NPORT-EX 2 Franklin_Strategic_Series.htm
Franklin
Strategic
Series
Statement
of
Investments
(unaudited),
May
31,
2020
Franklin
Templeton
SMACS:
Series
CH
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
1
See
Abbreviations
on
page
15
.
a
a
Principal
Amount
a
Value
a
a
a
a
a
Municipal
Bonds
90.1%
California
90.1%
a
California
Community
Housing
Agency
,
Revenue
,
144A,
2019
A
,
5
%
,
4/01/49
......
$
200,000
$
208,096
California
Municipal
Finance
Authority
,
Congregational
Home
Obligated
Group
(The)
,
Revenue
,
2019
,
Refunding
,
5
%
,
11/15/49
................................
130,000
128,809
California
Statewide
Communities
Development
Authority
,
Special
Assessment,
2019
C,
5%,
9/02/49
...............................
125,000
134,845
Community
Facilities
District
No.
2016-02,
Special
Tax,
2019,
5%,
9/01/39
.......
100,000
107,974
a
Loma
Linda
University
Medical
Center
Obligated
Group,
Revenue,
144A,
2018
A,
5.5%,
12/01/58
..................................................
250,000
256,575
a
NCCD-Hooper
Street
LLC,
Revenue,
144A,
2019,
5.25%,
7/01/52
.............
200,000
196,638
City
of
Rancho
Cordova
,
Grantline
208
Community
Facilities
District
No.
2018-1
,
Special
Tax
,
2019
,
5
%
,
9/01/49
.......................................
125,000
134,844
City
of
Roseville
,
Villages
at
Sierra
Vista
Community
Facilities
District
No.
1
,
Special
Tax
,
2019
,
5
%
,
9/01/49
.............................................
255,000
270,346
Dublin
Community
Facilities
District
No.
2015-1
,
Special
Tax
,
2019
,
5
%
,
9/01/49
....
130,000
142,957
Folsom
Ranch
Financing
Authority
,
City
of
Folsom
Community
Facilities
District
No.
19,
Special
Tax,
2017,
5%,
9/01/47
125,000
136,235
City
of
Folsom
Community
Facilities
District
No.
19,
Special
Tax,
2019,
5%,
9/01/49
125,000
135,692
Foothill-Eastern
Transportation
Corridor
Agency
,
Revenue
,
2013
B-2
,
Refunding
,
3.5
%
,
1/15/53
.........................................................
190,000
193,211
Menifee
Union
School
District
,
Community
Facilities
District
No.
2018-2
,
Special
Tax
,
2019
,
5
%
,
9/01/49
.................................................
50,000
54,017
Tobacco
Securitization
Authority
of
Southern
California
,
San
Diego
County
Tobacco
Asset
Securitization
Corp.
,
Revenue
,
2019
B-1
,
Refunding
,
5
%
,
6/01/48
.........
125,000
131,465
Tracy
Community
Facilities
District
,
City
of
Tracy
Community
Facilities
District
No.
2016-01
,
Special
Tax
,
2018
,
5
%
,
9/01/48
................................
135,000
145,845
Upland
Community
Facilities
District
,
City
of
Upland
Community
Facilities
District
No.
2015-1
,
Special
Tax
,
2019
A
,
4
%
,
9/01/49
................................
185,000
191,457
2,569,006
Total
Municipal
Bonds
(Cost
$2,714,599)
.......................................
2,569,006
a
a
a
a
Short
Term
Investments
7.0%
Municipal
Bonds
7.0%
California
7.0%
b
State
of
California
,
GO,
2003A-2,
LOC
Bank
of
Montreal,
Daily
VRDN
and
Put,
0.02%,
5/01/33
......
100,000
100,000
GO,
2004
A5,
LOC
Citibank
NA,
Daily
VRDN
and
Put,
0.02%,
5/01/34
..........
100,000
100,000
200,000
Total
Municipal
Bonds
(Cost
$200,000)
.........................................
200,000
a
Total
Investments
(Cost
$2,914,599)
97.1%
.....................................
$2,769,006
Other
Assets,
less
Liabilities
2.9%
.............................................
81,298
Net
Assets
100.0%
...........................................................
$2,850,304
a
Security
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
May
31,
2020,
the
aggregate
value
of
these
securities
was
$661,309,
representing
23.2%
of
net
assets.
Franklin
Strategic
Series
Statement
of
Investments
(unaudited)
Franklin
Templeton
SMACS:
Series
CH
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
2
b
Variable
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.
Franklin
Strategic
Series
Statement
of
Investments
(unaudited),
May
31,
2020
Franklin
Templeton
SMACS:
Series
E
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
3
a
a
Country
Shares
a
Value
a
Common
Stocks
74.1%
Aerospace
&
Defense
2.4%
General
Dynamics
Corp.
................................
United
States
600
$
88,098
Banks
2.6%
Barclays
plc
.........................................
United
Kingdom
37,000
52,889
Wells
Fargo
&
Co.
.....................................
United
States
1,600
42,352
95,241
Beverages
2.9%
PepsiCo,
Inc.
........................................
United
States
800
105,240
Capital
Markets
1.8%
Morgan
Stanley
.......................................
United
States
1,500
66,300
Chemicals
4.1%
Air
Products
and
Chemicals,
Inc.
..........................
United
States
350
84,578
BASF
SE
...........................................
Germany
1,200
65,310
149,888
Communications
Equipment
2.6%
Cisco
Systems,
Inc.
...................................
United
States
2,000
95,640
Diversified
Telecommunication
Services
1.9%
Deutsche
Telekom
AG
..................................
Germany
4,500
70,618
Electric
Utilities
5.9%
Duke
Energy
Corp.
....................................
United
States
1,200
102,756
Southern
Co.
(The)
....................................
United
States
2,000
114,140
216,896
Equity
Real
Estate
Investment
Trusts
(REITs)
1.4%
Host
Hotels
&
Resorts,
Inc.
..............................
United
States
4,140
49,432
Health
Care
Providers
&
Services
3.3%
CVS
Health
Corp.
.....................................
United
States
1,865
122,288
Interactive
Media
&
Services
2.7%
a
Alphabet,
Inc.,
A
......................................
United
States
70
100,346
a
Media
0.3%
Comcast
Corp.,
A
.....................................
United
States
300
11,880
Metals
&
Mining
2.7%
Rio
Tinto
plc,
ADR
.....................................
Australia
1,800
97,056
Multiline
Retail
4.3%
Target
Corp.
.........................................
United
States
1,300
159,029
Multi-Utilities
4.3%
Dominion
Energy,
Inc.
..................................
United
States
1,400
119,014
DTE
Energy
Co.
......................................
United
States
350
37,649
156,663
Oil,
Gas
&
Consumable
Fuels
7.8%
Chevron
Corp.
.......................................
United
States
2,000
183,400
Royal
Dutch
Shell
plc,
ADR,
A
............................
Netherlands
3,200
102,240
285,640
Pharmaceuticals
12.4%
AstraZeneca
plc,
ADR
..................................
United
Kingdom
3,300
180,180
Bayer
AG
...........................................
Germany
1,000
68,357
Bristol-Myers
Squibb
Co.
................................
United
States
1,675
100,031
Franklin
Strategic
Series
Statement
of
Investments
(unaudited)
Franklin
Templeton
SMACS:
Series
E
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
4
a
a
Country
Shares
a
Value
a
Common
Stocks
(continued)
Pharmaceuticals
(continued)
Merck
&
Co.,
Inc.
.....................................
United
States
1,300
$
104,936
453,504
Semiconductors
&
Semiconductor
Equipment
4.4%
Analog
Devices,
Inc.
...................................
United
States
150
16,942
Texas
Instruments,
Inc.
.................................
United
States
1,200
142,488
159,430
Specialty
Retail
4.7%
Home
Depot,
Inc.
(The)
.................................
United
States
700
173,936
Tobacco
1.6%
Philip
Morris
International,
Inc.
...........................
United
States
800
58,688
Total
Common
Stocks
(Cost
$2,747,824)
.......................................
2,715,813
Equity-Linked
Securities
17.3%
Automobiles
3.5%
b
Citigroup
Global
Markets
Holdings,
Inc.
into
Amazon.com,
Inc.,
Senior
Unsecured,
144A,
8%,
11/19/20
...................
United
States
30
58,149
b
Wells
Fargo
Bank
NA
into
General
Motors
Co.,
Senior
Unsecured,
144A,
8.5%,
11/25/20
.................................
United
States
2,500
68,071
126,220
Health
Care
Providers
&
Services
2.4%
b
UBS
AG
into
CVS
Health
Corp.,
144A,
8.5%,
8/31/20
..........
United
States
1,400
89,199
IT
Services
2.8%
b
Credit
Suisse
AG
into
International
Business
Machines
Corp.,
144A,
7.5%,
2/22/21
......................................
United
States
810
103,409
Multiline
Retail
4.1%
b
JPMorgan
Chase
Bank
NA
into
Target
Corp.,
Senior
Unsecured,
144A,
9%,
9/22/20
...................................
United
States
1,300
149,862
Semiconductors
&
Semiconductor
Equipment
4.5%
b
Royal
Bank
of
Canada
into
Intel
Corp.,
144A,
8%,
7/17/20
.......
United
States
3,100
163,868
Total
Equity-Linked
Securities
(Cost
$648,702)
..................................
632,558
Convertible
Preferred
Stocks
2.9%
Semiconductors
&
Semiconductor
Equipment
2.9%
Broadcom,
Inc.,
8%
....................................
United
States
100
108,595
Total
Convertible
Preferred
Stocks
(Cost
$100,000)
..............................
108,595
Preferred
Stocks
3.7%
Banks
3.7%
Citigroup,
Inc.,
6.875%
.................................
United
States
5,000
135,350
Total
Preferred
Stocks
(Cost
$137,118)
.........................................
135,350
Franklin
Strategic
Series
Statement
of
Investments
(unaudited)
Franklin
Templeton
SMACS:
Series
E
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
5
See
Abbreviations
on
page
15
.
a
a
Country
Units
a
Value
a
a
a
a
a
a
Index-Linked
Notes
1.0%
Capital
Markets
1.0%
b,c
Credit
Suisse
AG,
Senior
Note,
144A,
11.06%,
2/08/21
.........
United
States
13
$
35,490
Total
Index-Linked
Notes
(Cost
$39,189)
.......................................
35,490
Total
Long
Term
Investments
(Cost
$3,672,833)
.................................
3,627,806
a
Short
Term
Investments
0.3%
a
a
Country
Shares
a
Value
a
Money
Market
Funds
0.3%
d,e
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0%
........
United
States
10,102
10,102
Total
Money
Market
Funds
(Cost
$10,102)
......................................
10,102
Total
Short
Term
Investments
(Cost
$10,102
)
...................................
10,102
a
Total
Investments
(Cost
$3,682,935)
99.3%
.....................................
$3,637,908
Other
Assets,
less
Liabilities
0.7%
.............................................
25,999
Net
Assets
100.0%
...........................................................
$3,663,907
a
Non-income
producing.
b
Security
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
May
31,
2020,
the
aggregate
value
of
these
securities
was
$668,048,
representing
18.2%
of
net
assets.
c
Security
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.
d
See
Note
6
regarding
investments
in
affiliated
management
investment
companies.
e
The
rate
shown
is
the
annualized
seven-day
effective
yield
at
period
end.
Franklin
Strategic
Series
Statement
of
Investments
(unaudited),
May
31,
2020
Franklin
Templeton
SMACS:
Series
H
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
6
a
a
Shares
a
Value
a
Management
Investment
Companies
36.1%
Capital
Markets
36.1%
a
Franklin
Liberty
Intermediate
Municipal
Opportunities
ETF
.....................
40,000
$
997,800
Total
Management
Investment
Companies
(Cost
$1,017,100)
.....................
997,800
Principal
Amount
a
a
a
a
Municipal
Bonds
62.0%
California
4.8%
Tobacco
Securitization
Authority
of
Southern
California
,
San
Diego
County
Tobacco
Asset
Securitization
Corp.
,
Revenue
,
2019
B-1
,
Refunding
,
5
%
,
6/01/48
.........
$
125,000
131,465
Colorado
18.0%
Colorado
Health
Facilities
Authority
,
Christian
Living
Neighborhoods
Obligated
Group
,
Revenue
,
2019
,
Refunding
,
4
%
,
1/01/38
.................................
100,000
79,379
Denver
Health
&
Hospital
Authority
,
Revenue
,
2019
A
,
Refunding
,
4
%
,
12/01/37
....
100,000
105,046
Hunters
Overlook
Metropolitan
District
No.
5
,
GO
,
2019
A
,
5
%
,
12/01/39
..........
150,000
146,710
Village
at
Dry
Creek
Metropolitan
District
No.
2
(The)
,
GO
,
2019
,
4.375
%
,
12/01/44
..
200,000
167,024
498,159
Indiana
4.0%
Indiana
Finance
Authority
,
Marian
University,
Inc.
,
Revenue
,
2019
A
,
5
%
,
9/15/39
...
100,000
109,869
Louisiana
11.9%
Calcasieu
Parish
Memorial
Hospital
Service
District
,
Southwest
Louisiana
Healthcare
System
Obligated
Group
,
Revenue
,
2019
,
Refunding
,
5
%
,
12/01/39
............
200,000
217,532
b
Louisiana
Local
Government
Environmental
Facilities
&
Community
Development
Authority
,
Parish
of
St.
Martin
,
Revenue
,
144A,
2019
,
4.4
%
,
11/01/44
...........
135,000
110,433
327,965
Maryland
3.0%
b
City
of
Baltimore
,
Harbor
Point
Special
Taxing
District
,
Tax
Allocation,
Senior
Lien
,
144A,
2019
A
,
Refunding
,
3.5
%
,
6/01/39
................................
100,000
84,471
Pennsylvania
3.7%
b
Allentown
Neighborhood
Improvement
Zone
Development
Authority
,
Revenue
,
144A,
2017
,
5
%
,
5/01/32
.................................................
100,000
101,161
Texas
4.0%
b
New
Hope
Cultural
Education
Facilities
Finance
Corp.
,
Cityscape
Schools,
Inc.
,
Revenue
,
144A,
2019
A
,
5
%
,
8/15/39
...................................
110,000
109,723
Washington
3.1%
b
Washington
State
Housing
Finance
Commission
,
Presbyterian
Retirement
Communities
Northwest
Obligated
Group
,
Revenue
,
144A,
2019A
,
5
%
,
1/01/49
...
100,000
86,527
Wisconsin
4.1%
b
Public
Finance
Authority
,
Friends
Homes
Obligated
Group
,
Revenue
,
144A,
2019
,
Refunding
,
5
%
,
9/01/49
.............................................
125,000
112,277
Franklin
Strategic
Series
Statement
of
Investments
(unaudited)
Franklin
Templeton
SMACS:
Series
H
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
7
See
Abbreviations
on
page
15
.
a
a
Principal
Amount
a
Value
a
a
a
a
a
Municipal
Bonds
(continued)
U.S.
Territories
5.4%
District
of
Columbia
5.4%
District
of
Columbia
,
International
School
Obligated
Group
,
Revenue
,
2019
,
5
%
,
7/01/49
......................................................
$
140,000
$
149,572
Total
Municipal
Bonds
(Cost
$1,908,978)
.......................................
1,711,189
Total
Long
Term
Investments
(Cost
$2,926,078)
.................................
2,708,989
a
a
a
a
a
a
Total
Investments
(Cost
$2,926,078)
98.1%
.....................................
$2,708,989
Other
Assets,
less
Liabilities
1.9%
.............................................
52,260
Net
Assets
100.0%
...........................................................
$2,761,249
a
See
Note
6
regarding
investments
in
affiliated
management
investment
companies.
b
Security
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
May
31,
2020,
the
aggregate
value
of
these
securities
was
$604,592,
representing
21.9%
of
net
assets.
Franklin
Strategic
Series
Statement
of
Investments
(unaudited),
May
31,
2020
Franklin
Templeton
SMACS:
Series
I
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
8
a
a
Principal
Amount
a
Value
a
a
a
a
a
Corporate
Bonds
87.1%
Automobiles
6.4%
Ford
Motor
Co.
,
Senior
Note
,
9
%
,
4/22/25
.................................
$
100,000
$
105,500
General
Motors
Co.
,
Senior
Note
,
6.125
%
,
10/01/25
.........................
100,000
109,388
214,888
Communications
Equipment
1.6%
a
CommScope
Technologies
LLC
,
Senior
Bond
,
144A
,
6
%
,
6/15/25
...............
55,000
53,644
Containers
&
Packaging
3.0%
a
Mauser
Packaging
Solutions
Holding
Co.
,
Senior
Note
,
144A
,
7.25
%
,
4/15/25
......
110,000
99,343
Entertainment
2.4%
Netflix,
Inc.
,
Senior
Bond
,
4.875
%
,
4/15/28
................................
75,000
80,299
Equity
Real
Estate
Investment
Trusts
(REITs)
1.7%
a
Iron
Mountain,
Inc.
,
Senior
Note
,
144A
,
4.875
%
,
9/15/27
......................
55,000
55,435
Food
Products
3.5%
a
Post
Holdings,
Inc.
,
Senior
Bond
,
144A
,
5.625
%
,
1/15/28
.....................
110,000
115,480
Health
Care
Providers
&
Services
25.0%
CHS/Community
Health
Systems,
Inc.
,
Senior
Note,
144A,
6.875%,
4/01/28
....................................
425,000
159,375
Senior
Secured
Note,
144A,
8%,
3/15/26
................................
150,000
146,882
Senior
Secured
Note,
144A,
8%,
12/15/27
...............................
174,000
167,584
DaVita,
Inc.
,
Senior
Bond
,
5
%
,
5/01/25
...................................
55,000
56,547
Tenet
Healthcare
Corp.
,
Senior
Note
,
7
%
,
8/01/25
...........................
300,000
302,218
832,606
Hotels,
Restaurants
&
Leisure
6.7%
a
Golden
Nugget,
Inc.
,
Senior
Note
,
144A
,
6.75
%
,
10/15/24
.....................
55,000
44,584
a
Vail
Resorts,
Inc.
,
Senior
Note
,
144A
,
6.25
%
,
5/15/25
........................
100,000
105,500
a
Wynn
Las
Vegas
LLC
/
Wynn
Las
Vegas
Capital
Corp.
,
Senior
Bond
,
144A
,
5.5
%
,
3/01/25
.........................................................
75,000
72,936
223,020
Household
Durables
3.2%
a
Shea
Homes
LP
/
Shea
Homes
Funding
Corp.
,
Senior
Bond
,
144A
,
6.125
%
,
4/01/25
.
106,000
106,651
Independent
Power
and
Renewable
Electricity
Producers
1.7%
Calpine
Corp.
,
Senior
Note
,
5.5
%
,
2/01/24
.................................
55,000
55,584
Media
6.5%
DISH
DBS
Corp.
,
Senior
Note
,
5.875
%
,
7/15/22
............................
110,000
113,294
a
Univision
Communications,
Inc.
,
Senior
Secured
Note
,
144A
,
5.125
%
,
2/15/25
.....
110,000
105,505
218,799
Metals
&
Mining
4.6%
a
Cleveland-Cliffs,
Inc.
,
Senior
Secured
Note
,
144A
,
9.875
%
,
10/17/25
.............
100,000
104,500
Freeport-McMoRan,
Inc.
,
Senior
Note
,
3.875
%
,
3/15/23
.......................
50,000
50,526
155,026
Oil,
Gas
&
Consumable
Fuels
4.3%
Calumet
Specialty
Products
Partners
LP
/
Calumet
Finance
Corp.
,
Senior
Note,
7.75%,
4/15/23
.........................................
110,000
98,026
Franklin
Strategic
Series
Statement
of
Investments
(unaudited)
Franklin
Templeton
SMACS:
Series
I
(continued)
See
Notes
to
Statements
of
Investments.
Quarterly
Statement
of
Investments
9
See
Abbreviations
on
page
15
.
a
a
Principal
Amount
a
Value
a
a
a
a
a
Corporate
Bonds
(continued)
Oil,
Gas
&
Consumable
Fuels
(continued)
Calumet
Specialty
Products
Partners
LP
/
Calumet
Finance
Corp.,
(continued)
a
Senior
Note,
144A,
11%,
4/15/25
......................................
$
50,000
$
45,656
143,682
Pharmaceuticals
8.9%
a
Bausch
Health
Cos.,
Inc.
,
Senior
Bond
,
144A
,
6.125
%
,
4/15/25
.................
180,000
183,131
a
Par
Pharmaceutical,
Inc.
,
Senior
Secured
Note
,
144A
,
7.5
%
,
4/01/27
.............
110,000
112,403
295,534
Trading
Companies
&
Distributors
3.8%
United
Rentals
North
America,
Inc.
,
Senior
Bond
,
4.875
%
,
1/15/28
..............
75,000
77,446
a
WESCO
Distribution,
Inc.
,
Senior
Note
,
144A
,
7.125
%
,
6/15/25
.................
50,000
50,000
127,446
Wireless
Telecommunication
Services
3.8%
Sprint
Communications,
Inc.
,
Senior
Bond
,
6
%
,
11/15/22
......................
120,000
127,767
Total
Corporate
Bonds
(Cost
$2,976,576)
.......................................
2,905,204
Mortgage-Backed
Securities
8.8%
Government
National
mortgage
Association
(GNMA)
Fixed
Rate
8.8%
GNMA
II,
30
Year
,
3.5
%,
1/20/50
........................................
137,645
146,291
GNMA
II,
30
Year
,
4
%,
1/20/50
.........................................
136,824
145,952
292,243
Total
Mortgage-Backed
Securities
(Cost
$286,558)
..............................
292,243
Total
Long
Term
Investments
(Cost
$3,263,134)
.................................
3,197,447
a
a
a
a
a
Short
Term
Investments
3.9%
Shares
a
Money
Market
Funds
3.9%
b,c
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0%
......................
130,333
130,333
Total
Money
Market
Funds
(Cost
$130,333)
.....................................
130,333
a
Total
Investments
(Cost
$3,393,467)
99.8%
.....................................
$3,327,780
Other
Assets,
less
Liabilities
0.2%
.............................................
6,726
Net
Assets
100.0%
...........................................................
$3,334,506
*
The
principal
amount
is
stated
in
U.S.
dollars
unless
otherwise
indicated.
Franklin
Strategic
Series
Statement
of
Investments
(unaudited)
Franklin
Templeton
SMACS:
Series
I
(continued)
Quarterly
Statement
of
Investments
See
Notes
to
Statements
of
Investments.
10
a
Security
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
May
31,
2020,
the
aggregate
value
of
these
securities
was
$1,728,609,
representing
51.8%
of
net
assets.
b
See
Note
6
regarding
investments
in
affiliated
management
investment
companies.
c
The
rate
shown
is
the
annualized
seven-day
effective
yield
at
period
end.
Franklin
Strategic
Series
11
Quarterly
Statement
of
Investments
Notes
to
Statements
of
Investments
(unaudited)
1.
Organization
Franklin
Strategic
Series (Trust)
is
registered
under
the
Investment
Company
Act
of
1940
(1940
Act)
as
an
open-end
management
investment
company,
consisting
of
eleven
separate
funds,
four
of
which
are
included
in
this
report
(Funds)
and
applies
the
specialized
accounting
and
reporting
guidance
in
U.S.
Generally
Accepted
Accounting
Principles
(U.S.
GAAP). 
2. Financial
Instrument
Valuation
The
Funds’
investments
in
financial
instruments
are
carried
at
fair
value
daily.
Fair
value
is
the
price
that
would
be
received
to
sell
an
asset
or
paid
to
transfer
a
liability
in
an
orderly
transaction
between
market
participants
on
the
measurement
date.
The
Funds
calculate
the
net
asset
value
(NAV)
per
share
each
business
day
as
of
4
p.m.
Eastern
time
or
the
regularly
scheduled
close
of
the
New
York
Stock
Exchange
(NYSE),
whichever
is
earlier.
Under
compliance
policies
and
procedures
approved
by
the
Trust’s
Board
of
Trustees
(the
Board),
the
Funds’
administrator
has
responsibility
for
oversight
of
valuation,
including
leading
the
cross-functional
Valuation
Committee
(VC).
The
Funds
may
utilize
independent
pricing
services,
quotations
from
securities
and
financial
instrument
dealers,
and
other
market
sources
to
determine
fair
value. 
Equity
securities
and
exchange
traded
funds
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. 
Investments
in
open-end
mutual
funds
are
valued
at
the
closing
NAV.
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.
Occasionally,
events
occur
between
the
time
at
which
trading
in
a
foreign
security
is
completed
and
4
p.m.
Eastern
time
that
might
call
into
question
the
reliability
of
the
value
of
a
portfolio
security
held
by
the  Fund.
As
a
result,
differences
may
arise
between
the
value
of
the Funds’
portfolio securities
as
determined
at
the
foreign
market
close
and
the
latest
indications
of
value
at
4
p.m.
Eastern
time.
In
order
to
minimize
the
potential
for
these
differences,
the
VC
monitors
price
movements
following
the
close
of
trading
in
foreign
stock
markets
through
a
series
of
country
specific
market
proxies
(such
as
baskets
of
American
Depositary
Receipts,
Franklin
Strategic
Series
Notes
to
Statements
of
Investments
(unaudited)
12
Quarterly
Statement
of
Investments
futures
contracts
and
exchange
traded
funds).
These
price
movements
are
measured
against
established
trigger
thresholds
for
each
specific
market
proxy
to
assist
in
determining
if
an
event
has
occurred
that
may
call
into
question
the
reliability
of
the
values
of
the
foreign
securities
held
by
the
Funds.
If
such
an
event
occurs,
the
securities
may
be
valued
using
fair
value
procedures,
which
may
include
the
use
of
independent
pricing
services.
At
May
31,
2020,
a
market
event
occurred
resulting
in
a
portion
of
the
securities
held
by
certain
or
all
Funds being
valued
using
fair
value
procedures.
When
the
last
day
of
the
reporting
period
is
a
non-business
day,
certain
foreign
markets
may
be
open
on
those
days
that
the
Funds’
NAV
is
not
calculated,
which
could
result
in
differences
between
the
value
of
the Funds’
portfolio
securities
on
the
last
business
day
and
the
last
calendar
day
of
the
reporting
period.
Any
significant
security
valuation
changes
due
to
an
open
foreign
market
are
adjusted
and
reflected
by
the
Funds
for
financial
reporting
purposes. 
3.
Derivative
Financial
Instruments 
Certain
or
all
Funds
invested
in
derivative
financial
instruments
in
order
to
manage
risk
or
gain
exposure
to
various
other
investments
or
markets.
Derivatives
are
financial
contracts
based
on
an
underlying
or
notional
amount,
require
no
initial
investment
or
an
initial
net
investment
that
is
smaller
than
would
normally
be
required
to
have
a
similar
response
to
changes
in
market
factors,
and
require
or
permit
net
settlement.
Derivatives
contain
various
risks
including
the
potential
inability
of
the
counterparty
to
fulfill
their
obligations
under
the
terms
of
the
contract,
the
potential
for
an
illiquid
secondary
market,
and/or
the
potential
for
market
movements.
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.
Certain
or
all
Funds
purchased
or
wrote
exchange
traded
option
contracts
primarily
to
manage
and/or
gain
exposure
to
equity
price
risk.
An
option
is
a
contract
entitling
the
holder
to
purchase
or
sell
a
specific
amount
of
shares
or
units
of
an
asset
or
notional
amount
of
a
swap
(swaption),
at
a
specified
price.
When
an
option
is
purchased
or
written,
an
amount
equal
to
the
premium
paid
or
received
is
recorded
as
an
asset
or
liability,
respectively.
Upon
exercise
of
an
option,
the
acquisition
cost
or
sales
proceeds
of
the
underlying
investment
is
adjusted
by
any
premium
received
or
paid.
Upon
expiration
of
an
option,
any
premium
received
or
paid
is
recorded
as
a
realized
gain
or
loss.
Upon
closing
an
option
other
than
through
expiration
or
exercise,
the
difference
between
the
premium
received
or
paid
and
the
cost
to
close
the
position
is
recorded
as
a
realized
gain
or
loss.
The
Funds
did
not
hold
any
option
contracts
at
period
end.
The
following
Funds
have
invested
in
derivatives
during
the
period. 
Franklin
Templeton
SMACS:
Series
E
-
Options
4.
Concentration
of
Risk 
Franklin
Templeton
SMACS:
Series
CH
invests
a
large
percentage
of
its
total
assets
in
obligations
of
issuers
within
California.
Such
concentration
may
subject
the
Fund
to
risks
associated
with
industrial
or
regional
matters,
and
economic,
political
or
legal
developments
occurring
within
California.
In
addition,
investments
in
these
securities
are
sensitive
to
interest
rate
changes
and
credit
risk
of
the
issuer
and
may
subject
the
Funds
to
increased
market
volatility.
The
market
for
these
investments
may
be
limited,
which
may
make
them
difficult
to
buy
or
sell. 
2. Financial
Instrument
Valuation
(continued)
Franklin
Strategic
Series
Notes
to
Statements
of
Investments
(unaudited)
13
Quarterly
Statement
of
Investments
5. 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.
6.
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
May
31,
2020,
investments
in
affiliated
management
investment
companies
were
as
follows: 
7. 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)
a
Value
at
Beginning
of
Period
Purchases
Sales
Realized
Gain
(Loss)
Net
Change
in
Unrealized
Appreciation
(Depreciation)
Value
at
End
of
Period
Number
of
Shares
Held
at
End
of
Period
Investment
Income
a
a
a
a
a
a
a
a
a
Franklin
Templeton
SMACS:
Series
E
Non-Controlled
Affiliates
Dividends
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0%
...........
$324,104
$1,110,210
$(1,424,212)
$
—
$
—
$
10,102
10,102
$
2,304
Total
Affiliated
Securities
......
$324,104
$1,110,210
$(1,424,212)
$—
$—
$10,102
$2,304
Franklin
Templeton
SMACS:
Series
H
Non-Controlled
Affiliates
Dividends
Franklin
Liberty
Intermediate
Municipal
Opportunities
ETF
.....
$1,033,400
$—
$—
—
(35,600)
997,800
40,000
16,973
Total
Affiliated
Securities
......
$1,033,400
$—
$—
$—
$(35,600)
$997,800
$16,973
Franklin
Templeton
SMACS:
Series
I
Non-Controlled
Affiliates
Dividends
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0%
...........
$281,746
$840,419
$(991,832)
—
—
130,333
130,333
1,164
Total
Affiliated
Securities
......
$281,746
$840,419
$(991,832)
$—
$—
$130,333
$1,164
Franklin
Strategic
Series
Notes
to
Statements
of
Investments
(unaudited)
14
Quarterly
Statement
of
Investments
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
May
31,
2020,
in
valuing
the
Funds’
assets
carried
at
fair
value,
is
as
follows:  
Level
1
Level
2
Level
3
Total
Franklin
Templeton
SMACS:
Series
CH
Assets:
Investments
in
Securities:
Municipal
Bonds
.........................
$
—
$
2,569,006
$
—
$
2,569,006
Short
Term
Investments
...................
—
200,000
—
200,000
Total
Investments
in
Securities
...........
$—
$2,769,006
$—
$2,769,006
Franklin
Templeton
SMACS:
Series
E
Assets:
Investments
in
Securities:
Common
Stocks
:
Aerospace
&
Defense
...................
88,098
—
—
88,098
Banks
...............................
42,352
52,889
—
95,241
Beverages
...........................
105,240
—
—
105,240
Capital
Markets
........................
66,300
—
—
66,300
Chemicals
...........................
84,578
65,310
—
149,888
Communications
Equipment
..............
95,640
—
—
95,640
Diversified
Telecommunication
Services
.....
—
70,618
—
70,618
Electric
Utilities
........................
216,896
—
—
216,896
Equity
Real
Estate
Investment
Trusts
(REITs)
.
49,432
—
—
49,432
Health
Care
Providers
&
Services
..........
122,288
—
—
122,288
Interactive
Media
&
Services
..............
100,346
—
—
100,346
Media
...............................
11,880
—
—
11,880
Metals
&
Mining
.......................
97,056
—
—
97,056
Multiline
Retail
........................
159,029
—
—
159,029
Multi-Utilities
..........................
156,663
—
—
156,663
Oil,
Gas
&
Consumable
Fuels
.............
285,640
—
—
285,640
Pharmaceuticals
.......................
385,147
68,357
—
453,504
Semiconductors
&
Semiconductor
Equipment
.
159,430
—
—
159,430
Specialty
Retail
........................
173,936
—
—
173,936
Tobacco
.............................
58,688
—
—
58,688
Equity-Linked
Securities
...................
—
632,558
—
632,558
Convertible
Preferred
Stocks
...............
108,595
—
—
108,595
Preferred
Stocks
........................
135,350
—
—
135,350
Index-Linked
Notes
......................
—
35,490
—
35,490
Short
Term
Investments
...................
10,102
—
—
10,102
Total
Investments
in
Securities
...........
$2,712,686
$925,222
$—
$3,637,908
Franklin
Templeton
SMACS:
Series
H
Assets:
Investments
in
Securities:
Management
Investment
Companies
.........
997,800
—
—
997,800
Municipal
Bonds
.........................
—
1,711,189
—
1,711,189
Total
Investments
in
Securities
...........
$997,800
$1,711,189
$—
$2,708,989
Franklin
Templeton
SMACS:
Series
I
Assets:
Investments
in
Securities:
Corporate
Bonds
........................
—
2,905,204
—
2,905,204
Mortgage-Backed
Securities
................
—
292,243
—
292,243
Short
Term
Investments
...................
130,333
—
—
130,333
Total
Investments
in
Securities
...........
$130,333
$3,197,447
$—
$3,327,780
7. Fair
Value
Measurements 
(continued)
Franklin
Strategic
Series
Notes
to
Statements
of
Investments
(unaudited)
15
Quarterly
Statement
of
Investments
8.
Subsequent
Events
The
Funds
have evaluated
subsequent
events
through
the
issuance
of
the
Statements of
Investments
and
determined
that
no
events
have
occurred
that
require
disclosure.
Abbreviations
Selected
Portfolio
ADR
American
Depositary
Receipt
ETF
Exchange-Traded
Fund
GNMA
Government
National
Mortgage
Association
GO
General
Obligation
For
additional
inform
ation
on
the
Funds'
significant
accounting
policies,
please
refer
to
the Funds'
most
recent
semiannual
or
annual
shareholder
report.