Principal Amount | Value | |||
Municipal Bonds 105.3% | ||||
California 105.3% | ||||
California Community Housing Agency Workforce Housing Revenue, Annadel Apartments, Series A, 5.00%, 4/01/49 | $200,000 | $222,348 | ||
California PFA Educational Facilities Revenue, Trinity Classical Academy Project, Series A, 5.00%, 7/01/44 | 200,000 | 211,212 | ||
California State Municipal Finance Authority Senior Living Revenue, MT San Antonio Gardens Project, Refunding, 5.00%, 11/15/49 | 130,000 | 151,624 | ||
California Statewide CDA College Housing Revenue, NCCD-Hooper Street LLC-California College of the Arts Project, 5.25%, 7/01/52 | 200,000 | 229,672 | ||
California Statewide CDA Revenue, | ||||
Loma Linda University Medical Center, Series A, 5.50%, 12/01/58 | 250,000 | 292,687 | ||
a Statewide Community Infrastructure Program, Series C, 5.00%, 9/02/49 | 125,000 | 142,850 | ||
California Statewide CDA Special Tax Revenue, CFD No. 2016-02, Delta Coves, 5.00%, 9/01/39 | 100,000 | 111,328 | ||
Dublin CFD No. 2015-1 Special Tax, Improvement Area No. 2, Dublin Crossing, 5.00%, 9/01/49 | 135,000 | 155,855 | ||
Folsom Ranch Financing Authority Special Tax Revenue, | ||||
CFD No. 19, Mangini Ranch, 5.00%, 9/01/47 | 135,000 | 156,870 | ||
CFD No. 19, Mangini Ranch, 5.00%, 9/01/49 | 135,000 | 157,014 | ||
Foothill/Eastern Transportation Corridor Agency Toll Road Revenue, Subseries B-2, Refunding, Series B, 3.50%, 1/15/53 | 190,000 | 198,356 | ||
Menifee USD Special Tax, CFD No. 2018-2, Improvement Area No.4, 5.00%, 9/01/49 | 125,000 | 145,574 | ||
a | Rancho Cordova CFD No. 2018-1 Special Tax, Grantline 208, 5.00%, 9/01/49 | 125,000 | 142,469 | |
Roseville Special Tax, | ||||
Villages at Sierra Vista CFD No. 1, Public Facilities, 5.00%, 9/01/49 | 135,000 | 156,126 | ||
Westpark-Federico Community Facilities District No.1, 5.00%, 9/01/49 | 125,000 | 140,838 | ||
Tobacco Securitization Authority Southern California Tobacco Settlement Asset -Backed Revenue, San Diego County Tobacco Asset Securitization Corp., Class 2, Refunding, Series B-1, 5.00%,
6/01/48 | 125,000 | 143,770 | ||
Tracy CFD No. 2016-1 Special Tax, | ||||
Improvement Area No. 1, Tracy Hills, 5.00%, 9/01/48 | 135,000 | 154,822 | ||
Improvement Area No. 1, Tracy Hills, 5.00%, 9/01/49 | 135,000 | 154,697 | ||
Upland CFD No. 2015-1 Special Tax, Sycamore Hills, Series A, 4.00%, 9/01/49 | 185,000 | 199,226 | ||
Total Municipal Bonds (Cost $3,203,952) 105.3% | 3,267,338 | |||
Other Assets, less Liabilities (5.3)% | (164,183) | |||
Net Assets 100.0% | $3,103,155 |
aSecurity purchased on a when-issued basis. |
Country | Shares | Value | |||
Common Stocks 72.8% | |||||
Communication Services 6.8% | |||||
a | Alphabet Inc., A | United States | 70 | $91,286 | |
AT&T Inc. | United States | 4,700 | 175,686 | ||
Comcast Corp., A | United States | 300 | 13,245 | ||
280,217 | |||||
Consumer Discretionary 7.6% | |||||
The Home Depot Inc. | United States | 700 | 154,357 | ||
Target Corp. | United States | 1,300 | 162,513 | ||
316,870 | |||||
Consumer Staples 2.6% | |||||
PepsiCo Inc. | United States | 800 | 108,664 | ||
Energy 15.0% | |||||
Chevron Corp. | United States | 1,200 | 140,556 | ||
Occidental Petroleum Corp. | United States | 2,000 | 77,140 | ||
Royal Dutch Shell PLC, A, ADR | United Kingdom | 2,200 | 126,478 | ||
Schlumberger Ltd. | United States | 3,500 | 126,700 | ||
The Williams Cos. Inc. | United States | 6,600 | 149,952 | ||
620,826 | |||||
Financials 2.1% | |||||
Wells Fargo & Co. | United States | 1,600 | 87,136 | ||
Health Care 8.4% | |||||
Bristol-Myers Squibb Co. | United States | 1,675 | 95,374 | ||
CVS Health Corp. | United States | 1,865 | 140,379 | ||
Merck & Co. Inc. | United States | 1,300 | 113,334 | ||
349,087 | |||||
Industrials 9.1% | |||||
3M Co. | United States | 850 | 144,304 | ||
The Boeing Co. | United States | 226 | 82,757 | ||
General Dynamics Corp. | United States | 600 | 109,044 | ||
United Technologies Corp. | United States | 285 | 42,277 | ||
378,382 | |||||
Information Technology 8.7% | |||||
Analog Devices Inc. | United States | 150 | 16,943 | ||
Cisco Systems Inc. | United States | 2,000 | 90,620 | ||
International Business Machines Corp. | United States | 810 | 108,904 | ||
Texas Instruments Inc. | United States | 1,200 | 144,252 | ||
360,719 | |||||
Materials 2.4% | |||||
Rio Tinto PLC, ADR | Australia | 1,800 | 98,208 | ||
Real Estate 1.7% | |||||
Host Hotels & Resorts Inc. | United States | 4,140 | 72,409 |
Country | Shares | Value | |||
Common Stocks (continued) | |||||
Utilities 8.4% | |||||
Dominion Energy Inc. | United States | 1,400 | $116,354 | ||
Duke Energy Corp. | United States | 1,200 | 105,804 | ||
The Southern Co. | United States | 2,000 | 123,980 | ||
346,138 | |||||
Total Common Stocks (Cost $2,794,451) | 3,018,656 | ||||
Equity-Linked Securities 13.4% | |||||
Consumer Discretionary 7.2% | |||||
b | Citigroup Global Markets Holdings Inc. into Amazon.com Inc., 8.00%, 144A | United States | 30 | 54,217 | |
b | JPMorgan Chase Bank National Assn. into Target Corp., 9.00%, 144A | United States | 1,300 | 152,691 | |
b | Wells Fargo Bank National Assn. into General Motors Co., 8.50%, 144A | United States | 2,500 | 91,803 | |
298,711 | |||||
Health Care 2.3% | |||||
b | UBS AG London into CVS Health Corp., 8.50%, 144A | United States | 1,400 | 94,020 | |
Information Technology 3.9% | |||||
b | Royal Bank of Canada into Intel Corp., 8.00%, 144A | United States | 3,100 | 162,552 | |
Total Equity-Linked Securities (Cost $525,056) | 555,283 | ||||
Convertible Preferred Stocks (Cost $100,000) 2.8% | |||||
Information Technology 2.8% | |||||
Broadcom Inc., 8.00%, cvt. pfd., A | United States | 100 | 115,700 | ||
Preferred Stocks (Cost $137,118) 3.4% | |||||
Financials 3.4% | |||||
Citigroup Inc., 6.875%, pfd., K | United States | 5,000 | 140,650 | ||
Units | |||||
Index-Linked Notes (Cost $39,189) 1.0% | |||||
Financials 1.0% | |||||
c | Credit Suisse AG, senior note, 6.309%, 2/08/21 | United States | 13 | 39,565 | |
Total Investments before Short Term Investments (Cost $3,595,814) | 3,869,854 | ||||
Shares | |||||
Short Term Investments (Cost $301,177) 7.2% | |||||
Money Market Funds 7.2% | |||||
d,e | Institutional Fiduciary Trust Money Market Portfolio, 1.35% | United States | 301,177 | 301,177 | |
Total Investments (Cost $3,896,991) 100.6% | 4,171,031 | ||||
Other Assets, less Liabilities (0.6)% | (26,880) | ||||
Net Assets 100.0% | $4,144,151 |
aNon-income producing. |
bSecurity was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from registration only to qualified institutional buyers or in a public offering registered under the Securities Act of 1933.At November 30, 2019, the aggregate value of these securities was $555,283, representing 13.4% of net assets. |
cSecurity pays variable interest based on the distributions of the strategy index and proceeds earned from related equity derivatives. The coupon rate shown represents the combined rate at period end. Cash payment at maturity or upon early redemption is based on the performance of the strategy index. |
dSee Note 5 regarding investments in affiliated management investment companies. |
eThe rate shown is the annualized seven-day effective yield at period end. |
Shares | Value | |||
Management Investment Companies (Cost $1,017,100) 33.7% | ||||
Financials 33.7% | ||||
a | Franklin Liberty Intermediate Municipal Opportunities ETF | 40,000 | $1,014,800 | |
Principal Amount | ||||
Municipal Bonds 61.5% | ||||
California 4.8% | ||||
Tobacco Securitization Authority Southern California Tobacco Settlement Asset -Backed Revenue, San Diego County Tobacco Asset Securitization Corp., Class 2, Refunding, Series B-1, 5.00%,
6/01/48 | $125,000 | 143,770 | ||
Colorado 19.4% | ||||
Colorado State Health Facilities Authority Revenue, Christian Living Communities, Refunding and Improvement, 4.00%, 1/01/38 | 100,000 | 106,178 | ||
Denver Health and Hospital Authority Healthcare Revenue, Refunding, Series A, 4.00%, 12/01/37 | 100,000 | 111,102 | ||
Hunters Overlook Metropolitan District No. 5 GO, In the Town of Severance, Weld County, Limited Tax, Series A, 5.00%, 12/01/39 | 150,000 | 161,094 | ||
Village at Dry Creek Metropolitan District No. 2 GO, In the City of Thorton, Adams County, Limited Tax, Special, 4.375%, 12/01/44 | 200,000 | 205,614 | ||
583,988 | ||||
District of Columbia 5.4% | ||||
District of Columbia Revenue, District of Columbia International School Issue, 5.00%, 7/01/54 | 140,000 | 164,235 | ||
Indiana 3.9% | ||||
Indiana State Finance Authority Educational Facilities Revenue, Marian University Project, Series A, 5.00%, 9/15/39 | 100,000 | 118,417 | ||
Louisiana 12.5% | ||||
Calcasieu Parish Memorial Hospital Service District Hospital Revenue, Lake Charles Memorial Hospital Project, Refunding, 5.00%, 12/01/39 | 200,000 | 235,238 | ||
Louisiana Local Government Environmental Facilities and CDA Revenue, St. Martin Parish Gomesa Project, 4.40%, 11/01/44 | 135,000 | 141,591 | ||
376,829 | ||||
Maryland 3.3% | ||||
Baltimore Special Obligation Revenue, Mayor and City Council of Baltimore, Harbor Point Project, Senior, Refunding, Series A, 3.50%, 6/01/39 | 100,000 | 100,806 | ||
Texas 4.0% | ||||
New Hope Cultural Education Facilities Finance Corp. Education Revenue, Cityscape Schools Inc., Series A, 5.00%, 8/15/39 | 110,000 | 122,066 | ||
Washington 3.6% | ||||
Washington State Housing Finance Commission Revenue, Nonprofit Housing, Transforming Age Projects, Refunding, Series A, 5.00%, 1/01/49 | 100,000 | 109,142 | ||
Wisconsin 4.6% | ||||
PFAR, Retirement Facilities, Friends Homes, Refunding, 5.00%, 9/01/49 | 125,000 | 137,384 | ||
Total Municipal Bonds (Cost $1,837,366) | 1,856,637 | |||
Total Investments before Short Term Investments (Cost $2,854,466) | 2,871,437 |
Principal Amount | Value | |||
Short Term Investments (Cost $100,000) 3.3% | ||||
Municipal Bonds 3.3% | ||||
Florida 3.3% | ||||
b | Martin County PCR, Florida Power and Light Co. Project, Refunding, Daily VRDN and Put, 1.23%, 7/15/22 | $100,000 | $100,000 | |
Total Investments (Cost $2,954,466) 98.5% | 2,971,437 | |||
Other Assets, less Liabilities 1.5% | 46,286 | |||
Net Assets 100.0% | $3,017,723 |
aSee Note 5 regarding investments in affiliated management investment companies. |
bVariable rate demand notes (VRDNs) are obligations which contain a floating or variable interest rate adjustment formula and an unconditional right of demand to receive payment of the principal balance plus accrued interest at specified dates. Unless otherwise noted, the coupon rate is determined based on factors including supply and demand, underlying credit, tax treatment, and current short term rates. The coupon rate shown represents the rate at period end. |
Principal Amount | Value | |||
Corporate Bonds 98.3% | ||||
Communication Services 16.0% | ||||
AMC Entertainment Holdings Inc., senior sub. bond, 5.75%, 6/15/25 | $110,000 | $102,435 | ||
a | CCO Holdings LLC/CCO Holdings Capital Corp., senior bond, 144A, 5.00%, 2/01/28 | 50,000 | 52,751 | |
DISH DBS Corp., senior bond, 5.875%, 7/15/22 | 110,000 | 115,224 | ||
Netflix Inc., senior bond, 4.875%, 4/15/28 | 75,000 | 77,011 | ||
Sprint Communications Inc., senior note, 6.00%, 11/15/22 | 120,000 | 126,600 | ||
a | Univision Communications Inc., senior secured note, first lien, 144A, 5.125%, 2/15/25 | 110,000 | 106,288 | |
580,309 | ||||
Consumer Discretionary 14.3% | ||||
a | 24 Hour Holdings III LLC, senior note, 144A, 8.00%, 6/01/22 | 150,000 | 73,125 | |
Ford Motor Co., senior note, 4.346%, 12/08/26 | 110,000 | 111,077 | ||
a | Golden Nugget Inc., senior note, 144A, 6.75%, 10/15/24 | 55,000 | 56,924 | |
a | Hanesbrands Inc., senior bond, 144A, 4.875%, 5/15/26 | 75,000 | 79,958 | |
a | Shea Homes LP/Shea Homes Funding Corp., senior bond, 144A, 6.125%, 4/01/25 | 110,000 | 114,171 | |
a | Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., senior bond, 144A, 5.50%, 3/01/25 | 75,000 | 80,156 | |
515,411 | ||||
Consumer Staples 3.3% | ||||
a | Post Holdings Inc., senior bond, 144A, 5.625%, 1/15/28 | 110,000 | 117,680 | |
Energy 10.6% | ||||
Calumet Specialty Products Partners LP/Calumet Finance Corp., | ||||
senior note, 7.75%, 4/15/23 | 110,000 | 106,150 | ||
a senior note, 144A, 11.00%, 4/15/25 | 50,000 | 50,438 | ||
Chesapeake Energy Corp., senior note, 7.50%, 10/01/26 | 350,000 | 174,247 | ||
Matador Resources Co., senior note, 5.875%, 9/15/26 | 55,000 | 53,970 | ||
384,805 | ||||
Financials 6.6% | ||||
b | Citigroup Inc., junior sub. bond, O, 5.875% to 3/27/20, FRN thereafter, Perpetual | 180,000 | 181,132 | |
Navient Corp., senior note, 5.50%, 1/25/23 | 55,000 | 58,231 | ||
239,363 | ||||
Health Care 36.4% | ||||
a | Bausch Health Cos. Inc., senior bond, 144A, 6.125%, 4/15/25 | 180,000 | 187,644 | |
CHS/Community Health Systems Inc., | ||||
a senior note, 144A, 8.00%, 12/15/27 | 174,000 | 170,955 | ||
a senior note, 144A, 6.875%, 4/01/28 | 425,000 | 214,625 | ||
a senior secured note, 144A, 8.00%, 3/15/26 | 150,000 | 150,094 | ||
DaVita Inc., senior bond, 5.00%, 5/01/25 | 55,000 | 56,880 | ||
Mylan Inc., senior bond, 4.55%, 4/15/28 | 110,000 | 117,971 | ||
a | Par Pharmaceutical Inc., senior secured note, 144A, 7.50%, 4/01/27 | 110,000 | 104,228 | |
Tenet Healthcare Corp., senior note, 7.00%, 8/01/25 | 300,000 | 315,502 | ||
1,317,899 | ||||
Industrials 2.2% | ||||
United Rentals North America Inc., senior bond, 4.875%, 1/15/28 | 75,000 | 78,443 |
Principal Amount | Value | |||
Corporate Bonds (continued) | ||||
Information Technology 1.5% | ||||
a | CommScope Technologies LLC, senior bond, 144A, 6.00%, 6/15/25 | $55,000 | $53,488 | |
Materials 4.3% | ||||
Freeport-McMoRan Inc., senior bond, 3.875%, 3/15/23 | 50,000 | 51,062 | ||
a | Mauser Packaging Solutions Holding Co., senior note, 144A, 7.25%, 4/15/25 | 110,000 | 104,499 | |
155,561 | ||||
Real Estate 1.6% | ||||
a | Iron Mountain Inc., senior note, 144A, 4.875%, 9/15/27 | 55,000 | 56,640 | |
Utilities 1.5% | ||||
Calpine Corp., senior note, 5.50%, 2/01/24 | 55,000 | 56,103 | ||
Total Corporate Bonds (Cost $3,711,862) | 3,555,702 | |||
Shares | ||||
Short Term Investments (Cost $35,346) 1.0% | ||||
Money Market Funds 1.0% | ||||
c,d | Institutional Fiduciary Trust Money Market Portfolio, 1.35% | 35,346 | 35,346 | |
Total Investments (Cost $3,747,208) 99.3% | 3,591,048 | |||
Other Assets, less Liabilities 0.7% | 24,136 | |||
Net Assets 100.0% | $3,615,184 |
aSecurity was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from registration only to qualified institutional buyers or in a public offering registered under the Securities Act of 1933.At November 30, 2019, the aggregate value of these securities was $1,773,664, representing 49.1% of net assets. |
bPerpetual security with no stated maturity date. |
cSee Note 5 regarding investments in affiliated management investment companies. |
dThe rate shown is the annualized seven-day effective yield at period end. |
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 | Dividend Income | |
Franklin Templeton SMACS: Series E | ||||||||
Non-Controlled Affiliates | ||||||||
Institutional Fiduciary Trust Money Market Portfolio, 1.35% | $324,104 | $662,409 | $(685,336) | $ — | $ — | $301,177 | 301,177 | $1,603 |
Franklin Templeton SMACS: Series H | ||||||||
Non-Controlled Affiliates | ||||||||
Franklin Liberty Intermediate Municipal Opportunities ETF | $1,033,400 | $ — | $ — | $ — | $(18,600) | $1,014,800 | 40,000 | $5,541 |
Franklin Templeton SMACS: Series I | ||||||||
Non-Controlled Affiliates | ||||||||
Institutional Fiduciary Trust Money Market Portfolio, 1.35% | $281,746 | $210,314 | $(456,714) | $ — | $ — | $35,346 | 35,346 | $931 |
• | 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) |
Level 1 | Level 2 | Level 3 | Total | |
Franklin Templeton SMACS: Series CH | ||||
Assets: | ||||
Investments in Securities:a | ||||
Municipal Bonds | $— | $3,267,338 | $— | $3,267,338 |
Total Investments in Securities | $ — | $3,267,338 | $ — | $3,267,338 |
Level 1 | Level 2 | Level 3 | Total | |
Franklin Templeton SMACS: Series E | ||||
Assets: | ||||
Investments in Securities:a | ||||
Equity Investmentsb | $3,275,006 | $— | $— | $3,275,006 |
Equity-Linked Securities | — | 555,283 | — | 555,283 |
Index-Linked Notes | — | 39,565 | — | 39,565 |
Short Term Investments | 301,177 | — | — | 301,177 |
Total Investments in Securities | $3,576,183 | $594,848 | $ — | $4,171,031 |
Franklin Templeton SMACS: Series H | ||||
Assets: | ||||
Investments in Securities:a | ||||
Management Investment Companies | $1,014,800 | $— | $— | $1,014,800 |
Municipal Bonds | — | 1,856,637 | — | 1,856,637 |
Short Term Investments | — | 100,000 | — | 100,000 |
Total Investments in Securities | $1,014,800 | $1,956,637 | $ — | $2,971,437 |
Franklin Templeton SMACS: Series I | ||||
Assets: | ||||
Investments in Securities:a | ||||
Corporate Bonds | $— | $3,555,702 | $— | $3,555,702 |
Short Term Investments | 35,346 | — | — | 35,346 |
Total Investments in Securities | $35,346 | $3,555,702 | $ — | $3,591,048 |
aFor detailed categories, see the accompanying Statement of Investments. |
bIncludes common, preferred and convertible preferred stocks. |
Selected Portfolio | |
ADR | American Depository Receipt |
CDA | Community Development Authority/Agency |
CFD | Community Facilities District |
ETF | Exchange-Traded Fund |
FRN | Floating Rate Note |
GO | General Obligation |
PCR | Pollution Control Revenue |
PFA | Public Financing Authority |
PFAR | Public Financing Authority Revenue |