada | 670,000 | 671,641 | |||||||||||
Embraer Netherlands Finance BV, senior bond, 5.05%, 6/15/25 |
Brazil | 55,000 | 58,342 | |||||||||||
dLeonardo US Holdings Inc., senior bond, 144A, 6.25%, 1/15/40 |
Italy | 236,000 | 278,480 | |||||||||||
Spirit Aerosystems Inc., |
||||||||||||||
fsenior bond, 4.60%, 6/15/28 |
United States | 20,000 | 19,575 | |||||||||||
dsenior secured note, 144A, 5.50%, 1/15/25 |
United States | 376,000 | 393,875 | |||||||||||
|
|
|||||||||||||
4,993,959 | ||||||||||||||
|
|
|||||||||||||
Airlines 0.3% |
||||||||||||||
American Airlines 2015-2 Class Aa Pass-Through Trust, 3.60%, 9/22/27 |
United States | 1,053,936 | 1,097,609 | |||||||||||
American Airlines 2016-1 Class Aa Pass-Through Trust, AA, 3.575%, 1/15/28 |
United States | 472,361 | 487,670 | |||||||||||
dHawaiian Airlines 2020-1 Class A Pass-Through Certificates, 144A, 7.375%, 9/15/27 |
United States | 1,885,226 | 2,137,726 | |||||||||||
United Airlines 2020-1 Class B Pass-Through Trust, 4.875%, 1/15/26 |
United States | 46,713 | 49,230 | |||||||||||
dUnited Airlines Inc., senior secured note, 144A, |
||||||||||||||
4.375%, 4/15/26 |
United States | 40,000 | 41,575 | |||||||||||
4.625%, 4/15/29 |
United States | 55,000 | 57,132 | |||||||||||
United Airlines Pass-Through Trust, 2019-2, B, 3.50%, 5/01/28 |
United States | 367,272 | 365,061 | |||||||||||
|
|
|||||||||||||
4,236,003 | ||||||||||||||
|
|
|||||||||||||
Automobiles 0.0% |
||||||||||||||
General Motors Co., senior bond, |
||||||||||||||
5.20%, 4/01/45 |
United States | 30,000 | 36,838 | |||||||||||
5.40%, 4/01/48 |
United States | 140,000 | 177,660 | |||||||||||
5.95%, 4/01/49 |
United States | 190,000 | 259,179 | |||||||||||
gGeneral Motors Financial Co. Inc., Perpetual, |
||||||||||||||
A, junior sub. note, 5.75% to 9/30/27, FRN thereafter |
United States | 100,000 | 109,867 | |||||||||||
B, junior sub. note, 6.50% to 3/30/28, FRN thereafter |
United States | 75,000 | 85,313 | |||||||||||
fC, junior sub. note, 5.70% to 9/30/30, FRN thereafter |
United States | 35,000 | 40,250 | |||||||||||
|
|
|||||||||||||
709,107 | ||||||||||||||
|
|
|||||||||||||
Banks 0.6% |
||||||||||||||
dAxis Bank Ltd., senior note, Reg S, 3.00%, 8/08/22 |
India | 400,000 | 407,974 | |||||||||||
d,h,iBanco Hipotecario SA, senior note, 144A, FRN, 38.125%, (ARS BADLAR + 4.00%), 11/07/22 |
Argentina | 3,160,000 | ARS | 18,401 | ||||||||||
d,iBanco Macro SA, senior note, 144A, 17.50%, 5/08/22 |
Argentina | 1,740,000 | ARS | 8,981 | ||||||||||
dBank of Communications Hong Kong Ltd., sub. bond, Reg S, 2.304%, 7/08/31 |
Hong Kong | 400,000 | 399,606 |
21
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* |
Value | ||||||||||||
Corporate Bonds and Notes (continued) |
||||||||||||||
Banks (continued) |
||||||||||||||
dBank Rakyat Indonesia Persero TBK PT, senior note, Reg S, 4.625%, 7/20/23 |
Indonesia | 200,000 | $ | 213,250 | ||||||||||
Barclays PLC, |
||||||||||||||
sub. bond, 3.564% to 9/23/30, FRN thereafter, 9/23/35 |
United Kingdom | 325,000 | 339,887 | |||||||||||
gjunior sub. note, 4.375%, Perpetual |
United Kingdom | 210,000 | 213,213 | |||||||||||
dCanara Bank, senior note, Reg S, |
||||||||||||||
E, 3.25%, 8/10/22 |
India | 200,000 | 203,975 | |||||||||||
E, 3.875%, 3/28/24 |
India | 466,000 | 490,682 | |||||||||||
Deutsche Bank AG, |
||||||||||||||
senior bond, 3.547% to 9/18/30, FRN thereafter, 9/18/31 |
Germany | 150,000 | 162,437 | |||||||||||
sub. bond, 3.729% to 1/14/31, FRN thereafter, 1/14/32 |
Germany | 200,000 | 206,519 | |||||||||||
gHSBC Holdings PLC, junior sub. note, 6.25% to 3/23/23, FRN thereafter, Perpetual |
United Kingdom | 1,400,000 | 1,473,500 | |||||||||||
dICICI Bank Ltd., E, senior note, Reg S, 3.25%, 9/09/22 |
India | 300,000 | 307,127 | |||||||||||
dIndusind Bank Ltd., E, senior note, Reg S, 3.875%, 4/15/22 |
India | 800,000 | 806,948 | |||||||||||
Keybank NA, senior note, 0.433%, 6/14/24 |
United States | 465,000 | 465,449 | |||||||||||
d,gKrung Thai Bank PCL, junior sub. note, Reg S, 4.40% to 3/25/26, FRN thereafter, Perpetual |
Thailand | 200,000 | 202,379 | |||||||||||
dSociete Generale SA, sub. bond, 144A, 3.653% to 7/08/30, FRN thereafter, 7/08/35 |
France | 200,000 | 209,387 | |||||||||||
dStandard Chartered PLC, sub. bond, 144A, 3.265% to 11/18/30, FRN thereafter, 2/18/36 |
United Kingdom | 255,000 | 256,470 | |||||||||||
dState Bank of India, E, senior note, Reg S, 4.50%, 9/28/23 |
India | 1,100,000 | 1,178,236 | |||||||||||
d,gTMB Bank PCL, E, junior sub. note, Reg S, 4.90% to 12/02/24, FRN thereafter, Perpetual |
Thailand | 400,000 | 406,906 | |||||||||||
dVTB Bank OJSC Via VTB Capital SA, senior note, loan participation, sub. senior note, Reg S, 6.95%, 10/17/22 |
Russia | 959,000 | 1,008,507 | |||||||||||
|
|
|||||||||||||
8,979,834 | ||||||||||||||
|
|
|||||||||||||
Beverages 0.0% |
||||||||||||||
Fomento Economico Mexicano SAB de CV, senior bond, 3.50%, 1/16/50 |
Mexico | 244,000 | 260,540 | |||||||||||
|
|
|||||||||||||
Capital Markets 0.4% |
||||||||||||||
Ares Capital Corp., senior note, 2.875%, 6/15/28 |
United States | 355,000 | 362,246 | |||||||||||
dDua Capital Ltd., senior bond, Reg S, 2.78%, 5/11/31 |
Malaysia | 200,000 | 202,003 | |||||||||||
deG Global Finance PLC, senior secured note, 144A, 6.25%, 10/30/25 |
United Kingdom | 144,000 | EUR | 175,251 | ||||||||||
FS KKR Capital Corp., senior note, 3.40%, 1/15/26 |
United States | 365,000 | 380,990 | |||||||||||
dHuarong Finance 2017 Co. Ltd., Reg S, |
||||||||||||||
senior bond, 4.75%, 4/27/27 |
China | 200,000 | 198,000 | |||||||||||
gsenior note, E, 4.00%, Perpetual |
China | 465,000 | 440,587 | |||||||||||
gsenior note, 4.50% to 1/24/22, FRN thereafter, Perpetual |
China | 1,200,000 | 1,171,440 | |||||||||||
dHuarong Finance 2019 Co. Ltd., Reg S, senior bond, E, 4.50%, 5/29/29 |
China | 200,000 | 194,000 | |||||||||||
senior bond, E, 3.875%, 11/13/29 |
China | 200,000 | 185,500 | |||||||||||
senior bond, E, 3.625%, 9/30/30 |
China | 200,000 | 184,500 | |||||||||||
senior note, E, 3.75%, 5/29/24 |
China | 200,000 | 195,500 | |||||||||||
senior note, E, 3.25%, 11/13/24 |
China | 200,000 | 192,000 | |||||||||||
dHuarong Finance II Co. Ltd., senior bond, Reg S, |
||||||||||||||
5.00%, 11/19/25 |
China | 500,000 | 510,000 | |||||||||||
EMTN, 4.875%, 11/22/26 |
China | 200,000 | 199,000 | |||||||||||
Oaktree Specialty Lending Corp., senior note, 2.70%, 1/15/27 |
United States | 75,000 | 75,796 | |||||||||||
Owl Rock Capital Corp., senior note, 3.40%, 7/15/26 |
United States | 290,000 | 303,655 |
22
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* |
Value | ||||||||||||
Corporate Bonds and Notes (continued) |
||||||||||||||
Capital Markets (continued) |
||||||||||||||
Owl Rock Capital Corp., senior note, (continued) 2.875%, 6/11/28 |
United States | 180,000 | $ | 181,146 | ||||||||||
Owl Rock Technology Finance Corp., senior note, 2.50%, 1/15/27 |
United States | 90,000 | 90,563 | |||||||||||
dTemasek Financial I Ltd., senior bond, Reg S, 2.75%, 8/02/61 |
Singapore | 550,000 | 561,498 | |||||||||||
|
|
|||||||||||||
5,803,675 | ||||||||||||||
|
|
|||||||||||||
Chemicals 0.1% |
||||||||||||||
dAshland LLC, senior bond, 144A, 3.375%, 9/01/31 |
United States | 140,000 | 144,076 | |||||||||||
d,gBluestar Finance Holdings Ltd., senior note, Reg S, 3.10%, Perpetual |
China | 200,000 | 203,263 | |||||||||||
d Braskem Netherlands Finance BV, senior bond, 144A, 4.50%, 1/31/30 |
Brazil | 200,000 | 214,520 | |||||||||||
d,gCNAC HK Finbridge Co. Ltd., senior note, Reg S, 3.35%, Perpetual |
China | 200,000 | 204,001 | |||||||||||
dOrbia Advance Corp. SAB de CV, senior bond, 144A, 2.875%, 5/11/31 |
Mexico | 200,000 | 203,555 | |||||||||||
|
|
|||||||||||||
969,415 | ||||||||||||||
|
|
|||||||||||||
Communications Equipment 0.1% |
||||||||||||||
dCommScope Inc., 144A, |
||||||||||||||
senior note, 7.125%, 7/01/28 |
United States | 430,000 | 451,500 | |||||||||||
senior secured note, 4.75%, 9/01/29 |
United States | 60,000 | 60,835 | |||||||||||
d,f CommScope Technologies LLC, senior bond, 144A, 5.00%, 3/15/27 |
United States | 180,000 | 177,492 | |||||||||||
dHTA Group Ltd., senior note, 144A, 7.00%, 12/18/25 |
Democratic Rep. of the Congo | 435,000 | 461,396 | |||||||||||
|
|
|||||||||||||
1,151,223 | ||||||||||||||
|
|
|||||||||||||
Construction & Engineering 0.1% |
||||||||||||||
dCliffton Ltd., senior secured note, Reg S, 6.25%, 10/25/25 |
India | 200,000 | 198,260 | |||||||||||
dGMR Hyderabad International Airport Ltd., |
||||||||||||||
senior secured bond, Reg S, 4.25%, 10/27/27 |
India | 200,000 | 193,555 | |||||||||||
senior secured note, Reg S, 5.375%, 4/10/24 |
India | 200,000 | 206,361 | |||||||||||
senior secured note, 144A, 4.75%, 2/02/26 |
India | 200,000 | 201,750 | |||||||||||
|
|
|||||||||||||
799,926 | ||||||||||||||
|
|
|||||||||||||
Construction Materials 0.0% |
||||||||||||||
dCemex SAB de CV, senior secured bond, 144A, |
||||||||||||||
5.45%, 11/19/29 |
Mexico | 200,000 | 219,602 | |||||||||||
5.20%, 9/17/30 |
Mexico | 245,000 | 268,887 | |||||||||||
3.875%, 7/11/31 |
Mexico | 200,000 | 206,021 | |||||||||||
|
|
|||||||||||||
694,510 | ||||||||||||||
|
|
|||||||||||||
Consumer Finance 0.1% |
||||||||||||||
gAlly Financial Inc., C, junior sub. note, 4.70% to 5/15/28, FRN thereafter, Perpetual |
United States | 305,000 | 318,344 | |||||||||||
dMuthoot Finance Ltd., senior secured note, Reg S, |
||||||||||||||
6.125%, 10/31/22 |
India | 600,000 | 622,500 | |||||||||||
4.40%, 9/02/23 |
India | 200,000 | 205,500 | |||||||||||
dShriram Transport Finance Co. Ltd., E, senior secured note, Reg S, 5.70%, 2/27/22 |
India | 200,000 | 202,250 | |||||||||||
|
|
|||||||||||||
1,348,594 | ||||||||||||||
|
|
|||||||||||||
Diversified Consumer Services 0.1% |
||||||||||||||
d,gCMHI Finance BVI Co. Ltd., senior note, Reg S, 3.50%, Perpetual |
China | 200,000 | 205,780 | |||||||||||
dLoxam SAS, senior secured note, Reg S, 3.25%, 1/14/25 |
France | 100,000 | EUR | 119,473 | ||||||||||
dMPH Acquisition Holdings LLC, senior secured note, 144A, 5.50%, 9/01/28 |
United States | 496,000 | 504,888 |
23
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* |
Value | ||||||||||||
Corporate Bonds and Notes (continued) |
||||||||||||||
Diversified Consumer Services (continued) |
||||||||||||||
dNew Oriental Education & Technology Group Inc., senior note, Reg S, 2.125%, 7/02/25 |
China | 200,000 | $ | 179,184 | ||||||||||
|
|
|||||||||||||
1,009,325 | ||||||||||||||
|
|
|||||||||||||
Diversified Financial Services 0.6% |
||||||||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, senior note, 6.50%, 7/15/25 |
Ireland | 150,000 | 175,100 | |||||||||||
dAviation Capital Group LLC, senior note, 144A, 1.95%, 1/30/26 |
United States | 50,000 | 50,297 | |||||||||||
dAzure Orbit IV International Finance Ltd., E, senior note, Reg S, 3.75%, 1/25/23 |
China | 700,000 | 724,472 | |||||||||||
dBlackstone Secured Lending Fund, senior note, 144A, 2.125%, 2/15/27 |
United States | 405,000 | 400,501 | |||||||||||
dBocom Leasing Management Hong Kong Co. Ltd., senior note, Reg S, |
||||||||||||||
E, 4.00%, 1/22/22 |
China | 200,000 | 202,204 | |||||||||||
E, 1.75%, 7/14/23 |
China | 200,000 | 201,809 | |||||||||||
E, 1.125%, 6/18/24 |
Hong Kong | 800,000 | 797,723 | |||||||||||
dCDBL Funding 2, senior note, Reg S, |
||||||||||||||
E, 3.00%, 8/01/22 |
China | 200,000 | 203,262 | |||||||||||
E, 1.375%, 3/04/24 |
China | 800,000 | 799,917 | |||||||||||
d,gChina Great Wall International Holdings IV Ltd., senior note, Reg S, 3.95% to 7/31/24, FRN thereafter, Perpetual |
China | 200,000 | 205,014 | |||||||||||
dCICC Hong Kong Finance 2016 MTN Ltd., senior note, Reg S, |
||||||||||||||
E, 1.75%, 8/10/23 |
China | 400,000 | 403,634 | |||||||||||
E, 1.625%, 1/26/24 |
China | 300,000 | 302,277 | |||||||||||
dConstellation Automotive Financing PLC, senior note, 144A, 4.875%, 7/15/27 |
United Kingdom | 200,000 | 274,902 | |||||||||||
d Financiera de Desarrollo Territorial SA Findeter, senior bond, 144A, 7.875%, 8/12/24 |
Colombia | 393,000,000 | COP | 108,902 | ||||||||||
dIndian Railway Finance Corp. Ltd., senior bond, 144A, 2.80%, 2/10/31 |
India | 200,000 | 196,911 | |||||||||||
dMDC-GMTN BV, senior bond, Reg S, 4.50%, 11/07/28 |
United Arab Emirates | 261,000 | 306,114 | |||||||||||
dQuicken Loans LLC / Quicken Loans Co.-Issuer Inc., 144A, |
||||||||||||||
senior bond, 3.875%, 3/01/31 |
United States | 420,000 | 430,232 | |||||||||||
senior note, 3.625%, 3/01/29 |
United States | 385,000 | 393,662 | |||||||||||
dRec Ltd., senior note, Reg S, |
||||||||||||||
4.75%, 5/19/23 |
India | 1,000,000 | 1,055,765 | |||||||||||
5.25%, 11/13/23 |
India | 400,000 | 431,670 | |||||||||||
G, 3.375%, 7/25/24 |
India | 300,000 | 313,977 | |||||||||||
dRocket Mortgage LLC, senior bond, 144A, 5.25%, 1/15/28 |
United States | 520,000 | 549,250 | |||||||||||
Sun Hung Kai & Co. BVI Ltd., EMTN, senior note, 5.00%, 9/07/26 |
British Virgin Islands | 300,000 | 300,000 | |||||||||||
|
|
|||||||||||||
8,827,595 | ||||||||||||||
|
|
|||||||||||||
Diversified Telecommunication Services 0.2% |
||||||||||||||
dBharti Airtel International Netherlands BV, senior bond, Reg S, 5.125%, 3/11/23 |
India | 500,000 | 526,247 | |||||||||||
Frontier Communications Holdings LLC, secured note, 5.875%, 11/01/29 |
United States | 113,478 | 115,557 | |||||||||||
dsenior secured note, 144A, 5.875%, 10/15/27 |
United States | 465,000 | 497,657 | |||||||||||
dsenior secured note, 144A, 5.00%, 5/01/28 |
United States | 219,000 | 229,129 | |||||||||||
dKenbourne Invest SA, senior note, 144A, 6.875%, 11/26/24 |
Chile | 200,000 | 212,001 | |||||||||||
d,jLigado Networks LLC, 144A, PIK, |
||||||||||||||
fsecured note, 17.50%, 5/01/24 |
United States | 50,210 | 37,840 | |||||||||||
senior secured note, 15.50%, 11/01/23 |
United States | 1,013,744 | 974,461 | |||||||||||
dTelesat Canada / Telesat LLC, senior secured note, 144A, 4.875%, 6/01/27 |
Canada | 131,000 | 121,100 | |||||||||||
|
|
|||||||||||||
2,713,992 | ||||||||||||||
|
|
24
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* |
Value | ||||||||||||
Corporate Bonds and Notes (continued) |
||||||||||||||
Electric Utilities 0.4% |
||||||||||||||
b,eBruce Mansfield Escrow, senior bond, zero cpn., 6/01/34 |
United States | 6,394,000 | $ | 23,978 | ||||||||||
d,gChina Huaneng Group Hong Kong Treasury Management Holding Ltd., senior note, Reg S, 3.08% to 12/09/25, FRN thereafter, Perpetual |
China | 400,000 | 412,676 | |||||||||||
gEdison International, A, junior sub. note, 5.375% to 3/15/26, FRN thereafter, Perpetual |
United States | 360,000 | 367,650 | |||||||||||
dEskom Holdings SOC Ltd., senior bond, Reg S, 8.45%, 8/10/28 |
South Africa | 1,134,000 | 1,293,894 | |||||||||||
dGreenko Investment Co., senior secured note, Reg S, 4.875%, 8/16/23 |
India | 200,000 | 202,736 | |||||||||||
d,gHuaneng Hong Kong Capital Ltd., senior note, Reg S, 3.60% to 10/30/22, FRN thereafter, Perpetual |
China | 400,000 | 407,952 | |||||||||||
dOryx Funding Ltd., senior bond, 144A, 5.80%, 2/03/31 |
Oman | 283,000 | 300,022 | |||||||||||
Pacific Gas and Electric Co., |
||||||||||||||
secured bond, 4.50%, 7/01/40 |
United States | 1,106,000 | 1,117,550 | |||||||||||
secured bond, 4.95%, 7/01/50 |
United States | 55,000 | 58,311 | |||||||||||
secured bond, 3.50%, 8/01/50 |
United States | 200,000 | 180,577 | |||||||||||
senior bond, 4.30%, 3/15/45 |
United States | 95,000 | 93,491 | |||||||||||
d,gSMC Global Power Holdings Corp., senior note, Reg S, 5.45%, Perpetual |
Philippines | 200,000 | 201,370 | |||||||||||
Southern California Edison Co., |
||||||||||||||
secured bond, 3.65%, 2/01/50 |
United States | 40,000 | 40,850 | |||||||||||
senior bond, 4.00%, 4/01/47 |
United States | 10,000 | 10,560 | |||||||||||
senior bond, C, 4.125%, 3/01/48 |
United States | 15,000 | 16,252 | |||||||||||
dTalen Energy Supply LLC, senior secured note, 144A, |
||||||||||||||
7.25%, 5/15/27 |
United States | 128,000 | 110,838 | |||||||||||
7.625%, 6/01/28 |
United States | 162,000 | 140,392 | |||||||||||
|
|
|||||||||||||
4,979,099 | ||||||||||||||
|
|
|||||||||||||
Entertainment 0.1% |
||||||||||||||
d,jAMC Entertainment Holdings Inc., secured note, 144A, PIK, 12.00%, 6/15/26 |
United States | 406,000 | 366,653 | |||||||||||
Netflix Inc., senior bond, |
||||||||||||||
4.875%, 4/15/28 |
United States | 80,000 | 93,602 | |||||||||||
5.875%, 11/15/28 |
United States | 70,000 | 86,890 | |||||||||||
6.375%, 5/15/29 |
United States | 75,000 | 96,195 | |||||||||||
d144A, 5.375%, 11/15/29 |
United States | 20,000 | 24,623 | |||||||||||
d144A, 4.875%, 6/15/30 |
United States | 215,000 | 257,620 | |||||||||||
|
|
|||||||||||||
925,583 | ||||||||||||||
|
|
|||||||||||||
Equity Real Estate Investment Trusts (REITs) 0.0% |
||||||||||||||
National Health Investors Inc., senior bond, 3.00%, 2/01/31 |
United States | 30,000 | 29,744 | |||||||||||
|
|
|||||||||||||
Food & Staples Retailing 0.1% |
||||||||||||||
dCasino Guichard Perrachon SA, Reg S, |
||||||||||||||
senior bond, E, 4.498%, 3/07/24 |
France | 200,000 | EUR | 240,157 | ||||||||||
gjunior sub. note, E, 3.992% to 1/31/24, FRN thereafter, Perpetual |
France | 300,000 | EUR | 258,761 | ||||||||||
dJBS USA/Food/Finance, senior bond, 144A, 3.75%, 12/01/31 |
United States | 75,000 | 79,219 | |||||||||||
dMarb Bondco PLC, senior bond, 144A, 3.95%, 1/29/31 |
Brazil | 225,000 | 219,757 | |||||||||||
dSmithfield Foods Inc., senior bond, 144A, 3.00%, 10/15/30 |
United States | 30,000 | 30,592 | |||||||||||
|
|
|||||||||||||
828,486 | ||||||||||||||
|
|
|||||||||||||
Food Products 0.0% |
||||||||||||||
Kraft Heinz Foods Co., senior bond, |
||||||||||||||
5.00%, 6/04/42 |
United States | 45,000 | 57,022 | |||||||||||
4.375%, 6/01/46 |
United States | 95,000 | 110,346 | |||||||||||
4.875%, 10/01/49 |
United States | 150,000 | 186,853 | |||||||||||
d,kPilgrims Pride Corp., senior bond, 144A, 3.50%, 3/01/32 |
United States | 175,000 | 178,972 | |||||||||||
|
|
|||||||||||||
533,193 | ||||||||||||||
|
|
25
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* |
Value | ||||||||||||
Corporate Bonds and Notes (continued) |
||||||||||||||
Health Care Providers & Services 0.2% |
||||||||||||||
Centene Corp., |
||||||||||||||
senior bond, 3.00%, 10/15/30 |
United States | 85,000 | $ | 88,206 | ||||||||||
senior bond, 2.50%, 3/01/31 |
United States | 350,000 | 349,534 | |||||||||||
senior note, 2.625%, 8/01/31 |
United States | 120,000 | 121,800 | |||||||||||
Encompass Health Corp., senior bond, 4.625%, 4/01/31 |
United States | 1,433,000 | 1,538,426 | |||||||||||
HCA Inc., senior bond, 3.50%, 9/01/30 |
United States | 130,000 | 139,704 | |||||||||||
|
|
|||||||||||||
2,237,670 | ||||||||||||||
|
|
|||||||||||||
Hotels, Restaurants & Leisure 0.2% |
||||||||||||||
d1011778 BC ULC / New Red Finance Inc., secured note, 144A, 4.375%, 1/15/28 |
Canada | 225,000 | 228,656 | |||||||||||
dCarnival Corp., senior note, 144A, 5.75%, 3/01/27 |
United States | 295,000 | 301,981 | |||||||||||
dGENM Capital Labuan Ltd., senior bond, 144A, 3.882%, 4/19/31 |
Malaysia | 200,000 | 201,502 | |||||||||||
b,dGolden Nugget Inc., senior note, 144A, 6.75%, 10/15/24 |
United States | 114,000 | 114,405 | |||||||||||
dHaidilao International Holding Ltd., senior note, Reg S, 2.15%, 1/14/26 |
China | 420,000 | 407,517 | |||||||||||
dHilton Grand Vacations Borrower Escrow LLC, 144A, |
||||||||||||||
senior bond, 4.875%, 7/01/31 |
United States | 50,000 | 49,626 | |||||||||||
senior note, 5.00%, 6/01/29 |
United States | 155,000 | 157,131 | |||||||||||
Hyatt Hotels Corp., |
||||||||||||||
senior bond, 5.75%, 4/23/30 |
United States | 95,000 | 114,161 | |||||||||||
senior note, 5.375%, 4/23/25 |
United States | 50,000 | 55,980 | |||||||||||
Marriott International Inc., FF, senior bond, 4.625%, 6/15/30 |
United States | 75,000 | 86,267 | |||||||||||
dMarriott Ownership Resorts Inc., senior note, 144A, 4.50%, 6/15/29 |
United States | 70,000 | 70,781 | |||||||||||
d,fPenn National Gaming Inc., senior note, 144A, 4.125%, 7/01/29 |
United States | 55,000 | 55,001 | |||||||||||
dRoyal Caribbean Cruises Ltd., senior note, 144A, |
||||||||||||||
4.25%, 7/01/26 |
United States | 45,000 | 43,931 | |||||||||||
5.50%, 4/01/28 |
United States | 310,000 | 312,683 | |||||||||||
dScientific Games International Inc., senior note, 144A, |
||||||||||||||
7.00%, 5/15/28 |
United States | 200,000 | 215,840 | |||||||||||
7.25%, 11/15/29 |
United States | 70,000 | 78,225 | |||||||||||
Travel + Leisure Co., |
||||||||||||||
senior secured bond, 6.00%, 4/01/27 |
United States | 10,000 | 11,078 | |||||||||||
dsenior secured bond, 144A, 4.625%, 3/01/30 |
United States | 95,000 | 97,972 | |||||||||||
dsenior secured note, 144A, 6.625%, 7/31/26 |
United States | 125,000 | 142,544 | |||||||||||
|
|
|||||||||||||
2,745,281 | ||||||||||||||
|
|
|||||||||||||
Household Durables 0.1% |
||||||||||||||
dK. Hovnanian Enterprises Inc., senior secured note, 144A, 7.75%, 2/15/26 |
United States | 1,628,000 | 1,734,170 | |||||||||||
|
|
|||||||||||||
Independent Power & Renewable Electricity Producers 0.0% |
||||||||||||||
dNTPC Ltd., E, senior bond, Reg S, 4.75%, 10/03/22 |
India | 200,000 | 208,209 | |||||||||||
|
|
|||||||||||||
Industrial Conglomerates 0.1% |
||||||||||||||
General Electric Co., senior bond, 3.625%, 5/01/30 |
United States | 110,000 | 123,781 | |||||||||||
Icahn Enterprises LP / Icahn Enterprises Finance Corp., senior note, |
||||||||||||||
6.25%, 5/15/26 |
United States | 85,000 | 89,675 | |||||||||||
5.25%, 5/15/27 |
United States | 265,000 | 275,601 | |||||||||||
4.375%, 2/01/29 |
United States | 235,000 | 236,181 | |||||||||||
|
|
|||||||||||||
725,238 | ||||||||||||||
|
|
|||||||||||||
Insurance 0.1% |
||||||||||||||
Athene Holding Ltd., senior bond, 3.50%, 1/15/31 |
United States | 110,000 | 119,814 | |||||||||||
hGenworth Holdings Inc., senior bond, FRN, 2.127%, (3-Month USD LIBOR + 2.00%), 11/15/66 |
United States | 1,664,000 | 1,023,551 | |||||||||||
dGlobal Atlantic Finance Co., senior bond, 144A, 4.40%, 10/15/29 |
United States | 165,000 | 183,059 | |||||||||||
d,gKDB Life Insurance Co. Ltd., sub. note, Reg S, 7.50% to 5/21/23, FRN thereafter, Perpetual |
South Korea | 200,000 | 203,816 |
26
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* |
Value | ||||||||||||
Corporate Bonds and Notes (continued) |
||||||||||||||
Insurance (continued) |
||||||||||||||
d,gTongyang Life Insurance Co. Ltd., sub. note, Reg S, 5.25% to 9/22/25, FRN thereafter, Perpetual |
South Korea | 400,000 | $ | 421,726 | ||||||||||
|
|
|||||||||||||
1,951,966 | ||||||||||||||
|
|
|||||||||||||
Interactive Media & Services 0.1% |
||||||||||||||
dTencent Holdings Ltd., senior bond, Reg S, |
||||||||||||||
3.84%, 4/22/51 |
China | 200,000 | 216,910 | |||||||||||
3.94%, 4/22/61 |
China | 500,000 | 555,910 | |||||||||||
|
|
|||||||||||||
772,820 | ||||||||||||||
|
|
|||||||||||||
Internet & Direct Marketing Retail 0.1% |
||||||||||||||
Expedia Group Inc., |
||||||||||||||
senior bond, 3.80%, 2/15/28 |
United States | 75,000 | 81,208 | |||||||||||
senior note, 3.25%, 2/15/30 |
United States | 505,000 | 524,035 | |||||||||||
senior note, 2.95%, 3/15/31 |
United States | 80,000 | 81,471 | |||||||||||
dMeituan, senior bond, Reg S, 3.05%, 10/28/30 |
China | 200,000 | 189,641 | |||||||||||
d,gRakuten Group Inc., senior bond, Reg S, 6.25% to 4/22/31, FRN thereafter, Perpetual |
Japan | 200,000 | 208,500 | |||||||||||
|
|
|||||||||||||
1,084,855 | ||||||||||||||
|
|
|||||||||||||
Leisure Products 0.0% |
||||||||||||||
dNCL Corp. Ltd., senior note, 144A, 5.875%, 3/15/26 |
United States | 195,000 | 195,731 | |||||||||||
dNCL Finance Ltd., senior note, 144A, 6.125%, 3/15/28 |
United States | 65,000 | 65,424 | |||||||||||
|
|
|||||||||||||
261,155 | ||||||||||||||
|
|
|||||||||||||
Marine 0.0% |
||||||||||||||
dStena International SA, senior secured bond, 144A, 5.75%, 3/01/24 |
Sweden | 299,000 | 311,177 | |||||||||||
|
|
|||||||||||||
Media 0.3% |
||||||||||||||
dCCO Holdings LLC / CCO Holdings Capital Corp., senior bond, 144A, |
||||||||||||||
4.25%, 2/01/31 |
United States | 365,000 | 375,050 | |||||||||||
4.25%, 1/15/34 |
United States | 695,000 | 702,353 | |||||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital, senior secured bond, 4.40%, 12/01/61 |
United States | 920,000 | 1,010,923 | |||||||||||
dCSC Holdings LLC, senior bond, 144A, 4.625%, 12/01/30 |
United States | 610,000 | 600,850 | |||||||||||
d,fDiamond Sports Group LLC / Diamond Sports Finance Co., senior note, 144A, 6.625%, 8/15/27 |
United States | 711,000 | 306,619 | |||||||||||
dDIRECTV Holdings LLC / DIRECTV Financing Co. Inc., senior secured note, 144A, 5.875%, 8/15/27 |
United States | 60,000 | 62,799 | |||||||||||
dDish DBS Corp., senior note, 144A, 5.125%, 6/01/29 |
United States | 140,000 | 139,475 | |||||||||||
iHeartCommunications Inc., |
||||||||||||||
senior note, 8.375%, 5/01/27 |
United States | 430,000 | 457,327 | |||||||||||
senior secured note, 6.375%, 5/01/26 |
United States | 40,000 | 42,300 | |||||||||||
dsenior secured note, 144A, 5.25%, 8/15/27 |
United States | 90,000 | 94,415 | |||||||||||
dsenior secured note, 144A, 4.75%, 1/15/28 |
United States | 175,000 | 180,906 | |||||||||||
dOutfront Media Capital LLC / Outfront Media Capital Corp., senior bond, 144A, 4.625%, 3/15/30 |
United States | 65,000 | 65,895 | |||||||||||
|
|
|||||||||||||
4,038,912 | ||||||||||||||
|
|
|||||||||||||
Metals & Mining 0.2% |
||||||||||||||
dCSN Inova Ventures, senior note, 144A, 6.75%, 1/28/28 |
Brazil | 414,000 | 456,083 | |||||||||||
dFirst Quantum Minerals Ltd., senior note, 144A, |
||||||||||||||
6.875%, 3/01/26 |
Zambia | 200,000 | 209,245 | |||||||||||
6.875%, 10/15/27 |
Zambia | 620,000 | 671,925 | |||||||||||
dFMG Resources August 2006 Pty Ltd., senior bond, 144A, 4.375%, 4/01/31 |
Australia | 155,000 | 167,248 | |||||||||||
Freeport-McMoRan Inc., senior bond, |
||||||||||||||
4.625%, 8/01/30 |
United States | 95,000 | 104,856 | |||||||||||
5.40%, 11/14/34 |
United States | 145,000 | 182,019 |
27
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* |
Value | ||||||||||||
Corporate Bonds and Notes (continued) |
||||||||||||||
Metals & Mining (continued) |
||||||||||||||
Freeport-McMoRan Inc., senior bond, (continued) 5.45%, 3/15/43 |
United States | 20,000 | $ | 25,599 | ||||||||||
d,fGlencore Funding LLC, senior bond, 144A, 2.85%, 4/27/31 |
Australia | 390,000 | 399,483 | |||||||||||
dIndonesia Asahan Aluminium Persero PT, senior bond, Reg S, 5.80%, 5/15/50 |
Indonesia | 400,000 | 476,748 | |||||||||||
dJSW Steel Ltd., senior note, Reg S, 5.25%, 4/13/22 |
India | 200,000 | 204,500 | |||||||||||
d,gMCC Holding Hong Kong Corp. Ltd., senior note, Reg S, 3.50% to 1/16/23, FRN thereafter, Perpetual |
China | 200,000 | 203,002 | |||||||||||
dNovelis Corp., senior bond, 144A, 4.75%, 1/30/30 |
United States | 90,000 | 95,963 | |||||||||||
dVolcan Cia Minera SAA, senior note, 144A, 4.375%, 2/11/26 |
Peru | 30,000 | 29,253 | |||||||||||
|
|
|||||||||||||
3,225,924 | ||||||||||||||
|
|
|||||||||||||
Multiline Retail 0.0% |
||||||||||||||
Kohls Corp., senior bond, 5.55%, 7/17/45 |
United States | 338,000 | 420,235 | |||||||||||
|
|
|||||||||||||
Oil, Gas & Consumable Fuels 1.3% |
||||||||||||||
dAker BP ASA, senior bond, 144A, |
||||||||||||||
3.75%, 1/15/30 |
Norway | 350,000 | 378,789 | |||||||||||
4.00%, 1/15/31 |
Norway | 150,000 | 165,308 | |||||||||||
dContinental Resources Inc., senior bond, 144A, 5.75%, 1/15/31 |
United States | 195,000 | 237,900 | |||||||||||
dEnergean Israel Finance Ltd., 144A, Reg S, |
||||||||||||||
senior secured bond, 5.875%, 3/30/31 |
Israel | 130,000 | 133,590 | |||||||||||
senior secured note, 5.375%, 3/30/28 |
Israel | 105,000 | 107,514 | |||||||||||
gEnergy Transfer LP, H, junior sub. note, 6.50%, Perpetual |
United States | 514,000 | 528,279 | |||||||||||
Equities Corp., senior note, |
||||||||||||||
5.00%, 1/15/29 |
United States | 10,000 | 11,387 | |||||||||||
d144A, 3.125%, 5/15/26 |
United States | 15,000 | 15,431 | |||||||||||
d144A, 3.625%, 5/15/31 |
United States | 30,000 | 31,758 | |||||||||||
dGray Oak Pipeline LLC, senior note, 144A, 3.45%, 10/15/27 |
United States | 20,000 | 21,247 | |||||||||||
dHurricane Finance PLC, senior note, 144A, 8.00%, 10/15/25 |
United Kingdom | 158,000 | 235,126 | |||||||||||
dIndian Oil Corp. Ltd., senior bond, Reg S, 5.75%, 8/01/23 |
India | 200,000 | 217,354 | |||||||||||
dLeviathan Bond Ltd., senior note, 144A, Reg S, 6.50%, 6/30/27 |
Israel | 100,000 | 110,619 | |||||||||||
dMC Brazil Downstream Trading Sarl, senior secured note, 144A, 7.25%, 6/30/31 |
Brazil | 1,012,000 | 1,054,818 | |||||||||||
dMoss Creek Resources Holdings Inc., senior note, 144A, |
||||||||||||||
7.50%, 1/15/26 |
United States | 268,000 | 229,306 | |||||||||||
10.50%, 5/15/27 |
United States | 295,000 | 268,454 | |||||||||||
dOQ SAOC, senior note, 144A, 5.125%, 5/06/28 |
Oman | 224,000 | 227,758 | |||||||||||
Ovintiv Inc., senior bond, |
||||||||||||||
8.125%, 9/15/30 |
United States | 25,000 | 34,167 | |||||||||||
7.20%, 11/01/31 |
United States | 5,000 | 6,628 | |||||||||||
7.375%, 11/01/31 |
United States | 5,000 | 6,702 | |||||||||||
6.50%, 8/15/34 |
United States | 20,000 | 26,618 | |||||||||||
6.625%, 8/15/37 |
United States | 45,000 | 61,896 | |||||||||||
6.50%, 2/01/38 |
United States | 10,000 | 13,839 | |||||||||||
dPBF Holding Co. LLC / PBF Finance Corp., senior secured note, 144A, 9.25%, 5/15/25 |
United States | 344,000 | 332,390 | |||||||||||
Petroleos Mexicanos, |
||||||||||||||
senior bond, 5.95%, 1/28/31 |
Mexico | 1,204,000 | 1,182,208 | |||||||||||
senior bond, 6.625%, 6/15/35 |
Mexico | 380,000 | 368,592 | |||||||||||
senior bond, 6.375%, 1/23/45 |
Mexico | 1,018,000 | 873,352 | |||||||||||
senior bond, 6.75%, 9/21/47 |
Mexico | 798,000 | 702,360 | |||||||||||
senior bond, 6.35%, 2/12/48 |
Mexico | 615,000 | 522,621 | |||||||||||
senior bond, 6.95%, 1/28/60 |
Mexico | 415,000 | 366,781 | |||||||||||
senior note, 3.50%, 1/30/23 |
Mexico | 959,000 | 976,022 | |||||||||||
dsenior note, 144A, 6.875%, 10/16/25 |
Mexico | 297,000 | 325,007 | |||||||||||
senior note, 4.50%, 1/23/26 |
Mexico | 288,000 | 291,528 | |||||||||||
dQatar Petroleum, senior bond, Reg S, 3.30%, 7/12/51 |
Qatar | 700,000 | 724,535 | |||||||||||
dSA Global Sukuk Ltd., senior bond, Reg S, 2.694%, 6/17/31 |
Saudi Arabia | 200,000 | 204,964 |
28
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* |
Value | ||||||||||||
Corporate Bonds and Notes (continued) |
||||||||||||||
Oil, Gas & Consumable Fuels (continued) |
||||||||||||||
Sabine Pass Liquefaction LLC, senior secured note, 4.50%, 5/15/30 |
United States | 270,000 | $ | 313,029 | ||||||||||
dSaudi Arabian Oil Co., senior bond, 144A, 3.25%, 11/24/50 |
Saudi Arabia | 285,000 | 280,241 | |||||||||||
bTalos Production Inc., secured note, 12.00%, 1/15/26 |
United States | 518,000 | 535,516 | |||||||||||
dThai Oil PCL, senior bond, Reg S, 3.625%, 1/23/23 |
Thailand | 200,000 | 206,345 | |||||||||||
dTullow Oil PLC, senior secured note, 144A, 10.25%, 5/15/26 |
Ghana | 2,278,000 | 2,360,578 | |||||||||||
dYPF Sociedad Anonima, |
||||||||||||||
senior bond, Reg S, 8.50%, 7/28/25 |
Argentina | 831,000 | 714,660 | |||||||||||
senior bond, 144A, 6.95%, 7/21/27 |
Argentina | 105,000 | 78,925 | |||||||||||
senior note, Reg S, 8.75%, 4/04/24 |
Argentina | 1,267,000 | 1,173,179 | |||||||||||
senior note, Reg S, 8.50%, 3/23/25 |
Argentina | 1,097,000 | 1,023,117 | |||||||||||
|
|
|||||||||||||
17,680,438 | ||||||||||||||
|
|
|||||||||||||
Paper & Forest Products 0.0% |
||||||||||||||
Suzano Austria GMBH, senior bond, 3.75%, 1/15/31 |
Brazil | 160,000 | 168,202 | |||||||||||
|
|
|||||||||||||
Pharmaceuticals 0.2% |
||||||||||||||
d,fENDO Dac / ENDO Finance LLC / ENDO Finco Inc., secured note, 144A, 9.50%, 7/31/27 |
United States | 954,000 | 938,612 | |||||||||||
Teva Pharmaceutical Finance Netherlands II BV, senior note, 6.00%, 1/31/25 |
Israel | 335,000 | EUR | 429,088 | ||||||||||
Teva Pharmaceutical Finance Netherlands III BV, |
||||||||||||||
senior bond, 3.15%, 10/01/26 |
Israel | 220,000 | 210,405 | |||||||||||
senior bond, 4.10%, 10/01/46 |
Israel | 1,145,000 | 998,188 | |||||||||||
senior note, 2.80%, 7/21/23 |
Israel | 390,000 | 385,144 | |||||||||||
|
|
|||||||||||||
2,961,437 | ||||||||||||||
|
|
|||||||||||||
Pipelines 0.0% |
||||||||||||||
dGalaxy Pipeline Assets Bidco Ltd., senior secured bond, 144A, 2.94%, 9/30/40 |
United Arab Emirates | 200,000 | 203,706 | |||||||||||
|
|
|||||||||||||
Real Estate Management & Development 0.7% |
||||||||||||||
dAgile Group Holdings Ltd., senior secured note, Reg S, 6.70%, 3/07/22 |
China | 200,000 | 203,000 | |||||||||||
dChina Evergrande Group, Reg S, |
||||||||||||||
senior note, 8.25%, 3/23/22 |
China | 352,000 | 164,560 | |||||||||||
senior note, 8.75%, 6/28/25 |
China | 648,000 | 236,524 | |||||||||||
senior secured note, 9.50%, 4/11/22 |
China | 98,000 | 43,610 | |||||||||||
senior secured note, 11.50%, 1/22/23 |
China | 200,000 | 81,500 | |||||||||||
dCIFI Holdings Group Co. Ltd., senior note, Reg S, |
||||||||||||||
5.50%, 1/23/22 |
China | 200,000 | 202,499 | |||||||||||
5.95%, 10/20/25 |
China | 200,000 | 210,290 | |||||||||||
4.45%, 8/17/26 |
China | 200,000 | 198,014 | |||||||||||
dCountry Garden Holdings Co. Ltd., senior secured note, Reg S, |
||||||||||||||
7.125%, 1/27/22 |
China | 200,000 | 204,153 | |||||||||||
4.75%, 7/25/22 |
China | 400,000 | 405,618 | |||||||||||
4.75%, 1/17/23 |
China | 2,000,000 | 2,040,670 | |||||||||||
dEasy Tactic Ltd., senior secured note, Reg S, 8.125%, 2/27/23 |
China | 200,000 | 153,250 | |||||||||||
dExpand Lead Ltd., senior note, Reg S, 4.95%, 7/22/26 |
China | 400,000 | 408,087 | |||||||||||
dGemdale Ever Prosperity Investment Ltd., E, senior note, Reg S, 4.95%, 8/12/24 |
China | 300,000 | 306,772 | |||||||||||
dGreenland Global Investment Ltd., senior bond, Reg S, 5.875%, 7/03/24 |
China | 200,000 | 157,000 | |||||||||||
dKaisa Group Holdings Ltd., senior secured note, Reg S, |
||||||||||||||
11.25%, 4/09/22 |
China | 350,000 | 351,575 | |||||||||||
9.75%, 9/28/23 |
China | 200,000 | 190,250 | |||||||||||
11.70%, 11/11/25 |
China | 200,000 | 188,750 | |||||||||||
dLeading Affluence Ltd., senior bond, Reg S, 4.50%, 1/24/23 |
China | 500,000 | 519,480 | |||||||||||
dLogan Group Co. Ltd., senior note, Reg S, 5.75%, 1/03/22 |
China | 400,000 | 404,000 |
29
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* |
Value | ||||||||||||
Corporate Bonds and Notes (continued) |
||||||||||||||
Real Estate Management & Development (continued) |
||||||||||||||
dLogan Group Co. Ltd., senior note, Reg S, (continued) |
||||||||||||||
6.50%, 7/16/23 |
China | 200,000 | $ | 204,635 | ||||||||||
4.70%, 7/06/26 |
China | 300,000 | 297,021 | |||||||||||
dNew Metro Global Ltd., senior note, Reg S, 4.625%, 10/15/25 |
China | 200,000 | 198,000 | |||||||||||
d,gOverseas Chinese Town Asia Holdings Ltd., senior note, Reg S, 4.50% to 7/15/23, FRN thereafter, Perpetual |
China | 200,000 | 206,830 | |||||||||||
dPowerlong Real Estate Holdings Ltd., Reg S, |
||||||||||||||
senior note, 4.00%, 7/25/22 |
China | 200,000 | 199,500 | |||||||||||
senior note, 4.90%, 5/13/26 |
China | 200,000 | 195,000 | |||||||||||
senior secured note, 4.875%, 9/15/21 |
China | 200,000 | 200,199 | |||||||||||
dShimao Group Holdings Ltd., senior secured note, Reg S, 6.375%, 10/15/21 |
China | 400,000 | 401,970 | |||||||||||
dSunac China Holdings Ltd., Reg S, |
||||||||||||||
senior note, 6.80%, 10/20/24 |
China | 300,000 | 297,771 | |||||||||||
senior secured note, 6.65%, 8/03/24 |
China | 200,000 | 198,013 | |||||||||||
senior secured note, 6.50%, 1/26/26 |
China | 200,000 | 194,264 | |||||||||||
dTimes China Holdings Ltd., senior secured note, Reg S, 5.55%, 6/04/24 |
China | 200,000 | 199,385 | |||||||||||
dVanke Real Estate Hong Kong Co. Ltd., senior note, |
||||||||||||||
hFRN, Reg S, 1.679%, (3-Month USD LIBOR + 1.55%), 5/25/23 |
China | 400,000 | 401,194 | |||||||||||
Reg S, 4.15%, 4/18/23 |
China | 200,000 | 208,587 | |||||||||||
|
|
|||||||||||||
10,071,971 | ||||||||||||||
|
|
|||||||||||||
Road & Rail 0.2% |
||||||||||||||
dUber Technologies Inc., senior note, 144A, |
||||||||||||||
7.50%, 5/15/25 |
United States | 295,000 | 314,913 | |||||||||||
8.00%, 11/01/26 |
United States | 1,085,000 | 1,156,881 | |||||||||||
7.50%, 9/15/27 |
United States | 455,000 | 496,519 | |||||||||||
6.25%, 1/15/28 |
United States | 200,000 | 214,750 | |||||||||||
4.50%, 8/15/29 |
United States | 1,145,000 | 1,128,918 | |||||||||||
|
|
|||||||||||||
3,311,981 | ||||||||||||||
|
|
|||||||||||||
Semiconductors & Semiconductor Equipment 0.2% |
||||||||||||||
Broadcom Inc., senior bond, 4.30%, 11/15/32 |
United States | 415,000 | 475,393 | |||||||||||
dMarvell Technology Inc., senior bond, 144A, 2.95%, 4/15/31 |
United States | 95,000 | 99,025 | |||||||||||
dMicrochip Technology Inc., senior secured note, 144A, 0.983%, 9/01/24 |
United States | 85,000 | 84,959 | |||||||||||
Micron Technology Inc., senior bond, |
||||||||||||||
5.327%, 2/06/29 |
United States | 385,000 | 466,300 | |||||||||||
4.663%, 2/15/30 |
United States | 140,000 | 164,506 | |||||||||||
dTSMC Global Ltd., senior bond, Reg S, 2.25%, 4/23/31 |
Taiwan | 1,480,000 | 1,497,163 | |||||||||||
|
|
|||||||||||||
2,787,346 | ||||||||||||||
|
|
|||||||||||||
Specialty Retail 0.4% |
||||||||||||||
dCarvana Co., senior note, 144A, |
||||||||||||||
5.625%, 10/01/25 |
United States | 180,000 | 187,425 | |||||||||||
5.50%, 4/15/27 |
United States | 137,000 | 141,573 | |||||||||||
5.875%, 10/01/28 |
United States | 353,000 | 368,885 | |||||||||||
4.875%, 9/01/29 |
United States | 636,000 | 630,406 | |||||||||||
dChina Grand Automotive Services Ltd., E, senior note, Reg S, 9.125%, 1/30/24 |
China | 333,000 | 290,959 | |||||||||||
dDouglas GMBH, senior secured note, 144A, 6.00%, 4/08/26 |
Germany | 1,714,000 | EUR | 2,049,779 | ||||||||||
dGuitar Center Inc., senior secured note, 144A, 8.50%, 1/15/26 |
United States | 754,000 | 803,952 | |||||||||||
d,jKirk Beauty Sun GMBH, senior note, 144A, PIK, 8.25%, 10/01/26 |
Germany | 382,000 | EUR | 447,688 | ||||||||||
dLS Finance 2017 Ltd., senior note, Reg S, 4.80%, 6/18/26 |
Hong Kong | 200,000 | 195,538 |
30
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* |
Value | ||||||||||||
Corporate Bonds and Notes (continued) |
||||||||||||||
Specialty Retail (continued) |
||||||||||||||
dLS Finance 2017 Ltd., senior note, Reg S, (continued) |
||||||||||||||
E, 4.875%, 7/15/24 |
Hong Kong | 200,000 | $ | 199,263 | ||||||||||
|
|
|||||||||||||
5,315,468 | ||||||||||||||
|
|
|||||||||||||
Thrifts & Mortgage Finance 0.1% |
||||||||||||||
dIIFL Finance Ltd., E, senior secured note, Reg S, 5.875%, 4/20/23 |
India | 400,000 | 392,000 | |||||||||||
dIndiabulls Housing Finance Ltd., E, senior secured note, Reg S, 6.375%, 5/28/22 |
India | 400,000 | 393,998 | |||||||||||
|
|
|||||||||||||
785,998 | ||||||||||||||
|
|
|||||||||||||
Trading Companies & Distributors 0.1% |
||||||||||||||
Air Lease Corp., |
||||||||||||||
senior bond, 3.125%, 12/01/30 |
United States | 360,000 | 369,315 | |||||||||||
f,gjunior sub. note, B, 4.65% to 6/15/26, FRN thereafter, Perpetual |
United States | 180,000 | 189,270 | |||||||||||
Aircastle Ltd., |
||||||||||||||
d,gjunior sub. note, 144A, 5.25%, Perpetual |
United States | 55,000 | 55,289 | |||||||||||
senior note, 4.25%, 6/15/26 |
United States | 310,000 | 341,074 | |||||||||||
dBOC Aviation Ltd., G, senior note, Reg S, 3.00%, 5/23/22 |
Singapore | 200,000 | 202,366 | |||||||||||
|
|
|||||||||||||
1,157,314 | ||||||||||||||
|
|
|||||||||||||
Transportation Infrastructure 0.0% |
||||||||||||||
dAdani Ports & Special Economic Zone Ltd., |
||||||||||||||
senior bond, Reg S, 3.828%, 2/02/32 |
India | 500,000 | 505,751 | |||||||||||
senior note, 144A, 4.20%, 8/04/27 |
India | 200,000 | 212,376 | |||||||||||
|
|
|||||||||||||
718,127 | ||||||||||||||
|
|
|||||||||||||
Wireless Telecommunication Services 0.1% |
||||||||||||||
dBharti Airtel Ltd., senior bond, 144A, 3.25%, 6/03/31 |
India | 200,000 | 202,750 | |||||||||||
T-Mobile USA Inc., |
||||||||||||||
senior bond, 3.50%, 4/15/31 |
United States | 220,000 | 234,520 | |||||||||||
senior note, 3.375%, 4/15/29 |
United States | 455,000 | 481,303 | |||||||||||
|
|
|||||||||||||
918,573 | ||||||||||||||
|
|
|||||||||||||
Total Corporate Bonds and Notes (Cost $110,818,488) |
115,591,976 | |||||||||||||
|
|
|||||||||||||
Corporate Bonds and Notes in Reorganization 0.2% |
||||||||||||||
Airlines 0.1% |
||||||||||||||
d,lLATAM Finance Ltd., senior note, 144A, |
||||||||||||||
6.875%, 4/11/24 |
Chile | 200,000 | 181,750 | |||||||||||
7.00%, 3/01/26 |
Chile | 800,000 | 730,696 | |||||||||||
|
|
|||||||||||||
912,446 | ||||||||||||||
|
|
|||||||||||||
Diversified Telecommunication Services 0.0% |
||||||||||||||
d,lIntelsat Jackson Holdings SA, senior secured note, first lien, 144A, 9.50%, 9/30/22 |
Luxembourg | 304,000 | 362,140 | |||||||||||
|
|
|||||||||||||
Metals & Mining 0.1% |
||||||||||||||
d,lSamarco Mineracao SA, senior bond, Reg S, |
||||||||||||||
4.125%, 11/01/22 |
Brazil | 925,000 | 648,656 | |||||||||||
5.75%, 10/24/23 |
Brazil | 184,000 | 139,610 | |||||||||||
|
|
|||||||||||||
788,266 | ||||||||||||||
|
|
|||||||||||||
Road & Rail 0.0% |
||||||||||||||
e,lHertz Corp. Escrow, senior note, zero cpn., 1/15/28 |
United States | 1,584,000 | | |||||||||||
|
|
|||||||||||||
Total Corporate Bonds and Notes in Reorganization |
2,062,852 | |||||||||||||
|
|
31
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* |
Value | ||||||||||||
hSenior Floating Rate Interests 0.4% |
||||||||||||||
Airlines 0.0% |
||||||||||||||
United Airlines Inc., Term Loan B, 4.50%, (1-Month USD LIBOR + 3.75%), 4/14/28 |
United States | 99,750 | $ | 100,113 | ||||||||||
|
|
|||||||||||||
Communications Equipment 0.0% |
||||||||||||||
Riverbed Technology Inc., Term Loan B, 7.50%, (3-Month USD LIBOR + 6.50%), 12/31/26 |
United States | 369,295 | 284,972 | |||||||||||
|
|
|||||||||||||
Diversified Financial Services 0.1% |
||||||||||||||
MPH Acquisition Holdings LLC, Term Loan B, 4.75%, (3-Month USD LIBOR + 4.25%), 8/17/28 |
United States | 977,829 | 971,595 | |||||||||||
Ziggo BV, Term Loan H, 3.00%, (3-Month EURIBOR + 3.00%), 1/31/29 |
United States | 115,000 | 134,737 | |||||||||||
|
|
|||||||||||||
1,106,332 | ||||||||||||||
|
|
|||||||||||||
Diversified Telecommunication Services 0.2% |
||||||||||||||
Frontier Communications Corp., Term Loan DIP, 4.50%, (1- Month USD LIBOR + 3.75%), 10/08/21 |
United States | 259,730 | 260,056 | |||||||||||
mIntelsat Jackson Holdings SA, |
||||||||||||||
Term Loan B4, 8.75%, (1-Month USD LIBOR + 4.50%), 1/02/24 |
United States | 2,000,000 | 2,042,500 | |||||||||||
Term Loan DIP, 6.50%, (1-Month USD LIBOR + 5.50%), 7/13/22 |
United States | 91,150 | 91,976 | |||||||||||
|
|
|||||||||||||
2,394,532 | ||||||||||||||
|
|
|||||||||||||
Entertainment 0.0% |
||||||||||||||
Playtika Holding Corp., Term Loan B, 2.835%, (1-Month USD LIBOR + 2.75%), 3/13/28 |
United States | 219,450 | 218,964 | |||||||||||
|
|
|||||||||||||
Equity Real Estate Investment Trusts (REITs) 0.1% |
||||||||||||||
mThe GEO Group Inc., Term Loan B, 2.75%, (3-Month USD LIBOR + 2.00%), 3/22/24 |
United States | 263,716 | 247,003 | |||||||||||
McCarthy & Stone PLC, Term Loan B, 7.00%, 12/16/25 |
United Kingdom | 170,938 | GBP | 234,133 | ||||||||||
|
|
|||||||||||||
481,136 | ||||||||||||||
|
|
|||||||||||||
Household Durables 0.0% |
||||||||||||||
Weber-Stephen Products LLC, Term Loan B, 4.00%, (1-Month USD LIBOR + 3.25%), 10/30/27 |
United States | 69,608 | 69,731 | |||||||||||
|
|
|||||||||||||
Insurance 0.0% |
||||||||||||||
AmWINS Group Inc., Term Loan B, 3.00%, (1-Month USD LIBOR + 2.25%), 2/19/28 |
United States | 42,812 | 42,458 | |||||||||||
|
|
|||||||||||||
Pharmaceuticals 0.0% |
||||||||||||||
Jazz Pharmaceuticals PLC, Term Loan B, 4.00%, (1-Month USD LIBOR + 3.50%), 4/22/28 |
United States | 85,000 | 85,123 | |||||||||||
|
|
|||||||||||||
Professional Services 0.0% |
||||||||||||||
CoreLogic Inc., Term Loan B, 4.00%, (1-Month USD LIBOR + 3.50%), 4/14/28 |
United States | 170,000 | 169,601 | |||||||||||
|
|
|||||||||||||
Total Senior Floating Rate Interests (Cost $4,811,043) |
4,952,962 | |||||||||||||
|
|
|||||||||||||
Credit-Linked Notes 0.4% |
||||||||||||||
dCitigroup Global Markets Holdings Inc., (Egypt), E, senior note, 144A, zero cpn., 9/30/21 |
Egypt | 11,143,016 | EGP | 703,018 | ||||||||||
dCitigroup Global Markets Holdings Inc., (Egypt), E, senior note, 144A, zero cpn., 12/16/21 |
Egypt | 11,472,817 | EGP | 705,439 | ||||||||||
dHSBC Bank PLC, (Egypt), senior note, 144A, zero cpn., 12/23/21 |
Egypt | 7,925,000 | EGP | 485,949 | ||||||||||
dHSBC Bank PLC, (Egypt), senior note, 144A, zero cpn., 2/10/22 |
Egypt | 13,350,000 | EGP | 805,422 | ||||||||||
dICBC Standard Bank PLC, (Egypt), EMTN, 144A, zero cpn., 9/30/21 |
Egypt | 38,826,172 | EGP | 2,442,092 |
32
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* |
Value | ||||||||||||
Credit-Linked Notes (continued) |
||||||||||||||
dJPMorgan Chase Bank NA, (Egypt), EMTN, senior note, 144A, zero cpn., 9/16/21 |
Egypt | 11,801,000 | EGP | $ | 747,522 | |||||||||
|
|
|||||||||||||
Total Credit-Linked Notes (Cost $5,892,841) |
5,889,442 | |||||||||||||
|
|
|||||||||||||
Foreign Government and Agency Securities 4.7% |
||||||||||||||
dBanque Centrale de Tunisie International Bond, senior bond, Reg S, 5.75%, 1/30/25 |
Tunisia | 888,000 | 785,233 | |||||||||||
Brazil Notas Do Tesouro Nacional Serie F, NTNF, senior bond, 10.00%, 1/01/25 |
Brazil | 2,332,000 | BRL | 456,801 | ||||||||||
dExport-Import Bank of Korea, senior note, |
||||||||||||||
144A, 4.89%, 8/09/23 |
South Korea | 35,800,000 | INR | 491,523 | ||||||||||
Reg S, 6.75%, 8/09/22 |
South Korea | 7,100,000 | INR | 99,169 | ||||||||||
dGovernment of Angola, senior bond, Reg S, |
||||||||||||||
8.00%, 11/26/29 |
Angola | 1,814,000 | 1,916,146 | |||||||||||
9.375%, 5/08/48 |
Angola | 376,000 | 400,989 | |||||||||||
9.125%, 11/26/49 |
Angola | 1,528,000 | 1,600,664 | |||||||||||
Government of Argentina, senior bond, |
||||||||||||||
2.00%, 1/09/38 |
Argentina | 6,442,995 | 2,662,052 | |||||||||||
2.50%, 7/09/41 |
Argentina | 2,370,073 | 928,618 | |||||||||||
dGovernment of Bahamas, senior bond, 144A, 8.95%, 10/15/32 |
Bahamas | 721,000 | 787,692 | |||||||||||
dGovernment of Bahrain, senior bond, Reg S, 7.00%, 1/26/26 |
Bahrain | 467,000 | 523,587 | |||||||||||
Government of Colombia, B, senior bond, 7.00%, 6/30/32 |
Colombia | 7,960,100,000 | COP | 2,068,836 | ||||||||||
dGovernment of Ecuador, Reg S, |
||||||||||||||
senior bond, 1.00%, 7/31/35 |
Ecuador | 1,294,113 | 938,245 | |||||||||||
senior note, 5.00%, 7/31/30 |
Ecuador | 2,070,412 | 1,847,863 | |||||||||||
Government of Egypt, |
||||||||||||||
dsenior bond, Reg S, 7.50%, 1/31/27 |
Egypt | 1,046,000 | 1,168,206 | |||||||||||
dsenior bond, Reg S, 7.60%, 3/01/29 |
Egypt | 789,000 | 868,018 | |||||||||||
dsenior bond, 144A, 5.875%, 2/16/31 |
Egypt | 487,000 | 482,334 | |||||||||||
dsenior bond, Reg S, 8.70%, 3/01/49 |
Egypt | 222,000 | 235,312 | |||||||||||
dsenior bond, Reg S, 8.875%, 5/29/50 |
Egypt | 200,000 | 216,018 | |||||||||||
senior note, zero cpn., 9/21/21 |
Egypt | 23,025,000 | EGP | 1,460,148 | ||||||||||
dGovernment of Ghana, |
||||||||||||||
senior bond, Reg S, 8.875%, 5/07/42 |
Ghana | 1,154,000 | 1,151,495 | |||||||||||
senior bond, Reg S, 8.95%, 3/26/51 |
Ghana | 1,315,000 | 1,294,683 | |||||||||||
senior note, 144A, zero cpn., 4/07/25 |
Ghana | 278,000 | 219,331 | |||||||||||
senior note, 144A, 7.75%, 4/07/29 |
Ghana | 372,000 | 376,699 | |||||||||||
Government of Indonesia, FR68, senior bond, 8.375%, 3/15/34 |
Indonesia | 52,911,000,000 | IDR | 4,253,284 | ||||||||||
Government of Italy, senior note, 2.375%, 10/17/24 |
Italy | 350,000 | 364,444 | |||||||||||
dGovernment of Jordan, 144A, |
||||||||||||||
senior bond, 5.85%, 7/07/30 |
Jordan | 386,000 | 408,221 | |||||||||||
senior note, 4.95%, 7/07/25 |
Jordan | 578,000 | 608,273 | |||||||||||
Government of Mexico, senior bond, |
||||||||||||||
4.28%, 8/14/41 |
Mexico | 350,000 | 375,354 | |||||||||||
3.771%, 5/24/61 |
Mexico | 455,000 | 435,237 | |||||||||||
dGovernment of Nigeria, senior note, Reg S, 7.625%, 11/21/25 |
Nigeria | 1,531,000 | 1,716,442 | |||||||||||
dGovernment of Oman, |
||||||||||||||
senior bond, Reg S, 4.75%, 6/15/26 |
Oman | 900,000 | 935,454 | |||||||||||
senior bond, 144A, 6.25%, 1/25/31 |
Oman | 418,000 | 456,911 | |||||||||||
senior bond, Reg S, 6.75%, 1/17/48 |
Oman | 412,000 | 422,269 | |||||||||||
senior bond, 144A, 7.00%, 1/25/51 |
Oman | 286,000 | 299,092 | |||||||||||
senior note, 144A, 4.875%, 6/15/30 |
Oman | 221,000 | 232,226 | |||||||||||
dGovernment of Paraguay, senior bond, Reg S, 4.625%, 1/25/23 |
Paraguay | 2,414,000 | 2,529,896 | |||||||||||
Government of Peru, senior bond, 6.15%, 8/12/32 |
Peru | 9,320,000 | PEN | 2,250,807 |
33
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* |
Value | ||||||||||||
Foreign Government and Agency Securities (continued) |
||||||||||||||
Government of Russia, |
||||||||||||||
senior bond, 6233, 6.10%, 7/18/35 |
Russia | 111,039,000 | RUB | $ | 1,384,747 | |||||||||
senior note, 6227, 7.40%, 7/17/24 |
Russia | 98,076,000 | RUB | 1,363,036 | ||||||||||
senior note, 6229, 7.15%, 11/12/25 |
Russia | 74,375,000 | RUB | 1,029,655 | ||||||||||
dGovernment of Saudi Arabia, senior bond, |
||||||||||||||
144A, 2.75%, 2/03/32 |
Saudi Arabia | 910,000 | 947,069 | |||||||||||
144A, 3.75%, 1/21/55 |
Saudi Arabia | 354,000 | 377,697 | |||||||||||
Reg S, 2.75%, 2/03/32 |
Saudi Arabia | 302,000 | 314,302 | |||||||||||
Government of South Africa, senior bond, |
||||||||||||||
2030, 8.00%, 1/31/30 |
South Africa | 56,638,538 | ZAR | 3,727,100 | ||||||||||
2032, 8.25%, 3/31/32 |
South Africa | 25,977,596 | ZAR | 1,652,033 | ||||||||||
2035, 8.875%, 2/28/35 |
South Africa | 13,939,884 | ZAR | 882,955 | ||||||||||
2037, 8.50%, 1/31/37 |
South Africa | 24,425,000 | ZAR | 1,460,582 | ||||||||||
Government of Turkey, senior note, 6.375%, 10/14/25 |
Turkey | 875,000 | 926,726 | |||||||||||
dGovernment of Ukraine, |
||||||||||||||
senior bond, Reg S, 7.375%, 9/25/32 |
Ukraine | 751,000 | 804,719 | |||||||||||
senior bond, Reg S, 1.258%, 5/31/40 |
Ukraine | 4,955,000 | 5,663,565 | |||||||||||
senior note, 144A, 6.876%, 5/21/29 |
Ukraine | 302,000 | 319,815 | |||||||||||
senior note, Reg S, 6.876%, 5/21/29 |
Ukraine | 966,000 | 1,022,984 | |||||||||||
dGovernment of Zambia, Reg S, |
||||||||||||||
senior bond, 5.375%, 9/20/22 |
Zambia | 2,168,000 | 1,664,907 | |||||||||||
senior bond, 8.97%, 7/30/27 |
Zambia | 512,000 | 404,282 | |||||||||||
dHazine Mustesarligi Varlik Kiralama AS, senior note, Reg S, 5.125%, 6/22/26 |
Turkey | 950,000 | 958,045 | |||||||||||
International Finance Corp., senior note, 5.85%, 11/25/22 |
Supranationaln | 8,120,000 | INR | 113,046 | ||||||||||
dMalaysia Wakala Sukuk Bhd, senior bond, Reg S, 3.075%, 4/28/51 |
Malaysia | 500,000 | 525,620 | |||||||||||
Mexican Bonos, M, senior note, 6.75%, 3/09/23 |
Mexico | 9,060,800 | º | MXN | 459,654 | |||||||||
iProvincia de Buenos Aires, |
||||||||||||||
hFRN, 37.979%, (ARS BADLAR + 3.83%), 5/31/22 |
Argentina | 18,295,000 | ARS | 100,706 | ||||||||||
d,h144A, FRN, Reg S, 37.892%, (ARS BADLAR + 3.75%), 4/12/25 |
Argentina | 3,670,000 | ARS | 17,087 | ||||||||||
dsenior bond, 144A, 3.90%, 9/01/37 |
Argentina | 330,000 | ARS | 156,750 | ||||||||||
dThe Third Pakistan International Sukuk Co. Ltd., senior note, Reg S, 5.50%, 10/13/21 |
Pakistan | 200,000 | 200,625 | |||||||||||
|
|
|||||||||||||
Total Foreign Government and Agency Securities |
64,745,279 | |||||||||||||
|
|
|||||||||||||
Foreign Government and Agency Securities in Reorganization (Cost $240,042) 0.0% |
|
|||||||||||||
lGovernment of Lebanon, G, senior bond, 6.375%, 3/09/20 |
Lebanon | 1,784,000 | 231,920 | |||||||||||
|
|
|||||||||||||
U.S. Government and Agency Securities 0.1% |
||||||||||||||
U.S. Treasury Bond, |
||||||||||||||
1.875%, 2/15/41 |
United States | 2,000 | 2,016 | |||||||||||
1.625%, 11/15/50 |
United States | 556,000 | 517,493 | |||||||||||
1.875%, 2/15/51 |
United States | 367,000 | 362,384 | |||||||||||
U.S. Treasury Note, 1.625%, 5/15/31 |
United States | 738,000 | 761,062 | |||||||||||
|
|
|||||||||||||
Total U.S. Government and Agency Securities |
1,642,955 | |||||||||||||
|
|
|||||||||||||
Asset-Backed Securities and Commercial Mortgage-Backed Securities 6.7% |
|
|||||||||||||
Diversified Financial Services 5.2% |
||||||||||||||
dAccelerated Assets LLC, 2018-1, B, 144A, 4.51%, 12/02/33 |
United States | 48,710 | 50,403 |
34
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* |
Value | ||||||||||||
Asset-Backed Securities and Commercial Mortgage-Backed Securities (continued) |
||||||||||||||
Diversified Financial Services (continued) |
||||||||||||||
pACE Securities Corp. Home Equity Loan Trust, 2003-FM1, M1, FRN, 1.374%, (1-Month USD LIBOR + 1.29%), 11/25/32 |
United States | 1,306,234 | $ | 1,329,110 | ||||||||||
dAdams Outdoor Advertising LP, 2018-1, A, 144A, 4.81%, 11/15/48 |
United States | 177,225 | 190,490 | |||||||||||
d,pAGL CLO 3 Ltd., 2020-3A, C, 144A, FRN, 2.276%, (3-Month USD LIBOR + 2.15%), 1/15/33 |
United States | 285,000 | 287,367 | |||||||||||
dAIM Aviation Finance Ltd., 2015-1A, B1, 144A, 5.072%, 2/15/40 |
United States | 170,624 | 67,004 | |||||||||||
d,pAllegro CLO VI Ltd., 2018-2A, D, 144A, FRN, 2.884%, (3-Month USD LIBOR + 2.75%), 1/17/31 |
United States | 250,000 | 244,149 | |||||||||||
dAmerican Credit Acceptance Receivables Trust, 144A, |
||||||||||||||
2020-3, D, 2.40%, 6/15/26 |
United States | 200,000 | 206,060 | |||||||||||
2020-4, D, 1.77%, 12/14/26 |
United States | 185,000 | 188,220 | |||||||||||
AmeriCredit Automobile Receivables Trust, 2020-3, D, 1.49%, 9/18/26 |
United States | 305,000 | 309,021 | |||||||||||
d,pApex Credit CLO Ltd., 2018-1A, DR, 144A, FRN, 3.529%, (3- Month USD LIBOR + 3.40%), 10/27/28 |
United States | 1,000,000 | 995,863 | |||||||||||
dArbys Funding LLC, 2020-1A, A2, 144A, 3.237%, 7/30/50 |
United States | 99,000 | 104,368 | |||||||||||
pArgent Securities Inc., 2004-W3, M4, FRN, 3.745%, (1-Month USD LIBOR + 4.58%), 2/25/34 |
United States | 212,838 | 228,254 | |||||||||||
dAscentium Equipment Receivables Trust, 2017-2A, C, 144A, 2.87%, 8/10/22 |
United States | 25,000 | 25,098 | |||||||||||
dAvis Budget Rental Car Funding AESOP LLC, 144A, |
||||||||||||||
2020-2A, B, 2.96%, 2/20/27 |
United States | 100,000 | 106,424 | |||||||||||
2020-2A, C, 4.25%, 2/20/27 |
United States | 100,000 | 109,369 | |||||||||||
d,pBarings CLO Ltd., 2019-4A, C, 144A, FRN, 2.926%, (3-Month USD LIBOR + 2.80%), 1/15/33 |
United States | 400,000 | 401,661 | |||||||||||
d,pBarings Euro CLO BV, 2014-1, 144A, FRN, 1.90%, (3-Month EURIBOR + 1.90%), 7/15/31 |
Netherlands | 500,000 | 592,775 | |||||||||||
d,pBattalion CLO XIV Ltd., 2019-14A, E, 144A, FRN, 6.814%, (3- Month USD LIBOR + 6.68%), 4/20/32 |
United States | 250,000 | 250,666 | |||||||||||
dBayview Opportunity Master Fund V Trust, 2020-RN3, A1, 144A, 3.228%, 9/25/35 |
United States | 625 | 627 | |||||||||||
qBear Stearns ALT-A Trust, 2006-3, 21A1, FRN, 2.77%, 5/25/36 |
United States | 1,162,895 | 991,947 | |||||||||||
dBlackbird Capital Aircraft Lease Securitization Ltd., 2016-1A, A, 144A, 4.213%, 12/16/41 |
United States | 181,953 | 183,591 | |||||||||||
d,pBNPP IP CLO Ltd., 2017-2A, DR, 144A, FRN, 3.629%, (3-Month USD LIBOR + 3.50%), 10/30/25 |
United States | 1,250,000 | 1,245,142 | |||||||||||
d,pBX Commercial Mortgage Trust, 2019-XL, E, 144A, FRN, 1.896%, (1-Month USD LIBOR + 1.80%), 10/15/36 |
United States | 1,161,771 | 1,165,226 | |||||||||||
California Republic Auto Receivables Trust, 2018-1, D, 4.33%, 4/15/25 |
United States | 115,000 | 118,750 | |||||||||||
d,pCanyon Capital CLO, 2019-2A, E, 144A, FRN, 7.276%, (3-Month USD LIBOR + 7.15%), 10/15/32 |
United States | 250,000 | 250,698 | |||||||||||
d,pCarlyle US CLO Ltd., 2017-4A, C, 144A, FRN, 2.926%, (3-Month USD LIBOR + 2.80%), 1/15/30 |
United States | 250,000 | 241,184 | |||||||||||
Carmax Auto Owner Trust, 2018-4, D, 4.15%, 4/15/25 |
United States | 60,000 | 62,609 | |||||||||||
dCastlelake Aircraft Structured Trust, 2021-1A, A, 144A, 3.474%, 1/15/46 |
United States | 395,355 | 409,158 | |||||||||||
d,pCatamaran CLO Ltd., 144A, FRN, |
||||||||||||||
2014-2, C, 3.634%, (3-Month USD LIBOR + 3.50%), 10/18/26 |
United States | 2,030,000 | 2,042,812 | |||||||||||
2014-2A, D, 4.984%, (3-Month USD LIBOR + 4.85%), 10/18/26 |
United States | 1,000,000 | 985,950 | |||||||||||
2017-1A, CR, 1.929%, (3-Month USD LIBOR + 1.80%), 1/27/28 |
United States | 250,000 | 250,139 | |||||||||||
d,pCHCP Ltd., 2021-FL1, C, 144A, FRN, 2.265%, (1-Month USD LIBOR + 2.21%), 2/15/38 |
United States | 1,000,000 | 1,005,049 |
35
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* |
Value | ||||||||||||
Asset-Backed Securities and Commercial Mortgage-Backed Securities (continued) |
||||||||||||||
Diversified Financial Services (continued) |
||||||||||||||
CHL Mortgage Pass-Through Trust, |
||||||||||||||
p2003-15, 1A1, FRN, 0.584%, (1-Month USD LIBOR + 0.50%), 6/25/42 |
United States | 98,429 | $ | 98,189 | ||||||||||
2004-4, M, 5.50%, 5/25/34 |
United States | 903,655 | 633,808 | |||||||||||
2006-21, A8, 5.75%, 2/25/37 |
United States | 360,504 | 273,294 | |||||||||||
q2006-HYB1, 2A2C, FRN, 2.691%, 3/20/36 |
United States | 1,201,394 | 1,172,773 | |||||||||||
q2006-HYB4, 3B, FRN, 3.665%, 6/20/36 |
United States | 1,611,529 | 1,374,127 | |||||||||||
dCLI Funding VIII LLC, 2021-1A, A, 144A, 1.64%, 2/18/46 |
United States | 380,086 | 379,715 | |||||||||||
d,pConnecticut Avenue Securities Trust, 2020-R01, 1M2, 144A, |
||||||||||||||
FRN, 2.134%, (1-Month USD LIBOR + 2.05%), 1/25/40 |
United States | 57,446 | 57,784 | |||||||||||
dCoreVest American Finance Trust, 144A, |
||||||||||||||
2019-2, B, 3.424%, 6/15/52 |
United States | 100,000 | 108,415 | |||||||||||
2020-4, C, 2.25%, 12/15/52 |
United States | 100,000 | 99,814 | |||||||||||
dCSMC Trust, 144A, |
||||||||||||||
q2019-RP10, A1, FRN, 3.011%, 12/26/59 |
United States | 145,550 | 146,500 | |||||||||||
q2020-RPL3, A1, FRN, 2.691%, 3/25/60 |
United States | 113,982 | 115,584 | |||||||||||
2021-RPL1, A2, 3.937%, 9/27/60 |
United States | 155,000 | 155,697 | |||||||||||
d,pCutwater Ltd., 2017-1A, CR, 144A, FRN, 3.726%, (3-Month USD LIBOR + 3.60%), 7/15/26 |
United States | 1,000,000 | 1,003,075 | |||||||||||
dDB Master Finance LLC, 2019-1A, A23, 144A, 4.352%, 5/20/49 |
United States | 147,000 | 161,912 | |||||||||||
d,q DBUBS Mortgage Trust, 2017-BRBK, D, 144A, FRN, 3.648%, 10/10/34 |
United States | 100,000 | 103,940 | |||||||||||
dDominos Pizza Master Issuer LLC, 144A, |
||||||||||||||
2017-1A, A23, 4.118%, 7/25/47 |
United States | 164,050 | 177,500 | |||||||||||
2018-1A, A2II, 4.328%, 7/25/48 |
United States | 175,050 | 190,475 | |||||||||||
2019-1A, A2, 3.668%, 10/25/49 |
United States | 167,450 | 181,219 | |||||||||||
2021-1A, A2I, 2.662%, 4/25/51 |
United States | 224,438 | 234,185 | |||||||||||
Drive Auto Receivables Trust, 2018-3, D, 4.30%, 9/16/24 |
United States | 17,257 | 17,596 | |||||||||||
dDT Auto Owner Trust, 2020-3A, D, 144A, 1.84%, 6/15/26 |
United States | 80,000 | 81,701 | |||||||||||
dEducation Funding Trust Trust, 2020-A, A, 144A, 2.79%, 7/25/41 |
United States | 117,679 | 120,895 | |||||||||||
Exeter Automobile Receivables Trust, |
||||||||||||||
d2020-2A, D, 144A, 4.73%, 4/15/26 |
United States | 90,000 | 96,017 | |||||||||||
2020-3A, C, 1.32%, 7/15/25 |
United States | 145,000 | 146,776 | |||||||||||
qFannie Mae Grantor Trust, 2004-T5, AB7, FRN, 0.589%, 5/28/35 |
United States | 325,609 | 315,170 | |||||||||||
dFirst Investors Auto Owner Trust, 2019-2A, D, 144A, 2.80%, 12/15/25 |
United States | 40,000 | 41,048 | |||||||||||
dFirstKey Homes Trust, 144A, |
||||||||||||||
2020-SFR1, F1, 3.638%, 8/17/37 |
United States | 225,000 | 231,421 | |||||||||||
2020-SFR2, F1, 3.017%, 10/19/37 |
United States | 320,000 | 328,017 | |||||||||||
dFlagship Credit Auto Trust, 2019-4, D, 144A, 3.12%, 1/15/26 |
United States | 90,000 | 94,291 | |||||||||||
d,pFREMF Mortgage Trust, 2021-KF112, D, 144A, FRN, 3.046%, (1-Month USD LIBOR + 2.95%), 5/15/28 |
United States | 1,600,000 | 1,601,454 | |||||||||||
d,pGalaxy XXVI CLO Ltd., 2018-26A, E, 144A, FRN, 5.981%, (3-Month USD LIBOR + 5.85%), 11/22/31 |
United States | 260,000 | 256,360 | |||||||||||
dGLS Auto Receivables Trust, 144A, |
||||||||||||||
2020-1A, C, 2.72%, 11/17/25 |
United States | 150,000 | 154,032 | |||||||||||
2020-3A, C, 1.92%, 5/15/25 |
United States | 330,000 | 335,889 | |||||||||||
d,pGPMT Ltd., 144A, FRN, |
||||||||||||||
2018-FL1, C, 2.238%, (1-Month USD LIBOR + 2.15%), 11/19/35 |
United States | 1,400,000 | 1,400,081 | |||||||||||
2019-FL2, D, 3.038%, (1-Month USD LIBOR + 2.95%), 2/22/36 |
United States | 800,000 | 797,899 | |||||||||||
d,pGrand Avenue CRE, 2019-FL1, B, 144A, FRN, 1.947%, (1-Month USD LIBOR + 1.85%), 6/15/37 |
United States | 1,200,000 | 1,203,331 | |||||||||||
d,pGrosvenor Place CLO BV, 2015-1X, FRN, Reg S, 7.25%, (3-Month EURIBOR + 7.25%), 10/30/29 |
Netherlands | 798,000 | 940,701 |
36
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* |
Value | ||||||||||
Asset-Backed Securities and Commercial Mortgage-Backed Securities (continued) |
||||||||||||
Diversified Financial Services (continued) |
||||||||||||
d,pGSRPM Mortgage Loan Trust, 2002-1A, M1, 144A, FRN, 2.034%, (1-Month USD LIBOR + 1.95%), 11/25/31 |
United States | 899,129 | $ | 904,907 | ||||||||
d,pHalcyon Loan Advisors Funding Ltd., 2014-1A, D, 144A, FRN, 3.634%, (3-Month USD LIBOR + 3.50%), 4/18/26 |
United States | 1,490,000 | 1,486,866 | |||||||||
dHardees Funding LLC, 2020-1A, A2, 144A, 3.981%, 12/20/50 |
United States | 164,175 | 175,797 | |||||||||
d,pHayfin Kingsland XI Ltd., 2019-2A, E, 144A, FRN, 7.034%, (3-Month USD LIBOR + 6.90%), 7/20/32 |
United States | 70,000 | 68,950 | |||||||||
dHPEFS Equipment Trust, 2020-2A, D, 144A, 2.79%, 7/22/30 |
United States | 325,000 | 336,442 | |||||||||
dKestrel Aircraft Funding Ltd., 2018-1A, A, 144A, 4.25%, 12/15/38 |
United States | 210,238 | 209,922 | |||||||||
Legacy Mortgage Asset Trust, |
||||||||||||
d2019-GS3, A1, 144A, 3.75%, 4/25/59 |
United States | 94,351 | 95,135 | |||||||||
d2019-GS4, A1, 144A, 3.438%, 5/25/59 |
United States | 148,264 | 148,557 | |||||||||
2019-PR1, A2, 4.50%, 9/25/59 |
United States | 1,600,000 | 1,599,062 | |||||||||
d2020-GS1, A1, 144A, 2.882%, 10/25/59 |
United States | 231,541 | 232,802 | |||||||||
pLong Beach Mortgage Loan Trust, 2005-1, M6, FRN, 1.659%, (1-Month USD LIBOR + 1.58%), 2/25/35 |
United States | 2,609,066 | 2,716,423 | |||||||||
d,pMarathon CLO V Ltd., 2017-5A, CR, 144A, FRN, 2.881%, (3-Month USD LIBOR + 2.75%), 11/21/27 |
United States | 2,200,000 | 2,130,310 | |||||||||
d,pMarathon CLO VI Ltd., 2018-6A, CR2, 144A, FRN, 3.621%, (3-Month USD LIBOR + 3.50%), 5/13/28 |
United States | 1,000,000 | 983,906 | |||||||||
dMarlette Funding Trust, 2019-4A, B, 144A, 2.95%, 12/17/29 |
United States | 290,000 | 293,939 | |||||||||
pMerrill Lynch Mortgage Investors Trust Series, 2007-MLN1, A2D, FRN, 0.404%, (1-Month USD LIBOR + 0.32%), 3/25/37 |
United States | 918,062 | 863,623 | |||||||||
d,qMill City Mortgage Loan Trust, 2021-NMR1, M3, 144A, FRN, 2.50%, 11/25/60 |
United States | 100,000 | 99,386 | |||||||||
pMortgageIT Mortgage Loan Trust, 2006-1, 2A1B, FRN, 0.644%, (1-Month USD LIBOR + 0.56%), 4/25/36 |
United States | 610,887 | 235,861 | |||||||||
d,pMountain View CLO 2014-1 Ltd., 2018-1A, DRR, 144A, FRN, 3.776%, (3-Month USD LIBOR + 3.65%), 10/15/26 |
United States | 2,000,000 | 2,006,060 | |||||||||
dMVW LLC, 2020-1A, C, 144A, 4.21%, 10/20/37 |
United States | 219,107 | 232,582 | |||||||||
dMVW Owner Trust, 2019-1A, C, 144A, 3.33%, 11/20/36 |
United States | 60,481 | 62,124 | |||||||||
d Navient Private Education Refi Loan Trust, 144A, |
||||||||||||
2019-FA, B, 3.12%, 8/15/68 |
United States | 210,000 | 217,492 | |||||||||
2019-GA, B, 3.08%, 10/15/68 |
United States | 140,000 | 145,590 | |||||||||
d,pNeuberger Berman CLO XIV Ltd., 2020-14A, CR2, 144A, FRN, 2.032%, (3-Month USD LIBOR + 1.90%), 1/28/30 |
United States | 410,000 | 410,792 | |||||||||
d,pNeuberger Berman Loan Advisers CLO Ltd., 2018-27A, E, 144A, FRN, 5.326%, (3-Month USD LIBOR + 5.20%), 1/15/30 |
United States | 350,000 | 344,015 | |||||||||
pNomura Home Equity Loan Inc. Home Equity Loan Trust Series, 2006-WF1, M4, FRN, 0.639%, (1-Month USD LIBOR + 0.56%), 3/25/36 |
United States | 1,319,630 | 1,311,314 | |||||||||
d,pOctagon Investment Partners XXII Ltd., 2018-1A, CRR, 144A, FRN, 2.038%, (3-Month USD LIBOR + 1.90%), 1/22/30 |
United States | 250,000 | 249,500 | |||||||||
d,pOHA Credit Funding 2 Ltd., 2021-2A, DR, 144A, FRN, 3.434%, (3-Month USD LIBOR + 3.30%), 4/21/34 |
United States | 335,000 | 335,029 | |||||||||
d,pOHA Credit Funding 4 Ltd., 2019-4A, E, 144A, FRN, 6.284%, (3-Month USD LIBOR + 6.10%), 10/22/32 |
United States | 320,000 | 319,040 | |||||||||
dOneMain Financial Issuance Trust, 144A, |
||||||||||||
2015-3A, B, 4.16%, 11/20/28 |
United States | 155,000 | 155,612 | |||||||||
2020-2A, C, 2.76%, 9/14/35 |
United States | 100,000 | 104,204 | |||||||||
d,pPalmer Square CLO Ltd., 2018-3A, D, 144A, FRN, 4.525%, (3-Month USD LIBOR + 4.40%), 8/15/26 |
United States | 250,000 | 249,775 | |||||||||
d,pPikes Peak CLO 3, 2019-3A, E, 144A, FRN, 6.985%, (3-Month USD LIBOR + 6.86%), 4/25/30 |
United States | 250,000 | 250,355 | |||||||||
d,pPikes Peak CLO 4, 2021-4A, ER, 144A, FRN, 6.721%, (3-Month USD LIBOR + 6.61%), 7/15/34 |
United States | 250,000 | 249,029 |
37
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* |
Value | ||||||||||
Asset-Backed Securities and Commercial Mortgage-Backed Securities (continued) |
||||||||||||
Diversified Financial Services (continued) |
||||||||||||
dPlanet Fitness Master Issuer LLC, 2019-1A, A2, 144A, 3.858%, 12/05/49 |
United States | 147,750 | $ | 152,750 | ||||||||
dPrestige Auto Receivables Trust, 144A, |
||||||||||||
2019-1A, E, 3.90%, 5/15/26 |
United States | 100,000 | 102,835 | |||||||||
2020-1A, E, 3.67%, 2/15/28 |
United States | 100,000 | 103,473 | |||||||||
dProgress Residential Trust, 144A, |
||||||||||||
2018-SFR3, E, 4.873%, 10/17/35 |
United States | 100,000 | 100,279 | |||||||||
2019-SFR1, E, 4.466%, 8/17/35 |
United States | 115,000 | 116,607 | |||||||||
2019-SFR2, E, 4.142%, 5/17/36 |
United States | 175,000 | 178,827 | |||||||||
2020-SFR3, F, 2.796%, 10/17/27 |
United States | 100,000 | 100,991 | |||||||||
2021-SFR2, E2, 2.647%, 4/19/38 |
United States | 100,000 | 100,958 | |||||||||
2021-SFR4, F, 3.407%, 5/17/38 |
United States | 230,000 | 233,311 | |||||||||
2021-SFR7, F, 3.834%, 8/17/40 |
United States | 260,000 | 260,905 | |||||||||
d,qRBSSP Resecuritization Trust, 2009-12, 17A2, 144A, FRN, 2.454%, 10/25/35 |
United States | 327,730 | 324,821 | |||||||||
dRepublic Finance Issuance Trust, 2019-A, A, 144A, 3.43%, 11/22/27 |
United States | 240,000 | 242,312 | |||||||||
Santander Drive Auto Receivables Trust, |
||||||||||||
2020-1, D, 5.35%, 3/15/28 |
United States | 240,000 | 261,458 | |||||||||
2020-2, D, 2.22%, 9/15/26 |
United States | 100,000 | 102,233 | |||||||||
2020-4, D, 1.48%, 1/15/27 |
United States | 305,000 | 309,723 | |||||||||
pSaxon Asset Securities Trust, 2002-3, M2, FRN, 2.672%, (1-Month USD LIBOR + 2.59%), 12/25/32 |
United States | 1,133,472 | 1,130,704 | |||||||||
dSCF Equipment Leasing LLC, 2021-1A, E, 144A, 3.56%, 8/20/32 |
United States | 100,000 | 100,007 | |||||||||
d,qSecurity National Mortgage Loan Trust, 2004-1A, AF3, 144A, FRN, 6.42%, 6/25/32 |
United States | 1,749,280 | 1,535,578 | |||||||||
dSierra Timeshare Receivables Funding LLC, 2021-1A, C, 144A, 1.79%, 11/20/37 |
United States | 216,159 | 217,685 | |||||||||
d,pSilvermore CLO Ltd., 2014-1A, C, 144A, FRN, 3.575%, (3-Month USD LIBOR + 3.45%), 5/15/26 |
United States | 1,250,000 | 1,251,326 | |||||||||
dS-Jets Ltd., 2017-1, A, 144A, 3.967%, 8/15/42 |
Bermuda | 391,285 | 388,429 | |||||||||
pSLM Private Credit Student Loan Trust, 2003-B, A3, FRN, 2.806%, (28-Day T-Bill + 1.00%), 3/15/33 |
United States | 200,000 | 194,646 | |||||||||
d,pSMB Private Education Loan Trust, 2017-B, A2B, 144A, FRN, 0.843%, (1-Month USD LIBOR + 0.75%), 10/15/35 |
United States | 57,100 | 57,367 | |||||||||
dSoFi Consumer Loan Program Trust, 144A, |
||||||||||||
2018-1, B, 3.65%, 2/25/27 |
United States | 51,630 | 52,217 | |||||||||
2019-4, C, 2.84%, 8/25/28 |
United States | 130,000 | 133,191 | |||||||||
dSoFi Professional Loan Program LLC, 2016-A, B, 144A, 3.57%, 1/26/38 |
United States | 30,671 | 30,984 | |||||||||
pSoundview Home Loan Trust, 2006-WF2, M3, FRN, 0.759%, (1-Month USD LIBOR + 0.68%), 12/25/36 |
United States | 1,745,993 | 2,059,129 | |||||||||
dSpringCastle America Funding LLC, 2020-AA, A, 144A, 1.97%, 9/25/37 |
United States | 216,370 | 218,954 | |||||||||
dSprite Ltd., 2017-1, B, 144A, 5.75%, 12/15/37 |
United States | 164,302 | 147,373 | |||||||||
dStack Infrastructure Issuer LLC, 2019-1A, A2, 144A, 4.54%, 2/25/44 |
United States | 121,875 | 128,789 | |||||||||
d,pStaniford Street CLO Ltd., 2014-1A, D, 144A, FRN, 3.619%, (3-Month USD LIBOR + 3.50%), 6/15/25 |
United States | 1,650,000 | 1,654,408 | |||||||||
d,pStarwood Retail Property Trust, 2014-STAR, E, 144A, FRN, 4.496%, (1-Month USD LIBOR + 4.40%), 11/15/27 |
United States | 200,000 | 4,375 | |||||||||
dTextainer Marine Containers VII Ltd., 2021-1A, A, 144A, 1.68%, 2/20/46 |
Bermuda | 182,407 | 182,029 | |||||||||
dTowd Point Mortgage Trust, 144A, FRN, |
||||||||||||
q2018-5, M1, 3.25%, 7/25/58 |
United States | 100,000 | 105,132 | |||||||||
q2019-2, M1, 3.75%, 12/25/58 |
United States | 200,000 | 213,268 |
38
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* |
Value | ||||||||||
Asset-Backed Securities and Commercial Mortgage-Backed Securities (continued) |
||||||||||||
Diversified Financial Services (continued) |
||||||||||||
dTowd Point Mortgage Trust, 144A, FRN, (continued) |
||||||||||||
p2019-HE1, M2, 1.834%, (1-Month USD LIBOR + 1.75%), 4/25/48 |
United States | 1,481,000 | $ | 1,496,293 | ||||||||
d,pTPG Real Estate Finance Issuer Ltd., 2018-FL2, C, 144A, FRN, 2.393%, (1-Month USD LIBOR + 2.30%), 11/15/37 |
United States | 1,000,000 | 999,399 | |||||||||
dTricon American Homes Trust, 2020-SFR2, E1, 144A, 2.73%, 11/17/39 |
United States | 100,000 | 100,577 | |||||||||
dVCAT LLC, 2021-NPL1, A1, 144A, 2.289%, 12/26/50 |
United States | 87,293 | 87,633 | |||||||||
d,pVMC Finance LLC, 144A, FRN, |
||||||||||||
2019-FL3, C, 2.143%, (1-Month USD LIBOR + 2.05%), 9/15/36 |
United States | 1,145,249 | 1,138,231 | |||||||||
2021-FL4, C, 2.339%, (1-Month USD LIBOR + 2.25%), 6/16/36 |
United States | 1,000,000 | 1,003,121 | |||||||||
d,pVoya CLO Ltd., 2014-3A, D, 144A, FRN, 5.125%, (3-Month USD LIBOR + 5.00%), 7/25/26 |
United States | 2,100,000 | 2,107,542 | |||||||||
d,qWaMu Commercial Mortgage Securities Trust, 2007-SL2, G, 144A, FRN, 2.351%, 12/27/49 |
United States | 2,866,082 | 2,330,621 | |||||||||
dWave Trust, 2017-1A, A, 144A, 3.844%, 11/15/42 |
United States | 185,816 | 185,270 | |||||||||
qWells Fargo Mortgage Backed Securities Trust, 2007-AR6, A2, FRN, 2.697%, 10/25/37 |
United States | 162,633 | 159,574 | |||||||||
dWendys Funding LLC, 2018-1A, A2II, 144A, 3.884%, 3/15/48 |
United States | 212,300 | 227,258 | |||||||||
dWestlake Automobile Receivables Trust, 2020-3A, D, 144A, 1.65%, 2/17/26 |
United States | 120,000 | 122,024 | |||||||||
d,pYork CLO-6 Ltd., 2019-1A, D, 144A, FRN, 4.138%, (3-Month USD LIBOR + 4.00%), 7/22/32 |
United States | 455,000 | 457,011 | |||||||||
|
|
|||||||||||
71,605,898 | ||||||||||||
|
|
|||||||||||
Equity Real Estate Investment Trusts (REITs) 0.0% |
||||||||||||
dAmerican Homes 4 Rent, 144A, |
||||||||||||
2014-SFR2, E, 6.231%, 10/17/36 |
United States | 250,000 | 273,648 | |||||||||
2014-SFR3, E, 6.418%, 12/17/36 |
United States | 100,000 | 110,428 | |||||||||
2015-SFR1, E, 5.639%, 4/17/52 |
United States | 210,000 | 228,041 | |||||||||
dDiamond Resorts Owner Trust, 144A, |
||||||||||||
2017-1A, C, 6.07%, 10/22/29 |
United States | 18,652 | 18,950 | |||||||||
2018-1, C, 4.53%, 1/21/31 |
United States | 46,756 | 48,137 | |||||||||
2019-1A, B, 3.53%, 2/20/32 |
United States | 45,642 | 47,186 | |||||||||
|
|
|||||||||||
726,390 | ||||||||||||
|
|
|||||||||||
Mortgage Real Estate Investment Trusts (REITs) 1.5% |
||||||||||||
pAmerican Home Mortgage Investment Trust, 2006-1, 11A1, FRN, 0.364%, (1-Month USD LIBOR + 0.28%), 3/25/46 |
United States | 154,165 | 149,032 | |||||||||
Banc of America Alternative Loan Trust, 2003-8, 1CB1, 5.50%, 10/25/33 |
United States | 4,008 | 4,155 | |||||||||
Banc of America Funding Trust, |
||||||||||||
2003-1, B2, 6.00%, 5/20/33 |
United States | 172,656 | 119,934 | |||||||||
2007-4, 5A1, 5.50%, 11/25/34 |
United States | 50,339 | 50,202 | |||||||||
qBanc of America Mortgage Trust, 2005-A, 2A1, FRN, 2.621%, 2/25/35 |
United States | 3,158 | 3,271 | |||||||||
d,pBBCMS Mortgage Trust, 2020-BID, B, 144A, FRN, 2.636%, (1-Month USD LIBOR + 2.54%), 10/15/37 |
United States | 210,000 | 211,939 | |||||||||
d,pBCAP LLC Trust, 2012-RR4, 9A7, 144A, FRN, 0.169%, (1-Month USD LIBOR + 0.08%), 11/26/36 |
United States | 414,386 | 421,045 | |||||||||
qBear Stearns ARM Trust, 2007-4, 12A1, FRN, 3.037%, 5/25/37 |
United States | 1,303,463 | 1,289,746 | |||||||||
d,pBXMT Ltd., 2021-FL4, C, 144A, FRN, 1.846%, (1-Month USD LIBOR + 1.75%), 5/15/38 |
United States | 2,500,000 | 2,506,250 | |||||||||
dCIM Trust, 2021-NR2, A1, 144A, 2.568%, 7/25/59 |
United States | 186,446 | 187,583 |
39
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country |
Principal Amount* |
Value | ||||||||||||||
Asset-Backed Securities and Commercial Mortgage-Backed Securities (continued) |
||||||||||||||||
Mortgage Real Estate Investment Trusts (REITs) (continued) |
||||||||||||||||
d,qCitigroup Commercial Mortgage Trust, 2014-GC21, D, 144A, FRN, 5.109%, 5/10/47 |
United States | 330,000 | $ | 309,795 | ||||||||||||
dCitigroup Mortgage Loan Trust, 144A, |
||||||||||||||||
q2009-10, 6A2, FRN, 2.185%, 9/25/34 |
United States | 27,365 | 28,681 | |||||||||||||
q2019-B, A1, FRN, 3.258%, 4/25/66 |
United States | 89,442 | 90,246 | |||||||||||||
2019-E, A1, 3.228%, 11/25/70 |
United States | 213,646 | 214,352 | |||||||||||||
Countrywide Alternative Loan Trust, |
||||||||||||||||
2003-22CB, 1A1, 5.75%, 12/25/33 |
United States | 29,986 | 31,087 | |||||||||||||
2004-16CB, 1A1, 5.50%, 7/25/34 |
United States | 14,143 | 14,545 | |||||||||||||
2004-16CB, 3A1, 5.50%, 8/25/34 |
United States | 14,980 | 15,405 | |||||||||||||
2004-3T1, M, 6.00%, 5/25/34 |
United States | 257,919 | 207,182 | |||||||||||||
2004-J10, 2CB1, 6.00%, 9/25/34 |
United States | 46,545 | 48,481 | |||||||||||||
2005-J1, 2A1, 5.50%, 2/25/25 |
United States | 2,351 | 2,379 | |||||||||||||
pCountrywide Asset-Backed Certificates, 2005-15, M3, FRN, 0.604%, (1-Month USD LIBOR + 0.52%), 4/25/36 |
United States | 2,340,000 | 2,235,666 | |||||||||||||
qCountrywide Home Loans Mortgage Pass-Through Trust, 2004- HYB4, 2A1, FRN, 2.55%, 9/20/34 |
United States | 40,328 | 40,497 | |||||||||||||
d,pCredit Suisse Commercial Mortgage Securities Corp., 2019- SKLZ, D, 144A, FRN, 3.696%, (1-Month USD LIBOR + 3.60%), 1/15/34 |
United States | 105,000 | 104,014 | |||||||||||||
Credit Suisse First Boston Mortgage Securities Corp., |
||||||||||||||||
2002-10, 1B, 7.50%, 5/25/32 |
United States | 149,864 | 147,337 | |||||||||||||
2003-27, 4A4, 5.75%, 11/25/33 |
United States | 13,695 | 14,654 | |||||||||||||
2005-8, 1A3, 5.25%, 9/25/35 |
United States | 95,502 | 94,020 | |||||||||||||
dCSMC OA LLC, 144A, |
||||||||||||||||
2014-USA, A2, 3.953%, 9/15/37 |
United States | 150,000 | 162,017 | |||||||||||||
2014-USA, E, 4.373%, 9/15/37 |
United States | 400,000 | 364,076 | |||||||||||||
pDSLA Mortgage Loan Trust, 2005-AR5, 2A1A, FRN, 0.747%, (1- Month USD LIBOR + 0.66%), 9/19/45 |
United States | 33,005 | 25,083 | |||||||||||||
d,pDukinfield II PLC, 2016-2, A, FRN, Reg S, 1.331%, (3-Month GBP LIBOR + 1.25%), 12/20/52 |
United Kingdom | 128,889 | GBP | 177,378 | ||||||||||||
pFHLMC Structured Agency Credit Risk Debt Notes, 2015-DNA1, M3, FRN, 3.384%, (1-Month USD LIBOR + 3.30%), 10/25/27 |
United States | 114,609 | 116,552 | |||||||||||||
dGCAT LLC, 2020-4, A1, 144A, 2.611%, 12/25/25 |
United States | 258,515 | 260,151 | |||||||||||||
qGS Mortgage Securities Trust, FRN, |
||||||||||||||||
d2011-GC5, C, 144A, 5.303%, 8/10/44 |
United States | 100,000 | 85,987 | |||||||||||||
d2011-GC5, D, 144A, 5.303%, 8/10/44 |
United States | 195,000 | 102,862 | |||||||||||||
2014-GC18, B, 4.885%, 1/10/47 |
United States | 100,000 | 99,328 | |||||||||||||
GSR Mortgage Loan Trust, |
||||||||||||||||
2005-4F, 6A1, 6.50%, 2/25/35 |
United States | 7,949 | 8,130 | |||||||||||||
q2005-AR6, 4A5, FRN, 2.848%, 9/25/35 |
United States | 28,163 | 28,410 | |||||||||||||
pHarborview Mortgage Loan Trust, 2004-11, 2A2A, FRN, 0.727%, (1-Month USD LIBOR + 0.64%), 1/19/35 |
United States | 73,475 | 68,736 | |||||||||||||
IndyMac INDX Mortgage Loan Trust, FRN, |
||||||||||||||||
q2004-AR15, B1, 2.738%, 2/25/35 |
United States | 1,618,603 | 1,390,962 | |||||||||||||
p2004-AR7, A5, 1.304%, (1-Month USD LIBOR + 1.22%), 9/25/34 |
United States | 35,633 | 34,279 | |||||||||||||
q2005-AR11, A3, 2.979%, 8/25/35 |
United States | 41,949 | 38,609 | |||||||||||||
p2006-AR2, 2A1, 0.504%, (1-Month USD LIBOR + 0.42%), 2/25/46 |
United States | 175,532 | 142,379 | |||||||||||||
q2006-AR3, 3A1A, 3.066%, 4/25/36 |
United States | 1,958,381 | 1,990,387 | |||||||||||||
qJPMorgan Alternative Loan Trust, 2006-A2, 2A2, FRN, 2.962%, 5/25/36 |
United States | 1,420,399 | 1,106,211 | |||||||||||||
d,qJPMorgan Chase Commercial Mortgage Securities Trust, 144A, FRN, 2012-C8, C, 4.78%, 10/15/45 |
United States | 100,000 | 101,344 |
40
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* |
Value | ||||||||||
Asset-Backed Securities and Commercial Mortgage-Backed Securities (continued) |
||||||||||||
Mortgage Real Estate Investment Trusts (REITs) (continued) |
||||||||||||
d,qJPMorgan Chase Commercial Mortgage Securities Trust, 144A, FRN, (continued) |
||||||||||||
2012-LC9, C, 4.508%, 12/15/47 |
United States | 100,000 | $ | 101,767 | ||||||||
2012-LC9, D, 4.508%, 12/15/47 |
United States | 120,000 | 117,917 | |||||||||
JPMorgan Mortgage Trust, |
||||||||||||
2004-S1, 2A1, 6.00%, 9/25/34 |
United States | 67,890 | 71,173 | |||||||||
q2006-A3, 2B1, FRN, 2.679%, 4/25/35 |
United States | 1,899,836 | 1,261,431 | |||||||||
q2007-A1, 4A2, FRN, 2.306%, 7/25/35 |
United States | 1,528 | 1,538 | |||||||||
pLehman XS Trust Series, 2006-2N, 1A1, FRN, 0.604%, (1-Month USD LIBOR + 0.52%), 2/25/46 |
United States | 30,881 | 28,593 | |||||||||
MASTR Alternative Loan Trust, |
||||||||||||
2004-2, 8A4, 5.50%, 3/25/34 |
United States | 123,580 | 126,263 | |||||||||
2004-8, 2A1, 6.00%, 9/25/34 |
United States | 28,722 | 29,596 | |||||||||
qMerrill Lynch Mortgage Investors MLCC, 2006-2, 2A, FRN, 2.091%, 5/25/36 |
United States | 1,733 | 1,769 | |||||||||
qMorgan Stanley Bank of America Merrill Lynch Trust, 2013-C11, B, FRN, 4.497%, 8/15/46 |
United States | 200,000 | 150,049 | |||||||||
d,qMorgan Stanley Capital I Trust, 2011-C2, E, 144A, FRN, 5.385%, 6/15/44 |
United States | 150,000 | 122,373 | |||||||||
d,qMSBAM Commercial Mortgage Securities Trust, 2012-CKSV, C, 144A, FRN, 4.425%, 10/15/30 |
United States | 340,000 | 271,697 | |||||||||
dPRPM LLC, 144A, |
||||||||||||
2020-3, A2, 5.071%, 9/25/25 |
United States | 100,000 | 100,749 | |||||||||
2020-5, A2, 5.437%, 11/25/25 |
United States | 305,000 | 307,377 | |||||||||
q2021-2, A2, FRN, 3.77%, 3/25/26 |
United States | 130,000 | 130,393 | |||||||||
2021-3, A1, 1.867%, 4/25/26 |
United States | 187,999 | 189,132 | |||||||||
dRCO V Mortgage LLC, 2020-1, A1, 144A, 3.105%, 9/25/25 |
United States | 70,408 | 71,019 | |||||||||
qRFMSI Trust, 2005-SA1, 1A1, FRN, 3.617%, 3/25/35 |
United States | 88,079 | 56,472 | |||||||||
pStructured ARM Loan Trust, 2005-14, A1, FRN, 0.394%, (1-Month USD LIBOR + 0.31%), 7/25/35 |
United States | 197,147 | 144,634 | |||||||||
dToorak Mortgage Corp. Ltd., 2021-1, A1, 144A, 2.24%, 6/25/24 |
United States | 190,000 | 190,342 | |||||||||
dVOLT XCII LLC, 2021-NPL1, A1, 144A, 1.893%, 2/27/51 |
United States | 96,579 | 96,731 | |||||||||
dVOLT XCII LLC, 2021-NPL2, A1, 144A, 1.893%, 2/27/51 |
United States | 237,403 | 238,523 | |||||||||
dVOLT XCIV LLC, 2021-NPL3, A2, 144A, 4.949%, 2/27/51 |
United States | 215,000 | 215,590 | |||||||||
Wells Fargo Commercial Mortgage Trust, |
||||||||||||
q2013-LC12, B, FRN, 4.443%, 7/15/46 |
United States | 190,000 | 190,742 | |||||||||
2014-LC16, C, 4.458%, 8/15/50 |
United States | 215,000 | 143,811 | |||||||||
q2016-C36, B, FRN, 3.671%, 11/15/59 |
United States | 100,000 | 100,353 | |||||||||
q2016-C36, C, FRN, 4.324%, 11/15/59 |
United States | 100,000 | 89,647 | |||||||||
d,q2019-JWDR, C, 144A, FRN, 3.139%, 9/15/31 |
United States | 290,000 | 292,778 | |||||||||
WFRBS Commercial Mortgage Trust, |
||||||||||||
d,q2011-C3, D, 144A, FRN, 5.513%, 3/15/44 |
United States | 243,673 | 123,591 | |||||||||
d,q2011-C4, E, 144A, FRN, 5.023%, 6/15/44 |
United States | 120,000 | 81,790 | |||||||||
q2012-C10, C, FRN, 4.495%, 12/15/45 |
United States | 320,000 | 282,078 | |||||||||
d,q2012-C6, D, 144A, FRN, 5.946%, 4/15/45 |
United States | 150,000 | 151,719 | |||||||||
q2012-C7, C, FRN, 4.957%, 6/15/45 |
United States | 25,000 | 18,522 | |||||||||
d,q2012-C7, D, 144A, FRN, 4.957%, 6/15/45 |
United States | 130,000 | 69,987 | |||||||||
d,e,q2012-C7, E, 144A, FRN, 4.957%, 6/15/45 |
United States | 75,000 | 14,962 | |||||||||
2014-C20, B, 4.378%, 5/15/47 |
United States | 100,000 | 104,858 | |||||||||
q2014-C24, B, FRN, 4.204%, 11/15/47 |
United States | 100,000 | 101,786 | |||||||||
|
|
|||||||||||
20,636,131 | ||||||||||||
|
|
|||||||||||
Total Asset-Backed Securities and Commercial Mortgage-Backed Securities (Cost $91,966,480) |
92,968,419 | |||||||||||
|
|
41
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* |
Value | ||||||||||
Municipal Bonds in Reorganization 0.5% |
||||||||||||
Puerto Rico 0.5% |
||||||||||||
lCommonwealth of Puerto Rico, |
||||||||||||
8.00%, 7/01/35 |
United States | 6,980,000 | $ | 5,941,725 | ||||||||
5.50%, 7/01/39 |
United States | 715,000 | 643,500 | |||||||||
5.00%, 7/01/41 |
United States | 1,000,000 | 858,750 | |||||||||
|
|
|||||||||||
Total Municipal Bonds in Reorganization (Cost $4,539,041) |
|
7,443,975 | ||||||||||
|
|
|||||||||||
Number of Contracts |
Notional Amount# |
|||||||||||
Options Purchased 0.1% |
||||||||||||
Calls - Exchange-Traded 0.0% |
||||||||||||
1Life Healthcare Inc., October Strike Price $30.00, Expires 10/15/21 |
20 | 2,000 | 1,000 | |||||||||
The AES Corp., January Strike Price $27.00, Expires 1/21/22 |
813 | 81,300 | 40,650 | |||||||||
Alteryx Inc., October Strike Price $80.00, Expires 10/15/21 |
4 | 400 | 728 | |||||||||
Alteryx Inc., October Strike Price $85.00, Expires 10/15/21 |
4 | 400 | 340 | |||||||||
Callaway Golf Co., November Strike Price $33.00, Expires 11/19/21 |
67 | 6,700 | 5,025 | |||||||||
Canadian Pacific Railway Ltd., October Strike Price $75.00, Expires 10/15/21 |
10 | 1,000 | 800 | |||||||||
Casino Guichard Perrachon SA, December Strike Price 30.00 EUR, Expires 12/17/21 |
43 | 4,300 | 1,066 | |||||||||
Chicago Board Options Exchange Volatility Index, September Strike Price $22.00, Expires 9/15/21 |
260 | 26,000 | 20,800 | |||||||||
Chicago Board Options Exchange Volatility Index, October Strike Price $23.00, Expires 10/20/21 |
115 | 11,500 | 29,555 | |||||||||
Chicago Board Options Exchange Volatility Index, October Strike Price $24.00, Expires 10/20/21 |
222 | 22,200 | 55,500 | |||||||||
Chicago Board Options Exchange Volatility Index, October Strike Price $25.00, Expires 10/20/21 |
124 | 12,400 | 27,528 | |||||||||
Chicago Board Options Exchange Volatility Index, November Strike Price $25.00, Expires 11/17/21 |
206 | 20,600 | 62,830 | |||||||||
Fox Corp., October Strike Price $ 39.00, Expires 10/15/21 |
40 | 4,000 | 3,000 | |||||||||
fuboTV Inc., September Strike Price $35.00, Expires 9/17/21 |
30 | 3,000 | 960 | |||||||||
GOL Linhas Aereas Inteligentes SA, October Strike Price $10.00, Expires 10/15/21 |
121 | 12,100 | 1,452 | |||||||||
Helix Energy Solutions Group Inc., December Strike Price $5.00, Expires 12/17/21 |
82 | 8,200 | 1,435 | |||||||||
Intel Corp., January Strike Price $70.00, Expires 1/21/22 |
100 | 10,000 | 3,200 | |||||||||
Kadmon Holdings Inc., September Strike Price $7.50, Expires 9/17/21 |
40 | 4,000 | 400 | |||||||||
Kansas City Southern, September Strike Price $280.00, Expires 9/17/21 |
13 | 1,300 | 10,400 | |||||||||
Kansas City Southern, September Strike Price $290.00, Expires 9/17/21 |
40 | 4,000 | 12,000 | |||||||||
Nikola Corp., January Strike Price $12.50, Expires 1/21/22 |
67 | 6,700 | 11,859 | |||||||||
Nikola Corp., January Strike Price $14.00, Expires 1/21/22 |
95 | 9,500 | 13,775 | |||||||||
Nikola Corp., January Strike Price $16.00, Expires 1/21/22 |
97 | 9,700 | 10,670 | |||||||||
Nikola Corp., January Strike Price $17.50, Expires 1/21/22 |
32 | 3,200 | 3,040 | |||||||||
PetIQ Inc.., October Strike Price $29.00, Expires 10/15/21 |
20 | 2,000 | 1,150 | |||||||||
PetIQ Inc.., October Strike Price $30.00, Expires 10/15/21 |
20 | 2,000 | 800 | |||||||||
SPDR Gold Shares ETF, June Strike Price $200.00, Expires 6/17/22 |
147 | 14,700 | 35,280 | |||||||||
Vodafone Group PLC, September Strike Price 1.40 GBP, Expires 9/17/21 |
218 | 218,000 | |
42
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Number of Contracts |
Notional Amount# |
Value | ||||||||||
Options Purchased (continued) |
||||||||||||
Calls - Exchange-Traded (continued) |
||||||||||||
Vodafone Group PLC, December Strike Price 1.25 GBP, Expires 12/17/21 |
64 | 64,000 | $ | 3,960 | ||||||||
Vroom Inc., December Strike Price $35.00, Expires 12/17/21 |
10 | 1,000 | 1,300 | |||||||||
Willis Towers Watson PLC, October Strike Price $250.00, Expires 10/15/21 |
8 | 800 | 2,080 | |||||||||
Willis Towers Watson PLC, December Strike Price $250.00, Expires 12/17/21 |
23 | 2,300 | 5,635 | |||||||||
|
|
|||||||||||
368,218 | ||||||||||||
|
|
|||||||||||
Calls - Over-the-Counter 0.0% |
||||||||||||
Nasdaq 100 Stock Index, Counterparty MSCS, September Strike Price $15,126.00, Expires 9/07/21 |
163 | 163 | 78,803 | |||||||||
|
|
|||||||||||
Puts - Exchange-Traded 0.1% |
||||||||||||
Advanced Micro Devices Inc., December Strike Price $115.00, Expires 12/17/21 |
232 | 23,200 | 296,496 | |||||||||
Advanced Micro Devices Inc., December Strike Price $120.00, Expires 12/17/21 |
232 | 23,200 | 374,680 | |||||||||
Air France-KLM, December Strike Price 4.20 EUR, Expires 12/17/21 |
218 | 21,800 | 13,900 | |||||||||
Alphatec Holdings Inc., October Strike Price $12.50, Expires 10/15/21 |
20 | 2,000 | 800 | |||||||||
American Airlines Group Inc., September Strike Price $17.00, Expires 9/17/21 |
60 | 6,000 | 600 | |||||||||
American Airlines Group Inc., November Strike Price $18.00, Expires 11/19/21 |
145 | 14,500 | 14,500 | |||||||||
American Airlines Group Inc., January Strike Price $10.00, Expires 1/20/23 |
40 | 4,000 | 3,280 | |||||||||
Antero Resources Corp., September Strike Price $11.00, Expires 9/17/21 |
22 | 2,200 | 165 | |||||||||
Beyond Meat Inc., September Strike Price $110.00, Expires 9/17/21 |
4 | 400 | 456 | |||||||||
Box Inc., September Strike Price $18.00, Expires 9/17/21 |
101 | 10,100 | 303 | |||||||||
Box Inc., September Strike Price $19.00, Expires 9/17/21 |
99 | 9,900 | 297 | |||||||||
Box Inc., September Strike Price $20.00, Expires 9/17/21 |
24 | 2,400 | 300 | |||||||||
Box Inc., September Strike Price $23.00, Expires 9/17/21 |
295 | 29,500 | 2,950 | |||||||||
Box Inc., October Strike Price $24.00, Expires 10/15/21 |
82 | 8,200 | 4,920 | |||||||||
Box Inc., December Strike Price $23.00, Expires 12/17/21 |
17 | 1,700 | 1,827 | |||||||||
Braemar Hotels & Resorts Inc., October Strike Price $5.00, Expires 10/15/21 |
8 | 800 | 400 | |||||||||
Callaway Golf Co., January Strike Price $28.00, Expires 1/21/22 |
16 | 1,600 | 4,560 | |||||||||
Callaway Golf Co., January Strike Price $29.00, Expires 1/21/22 |
82 | 8,200 | 28,290 | |||||||||
Callaway Golf Co., January Strike Price $30.00, Expires 1/21/22 |
142 | 14,200 | 56,800 | |||||||||
Canadian Pacific Railway Ltd., September Strike Price $72.00, Expires 9/17/21 |
13 | 1,300 | 6,110 | |||||||||
Century Aluminum Co., September Strike Price $13.00, Expires 9/17/21 |
10 | 1,000 | 850 | |||||||||
Chicago Board Options Exchange Volatility Index, September Strike Price $22.00, Expires 9/15/21 |
510 | 51,000 | 209,100 | |||||||||
Chicago Board Options Exchange Volatility Index, October Strike Price $23.00, Expires 10/20/21 |
217 | 21,700 | 101,990 | |||||||||
Chicago Board Options Exchange Volatility Index, October Strike Price $24.00, Expires 10/20/21 |
193 | 19,300 | 104,220 | |||||||||
Cinemark Holdings Inc., January Strike Price $10.00, Expires 1/21/22 |
75 | 7,500 | 2,625 | |||||||||
Coherus Biosciences Inc., November Strike Price $12.50, Expires 11/19/21 |
5 | 500 | 225 |
43
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Number of Contracts |
Notional Amount# |
Value | ||||||||||
Options Purchased (continued) |
||||||||||||
Puts - Exchange-Traded (continued) |
||||||||||||
DraftKings Inc., September Strike Price $45.00, Expires 9/17/21 |
16 | 1,600 | $ | 144 | ||||||||
Dynavax Technologies Corp., September Strike Price $12.00, Expires 9/17/21 |
10 | 1,000 | 60 | |||||||||
GOL Linhas Aereas Inteligentes SA, September Strike Price $8.00, Expires 9/17/21 |
44 | 4,400 | 2,090 | |||||||||
GOL Linhas Aereas Inteligentes SA, October Strike Price $4.00, Expires 10/15/21 |
66 | 6,600 | 660 | |||||||||
Hewlett Packard Enterprise Co., November Strike Price $14.00, Expires 11/19/21 |
98 | 9,800 | 3,920 | |||||||||
HP Inc., November Strike Price $30.00, Expires 11/19/21 |
45 | 4,500 | 7,380 | |||||||||
Insmed Inc., November Strike Price $21.00, Expires 11/19/21 |
4 | 400 | 460 | |||||||||
Invesco QQQ Trust Series 1, September Strike Price $357.00, Expires 9/17/21 |
334 | 33,400 | 29,726 | |||||||||
iShares Russell 2000 ETF, September Strike Price $210.00, Expires 9/17/21 |
219 | 21,900 | 14,454 | |||||||||
The Marcus Corp., December Strike Price $10.00, Expires 12/17/21 |
37 | 3,700 | 740 | |||||||||
Marriott Vacations Worldwide Corp., September Strike Price $135.00, Expires 9/17/21 |
4 | 400 | 360 | |||||||||
Nasdaq 100 Stock Index, September Strike Price $14,800.00, Expires 9/17/21 |
2 | 200 | 8,380 | |||||||||
Realogy Holdings Corp., September Strike Price $15.00, Expires 9/17/21 |
44 | 4,400 | 396 | |||||||||
S&P 500 Index, September Strike Price $4,000.00, Expires 9/17/21 |
7 | 700 | 2,240 | |||||||||
S&P 500 Index, October Strike Price $4,200.00, Expires 10/15/21 |
42 | 4,200 | 114,324 | |||||||||
S&P 500 Index, October Strike Price $4,250.00, Expires 10/15/21 |
4 | 400 | 12,600 | |||||||||
S&P 500 Index, October Strike Price $4,300.00, Expires 10/15/21 |
7 | 700 | 24,976 | |||||||||
Willis Towers Watson PLC, September Strike Price $195.00, Expires 9/17/21 |
21 | 2,100 | 630 | |||||||||
|
|
|||||||||||
1,454,184 | ||||||||||||
|
|
|||||||||||
Puts - Over-the-Counter 0.0% |
||||||||||||
Air France-KLM, Counterparty BOFA, September Strike Price 4.00 EUR, Expires 9/17/21 |
73 | 7,300 | 1,379 | |||||||||
Nasdaq 100 Stock Index, Counterparty MSCS, September Strike Price $15,126.00, Expires 9/07/21 |
163 | 163 | 2,651 | |||||||||
|
|
|||||||||||
4,030 | ||||||||||||
|
|
|||||||||||
Total Options Purchased (Cost $2,922,217) |
1,905,235 | |||||||||||
|
|
|||||||||||
Total Investments before Short Term Investments |
1,067,756,006 | |||||||||||
|
|
|||||||||||
Country | Shares | |||||||||||
Short Term Investments 17.8% |
||||||||||||
Money Market Funds 15.7% |
||||||||||||
r,sDreyfus Government Cash Management, Institutional, 0.03% |
United States | 25,843,038 | 25,843,038 |
44
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Shares | Value | ||||||||||
Short Term Investments (continued) |
||||||||||||
Money Market Funds (continued) |
||||||||||||
rFidelity Investments Money Market Government Portfolio, Institutional, 0.01% |
United States | 192,138,122 | $ | 192,138,122 | ||||||||
|
|
|||||||||||
Total Money Market Funds (Cost $217,981,160) |
217,981,160 | |||||||||||
|
|
|||||||||||
Investments from Cash Collateral Received for Loaned Securities 0.4% |
||||||||||||
Money Market Funds 0.3% |
||||||||||||
r,tInstitutional Fiduciary Trust Money Market Portfolio, 0.01% |
United States | 3,500,000 | 3,500,000 | |||||||||
Principal | ||||||||||||
Repurchase Agreements 0.1% |
||||||||||||
uJoint Repurchase Agreement, 0.05%, 9/01/21 |
||||||||||||
(Maturity Value $2,065,337) |
United States | 2,065,334 | 2,065,334 | |||||||||
J.P. Morgan Securities LLC Collateralized by U.S. Government Agency Obligations, 0.125%-2.125%, 10/31/22-7/31/24 (valued at $2,106,642) |
||||||||||||
|
|
|||||||||||
Total Investments from Cash Collateral Received for |
5,565,334 | |||||||||||
|
|
|||||||||||
U.S. Government and Agency Securities 1.7% |
||||||||||||
vFederal Home Loan Bank Discount Notes, zero cpn., 9/01/21 |
United States | 13,740,000 | 13,740,000 | |||||||||
vU.S. Treasury Bill, zero cpn., |
||||||||||||
9/09/21 |
United States | 910,000 | 909,994 | |||||||||
10/07/21 |
United States | 405,000 | 404,985 | |||||||||
b10/14/21 |
United States | 7,000,000 | 6,999,707 | |||||||||
8/11/22 |
United States | 940,000 | 939,416 | |||||||||
|
|
|||||||||||
Total U.S. Government and Agency Securities |
22,994,102 | |||||||||||
|
|
|||||||||||
Total Investments (Cost $1,115,754,337) 94.8% |
1,314,296,602 | |||||||||||
Options Written (0.0)% |
(359,067 | ) | ||||||||||
Securities Sold Short (16.7)% |
(232,345,523 | ) | ||||||||||
Other Assets, less Liabilities 21.9% |
304,426,848 | |||||||||||
|
|
|||||||||||
Net Assets 100.0% |
$ | 1,386,018,860 | ||||||||||
|
|
|||||||||||
Number of Contracts |
Notional Amount# |
|||||||||||
Options Written (0.0)% |
||||||||||||
Calls - Exchange-Traded (0.0)% |
||||||||||||
Accenture PLC, October Strike Price $350.00, Expires 10/15/21 |
1 | 100 | (400 | ) | ||||||||
American Tower Corp., October Strike Price $300.00, Expires 10/15/21 |
1 | 100 | (400 | ) | ||||||||
Apple Inc., October Strike Price $160.00, Expires 10/15/21 |
3 | 300 | (639 | ) | ||||||||
Applied Materials Inc., October Strike Price $145.00, Expires 10/15/21 |
3 | 300 | (654 | ) | ||||||||
Blackstone Inc., October Strike Price $125.00, Expires 10/15/21 |
3 | 300 | (1,404 | ) | ||||||||
Box Inc., September Strike Price $26.00, Expires 9/17/21 |
99 | 9,900 | (6,534 | ) |
45
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Number of Contracts |
Notional Amount# |
Value | ||||||||||
Options Written (continued) |
||||||||||||
Calls - Exchange-Traded (continued) |
||||||||||||
Box Inc., September Strike Price $27.00, Expires 9/17/21 |
75 | 7,500 | $ | (2,850 | ) | |||||||
Box Inc., September Strike Price $29.00, Expires 9/17/21 |
35 | 3,500 | (525 | ) | ||||||||
Box Inc., October Strike Price $27.00, Expires 10/15/21 |
82 | 8,200 | (6,970 | ) | ||||||||
Box Inc., December Strike Price $28.00, Expires 12/17/21 |
17 | 1,700 | (2,227 | ) | ||||||||
Bristol-Myers Squibb Co., October Strike Price $70.00, Expires 10/15/21 |
4 | 400 | (192 | ) | ||||||||
Callaway Golf Co., January Strike Price $40.00, Expires 1/21/22 |
67 | 6,700 | (2,680 | ) | ||||||||
Callaway Golf Co., January Strike Price $45.00, Expires 1/21/22 |
174 | 17,400 | (3,480 | ) | ||||||||
Casino Guichard Perrachon SA, December Strike Price 34.00 EUR, Expires 12/17/21 |
43 | 4,300 | (305 | ) | ||||||||
Comcast Corp., October Strike Price $62.50, Expires 10/15/21 |
5 | 500 | (400 | ) | ||||||||
ConocoPhillips, October Strike Price $60.00, Expires 10/15/21 |
2 | 200 | (186 | ) | ||||||||
Deere & Co., October Strike Price $390.00, Expires 10/15/21 |
1 | 100 | (710 | ) | ||||||||
dMY Technology Group Inc. III, October Strike Price $12.50, Expires 10/15/21 |
32 | 3,200 | (960 | ) | ||||||||
Fox Corp., October Strike Price $40.00, Expires 10/15/21 |
11 | 1,100 | (495 | ) | ||||||||
The Goldman Sachs Group Inc., October Strike Price $435.00, Expires 10/15/21 |
1 | 100 | (657 | ) | ||||||||
The Home Depot Inc., October Strike Price $345.00, Expires 10/15/21 |
1 | 100 | (195 | ) | ||||||||
Iron Mountain Inc., October Strike Price $47.50, Expires 10/15/21 |
6 | 600 | (804 | ) | ||||||||
JPMorgan Chase & Co., October Strike Price $165.00, Expires 10/15/21 |
2 | 200 | (520 | ) | ||||||||
Kansas City Southern, October Strike Price $310.00, Expires 10/15/21 |
13 | 1,300 | (1,820 | ) | ||||||||
Kraton Corp., December Strike Price $50.00, Expires 12/17/21 |
55 | 5,500 | (13,750 | ) | ||||||||
Medallia Inc., November Strike Price $35.00, Expires 11/19/21 |
41 | 4,100 | (718 | ) | ||||||||
Microsoft Corp., October Strike Price $320.00, Expires 10/15/21 |
1 | 100 | (170 | ) | ||||||||
Morgan Stanley, October Strike Price $110.00, Expires 10/15/21 |
5 | 500 | (790 | ) | ||||||||
Nike Inc., October Strike Price $180.00, Expires 10/15/21 |
3 | 300 | (564 | ) | ||||||||
NVIDIA Corp., October Strike Price $247.50, Expires 10/15/21 |
2 | 200 | (618 | ) | ||||||||
NXP Semiconductors NV, October Strike Price $230.00, Expires 10/15/21 |
2 | 200 | (730 | ) | ||||||||
Oracle Corp., October Strike Price $95.00, Expires 10/15/21 |
4 | 400 | (492 | ) | ||||||||
Pfizer Inc., October Strike Price $55.00, Expires 10/15/21 |
6 | 600 | (78 | ) | ||||||||
The Procter & Gamble Co., October Strike Price $150.00, Expires 10/15/21 |
2 | 200 | (110 | ) | ||||||||
Ross Stores Inc., October Strike Price $135.00, Expires 10/15/21 |
2 | 200 | (360 | ) | ||||||||
Stamps.com Inc., September Strike Price $330.00, Expires 9/17/21 |
13 | 1,300 | (195 | ) | ||||||||
Target Corp., October Strike Price $270.00, Expires 10/15/21 |
1 | 100 | (85 | ) | ||||||||
Texas Instruments Inc., October Strike Price $200.00, Expires 10/15/21 |
1 | 100 | (204 | ) | ||||||||
The TJX Cos. Inc., October Strike Price $80.00, Expires 10/15/21 |
4 | 400 | (120 | ) | ||||||||
Translate Bio Inc., February Strike Price $40.00, Expires 2/18/22 |
119 | 11,900 | (2,380 | ) | ||||||||
Willis Towers Watson PLC, September Strike Price $230.00, Expires 9/17/21 |
21 | 2,100 | (2,310 | ) | ||||||||
Willis Towers Watson PLC, October Strike Price $270.00, Expires 10/15/21 |
8 | 800 | (1,840 | ) | ||||||||
Willis Towers Watson PLC, December Strike Price $260.00, Expires 12/17/21 |
16 | 1,600 | (3,400 | ) | ||||||||
Willis Towers Watson PLC, December Strike Price $270.00, Expires 12/17/21 |
7 | 700 | (1,872 | ) | ||||||||
|
|
|||||||||||
(66,793 | ) | |||||||||||
|
|
46
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Number of Contracts |
Notional
Amount# |
Value | ||||||||||
Options Written (continued) |
||||||||||||
Calls - Over-the-Counter (0.0)% |
||||||||||||
Clearway Energy Inc., C, Counterparty BOFA, November Strike Price $30.00, Expires 11/19/21 |
58 | 5,800 | $ | (13,340) | ||||||||
|
|
|||||||||||
Puts - Exchange-Traded (0.0)% |
||||||||||||
Callaway Golf Co., November Strike Price $26.00, Expires 11/19/21 |
67 | 6,700 | (9,246) | |||||||||
Callaway Golf Co., January Strike Price $22.00, Expires 1/21/22 |
242 | 24,200 | (18,634) | |||||||||
Canadian Pacific Railway Ltd., September Strike Price $65.00, Expires 9/17/21 |
13 | 1,300 | (1,027) | |||||||||
Kansas City Southern, September Strike Price $280.00, Expires 9/03/21 |
8 | 800 | (2,960) | |||||||||
Kansas City Southern, September Strike Price $280.00, Expires 9/17/21 |
46 | 4,600 | (28,520) | |||||||||
Nasdaq 100 Stock Index, September Strike Price $13,600.00, Expires 9/17/21 |
2 | 200 | (2,320) | |||||||||
Nikola Corp., January Strike Price $7.50, Expires 1/21/22 |
67 | 6,700 | (7,303) | |||||||||
Nikola Corp., January Strike Price $10.00, Expires 1/21/22 |
129 | 12,900 | (30,186) | |||||||||
Nikola Corp., January Strike Price $11.00, Expires 1/21/22 |
33 | 3,300 | (9,702) | |||||||||
Nikola Corp., January Strike Price $12.50, Expires 1/21/22 |
65 | 6,500 | (25,675) | |||||||||
S&P 500 Index, September Strike Price $3,600.00, Expires 9/17/21 |
7 | 700 | (728) | |||||||||
S&P 500 Index, October Strike Price $4,000.00, Expires 10/15/21 |
7 | 700 | (10,689) | |||||||||
S&P 500 Index, December Strike Price $3,600.00, Expires 12/17/21 |
42 | 4,200 | (113,778) | |||||||||
S&P 500 Index, December Strike Price $3,650.00, Expires 12/17/21 |
4 | 400 | (12,000) | |||||||||
Vodafone Group PLC, September Strike Price 1.20 GBP, Expires 9/17/21 |
218 | 218,000 | (3,746) | |||||||||
Vodafone Group PLC, December Strike Price 1.10 GBP, Expires 12/17/21 |
64 | 64,000 | (2,420) | |||||||||
|
|
|||||||||||
(278,934) | ||||||||||||
|
|
|||||||||||
Total Options Written (Premiums Received $529,740) |
(359,067) | |||||||||||
|
|
|||||||||||
Country | Shares | |||||||||||
Securities Sold Short (16.7)% |
||||||||||||
Common Stocks (6.9)% |
||||||||||||
Aerospace & Defense (0.0)% |
||||||||||||
Kaman Corp. |
United States | 1,379 | (53,891) | |||||||||
Parsons Corp. |
United States | 12,193 | (431,998) | |||||||||
|
|
|||||||||||
(485,889) | ||||||||||||
|
|
|||||||||||
Air Freight & Logistics (0.3)% |
||||||||||||
Air Transport Services Group Inc. |
United States | 15,147 | (414,876) | |||||||||
Atlas Air Worldwide Holdings Inc. |
United States | 27,936 | (2,044,077) | |||||||||
United Parcel Service Inc., B |
United States | 6,865 | (1,343,000) | |||||||||
|
|
|||||||||||
(3,801,953) | ||||||||||||
|
|
|||||||||||
Airlines (0.0)% |
||||||||||||
GOL Linhas Aereas Inteligentes SA, ADR |
Brazil | 13,266 | (103,342) | |||||||||
Spirit Airlines Inc. |
United States | 4,514 | (110,729) | |||||||||
|
|
|||||||||||
(214,071) | ||||||||||||
|
|
47
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Shares | Value | ||||||||||
Securities Sold Short (continued) |
||||||||||||
Common Stocks (continued) |
||||||||||||
Auto Components (0.1)% |
||||||||||||
Patrick Industries Inc. |
United States | 11,556 | $ | (943,085) | ||||||||
|
|
|||||||||||
Automobiles (0.1)% |
||||||||||||
Fisker Inc. |
United States | 33,461 | (466,781) | |||||||||
Li Auto Inc., ADR |
China | 19,117 | (589,950) | |||||||||
NIO Inc., ADR |
China | 15,483 | (608,637) | |||||||||
|
|
|||||||||||
(1,665,368) | ||||||||||||
|
|
|||||||||||
Banks (0.0)% |
||||||||||||
Hope Bancorp Inc. |
United States | 12,552 | (173,092) | |||||||||
|
|
|||||||||||
Biotechnology (0.6)% |
||||||||||||
Avid Bioservices Inc. |
United States | 34,445 | (834,947) | |||||||||
BioMarin Pharmaceutical Inc. |
United States | 3,572 | (300,798) | |||||||||
Coherus Biosciences Inc. |
United States | 40,533 | (647,717) | |||||||||
Dynavax Technologies Corp. |
United States | 86,529 | (1,683,854) | |||||||||
Flexion Therapeutics Inc. |
United States | 6,313 | (37,752) | |||||||||
Gossamer Bio Inc. |
United States | 45,628 | (453,542) | |||||||||
Insmed Inc. |
United States | 30,400 | (852,416) | |||||||||
Intercept Pharmaceuticals Inc. |
United States | 33,471 | (499,053) | |||||||||
Ironwood Pharmaceuticals Inc., A |
United States | 39,018 | (511,136) | |||||||||
Kadmon Holdings Inc. |
United States | 93,753 | (513,766) | |||||||||
Karyopharm Therapeutics Inc. |
United States | 27,414 | (159,001) | |||||||||
Ligand Pharmaceuticals Inc. |
United States | 1,103 | (145,927) | |||||||||
Mannkind Corp. |
United States | 183,107 | (878,914) | |||||||||
Pharming Group NV |
Netherlands | 64,763 | (69,646) | |||||||||
|
|
|||||||||||
(7,588,469) | ||||||||||||
|
|
|||||||||||
Capital Markets (0.9)% |
||||||||||||
Apollo Global Management Inc., A |
United States | 91,223 | (5,453,311) | |||||||||
S&P Global Inc. |
United States | 14,395 | (6,388,789) | |||||||||
Singapore Exchange Ltd. |
Singapore | 5,000 | (36,699) | |||||||||
|
|
|||||||||||
(11,878,799) | ||||||||||||
|
|
|||||||||||
Consumer Finance (0.3)% |
||||||||||||
Encore Capital Group Inc. |
United States | 58,117 | (2,859,938) | |||||||||
EZCORP Inc., A |
United States | 52,132 | (359,189) | |||||||||
LendingTree Inc. |
United States | 406 | (67,652) | |||||||||
PRA Group Inc. |
United States | 17,557 | (737,394) | |||||||||
Upstart Holdings Inc. |
United States | 1,506 | (345,055) | |||||||||
Zip Co. Ltd. |
Australia | 32,600 | (161,446) | |||||||||
|
|
|||||||||||
(4,530,674) | ||||||||||||
|
|
|||||||||||
Diversified Consumer Services (0.0)% |
||||||||||||
Stride Inc. |
United States | 12,431 | (425,637) | |||||||||
|
|
|||||||||||
Electric Utilities (0.2)% |
||||||||||||
dOrsted As, 144A |
Denmark | 5,107 | (811,935) | |||||||||
The Southern Co. |
United States | 20,732 | (1,362,714) | |||||||||
Terna Rete Elettrica Nazionale SpA |
Italy | 135,704 | (1,073,426) | |||||||||
|
|
|||||||||||
(3,248,075) | ||||||||||||
|
|
|||||||||||
Electrical Equipment (0.0)% |
||||||||||||
Sunrun Inc. |
United States | 9,515 | (421,039) | |||||||||
|
|
|||||||||||
Electronic Equipment, Instruments & Components (0.1)% |
||||||||||||
II-VI Inc. |
United States | 3,346 | (210,731) | |||||||||
OSI Systems Inc. |
United States | 5,322 | (526,559) | |||||||||
Vishay Intertechnology Inc. |
United States | 8,430 | (185,207) | |||||||||
|
|
|||||||||||
(922,497) | ||||||||||||
|
|
48
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Shares | Value | ||||||||||
Securities Sold Short (continued) |
||||||||||||
Common Stocks (continued) |
||||||||||||
Energy Equipment & Services (0.1)% |
||||||||||||
Helix Energy Solutions Group Inc. |
United States | 159,155 | $ | (598,423) | ||||||||
Oil States International Inc. |
United States | 4,588 | (26,885) | |||||||||
|
|
|||||||||||
(625,308) | ||||||||||||
|
|
|||||||||||
Entertainment (0.2)% |
||||||||||||
Cinemark Holdings Inc. |
United States | 54,567 | (972,930) | |||||||||
Live Nation Entertainment Inc. |
United States | 10,325 | (895,177) | |||||||||
The Marcus Corp. |
United States | 59,537 | (928,777) | |||||||||
Spotify Technology SA |
United States | 209 | (48,977) | |||||||||
|
|
|||||||||||
(2,845,861) | ||||||||||||
|
|
|||||||||||
Equity Real Estate Investment Trusts (REITs) (0.3)% |
||||||||||||
Braemar Hotels & Resorts Inc. |
United States | 48,635 | (245,120) | |||||||||
Innovative Industrial Properties Inc., A |
United States | 10,672 | (2,624,351) | |||||||||
Pebblebrook Hotel Trust |
United States | 32,353 | (712,737) | |||||||||
Summit Hotel Properties Inc. |
United States | 68,196 | (635,587) | |||||||||
|
|
|||||||||||
(4,217,795) | ||||||||||||
|
|
|||||||||||
Food & Staples Retailing (0.1)% |
||||||||||||
The Chefs Warehouse Inc. |
United States | 27,460 | (830,116) | |||||||||
|
|
|||||||||||
Food Products (0.0)% |
||||||||||||
Beyond Meat Inc. |
United States | 3,731 | (446,377) | |||||||||
|
|
|||||||||||
Health Care Equipment & Supplies (0.3)% |
||||||||||||
Alphatec Holdings Inc. |
United States | 32,581 | (471,773) | |||||||||
Cutera Inc. |
United States | 22,220 | (1,105,223) | |||||||||
Mesa Laboratories Inc. |
United States | 1,325 | (353,669) | |||||||||
NuVasive Inc. |
United States | 10,363 | (643,957) | |||||||||
SmileDirectClub Inc., A |
United States | 64,872 | (356,796) | |||||||||
Varex Imaging Corp. |
United States | 55,298 | (1,613,042) | |||||||||
|
|
|||||||||||
(4,544,460) | ||||||||||||
|
|
|||||||||||
Health Care Providers & Services (0.1)% |
||||||||||||
1Life Healthcare Inc. |
United States | 8,273 | (202,771) | |||||||||
PetIQ Inc., A |
United States | 23,841 | (618,674) | |||||||||
|
|
|||||||||||
(821,445) | ||||||||||||
|
|
|||||||||||
Health Care Technology (0.0)% |
||||||||||||
Tabula Rasa HealthCare Inc. |
United States | 5,936 | (185,856) | |||||||||
|
|
|||||||||||
Hotels, Restaurants & Leisure (0.2)% |
||||||||||||
Draftkings Inc., A |
United States | 7,275 | (431,335) | |||||||||
Marriott Vacations Worldwide Corp. |
United States | 4,605 | (688,678) | |||||||||
Royal Caribbean Cruises Ltd. |
United States | 12,898 | (1,067,051) | |||||||||
Scientific Games Corp. |
United States | 13,240 | (957,914) | |||||||||
|
|
|||||||||||
(3,144,978) | ||||||||||||
|
|
|||||||||||
Independent Power & Renewable Electricity Producers (0.1)% |
||||||||||||
Sunnova Energy International Inc. |
United States | 27,262 | (986,884) | |||||||||
|
|
|||||||||||
Industrial Conglomerates (0.1)% |
||||||||||||
3M Co. |
United States | 7,123 | (1,387,133) | |||||||||
|
|
|||||||||||
Internet & Direct Marketing Retail (0.2)% |
||||||||||||
dDelivery Hero SE, 144A |
Germany | 4,257 | (617,822) | |||||||||
Fiverr International Ltd. |
Israel | 3,223 | (578,561) | |||||||||
Groupon Inc., A |
United States | 8,064 | (199,745) | |||||||||
dTakeaway.com NV, 144A |
Netherlands | 2,664 | (241,375) | |||||||||
Wayfair Inc., A |
United States | 1,648 | (462,676) | |||||||||
|
|
|||||||||||
(2,100,179) | ||||||||||||
|
|
49
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Shares | Value | ||||||||||
Securities Sold Short (continued) |
||||||||||||
Common Stocks (continued) |
||||||||||||
IT Services (0.1)% |
||||||||||||
Afterpay Ltd. |
Australia | 2,316 | $ | (225,276) | ||||||||
CSG Systems International Inc. |
United States | 6,961 | (335,590) | |||||||||
Fastly Inc., A |
United States | 6,736 | (293,690) | |||||||||
i3 Verticals Inc., A |
United States | 13,933 | (402,803) | |||||||||
Shift4 Payments Inc., A |
United States | 593 | (50,826) | |||||||||
|
|
|||||||||||
(1,308,185) | ||||||||||||
|
|
|||||||||||
Machinery (0.1)% |
||||||||||||
Fortive Corp. |
United States | 956 | (70,620) | |||||||||
The Greenbrier Cos. Inc. |
United States | 14,660 | (646,506) | |||||||||
|
|
|||||||||||
(717,126) | ||||||||||||
|
|
|||||||||||
Media (0.5)% |
||||||||||||
Charter Communications Inc., A |
United States | 2,313 | (1,888,935) | |||||||||
Dish Network Corp., A |
United States | 11,882 | (517,936) | |||||||||
Liberty Media Corp., C |
United States | 26,755 | (1,352,198) | |||||||||
Liberty Media Group, A |
United States | 3,676 | (167,956) | |||||||||
Liberty SiriusXM Group |
United States | 16,709 | (827,096) | |||||||||
Magnite Inc. |
United States | 16,711 | (484,953) | |||||||||
Sirius XM Holdings Inc. |
United States | 165,736 | (1,039,165) | |||||||||
Techtarget Inc. |
United States | 12,307 | (1,040,926) | |||||||||
|
|
|||||||||||
(7,319,165) | ||||||||||||
|
|
|||||||||||
Metals & Mining (0.1)% |
||||||||||||
Century Aluminum Co. |
United States | 20,220 | (259,220) | |||||||||
Ivanhoe Mines Ltd., A |
Canada | 93,529 | (754,667) | |||||||||
MP Materials Corp. |
United States | 22,149 | (743,542) | |||||||||
|
|
|||||||||||
(1,757,429) | ||||||||||||
|
|
|||||||||||
Mortgage Real Estate Investment Trusts (REITs) (0.2)% |
||||||||||||
Apollo Commercial Real Estate Finance Inc. |
United States | 10,546 | (163,990) | |||||||||
Arbor Realty Trust Inc. |
United States | 65,352 | (1,194,634) | |||||||||
KKR Real Estate Finance Trust Inc. |
United States | 7,575 | (161,575) | |||||||||
PennyMac Mortgage Investment Trust |
United States | 42,202 | (819,141) | |||||||||
Redwood Trust Inc. |
United States | 18,610 | (232,067) | |||||||||
Starwood Property Trust Inc. |
United States | 7,098 | (183,128) | |||||||||
Two Harbors Investment Corp. |
United States | 48,153 | (317,810) | |||||||||
|
|
|||||||||||
(3,072,345) | ||||||||||||
|
|
|||||||||||
Personal Products (0.1)% |
||||||||||||
Herbalife Nutrition Ltd. |
United States | 14,129 | (725,383) | |||||||||
|
|
|||||||||||
Pharmaceuticals (0.3)% |
||||||||||||
Aerie Pharmaceuticals Inc. |
United States | 19,625 | (292,609) | |||||||||
Avadel Pharmaceuticals PLC, ADR |
United States | 53,120 | (440,365) | |||||||||
Canopy Growth Corp. |
Canada | 9,102 | (156,624) | |||||||||
Collegium Pharmaceutical Inc. |
United States | 22,990 | (471,985) | |||||||||
Innoviva Inc. |
United States | 40,029 | (610,842) | |||||||||
Omeros Corp. |
United States | 54,656 | (890,893) | |||||||||
Revance Therapeutics Inc. |
United States | 29,204 | (782,083) | |||||||||
Zogenix Inc. |
United States | 28,356 | (419,952) | |||||||||
|
|
|||||||||||
(4,065,353) | ||||||||||||
|
|
|||||||||||
Professional Services (0.0)% |
||||||||||||
Upwork Inc. |
United States | 9,714 | (434,313) | |||||||||
|
|
|||||||||||
Real Estate Management & Development (0.2)% |
||||||||||||
Opendoor Technologies Inc. |
United States | 53,350 | (945,896) | |||||||||
Realogy Holdings Corp. |
United States | 19,967 | (350,421) |
50
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Shares | Value | ||||||||||
Securities Sold Short (continued) |
||||||||||||
Common Stocks (continued) |
||||||||||||
Real Estate Management & Development (continued) |
||||||||||||
Tricon Residential Inc., Common Subscription Receipt |
Canada | 136,042 | $ | (1,729,571) | ||||||||
|
|
|||||||||||
(3,025,888) | ||||||||||||
|
|
|||||||||||
Road & Rail (0.0)% |
||||||||||||
Canadian Pacific Railway Ltd. |
Canada | 8,501 | (584,784) | |||||||||
|
|
|||||||||||
Semiconductors & Semiconductor Equipment (0.4)% |
||||||||||||
ams AG |
Austria | 17,402 | (354,056) | |||||||||
Analog Devices Inc. |
United States | 23,038 | (3,754,042) | |||||||||
Impinj Inc. |
United States | 17,788 | (1,036,862) | |||||||||
Sunpower Corp., A |
United States | 21,841 | (470,674) | |||||||||
|
|
|||||||||||
(5,615,634) | ||||||||||||
|
|
|||||||||||
Software (0.5)% |
||||||||||||
Alteryx Inc., A |
United States | 958 | (70,863) | |||||||||
Avaya Holdings Corp. |
United States | 26,940 | (543,380) | |||||||||
Bentley Systems Inc., B |
United States | 20,414 | (1,316,499) | |||||||||
Dye & Durham Ltd. |
Canada | 4,088 | (154,428) | |||||||||
fuboTV Inc. |
United States | 14,973 | (436,463) | |||||||||
Kaleyra Inc. |
Italy | 10,788 | (132,584) | |||||||||
Microstrategy Inc., A |
United States | 549 | (381,171) | |||||||||
Mitek Systems Inc. |
United States | 39,033 | (873,168) | |||||||||
NortonLifeLock Inc. |
United States | 10,220 | (271,443) | |||||||||
Nutanix Inc., A |
United States | 9,345 | (344,924) | |||||||||
PROS Holdings Inc. |
United States | 5,465 | (236,307) | |||||||||
Rapid7 Inc. |
United States | 6,537 | (794,376) | |||||||||
Splunk Inc. |
United States | 2,387 | (364,901) | |||||||||
VMware Inc., A |
United States | 4,079 | (607,241) | |||||||||
Zoom Video Communications Inc., A |
United States | 1,619 | (468,700) | |||||||||
|
|
|||||||||||
(6,996,448) | ||||||||||||
|
|
|||||||||||
Specialty Retail (0.1)% |
||||||||||||
Guess? Inc. |
United States | 26,981 | (652,670) | |||||||||
Shift Technologies Inc. |
United States | 74,825 | (556,698) | |||||||||
Vroom Inc. |
United States | 9,316 | (250,228) | |||||||||
|
|
|||||||||||
(1,459,596) | ||||||||||||
|
|
|||||||||||
Technology Hardware, Storage & Peripherals (0.0)% |
||||||||||||
Pure Storage Inc., A |
United States | 3,483 | (89,966) | |||||||||
|
|
|||||||||||
Total Common Stocks (Proceeds $94,074,051) |
(95,606,655) | |||||||||||
|
|
|||||||||||
Exchange Traded Funds (8.8)% |
||||||||||||
Health Care Select Sector SPDR Fund |
United States | 96,356 | (13,028,295) | |||||||||
Invesco QQQ Series 1 ETF |
United States | 2,498 | (949,115) | |||||||||
Invesco Solar ETF |
United States | 23,770 | (2,035,425) | |||||||||
iShares Nasdaq Biotechnology ETF |
United States | 65,509 | (11,285,891) | |||||||||
iShares North American Tech-Software ETF |
United States | 32,031 | (13,554,558) | |||||||||
iShares Russell 2000 Growth ETF |
United States | 55,776 | (17,045,703) | |||||||||
iShares Russell Mid-Cap Growth ETF |
United States | 42,973 | (5,072,533) | |||||||||
SPDR S&P 500 ETF Trust |
United States | 132,028 | (59,618,563) | |||||||||
|
|
|||||||||||
Total Exchange Traded Funds (Proceeds $112,736,047) |
(122,590,083) | |||||||||||
|
|
51
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country | Principal Amount* |
Value | ||||||||||||||
Securities Sold Short (continued) |
||||||||||||||||
Corporate Bonds and Notes (0.8)% |
||||||||||||||||
Aerospace & Defense (0.0)% |
||||||||||||||||
dSpirit Aerosystems Inc., secured note, 144A, 7.50%, 4/15/25 |
United States | 273,000 | $ | (289,380) | ||||||||||||
|
|
|||||||||||||||
Airlines (0.1)% |
||||||||||||||||
dAmerican Airlines Inc., senior secured note, 144A, 11.75%, 7/15/25 |
United States | 994,000 | (1,235,293) | |||||||||||||
|
|
|||||||||||||||
Auto Components (0.1)% |
||||||||||||||||
American Axle & Manufacturing Inc., senior note, |
||||||||||||||||
6.50%, 4/01/27 |
United States | 150,000 | (157,688) | |||||||||||||
6.875%, 7/01/28 |
United States | 466,000 | (504,078) | |||||||||||||
dZF Europe Finance BV, senior bond, Reg S, 3.00%, 10/23/29 |
Germany | 200,000 | EUR | (251,059) | ||||||||||||
|
|
|||||||||||||||
(912,825) | ||||||||||||||||
|
|
|||||||||||||||
Communications Equipment (0.0)% |
||||||||||||||||
dAudacy Capital Corp., secured note, 144A, 6.50%, 5/01/27 |
United States | 495,000 | (498,099) | |||||||||||||
|
|
|||||||||||||||
Construction & Engineering (0.1)% |
||||||||||||||||
dSydney Airport Finance Co. Pty Ltd., senior secured bond, 144A, |
||||||||||||||||
3.375%, 4/30/25 |
Australia | 146,000 | (155,950) | |||||||||||||
3.625%, 4/28/26 |
Australia | 73,000 | (79,031) | |||||||||||||
dTutor Perini Corp., senior note, 144A, 6.875%, 5/01/25 |
United States | 646,000 | (666,188) | |||||||||||||
|
|
|||||||||||||||
(901,169) | ||||||||||||||||
|
|
|||||||||||||||
Diversified Consumer Services (0.0)% |
||||||||||||||||
dMPH Acquisition Holdings LLC, senior note, 144A, 5.75%, 11/01/28 |
United States | 653,000 | (624,483) | |||||||||||||
|
|
|||||||||||||||
Diversified Financial Services (0.2)% |
||||||||||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, |
||||||||||||||||
senior bond, 3.65%, 7/21/27 |
Ireland | 2,073,000 | (2,209,866) | |||||||||||||
senior note, 4.625%, 10/15/27 |
Ireland | 73,000 | (81,564) | |||||||||||||
|
|
|||||||||||||||
(2,291,430) | ||||||||||||||||
|
|
|||||||||||||||
Diversified Telecommunication Services (0.0)% |
||||||||||||||||
dDKT Finance ApS, senior secured note, Reg S, 7.00%, 6/17/23 |
Denmark | 258,000 | EUR | (310,825) | ||||||||||||
dTelesat Canada / Telesat LLC, senior note, 144A, 6.50%, 10/15/27 |
Canada | 131,000 | (110,855) | |||||||||||||
|
|
|||||||||||||||
(421,680) | ||||||||||||||||
|
|
|||||||||||||||
Equity Real Estate Investment Trusts (REITs) (0.1)% |
||||||||||||||||
The GEO Group Inc., |
||||||||||||||||
senior bond, 5.875%, 10/15/24 |
United States | 144,000 | (130,500) | |||||||||||||
senior note, 6.00%, 4/15/26 |
United States | 37,000 | (31,311) | |||||||||||||
dIron Mountain Inc., senior bond, 144A, 5.25%, 3/15/28 |
United States | 408,000 | (430,032) | |||||||||||||
Simon Property Group LP, senior bond, 2.65%, 7/15/30 |
United States | 350,000 | (365,335) | |||||||||||||
|
|
|||||||||||||||
(957,178) | ||||||||||||||||
|
|
|||||||||||||||
Food & Staples Retailing (0.2)% |
||||||||||||||||
Koninklijke Ahold Delhaize NV, senior bond, 5.70%, 10/01/40 |
Netherlands | 603,000 | (842,041) | |||||||||||||
The Kroger Co., senior bond, |
||||||||||||||||
5.40%, 1/15/49 |
United States | 241,000 | (335,492) | |||||||||||||
3.95%, 1/15/50 |
United States | 15,000 | (17,498) | |||||||||||||
dSEG Holding LLC / SEG Finance Corp., senior secured note, 144A, 5.625%, 10/15/28 |
United States | 473,000 | (497,248) | |||||||||||||
dSigma Holdco BV, senior note, Reg S, 5.75%, 5/15/26 |
Netherlands | 200,000 | EUR | (228,322) | ||||||||||||
dSigma Holdco BV, senior note, 144A, 7.875%, 5/15/26 |
Netherlands | 191,000 | (191,716) | |||||||||||||
|
|
|||||||||||||||
(2,112,317) | ||||||||||||||||
|
|
52
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Country |
Principal Amount* |
Value | ||||||||||||||
Securities Sold Short (continued) |
||||||||||||||||
Corporate Bonds and Notes (continued) |
||||||||||||||||
Food Products (0.0)% |
||||||||||||||||
B&G Foods Inc., senior note, 5.25%, 9/15/27 |
United States | 617,000 | $ | (641,526) | ||||||||||||
|
|
|||||||||||||||
Health Care Providers & Services (0.0)% |
||||||||||||||||
dAir Methods Corp., senior note, 144A, 8.00%, 5/15/25 |
United States | 435,000 | (420,349) | |||||||||||||
|
|
|||||||||||||||
Oil, Gas & Consumable Fuels (0.0)% |
||||||||||||||||
Apache Corp., senior bond, 4.375%, 10/15/28 |
United States | 75,000 | (81,030) | |||||||||||||
dSM Energy Co., secured note, 144A, 10.00%, 1/15/25 |
United States | 172,000 | (191,995) | |||||||||||||
|
|
|||||||||||||||
(273,025) | ||||||||||||||||
|
|
|||||||||||||||
Total Corporate Bonds and Notes (Proceeds $10,887,649) |
|
(11,578,754) | ||||||||||||||
|
|
|||||||||||||||
Foreign Government and Agency Securities |
||||||||||||||||
dGovernment of Italy, senior bond, 144A, Reg S, 5.00%, 3/01/25 |
Italy | 36,000 | EUR | (50,285) | ||||||||||||
|
|
|||||||||||||||
U.S. Government and Agency Securities (0.2)% |
||||||||||||||||
U.S. Treasury Bond, |
||||||||||||||||
2.25%, 5/15/41 |
United States | 78,000 | (83,484) | |||||||||||||
1.375%, 8/15/50 |
United States | 1,049,000 | (917,875) | |||||||||||||
U.S. Treasury Note, |
||||||||||||||||
0.875%, 11/15/30 |
United States | 472,000 | (456,199) | |||||||||||||
1.625%, 5/15/31 |
United States | 1,030,000 | (1,062,188) | |||||||||||||
|
|
|||||||||||||||
Total U.S. Government and Agency Securities |
(2,519,746) | |||||||||||||||
|
|
|||||||||||||||
Total Securities Sold Short (Proceeds $220,350,177) |
$ | (232,345,523) | ||||||||||||||
|
|
53
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Rounds to less than 0.1% of net assets.
*The principal amount is stated in U.S. dollars unless otherwise indicated.
#Notional amount is the number of units specified in the contract, and can include currency units, bushels, shares, pounds, barrels or other units. Currency units are stated in U.S. dollars unless otherwise indicated.
aNon-income producing.
bA portion or all of the security has been segregated as collateral for securities sold short, open swap contracts, open forward exchange contracts, open futures contracts and/or open written option contracts. At August 31, 2021, the aggregate value of these securities and/or cash pledged amounted to $388,953,899, representing 28.1% of net assets.
cA portion or all of the security is held in connection with written option contracts open at period end.
dSecurity 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 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 August 31, 2021, the net value of these securities was $273,780,779, representing 19.8% of net assets.
eFair valued using significant unobservable inputs. See Note 9 regarding fair value measurements.
fA portion or all of the security is on loan at August 31, 2021.
gPerpetual security with no stated maturity date.
hThe coupon rate shown represents the rate at period end.
iSecurities denominated in Argentine Peso have been designated as Level 3 investments. See Note 9 regarding fair value measurements.
jIncome may be received in additional securities and/or cash.
kA portion or all of the security purchased on a delayed delivery basis.
lDefaulted security or security for which income has been deemed uncollectible.
mSee Note 6 regarding unfunded loan commitments.
nA supranational organization is an entity formed by two or more central governments through international treaties.
oPrincipal amount is stated in 100 Mexican Peso Units.
pThe coupon rate shown represents the rate inclusive of any caps or floors, if applicable, in effect at period end.
qAdjustable 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.
rThe rate shown is the annualized seven-day effective yield at period end.
sA portion or all of the security is owned by K2 Holdings Investment Corp., a wholly-owned subsidiary of the Fund. See Note 8.
tSee Note 7 regarding investments in affiliated management investment companies.
uInvestment is through participation in a joint account with other funds managed by the investment manager or an affiliate of the investment manager. At August 31, 2021, all repurchase agreements had been entered into on that date.
vThe security was issued on a discount basis with no stated coupon rate.
54
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
At August 31, 2021, the Fund had the following futures contracts outstanding. See Note 3.
Futures Contracts
Description | Type | Number of Contracts |
Notional Amount* |
Expiration Date |
Value/Unrealized Appreciation (Depreciation) | |||||||||||||||
Commodity Contractsa |
||||||||||||||||||||
Aluminum |
Long | 17 | $ | 1,153,025 | 9/13/21 | $ | 91,465 | |||||||||||||
Aluminum |
Short | 17 | 1,153,025 | 9/13/21 | (72,456 | ) | ||||||||||||||
Aluminum |
Long | 14 | 950,862 | 12/13/21 | 44,148 | |||||||||||||||
Aluminum |
Short | 1 | 67,919 | 12/13/21 | (3,766 | ) | ||||||||||||||
Brent Crude Oil |
Long | 27 | 1,934,010 | 9/30/21 | 50,149 | |||||||||||||||
Cocoa |
Short | 11 | 265,718 | 12/14/21 | (6,299 | ) | ||||||||||||||
Coffee |
Long | 13 | 955,012 | 12/20/21 | 54,038 | |||||||||||||||
Copper |
Long | 12 | 2,857,575 | 9/13/21 | (172,029 | ) | ||||||||||||||
Copper |
Short | 12 | 2,857,575 | 9/13/21 | 123,113 | |||||||||||||||
Copper |
Long | 2 | 476,063 | 12/13/21 | 1,070 | |||||||||||||||
Copper |
Short | 4 | 952,125 | 12/13/21 | (55,362 | ) | ||||||||||||||
Corn |
Long | 63 | 1,682,887 | 12/14/21 | (57,972 | ) | ||||||||||||||
Cotton |
Long | 10 | 462,650 | 12/08/21 | 19,897 | |||||||||||||||
Crude Oil |
Long | 31 | 2,123,500 | 9/21/21 | 7,511 | |||||||||||||||
Gasoline |
Long | 23 | 2,069,075 | 9/30/21 | 91,085 | |||||||||||||||
Gold 100 Oz |
Short | 10 | 1,818,100 | 12/29/21 | (8,023 | ) | ||||||||||||||
Hard Red Winter Wheat |
Long | 20 | 712,000 | 12/14/21 | (14,116 | ) | ||||||||||||||
Low Sulphur Gas Oil |
Long | 19 | 1,143,325 | 10/12/21 | 51,446 | |||||||||||||||
Natural Gas |
Long | 29 | 1,269,330 | 9/28/21 | 108,836 | |||||||||||||||
NY Harbor |
Long | 23 | 2,057,773 | 9/30/21 | 72,709 | |||||||||||||||
Silver |
Short | 11 | 1,320,330 | 12/29/21 | (7,765 | ) | ||||||||||||||
Soybean Meal |
Short | 16 | 552,960 | 12/14/21 | 45,507 | |||||||||||||||
Soybean Oil |
Long | 13 | 458,250 | 12/14/21 | (1,811 | ) | ||||||||||||||
Soybeans |
Long | 29 | 1,874,125 | 11/12/21 | (95,054 | ) | ||||||||||||||
Sugar |
Long | 32 | 711,066 | 9/30/21 | 72,295 | |||||||||||||||
Wheat |
Long | 27 | 975,038 | 12/14/21 | 26,539 | |||||||||||||||
Zinc |
Long | 10 | 749,750 | 9/13/21 | 5,584 | |||||||||||||||
Zinc |
Short | 10 | 749,750 | 9/13/21 | (3,777 | ) | ||||||||||||||
Zinc |
Long | 12 | 901,725 | 12/13/21 | 2,022 | |||||||||||||||
|
|
| ||||||||||||||||||
368,984 | ||||||||||||||||||||
|
|
| ||||||||||||||||||
Currency Contractsa |
||||||||||||||||||||
|
|
| ||||||||||||||||||
U.S. Dollar Index |
Long | 10 | 926,350 | 9/13/21 | (4,941 | ) | ||||||||||||||
|
|
| ||||||||||||||||||
Equity Contracts |
||||||||||||||||||||
CAC 40 10 Euro Indexa |
Long | 6 | 473,102 | 9/17/21 | (5,842 | ) | ||||||||||||||
CBOE Volatility Index |
Long | 5 | 104,537 | 10/20/21 | 612 | |||||||||||||||
CBOE Volatility Index |
Long | 6 | 131,385 | 11/17/21 | 97 | |||||||||||||||
CBOE Volatility Index |
Long | 14 | 312,200 | 12/22/21 | (4,853 | ) | ||||||||||||||
CBOE Volatility Index |
Long | 37 | 866,455 | 1/19/22 | (5,288 | ) | ||||||||||||||
CBOE Volatility Index |
Long | 21 | 500,850 | 2/16/22 | (4,074 | ) | ||||||||||||||
DAX Indexa |
Long | 11 | 5,130,355 | 9/17/21 | (932 | ) | ||||||||||||||
DJ EURO STOXX 50 Indexa |
Long | 65 | 3,209,246 | 9/17/21 | 43,725 | |||||||||||||||
DJ EURO STOXX 50 Index |
Short | 704 | 34,758,608 | 9/17/21 | (395,923 | ) | ||||||||||||||
DJIA Mini E-CBOT Indexa |
Long | 24 | 4,240,800 | 9/17/21 | 109,017 | |||||||||||||||
E-Mini Russell 2000a |
Long | 7 | 794,920 | 9/17/21 | 20,601 | |||||||||||||||
FTSE 100 Indexa |
Long | 60 | 5,853,991 | 9/17/21 | 35,868 | |||||||||||||||
FTSE 100 Index |
Short | 88 | 8,585,853 | 9/17/21 | 4,514 | |||||||||||||||
FTSE/MIB Index |
Short | 3 | 460,669 | 9/17/21 | (7,308 | ) | ||||||||||||||
Hang Seng Indexa |
Long | 4 | 662,274 | 9/29/21 | 14,554 | |||||||||||||||
NASDAQ 100 E-Mini Indexa |
Long | 17 | 5,298,050 | 9/17/21 | 312,732 | |||||||||||||||
NASDAQ 100 E-Mini Index |
Short | 3 | 934,950 | 9/17/21 | (68,373 | ) |
55
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Futures Contracts (continued)
Description | Type | Number of Contracts |
Notional Amount* |
Expiration Date |
Value/Unrealized Appreciation (Depreciation) | |||||||||||||||
Equity Contracts (continued) |
||||||||||||||||||||
Nikkei 225 Indexa |
Short | 1 | $ | 256,147 | 9/09/21 | $ | (3,369 | ) | ||||||||||||
S&P 500 E-Mini Indexa |
Long | 23 | 5,198,575 | 9/17/21 | 119,455 | |||||||||||||||
S&P 500 E-Mini Index |
Short | 54 | 12,205,350 | 9/17/21 | (735,346 | ) | ||||||||||||||
STOXX 600 Banks Index |
Short | 123 | 984,674 | 9/17/21 | 19,349 | |||||||||||||||
STOXX Europe 600 |
Short | 4 | 110,920 | 9/17/21 | (334 | ) | ||||||||||||||
TOPIX Indexa |
Long | 2 | 357,133 | 9/09/21 | 1,635 | |||||||||||||||
TOPIX Index |
Short | 2 | 357,133 | 9/09/21 | (2,743 | ) | ||||||||||||||
VSTOXX |
Long | 13 | 31,083 | 10/20/21 | (484 | ) | ||||||||||||||
VSTOXX |
Long | 20 | 49,473 | 11/17/21 | 364 | |||||||||||||||
|
|
| ||||||||||||||||||
(552,346 | ) | |||||||||||||||||||
|
|
| ||||||||||||||||||
Interest Rate Contracts |
||||||||||||||||||||
3 Month EURIBORa |
Long | 129 | 38,260,033 | 12/19/22 | 5,539 | |||||||||||||||
10 Yr. Mini JGBa |
Long | 12 | 1,659,701 | 9/10/21 | 48 | |||||||||||||||
90 Day Eurodollara |
Short | 67 | 16,679,650 | 12/19/22 | (17,932 | ) | ||||||||||||||
90 Day Sterlinga |
Short | 194 | 33,170,172 | 12/21/22 | 30,507 | |||||||||||||||
Australian 10 Yr. Bonda |
Long | 65 | 6,936,252 | 9/15/21 | 84,329 | |||||||||||||||
Canadian 10 Yr. Bonda |
Long | 97 | 11,234,978 | 12/20/21 | 801 | |||||||||||||||
Euro-BOBLa |
Long | 95 | 15,139,742 | 9/08/21 | (37,440 | ) | ||||||||||||||
Euro-Bunda |
Long | 34 | 7,043,522 | 9/08/21 | 54,615 | |||||||||||||||
Euro-SCHATZa |
Long | 95 | 12,594,578 | 9/08/21 | 13,813 | |||||||||||||||
Japan 10 Yr. Bonda |
Long | 5 | 6,915,421 | 9/13/21 | (2,188 | ) | ||||||||||||||
Long Gilta |
Long | 65 | 11,460,232 | 12/29/21 | (60,120 | ) | ||||||||||||||
U.S. Treasury 2 Yr. Notea |
Long | 152 | 33,489,875 | 12/31/21 | 21,339 | |||||||||||||||
U.S. Treasury 5 Yr. Notea |
Long | 121 | 14,969,969 | 12/31/21 | 41,631 | |||||||||||||||
U.S. Treasury 5 Yr. Note |
Short | 7 | 866,031 | 12/31/21 | (939 | ) | ||||||||||||||
U.S. Treasury 10 Yr. Notea |
Long | 137 | 18,283,078 | 12/21/21 | 58,548 | |||||||||||||||
U.S. Treasury 10 Yr. Note |
Short | 40 | 5,338,125 | 12/21/21 | 5,818 | |||||||||||||||
U.S. Treasury 10 Yr. Ultra |
Short | 155 | 22,942,422 | 12/21/21 | (4,931 | ) | ||||||||||||||
U.S. Treasury Long Bonda |
Long | 62 | 10,104,063 | 12/21/21 | 30,195 | |||||||||||||||
U.S. Treasury Long Bond |
Short | 73 | 11,896,719 | 12/21/21 | (35,279 | ) | ||||||||||||||
U.S. Treasury Ultra Bond |
Short | 40 | 7,891,250 | 12/21/21 | (14,400 | ) | ||||||||||||||
|
|
| ||||||||||||||||||
173,954 | ||||||||||||||||||||
|
|
| ||||||||||||||||||
Total Futures Contracts |
$ | (14,349 | ) | |||||||||||||||||
|
|
|
*As of period end.
aA portion or all of the contracts are owned by K2 Holdings Investment Corp., a wholly-owned subsidiary of the Fund. See Note 8.
At August 31, 2021, the Fund had the following forward exchange contracts outstanding. See Note 3.
Forward Exchange Contracts
Currency | Counterpartya | Type | Quantity | Contract Amount* |
Settlement Date |
Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||||||||
OTC Forward Exchange Contracts |
||||||||||||||||||||||||||||
Brazilian Real |
BOFA | Buy | 1,192,000 | 226,616 | 9/02/21 | $ | 3,909 | $ | | |||||||||||||||||||
Brazilian Real |
BOFA | Sell | 1,192,000 | 222,359 | 9/02/21 | | (8,166 | ) | ||||||||||||||||||||
New Zealand Dollar |
JPHQ | Sell | 3,325,690 | 3,050,000 | AUD | 9/15/21 | 13,392 | (125,396 | ) | |||||||||||||||||||
Australian Dollar |
JPHQ | Sell | 400,000 | 300,202 | 9/15/21 | 7,554 | | |||||||||||||||||||||
British Pound |
BNYM | Sell | 1,285,306 | 1,806,263 | 9/15/21 | 39,083 | | |||||||||||||||||||||
British Pound |
JPHQ | Buy | 1,000,000 | 1,417,661 | 9/15/21 | | (42,750 | ) | ||||||||||||||||||||
British Pound |
MSCO | Sell | 87,349 | 123,597 | 9/15/21 | 3,500 | | |||||||||||||||||||||
Canadian Dollar |
JPHQ | Buy | 1,209,315 | 1,000,000 | 9/15/21 | | (41,504 | ) |
56
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Forward Exchange Contracts (continued)
Currency | Counterpartya | Type | Quantity | Contract Amount* |
Settlement Date |
Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||||
OTC Forward Exchange Contracts (continued) |
||||||||||||||||||||||||
Euro |
JPHQ | Sell | 4,061,140 | 30,829,899 | CNY | 9/15/21 | $ | 2,938 | $ | (33,440 | ) | |||||||||||||
Chinese Yuan |
JPHQ | Sell | 11,542,775 | 1,769,401 | 9/15/21 | | (16,387 | ) | ||||||||||||||||
Chinese Yuan |
MSCO | Sell | 22,955,051 | 3,550,743 | 9/15/21 | 11,749 | (7,108 | ) | ||||||||||||||||
Colombian Peso |
JPHQ | Buy | 4,295,968,381 | 1,152,971 | 9/15/21 | | (14,105 | ) | ||||||||||||||||
Czech Koruna |
JPHQ | Buy | 28,968,049 | 1,386,286 | 9/15/21 | | (40,970 | ) | ||||||||||||||||
Czech Koruna |
JPHQ | Sell | 6,011,342 | 276,647 | 9/15/21 | | (2,528 | ) | ||||||||||||||||
Euro |
BNYM | Sell | 3,082,824 | 3,736,653 | 9/15/21 | 95,451 | | |||||||||||||||||
Chinese Yuan |
JPHQ | Sell | 9,854,096 | 1,250,000 | EUR | 9/15/21 | 5,734 | (52,016 | ) | |||||||||||||||
Euro |
JPHQ | Sell | 1,177,175 | 1,397,135 | 9/15/21 | 7,807 | (1,064 | ) | ||||||||||||||||
Euro |
MSCO | Sell | 1,462,764 | 1,762,357 | 9/15/21 | 34,648 | | |||||||||||||||||
Indonesian Rupiah |
JPHQ | Buy | 11,418,215,000 | 794,497 | 9/15/21 | 5,018 | | |||||||||||||||||
Indonesian Rupiah |
JPHQ | Sell | 49,882,422,384 | 3,459,993 | 9/15/21 | | (32,824 | ) | ||||||||||||||||
New Zealand Dollar |
JPHQ | Sell | 661,470 | 51,175,791 | JPY | 9/15/21 | 4,832 | (5,703 | ) | |||||||||||||||
Mexican Peso |
JPHQ | Buy | 36,571,373 | 1,829,758 | 9/15/21 | | (12,685 | ) | ||||||||||||||||
Mexican Peso |
JPHQ | Sell | 7,641,896 | 374,952 | 9/15/21 | | (4,741 | ) | ||||||||||||||||
Australian Dollar |
JPHQ | Sell | 2,546,384 | 2,648,822 | NZD | 9/15/21 | 34,851 | (31,270 | ) | |||||||||||||||
New Zealand Dollar |
JPHQ | Sell | 1,300,000 | 909,427 | 9/15/21 | 385 | (7,006 | ) | ||||||||||||||||
Polish Zloty |
JPHQ | Buy | 5,068,550 | 1,343,427 | 9/15/21 | | (20,051 | ) | ||||||||||||||||
Polish Zloty |
JPHQ | Sell | 5,068,550 | 1,381,049 | 9/15/21 | 57,673 | | |||||||||||||||||
Russian Ruble |
JPHQ | Buy | 191,403,947 | 2,586,442 | 9/15/21 | 20,413 | | |||||||||||||||||
Russian Ruble |
JPHQ | Sell | 373,557,218 | 5,063,500 | 9/15/21 | 2,152 | (26,373 | ) | ||||||||||||||||
Australian Dollar |
JPHQ | Sell | 2,482,092 | 2,424,628 | SGD | 9/15/21 | 421 | (12,843 | ) | |||||||||||||||
Singapore Dollar |
JPHQ | Sell | 1,906,472 | 1,434,000 | 9/15/21 | 16,267 | (262 | ) | ||||||||||||||||
South African Rand |
JPHQ | Buy | 24,396,637 | 1,664,595 | 9/15/21 | 11,856 | (552 | ) | ||||||||||||||||
South African Rand |
JPHQ | Sell | 37,727,841 | 2,709,912 | 9/15/21 | 118,242 | | |||||||||||||||||
South Korean Won |
JPHQ | Buy | 1,581,402,680 | 1,400,000 | 9/15/21 | | (36,341 | ) | ||||||||||||||||
South Korean Won |
JPHQ | Sell | 1,165,000,000 | 1,000,000 | 9/15/21 | | (4,591 | ) | ||||||||||||||||
Taiwan Dollar |
JPHQ | Buy | 66,631,000 | 2,400,000 | 9/15/21 | 4,236 | | |||||||||||||||||
Taiwan Dollar |
JPHQ | Sell | 177,534,940 | 6,400,000 | 9/15/21 | 15,864 | (21,830 | ) | ||||||||||||||||
Thai Baht |
JPHQ | Buy | 28,679,620 | 884,000 | 9/15/21 | 18,292 | (12,553 | ) | ||||||||||||||||
Australian Dollar |
BZWS | Buy | 1,818,000 | 1,349,768 | 9/17/21 | 573 | (20,240 | ) | ||||||||||||||||
Australian Dollar |
BZWS | Sell | 3,334,000 | 2,554,019 | 9/17/21 | 115,572 | (805 | ) | ||||||||||||||||
Australian Dollarb |
MSCO | Buy | 1,909,000 | 1,418,101 | 9/17/21 | 9,805 | (31,226 | ) | ||||||||||||||||
Australian Dollarb |
MSCO | Sell | 12,704,000 | 9,565,800 | 9/17/21 | 281,217 | (10,035 | ) | ||||||||||||||||
British Pound |
BZWS | Buy | 2,589,000 | 3,564,835 | 9/17/21 | 7,539 | (12,709 | ) | ||||||||||||||||
British Pound |
BZWS | Sell | 890,000 | 1,237,175 | 9/17/21 | 13,763 | (266 | ) | ||||||||||||||||
British Poundb |
MSCO | Buy | 6,992,000 | 9,893,028 | 9/17/21 | 13 | (279,612 | ) | ||||||||||||||||
British Pound |
MSCO | Sell | 10,545,000 | 14,565,852 | 9/17/21 | 83,212 | (15,869 | ) | ||||||||||||||||
Canadian Dollar |
BZWS | Buy | 280,000 | 224,164 | 9/17/21 | | (2,238 | ) | ||||||||||||||||
Canadian Dollar |
BZWS | Sell | 9,333,000 | 7,636,526 | 9/17/21 | 239,268 | | |||||||||||||||||
Canadian Dollarb |
MSCO | Buy | 11,406,000 | 9,401,762 | 9/17/21 | 2,324 | (363,787 | ) | ||||||||||||||||
Canadian Dollarb |
MSCO | Sell | 11,386,000 | 9,075,116 | 9/17/21 | 58,352 | (7,684 | ) | ||||||||||||||||
Euro |
BZWS | Buy | 5,829,000 | 6,905,442 | 9/17/21 | 2,119 | (22,485 | ) | ||||||||||||||||
Euro |
BZWS | Sell | 8,629,000 | 10,271,771 | 9/17/21 | 89,243 | (9,843 | ) | ||||||||||||||||
Eurob |
MSCO | Buy | 749,000 | 903,409 | 9/17/21 | 622 | (19,331 | ) | ||||||||||||||||
Eurob |
MSCO | Sell | 13,639,000 | 16,137,409 | 9/17/21 | 68,513 | (41,163 | ) | ||||||||||||||||
Japanese Yen |
BZWS | Buy | 56,297,000 | 510,807 | 9/17/21 | 1,093 | (99 | ) | ||||||||||||||||
Japanese Yen |
BZWS | Sell | 56,297,000 | 512,422 | 9/17/21 | 875 | (254 | ) | ||||||||||||||||
Japanese Yenb |
MSCO | Buy | 670,076,000 | 6,098,069 | 9/17/21 | 8,681 | (15,031 | ) | ||||||||||||||||
Japanese Yenb |
MSCO | Sell | 2,377,329,000 | 21,657,762 | 9/17/21 | 65,305 | (20,050 | ) | ||||||||||||||||
Mexican Pesob |
MSCO | Buy | 54,612,000 | 2,730,968 | 9/17/21 | 1,108 | (19,410 | ) | ||||||||||||||||
Mexican Pesob |
MSCO | Sell | 6,093,000 | 299,520 | 9/17/21 | 40 | (3,171 | ) | ||||||||||||||||
New Zealand Dollarb |
MSCO | Buy | 9,137,000 | 6,479,679 | 9/17/21 | 25,172 | (66,444 | ) | ||||||||||||||||
New Zealand Dollarb |
MSCO | Sell | 11,782,000 | 8,183,164 | 9/17/21 | 4,544 | (123,592 | ) |
57
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Forward Exchange Contracts (continued)
Currency | Counterpartya | Type | Quantity | Contract Amount* |
Settlement Date |
Unrealized Appreciation |
Unrealized Depreciation | |||||||||||||||||||||
OTC Forward Exchange Contracts (continued) |
|
|||||||||||||||||||||||||||
Swedish Krona |
BZWS | Sell | 1,000 | 120 | 9/17/21 | $ | 4 | $ | | |||||||||||||||||||
Swiss Francb |
MSCO | Buy | 801,000 | 881,867 | 9/17/21 | 1,763 | (8,544 | ) | ||||||||||||||||||||
Swiss Francb |
MSCO | Sell | 6,856,000 | 7,507,223 | 9/17/21 | 42,271 | (25,189 | ) | ||||||||||||||||||||
Australian Dollar |
BNYM | Sell | 989,000 | 745,360 | 9/24/21 | 21,747 | | |||||||||||||||||||||
British Pound |
BNYM | Sell | 3,154,079 | 4,310,112 | 9/24/21 | | (26,572 | ) | ||||||||||||||||||||
Canadian Dollar |
BNYM | Sell | 2,207,000 | 1,785,472 | 9/24/21 | 36,242 | | |||||||||||||||||||||
Euro |
BNYM | Sell | 37,404,952 | 43,840,807 | 9/24/21 | 66,021 | (413,619 | ) | ||||||||||||||||||||
Hong Kong Dollar |
BNYM | Sell | 26,331,901 | 3,379,777 | 9/24/21 | | (6,112 | ) | ||||||||||||||||||||
Swiss Franc |
BNYM | Sell | 13,568,753 | 14,813,049 | 9/24/21 | | (13,501 | ) | ||||||||||||||||||||
Canadian Dollar |
BNYM | Sell | 4,794,000 | 3,897,744 | 9/29/21 | 98,133 | | |||||||||||||||||||||
Canadian Dollar |
JPHQ | Buy | 900,000 | 717,175 | 9/29/21 | | (3,856 | ) | ||||||||||||||||||||
Canadian Dollar |
JPHQ | Sell | 900,000 | 732,017 | 9/29/21 | 18,698 | | |||||||||||||||||||||
British Pound |
JPHQ | Sell | 1,200,000 | 1,667,043 | 9/30/21 | 17,083 | | |||||||||||||||||||||
Euro |
BNYM | Sell | 771,000 | 922,077 | 9/30/21 | 11,329 | (190 | ) | ||||||||||||||||||||
Euro |
JPHQ | Buy | 600,000 | 709,428 | 9/30/21 | | (527 | ) | ||||||||||||||||||||
Euro |
JPHQ | Sell | 4,380,000 | 5,235,983 | 9/30/21 | 61,002 | | |||||||||||||||||||||
Hong Kong Dollar |
JPHQ | Sell | 570,000 | 73,413 | 9/30/21 | 119 | | |||||||||||||||||||||
Japanese Yen |
BNYM | Sell | 45,879,617 | 414,491 | 9/30/21 | | (2,654 | ) | ||||||||||||||||||||
Colombian Peso |
MSCS | Sell | 424,857,000 | 112,902 | 10/08/21 | 410 | | |||||||||||||||||||||
Euro |
BOFA | Sell | 370,000 | 438,106 | 10/26/21 | 744 | | |||||||||||||||||||||
Euro |
BZWS | Sell | 115,000 | 136,122 | 10/26/21 | 185 | | |||||||||||||||||||||
Chinese Yuan |
JPHQ | Sell | 20,676,276 | 3,170,000 | 10/27/21 | | (14,224 | ) | ||||||||||||||||||||
Colombian Peso |
JPHQ | Buy | 17,076,121,600 | 4,418,000 | 10/27/21 | 99,120 | (383 | ) | ||||||||||||||||||||
Colombian Peso |
JPHQ | Sell | 15,169,681,805 | 3,886,523 | 10/27/21 | | (125,949 | ) | ||||||||||||||||||||
Czech Koruna |
JPHQ | Buy | 68,825,192 | 3,208,067 | 10/27/21 | | (14,039 | ) | ||||||||||||||||||||
Czech Koruna |
JPHQ | Sell | 68,825,192 | 3,146,223 | 10/27/21 | | (47,805 | ) | ||||||||||||||||||||
Hungarian Forint |
JPHQ | Sell | 1,523,633,028 | 4,358,293 | EUR | 10/27/21 | 42,150 | (41,436 | ) | |||||||||||||||||||
Euro |
JPHQ | Sell | 2,678,293 | 3,182,324 | 10/27/21 | 16,366 | | |||||||||||||||||||||
Euro |
JPHQ | Sell | 1,638,838 | 582,688,902 | HUF | 10/27/21 | 30,945 | | ||||||||||||||||||||
Indonesian Rupiah |
JPHQ | Sell | 62,907,936,240 | 4,327,880 | 10/27/21 | | (61,459 | ) | ||||||||||||||||||||
Mexican Peso |
JPHQ | Buy | 113,685,005 | 5,589,247 | 10/27/21 | 32,439 | (5,676 | ) | ||||||||||||||||||||
Mexican Peso |
JPHQ | Sell | 102,445,961 | 5,050,000 | 10/27/21 | 18,571 | (29,376 | ) | ||||||||||||||||||||
Peruvian Nuevo Sol |
JPHQ | Sell | 9,783,501 | 2,407,403 | 10/27/21 | 17,714 | (606 | ) | ||||||||||||||||||||
Russian Ruble |
JPHQ | Buy | 244,598,444 | 3,280,272 | 10/27/21 | 26,234 | | |||||||||||||||||||||
Russian Ruble |
JPHQ | Sell | 148,425,094 | 1,985,844 | 10/27/21 | 759 | (21,340 | ) | ||||||||||||||||||||
South African Rand |
JPHQ | Buy | 42,085,264 | 2,786,401 | 10/27/21 | 88,811 | | |||||||||||||||||||||
South African Rand |
JPHQ | Sell | 124,536,701 | 8,458,197 | 10/27/21 | 59,047 | (109,040 | ) | ||||||||||||||||||||
South Korean Won |
JPHQ | Buy | 5,821,028,356 | 5,062,820 | 10/27/21 | | (45,623 | ) | ||||||||||||||||||||
South Korean Won |
JPHQ | Sell | 5,837,799,000 | 4,990,000 | 10/27/21 | 14,745 | (56,396 | ) | ||||||||||||||||||||
British Pound |
DBAB | Sell | 166,000 | 230,176 | 10/29/21 | 1,922 | | |||||||||||||||||||||
Brazilian Real |
JPHQ | Buy | 26,520,081 | 5,019,084 | 11/03/21 | 84,107 | (22,978 | ) | ||||||||||||||||||||
Brazilian Real |
JPHQ | Sell | 19,883,835 | 3,710,000 | 11/03/21 | | (98,967 | ) | ||||||||||||||||||||
South Korean Won |
MSCO | Buy | 3,407,000,663 | 2,918,986 | 11/08/21 | 17,260 | | |||||||||||||||||||||
South Korean Won |
MSCO | Sell | 3,763,314,871 | 3,217,580 | 11/08/21 | 5,785 | (31,532 | ) | ||||||||||||||||||||
Euro |
HSBC | Sell | 125,000 | 147,588 | 11/17/21 | | (233 | ) | ||||||||||||||||||||
Mexican Peso |
MSCO | Sell | 1,111,000 | 54,620 | 11/19/21 | 29 | (129 | ) | ||||||||||||||||||||
Brazilian Real |
BOFA | Sell | 1,192,000 | 223,401 | 12/02/21 | | (3,762 | ) | ||||||||||||||||||||
Singapore Dollar |
JPHQ | Sell | 492,736 | 500,000 | AUD | 12/15/21 | | (454 | ) | |||||||||||||||||||
Chinese Yuan |
JPHQ | Buy | 4,562,600 | 700,000 | 12/15/21 | 1,064 | | |||||||||||||||||||||
Chinese Yuan |
JPHQ | Sell | 1,928,465 | 250,000 | EUR | 12/15/21 | | (491 | ) | |||||||||||||||||||
Indonesian Rupiah |
JPHQ | Buy | 7,250,000,000 | 500,000 | 12/15/21 | 3,686 | | |||||||||||||||||||||
New Zealand Dollar |
JPHQ | Buy | 400,000 | 282,090 | 12/15/21 | | (441 | ) | ||||||||||||||||||||
South Korean Won |
JPHQ | Buy | 3,208,356,700 | 2,750,000 | 12/15/21 | 14,191 | | |||||||||||||||||||||
Taiwan Dollar |
JPHQ | Buy | 138,425,000 | 5,000,000 | 12/15/21 | 3,864 | (8,766 | ) |
58
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Forward Exchange Contracts (continued)
Currency | Counterpartya | Type | Quantity | Contract Amount* |
Settlement Date |
Unrealized Appreciation |
Unrealized Depreciation | |||||||||||||||||||||
OTC Forward Exchange Contracts (continued) |
|
|||||||||||||||||||||||||||
Taiwan Dollar |
JPHQ | Sell | 53,854,650 | 1,950,000 | 12/15/21 | $ | 6,642 | $ | | |||||||||||||||||||
Taiwan Dollar |
JPHQ | Buy | 218,296,000 | 8,000,000 | 3/01/22 | | (120,868 | ) | ||||||||||||||||||||
Taiwan Dollar |
JPHQ | Sell | 218,296,000 | 8,137,261 | 3/01/22 | 258,128 | | |||||||||||||||||||||
South Korean Won |
JPHQ | Buy | 335,400,900 | 300,000 | 3/16/22 | | (11,282 | ) | ||||||||||||||||||||
South Korean Won |
JPHQ | Sell | 335,106,000 | 300,000 | 3/16/22 | 11,535 | | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Total Forward Exchange Contracts |
$ | 2,846,085 | $ | (3,074,422 | ) | |||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Net unrealized appreciation (depreciation) |
|
$ | (228,337 | ) | ||||||||||||||||||||||||
|
|
|
*In U.S. dollars unless otherwise indicated.
aMay be comprised of multiple contracts with the same counterparty, currency and settlement date.
bA portion or all of the contracts are owned by K2 Holdings Investment Corp., a wholly-owned subsidiary of the Fund. See Note 8.
59
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
At August 31, 2021, the Fund had the following credit default swap contracts outstanding. See Note 3.
Credit Default Swap Contracts
Description | Annual Payment Rate Received (Paid) |
Payment Frequency |
Maturity Date |
Notional Amounta |
Value | Unamortized Upfront Payments (Receipts) |
Unrealized Appreciation (Depreciation) |
Ratingb | ||||||||||||||||||||||||||
Centrally Cleared Swap Contracts |
|
|||||||||||||||||||||||||||||||||
Contracts to Buy Protectionc |
|
|||||||||||||||||||||||||||||||||
Single Name |
||||||||||||||||||||||||||||||||||
Government of Mexico |
(1.00)% | Quarterly | 12/20/23 | 4,039,000 | $ | (58,299) | $ | (11,786) | $ | (46,513) | ||||||||||||||||||||||||
Government of Mexico |
(1.00)% | Quarterly | 12/20/23 | 61,000 | (880) | (945) | 65 | |||||||||||||||||||||||||||
Government of Mexico |
(1.00)% | Quarterly | 6/20/25 | 142,000 | (2,030) | (1,790) | (240) | |||||||||||||||||||||||||||
Government of South Africa |
(1.00)% | Quarterly | 12/20/24 | 2,814,000 | 35,011 | 83,192 | (48,181) | |||||||||||||||||||||||||||
Government of South Africa |
(1.00)% | Quarterly | 12/20/24 | 4,478,000 | 55,713 | 132,619 | (76,906) | |||||||||||||||||||||||||||
Government of Turkey |
(1.00)% | Quarterly | 6/20/25 | 909,000 | 77,937 | 206,196 | (128,259) | |||||||||||||||||||||||||||
Talen Energy Supply LLC |
(1.00)% | Quarterly | 6/20/23 | 419,000 | 188,960 | 149,793 | 39,167 | |||||||||||||||||||||||||||
Contracts to Sell Protectionc,d |
|
|||||||||||||||||||||||||||||||||
Single Name |
||||||||||||||||||||||||||||||||||
Government of South Africa |
1.00% | Quarterly | 12/20/24 | 2,847,000 | (35,421) | (221,735) | 186,314 | BB- | ||||||||||||||||||||||||||
Government of South Africa |
1.00% | Quarterly | 12/20/24 | 874,000 | (10,874) | (25,494) | 14,620 | BB- | ||||||||||||||||||||||||||
Government of Turkey |
1.00% | Quarterly | 12/20/22 | 826,000 | (19,750) | (37,352) | 17,602 | B+ | ||||||||||||||||||||||||||
Talen Energy Supply LLC |
1.00% | Quarterly | 6/20/22 | 161,000 | (56,169) | (48,300) | (7,869) | B- | ||||||||||||||||||||||||||
Traded Index |
||||||||||||||||||||||||||||||||||
CDX.EM.35 |
1.00% | Quarterly | 6/20/26 | 3,570,000 | (85,056) | (94,962) | 9,906 | Non- Investment Grade | ||||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||||
Total Centrally Cleared Swap Contracts |
|
$ | 89,142 | $ | 129,436 | $ | (40,294) | |||||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||||
OTC Swap Contracts |
|
|||||||||||||||||||||||||||||||||
Contracts to Buy Protectionc |
|
|||||||||||||||||||||||||||||||||
Single Name | Counterparty | |||||||||||||||||||||||||||||||||
Air France-KLM |
(5.00)% | Quarterly | JPHQ | 12/20/21 | 32,000 | EUR | (592) | 285 | (877) | |||||||||||||||||||||||||
Air France-KLM |
(5.00)% | Quarterly | JPHQ | 12/20/21 | 48,000 | EUR | (888) | 317 | (1,205) | |||||||||||||||||||||||||
Air France-KLM |
(5.00)% | Quarterly | JPHQ | 12/20/21 | 64,000 | EUR | (1,184) | 571 | (1,755) | |||||||||||||||||||||||||
Air France-KLM |
(5.00)% | Quarterly | JPHQ | 6/20/22 | 73,000 | EUR | (2,032) | (622) | (1,410) | |||||||||||||||||||||||||
Air France-KLM |
(5.00)% | Quarterly | JPHQ | 6/20/22 | 23,000 | EUR | (640) | (438) | (202) | |||||||||||||||||||||||||
Air France-KLM |
(5.00)% | Quarterly | JPHQ | 6/20/22 | 44,000 | EUR | (1,225) | (396) | (829) | |||||||||||||||||||||||||
Air France-KLM |
(5.00)% | Quarterly | JPHQ | 6/20/22 | 44,000 | EUR | (1,225) | (377) | (848) | |||||||||||||||||||||||||
American Airlines Inc. |
(5.00)% | Quarterly | BZWS | 12/20/21 | 44,000 | (920) | 1,330 | (2,250) | ||||||||||||||||||||||||||
American Airlines Inc. |
(5.00)% | Quarterly | BZWS | 12/20/21 | 73,000 | (1,527) | 1,797 | (3,324) | ||||||||||||||||||||||||||
American Airlines Inc. |
(5.00)% | Quarterly | BZWS | 12/20/21 | 73,000 | (1,527) | 3,172 | (4,699) | ||||||||||||||||||||||||||
American Airlines Inc. |
(5.00)% | Quarterly | BZWS | 12/20/21 | 147,000 | (3,074) | 3,820 | (6,894) | ||||||||||||||||||||||||||
American Airlines Inc. |
(5.00)% | Quarterly | BZWS | 6/20/24 | 143,000 | 4,694 | 8,359 | (3,665) | ||||||||||||||||||||||||||
American Airlines Inc. |
(5.00)% | Quarterly | BZWS | 6/20/26 | 600,000 | 51,919 | 30,424 | 21,495 | ||||||||||||||||||||||||||
American Airlines Inc. |
(5.00)% | Quarterly | CITI | 12/20/21 | 44,000 | (920) | 1,613 | (2,533) | ||||||||||||||||||||||||||
American Airlines Inc. |
(5.00)% | Quarterly | CITI | 12/20/21 | 147,000 | (3,074) | 3,395 | (6,469) | ||||||||||||||||||||||||||
American Airlines Inc. |
(5.00)% | Quarterly | CITI | 6/20/26 | 103,000 | 8,913 | 9,551 | (638) | ||||||||||||||||||||||||||
American Airlines Inc. |
(5.00)% | Quarterly | CITI | 6/20/26 | 96,000 | 8,307 | 9,610 | (1,303) | ||||||||||||||||||||||||||
American Airlines Inc. |
(5.00)% | Quarterly | FBCO | 12/20/21 | 29,000 | (606) | 673 | (1,279) | ||||||||||||||||||||||||||
American Airlines Inc. |
(5.00)% | Quarterly | FBCO | 12/20/21 | 44,000 | (920) | 1,179 | (2,099) | ||||||||||||||||||||||||||
American Airlines Inc. |
(5.00)% | Quarterly | GSCO | 12/20/21 | 29,000 | (606) | 676 | (1,282) | ||||||||||||||||||||||||||
American Airlines Inc. |
(5.00)% | Quarterly | GSCO | 12/20/21 | 73,000 | (1,527) | 3,546 | (5,073) | ||||||||||||||||||||||||||
American Airlines Inc. |
(5.00)% | Quarterly | JPHQ | 12/20/21 | 29,000 | (606) | 1,107 | (1,713) | ||||||||||||||||||||||||||
American Airlines Inc. |
(5.00)% | Quarterly | JPHQ | 12/20/21 | 73,000 | (1,527) | 1,825 | (3,352) | ||||||||||||||||||||||||||
American Airlines Inc. |
(5.00)% | Quarterly | JPHQ | 12/20/25 | 241,000 | 19,025 | 42,274 | (23,249) | ||||||||||||||||||||||||||
American Axle & Manufacturing Inc. | (5.00)% | Quarterly | BZWS | 12/20/25 | 281,000 | (22,796) | (11,450) | (11,346) |
60
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Credit Default Swap Contracts (continued)
Description | Annual Payment Rate Received (Paid) |
Payment Frequency |
Counterparty | Maturity Date |
Notional Amounta |
Value | Unamortized Upfront Payments (Receipts) |
Unrealized Appreciation (Depreciation) |
Ratingb | |||||||||||||||||||||||||
OTC Swap Contracts (continued) |
|
|||||||||||||||||||||||||||||||||
Contracts to Buy Protectionc (continued) |
|
|||||||||||||||||||||||||||||||||
Single Name (continued) |
|
|||||||||||||||||||||||||||||||||
American Axle & Manufacturing Inc. |
(5.00)% | Quarterly | BZWS | 6/20/26 | 261,000 | $ (18,671) | $ | (11,742) | $ | (6,929) | ||||||||||||||||||||||||
American Axle & Manufacturing Inc. |
(5.00)% | Quarterly | BZWS | 6/20/26 | 72,000 | (5,150) | (3,004) | (2,146) | ||||||||||||||||||||||||||
American Axle & Manufacturing Inc. |
(5.00)% | Quarterly | GSCO | 12/20/25 | 44,000 | (3,569) | (2,390) | (1,179) | ||||||||||||||||||||||||||
American Axle & Manufacturing Inc. |
(5.00)% | Quarterly | JPHQ | 12/20/25 | 44,000 | (3,569) | (2,390) | (1,179) | ||||||||||||||||||||||||||
American Axle & Manufacturing Inc. |
(5.00)% | Quarterly | MSCS | 6/20/26 | 238,000 | (17,025) | (9,121) | (7,904) | ||||||||||||||||||||||||||
American Axle & Manufacturing Inc. |
(5.00)% | Quarterly | MSCS | 12/20/25 | 73,000 | (5,922) | (3,965) | (1,957) | ||||||||||||||||||||||||||
BT Group PLC |
(1.00)% | Quarterly | BOFA | 6/20/26 | 145,000 | EUR | (2,388) | (2,661) | 273 | |||||||||||||||||||||||||
BT Group PLC |
(1.00)% | Quarterly | BOFA | 6/20/26 | 145,000 | EUR | (2,388) | (2,619) | 231 | |||||||||||||||||||||||||
Dell Technologies Inc. |
(1.00)% | Quarterly | BNPP | 12/20/25 | 29,000 | (324) | 1,723 | (2,047) | ||||||||||||||||||||||||||
Dell Technologies Inc. |
(1.00)% | Quarterly | BNPP | 12/20/25 | 316,000 | (3,529) | 14,338 | (17,867) | ||||||||||||||||||||||||||
Dell Technologies Inc. |
(1.00)% | Quarterly | CITI | 12/20/25 | 37,000 | (413) | 1,817 | (2,230) | ||||||||||||||||||||||||||
Dell Technologies Inc. |
(1.00)% | Quarterly | CITI | 12/20/25 | 59,000 | (659) | 3,332 | (3,991) | ||||||||||||||||||||||||||
Dell Technologies Inc. |
(1.00)% | Quarterly | JPHQ | 12/20/25 | 190,000 | (2,122) | 7,550 | (9,672) | ||||||||||||||||||||||||||
Diamond Sports Group LLC |
(5.00)% | Quarterly | BZWS | 12/20/25 | 31,000 | 17,115 | 13,586 | 3,529 | ||||||||||||||||||||||||||
Diamond Sports Group LLC |
(5.00)% | Quarterly | BZWS | 12/20/25 | 44,000 | 24,292 | 19,303 | 4,989 | ||||||||||||||||||||||||||
Diamond Sports Group LLC |
(5.00)% | Quarterly | GSCO | 6/20/25 | 31,000 | 16,389 | 14,089 | 2,300 | ||||||||||||||||||||||||||
Diamond Sports Group LLC |
(5.00)% | Quarterly | GSCO | 12/20/25 | 1,000 | 552 | 386 | 166 | ||||||||||||||||||||||||||
Diamond Sports Group LLC |
(5.00)% | Quarterly | GSCO | 12/20/25 | 17,000 | 9,386 | 6,560 | 2,826 | ||||||||||||||||||||||||||
Diamond Sports Group LLC |
(5.00)% | Quarterly | GSCO | 12/20/25 | 17,000 | 9,386 | 6,564 | 2,822 | ||||||||||||||||||||||||||
Diamond Sports Group LLC |
(5.00)% | Quarterly | GSCO | 12/20/25 | 29,000 | 16,011 | 9,301 | 6,710 | ||||||||||||||||||||||||||
Diamond Sports Group LLC |
(5.00)% | Quarterly | GSCO | 12/20/25 | 33,000 | 18,219 | 12,187 | 6,032 | ||||||||||||||||||||||||||
Dow Inc. |
(1.00)% | Quarterly | GSCO | 6/20/25 | 78,000 | (1,818) | (433) | (1,385) | ||||||||||||||||||||||||||
Dow Inc. |
(1.00)% | Quarterly | GSCO | 6/20/25 | 78,000 | (1,818) | (404) | (1,414) | ||||||||||||||||||||||||||
Dow Inc. |
(1.00)% | Quarterly | GSCO | 6/20/25 | 78,000 | (1,818) | (288) | (1,530) | ||||||||||||||||||||||||||
GE Capital |
(1.00)% | Quarterly | JPHQ | 6/20/26 | 1,037,000 | (15,934) | (9,143) | (6,791) | ||||||||||||||||||||||||||
Government of Brazil |
(1.00)% | Quarterly | BZWS | 6/20/25 | 201,000 | 2,937 | 17,808 | (14,871) | ||||||||||||||||||||||||||
Government of Brazil |
(1.00)% | Quarterly | CITI | 6/20/26 | 2,361,000 | 77,436 | 100,094 | (22,658) | ||||||||||||||||||||||||||
Government of Brazil |
(1.00)% | Quarterly | GSCO | 6/20/26 | 1,868,000 | 61,266 | 76,739 | (15,473) | ||||||||||||||||||||||||||
Government of Brazil |
(1.00)% | Quarterly | JPHQ | 6/20/26 | 2,951,000 | 96,786 | 121,229 | (24,443) | ||||||||||||||||||||||||||
Government of Italy |
(1.00)% | Quarterly | BOFA | 6/20/24 | 132,000 | (2,260) | 1,741 | (4,001) | ||||||||||||||||||||||||||
Government of Italy |
(1.00)% | Quarterly | JPHQ | 6/20/24 | 218,000 | (3,732) | 1,338 | (5,070) | ||||||||||||||||||||||||||
Government of Mexico |
(1.00)% | Quarterly | BZWS | 6/20/26 | 1,510,000 | (13,037) | 5,573 | (18,610) | ||||||||||||||||||||||||||
Groupe Casino |
(5.00)% | Quarterly | JPHQ | 12/20/23 | 200,000 | EUR | (10,136) | (5,873) | (4,263) | |||||||||||||||||||||||||
Hovnanian |
(5.00)% | Quarterly | BZWS | 6/20/26 | 29,000 | 2,621 | 2,972 | (351) | ||||||||||||||||||||||||||
Hovnanian |
(5.00)% | Quarterly | BZWS | 6/20/26 | 145,000 | 13,105 | 14,177 | (1,072) | ||||||||||||||||||||||||||
Kohls Corp. |
(1.00)% | Quarterly | GSCO | 12/20/25 | 899,000 | (5,023) | 70,063 | (75,086) | ||||||||||||||||||||||||||
Kohls Corp. |
(1.00)% | Quarterly | MSCO | 12/20/25 | 455,000 | (2,542) | 35,946 | (38,488) | ||||||||||||||||||||||||||
Lloyds Bank PLC |
(1.00)% | Quarterly | JPHQ | 12/20/24 | 540,000 | EUR | (10,650) | 1,506 | (12,156) | |||||||||||||||||||||||||
Loxam SAS |
(5.00)% | Quarterly | JPHQ | 6/20/26 | 100,000 | EUR | (7,897) | 1,731 | (9,628) | |||||||||||||||||||||||||
MBIA Inc. |
(5.00)% | Quarterly | BZWS | 6/20/22 | 24,000 | (908) | (227) | (681) | ||||||||||||||||||||||||||
MBIA Inc. |
(5.00)% | Quarterly | CITI | 6/20/22 | 40,000 | (1,513) | (1,049) | (464) | ||||||||||||||||||||||||||
MBIA Inc. |
(5.00)% | Quarterly | CITI | 12/20/24 | 112,000 | (8,408) | (13,012) | 4,604 | ||||||||||||||||||||||||||
MBIA Inc. |
(5.00)% | Quarterly | GSCO | 6/20/22 | 25,000 | (945) | (519) | (426) | ||||||||||||||||||||||||||
MBIA Inc. |
(5.00)% | Quarterly | GSCO | 12/20/24 | 244,000 | (18,317) | (26,670) | 8,353 | ||||||||||||||||||||||||||
Saipem Finance International BV |
(5.00)% | Quarterly | JPHQ | 6/20/26 | 115,000 | EUR | (11,930) | (8,718) | (3,212) | |||||||||||||||||||||||||
Simon Property Group LP |
(1.00)% | Quarterly | BZWS | 12/20/25 | 625,000 | (12,427) | 10,189 | (22,616) | ||||||||||||||||||||||||||
Simon Property Group LP |
(1.00)% | Quarterly | JPHQ | 12/20/25 | 291,000 | (5,786) | 5,325 | (11,111) | ||||||||||||||||||||||||||
Simon Property Group LP |
(1.00)% | Quarterly | MSCO | 12/20/25 | 531,000 | (10,558) | 9,718 | (20,276) |
61
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Credit Default Swap Contracts (continued)
Description | Annual Payment Rate Received (Paid) |
Payment Frequency |
Counterparty | Maturity Date |
Notional Amounta |
Value | Unamortized Upfront Payments (Receipts) |
Unrealized Appreciation (Depreciation) |
Ratingb | |||||||||||||||||||||||||
OTC Swap Contracts (continued) |
|
|||||||||||||||||||||||||||||||||
Contracts to Buy Protectionc (continued) |
|
|||||||||||||||||||||||||||||||||
Single Name (continued) |
|
|||||||||||||||||||||||||||||||||
Stena AB |
(5.00)% | Quarterly | GSCO | 6/20/24 | 87,000 | EUR | $ | (4,144) | $ | 4,372 | $ | (8,516) | ||||||||||||||||||||||
Stena AB |
(5.00)% | Quarterly | GSCO | 6/20/24 | 186,000 | EUR | (8,860) | 9,147 | (18,007) | |||||||||||||||||||||||||
Stena AB |
(5.00)% | Quarterly | GSCO | 6/20/26 | 29,000 | EUR | (1,256) | 1,274 | (2,530) | |||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||||
Total OTC Swap Contracts |
|
$ | 183,497 | $ | 609,691 | $ | (426,194) | |||||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||||
Total Credit Default Swap Contracts |
|
$ | 272,639 | $ | 739,127 | $ | (466,488) | |||||||||||||||||||||||||||
|
|
aIn 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.
bBased on Standard and Poors (S&P) Rating for single name swaps and internal ratings for index swaps. Internal ratings based on mapping into equivalent ratings from external vendors.
cPerformance 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.
dThe Fund enters contracts to sell protection to create a long credit position.
At August 31, 2021, the Fund had the following interest rate swap contracts outstanding. See Note 3.
Interest Rate Swap Contracts
Description | Payment Frequency |
Maturity Date |
Notional Amount* |
Value/Unrealized Appreciation (Depreciation) |
||||||||||||
Centrally Cleared Swap Contracts |
||||||||||||||||
Receive Fixed 1.34% |
Quarterly | 12/15/22 | 46,000,000,000 | KRW | $ | 1,058 | ||||||||||
Receive Fixed 4.30% |
Annually | 12/15/22 | 6,300,000,000 | INR | 138,425 | |||||||||||
Receive Fixed 7.68% |
Annually | 1/02/23 | 27,000,000 | BRL | (35,744) | |||||||||||
Receive Fixed 5.47% |
Monthly | 9/13/23 | 33,998,616 | MXN | (11,769) | |||||||||||
Receive Fixed 6.07% |
Monthly | 10/25/23 | 64,272,029 | MXN | 7,862 | |||||||||||
Receive Fixed 4.08% |
Quarterly | 10/27/23 | 7,238,980,968 | COP | (1,751) | |||||||||||
Receive Fixed 4.12% |
Quarterly | 10/27/23 | 11,418,479,020 | COP | (78) | |||||||||||
Receive Fixed 4.72% |
Quarterly | 10/27/23 | 49,768,689 | ZAR | (3,338) | |||||||||||
Receive Fixed 8.44% |
Annually | 1/02/25 | 12,000,000 | BRL | (47,550) | |||||||||||
Receive Fixed 6.30% |
Quarterly | 7/31/25 | 53,795,745 | ZAR | (2,292) | |||||||||||
Receive Floating rate 3-Month USD LIBOR |
Semi-Annually | 6/16/26 | 1,400,000 | (12,320) |
62
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Interest Rate Swap Contracts (continued)
Description | Payment Frequency |
Maturity Date |
Notional Amount* |
Value/Unrealized Appreciation (Depreciation) | ||||||||||||
Centrally Cleared Swap Contracts (continued) |
||||||||||||||||
Receive Floating rate 3-Month USD LIBOR |
Semi-Annually | 6/16/26 | 1,150,000 | $ | (8,706) | |||||||||||
Receive Fixed 6.19% |
Monthly | 9/09/26 | 34,475,624 | MXN | (19,317) | |||||||||||
Receive Fixed 2.56% |
Quarterly | 10/27/26 | 45,835,000 | CNY | 53,002 | |||||||||||
Receive Fixed 5.22% |
Quarterly | 10/27/26 | 13,305,609,030 | COP | 14,526 | |||||||||||
Receive Floating rate 6 Month-SORA |
Semi-Annually | 9/15/31 | 1,857,493 | SGD | (15,035) | |||||||||||
Receive Floating rate 6 Month-WIBOR |
Annually | 9/15/31 | 3,438,256 | PLN | (5,143) | |||||||||||
Receive Floating rate 6 Month-WIBOR |
Annually | 9/15/31 | 11,953,698 | PLN | (52,810) | |||||||||||
Receive Fixed 6.93% |
Monthly | 10/15/31 | 64,105,000 | MXN | (8,696) | |||||||||||
Receive Fixed 2.63% |
Semi-Annually | 10/27/31 | 560,000,000 | HUF | (31,345) | |||||||||||
Receive Fixed 2.74% |
Semi-Annually | 10/27/31 | 565,000,000 | HUF | (12,842) | |||||||||||
Receive Fixed 7.33% |
Quarterly | 10/27/31 | 25,017,434 | ZAR | 7,704 | |||||||||||
|
|
| ||||||||||||||
Total Interest Rate Swap Contracts |
$ | (46,159) | ||||||||||||||
|
|
|
*In U.S. dollars unless otherwise indicated.
At August 31, 2021, the Fund had the following total return swap contracts outstanding. See Note 3.
Total Return Swap Contracts
Underlying Instrument | Financing Rate | Payment Frequency |
Counter- party |
Maturity Date |
Notional Value* |
Value/Unrealized Appreciation (Depreciation) |
||||||||||||
OTC Swap Contracts |
||||||||||||||||||
Equity Contracts - Longa |
||||||||||||||||||
Alstria Office REIT-AG |
1-Day EONIA + 0.65% | Monthly | MSCO | 8/24/22 | 68,322 | EUR | $ | (2,300) | ||||||||||
Amundi SA |
1-Day EONIA + 0.40% | Monthly | MSCS | 3/14/25 | 266,038 | EUR | 212,152 | |||||||||||
Anima Holding SpA |
1-Month EURIBOR + 0.40% | Monthly | MSCS | 12/21/21 | 1,045,491 | EUR | 19,350 | |||||||||||
Avast PLC |
1-Day SONIA + 0.40% | Monthly | BZWS | 7/27/22 | 2,039,512 | GBP | (22,370) | |||||||||||
Barclays PLC |
1-Month LIBOR + 0.40% | Monthly | MSCS | 4/20/22 | 1,018,144 | GBP | 11,084 | |||||||||||
BHP Group PLC |
1-Day FEDEF + 0.40% | Monthly | MSCS | 11/22/22 | 523,119 | (11,225) | ||||||||||||
BNP Paribas SA |
1-Month LIBOR + 0.40% | Monthly | MSCS | 3/14/25 | 1,368,172 | EUR | 881,848 | |||||||||||
Bureau Veritas SA |
1-Month EURIBOR + 0.40% | Monthly | GSCO | 12/21/21 | 208,565 | EUR | (2,320) | |||||||||||
Bureau Veritas SA |
1-Month EURIBOR + 0.40% | Monthly | MSCS | 3/14/25 | 1,082,490 | EUR | 567,030 | |||||||||||
Callaway Golf Co. |
1-Day FEDEF + 0.40% | Monthly | MSCO | 11/22/22 | 1,267,860 | (313,820) | ||||||||||||
Capitaland Ltd. |
1-Month SIBOR + 0.55% | Monthly | MSCO | 5/22/23 | 1,626,685 | SGD | 95,042 | |||||||||||
Christian Dior SE |
1-Month EURIBOR + 0.40% | Monthly | BZWS | 5/25/22 | 1,447,038 | EUR | 13,504 | |||||||||||
Clearway Energy Inc. |
1-Month LIBOR + 0.35% | Monthly | JPHQ | 1/20/22 | 211,271 | 44,088 | ||||||||||||
Clearway Energy Inc. |
1-Month LIBOR + 0.35% | Monthly | JPHQ | 4/20/22 | 33,929 | 7,100 | ||||||||||||
Croda International PLC |
1-Month LIBOR + 0.40% | Monthly | MSCS | 4/20/22 | 1,227,173 | GBP | 63,460 | |||||||||||
Crown Holdings Inc. |
1-Day FEDEF + 0.40% | Monthly | MSCO | 11/22/22 | 1,543,930 | 174,174 | ||||||||||||
Crown Resorts Ltd. |
1-Month BBSW + 0.55% | Monthly | MSCO | 12/22/21 | 247,672 | AUD | (40,331) | |||||||||||
Danone SA |
1-Month EURIBOR + 0.40% | Monthly | MSCO | 12/21/21 | 2,196,194 | EUR | (58,350) | |||||||||||
Danone SA |
1-Month LIBOR + 0.40% | Monthly | MSCS | 3/14/25 | 3,905,164 | EUR | 646,395 | |||||||||||
Deutsche Wohnen SE |
1-Month EURIBOR + 0.40% | Monthly | BZWS | 5/26/22 | 1,938,086 | EUR | 3,498 |
63
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Total Return Swap Contracts (continued)
Underlying Instrument | Financing Rate | Payment Frequency |
Counter- party |
Maturity Date |
Notional Value* |
Value/Unrealized Appreciation (Depreciation) |
||||||||||||||||||
OTC Swap Contracts (continued) |
| |||||||||||||||||||||||
Equity Contracts - Longa (continued) |
| |||||||||||||||||||||||
bDialog Semiconductor PLC |
1-Day EONIA + 0.65% | Monthly | MSCS | 9/06/22 | 609,700 | EUR | $ | 34,862 | ||||||||||||||||
Electricite de France SA |
1-Day EONIA + 0.40% | Monthly | MSCS | 9/23/22 | 2,214,089 | EUR | 76,458 | |||||||||||||||||
Elisa OYJ |
1-Month EURIBOR + 0.40% | Monthly | MSCO | 12/21/21 | 254,118 | EUR | (11,343) | |||||||||||||||||
Elisa OYJ |
1-Month EURIBOR + 0.40% | Monthly | MSCS | 3/14/25 | 444,640 | EUR | 110,651 | |||||||||||||||||
Engie SA |
1-Day EONIA + 0.40% | Monthly | MSCS | 9/23/22 | 3,953,906 | EUR | 57,448 | |||||||||||||||||
Entain PLC |
1-Month LIBOR + 0.40% | Monthly | BZWS | 2/28/22 | 811,615 | GBP | 10,475 | |||||||||||||||||
Enterprise Products Partners LP |
1-Month LIBOR + 0.90% | Monthly | BOFA | 3/04/22 | 101,553 | (7,208) | ||||||||||||||||||
Enterprise Products Partners LP |
1-Month LIBOR + 0.90% | Monthly | GSCO | 4/20/22 | 98,920 | (7,073) | ||||||||||||||||||
Equiniti Group PLC |
1-Day SONIA + 0.40% | Monthly | BZWS | 5/16/22 | 335,528 | GBP | (2,571) | |||||||||||||||||
ESG Core Investments BV |
1-Day EONIA + 0.65% | Monthly | MSCS | 9/06/22 | 41,835 | EUR | (3,665) | |||||||||||||||||
Ferguson PLC |
1-Day EONIA + 0.65% | Monthly | MSCO | 9/23/22 | 654,490 | 221,324 | ||||||||||||||||||
Frasers Group PLC |
1-Month LIBOR + 0.40% | Monthly | MSCS | 4/20/22 | 904,816 | GBP | 95,804 | |||||||||||||||||
Gamesys Group PLC |
1-Day SONIA + 0.65% | Monthly | MSCO | 2/08/22 | 287,086 | GBP | (12,663) | |||||||||||||||||
Gamesys Group PLC |
1-Day SONIA + 0.40% | Monthly | BZWS | 3/29/22 | 600,824 | GBP | (10) | |||||||||||||||||
GCP Student Living PLC |
1-Day SONIA + 0.40% | Monthly | BZWS | 7/26/22 | 330,321 | GBP | 1,063 | |||||||||||||||||
GrandVision NV |
1-Month LIBOR + 0.05% | Monthly | BZWS | 5/11/22 | 2,123,915 | EUR | 4,438 | |||||||||||||||||
HeidelbergCement AG |
1-Month EURIBOR + 0.40% | Monthly | MSCS | 12/21/21 | 2,408,965 | EUR | (12,825) | |||||||||||||||||
Hella GmbH & Co. KGaA |
1-Month EURIBOR + 0.40% | Monthly | BZWS | 8/17/22 | 1,154,326 | EUR | (1,793) | |||||||||||||||||
Hermes International |
1-Month EURIBOR + 0.40% | Monthly | MSCO | 12/21/21 | 641,060 | EUR | (48,592) | |||||||||||||||||
Hikma Pharmaceuticals PLC |
1-Month LIBOR + 0.40% | Monthly | MSCS | 4/20/22 | 115,677 | GBP | 3,348 | |||||||||||||||||
Hitachi Metals Ltd. |
1-Day MUTSCALM + 0.55% | Monthly | MSCO | 8/25/22 | 80,583,203 | JPY | 164 | |||||||||||||||||
Iliad SA |
1-Day EONIA + 0.65% | Monthly | MSCO | 9/06/22 | 128,205 | EUR | (91) | |||||||||||||||||
ITV PLC |
1-Month LIBOR + 0.40% | Monthly | MSCS | 4/20/22 | 1,623,361 | GBP | (33,854) | |||||||||||||||||
Kansas City Southern |
1-Day FEDEF + 0.40% | Monthly | MSCO | 11/22/22 | 1,603,065 | 66,079 | ||||||||||||||||||
Kering SA |
1-Month EURIBOR + 0.40% | Monthly | MSCO | 12/21/21 | 997,644 | EUR | (172,735) | |||||||||||||||||
Kering SA |
1-Month EURIBOR + 0.40% | Monthly | MSCS | 3/14/25 | 1,461,221 | EUR | 740,130 | |||||||||||||||||
Landmark Infrastructure Partners LP |
1-Month LIBOR + 0.35% | Monthly | BZWS | 5/20/22 | 1,460,874 | 2,587 | ||||||||||||||||||
LG Chem Ltd. |
1-Day FEDEF + 0.30% | Monthly | MSCO | 8/10/23 | 4,090,718 | (507,376) | ||||||||||||||||||
LVMH Moet Hennessy Louis Vuitton SE |
1-Day EONIA + 0.40% | Monthly | MSCS | 3/14/25 | 348,838 | EUR | 313,401 | |||||||||||||||||
Meggitt PLC |
1-Day SONIA + 0.65% | Monthly | MSCO | 2/08/22 | 1,307,171 | GBP | (25,028) | |||||||||||||||||
Meggitt PLC |
1-Day SONIA + 0.65% | Monthly | BZWS | 8/17/22 | 996,519 | GBP | (8,228) | |||||||||||||||||
MGM Growth Properties LLC |
1-Month LIBOR + 0.35% | Monthly | BZWS | 8/08/22 | 494,873 | 10,228 | ||||||||||||||||||
Monmouth Real Estate Investment Corp. |
1-Month LIBOR + 0.35% | Monthly | BZWS | 1/19/22 | 458,043 | 2,203 | ||||||||||||||||||
Nestle SA |
1-Month LIBOR + 0.40% | Monthly | MSCS | 1/20/22 | 1,649,883 | CHF | 30,455 | |||||||||||||||||
bProofpoint Inc. |
1-Day FEDEF + 0.40% | Monthly | MSCO | 11/22/22 | 3,632,160 | 61,740 | ||||||||||||||||||
Ryanair Holdings PLC |
1-Month EURIBOR + 0.40% | Monthly | MSCS | 12/21/21 | 774,906 | EUR | (35,685) | |||||||||||||||||
Sanne Group PLC |
1-Day SONIA + 0.40% | Monthly | BZWS | 6/24/22 | 1,641,783 | GBP | (4,872) | |||||||||||||||||
Siltronic AG |
1-Day EONIA + 0.65% | Monthly | MSCO | 11/03/21 | 253,299 | EUR | 566 | |||||||||||||||||
Siltronic AG |
1-Day EONIA + 0.65% | Monthly | MSCS | 11/03/21 | 255,669 | EUR | (8,329) | |||||||||||||||||
Siltronic AG |
1-Month LIBOR + 0.40% | Monthly | BZWS | 2/28/22 | 2,531,220 | EUR | (20,370) | |||||||||||||||||
Smith & Nephew PLC |
1-Month LIBOR + 0.40% | Monthly | MSCO | 4/20/22 | 3,920,780 | GBP | 86,855 | |||||||||||||||||
Smiths Group PLC |
1-Month LIBOR + 0.40% | Monthly | MSCS | 4/20/22 | 979,234 | GBP | (1,777) | |||||||||||||||||
Societe Generale SA |
1-Month LIBOR + 0.40% | Monthly | MSCS | 3/14/25 | 853,440 | EUR | 596,800 | |||||||||||||||||
Spark Infrastructure Group |
1-Month BBSW + 0.55% | Monthly | MSCO | 12/22/21 | 96,579 | AUD | 5,864 | |||||||||||||||||
Stroeer SE & Co. KGaA |
1-Month EURIBOR + 0.40% | Monthly | MSCS | 12/21/21 | 934,730 | EUR | 39,457 | |||||||||||||||||
Suez SA |
1-Day EONIA + 0.65% | Monthly | MSCO | 9/06/22 | 119,078 | EUR | (1,508) | |||||||||||||||||
Sydney Airport Finance Co. Pty Ltd. |
1-Month BBSW + 0.55% | Monthly | MSCO | 8/24/22 | 178,554 | AUD | 3,509 | |||||||||||||||||
Tabcorp Holdings Ltd. |
1-Month BBSW + 0.55% | Monthly | MSCO | 12/22/21 | 857,517 | AUD | (17,032) | |||||||||||||||||
TGOOD |
1-Day FEDEF + 0.30% | Monthly | MSCS | 9/28/22 | 2,156,236 | 140,108 | ||||||||||||||||||
Toshiba Corp. |
1-Day MUTSCALM + 0.55% | Monthly | MSCO | 6/22/22 | 5,508,025 | JPY | 3,276 | |||||||||||||||||
Ultra Electronics Holdings PLC |
1-Day SONIA + 0.65% | Monthly | MSCO | 2/08/22 | 13,010 | GBP | (499) | |||||||||||||||||
Vodafone Group PLC |
1-Day SONIA + 0.65% | Monthly | MSCS | 2/08/22 | 951,494 | GBP | 114,868 | |||||||||||||||||
Willis Towers Watson PLC |
1-Day FEDEF + 0.40% | Monthly | MSCS | 11/22/22 | 4,296,825 | (49,510) | ||||||||||||||||||
Wm Morrison Supermarkets PLC |
1-Day SONIA + 0.65% | Monthly | MSCO | 2/08/22 | 56,124 | GBP | 8,122 | |||||||||||||||||
|
|
|||||||||||||||||||||||
4,135,655 | ||||||||||||||||||||||||
|
|
64
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Total Return Swap Contracts (continued)
Underlying Instrument | Financing Rate | Payment Frequency |
Counter- party |
Maturity Date |
Notional Value* |
Value/Unrealized Appreciation (Depreciation) |
||||||||||||||||||
OTC Swap Contracts (continued) |
| |||||||||||||||||||||||
Equity Contracts - Shortc |
||||||||||||||||||||||||
Arthur J. Gallagher & Co. |
1-Day FEDEF - 0.35% | Monthly | MSCO | 2/04/22 | 2,237,201 | $ | (68,475) | |||||||||||||||||
Ball Corp. |
1-Day FEDEF - 0.35% | Monthly | MSCO | 2/04/22 | 384,539 | (38,180) | ||||||||||||||||||
BHP Group PLC |
1-Day FEDEF - 2.02% | Monthly | MSCS | 2/04/22 | 624,865 | 84,369 | ||||||||||||||||||
Canadian National Railway Co. |
1-Day FEDEF - 0.40% | Monthly | MSCO | 8/31/22 | 185,588 | (13,795) | ||||||||||||||||||
Canadian Pacific Railway Ltd. |
1-Day FEDEF - 0.35% | Monthly | MSCO | 2/04/22 | 885,151 | 35,870 | ||||||||||||||||||
Capitaland Integrated Commercial Trust |
1-Day SOFR - 0.50% | Monthly | MSCO | 5/22/23 | 142,355 | SGD | (899) | |||||||||||||||||
Carnival Corp. |
1-Month LIBOR - 0.40% | Monthly | MSCS | 9/20/22 | 524,803 | (52,575) | ||||||||||||||||||
CLP Holdings |
1-Day HONIX - 0.05% | Monthly | MSCO | 7/20/23 | 11,008,611 | HKD | 7,754 | |||||||||||||||||
Colruyt SA |
1-Day EONIA - 0.40% | Monthly | MSCS | 3/14/25 | 1,373,519 | EUR | (254,176) | |||||||||||||||||
DJ EURO STOXX 50 Index |
1-Day EONIA - 0.45% | Monthly | MSCO | 3/22/22 | 307,887 | EUR | (260,781) | |||||||||||||||||
Elisa OYJ |
1-Day EONIA - 0.40% | Monthly | MSCS | 3/14/25 | 390,256 | EUR | (92,108) | |||||||||||||||||
Hannover Rueck SE |
1-Day EONIA - 0.35% | Monthly | MSCS | 3/14/25 | 558,395 | EUR | (187,911) | |||||||||||||||||
Hennes & Mauritz AB |
1-Week STIBOR - 0.40% | Monthly | MSCS | 3/14/25 | 5,777,721 | SEK | (131,233) | |||||||||||||||||
Industrial Select Sector Index |
1-Day LIBOR - 0.40% | Monthly | MSCO | 8/22/23 | 4,006,951 | (20,706) | ||||||||||||||||||
JD Sports Fashion PLC |
1-Day SONIA - 0.30% | Monthly | MSCS | 4/20/22 | 170,151 | GBP | (17,383) | |||||||||||||||||
KOSPI 200 Index |
1-Day FEDEF - 0.35% | Monthly | MSCO | 9/09/21 | 2,814,531 | (79,945) | ||||||||||||||||||
LOreal SA |
1-Day EONIA - 0.35% | Monthly | GSCO | 3/14/25 | 573,130 | EUR | (449,608) | |||||||||||||||||
LVMH Moet Hennessy Louis Vuitton SE |
1-Day EONIA - 0.30% | Monthly | BZWS | 5/25/22 | 1,233,738 | EUR | (8,682) | |||||||||||||||||
Marks & Spencer Group PLC |
1-Day SONIA - 0.30% | Monthly | MSCS | 4/20/22 | 199,569 | GBP | (74,835) | |||||||||||||||||
Marsh McLennan |
1-Day FEDEF - 0.35% | Monthly | MSCO | 2/04/22 | 2,103,891 | (156,959) | ||||||||||||||||||
Morgan Stanley MSHDGCWN Index |
1-Day RBACR - 0.60% | Monthly | MSCO | 8/24/22 | 186,193 | AUD | (9,129) | |||||||||||||||||
Morgan Stanley MSHDGTAH Index |
1-Day RBACR - 0.60% | Monthly | MSCO | 6/26/23 | 890,564 | AUD | (37,880) | |||||||||||||||||
Morgan Stanley MSPSARKK Index |
1-Day FEDEF - 0.46% | Monthly | MSCO | 9/21/22 | 280,792 | (17,150) | ||||||||||||||||||
Morgan Stanley MSPSFERL Index |
1-Day FEDEF - 0.35% | Monthly | MSCO | 9/21/22 | 277,233 | (38,259) | ||||||||||||||||||
Morgan Stanley MSPSHRTZ Index |
1-Day FEDEF - 0.35% | Monthly | MSCO | 9/21/22 | 638,950 | 4,895 | ||||||||||||||||||
Morgan Stanley MSPSKSS Index |
1-Day FEDEF - 0.40% | Monthly | MSCO | 9/21/22 | 348,303 | (18,914) | ||||||||||||||||||
Morgan Stanley MSPSPRMW Index |
1-Day FEDEF - 0.55% | Monthly | MSCO | 9/21/22 | 574,402 | (101,688) | ||||||||||||||||||
Morgan Stanley MSPSPRNT Index |
1-Day FEDEF - 1.48% | Monthly | MSCO | 9/21/22 | 22,740 | (1,402) | ||||||||||||||||||
Morgan Stanley MSPSVOD Index |
1-Day FEDEF - 0.39% | Monthly | MSCO | 9/21/22 | 655,308 | (114,780) | ||||||||||||||||||
Morgan Stanley MSPSXLU Index |
1-Day FEDEF - 0.35% | Monthly | MSCO | 9/21/22 | 1,061,175 | (155,372) | ||||||||||||||||||
Morgan Stanley MSPSXPOH Index |
1-Day FEDEF - 0.35% | Monthly | MSCO | 9/21/22 | 952,995 | (40,100) | ||||||||||||||||||
Next PLC |
1-Day SONIA - 0.30% | Monthly | MSCS | 4/20/22 | 663,960 | GBP | (8,866) | |||||||||||||||||
Nike Inc. |
1-Day FEDEF - 0.35% | Monthly | MSCO | 3/16/22 | 1,336,643 | 56,091 | ||||||||||||||||||
Philadelphia SE Utility Index |
1-Day FEDEF - 0.05% | Monthly | MSCO | 8/22/23 | 11,188,499 | 10,367 | ||||||||||||||||||
Severn Trent PLC |
1-Day SONIA - 0.35% | Monthly | MSCS | 9/26/22 | 803,197 | GBP | 40,423 | |||||||||||||||||
Siltronic AG |
1-Day EONIA - 4.00% | Monthly | BZWS | 3/04/22 | 1,170,266 | EUR | (1,161) | |||||||||||||||||
STOXX Europe 600 Real Estate Index |
1-Day EONIA - 0.45% | Monthly | MSCO | 8/24/22 | 34,370 | EUR | 177 | |||||||||||||||||
Straits Times Index |
1-Day SOFR - 0.65% | Monthly | MSCO | 5/24/23 | 848,520 | SGD | 13,051 | |||||||||||||||||
Swisscom AG |
1-Day SARON - 0.35% | Monthly | MSCS | 3/14/25 | 749,259 | CHF | (107,871) | |||||||||||||||||
Tesla Inc. |
1-Day FEDEF - 0.35% | Monthly | MSCS | 3/16/22 | 406,824 | (14,805) | ||||||||||||||||||
Tesla Inc. |
1-Month LIBOR - 0.35% | Monthly | GSCO | 12/31/25 | 571,883 | (72,613) | ||||||||||||||||||
United Utilities Group PLC |
1-Day SONIA - 0.35% | Monthly | MSCS | 9/26/22 | 806,598 | GBP | 18,146 | |||||||||||||||||
VICI Properties Inc. |
1-Month LIBOR - 0.35% | Monthly | BZWS | 8/08/22 | 507,914 | (6,494) | ||||||||||||||||||
|
|
|||||||||||||||||||||||
(2,383,592) | ||||||||||||||||||||||||
|
|
|||||||||||||||||||||||
Interest Rate Contracts Longa |
||||||||||||||||||||||||
Government of Egypt |
1-Day FEDEF | Monthly | CITI | 1/11/22 | 476,021 | 8,490 | ||||||||||||||||||
Government of Indonesia |
3-Month LIBOR + 0.70% | Monthly | BOFA | 5/18/22 | 2,043,470 | (23,744) | ||||||||||||||||||
Government of Indonesia |
3-Month LIBOR + 0.60% | Monthly | DBAB | 6/15/32 | 573,840 | 46,227 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
30,973 | ||||||||||||||||||||||||
|
|
|||||||||||||||||||||||
Total - Total Return Swap Contracts |
$ | 1,783,036 | ||||||||||||||||||||||
|
|
*In U.S. dollars unless otherwise indicated.
aThe Fund receives the total return on the underlying instrument and pays a variable financing rate.
bFair valued using significant unobservable inputs. See Note 9 regarding fair value measurements.
cThe Fund receives the variable financing rate and pays the total return on the underlying instrument.
65
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Alternative Strategies Fund (continued)
Abbreviations Counterparty |
Currency | Selected Portfolio | ||||||||
BNPP |
BNP Paribas | ARS | Argentine Peso | ADR | American Depositary Receipt | |||||
BNYM |
The Bank of New York Mellon Corp. | AUD | Australian Dollar | ARM | Adjustable Rate Mortgage | |||||
BOFA |
Bank of America Corp. | BRL | Brazilian Real | BADLAR | Argentina Deposit Rates BADLAR Private Banks ARS | |||||
BZWS |
Barclays Bank PLC | CAD | Canadian Dollar | BBSW | Bank Bill Swap Rate | |||||
CITI |
Citigroup, Inc. | CHF | Swiss Franc | BRLCDI | Brazil Cetip Di Interbank Deposit Rate | |||||
DBAB |
Deutsche Bank, AG | CNY | Chinese Yuan | BURBOR | Budapest Interbank Offered Rate | |||||
FBCO |
Credit Suisse Group AG | COP | Colombian Peso | CLO | Collateralized Loan Obligation | |||||
GSCO |
The Goldman Sachs Group, Inc. | EGP | Egyptian Pound | COPIBR | Colombian Peso Interbank Offered Rate | |||||
HSBC |
HSBC Bank USA, N.A. | EUR | Euro | DIP | Debtor-In-Possession | |||||
JPHQ |
JP Morgan Chase & Co. | GBP | British Pound | EONIA | Euro OverNight Index Average | |||||
MSCO |
Morgan Stanley & Co. LLC | HKD | Hong Kong Dollar | ETF | Exchange Traded Fund | |||||
MSCS |
Morgan Stanley Capital Services LLC | HUF | Hungarian Forint | EURIBOR | Euro Interbank Offered Rate | |||||
IDR | Indonesian Rupiah | FEDEF | Federal Funds Effective Rate | |||||||
INR | Indian Rupee | FHLMC | Federal Home Loan Mortgage Corp. | |||||||
JPY | Japanese Yen | FNMA | Federal National Mortgage Association | |||||||
KRW | South Korean Won | FRN | Floating Rate Note | |||||||
MXN | Mexican Peso | HONIX | Hong Kong Overnight Index Rate | |||||||
NZD | New Zealand Dollar | JIBAR | Johannesburg Interbank Agreed Rate | |||||||
PEN | Peruvian Nuevo Sol | KDR | Korean Depositary Receipt | |||||||
PLN | Polish Zloty | LIBOR | London InterBank Offered Rate | |||||||
RUB | Russian Ruble | MIBOR | Mumbai Interbank Offered Rate | |||||||
SEK | Swedish Krona | MTN | Medium Term Note | |||||||
SGD | Singapore Dollar | MUTSCALM | Japan Unsecured Overnight Call Rate | |||||||
USD | United States Dollar | OIS | Overnight Indexed Swap | |||||||
ZAR | South African Rand | PIK | Payment In-Kind | |||||||
RBACR | Reserve Bank of Australia Cash Rate | |||||||||
REIT | Real Estate Investment Trust | |||||||||
SARON | Swiss Average Rate Overnight | |||||||||
SIBOR | Singapore Interbank Offered Rate | |||||||||
SOFR | Secured Overnight Financing Rate | |||||||||
Index | SORA | Singapore Overnight Rate Average | ||||||||
CDX.EM |
CDX Emerging Markets Index | SONIA | Sterling Overnight Index Average | |||||||
SPAC | Special Purpose Acquisition Company | |||||||||
SPDR | Standard & Poors Depositary Receipt | |||||||||
STIBOR | Stockholm Interbank Offered Rate | |||||||||
WIBOR | Warsaw Interbank Offered Rate |
66
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
Statement of Investments, August 31, 2021 (unaudited)
Franklin K2 Long Short Credit Fund
Country | Shares/
Warrants |
Value | ||||||||||
Common Stocks and Other Equity Interests 2.6% |
||||||||||||
Automobiles 0.1% |
||||||||||||
aGeneral Motors Co. |
United States | 2,700 | $ | 132,327 | ||||||||
|
|
| ||||||||||
Biotechnology 0.0% |
||||||||||||
aCytoDyn Inc. |
United States | 2,389 | 3,297 | |||||||||
|
|
| ||||||||||
Commercial Services & Supplies 0.3% |
||||||||||||
aCM Life Sciences III Inc. |
United States | 2,593 | 26,345 | |||||||||
Covanta Holding Corp. |
United States | 5,993 | 120,160 | |||||||||
aExecutive Network Partnering Corp., 9/25/28, wts. |
United States | 925 | 638 | |||||||||
aExecutive Network Partnering Corp., A |
United States | 6,280 | 61,167 | |||||||||
aGores Guggenheim Inc., A |
United States | 905 | 8,896 | |||||||||
aGores Guggenheim Inc., A, 3/25/28, wts. |
United States | 181 | 297 | |||||||||
aGores Technology Partners II Inc. |
United States | 362 | 3,616 | |||||||||
aGores Technology Partners Inc. |
United States | 145 | 1,446 | |||||||||
aHedosophia European Growth |
United Kingdom | 1,142 | 12,945 | |||||||||
Iron Spark I Inc., A |
United States | 1,578 | 15,622 | |||||||||
aLandcadia Holdings IV Inc. |
United States | 1,374 | 13,657 | |||||||||
aTech And Energy Transition Corp. |
United States | 2,499 | 24,752 | |||||||||
aTishman Speyer Innovation Corp. II, A |
United States | 113 | 1,104 | |||||||||
aTwelve Seas Investment Co. II, 3/2/28, wts. |
United States | 1,019 | 746 | |||||||||
aTwelve Seas Investment Co. II, A |
United States | 3,059 | 29,611 | |||||||||
|
|
| ||||||||||
321,002 | ||||||||||||
|
|
| ||||||||||
Diversified Financial Services 0.8% |
||||||||||||
a2MX Organic SA, 11/16/25, wts. |
France | 1,165 | 317 | |||||||||
aAequi Acquisition Corp. |
United States | 440 | 4,345 | |||||||||
aAequi Acquisition Corp., A |
United States | 3,553 | 34,500 | |||||||||
aAfrican Gold Acquisition Corp., A |
United States | 1,912 | 18,508 | |||||||||
aAfrican Gold Acquisition Corp., A, 3/13/28, wts. |
United States | 1,434 | 688 | |||||||||
aAgile Growth Corp. |
United States | 1,147 | 11,378 | |||||||||
aAlkuri Global Acquisition Corp., 1/1/28, wts. |
United States | 46 | 66 | |||||||||
aAlkuri Global Acquisition Corp., A |
United States | 1,218 | 12,083 | |||||||||
aAres Acquisition Corp., 12/30/21, wts. |
United States | 566 | 543 | |||||||||
aAres Acquisition Corp., A |
United States | 2,110 | 20,488 | |||||||||
aBlue Whale Acquisition Corp. I |
United Arab Emirates | 3,797 | 40,818 | |||||||||
aCF Acquisition Corp. V, A |
United States | 1,761 | 17,258 | |||||||||
aCF Acquisition Corp. V, A, 1/25/26, wts. |
United States | 603 | 615 | |||||||||
aCorsair Partnering Corp. |
United States | 1,149 | 11,467 | |||||||||
aCrystal Peak Acquisition |
Cayman Islands | 1,993 | 18,973 | |||||||||
aCrystal Peak Acquisition, 6/22/26, wts. |
Netherlands | 802 | 329 | |||||||||
aDecarbonization Plus Acquisition Corp. II, A |
United States | 1,373 | 13,538 | |||||||||
aDHC Acquisition Corp., 12/31/27, wts. |
United States | 612 | 416 | |||||||||
aDHC Acquisition Corp., A |
United States | 1,838 | 17,718 | |||||||||
aDisruptive Acquisition Corp. I |
United States | 2,007 | 19,889 | |||||||||
aDragoneer Growth Opportunities Corp. III, A |
United States | 3,050 | 29,860 | |||||||||
aECP Environmental Growth Opportunities Corp., 2/11/28, wts. |
United States | 135 | 118 | |||||||||
aElliott Opportunity II Corp. |
United States | 1,335 | 13,283 | |||||||||
aEuropean Biotech Acquisition Corp. |
Netherlands | 361 | 3,581 | |||||||||
aFar Peak Acquisition Corp. |
United States | 7,682 | 76,205 | |||||||||
aFast Acquisition Corp. II |
United States | 213 | 2,112 | |||||||||
aFigure Acquisition Corp. I, A |
United States | 409 | 4,012 | |||||||||
aFigure Acquisition Corp. I, A, 12/31/27, wts. |
United States | 345 | 349 | |||||||||
aForum Merger IV Corp. |
United States | 849 | 8,465 | |||||||||
aFreedom Acquisition I Corp., A |
United States | 573 | 5,570 | |||||||||
aFTAC Hera Acquisition Corp., A |
United States | 1,805 | 17,581 | |||||||||
aFusion Acquisition Corp. II, A |
United States | 956 | 9,225 |
Quarterly Statement of Investments | See Notes to Consolidated Statements of Investments.
67
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
Country | Shares/
Warrants |
Value | ||||||||||
Common Stocks and Other Equity Interests (continued) |
| |||||||||||
Diversified Financial Services (continued) |
||||||||||||
aFusion Acquisition Corp. II, A, 12/31/27, wts. |
United States | 318 | $ | 219 | ||||||||
aGlenfarne Merger Corp. |
United States | 361 | 3,541 | |||||||||
aInvestindustrial Acquisition Corp., 10/30/27, wts. |
United States | 580 | 708 | |||||||||
aION Acquisition Corp. 3 Ltd, A |
Israel | 796 | 7,697 | |||||||||
aJoff Fintech Acquisition Corp., 2/4/28, wts. |
United States | 525 | 354 | |||||||||
aJoff Fintech Acquisition Corp., A |
United States | 1,575 | 15,246 | |||||||||
aKhosla Ventures Acquisition Co., A |
United States | 2,127 | 20,994 | |||||||||
aKhosla Ventures Acquisition Co. III, A |
United States | 3,158 | 30,696 | |||||||||
aL Catterton Asia Acquisition Corp. |
Singapore | 668 | 6,590 | |||||||||
aLakestar SPAC I SE |
Luxembourg | 557 | 6,439 | |||||||||
aLakestar SPAC I SE, 12/31/25, wts. |
Luxembourg | 210 | 191 | |||||||||
aLDH Growth Corp. I |
United States | 180 | 1,778 | |||||||||
aLead Edge Growth Opportunities Ltd. |
United States | 1,379 | 13,680 | |||||||||
aLeo Holdings III Corp., 3/2/28, wts. |
United States | 76 | 55 | |||||||||
aLeo Holdings III Corp., A |
United States | 382 | 3,770 | |||||||||
aLerer Hippeau Acquisition Corp., A |
United States | 2,839 | 27,496 | |||||||||
aLive Oak Mobility Acquisition Corp., A |
United States | 757 | 7,381 | |||||||||
aMDH Acquisition Corp., A |
United States | 1,367 | 13,410 | |||||||||
aMDH Acquisition Corp., A, 2/2/28, wts. |
United States | 683 | 376 | |||||||||
aThe Music Acquisition Corp., A |
United States | 1,590 | 15,375 | |||||||||
aThe Music Acquisition Corp., A, 2/5/28, wts. |
United States | 795 | 564 | |||||||||
aNightdragon Acquisition Corp., A |
United States | 367 | 3,571 | |||||||||
aObotech Acquisition SE, 4/30/26, wts. |
Luxembourg | 413 | 390 | |||||||||
aObotech Acquisition SE, A |
Luxembourg | 1,240 | 14,114 | |||||||||
aPegasus Acquisition Co. Europe BV |
Netherlands | 1,768 | 20,709 | |||||||||
aPeridot Acquisition Corp. II |
United States | 735 | 7,203 | |||||||||
aPershing Square Tontine Holdings Ltd., A |
United States | 916 | 18,073 | |||||||||
aPioneer Merger Corp., A |
United States | 597 | 5,904 | |||||||||
aPopulation Health Investment Co. Inc., A |
United States | 342 | 3,341 | |||||||||
aPowered Brands, A |
United States | 1,065 | 10,384 | |||||||||
aPWP Forward Acquisition Corp. I |
United States | 1,807 | 17,781 | |||||||||
aSilver Crest Acquisition Corp., 12/15/25, wts. |
United States | 428 | 227 | |||||||||
aSilver Crest Acquisition Corp., A |
United States | 857 | 8,407 | |||||||||
aSupernova Partners Acquisition Co. II Ltd., 12/31/27, wts. |
United States | 594 | 523 | |||||||||
aSupernova Partners Acquisition Co. II Ltd., A |
United States | 2,379 | 23,041 | |||||||||
aSupernova Partners Acquisition Co. III Ltd. |
United States | 2,530 | 24,857 | |||||||||
aSVF Investment Corp. 2, A |
United States | 72 | 702 | |||||||||
aSVF Investment Corp. 3, A |
United States | 72 | 701 | |||||||||
aTCV Acquisition Corp., A |
United States | 500 | 4,865 | |||||||||
aTCW Special Purpose Acquisition Corp., 12/31/99, wts. |
United States | 612 | 458 | |||||||||
aTCW Special Purpose Acquisition Corp., A |
United States | 1,838 | 17,865 | |||||||||
aTekkorp Digital Acquisition Corp., 9/29/27, wts. |
United States | 433 | 407 | |||||||||
aTPG Pace Beneficial II Corp., A |
United States | 83 | 807 | |||||||||
aTwin Ridge Capital Acquisition Corp., 3/7/28, wts. |
United States | 734 | 488 | |||||||||
aTwin Ridge Capital Acquisition Corp., A |
United States | 2,202 | 21,381 | |||||||||
aVPC Impact Acquisition Holdings III Inc., A |
United States | 1,445 | 14,291 | |||||||||
aWaldencast Acquisition Corp. |
United States | 82 | 839 | |||||||||
aZimmer Energy Transition Acquisition Corp. |
United States | 2,110 | 21,290 | |||||||||
|
|
| ||||||||||
833,477 | ||||||||||||
|
|
| ||||||||||
Diversified Telecommunication Services 0.2% |
||||||||||||
aBT Group PLC, A |
United Kingdom | 10,362 | 24,222 | |||||||||
aLiberty Global PLC, C |
United Kingdom | 5,067 | 146,842 | |||||||||
|
|
| ||||||||||
171,064 | ||||||||||||
|
|
|
68
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
Country | Shares/
Warrants |
Value | ||||||||||
Common Stocks and Other Equity Interests (continued) |
| |||||||||||
Equity Real Estate Investment Trusts (REITs) 0.1% |
||||||||||||
VICI Properties Inc. |
United States | 5,183 | $ | 160,207 | ||||||||
|
|
|||||||||||
Hotels, Restaurants & Leisure 0.2% |
||||||||||||
aCarnival PLC |
United States | 9,446 | 204,677 | |||||||||
|
|
|||||||||||
Independent Power & Renewable Electricity Producers 0.5% |
||||||||||||
Clearway Energy Inc., A |
United States | 12,246 | 364,196 | |||||||||
bClearway Energy Inc., C |
United States | 3,524 | 110,618 | |||||||||
|
|
|||||||||||
474,814 | ||||||||||||
|
|
|||||||||||
Multi-Utilities 0.1% |
||||||||||||
NiSource Inc. |
United States | 2,341 | 57,706 | |||||||||
|
|
|||||||||||
Oil, Gas & Consumable Fuels 0.0% |
||||||||||||
a,cBighorn Permian Resources LLC, 12/31/21, wts. |
United States | 1,439 | 11,800 | |||||||||
|
|
|||||||||||
Paper & Forest Products 0.0% |
||||||||||||
a,cTopco Associates LLC |
United Kingdom | 100,439 | | |||||||||
|
|
|||||||||||
Professional Services 0.0% |
||||||||||||
a,c,dAcosta Inc. |
United States | 923 | 7,042 | |||||||||
|
|
|||||||||||
Technology Hardware, Storage & Peripherals 0.3% |
||||||||||||
a,eDell Technologies Inc., C |
United States | 2,845 | 277,274 | |||||||||
|
|
|||||||||||
Textiles, Apparel & Luxury Goods 0.0% |
||||||||||||
a,fSamsonite International SA, 144A |
United States | 10,513 | 22,030 | |||||||||
|
|
|||||||||||
Total Common Stocks and Other Equity Interests |
2,676,717 | |||||||||||
|
|
|||||||||||
Convertible Preferred Stocks 0.4% |
||||||||||||
Media 0.3% |
||||||||||||
Viacomcbs Inc., 5.75%, cvt. pfd., A |
United States | 4,492 | 302,761 | |||||||||
|
|
|||||||||||
Multi-Utilities 0.1% |
||||||||||||
NiSource Inc., 7.75%, cvt. pfd. |
United States | 500 | 51,580 | |||||||||
|
|
|||||||||||
Professional Services 0.0% |
||||||||||||
a,c,dAcosta Inc., cvt. pfd. |
United States | 925 | 46,601 | |||||||||
|
|
|||||||||||
Total Convertible Preferred Stocks (Cost $393,770) |
400,942 | |||||||||||
|
|
|||||||||||
Preferred Stocks 0.5% |
||||||||||||
Diversified Financial Services 0.0% |
||||||||||||
a2MX Organic SA, pfd. |
France | 1,177 | 13,411 | |||||||||
|
|
|||||||||||
Electric Utilities 0.1% |
||||||||||||
SCE Trust IV, 5.375%, pfd., J |
United States | 1,357 | 34,061 | |||||||||
SCE Trust VI, 5.00%, pfd. |
United States | 2,210 | 55,051 | |||||||||
|
|
|||||||||||
89,112 | ||||||||||||
|
|
|||||||||||
Internet & Direct Marketing Retail 0.4% |
||||||||||||
Qurate Retail Inc., 8.00%, pfd. |
United States | 3,445 | 372,060 | |||||||||
|
|
|||||||||||
Thrifts & Mortgage Finance 0.0% |
||||||||||||
FHLMC, 8.375%, pfd., Z |
United States | 1,093 | 1,607 | |||||||||
FNMA, 8.25%, pfd., S |
United States | 1,075 | 1,892 | |||||||||
|
|
|||||||||||
3,499 | ||||||||||||
|
|
|||||||||||
Total Preferred Stocks (Cost $440,304) |
478,082 | |||||||||||
|
|
69
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
Country | Principal Amount* |
Value | ||||||||||||||
Convertible Bonds 0.6% |
||||||||||||||||
Airlines 0.2% |
||||||||||||||||
fAir France-KLM, senior note, Reg S, 0.125%, 3/25/26 |
France | 11,716 | EUR | $ | 222,777 | |||||||||||
|
|
|||||||||||||||
Hotels, Restaurants & Leisure 0.0% |
||||||||||||||||
fDraftkings Inc., senior note, 144A, zero cpn., 3/15/28 |
United States | 9,000 | 8,667 | |||||||||||||
|
|
|||||||||||||||
Internet & Direct Marketing Retail 0.3% |
||||||||||||||||
fJust Eat Takeaway.Com NV, B, senior note, Reg S, 0.625%, 2/09/28 |
United Kingdom | 200,000 | EUR | 221,315 | ||||||||||||
Pinduoduo Inc., senior note, zero cpn., 12/01/25 |
China | 55,000 | 52,897 | |||||||||||||
fThe Realreal Inc., senior note, 144A, 1.00%, 3/01/28 |
United States | 102,000 | 82,834 | |||||||||||||
|
|
|||||||||||||||
357,046 | ||||||||||||||||
|
|
|||||||||||||||
IT Services 0.0% |
||||||||||||||||
fFastly Inc., senior note, 144A, zero cpn., 3/15/26 |
United States | 22,000 | 18,756 | |||||||||||||
|
|
|||||||||||||||
Leisure Products 0.1% |
||||||||||||||||
fPeloton Interactive Inc., senior note, 144A, zero cpn., 2/15/26 |
United States | 56,000 | 50,747 | |||||||||||||
|
|
|||||||||||||||
Total Convertible Bonds (Cost $653,657) |
657,993 | |||||||||||||||
|
|
|||||||||||||||
Corporate Bonds and Notes 26.2% |
||||||||||||||||
Aerospace & Defense 0.4% |
||||||||||||||||
Spirit Aerosystems Inc., |
||||||||||||||||
senior bond, 4.60%, 6/15/28 |
United States | 246,000 | 240,772 | |||||||||||||
fsenior secured note, 144A, 5.50%, 1/15/25 |
United States | 118,000 | 123,610 | |||||||||||||
|
|
|||||||||||||||
364,382 | ||||||||||||||||
|
|
|||||||||||||||
Airlines 0.7% |
||||||||||||||||
fAmerican Airlines Group Inc., senior note, 144A, 3.75%, 3/01/25 |
United States | 499,000 | 447,229 | |||||||||||||
fAmerican Airlines Inc./Aadvantage Loyalty Ip Ltd., senior secured note, 144A, 5.75%, 4/20/29 |
United States | 263,000 | 284,361 | |||||||||||||
|
|
|||||||||||||||
731,590 | ||||||||||||||||
|
|
|||||||||||||||
Auto Manufacturers 0.3% |
||||||||||||||||
Ford Motor Co., senior bond, 4.75%, 1/15/43 |
United States | 250,000 | 270,006 | |||||||||||||
|
|
|||||||||||||||
Automobiles 0.6% |
||||||||||||||||
fAston Martin Capital Holdings Ltd., senior secured note, 144A, 10.50%, 11/30/25 |
United Kingdom | 400,000 | 446,504 | |||||||||||||
Ford Motor Credit Co. LLC, senior note, 3.625%, 6/17/31 |
United States | 166,000 | 171,202 | |||||||||||||
|
|
|||||||||||||||
617,706 | ||||||||||||||||
|
|
|||||||||||||||
Banks 0.2% |
||||||||||||||||
fVTB Bank OJSC Via VTB Capital SA, senior note, loan participation, Reg S, 6.95%, 10/17/22 |
Russia | 200,000 | 210,325 | |||||||||||||
|
|
|||||||||||||||
Capital Markets 0.6% |
||||||||||||||||
feG Global Finance PLC, senior secured note, 144A, 6.25%, 10/30/25 |
United Kingdom | 161,000 | EUR | 195,940 | ||||||||||||
fStonex Group Inc., senior secured note, 144A, 8.625%, 6/15/25 |
United States | 400,000 | 433,300 | |||||||||||||
|
|
|||||||||||||||
629,240 | ||||||||||||||||
|
|
|||||||||||||||
Chemicals 0.5% |
||||||||||||||||
fPolar US Borrower LLC / Schenectady International Group Inc., senior note, 144A, 6.75%, 5/15/26 |
United States | 500,000 | 505,625 | |||||||||||||
|
|
|||||||||||||||
Commercial Services 0.2% |
||||||||||||||||
fPaysafe Finance PLC / Paysafe Holdings US Corp., senior secured note, 144A, 4.00%, 6/15/29 |
United States | 250,000 | 241,125 | |||||||||||||
|
|
|||||||||||||||
Communications Equipment 0.4% |
||||||||||||||||
fAudacy Capital Corp., secured note, 144A, 6.75%, 3/31/29 |
United States | 450,000 | 454,734 | |||||||||||||
|
|
70
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
Country | Principal Amount* |
Value | ||||||||||||||
Corporate Bonds and Notes (continued) |
||||||||||||||||
Construction & Engineering 0.7% |
||||||||||||||||
fArtera Services LLC, senior secured note, 144A, 9.033%, 12/04/25 |
United States | 273,000 | $ | 298,594 | ||||||||||||
fBrand Industrial Services Inc., senior note, 144A, 8.50%, 7/15/25 |
United States | 400,000 | 403,500 | |||||||||||||
|
|
|||||||||||||||
702,094 | ||||||||||||||||
|
|
|||||||||||||||
Containers & Packaging 0.4% |
||||||||||||||||
fMauser Packaging Solutions Holding Co., senior note, 144A, 7.25%, 4/15/25 |
United States | 400,000 | 395,920 | |||||||||||||
|
|
|||||||||||||||
Diversified Consumer Services 0.8% |
||||||||||||||||
fMPH Acquisition Holdings LLC, 144A, |
||||||||||||||||
senior note, 5.75%, 11/01/28 |
United States | 400,000 | 382,532 | |||||||||||||
senior secured note, 5.50%, 9/01/28 |
United States | 185,000 | 188,315 | |||||||||||||
fSothebys/Bidfair Holdings Inc., senior secured note, 144A, 5.875%, 6/01/29 |
United States | 200,000 | 206,590 | |||||||||||||
|
|
|||||||||||||||
777,437 | ||||||||||||||||
|
|
|||||||||||||||
Diversified Financial Services 1.1% |
||||||||||||||||
fAdvisor Group Holdings Inc., senior note, 144A, 10.75%, 8/01/27 |
United States | 360,000 | 399,105 | |||||||||||||
fConstellation Automotive Financing PLC, senior note, 144A, 4.875%, 7/15/27 |
United Kingdom | 200,000 | 274,902 | |||||||||||||
fFinance of America Funding LLC, senior note, 144A, 7.875%, 11/15/25 |
United States | 500,000 | 485,695 | |||||||||||||
|
|
|||||||||||||||
1,159,702 | ||||||||||||||||
|
|
|||||||||||||||
Diversified Telecommunication Services 0.6% |
||||||||||||||||
fConnect Finco Sarl / Connect US Finco LLC, senior secured note, 144A, 6.75%, 10/01/26 |
United Kingdom | 370,000 | 384,337 | |||||||||||||
Frontier Communications Holdings LLC, secured note, 5.875%, 11/01/29 |
United States | 34,658 | 35,293 | |||||||||||||
fsenior secured note, 144A, 5.875%, 10/15/27 |
United States | 125,000 | 133,779 | |||||||||||||
fsenior secured note, 144A, 5.00%, 5/01/28 |
United States | 55,000 | 57,544 | |||||||||||||
fTelesat Canada / Telesat LLC, senior secured note, 144A, 4.875%, 6/01/27 |
Canada | 41,000 | 37,902 | |||||||||||||
|
|
|||||||||||||||
648,855 | ||||||||||||||||
|
|
|||||||||||||||
Electric Utilities 0.7% |
||||||||||||||||
gEdison International, A, junior sub. note, 5.375% to 3/15/26, FRN thereafter, Perpetual |
United States | 65,000 | 66,381 | |||||||||||||
fEskom Holdings SOC Ltd., senior bond, Reg S, 8.45%, 8/10/28 |
South Africa | 200,000 | 228,200 | |||||||||||||
Pacific Gas and Electric Co., secured bond, |
||||||||||||||||
4.50%, 7/01/40 |
United States | 320,653 | 324,002 | |||||||||||||
4.95%, 7/01/50 |
United States | 60,000 | 63,612 | |||||||||||||
|
|
|||||||||||||||
682,195 | ||||||||||||||||
|
|
|||||||||||||||
Entertainment 0.3% |
||||||||||||||||
fNetflix Inc., senior bond, 144A, 4.875%, 6/15/30 |
United States | 299,000 | 358,271 | |||||||||||||
|
|
|||||||||||||||
Equity Real Estate Investment Trusts (REITs) 0.7% |
||||||||||||||||
EPR Properties, senior bond, 3.75%, 8/15/29 |
United States | 250,000 | 251,332 | |||||||||||||
fSBA Communications Corp., senior note, 144A, 3.125%, 2/01/29 |
United States | 500,000 | 491,885 | |||||||||||||
|
|
|||||||||||||||
743,217 | ||||||||||||||||
|
|
|||||||||||||||
Food & Staples Retailing 0.2% |
||||||||||||||||
f,gCasino Guichard Perrachon SA, E, junior sub. note, 3.992% to 1/31/24, FRN thereafter, Reg S, Perpetual |
France | 200,000 | EUR | 172,507 | ||||||||||||
|
|
|||||||||||||||
Health Care Providers & Services 1.6% |
||||||||||||||||
Encompass Health Corp., senior bond, 4.625%, 4/01/31 |
United States | 334,000 | 358,573 | |||||||||||||
fEnvision Healthcare Corp., senior note, 144A, 8.75%, 10/15/26 |
United States | 500,000 | 423,125 | |||||||||||||
fLifePoint Health Inc., senior note, 144A, 5.375%, 1/15/29 |
United States | 187,000 | 183,946 |
71
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
Country | Principal Amount* |
Value | ||||||||||||||
Corporate Bonds and Notes (continued) |
||||||||||||||||
Health Care Providers & Services (continued) |
||||||||||||||||
fTeam Health Holdings Inc., senior note, 144A, 6.375%, 2/01/25 |
United States | 500,000 | $ | 478,125 | ||||||||||||
fUS Acute Care Solutions LLC, senior secured note, 144A, 6.375%, 3/01/26 |
United States | 229,000 | 238,446 | |||||||||||||
|
|
|||||||||||||||
1,682,215 | ||||||||||||||||
|
|
|||||||||||||||
Household Durables 0.6% |
||||||||||||||||
fK. Hovnanian Enterprises Inc., senior secured note, 144A, 7.75%, 2/15/26 |
United States | 626,000 | 666,825 | |||||||||||||
|
|
|||||||||||||||
Insurance 0.5% |
||||||||||||||||
f,hSitka Holdings LLC, senior secured note, 144A, FRN, 5.25%, (3-Month USD LIBOR + 4.50%), 7/06/26 |
United States | 500,000 | 504,603 | |||||||||||||
|
|
|||||||||||||||
Internet & Direct Marketing Retail 0.5% |
||||||||||||||||
fArches Buyer Inc., senior note, 144A, 6.125%, 12/01/28 |
United States | 502,000 | 518,757 | |||||||||||||
|
|
|||||||||||||||
IT Services 0.3% |
||||||||||||||||
fAustin Bidco Inc., senior note, 144A, 7.125%, 12/15/28 |
United States | 286,000 | 290,290 | |||||||||||||
|
|
|||||||||||||||
Leisure Products 0.4% |
||||||||||||||||
fMajordrive Holdings IV LLC, senior note, 144A, 6.375%, 6/01/29 |
United States | 400,000 | 389,436 | |||||||||||||
|
|
|||||||||||||||
Marine 0.1% |
||||||||||||||||
fStena International SA, senior secured bond, 144A, 5.75%, 3/01/24 |
Sweden | 100,000 | 104,073 | |||||||||||||
|
|
|||||||||||||||
Media 2.0% |
||||||||||||||||
fCCO Holdings LLC / CCO Holdings Capital Corp., senior bond, 144A, 4.25%, 2/01/31 |
United States | 500,000 | 513,767 | |||||||||||||
fClear Channel Outdoor Holdings Inc., senior note, 144A, 7.75%, 4/15/28 |
United States | 364,000 | 379,925 | |||||||||||||
fDiamond Sports Group LLC / Diamond Sports Finance Co., 144A, |
||||||||||||||||
senior note, 6.625%, 8/15/27 |
United States | 68,000 | 29,325 | |||||||||||||
senior secured note, 5.375%, 8/15/26 |
United States | 595,000 | 396,002 | |||||||||||||
Liberty Interactive LLC, senior bond, 8.25%, 2/01/30 |
United States | 360,000 | 405,506 | |||||||||||||
fUrban One Inc., senior secured note, 144A, 7.375%, 2/01/28 |
United States | 306,000 | 330,355 | |||||||||||||
|
|
|||||||||||||||
2,054,880 | ||||||||||||||||
|
|
|||||||||||||||
Metals & Mining 0.6% |
||||||||||||||||
fCSN Inova Ventures, senior note, 144A, 6.75%, 1/28/28 |
Brazil | 200,000 | 220,330 | |||||||||||||
fTaseko Mines Ltd., senior secured note, 144A, 7.00%, 2/15/26 |
Canada | 387,000 | 398,536 | |||||||||||||
|
|
|||||||||||||||
618,866 | ||||||||||||||||
|
|
|||||||||||||||
Mortgage Real Estate Investment Trusts (REITs) 1.0% |
||||||||||||||||
fBrookfield Property REIT Inc. / BPR Cumulus LLC / BPR Nimbus LLC / GGSI Sellco LLC, senior secured note, 144A, 5.75%, 5/15/26 |
United States | 500,000 | 517,500 | |||||||||||||
f New Residential Investment Corp., senior note, 144A, 6.25%, 10/15/25 |
United States | 520,000 | 521,973 | |||||||||||||
|
|
|||||||||||||||
1,039,473 | ||||||||||||||||
|
|
|||||||||||||||
Multiline Retail 0.2% |
||||||||||||||||
Kohls Corp., senior bond, 5.55%, 7/17/45 |
United States | 123,000 | 152,926 | |||||||||||||
|
|
|||||||||||||||
Oil, Gas & Consumable Fuels 5.3% |
||||||||||||||||
fContinental Resources Inc., senior bond, 144A, 5.75%, 1/15/31 |
United States | 500,000 | 610,000 | |||||||||||||
fDT Midstream Inc., 144A, |
||||||||||||||||
senior bond, 4.375%, 6/15/31 |
United States | 336,000 | 347,340 | |||||||||||||
senior note, 4.125%, 6/15/29 |
United States | 151,000 | 154,964 | |||||||||||||
gEnergy Transfer LP, H, junior sub. note, 6.50%, Perpetual |
United States | 149,000 | 153,139 | |||||||||||||
fHurricane Finance PLC, senior note, 144A, 8.00%, 10/15/25 |
United Kingdom | 134,000 | 199,411 | |||||||||||||
fLaredo Petroleum Inc., senior note, 144A, 7.75%, 7/31/29 |
United States | 500,000 | 484,910 |
72
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
Country | Principal Amount* |
Value | ||||||||||||||
Corporate Bonds and Notes (continued) |
||||||||||||||||
Oil, Gas & Consumable Fuels (continued) |
||||||||||||||||
fMC Brazil Downstream Trading Sarl, senior secured note, 144A, 7.25%, 6/30/31 |
Brazil | 271,000 | $ | 282,466 | ||||||||||||
fMoss Creek Resources Holdings Inc., senior note, 144A, |
||||||||||||||||
7.50%, 1/15/26 |
United States | 422,000 | 361,072 | |||||||||||||
10.50%, 5/15/27 |
United States | 515,000 | 468,658 | |||||||||||||
fNorthern Oil And Gas Inc., senior note, 144A, 8.125%, 3/01/28 |
United States | 400,000 | 416,022 | |||||||||||||
Occidental Petroleum Corp., senior note, 5.50%, 12/01/25 |
United States | 500,000 | 558,145 | |||||||||||||
Petroleos Mexicanos, |
||||||||||||||||
senior bond, 5.95%, 1/28/31 |
Mexico | 87,000 | 85,425 | |||||||||||||
senior bond, 6.375%, 1/23/45 |
Mexico | 152,000 | 130,402 | |||||||||||||
senior bond, 6.75%, 9/21/47 |
Mexico | 165,000 | 145,225 | |||||||||||||
senior bond, 6.35%, 2/12/48 |
Mexico | 283,000 | 240,491 | |||||||||||||
senior bond, 6.95%, 1/28/60 |
Mexico | 101,000 | 89,265 | |||||||||||||
senior note, 3.50%, 1/30/23 |
Mexico | 135,000 | 137,396 | |||||||||||||
fsenior note, 144A, 6.875%, 10/16/25 |
Mexico | 47,000 | 51,432 | |||||||||||||
senior note, 4.50%, 1/23/26 |
Mexico | 53,000 | 53,649 | |||||||||||||
fTullow Oil PLC, senior secured note, 144A, 10.25%, 5/15/26 |
Ghana | 200,000 | 207,250 | |||||||||||||
fVine Energy Holdings LLC, senior note, 144A, 6.75%, 4/15/29 |
United States | 322,000 | 348,162 | |||||||||||||
|
|
|||||||||||||||
5,524,824 | ||||||||||||||||
|
|
|||||||||||||||
Pharmaceuticals 0.2% |
||||||||||||||||
fPar Pharmaceutical Inc., senior secured note, 144A, 7.50%, 4/01/27 |
United States | 209,000 | 211,874 | |||||||||||||
|
|
|||||||||||||||
Real Estate Management & Development 0.7% |
||||||||||||||||
fHunt Cos. Inc., senior secured note, 144A, 5.25%, 4/15/29 |
United States | 410,000 | 402,390 | |||||||||||||
fRealogy Group LLC / Realogy Co.-Issuer Corp., senior note, 144A, 5.75%, 1/15/29 |
United States | 312,000 | 326,914 | |||||||||||||
|
|
|||||||||||||||
729,304 | ||||||||||||||||
|
|
|||||||||||||||
Specialty Retail 2.6% |
||||||||||||||||
fCarvana Co., senior note, 144A, |
||||||||||||||||
5.50%, 4/15/27 |
United States | 40,000 | 41,335 | |||||||||||||
5.875%, 10/01/28 |
United States | 40,000 | 41,800 | |||||||||||||
4.875%, 9/01/29 |
United States | 188,000 | 186,347 | |||||||||||||
fDouglas GMBH, senior secured note, 144A, 6.00%, 4/08/26 |
Germany | 531,000 | EUR | 635,025 | ||||||||||||
fGuitar Center Inc., senior secured note, 144A, 8.50%, 1/15/26 |
United States | 222,000 | 236,707 | |||||||||||||
f,iKirk Beauty Sun GMBH, senior note, 144A, PIK, 8.25%, 10/01/26 |
Germany | 141,000 | EUR | 165,246 | ||||||||||||
Macys Retail Holdings LLC, senior bond, 5.125%, 1/15/42 |
United States | 500,000 | 476,250 | |||||||||||||
fThe Michaels Cos. Inc., senior note, 144A, 7.875%, 5/01/29 |
United States | 273,000 | 281,654 | |||||||||||||
fStaples Inc., senior note, 144A, 10.75%, 4/15/27 |
United States | 400,000 | 390,500 | |||||||||||||
fVictorias Secret & Co., senior note, 144A, 4.625%, 7/15/29 |
United States | 271,000 | 271,847 | |||||||||||||
|
|
|||||||||||||||
2,726,711 | ||||||||||||||||
|
|
|||||||||||||||
Thrifts & Mortgage Finance 0.2% |
||||||||||||||||
fHome Point Capital Inc., senior note, 144A, 5.00%, 2/01/26 |
United States | 273,000 | 236,486 | |||||||||||||
|
|
|||||||||||||||
Total Corporate Bonds and Notes (Cost $26,549,790) |
27,116,474 | |||||||||||||||
|
|
|||||||||||||||
Corporate Bonds and Notes in Reorganization (Cost $66,825) 0.1% |
||||||||||||||||
Diversified Telecommunication Services 0.1% |
||||||||||||||||
f,jIntelsat Jackson Holdings SA, senior secured note, first lien, 144A, 9.50%, 9/30/22 |
Luxembourg | 64,000 | 76,240 | |||||||||||||
|
|
73
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
Country | Principal Amount* |
Value | ||||||||||||||
hSenior Floating Rate Interests 1.9% |
||||||||||||||||
Communications Equipment 0.2% |
||||||||||||||||
Riverbed Technology Inc., Term Loan B, 7.50%, (3-Month USD LIBOR + 6.50%), 12/31/26 |
United States | 237,755 | $ | 183,467 | ||||||||||||
|
|
|||||||||||||||
Diversified Financial Services 0.2% |
||||||||||||||||
MPH Acquisition Holdings LLC, Term Loan B, 4.75%, (3-Month USD LIBOR + 4.25%), 8/17/28 |
United States | 244,457 | 242,899 | |||||||||||||
|
|
|||||||||||||||
Diversified Telecommunication Services 1.4% |
||||||||||||||||
Frontier Communications Corp., Term Loan DIP, 4.50%, (1-Month USD LIBOR + 3.75%), 10/08/21 |
United States | 83,912 | 84,017 | |||||||||||||
Intelsat Jackson Holdings SA, |
||||||||||||||||
Term Loan B3, 8.00%, (6-Month USD LIBOR + 3.75%), 11/27/23 |
United States | 281,120 | 286,480 | |||||||||||||
kTerm Loan B4 8.75%, (1-Month USD LIBOR + 4.50%), 1/02/24 |
United States | 16,979 | 17,340 | |||||||||||||
Term Loan B5, 8.625%, (6-Month USD LIBOR + 6.63%), 1/02/24 |
United States | 329,824 | 336,678 | |||||||||||||
kTerm Loan DIP 6.50%, (1-Month USD LIBOR + 5.50%), 7/13/22 |
United States | 682,430 | 688,613 | |||||||||||||
|
|
|||||||||||||||
1,413,128 | ||||||||||||||||
|
|
|||||||||||||||
Equity Real Estate Investment Trusts (REITs) 0.1% |
||||||||||||||||
The GEO Group Inc., Term Loan B, 2.75%, (3-Month USD LIBOR + 2.00%), 3/22/24 |
United States | 100,234 | 93,881 | |||||||||||||
McCarthy & Stone PLC, Term Loan B, 7.00%, 12/16/25 |
United Kingdom | 50,969 | GBP | 69,812 | ||||||||||||
|
|
|||||||||||||||
163,693 | ||||||||||||||||
|
|
|||||||||||||||
Total Senior Floating Rate Interests (Cost $1,913,523) |
2,003,187 | |||||||||||||||
|
|
|||||||||||||||
Credit-Linked Notes 0.9% |
||||||||||||||||
fCitigroup Global Markets Holdings Inc., (Egypt), E, senior note, 144A, zero cpn., 9/30/21 |
Egypt | 2,639,307 | EGP | 166,515 | ||||||||||||
fCitigroup Global Markets Holdings Inc., (Egypt), E, senior note, 144A, zero cpn., 12/16/21 |
Egypt | 2,808,164 | EGP | 172,668 | ||||||||||||
fHSBC Bank PLC, (Egypt), senior note, 144A, zero cpn., 12/23/21 |
Egypt | 1,450,000 | EGP | 88,912 | ||||||||||||
fHSBC Bank PLC, (Egypt), senior note, 144A, zero cpn., 2/10/22 |
Egypt | 8,925,000 | EGP | 538,456 | ||||||||||||
|
|
|||||||||||||||
Total Credit-Linked Notes (Cost $965,759) |
966,551 | |||||||||||||||
|
|
|||||||||||||||
Foreign Government and Agency Securities 6.6% |
||||||||||||||||
fBanque Centrale de Tunisie International Bond, senior
bond, Reg |
Tunisia | 200,000 | 176,854 | |||||||||||||
fGovernment of Angola, senior bond, Reg S, |
||||||||||||||||
8.00%, 11/26/29 |
Angola | 201,000 | 212,318 | |||||||||||||
9.375%, 5/08/48 |
Angola | 200,000 | 213,292 | |||||||||||||
fGovernment of Bahamas, senior bond, 144A, 8.95%, 10/15/32 |
Bahamas | 200,000 | 218,500 | |||||||||||||
fGovernment of Bahrain, senior bond, Reg S, 7.00%, 1/26/26 |
Bahrain | 200,000 | 224,234 | |||||||||||||
fGovernment of Egypt, senior bond, Reg S, |
||||||||||||||||
7.50%, 1/31/27 |
Egypt | 400,000 | 446,733 | |||||||||||||
7.60%, 3/01/29 |
Egypt | 200,000 | 220,030 | |||||||||||||
8.70%, 3/01/49 |
Egypt | 200,000 | 211,993 | |||||||||||||
fGovernment of Germany, senior bond, Reg S, 0.50%, 2/15/25 |
Germany | 94,000 | EUR | 115,891 | ||||||||||||
Government of Italy, senior note, 2.375%, 10/17/24 |
Italy | 373,000 | 388,393 | |||||||||||||
fGovernment of Jordan, senior note, 144A, 4.95%, 7/07/25 |
Jordan | 200,000 | 210,475 | |||||||||||||
fGovernment of Nigeria, senior note, Reg S, 7.625%, 11/21/25 |
Nigeria | 400,000 | 448,450 | |||||||||||||
fGovernment of Oman, senior bond, |
||||||||||||||||
144A, 6.25%, 1/25/31 |
Oman | 216,000 | 236,107 | |||||||||||||
Reg S, 6.75%, 1/17/48 |
Oman | 200,000 | 204,985 |
74
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
Country | Principal Amount* |
Value | ||||||||||||||
Foreign Government and Agency Securities (continued) |
||||||||||||||||
fGovernment of Paraguay, senior bond, Reg S, 4.625%, 1/25/23 |
Paraguay | 421,000 | $ | 441,212 | ||||||||||||
Government of Russia, |
||||||||||||||||
senior bond, 6233, 6.10%, 7/18/35 |
Russia | 32,106,000 | RUB | 400,388 | ||||||||||||
senior note, 6227, 7.40%, 7/17/24 |
Russia | 13,568,000 | RUB | 188,565 | ||||||||||||
senior note, 6229, 7.15%, 11/12/25 |
Russia | 28,550,000 | RUB | 395,249 | ||||||||||||
fGovernment of Saudi Arabia, senior bond, 144A, 2.75%, 2/03/32 |
Saudi Arabia | 221,000 | 230,003 | |||||||||||||
Government of South Africa, senior bond, |
||||||||||||||||
2030, 8.00%, 1/31/30 |
South Africa | 2,600,259 | ZAR | 171,110 | ||||||||||||
2032, 8.25%, 3/31/32 |
South Africa | 2,581,000 | ZAR | 164,138 | ||||||||||||
2035, 8.875%, 2/28/35 |
South Africa | 4,241,344 | ZAR | 268,648 | ||||||||||||
Government of Turkey, senior note, 6.375%, 10/14/25 |
Turkey | 200,000 | 211,823 | |||||||||||||
fGovernment of Ukraine, Reg S, |
||||||||||||||||
senior bond, 7.375%, 9/25/32 |
Ukraine | 200,000 | 214,306 | |||||||||||||
senior bond, 1.258%, 5/31/40 |
Ukraine | 171,000 | 195,453 | |||||||||||||
senior note, 6.876%, 5/21/29 |
Ukraine | 400,000 | 423,596 | |||||||||||||
|
|
|||||||||||||||
Total Foreign Government and Agency Securities (Cost $6,617,029) |
6,832,746 | |||||||||||||||
|
|
|||||||||||||||
U.S. Government and Agency Securities 0.5% |
||||||||||||||||
U.S. Treasury Bond, |
||||||||||||||||
1.875%, 2/15/41 |
United States | 1,000 | 1,008 | |||||||||||||
1.625%, 11/15/50 |
United States | 77,000 | 71,667 | |||||||||||||
1.875%, 2/15/51 |
United States | 104,000 | 102,692 | |||||||||||||
U.S. Treasury Note, 1.625%, 5/15/31 |
United States | 309,000 | 318,656 | |||||||||||||
|
|
|||||||||||||||
Total U.S. Government and Agency Securities (Cost $479,410) |
494,023 | |||||||||||||||
|
|
|||||||||||||||
Asset-Backed Securities and Commercial Mortgage-Backed Securities 36.5% |
||||||||||||||||
Diversified Financial Services 20.5% |
||||||||||||||||
f,mAMSR Trust, 2021-SFR1, G, 144A, FRN, 4.612%, 6/17/38 |
United States | 500,000 | 516,555 | |||||||||||||
f,lBlue Ridge CLO Ltd. II, 2014-2A, C, 144A, FRN, 3.934%, (3- Month USD LIBOR + 3.80%), 7/18/26 |
United States | 700,000 | 699,342 | |||||||||||||
CitiMortgage Alternative Loan Trust, 2007-A1, 2A1, 5.50%, 1/25/22 |
United States | 17,923 | 16,860 | |||||||||||||
f,lCutwater 2014-II Ltd., 2017-2A, CR, 144A, FRN, 3.876%, (3- Month USD LIBOR + 3.75%), 1/15/27 |
United States | 1,000,000 | 1,001,640 | |||||||||||||
fFRTKL, 2021-SFR1, G, 144A, 4.105%, 9/17/38 |
United States | 990,000 | 991,416 | |||||||||||||
f,lGPMT Ltd., 2019-FL2, D, 144A, FRN, 3.038%, (1-Month USD LIBOR + 2.95%), 2/22/36 |
United States | 800,000 | 797,899 | |||||||||||||
f,lGSMSC Pass-Through Trust, 2009-4R, 2A3, 144A, FRN, 0.539%, (1-Month USD LIBOR + 0.45%), 12/26/36 |
United States | 714,259 | 471,305 | |||||||||||||
f,lHull Street CLO Ltd., 2014-1A, D, 144A, FRN, 3.734%, (3-Month USD LIBOR + 3.60%), 10/18/26 |
United States | 1,130,000 | 1,051,710 | |||||||||||||
f,lKREF Ltd., 2021-FL2, C, 144A, FRN, 2.093%, (1-Month USD LIBOR + 2.00%), 2/15/39 |
United States | 500,000 | 501,750 | |||||||||||||
lLong Beach Mortgage Loan Trust, 2005-1, M6, FRN, 1.659%, (1- Month USD LIBOR + 1.58%), 2/25/35 |
United States | 1,069,289 | 1,113,288 | |||||||||||||
f,lMountain View CLO 2014-1 Ltd., 2018-1A, DRR, 144A, FRN, 3.776%, (3-Month USD LIBOR + 3.65%), 10/15/26 |
United States | 1,290,000 | 1,293,909 |
75
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
Country | Principal Amount* |
Value | ||||||||||
Asset-Backed Securities and Commercial Mortgage-Backed Securities (continued) |
||||||||||||
Diversified Financial Services (continued) |
||||||||||||
f,lOCP CLO Ltd., 144A, FRN, |
||||||||||||
2017-13A, C, 3.836%, (3-Month USD LIBOR + 3.71%), 7/15/30 |
United States | 1,750,000 | $ | 1,751,299 | ||||||||
2021-8RA, C, 3.884%, (3-Month USD LIBOR + 3.75%), 1/17/32 |
United States | 1,000,000 | 1,006,250 | |||||||||
f,lOHA Credit Funding 4 Ltd., 144A, FRN, |
||||||||||||
2019-4A, C, 2.788%, (3-Month USD LIBOR + 2.65%), 10/22/32 |
United States | 1,000,000 | 1,002,238 | |||||||||
2019-4A, D, 3.888%, (3-Month USD LIBOR + 3.75%), 10/22/32 |
United States | 1,500,000 | 1,504,778 | |||||||||
f,lSeven Sticks CLO Ltd., 2018-1A, DR, 144A, FRN, 6.326%, (3- Month USD LIBOR + 6.20%), 7/15/28 |
United States | 980,000 | 979,943 | |||||||||
fS-Jets Ltd., 2017-1, A, 144A, 3.967%, 8/15/42 |
Bermuda | 731,373 | 726,036 | |||||||||
f,lStaniford Street CLO Ltd., 2014-1A, D, 144A, FRN, 3.619%, (3- Month USD LIBOR + 3.50%), 6/15/25 |
United States | 1,160,000 | 1,163,099 | |||||||||
mSTARM Mortgage Loan Trust, 2007-2, 4A1, FRN, 2.473%, 4/25/37 |
United States | 63,713 | 45,849 | |||||||||
lSuntrust Alternative Loan Trust, 2005-1F, 1A1, FRN, 0.734%, (1- Month USD LIBOR + 0.65%), 12/25/35 |
United States | 133,582 | 113,570 | |||||||||
lTerwin Mortgage Trust, 2003-6HE, M2, FRN, 2.709%, (1-Month USD LIBOR + 2.63%), 11/25/33 |
United States | 126,753 | 129,725 | |||||||||
fThunderbolt II Aircraft Lease Ltd., 2018-A, A, 144A, 4.147%, 9/15/38 |
United States | 2,644,749 | 2,641,461 | |||||||||
f,lVMC Finance LLC, 2019-FL3, C, 144A, FRN, 2.143%, (1-Month USD LIBOR + 2.05%), 9/15/36 |
United States | 1,145,249 | 1,138,231 | |||||||||
Wells Fargo Alternative Loan Trust, 2007-PA3, 2A2, 6.00%, 7/25/37 |
United States | 114,272 | 114,662 | |||||||||
f,lZAIS CLO 1 Ltd., 2018-1A, CR, 144A, FRN, 3.536%, (3-Month USD LIBOR + 3.41%), 4/15/28 |
United States | 390,000 | 392,003 | |||||||||
|
|
|||||||||||
21,164,818 | ||||||||||||
|
|
|||||||||||
Mortgage Real Estate Investment Trusts (REITs) 16.0% |
||||||||||||
Alternative Loan Trust, 2005-J10, 2A4, 6.00%, 10/25/35 |
United States | 413,580 | 287,239 | |||||||||
mAmerican Home Mortgage Assets Trust, 2005-1, 1A1, FRN, 2.717%, 11/25/35 |
United States | 115,726 | 100,429 | |||||||||
mBanc of America Mortgage Trust, FRN, |
||||||||||||
2005-K, 2A1, 2.679%, 12/25/35 |
United States | 158,880 | 154,919 | |||||||||
2005-L, 1A1, 3.068%, 1/25/36 |
United States | 91,733 | 90,296 | |||||||||
2005-L, 3A1, 3.035%, 1/25/36 |
United States | 155,166 | 151,637 | |||||||||
f,mBCAP LLC Trust, 2010-RR1, 1A4, 144A, FRN, 3.202%, 3/26/37 |
United States | 212,369 | 185,391 | |||||||||
mBear Stearns ARM Trust, FRN, |
||||||||||||
2002-11, 1A2, 2.831%, 2/25/33 |
United States | 2,862 | 2,678 | |||||||||
2006-2, 4A1, 3.178%, 7/25/36 |
United States | 35,200 | 33,062 | |||||||||
f,lBXMT Ltd., 2021-FL4, C, 144A, FRN, 1.846%, (1-Month USD LIBOR + 1.75%), 5/15/38 |
United States | 500,000 | 501,250 | |||||||||
Citigroup Commercial Mortgage Trust, |
||||||||||||
2015-GC33, D, 3.172%, 9/10/58 |
United States | 2,000,000 | 1,829,281 | |||||||||
f,m2016-P4, D, 144A, FRN, 4.101%, 7/10/49 |
United States | 2,000,000 | 1,784,602 | |||||||||
mCitigroup Mortgage Loan Trust, 2007-AR5, 2A1A, FRN, 3.379%, 4/25/37 |
United States | 90,324 | 89,685 | |||||||||
Countrywide Alternative Loan Trust, |
||||||||||||
2005-73CB, 1A2, 6.25%, 1/25/36 |
United States | 137,850 | 141,271 | |||||||||
l2005-IM1, A1, FRN, 0.684%, (1-Month USD LIBOR + 0.60%), 1/25/36 |
United States | 126,828 | 122,735 |
76
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
Country | Principal Amount* |
Value | ||||||||||
Asset-Backed Securities and Commercial Mortgage-Backed Securities (continued) |
||||||||||||
Mortgage Real Estate Investment Trusts (REITs) (continued) |
||||||||||||
Countrywide Alternative Loan Trust, (continued) |
||||||||||||
2006-4CB, 2A3, 5.50%, 4/25/36 |
United States | 59,555 | $ | 57,637 | ||||||||
mCredit Suisse First Boston Mortgage Securities Corp., 2004-AR3, CB2, FRN, 2.382%, 4/25/34 |
United States | 115,780 | 105,633 | |||||||||
f,mCSMC, 2021-980M, E, 144A, FRN, 3.653%, 7/15/26 |
United States | 2,000,000 | 1,924,629 | |||||||||
CSMC Mortgage-Backed Trust, 2006-4, 9A1, 6.50%, 5/25/36 |
United States | 754,186 | 392,092 | |||||||||
GSR Mortgage Loan Trust, 2004-6F, 2A4, 5.50%, 5/25/34 |
United States | 96,741 | 101,021 | |||||||||
Impac CMB Trust, |
||||||||||||
2004-4, 2A2, 5.178%, 9/25/34 |
United States | 139,931 | 147,730 | |||||||||
l2004-8, 3B, FRN, 2.709%, (1-Month USD LIBOR + 2.63%), 8/25/34 |
United States | 98,688 | 101,222 | |||||||||
l2005-2, 2B, FRN, 2.559%, (1-Month USD LIBOR + 2.48%), 4/25/35 |
United States | 84,701 | 83,421 | |||||||||
l2005-4, 2B1, FRN, 2.559%, (1-Month USD LIBOR + 1.65%), 5/25/35 |
United States | 127,211 | 129,499 | |||||||||
l2005-4, 2M1, FRN, 0.834%, (1-Month USD LIBOR + 0.50%), 5/25/35 |
United States | 148,413 | 144,565 | |||||||||
l2005-8, 2B, FRN, 2.334%, (1-Month USD LIBOR + 2.25%), 2/25/36 |
United States | 81,591 | 82,253 | |||||||||
lIndyMac INDX Mortgage Loan Trust, FRN, |
||||||||||||
2006-AR12, A1, 0.274%, (1-Month USD LIBOR + 0.19%), 9/25/46 |
United States | 172,034 | 161,747 | |||||||||
2006-AR29, A2, 0.244%, (1-Month USD LIBOR + 0.08%), 11/25/36 |
United States | 303,680 | 304,221 | |||||||||
mJPMorgan Mortgage Trust, FRN, |
||||||||||||
2006-A5, 6A1, 3.331%, 8/25/36 |
United States | 208,832 | 187,103 | |||||||||
2006-A7, 2A3, 3.15%, 1/25/37 |
United States | 88,421 | 84,144 | |||||||||
2007-A2, 2A1, 3.026%, 4/25/37 |
United States | 128,936 | 115,762 | |||||||||
Lehman Mortgage Trust, 2005-3, 2A3, 5.50%, 1/25/36 |
United States | 57,785 | 60,473 | |||||||||
MASTR Adjustable Rate Mortgages Trust, FRN, |
||||||||||||
m2004-10, B1, 2.705%, 10/25/34 |
United States | 519,146 | 485,864 | |||||||||
l2006-OA1, 1A1, 0.294%, (1-Month USD LIBOR + 0.21%), 4/25/46 |
United States | 223,623 | 207,413 | |||||||||
mMASTR Alternative Loan Trust, 2007-HF1, 3A1, FRN, 2.307%, 10/25/47 |
United States | 490,068 | 362,371 | |||||||||
mMASTR Seasoned Securitization Trust, 2004-1, 4A1, FRN, 2.47%, 10/25/32 |
United States | 68,410 | 71,382 | |||||||||
mRFMSI Trust, 2007-SA2, 3A, FRN, 4.965%, 4/25/37 |
United States | 839,161 | 283,899 | |||||||||
lSecuritized Asset Backed Receivables LLC Trust, 2004-OP2, A2, FRN, 0.784%, (1-Month USD LIBOR + 0.70%), 8/25/34 |
United States | 199,024 | 192,798 | |||||||||
f,lStacr Trust, 2018-HRP1, B2, 144A, FRN, 11.834%, (1-Month USD LIBOR + 11.75%), 5/25/43 |
United States | 2,895,394 | 3,341,457 | |||||||||
mStructured ARM Loan Trust, 2004-4, B1, FRN, 2.698%, 4/25/34 |
United States | 410,641 | 360,546 | |||||||||
mWachovia Mortgage Loan Trust LLC, 2005-B, 1A1, FRN, 2.341%, 10/20/35 |
United States | 197,924 | 191,525 | |||||||||
lWashington Mutual Mortgage Pass-Through Certificates, 2006-4, 3A2B, FRN, 0.244%, (1-Month USD LIBOR + 0.08%), 5/25/36 |
United States | 227,343 | 181,993 | |||||||||
mWashington Mutual MSC Mortgage Pass-Through Certificates Series Trust, 2003-AR3, B1, FRN, 3.045%, 6/25/33 |
United States | 227,648 | 224,538 |
77
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
Country | Principal Amount* |
Value | ||||||||||
Asset-Backed Securities and Commercial Mortgage-Backed Securities (continued) |
||||||||||||
Mortgage Real Estate Investment Trusts (REITs) (continued) |
||||||||||||
fZH Trust, 2021-1, B, 144A, 3.262%, 2/18/27 |
United States | 1,000,000 | $ | 1,003,027 | ||||||||
|
|
|||||||||||
16,564,440 | ||||||||||||
|
|
|||||||||||
Total Asset-Backed Securities and Commercial Mortgage- Backed Securities (Cost $37,308,856) |
37,729,258 | |||||||||||
|
|
|||||||||||
Municipal Bonds in Reorganization 1.6% |
||||||||||||
Puerto Rico 1.6% |
||||||||||||
jCommonwealth of Puerto Rico, |
||||||||||||
8.00%, 7/01/35 |
United States | 1,570,000 | 1,336,462 | |||||||||
5.50%, 7/01/39 |
United States | 155,000 | 139,500 | |||||||||
5.00%, 7/01/41 |
United States | 225,000 | 193,219 | |||||||||
|
|
|||||||||||
Total Municipal Bonds in Reorganization (Cost $1,058,050) |
1,669,181 | |||||||||||
|
|
|||||||||||
Number of Contracts |
Notional Amount# |
|||||||||||
Options Purchased 0.0% |
||||||||||||
Calls - Exchange-Traded 0.0% |
||||||||||||
Casino Guichard Perrachon SA, December Strike Price 30.00 EUR, Expires 12/17/21 |
12 | 1,200 | 297 | |||||||||
Fox Corp., October Strike Price $39.00, Expires 10/15/21 |
11 | 1,100 | 825 | |||||||||
SPDR Gold Shares ETF, June Strike Price $200.00, Expires 6/17/22 |
43 | 4,300 | 10,320 | |||||||||
|
|
|||||||||||
11,442 | ||||||||||||
|
|
|||||||||||
Puts - Exchange-Traded 0.0% |
||||||||||||
Air France-KLM, December Strike Price 4.20 EUR, Expires 12/17/21 |
64 | 6,400 | 4,081 | |||||||||
American Airlines Group Inc., November Strike Price $18.00, Expires 11/19/21 |
42 | 4,200 | 4,200 | |||||||||
Hewlett Packard Enterprise Co., November Strike Price $14.00, Expires 11/19/21 |
31 | 3,100 | 1,240 | |||||||||
HP Inc., November Strike Price $30.00, Expires 11/19/21 |
14 | 1,400 | 2,296 | |||||||||
iShares Russell 2000 ETF, September Strike Price $210.00, Expires 9/17/21 |
64 | 6,400 | 4,224 | |||||||||
|
|
|||||||||||
16,041 | ||||||||||||
|
|
|||||||||||
Puts - Over-the-Counter 0.0% |
||||||||||||
Air France-KLM, Counterparty BOFA, September Strike Price 4.00 EUR, Expires 9/17/21 |
22 | 2,200 | 416 | |||||||||
|
|
|||||||||||
Total Options Purchased (Cost $72,585) |
27,899 | |||||||||||
|
|
|||||||||||
Total Investments before Short Term Investments |
81,129,293 | |||||||||||
|
|
78
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
Country | Shares | Value | ||||||||||
Short Term Investments 23.6% |
||||||||||||
Money Market Funds (Cost $20,294,436) 19.6% |
||||||||||||
nFidelity Investments Money Market Government Portfolio, Institutional, 0.01% |
United States | 20,294,436 | $ | 20,294,436 | ||||||||
Principal Amount* |
||||||||||||
Repurchase Agreements (Cost $4,102,161) 4.0% |
||||||||||||
oJoint Repurchase Agreement, 0.033%, 9/01/21 (Maturity Value $4,102,164) |
United States | 4,102,161 | 4,102,161 | |||||||||
|
|
|||||||||||
BNP Paribas Securities Corp. (Maturity Value $3,021,531) Deutsche Bank Securities Inc. (Maturity Value $476,343) HSBC Securities (USA) Inc. (Maturity Value $604,290) |
||||||||||||
Total Investments (Cost $103,104,864) 102.0% |
105,525,890 | |||||||||||
Options Written (0.0)% |
(6,755) | |||||||||||
Securities Sold Short (4.7)% |
(4,866,517) | |||||||||||
Other Assets, less Liabilities 2.7% |
2,840,205 | |||||||||||
|
|
|||||||||||
Net Assets 100.0% |
$ | 103,492,823 | ||||||||||
|
|
|||||||||||
Number of Contracts |
Notional Amount# |
|||||||||||
Options Written (0.0)% |
||||||||||||
Calls - Exchange-Traded (0.0)% |
||||||||||||
Casino Guichard Perrachon SA, December Strike Price 34.00 EUR, Expires 12/17/21 |
12 | 1,200 | (85) | |||||||||
|
|
|||||||||||
Calls - Over-the-Counter (0.0)% |
||||||||||||
Clearway Energy Inc., C, Counterparty BOFA, November Strike Price $30.00, Expires 11/19/21 |
29 | 2,900 | (6,670) | |||||||||
|
|
|||||||||||
Total Options Written (Premiums Received $5,901) |
(6,755) | |||||||||||
|
|
|||||||||||
Country | Shares | |||||||||||
Securities Sold Short (4.7)% |
||||||||||||
Common Stocks (0.4)% |
||||||||||||
Hotels, Restaurants & Leisure (0.2)% |
||||||||||||
Carnival Corp. |
United States | 8,470 | (204,466) | |||||||||
|
|
79
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
Country | Shares | Value | ||||||||||||||
Securities Sold Short (continued) |
||||||||||||||||
Common Stocks (continued) |
||||||||||||||||
Software (0.2)% |
||||||||||||||||
VMware Inc., A |
United States | 1,321 | $ | (196,657) | ||||||||||||
|
|
|||||||||||||||
Total Common Stocks (Proceeds $315,918) |
(401,123) | |||||||||||||||
|
|
|||||||||||||||
Principal Amount* |
||||||||||||||||
Corporate Bonds and Notes (3.9)% |
||||||||||||||||
Aerospace & Defense (0.1)% |
||||||||||||||||
fSpirit Aerosystems Inc., secured note, 144A, 7.50%, 4/15/25 |
United States | 87,000 | (92,220) | |||||||||||||
|
|
|||||||||||||||
Airlines (0.4)% |
||||||||||||||||
fAmerican Airlines Inc., senior secured note, 144A, 11.75%, 7/15/25 |
United States | 310,000 | (385,252) | |||||||||||||
|
|
|||||||||||||||
Auto Components (0.2)% |
||||||||||||||||
American Axle & Manufacturing Inc., senior note, |
||||||||||||||||
6.50%, 4/01/27 |
United States | 45,000 | (47,306) | |||||||||||||
6.875%, 7/01/28 |
United States | 138,000 | (149,277) | |||||||||||||
|
|
|||||||||||||||
(196,583) | ||||||||||||||||
|
|
|||||||||||||||
Banks (0.1)% |
||||||||||||||||
f,gChina Zheshang Bank Co. Ltd., junior sub. note, Reg S, 5.45% to 3/29/22, FRN thereafter, Perpetual |
China | 72,000 | (73,313) | |||||||||||||
|
|
|||||||||||||||
Communications Equipment (0.1)% |
||||||||||||||||
fAudacy Capital Corp., secured note, 144A, 6.50%, 5/01/27 |
United States | 145,000 | (145,908) | |||||||||||||
|
|
|||||||||||||||
Construction & Engineering (0.5)% |
||||||||||||||||
Fluor Corp., senior bond, 3.50%, 12/15/24 |
United States | 191,000 | (200,977) | |||||||||||||
fSydney Airport Finance Co. Pty Ltd., senior secured bond, 144A, |
||||||||||||||||
3.375%, 4/30/25 |
Australia | 42,000 | (44,862) | |||||||||||||
3.625%, 4/28/26 |
Australia | 22,000 | (23,818) | |||||||||||||
fTutor Perini Corp., senior note, 144A, 6.875%, 5/01/25 |
United States | 199,000 | (205,219) | |||||||||||||
|
|
|||||||||||||||
(474,876) | ||||||||||||||||
|
|
|||||||||||||||
Diversified Consumer Services (0.2)% |
||||||||||||||||
fMPH Acquisition Holdings LLC, senior note, 144A, 5.75%, 11/01/28 |
United States | 194,000 | (185,528) | |||||||||||||
|
|
|||||||||||||||
Diversified Financial Services (0.6)% |
||||||||||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, |
||||||||||||||||
senior bond, 3.65%, 7/21/27 |
Ireland | 22,000 | (23,453) | |||||||||||||
senior bond, 3.875%, 1/23/28 |
Ireland | 138,000 | (148,084) | |||||||||||||
senior note, 4.875%, 1/16/24 |
Ireland | 174,000 | (188,943) | |||||||||||||
senior note, 6.50%, 7/15/25 |
Ireland | 171,000 | (199,614) | |||||||||||||
senior note, 4.625%, 10/15/27 |
Ireland | 91,000 | (101,675) | |||||||||||||
|
|
|||||||||||||||
(661,769) | ||||||||||||||||
|
|
|||||||||||||||
Diversified Telecommunication Services (0.2)% |
||||||||||||||||
fDKT Finance ApS, senior secured note, Reg S, 7.00%, 6/17/23 |
Denmark | 156,000 | EUR | (187,941) | ||||||||||||
fTelesat Canada / Telesat LLC, senior note, 144A, 6.50%, 10/15/27 |
Canada | 41,000 | (34,695) | |||||||||||||
|
|
|||||||||||||||
(222,636) | ||||||||||||||||
|
|
80
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
Country | Principal Amount* |
Value | ||||||||||||||
Securities Sold Short (continued) |
||||||||||||||||
Corporate Bonds and Notes (continued) |
||||||||||||||||
Equity Real Estate Investment Trusts (REITs) (0.3)% |
||||||||||||||||
The GEO Group Inc., |
||||||||||||||||
senior bond, 5.875%, 10/15/24 |
United States | 44,000 | $ | (39,875) | ||||||||||||
senior note, 6.00%, 4/15/26 |
United States | 11,000 | (9,309) | |||||||||||||
fIron Mountain Inc., senior bond, 144A, 5.25%, 3/15/28 |
United States | 122,000 | (128,588) | |||||||||||||
Simon Property Group LP, senior bond, 2.65%, 7/15/30 |
United States | 115,000 | (120,038) | |||||||||||||
|
|
|||||||||||||||
(297,810) | ||||||||||||||||
|
|
|||||||||||||||
Food & Staples Retailing (0.7)% |
||||||||||||||||
Koninklijke Ahold Delhaize NV, senior bond, 5.70%, 10/01/40 |
Netherlands | 196,000 | (273,698) | |||||||||||||
The Kroger Co., senior bond, |
||||||||||||||||
5.40%, 1/15/49 |
United States | 78,000 | (108,582) | |||||||||||||
3.95%, 1/15/50 |
United States | 4,000 | (4,666) | |||||||||||||
fSEG Holding LLC / SEG Finance Corp., senior secured note, 144A, 5.625%, 10/15/28 |
United States | 149,000 | (156,639) | |||||||||||||
fSigma Holdco BV, senior note, Reg S, 5.75%, 5/15/26 |
Netherlands | 100,000 | EUR | (114,161) | ||||||||||||
fSigma Holdco BV, senior note, 144A, 7.875%, 5/15/26 |
Netherlands | 55,000 | (55,206) | |||||||||||||
|
|
|||||||||||||||
(712,952) | ||||||||||||||||
|
|
|||||||||||||||
Food Products (0.2)% |
||||||||||||||||
B&G Foods Inc., senior note, 5.25%, 9/15/27 |
United States | 196,000 | (203,791) | |||||||||||||
|
|
|||||||||||||||
Health Care Providers & Services (0.1)% |
||||||||||||||||
fAir Methods Corp., senior note, 144A, 8.00%, 5/15/25 |
United States | 128,000 | (123,689) | |||||||||||||
|
|
|||||||||||||||
Oil, Gas & Consumable Fuels (0.1)% |
||||||||||||||||
fSM Energy Co., secured note, 144A, 10.00%, 1/15/25 |
United States | 54,000 | (60,277) | |||||||||||||
|
|
|||||||||||||||
Professional Services (0.1)% |
||||||||||||||||
fTeleperformance, senior note, Reg S, 1.875%, 7/02/25 |
France | 100,000 | EUR | (125,906) | ||||||||||||
|
|
|||||||||||||||
Total Corporate Bonds and Notes (Proceeds $3,715,224) |
(3,962,510) | |||||||||||||||
|
|
|||||||||||||||
Foreign Government and Agency Securities (Proceeds $36,484) (0.0)% |
||||||||||||||||
fGovernment of Italy, senior bond, 144A, Reg S, 5.00%, 3/01/25 |
Italy | 30,000 | EUR | (41,904) | ||||||||||||
|
|
|||||||||||||||
U.S. Government and Agency Securities (0.4)% |
||||||||||||||||
U.S. Treasury Bond, |
||||||||||||||||
1.375%, 11/15/40 |
United States | 2,000 | (1,852) | |||||||||||||
1.375%, 8/15/50 |
United States | 266,700 | (233,363) | |||||||||||||
U.S. Treasury Note, |
||||||||||||||||
0.875%, 11/15/30 |
United States | 205,000 | (198,137) | |||||||||||||
1.125%, 2/15/31 |
United States | 28,000 | (27,628) | |||||||||||||
|
|
|||||||||||||||
Total U.S. Government and Agency Securities (Proceeds $483,202) |
(460,980) | |||||||||||||||
|
|
|||||||||||||||
Total Securities Sold Short (Proceeds $4,550,828) |
$ | (4,866,517) | ||||||||||||||
|
|
81
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
| Rounds to less than 0.1% of net assets. |
* | The principal amount is stated in U.S. dollars unless otherwise indicated. |
# | Notional amount is the number of units specified in the contract, and can include currency units, bushels, shares, pounds, barrels or other units. Currency units are stated in U.S. dollars unless otherwise indicated. |
a | Non-income producing. |
b | A portion or all of the security is held in connection with written option contracts open at period end. |
c | Fair valued using significant unobservable inputs. See Note 9 regarding fair value measurements. |
d | See Note 5 regarding restricted securities. |
e | A portion or all of the security has been segregated as collateral for securities sold short, open swap contracts, open forward exchange contracts, open futures contracts and/or open written option contracts. At August 31, 2021, the aggregate value of these securities and/or cash pledged amounted to $5,355,464, representing 5.2% of net assets. |
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 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 August 31, 2021, the net value of these securities was $55,207,925, representing 53.3% of net assets. |
g | Perpetual security with no stated maturity date. |
h | The coupon rate shown represents the rate at period end. |
i | Income may be received in additional securities and/or cash. |
j | Defaulted security or security for which income has been deemed uncollectible. |
k | See Note 6 regarding unfunded loan commitments. |
l | The coupon rate shown represents the rate inclusive of any caps or floors, if applicable, in effect at period end. |
m | 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. |
n | The rate shown is the annualized seven-day effective yield at period end. |
o | Investment is through participation in a joint account with other funds managed by the investment manager or an affiliate of the investment manager. At August 31, 2021, all repurchase agreements had been entered into on that date. |
82
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
At August 31, 2021, the Fund had the following futures contracts outstanding. See Note 3.
Futures Contracts
Description | Type | Number of Contracts |
Notional Amount* |
Expiration Date |
Value/ Unrealized Appreciation (Depreciation) |
|||||||||||||||
|
||||||||||||||||||||
Equity Contracts |
||||||||||||||||||||
CBOE Volatility Index |
Long | 10 | $ | 186,212 | 9/15/21 | $ | (40,802) | |||||||||||||
E-Mini Russell 2000 |
Short | 10 | 1,135,600 | 9/17/21 | (59,566) | |||||||||||||||
S&P 500 E-Mini Index |
Short | 3 | 678,075 | 9/17/21 | (43,736) | |||||||||||||||
|
|
|||||||||||||||||||
(144,104) | ||||||||||||||||||||
|
|
|||||||||||||||||||
Interest Rate Contracts |
||||||||||||||||||||
U.S. Treasury 10 Yr. Note |
Short | 1 | 133,453 | 12/21/21 | (518) | |||||||||||||||
U.S. Treasury Long Bond |
Short | 11 | 1,792,656 | 12/21/21 | (7,756) | |||||||||||||||
|
|
|||||||||||||||||||
(8,274) | ||||||||||||||||||||
|
|
|||||||||||||||||||
Total Futures Contracts |
$ | (152,378) | ||||||||||||||||||
|
|
*As of period end.
At August 31, 2021, the Fund had the following forward exchange contracts outstanding. See Note 3.
Forward Exchange Contracts
Currency | Counterpartya | Type | Quantity | Contract Amount |
Settlement Date |
Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||||||||
|
||||||||||||||||||||||||||||
OTC Forward Exchange Contracts |
||||||||||||||||||||||||||||
Chinese Yuan |
JPHQ | Buy | 1,010,184 | $ | 157,071 | 9/15/21 | $ | | $ | (785) | ||||||||||||||||||
Chinese Yuan |
JPHQ | Sell | 1,010,184 | 154,283 | 9/15/21 | | (2,003) | |||||||||||||||||||||
Colombian Peso |
JPHQ | Buy | 1,150,840,566 | 308,868 | 9/15/21 | | (3,779) | |||||||||||||||||||||
Czech Koruna |
JPHQ | Buy | 5,601,383 | 268,058 | 9/15/21 | | (7,922) | |||||||||||||||||||||
Euro |
JPHQ | Buy | 303,228 | 357,509 | 9/15/21 | 999 | (357) | |||||||||||||||||||||
Euro |
JPHQ | Sell | 303,228 | 359,498 | 9/15/21 | 1,631 | (284) | |||||||||||||||||||||
Indonesian Rupiah |
JPHQ | Sell | 9,389,872,441 | 651,441 | 9/15/21 | | (6,047) | |||||||||||||||||||||
Mexican Peso |
JPHQ | Buy | 8,315,084 | 416,025 | 9/15/21 | | (2,885) | |||||||||||||||||||||
Polish Zloty |
JPHQ | Buy | 980,076 | 259,771 | 9/15/21 | | (3,877) | |||||||||||||||||||||
Polish Zloty |
JPHQ | Sell | 980,076 | 267,045 | 9/15/21 | 11,152 | | |||||||||||||||||||||
Russian Ruble |
JPHQ | Buy | 31,583,558 | 425,224 | 9/15/21 | 4,933 | | |||||||||||||||||||||
Russian Ruble |
JPHQ | Sell | 74,662,449 | 1,012,250 | 9/15/21 | 471 | (5,098) | |||||||||||||||||||||
South African Rand |
JPHQ | Buy | 4,613,111 | 314,448 | 9/15/21 | 2,552 | (107) | |||||||||||||||||||||
South African Rand |
JPHQ | Sell | 8,637,308 | 616,275 | 9/15/21 | 22,945 | | |||||||||||||||||||||
Canadian Dollar |
JPHQ | Buy | 360,000 | 286,870 | 9/29/21 | | (1,542) | |||||||||||||||||||||
Canadian Dollar |
JPHQ | Sell | 360,000 | 292,807 | 9/29/21 | 7,480 | | |||||||||||||||||||||
British Pound |
JPHQ | Sell | 580,000 | 806,481 | 9/30/21 | 9,000 | | |||||||||||||||||||||
Euro |
JPHQ | Buy | 600,000 | 709,428 | 9/30/21 | | (527) | |||||||||||||||||||||
Euro |
JPHQ | Sell | 2,410,000 | 2,880,986 | 9/30/21 | 33,565 | | |||||||||||||||||||||
Hong Kong Dollar |
JPHQ | Buy | 129,000 | 16,622 | 9/30/21 | | (34) | |||||||||||||||||||||
Hong Kong Dollar |
JPHQ | Sell | 300,000 | 38,652 | 9/30/21 | 76 | | |||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||||
Total Forward Exchange Contracts |
$ | 94,804 | $ | (35,247) | ||||||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||||
Net unrealized appreciation (depreciation) |
|
$ | 59,557 | |||||||||||||||||||||||||
|
|
aMay be comprised of multiple contracts with the same counterparty, currency and settlement date.
83
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
At August 31, 2021, the Fund had the following credit default swap contracts outstanding. See Note 3.
Credit Default Swap Contracts
Description | Annual Payment Rate Received (Paid) |
Payment Frequency |
Maturity Date |
Notional Amounta |
Value | Unamortized Upfront Payments (Receipts) |
Unrealized Appreciation (Depreciation) |
Ratingb | ||||||||||||||||||||||
| ||||||||||||||||||||||||||||||
Centrally Cleared Swap Contracts |
||||||||||||||||||||||||||||||
Contracts to Buy Protectionc |
||||||||||||||||||||||||||||||
Single Name |
||||||||||||||||||||||||||||||
Government of Mexico | (1.00)% | Quarterly | 6/20/23 | 186,000 | $ | (2,367) | $ | (26) | $ | (2,341) | ||||||||||||||||||||
Government of Mexico | (1.00)% | Quarterly | 12/20/23 | 787,000 | (11,360) | (5,984) | (5,376) | |||||||||||||||||||||||
Government of Mexico | (1.00)% | Quarterly | 12/20/23 | 15,000 | (216) | (232) | 16 | |||||||||||||||||||||||
Government of Mexico | (1.00)% | Quarterly | 6/20/25 | 105,000 | (1,501) | (1,323) | (178) | |||||||||||||||||||||||
Government of South Africa | (1.00)% | Quarterly | 12/20/24 | 792,000 | 9,853 | 23,305 | (13,452) | |||||||||||||||||||||||
Government of South Africa | (1.00)% | Quarterly | 12/20/24 | 900,000 | 11,197 | 26,654 | (15,457) | |||||||||||||||||||||||
Government of Turkey | (1.00)% | Quarterly | 6/20/24 | 215,000 | 12,827 | 21,581 | (8,754) | |||||||||||||||||||||||
Traded Index | ||||||||||||||||||||||||||||||
CDX.NA.HY.34 | (5.00)% | Quarterly | 6/20/25 | 3,450,000 | (319,728) | 17,346 | (337,074) | |||||||||||||||||||||||
CDX.NA.HY.35 | (5.00)% | Quarterly | 12/22/25 | 3,930,000 | (378,971) | (371,210) | (7,761) | |||||||||||||||||||||||
Contracts to Sell Protectionc,d | ||||||||||||||||||||||||||||||
Single Name | ||||||||||||||||||||||||||||||
Government of South Africa | 1.00% | Quarterly | 12/20/24 | 646,000 | (8,037) | (50,313) | 42,276 | BB- | ||||||||||||||||||||||
Government of South Africa | 1.00% | Quarterly | 12/20/24 | 184,000 | (2,289) | (5,367) | 3,078 | BB- | ||||||||||||||||||||||
Government of Turkey | 1.00% | Quarterly | 12/20/22 | 136,000 | (3,252) | (6,150) | 2,898 | B+ | ||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||
Total Centrally Cleared Swap Contracts |
$ | (693,844) | $ | (351,719) | $ | (342,125) | ||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||
OTC Swap Contracts |
||||||||||||||||||||||||||||||
Contracts to Buy Protectionc |
||||||||||||||||||||||||||||||
Single Name |
Counterparty | |||||||||||||||||||||||||||||
Air France-KLM |
(5.00)% | Quarterly | JPHQ | 12/20/21 | 9,000 | EUR | (167) | 80 | (247) | |||||||||||||||||||||
Air France-KLM |
(5.00)% | Quarterly | JPHQ | 12/20/21 | 14,000 | EUR | (258) | 93 | (351) | |||||||||||||||||||||
Air France-KLM |
(5.00)% | Quarterly | JPHQ | 12/20/21 | 19,000 | EUR | (352) | 169 | (521) | |||||||||||||||||||||
Air France-KLM |
(5.00)% | Quarterly | JPHQ | 6/20/22 | 21,000 | EUR | (585) | (179) | (406) | |||||||||||||||||||||
Air France-KLM |
(5.00)% | Quarterly | JPHQ | 6/20/22 | 7,000 | EUR | (195) | (133) | (62) | |||||||||||||||||||||
Air France-KLM |
(5.00)% | Quarterly | JPHQ | 6/20/22 | 13,000 | EUR | (362) | (117) | (245) | |||||||||||||||||||||
Air France-KLM |
(5.00)% | Quarterly | JPHQ | 6/20/22 | 13,000 | EUR | (361) | (111) | (250) | |||||||||||||||||||||
American Airlines Group Inc. | (5.00)% | Quarterly | BZWS | 12/20/21 | 13,000 | (272) | 393 | (665) | ||||||||||||||||||||||
American Airlines Group Inc. | (5.00)% | Quarterly | BZWS | 12/20/21 | 23,000 | (481) | 566 | (1,047) | ||||||||||||||||||||||
American Airlines Group Inc. | (5.00)% | Quarterly | BZWS | 12/20/21 | 23,000 | (481) | 575 | (1,056) | ||||||||||||||||||||||
American Airlines Group Inc. | (5.00)% | Quarterly | BZWS | 12/20/21 | 24,000 | (502) | 1,043 | (1,545) | ||||||||||||||||||||||
American Airlines Group Inc. | (5.00)% | Quarterly | BZWS | 12/20/21 | 43,000 | (899) | 1,117 | (2,016) | ||||||||||||||||||||||
American Airlines Group Inc. | (5.00)% | Quarterly | BZWS | 6/20/24 | 42,000 | 1,378 | 2,455 | (1,077) | ||||||||||||||||||||||
American Airlines Group Inc. | (5.00)% | Quarterly | BZWS | 6/20/26 | 200,000 | 17,306 | 10,141 | 7,165 | ||||||||||||||||||||||
American Airlines Group Inc. | (5.00)% | Quarterly | CITI | 12/20/21 | 14,000 | (293) | 513 | (806) | ||||||||||||||||||||||
American Airlines Group Inc. | (5.00)% | Quarterly | CITI | 12/20/21 | 43,000 | (899) | 993 | (1,892) | ||||||||||||||||||||||
American Airlines Group Inc. | (5.00)% | Quarterly | CITI | 6/20/26 | 28,000 | 2,423 | 2,803 | (380) | ||||||||||||||||||||||
American Airlines Group Inc. | (5.00)% | Quarterly | CITI | 6/20/26 | 34,000 | 2,942 | 3,153 | (211) | ||||||||||||||||||||||
American Airlines Group Inc. | (5.00)% | Quarterly | FBCO | 12/20/21 | 9,000 | (188) | 209 | (397) | ||||||||||||||||||||||
American Airlines Group Inc. | (5.00)% | Quarterly | FBCO | 12/20/21 | 14,000 | (293) | 375 | (668) | ||||||||||||||||||||||
American Airlines Group Inc. | (5.00)% | Quarterly | GSCO | 12/20/21 | 9,000 | (188) | 210 | (398) | ||||||||||||||||||||||
American Airlines Group Inc. | (5.00)% | Quarterly | GSCO | 12/20/21 | 24,000 | (502) | 1,166 | (1,668) | ||||||||||||||||||||||
American Airlines Group Inc. | (5.00)% | Quarterly | JPHQ | 12/20/21 | 10,000 | (209) | 382 | (591) | ||||||||||||||||||||||
American Airlines Group Inc. | (5.00)% | Quarterly | JPHQ | 12/20/25 | 75,000 | 5,921 | 13,156 | (7,235) | ||||||||||||||||||||||
American Axle & |
||||||||||||||||||||||||||||||
Manufacturing Inc. |
(5.00)% | Quarterly | BZWS | 12/20/25 | 84,000 | (6,815) | (3,423) | (3,392) |
84
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
Credit Default Swap Contracts (continued)
Description | Annual Payment Rate Received (Paid) |
Payment Frequency |
Counterparty | Maturity Date |
Notional Amounta |
Value | Unamortized Upfront Payments (Receipts) |
Unrealized Appreciation (Depreciation) |
Ratingb | |||||||||||||||||||||
| ||||||||||||||||||||||||||||||
OTC Swap Contracts (continued) |
||||||||||||||||||||||||||||||
Contracts to Buy Protectionc (continued) |
||||||||||||||||||||||||||||||
Single Name (continued) |
||||||||||||||||||||||||||||||
American Axle & Manufacturing Inc. | (5.00)% | Quarterly | BZWS | 6/20/26 | 77,000 | $ | (5,508) | $ | (3,464) | $ | (2,044) | |||||||||||||||||||
American Axle & Manufacturing Inc. | (5.00)% | Quarterly | BZWS | 6/20/26 | 21,000 | (1,502) | (876) | (626) | ||||||||||||||||||||||
American Axle & Manufacturing Inc. | (5.00)% | Quarterly | GSCO | 12/20/25 | 13,000 | (1,055) | (706) | (349) | ||||||||||||||||||||||
American Axle & Manufacturing Inc. | (5.00)% | Quarterly | JPHQ | 12/20/25 | 13,000 | (1,055) | (706) | (349) | ||||||||||||||||||||||
American Axle & Manufacturing Inc. | (5.00)% | Quarterly | MSCO | 12/20/25 | 22,000 | (1,785) | (1,195) | (590) | ||||||||||||||||||||||
American Axle & Manufacturing Inc. | (5.00)% | Quarterly | MSCO | 6/20/26 | 69,000 | (4,935) | (2,644) | (2,291) | ||||||||||||||||||||||
British Telecommunications PLC |
(1.00)% | Quarterly | MLCO | 6/20/26 | 43,000 | EUR | (708) | (789) | 81 | |||||||||||||||||||||
British Telecommunications PLC |
(1.00)% | Quarterly | MLCO | 6/20/26 | 43,000 | EUR | (709) | (777) | 68 | |||||||||||||||||||||
Dell Inc. |
(1.00)% | Quarterly | BNPP | 12/20/25 | 12,000 | (134) | 713 | (847) | ||||||||||||||||||||||
Dell Inc. |
(1.00)% | Quarterly | BNPP | 12/20/25 | 133,000 | (1,485) | 6,035 | (7,520) | ||||||||||||||||||||||
Dell Inc. |
(1.00)% | Quarterly | CITI | 12/20/25 | 15,000 | (167) | 737 | (904) | ||||||||||||||||||||||
Dell Inc. |
(1.00)% | Quarterly | CITI | 12/20/25 | 19,000 | (212) | 1,073 | (1,285) | ||||||||||||||||||||||
Dell Inc. |
(1.00)% | Quarterly | JPHQ | 12/20/25 | 62,000 | (692) | 2,464 | (3,156) | ||||||||||||||||||||||
Diamond Sports Group LLC |
(5.00)% | Quarterly | BZWS | 12/20/25 | 11,000 | 6,073 | 4,821 | 1,252 | ||||||||||||||||||||||
Diamond Sports Group LLC |
(5.00)% | Quarterly | BZWS | 12/20/25 | 14,000 | 7,729 | 6,142 | 1,587 | ||||||||||||||||||||||
Diamond Sports Group LLC |
(5.00)% | Quarterly | GSCO | 6/20/25 | 11,000 | 5,815 | 4,999 | 816 | ||||||||||||||||||||||
Diamond Sports Group LLC |
(5.00)% | Quarterly | GSCO | 12/20/25 | 1,000 | 552 | 386 | 166 | ||||||||||||||||||||||
Diamond Sports Group LLC |
(5.00)% | Quarterly | GSCO | 12/20/25 | 6,000 | 3,312 | 2,315 | 997 | ||||||||||||||||||||||
Diamond Sports Group LLC |
(5.00)% | Quarterly | GSCO | 12/20/25 | 6,000 | 3,313 | 2,317 | 996 | ||||||||||||||||||||||
Diamond Sports Group LLC |
(5.00)% | Quarterly | GSCO | 12/20/25 | 10,000 | 5,521 | 3,207 | 2,314 | ||||||||||||||||||||||
Diamond Sports Group LLC |
(5.00)% | Quarterly | GSCO | 12/20/25 | 12,000 | 6,625 | 4,432 | 2,193 | ||||||||||||||||||||||
Dow Inc. |
(1.00)% | Quarterly | GSCO | 6/20/25 | 66,000 | (1,538) | (366) | (1,172) | ||||||||||||||||||||||
Dow Inc. |
(1.00)% | Quarterly | GSCO | 6/20/25 | 66,000 | (1,538) | (244) | (1,294) | ||||||||||||||||||||||
Dow Inc. |
(1.00)% | Quarterly | GSCO | 6/20/25 | 7,000 | (163) | (36) | (127) | ||||||||||||||||||||||
GE Capital Funding LLC |
(1.00)% | Quarterly | JPHQ | 6/20/26 | 338,000 | (5,193) | (2,980) | (2,213) | ||||||||||||||||||||||
Government of Brazil |
(1.00)% | Quarterly | BZWS | 6/20/25 | 182,000 | 2,660 | 16,125 | (13,465) | ||||||||||||||||||||||
Government of Italy |
(1.00)% | Quarterly | BOFA | 6/20/24 | 233,000 | (3,990) | 1,369 | (5,359) | ||||||||||||||||||||||
Government of Italy |
(1.00)% | Quarterly | BOFA | 6/20/24 | 140,000 | (2,397) | 1,847 | (4,244) | ||||||||||||||||||||||
Hovnanian Enterprises Inc. |
(5.00)% | Quarterly | BZWS | 6/20/26 | 8,000 | 723 | 820 | (97) | ||||||||||||||||||||||
Hovnanian Enterprises Inc. |
(5.00)% | Quarterly | BZWS | 6/20/26 | 40,000 | 3,615 | 3,911 | (296) | ||||||||||||||||||||||
Itochu Corp. |
(1.00)% | Quarterly | GSCO | 6/20/22 | 12,107,000 | JPY | (1,077) | (565) | (512) | |||||||||||||||||||||
JFE Holdings Inc. |
(1.00)% | Quarterly | GSCO | 6/20/22 | 5,348,000 | JPY | (461) | (257) | (204) | |||||||||||||||||||||
Kohls Corp. |
(1.00)% | Quarterly | CITI | 12/20/25 | 207,000 | (1,157) | 16,353 | (17,510) | ||||||||||||||||||||||
Kohls Corp. |
(1.00)% | Quarterly | GSCO | 12/20/25 | 154,000 | (860) | 12,002 | (12,862) | ||||||||||||||||||||||
Kohls Corp. |
(1.00)% | Quarterly | MSCO | 12/20/25 | 221,000 | (1,235) | 17,459 | (18,694) | ||||||||||||||||||||||
Lloyds Bank PLC |
(1.00)% | Quarterly | GSCO | 6/20/24 | 127,000 | EUR | (3,744) | 548 | (4,292) | |||||||||||||||||||||
Lloyds Bank PLC |
(1.00)% | Quarterly | JPHQ | 12/20/24 | 121,000 | EUR | (2,386) | 2,333 | (4,719) | |||||||||||||||||||||
Marubeni Corp. |
(1.00)% | Quarterly | CITI | 6/20/25 | 3,711,000 | JPY | (1,013) | 828 | (1,841) | |||||||||||||||||||||
Marubeni Corp. |
(1.00)% | Quarterly | GSCO | 6/20/22 | 18,860,000 | JPY | (1,637) | (727) | (910) | |||||||||||||||||||||
MBIA Inc. |
(5.00)% | Quarterly | BZWS | 6/20/22 | 23,000 | (869) | (217) | (652) | ||||||||||||||||||||||
MBIA Inc. |
(5.00)% | Quarterly | CITI | 6/20/22 | 36,000 | (1,362) | (945) | (417) | ||||||||||||||||||||||
MBIA Inc. |
(5.00)% | Quarterly | GSCO | 6/20/22 | 21,000 | (794) | (436) | (358) | ||||||||||||||||||||||
MBIA Inc. |
(5.00)% | Quarterly | JPHQ | 12/20/24 | 97,000 | (7,281) | (9,034) | 1,753 | ||||||||||||||||||||||
Mitsui O.S.K. Lines Ltd. |
(1.00)% | Quarterly | JPHQ | 6/20/22 | 3,878,000 | JPY | (319) | (47) | (272) | |||||||||||||||||||||
Mitsui O.S.K. Lines Ltd. |
(1.00)% | Quarterly | JPHQ | 6/20/22 | 3,618,000 | JPY | (297) | (43) | (254) | |||||||||||||||||||||
Saipem Finance International BV |
(5.00)% | Quarterly | JPHQ | 6/20/26 | 34,000 | EUR | (3,528) | (2,578) | (950) |
85
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
Credit Default Swap Contracts (continued)
Description | Annual Payment Rate Received (Paid) |
Payment Frequency |
Counterparty | Maturity Date |
Notional Amounta |
Value | Unamortized Upfront Payments (Receipts) |
Unrealized Appreciation (Depreciation) |
Ratingb | |||||||||||||||||||||
| ||||||||||||||||||||||||||||||
OTC Swap Contracts (continued) |
|
|||||||||||||||||||||||||||||
Contracts to Buy Protectionc (continued) |
||||||||||||||||||||||||||||||
Single Name (continued) |
|
|||||||||||||||||||||||||||||
Simon Property Group LP |
(1.00)% | Quarterly | JPHQ | 12/20/25 | 434,000 | $ | (8,629) | $ | 7,942 | $ | (16,571) | |||||||||||||||||||
Simon Property Group LP |
(1.00)% | Quarterly | MSCO | 12/20/25 | 340,000 | (6,760) | 6,222 | (12,982) | ||||||||||||||||||||||
Softbank Group Corp. |
(1.00)% | Quarterly | BZWS | 6/20/24 | 6,394,000JPY | 1,294 | 1,379 | (85) | ||||||||||||||||||||||
Softbank Group Corp. |
(1.00)% | Quarterly | BZWS | 6/20/24 | 9,987,000JPY | 2,020 | 1,746 | 274 | ||||||||||||||||||||||
Stena AB |
(5.00)% | Quarterly | GSCO | 6/20/24 | 92,000EUR | (4,383) | 4,524 | (8,907) | ||||||||||||||||||||||
Stena AB |
(5.00)% | Quarterly | GSCO | 6/20/26 | 9,000EUR | (390) | 395 | (785) | ||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total OTC Swap Contracts |
$ | (18,028) | $ | 141,441 | $ | (159,469) | ||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Credit Default Swap Contracts |
$ | (711,872) | $ | (210,278) | $ | (501,594) | ||||||||||||||||||||||||
|
|
|
|
|
|
aIn 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.
bBased on Standard and Poors (S&P) Rating for single name swaps.
cPerformance 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.
dThe Fund enters contracts to sell protection to create a long credit position.
At August 31, 2021, the Fund had the following interest rate swap contracts outstanding. See Note 3.
Interest Rate Swap Contracts
Description | Payment Frequency |
Maturity Date |
Notional Amount* |
Value/Unrealized Appreciation (Depreciation) |
||||||||||||||||
|
||||||||||||||||||||
Centrally Cleared Swap Contracts |
||||||||||||||||||||
Receive Floating rate 3 Month USD-LIBOR Pay Fixed rate 1.75% |
Quarterly | 9/18/21 | 1,500,000 | $ | 1,219 | |||||||||||||||
Receive Floating rate 3 Month USD-LIBOR Pay Fixed rate 1.75% |
Quarterly | 3/18/22 | 1,100,000 | (8,024) | ||||||||||||||||
Receive Fixed 5.47% |
||||||||||||||||||||
Pay Floating Banxico Mexico 1 Month rate |
Monthly | 9/13/23 | 9,833,165 | MXN | (3,404) | |||||||||||||||
Receive Fixed 6.19% |
||||||||||||||||||||
Pay Floating Banxico Mexico 1 Month rate |
Monthly | 9/09/26 | 9,894,795 | MXN | (5,544) | |||||||||||||||
Receive Floating rate 3 Month USD-LIBOR Pay Fixed rate 2.25% |
Quarterly | 6/20/28 | 1,100,000 | (161,432) | ||||||||||||||||
Receive Floating rate 6 Month-SORA Pay Fixed rate 1.28% |
Semi-Annually | 9/15/31 | 455,901 | SGD | (3,690) | |||||||||||||||
Receive Floating rate 6 Month-WIBOR Pay Fixed rate 1.86% |
Annually | 9/15/31 | 754,995 | PLN | (1,129) | |||||||||||||||
Receive Floating rate 6 Month-WIBOR Pay Fixed rate 1.98% |
Annually | 9/15/31 | 3,684,962 | PLN | (16,280) | |||||||||||||||
|
|
|||||||||||||||||||
Total Interest Rate Swap Contracts |
|
$ | (198,284) | |||||||||||||||||
|
|
*In U.S. dollars unless otherwise indicated.
86
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin K2 Long Short Credit Fund (continued)
At August 31, 2021, the Fund had the following total return swap contracts outstanding. See Note 3.
Total Return Swap Contracts
Underlying Instrument | Financing Rate | Payment Frequency |
Counter- party |
Maturity Date |
Notional Value |
Value/Unrealized Appreciation (Depreciation) |
||||||||||||||||||
|
||||||||||||||||||||||||
OTC Swap Contracts |
||||||||||||||||||||||||
Equity Contracts - Longa |
||||||||||||||||||||||||
Clearway Energy Inc. |
1-Month LIBOR + 0.35% | Monthly | JPHQ | 1/20/22 | $ | 57,201 | $ | 11,937 | ||||||||||||||||
Clearway Energy Inc. |
1-Month LIBOR + 0.40% | Monthly | GSCO | 4/20/22 | 106,444 | 22,205 | ||||||||||||||||||
Clearway Energy Inc. |
1-Month LIBOR + 0.40% | Monthly | GSCO | 4/20/22 | 112,641 | 23,574 | ||||||||||||||||||
Clearway Energy Inc. |
1-Month LIBOR + 0.40% | Monthly | BZWS | 5/16/22 | 6,495 | 1,320 | ||||||||||||||||||
Enterprise Products Partners LP |
1-Month LIBOR + 0.90% | Monthly | BOFA | 3/04/22 | 29,781 | (2,114 | ) | |||||||||||||||||
Enterprise Products Partners LP |
1-Month LIBOR + 0.90% | Monthly | GSCO | 4/20/22 | 32,008 | (2,288 | ) | |||||||||||||||||
|
|
|||||||||||||||||||||||
54,634 | ||||||||||||||||||||||||
|
|
|||||||||||||||||||||||
Equity Contracts - Shortb |
||||||||||||||||||||||||
Carnival Corp. |
1-Month LIBOR - 0.40% | Monthly | MSCO | 11/08/22 | 21,423 | (2,148 | ) | |||||||||||||||||
|
|
|||||||||||||||||||||||
Interest Rate Contracts - Longa |
||||||||||||||||||||||||
Government of Egypt |
1-Day FEDEF | Monthly | CITI | 1/11/22 | 86,712 | 1,547 | ||||||||||||||||||
Government of Indonesia |
3-Month LIBOR + 0.70% | Monthly | BOFA | 2/17/22 | 114,441 | (2,774 | ) | |||||||||||||||||
Government of Indonesia |
3-Month LIBOR + 0.70% | Monthly | BOFA | 5/18/22 | 431,215 | (5,010 | ) | |||||||||||||||||
Government of Indonesia |
3-Month LIBOR + 0.60% | Monthly | DBAB | 6/15/32 | 103,643 | 8,349 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
2,112 | ||||||||||||||||||||||||
|
|
|||||||||||||||||||||||
Total - Total Return Swap Contracts |
$ | 54,598 | ||||||||||||||||||||||
|
|
aThe Fund receives the total return on the underlying instrument and pays a variable financing rate.
bThe Fund receives the variable financing rate and pays the total return on the underlying instrument.
Abbreviations
Counterparty | Currency | Selected Portfolio | ||||||||||
|
|
|||||||||||
BNPP | BNP Paribas | EGP | Egyptian Pound | ARM | Adjustable Rate Mortgage | |||||||
BOFA | Bank of America Corp. | EUR | Euro | CLO | Collateralized Loan Obligation | |||||||
BZWS | Barclays Bank PLC | GBP | British Pound | DIP | Debtor-In-Possession | |||||||
CITI | Citigroup, Inc. | JPY | Japanese Yen | ETF | Exchange Traded Fund | |||||||
DBAB | Deutsche Bank AG | MXN | Mexican Peso | FEDEF | Federal Funds Effective Rate | |||||||
FBCO | Credit Suisse Group AG | PLN | Polish Zloty | FHLMC | Federal Home Loan Mortgage Corp. | |||||||
GSCO | The Goldman Sachs Group, Inc. | RUB | Russian Ruble | FNMA | Federal National Mortgage Association | |||||||
JPHQ | JP Morgan Chase & Co. | SGD | Singapore Dollar | FRN | Floating Rate Note | |||||||
MLCO | Merrill Lynch & Co., Inc. | USD | United States Dollar | LIBOR | London InterBank Offered Rate | |||||||
MSCO | Morgan Stanley & Co. LLC | ZAR | South African Rand | PIK | Payment In-Kind | |||||||
REIT | Real Estate Investment Trust | |||||||||||
SPAC | Special Purpose Acquisition Company | |||||||||||
SPDR | Standard & Poors Depositary Receipt | |||||||||||
WIBOR | Warsaw Interbank Offered Rate | |||||||||||
SORA | Singapore Overnight Rate Average |
Index | ||||
CDX.NA.HY | CDX North America High Yield Index |
87
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
Notes to (Consolidated) Statements of Investments (unaudited)
1. Organization
Franklin Alternative Strategies Funds (Trust) is registered under the Investment Company Act of 1940 (1940 Act) as an open-end management investment company, consisting of two separate funds (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 Trusts Board of Trustees (the Board), the Funds administrator has responsibility for oversight of valuation, including leading the cross-functional Valuation Committee (VC). The Funds may utilize independent pricing services, quotations from securities and financial instrument dealers, and other market sources to determine fair value.
Equity securities, exchange traded funds and derivative financial instruments listed on an exchange or on the NASDAQ National Market System are valued at the last quoted sale price or the official closing price of the day, respectively. Foreign equity securities are valued as of the close of trading on the foreign stock exchange on which the security is primarily traded or as of 4 p.m. Eastern time. The value is then converted into its U.S. dollar equivalent at the foreign exchange rate in effect at 4 p.m. Eastern time on the day that the value of the security is determined. Over-the-counter (OTC) securities are valued within the range of the most recent quoted bid and ask prices. Securities that trade in multiple markets or on multiple exchanges are valued according to the broadest and most representative market. Certain equity securities are valued based upon fundamental characteristics or relationships to similar securities.
Debt securities generally trade in the OTC market rather than on a securities exchange. The Funds pricing services use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the pricing services may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the pricing services also utilize proprietary valuation models which may consider market characteristics such as benchmark yield curves, credit spreads, estimated default rates, anticipated market interest rate volatility, coupon rates, anticipated timing of principal repayments, underlying collateral, and other unique security features in order to estimate the relevant cash flows, which are then discounted to calculate the fair value. Securities denominated in a foreign currency are converted into their U.S. dollar equivalent at the foreign exchange rate in effect at 4 p.m. Eastern time on the date that the values of the foreign debt securities are determined.
Investments in open-end mutual funds are valued at the closing NAV. Investments in repurchase agreements are valued at cost, which approximates fair value.
Certain derivative financial instruments are centrally cleared or trade in the OTC market. The Funds pricing services use various techniques including industry standard option pricing models and proprietary discounted cash flow models to determine the fair value of those instruments. The Funds net benefit or obligation under the derivative contract, as measured by the fair value of the contract, is included in net assets.
The Funds have procedures to determine the fair value of financial instruments for which market prices are not reliable or readily available. Under these procedures, the Funds primarily employ a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. An income-based valuation approach may also be used in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed.
Trading in securities on foreign securities stock exchanges and OTC markets may be completed before 4 p.m. Eastern time. In addition, trading in certain foreign markets may not take place on every Funds business day. 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 Funds. 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 August 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 (referred to as market level fair value). 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 significant security valuation changes due to an open foreign market are adjusted and reflected by the Funds for financial reporting purposes.
88
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 Funds 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.
Certain or all Funds entered into exchange traded futures contracts primarily to manage and/or gain exposure to commodity price, interest rate, certain foreign currencies and equity price risk. A futures contract is an agreement between the Fund and a counterparty to buy or sell an asset at a specified price on a future date. Required initial margins are pledged by the Fund, and the daily change in fair value is accounted for as a variation margin payable or receivable.
Certain or all Funds entered into OTC forward exchange contracts primarily to manage and/or gain exposure to certain foreign currencies. A forward exchange contract is an agreement between the Fund and a counterparty to buy or sell a foreign currency at 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 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 interest rate, equity price and commodity price 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
89
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 exchange traded and/or OTC option contracts primarily to manage and/or gain exposure to interest rate, equity price and 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 following Funds have invested in derivatives during the period.
Franklin K2 Alternative Strategies Fund Futures, forwards, swaps and options
Franklin K2 Long Short Credit Fund Futures, forwards, swaps and options
4. 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.
5. Restricted Securities
The Funds invest in securities that are restricted under the Securities Act of 1933 (1933 Act). Restricted securities are often purchased in private placement transactions, and cannot be sold without prior registration unless the sale is pursuant to an exemption under the 1933 Act. Disposal of these securities may require greater effort and expense, and prompt sale at an acceptable price may be difficult. The Funds may have registration rights for restricted securities. The issuer generally incurs all registration costs.
At August 31, 2021, investments in restricted securities, excluding securities exempt from registration under the 1933 Act, were as follows:
Shares | Issuer | Acquisition Date | Cost | Value | ||||||||||
Franklin K2 Long Short Credit Fund |
|
|||||||||||||
923 |
Acosta Inc. | 12/31/19 | $ | 8,144 | $ | 7,042 | ||||||||
925 |
Acosta Inc., cvt. pfd. | 12/31/19-6/30/21 | 50,262 | 46,601 | ||||||||||
|
|
|||||||||||||
Total Restricted Securities (Value is 0.1% of Net Assets) | $ | 58,406 | $ | 53,643 | ||||||||||
|
|
6. Unfunded Loan Commitments
Certain or all Funds entered into certain credit agreements, all or a portion of which may be unfunded. The Funds are 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 (Consolidated) Statements of Investments.
At August 31, 2021, unfunded commitments were as follows:
Borrower | Unfunded Commitment |
|||
Franklin K2 Alternative Strategies Fund |
||||
Advantage Sales & Marketing Inc., Initial Term Loan |
$ | 673,794 | ||
Constellation Inc., Term Loan B |
110,024 | |||
Hilton Grand Vacations Inc., Term Loan B |
105,000 | |||
Intelsat Jackson Holdings SA, Term Loan B4 |
467,032 | |||
Intelsat Jackson Holdings SA, Term Loan DIP |
45,851 | |||
Lecta, Super Senior Term Loan |
32,441 | |||
Lecta, Super Senior Term Loan RC |
31,344 | |||
Motel 6, Term Loan B |
40,000 | |||
Riverbed Technology Inc., Term Loan B |
171,081 | |||
The GEO Group Inc., Term Loan B |
74,343 | |||
Travel Leaders Group LLC, Term Loan B |
483,429 | |||
Upfield Group BV, Term Loan RC |
726,041 | |||
|
|
|||
$ | 2,960,380 | |||
|
|
|||
Franklin K2 Long Short Credit Fund |
||||
Advantage Sales & Marketing Inc., Initial Term Loan |
$ | 198,300 | ||
Constellation Inc., Term Loan B |
32,436 | |||
Intelsat Jackson Holdings SA, Term Loan B4 |
3,965 | |||
Intelsat Jackson Holdings SA, Term Loan DIP |
14,769 | |||
Lecta, Super Senior Term Loan |
22,483 | |||
Lecta, Super Senior Term Loan RC |
21,722 |
90
Riverbed Technology Inc., Term Loan B |
110,143 | |||
Travel Leaders Group LLC, Term Loan B |
142,622 | |||
Upfield Group BV, Term Loan RC |
214,532 | |||
|
|
|||
$ | 760,972 | |||
|
|
7. 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 August 31, 2021, investments in affiliated management investment companies were as follows:
Value at Beginning of Period |
Purchases | Sales | Realized Gain (Loss) |
Net Change in Unrealized Appreciation (Depreciation) |
Value at End of Period |
Number of Shares Held at End of Period |
Income from Securities Loaned |
|||||||||||||||||||||||||
|
||||||||||||||||||||||||||||||||
Franklin K2 Alternative Strategies Fund |
|
|||||||||||||||||||||||||||||||
Non-Controlled Affiliates |
|
|||||||||||||||||||||||||||||||
Institutional Fiduciary Trust Money Market Portfolio, 0.01% |
$3,305,000 | $8,494,000 | $(8,299,000 | ) | $- | $- | $3,500,000 | 3,500,000 | $74 | |||||||||||||||||||||||
|
|
8. Investments in K2 Holdings Investment Corp. (K2 Subsidiary)
Certain or all Funds invest in certain financial instruments and commodity-linked derivative investments through its investments in the K2 Subsidiary. The K2 Subsidiary is a Cayman Islands exempted company with limited liability, is a wholly-owned subsidiary of the Fund, and is able to invest in certain financial instruments and commodity-linked derivative investments consistent with the investment objective of the Fund. At August 31, 2021, the K2 Subsidiarys investments, as well as any other assets and liabilities of the K2 Subsidiary, are reflected in the Funds Consolidated Statements of Investments. At August 31, 2021, the Funds investments in the K2 Subsidiary were as follows:
Fund Name | Subsidiary Namea | Consolidated Net Assets |
Subsidiary Net Assets |
% of Consolidated Net Assets |
||||||||||
|
||||||||||||||
Franklin K2 Alternative Strategies Fund |
K2 Holdings Investment Corp. | $1,386,018,860 | $22,520,549 | 1.6% |
a The Funds investments in the K2 Subsidiary is limited to 25% of consolidated assets.
9. 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 August 31, 2021, in valuing the Funds assets and liabilities carried at fair value, is as follows:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||
Franklin K2 Alternative Strategies Fund |
||||||||||||||||||||||||
Assets: |
||||||||||||||||||||||||
Investments in Securities:a |
||||||||||||||||||||||||
Equity Investmentsb |
$ | 511,680,078 | $ | 74,336,067 | $ | 10,362,043 | c | $ | 596,378,188 | |||||||||||||||
Convertible Bonds |
| 173,942,803 | | 173,942,803 | ||||||||||||||||||||
Corporate Bonds and Notes |
| 115,540,616 | 51,360 | 115,591,976 | ||||||||||||||||||||
Corporate Bonds and Notes in Reorganization |
| 2,062,852 | | c | 2,062,852 | |||||||||||||||||||
Senior Floating Rate Interests |
| 4,952,962 | | 4,952,962 | ||||||||||||||||||||
Credit-Linked Notes |
| 5,889,442 | | 5,889,442 | ||||||||||||||||||||
Foreign Government and Agency Securities |
| 64,470,736 | 274,543 | 64,745,279 | ||||||||||||||||||||
Foreign Government and Agency Securities in Reorganization |
| 231,920 | | 231,920 | ||||||||||||||||||||
U.S. Government and Agency Securities |
| 1,642,955 | | 1,642,955 | ||||||||||||||||||||
Asset-Backed Securities and Commercial Mortgage-Backed Securities |
| 92,953,457 | 14,962 | 92,968,419 | ||||||||||||||||||||
Municipal Bonds in Reorganization |
| 7,443,975 | | 7,443,975 | ||||||||||||||||||||
Options Purchased |
1,823,781 | 81,454 | | 1,905,235 | ||||||||||||||||||||
Short Term Investments |
244,475,262 | 2,065,334 | | 246,540,596 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Investments in Securities |
$ | 757,979,121 | $ | 545,614,573 | d | $ | 10,702,908 | $ | 1,314,296,602 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Other Financial Instruments: |
||||||||||||||||||||||||
Futures Contracts |
$ | 1,897,120 | $ | | $ | | $ | 1,897,120 | ||||||||||||||||
Forward Exchange Contracts |
| 2,846,085 | | 2,846,085 |
91
Swap Contracts |
| 6,364,847 | 96,602 | 6,461,449 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Other Financial Instruments |
$ | 1,897,120 | $ | 9,210,932 | $ | 96,602 | $ | 11,204,654 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liabilities: |
||||||||||||||||||||||||
Other Financial Instruments: |
||||||||||||||||||||||||
Options Written |
$ | 359,067 | $ | | $ | | $ | 359,067 | ||||||||||||||||
Securities Sold Shorta |
214,605,059 | 17,740,464 | e | | 232,345,523 | |||||||||||||||||||
Futures Contracts |
1,911,469 | | | 1,911,469 | ||||||||||||||||||||
Forward Exchange Contracts |
| 3,074,422 | | 3,074,422 | ||||||||||||||||||||
Swap Contracts |
| 5,191,060 | | 5,191,060 | ||||||||||||||||||||
Unfunded Loan Commitments |
| 23,321 | 39 | 23,360 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Other Financial Instruments |
$ | 216,875,595 | $ | 26,029,267 | $ | 39 | $ | 242,904,901 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||
Franklin K2 Long Short Credit Fund |
||||||||||||||||||||||||
Assets: |
||||||||||||||||||||||||
Investments in Securities:a |
||||||||||||||||||||||||
Equity Investmentsb |
$ | 3,239,368 | $ | 250,930 | $ | 65,443 | c | $ | 3,555,741 | |||||||||||||||
Convertible Bonds |
| 657,993 | | 657,993 | ||||||||||||||||||||
Corporate Bonds and Notes |
| 27,116,474 | | 27,116,474 | ||||||||||||||||||||
Corporate Bonds and Notes in Reorganization |
| 76,240 | | 76,240 | ||||||||||||||||||||
Senior Floating Rate Interests |
| 2,003,187 | | 2,003,187 | ||||||||||||||||||||
Credit-Linked Notes |
| 966,551 | | 966,551 | ||||||||||||||||||||
Foreign Government and Agency Securities |
| 6,832,746 | | 6,832,746 | ||||||||||||||||||||
U.S. Government and Agency Securities |
| 494,023 | | 494,023 | ||||||||||||||||||||
Asset-Backed Securities and Commercial Mortgage-Backed Securities |
| 37,729,258 | | 37,729,258 | ||||||||||||||||||||
Municipal Bonds in Reorganization |
| 1,669,181 | | 1,669,181 | ||||||||||||||||||||
Options Purchased |
27,899 | | | 27,899 | ||||||||||||||||||||
Short Term Investments |
20,294,436 | 4,102,161 | | 24,396,597 | ||||||||||||||||||||
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Total Investments in Securities |
$ | 23,561,703 | $ | 81,898,744 | f | $ | 65,443 | $ | 105,525,890 | |||||||||||||||
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Other Financial Instruments: |
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Forward Exchange Contracts |
$ | | $ | 94,804 | $ | | $ | 94,804 | ||||||||||||||||
Swap Contracts |
| 138,081 | | 138,081 | ||||||||||||||||||||
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Total Other Financial Instruments |
$ | | $ | 232,885 | $ | | $ | 232,885 | ||||||||||||||||
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Liabilities: |
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Other Financial Instruments: |
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Options Written |
$ | 6,755 | $ | | $ | | $ | 6,755 | ||||||||||||||||
Securities Sold Shorta |
401,123 | 4,465,394 | | 4,866,517 | ||||||||||||||||||||
Futures Contracts |
152,378 | | | 152,378 | ||||||||||||||||||||
Forward Exchange Contracts |
| 35,247 | | 35,247 | ||||||||||||||||||||
Swap Contracts |
| 783,361 | | 783,361 | ||||||||||||||||||||
Unfunded Loan Commitments |
| 8,294 | 27 | 8,321 | ||||||||||||||||||||
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Total Other Financial Instruments |
$ | 560,256 | $ | 5,292,296 | $ | 27 | $ | 5,852,579 | ||||||||||||||||
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a | For detailed categories, see the accompanying (Consolidated) Statements of Investments. |
b | Includes common, preferred and convertible preferred stocks as well as other equity interests. |
c | Includes securities determined to have no value at August 31, 2021. |
d | Includes foreign securities valued at $74,304,779, which were categorized as Level 2 as a result of the application of market level fair value procedures. See the Financial Instrument Valuation note for more information. |
e | Includes foreign securities valued at $3,591,679, which were categorized as Level 2 as a result of the application of market level fair value procedures. See the Financial Instrument Valuation note for more information. |
f | Includes foreign securities valued at $250,930, which were categorized as Level 2 as a result of the application of market level fair value procedures. See the Financial Instrument Valuation note for more information. |
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.
10. Subsequent Events
The Funds have evaluated subsequent events through the issuance of the (Consolidated) Statements of Investments and determined that no events have occurred that require disclosure.
For additional information on the Funds significant accounting policies, please refer to the Funds most recent semiannual or annual shareholder report.
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