NPORT-EX 2 FSMP.htm
Not
FDIC
Insured
May
Lose
Value
No
Bank
Guarantee
357-Q1PH
1
Statement
of
Investments
(unaudited)
Franklin
Strategic
Mortgage
Portfolio
2
Notes
to
Statement
of
Investments
8
Franklin
Strategic
Mortgage
Portfolio
Statement
of
Investments
(unaudited),
December
31,
2021
Quarterly
Statement
of
Investments
See
Notes
to
Statement
of
Investments.
2
a
a
Principal
Amount
a
Value
a
a
a
a
a
Corporate
Bonds
0.2%
Equity
Real
Estate
Investment
Trusts
(REITs)
0.2%
American
Homes
4
Rent
LP
,
Senior
Note
,
4.25
%
,
2/15/28
.....................
$
100,000
$
110,871
Insurance
0.0%
†
a,b
Ambac
Assurance
Corp.
,
Sub.
Bond
,
144A,
5.1
%
,
Perpetual
...................
237
320
Total
Corporate
Bonds
(Cost
$99,868)
.........................................
111,191
U.S.
Government
and
Agency
Securities
0.9%
U.S.
Treasury
Bonds
,
4.75%,
2/15/37
...................................................
225,000
319,219
4.25%,
11/15/40
...................................................
131,000
181,240
Total
U.S.
Government
and
Agency
Securities
(Cost
$462,704)
....................
500,459
Asset-Backed
Securities
4.6%
Diversified
Financial
Services
4.4%
b
American
Homes
4
Rent
Trust
,
2015-SFR1
,
A
,
144A,
3.467
%
,
4/17/52
...........
141,160
147,791
b
CF
Hippolyta
LLC
,
2020-1,
A1,
144A,
1.69%,
7/15/60
.....................................
110,460
109,677
2021-1A,
A1,
144A,
1.53%,
3/15/61
....................................
96,451
94,748
c
CWABS,
Inc.
,
2004-1
,
M1
,
FRN
,
0.852
%
,
(
1-month
USD
LIBOR
+
0.75
%
),
3/25/34
..
12,450
12,425
b
FirstKey
Homes
Trust
,
2020-SFR2
,
A
,
144A,
1.266
%
,
10/19/37
.................
149,573
145,955
b
Home
Partners
of
America
Trust
,
2021-2,
B,
144A,
2.302%,
12/17/26
....................................
169,900
168,024
2021-3,
B,
144A,
2.649%,
1/17/41
.....................................
60,000
59,898
b,c
Invitation
Homes
Trust
,
2018-SFR4
,
A
,
144A,
FRN
,
1.209
%
,
(
1-month
USD
LIBOR
+
1.1
%
),
1/17/38
....................................................
175,307
175,420
b,d
Mill
City
Mortgage
Loan
Trust
,
2016-1,
A1,
144A,
FRN,
2.5%,
4/25/57
..................................
3,154
3,156
2018-2,
A1,
144A,
FRN,
3.5%,
5/25/58
..................................
72,489
73,620
2018-1,
A1,
144A,
FRN,
3.25%,
5/25/62
.................................
57,941
58,870
2018-4,
A1B,
144A,
FRN,
3.5%,
4/25/66
.................................
116,617
119,726
b
New
Economy
Assets
Phase
1
Sponsor
LLC
,
2021-1
,
A1
,
144A,
1.91
%
,
10/20/61
...
270,000
265,160
b
Towd
Point
Mortgage
Trust
,
d
2016-3,
A1,
144A,
FRN,
2.25%,
4/25/56
.................................
9,179
9,191
d
2016-4,
A1,
144A,
FRN,
2.25%,
7/25/56
.................................
33,195
33,322
d
2016-5,
A1,
144A,
FRN,
2.5%,
10/25/56
.................................
101,282
102,173
d
2017-1,
A1,
144A,
FRN,
2.75%,
10/25/56
................................
76,626
77,325
c
2017-5,
A1,
144A,
FRN,
0.692%,
(1-month
USD
LIBOR
+
0.6%),
2/25/57
........
26,890
26,890
d
2017-2,
A1,
144A,
FRN,
2.75%,
4/25/57
.................................
20,124
20,306
d
2017-4,
A1,
144A,
FRN,
2.75%,
6/25/57
.................................
129,175
131,449
d
2018-1,
A1,
144A,
FRN,
3%,
1/25/58
...................................
33,694
34,161
d
2018-2,
A1,
144A,
FRN,
3.25%,
3/25/58
.................................
81,533
83,341
d
2019-1,
A1,
144A,
FRN,
3.678%,
3/25/58
................................
153,477
159,060
d
2018-6,
A1A,
144A,
FRN,
3.75%,
3/25/58
................................
58,368
59,473
d
2017-1,
A2,
144A,
FRN,
3.5%,
10/25/56
.................................
165,000
169,937
2,341,098
a
a
a
a
a
Thrifts
&
Mortgage
Finance
0.2%
d
Conseco
Finance
Securitizations
Corp.
,
2002-2
,
M1
,
FRN
,
7.424
%
,
3/01/33
.......
127,892
132,307
Total
Asset-Backed
Securities
(Cost
$2,459,893)
................................
2,473,405
Franklin
Strategic
Mortgage
Portfolio
Statement
of
Investments
(unaudited)
See
Notes
to
Statement
of
Investments.
Quarterly
Statement
of
Investments
3
a
a
Principal
Amount
a
Value
a
a
a
a
a
Commercial
Mortgage-Backed
Securities
2.0%
Diversified
Financial
Services
1.9%
b,e
Anthracite
Ltd.
,
2004-HY1A
,
E
,
144A,
7.147
%
,
6/20/41
.......................
$
1,598,000
$
24
b,c
BX
Commercial
Mortgage
Trust
,
2020-FOX,
A,
144A,
FRN,
1.11%,
(1-month
USD
LIBOR
+
1%),
11/15/32
........
139,063
139,204
2021-VOLT,
A,
144A,
FRN,
0.81%,
(1-month
USD
LIBOR
+
0.7%),
9/15/36
.......
100,000
99,797
2019-XL,
A,
144A,
FRN,
1.03%,
(1-month
USD
LIBOR
+
0.92%),
10/15/36
.......
141,820
141,989
2020-BXLP,
A,
144A,
FRN,
0.91%,
(1-month
USD
LIBOR
+
0.8%),
12/15/36
......
167,008
167,064
b,c
BX
Mortgage
Trust
,
2021-PAC
,
A
,
144A,
FRN
,
0.799
%
,
(
1-month
USD
LIBOR
+
0.689
%
),
10/15/36
.................................................
100,000
99,771
b,c
Cold
Storage
Trust
,
2020-ICE5
,
A
,
144A,
FRN
,
1.01
%
,
(
1-month
USD
LIBOR
+
0.9
%
),
11/15/37
........................................................
324,387
324,502
d
Commercial
Mortgage
Trust
,
2006-GG7
,
AJ
,
FRN
,
6.012
%
,
7/10/38
..............
39,434
33,190
1,005,541
a
a
a
a
a
Thrifts
&
Mortgage
Finance
0.1%
c
FNMA
,
2007-1
,
NF
,
FRN
,
0.352
%
,
(
1-month
USD
LIBOR
+
0.25
%
),
2/25/37
........
40,442
40,517
Total
Commercial
Mortgage-Backed
Securities
(Cost
$1,096,505)
.................
1,046,058
Mortgage-Backed
Securities
78.4%
Federal
Home
Loan
Mortgage
Corp.
(FHLMC)
Fixed
Rate
9.7%
FHLMC
Gold
Pools,
30
Year,
4.5%,
4/01/40
................................
224,329
246,340
FHLMC
Gold
Pools,
30
Year,
4.5%,
1/01/49
................................
403,417
442,432
FHLMC
Gold
Pools,
30
Year,
5%,
10/01/33
-
2/01/39
.........................
147,818
166,922
FHLMC
Gold
Pools,
30
Year,
5.5%,
9/01/33
................................
18,444
20,700
FHLMC
Gold
Pools,
30
Year,
6%,
12/01/32
-
11/01/36
........................
49,840
56,003
FHLMC
Gold
Pools,
30
Year,
6.5%,
11/01/27
-
7/01/32
........................
23,825
26,329
FHLMC
Gold
Pools,
30
Year,
7.5%,
1/01/26
-
3/01/32
........................
51,863
54,205
FHLMC
Gold
Pools,
30
Year,
8%,
7/01/24
-
5/01/30
..........................
72,732
75,878
FHLMC
Gold
Pools,
30
Year,
9%,
9/01/30
.................................
5,158
5,179
FHLMC
Pool,
30
Year,
3%,
2/01/50
......................................
360,520
379,900
FHLMC
Pool,
30
Year,
3%,
5/01/50
......................................
938,364
988,000
FHLMC
Pool,
30
Year,
3%,
8/01/50
......................................
750,551
792,528
FHLMC
Pool,
30
Year,
3.5%,
7/01/49
.....................................
1,100,825
1,175,327
FHLMC
Pool,
30
Year,
4%,
5/01/50
......................................
94,331
102,141
FHLMC
Pool,
30
Year,
4.5%,
10/01/48
....................................
631,860
694,549
5,226,433
f
Federal
National
Mortgage
Association
(FNMA)
Adjustable
Rate
0.9%
FNMA,
1.233%
-
2.825%,
(6-month
USD
LIBOR
+/-
MBS
Margin),
3/01/22
-
7/01/38
.
483,577
486,858
FNMA,
2.23%,
(6-month
H15BDI
+/-
MBS
Margin),
7/01/25
....................
1,709
1,711
488,569
Federal
National
Mortgage
Association
(FNMA)
Fixed
Rate
62.9%
FNMA,
3.5%,
7/01/56
................................................
617,567
670,303
FNMA,
15
Year,
1.5%,
12/01/36
.........................................
994,585
998,127
FNMA,
15
Year,
1.5%,
1/01/37
.........................................
1,097,000
1,100,912
FNMA,
15
Year,
2.5%,
3/01/29
.........................................
320,226
332,950
FNMA,
15
Year,
2.5%,
6/01/32
.........................................
814,576
842,981
FNMA,
30
Year,
2%,
1/01/52
...........................................
1,275,000
1,272,647
FNMA,
30
Year,
3%,
11/01/48
..........................................
1,683,002
1,769,789
FNMA,
30
Year,
3%,
9/01/49
...........................................
303,799
318,121
FNMA,
30
Year,
3%,
9/01/49
...........................................
300,236
315,955
FNMA,
30
Year,
3%,
7/01/50
...........................................
1,028,269
1,086,091
FNMA,
30
Year,
3%,
8/01/50
...........................................
578,192
604,557
FNMA,
30
Year,
3%,
9/01/50
...........................................
569,862
598,041
FNMA,
30
Year,
3%,
9/01/50
...........................................
578,487
610,292
Franklin
Strategic
Mortgage
Portfolio
Statement
of
Investments
(unaudited)
Quarterly
Statement
of
Investments
See
Notes
to
Statement
of
Investments.
4
a
a
Principal
Amount
a
Value
a
a
a
a
a
Mortgage-Backed
Securities
(continued)
Federal
National
Mortgage
Association
(FNMA)
Fixed
Rate
(continued)
FNMA,
30
Year,
3%,
11/01/51
..........................................
$
814,858
$
846,379
FNMA,
30
Year,
3.5%,
11/01/46
.........................................
421,221
451,906
FNMA,
30
Year,
3.5%,
8/01/49
.........................................
1,221,967
1,303,198
FNMA,
30
Year,
3.5%,
8/01/49
.........................................
371,914
394,953
FNMA,
30
Year,
3.5%,
9/01/49
.........................................
1,126,745
1,202,130
FNMA,
30
Year,
3.5%,
1/01/50
.........................................
288,247
307,811
FNMA,
30
Year,
3.5%,
2/01/50
.........................................
262,182
280,658
FNMA,
30
Year,
3.5%,
4/01/50
.........................................
417,179
450,235
FNMA,
30
Year,
3.5%,
11/01/50
.........................................
268,236
285,153
FNMA,
30
Year,
4%,
11/01/45
..........................................
2,186,680
2,374,286
FNMA,
30
Year,
4%,
9/01/49
...........................................
716,395
775,473
FNMA,
30
Year,
4.5%,
11/01/47
.........................................
557,220
608,247
FNMA,
30
Year,
5%,
4/01/34
...........................................
64,251
70,235
FNMA,
30
Year,
5.5%,
9/01/33
-
11/01/35
.................................
481,157
535,099
FNMA,
30
Year,
6%,
10/01/34
..........................................
231,037
266,913
FNMA,
30
Year,
6%,
12/01/23
-
8/01/35
...................................
343,021
385,581
FNMA,
30
Year,
6.5%,
12/01/27
-
8/01/32
.................................
227,864
253,039
FNMA,
30
Year,
7.5%,
8/01/25
-
5/01/32
..................................
11,209
12,833
FNMA,
30
Year,
8%,
1/01/25
-
7/01/31
....................................
18,745
21,197
FNMA,
30
Year,
9%,
8/01/24
-
4/01/25
....................................
462
491
FNMA,
30
Year,
9.5%,
11/01/29
-
4/01/30
.................................
20,540
20,835
g
FNMA,
Single-family,
15
Year,
2%,
1/25/37
................................
4,941,000
5,059,604
g
FNMA,
Single-family,
30
Year,
2%,
1/25/52
................................
2,207,000
2,200,372
g
FNMA,
Single-family,
30
Year,
2.5%,
1/25/52
...............................
5,010,000
5,111,790
33,739,184
Government
National
Mortgage
Association
(GNMA)
Fixed
Rate
4.9%
GNMA
I,
30
Year,
7%,
11/15/29
.........................................
1,561
1,786
GNMA
I,
30
Year,
8%,
11/15/25
-
12/15/26
.................................
4,430
4,701
GNMA
I,
Single-family,
30
Year,
6.5%,
1/15/24
-
9/15/32
......................
56,003
61,478
GNMA
I,
Single-family,
30
Year,
7%,
1/15/26
-
2/15/32
........................
7,872
8,140
GNMA
I,
Single-family,
30
Year,
7.5%,
10/15/23
-
10/15/29
.....................
14,119
14,556
GNMA
I,
Single-family,
30
Year,
8%,
8/15/22
-
9/15/27
........................
2,077
2,118
GNMA
I,
Single-family,
30
Year,
8.5%,
7/15/24
..............................
37
37
g
GNMA
II,
Single-family,
30
Year,
2.5%,
1/15/52
.............................
2,341,000
2,397,511
GNMA
II,
Single-family,
30
Year,
6.5%,
1/20/26
-
1/20/33
......................
75,408
85,728
GNMA
II,
Single-family,
30
Year,
7.5%,
11/20/22
-
7/20/32
.....................
42,179
48,037
GNMA
II,
Single-family,
30
Year,
8%,
8/20/26
...............................
37
40
GNMA
II,
Single-family,
30
Year,
9%,
9/20/24
-
3/20/25
.......................
161
162
2,624,294
Total
Mortgage-Backed
Securities
(Cost
$41,736,726)
............................
42,078,480
Residential
Mortgage-Backed
Securities
12.0%
Capital
Markets
0.1%
c
Merrill
Lynch
Mortgage
Investors
Trust
,
2003-A
,
1A
,
FRN
,
0.842
%
,
(
1-month
USD
LIBOR
+
0.74
%
),
3/25/28
............................................
49,508
49,681
Diversified
Financial
Services
6.2%
c
American
Home
Mortgage
Investment
Trust
,
2005-1
,
6A
,
FRN
,
2.252
%
,
(
6-month
USD
LIBOR
+
2
%
),
6/25/45
..............................................
37,566
38,509
b
BRAVO
Residential
Funding
Trust
,
2019-1,
A1C,
144A,
3.5%,
3/25/58
.....................................
34,769
35,300
d
2019-2,
A3,
144A,
FRN,
3.5%,
10/25/44
.................................
70,823
72,905
b
CIM
Trust
,
d
2019-INV1,
A1,
144A,
FRN,
4%,
2/25/49
................................
23,321
23,545
c
2019-INV2,
A11,
144A,
FRN,
1.042%,
(1-month
USD
LIBOR
+
0.95%),
5/25/49
...
73,887
73,981
Franklin
Strategic
Mortgage
Portfolio
Statement
of
Investments
(unaudited)
See
Notes
to
Statement
of
Investments.
Quarterly
Statement
of
Investments
5
a
a
Principal
Amount
a
Value
a
a
a
a
a
Residential
Mortgage-Backed
Securities
(continued)
Diversified
Financial
Services
(continued)
b
CIM
Trust,
(continued)
d
2019-INV2,
A3,
144A,
FRN,
4%,
5/25/49
................................
$
46,549
$
47,298
d
2018-INV1,
A4,
144A,
FRN,
4%,
8/25/48
................................
29,937
30,472
b,d
Citigroup
Mortgage
Loan
Trust
,
2013-A
,
A
,
144A,
FRN
,
3
%
,
5/25/42
.............
5,375
5,390
b,c
Connecticut
Avenue
Securities
Trust
,
2019-R02,
1M2,
144A,
FRN,
2.403%,
(1-month
USD
LIBOR
+
2.3%),
8/25/31
....
79,599
79,963
2019-R03,
1M2,
144A,
FRN,
2.253%,
(1-month
USD
LIBOR
+
2.15%),
9/25/31
...
71,061
71,366
b,d
CSMC
Trust
,
2014-OAK1
,
1A1
,
144A,
FRN
,
3
%
,
11/25/29
.....................
36,083
36,486
b,c
FHLMC
STACR
REMIC
Trust
,
2020-DNA1,
M2,
144A,
FRN,
1.803%,
(1-month
USD
LIBOR
+
1.7%),
1/25/50
....
101,067
101,330
2020-HQA3,
M2,
144A,
FRN,
3.703%,
(1-month
USD
LIBOR
+
3.6%),
7/25/50
....
95,810
96,231
b,c
FHLMC
STACR
Trust
,
2019-DNA4
,
M2
,
144A,
FRN
,
2.053
%
,
(
1-month
USD
LIBOR
+
1.95
%
),
10/25/49
..................................................
169,512
170,104
b,d
Flagstar
Mortgage
Trust
,
2021-4,
A5,
144A,
FRN,
2.5%,
6/01/51
..................................
189,460
191,493
2021-2,
A6,
144A,
FRN,
2.5%,
4/25/51
..................................
212,857
215,359
b,d
GS
Mortgage-Backed
Securities
Trust
,
2021-PJ6
,
A8
,
144A,
FRN
,
2.5
%
,
11/25/51
...
231,166
233,767
b,d
J.P.
Morgan
Mortgage
Trust
,
2013-3,
A3,
144A,
FRN,
3.368%,
7/25/43
................................
72,277
73,065
2021-6,
A4,
144A,
FRN,
2.5%,
10/25/51
.................................
300,546
303,394
2021-13,
A4,
144A,
FRN,
2.5%,
4/25/52
.................................
209,116
210,574
2021-15,
A4,
144A,
FRN,
2.5%,
6/25/52
.................................
60,000
60,516
b
OBX
Trust
,
c
2018-1,
A2,
144A,
FRN,
0.752%,
(1-month
USD
LIBOR
+
0.65%),
6/25/57
.......
42,404
42,487
d
2021-J1,
A4,
144A,
FRN,
2.5%,
5/25/51
.................................
185,298
186,987
d
2021-J3,
A4,
144A,
FRN,
2.5%,
10/25/51
................................
95,304
96,326
b,d
Provident
Funding
Associates
LLP
,
2021-J1
,
A3
,
144A,
FRN
,
2.5
%
,
2/20/49
........
142,130
143,654
b,d
PSMC
Trust
,
2021-3
,
A3
,
144A,
FRN
,
2.5
%
,
8/25/51
.........................
278,485
281,124
b,d
Sequoia
Mortgage
Trust
,
2021-1,
A1,
144A,
FRN,
2.5%,
3/25/51
..................................
178,541
178,597
2021-6,
A4,
144A,
FRN,
2.5%,
10/25/51
.................................
240,540
242,820
3,343,043
a
a
a
a
a
Thrifts
&
Mortgage
Finance
5.7%
c
FHLMC
Structured
Agency
Credit
Risk
Debt
Notes
,
2013-DN2,
M2,
FRN,
4.353%,
(1-month
USD
LIBOR
+
4.25%),
11/25/23
........
102,557
105,749
2017-DNA2,
M2,
FRN,
3.553%,
(1-month
USD
LIBOR
+
3.45%),
10/25/29
.......
250,000
257,500
2017-DNA3,
M2,
FRN,
2.603%,
(1-month
USD
LIBOR
+
2.5%),
3/25/30
.........
248,403
253,441
2014-DN2,
M3,
FRN,
3.703%,
(1-month
USD
LIBOR
+
3.6%),
4/25/24
..........
158,373
162,274
2014-DN3,
M3,
FRN,
4.103%,
(1-month
USD
LIBOR
+
4%),
8/25/24
...........
49,515
50,450
2014-HQ1,
M3,
FRN,
4.203%,
(1-month
USD
LIBOR
+
4.1%),
8/25/24
..........
15,862
15,937
2014-DN4,
M3,
FRN,
4.653%,
(1-month
USD
LIBOR
+
4.55%),
10/25/24
........
83,014
85,117
2014-HQ3,
M3,
FRN,
4.853%,
(1-month
USD
LIBOR
+
4.75%),
10/25/24
........
5,969
5,989
2015-HQ2,
M3,
FRN,
3.353%,
(1-month
USD
LIBOR
+
3.25%),
5/25/25
.........
87,302
88,252
2016-DNA2,
M3,
FRN,
4.753%,
(1-month
USD
LIBOR
+
4.65%),
10/25/28
.......
134,349
139,289
2016-HQA2,
M3,
FRN,
5.253%,
(1-month
USD
LIBOR
+
5.15%),
11/25/28
.......
159,538
165,358
2016-DNA4,
M3,
FRN,
3.903%,
(1-month
USD
LIBOR
+
3.8%),
3/25/29
.........
186,492
192,353
c
FNMA
Connecticut
Avenue
Securities
,
2014-C04,
1M2,
FRN,
5.003%,
(1-month
USD
LIBOR
+
4.9%),
11/25/24
.........
93,124
97,047
2015-C01,
1M2,
FRN,
4.403%,
(1-month
USD
LIBOR
+
4.3%),
2/25/25
.........
108,442
110,663
2016-C01,
1M2,
FRN,
6.853%,
(1-month
USD
LIBOR
+
6.75%),
8/25/28
........
217,998
229,063
2016-C02,
1M2,
FRN,
6.103%,
(1-month
USD
LIBOR
+
6%),
9/25/28
...........
200,540
207,448
2016-C03,
1M2,
FRN,
5.403%,
(1-month
USD
LIBOR
+
5.3%),
10/25/28
........
218,793
226,896
2017-C05,
1M2,
FRN,
2.303%,
(1-month
USD
LIBOR
+
2.2%),
1/25/30
.........
175,092
178,257
Franklin
Strategic
Mortgage
Portfolio
Statement
of
Investments
(unaudited)
Quarterly
Statement
of
Investments
See
Notes
to
Statement
of
Investments.
6
a
a
Principal
Amount
a
Value
a
a
a
a
a
Residential
Mortgage-Backed
Securities
(continued)
Thrifts
&
Mortgage
Finance
(continued)
c
FNMA
Connecticut
Avenue
Securities,
(continued)
2014-C02,
2M2,
FRN,
2.703%,
(1-month
USD
LIBOR
+
2.6%),
5/25/24
.........
$
92,252
$
93,639
2014-C03,
2M2,
FRN,
3.003%,
(1-month
USD
LIBOR
+
2.9%),
7/25/24
.........
42,726
43,384
2016-C05,
2M2,
FRN,
4.553%,
(1-month
USD
LIBOR
+
4.45%),
1/25/29
........
94,311
97,773
2013-C01,
M2,
FRN,
5.353%,
(1-month
USD
LIBOR
+
5.25%),
10/25/23
........
96,567
100,540
2014-C01,
M2,
FRN,
4.503%,
(1-month
USD
LIBOR
+
4.4%),
1/25/24
..........
98,820
102,423
b
Virginia
Housing
Development
Authority
,
2020-A
,
A
,
144A,
2.85
%
,
12/25/49
........
62,927
63,201
3,072,043
a
a
a
a
a
Total
Residential
Mortgage-Backed
Securities
(Cost
$6,542,923)
..................
6,464,767
Total
Long
Term
Investments
(Cost
$52,398,619)
................................
52,674,360
a
a
a
a
a
Short
Term
Investments
29.2%
Shares
a
Money
Market
Funds
5.0%
h,i
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
...................
2,678,448
2,678,448
Total
Money
Market
Funds
(Cost
$2,678,448)
...................................
2,678,448
Principal
Amount
Repurchase
Agreements
24.2%
j
Joint
Repurchase
Agreement,
0.031%,
1/03/22
(Maturity
Value
$12,999,289)
BNP
Paribas
Securities
Corp.
(Maturity
Value
$5,505,978)
Deutsche
Bank
Securities,
Inc.
(Maturity
Value
$665,824)
HSBC
Securities
(USA),
Inc.
(Maturity
Value
$6,827,487)
Collateralized
by
U.S.
Government
Agency
Securities,
3%
-
5%,
1/20/48
-
10/20/51;
U.S.
Treasury
Note,
2.5%,
1/31/24;
and
U.S.
Cash
Management
Bill,
Discount
Note,
1/25/22
(valued
at
$13,263,154)
.......................................
12,999,256
12,999,256
Total
Repurchase
Agreements
(Cost
$12,999,256)
...............................
12,999,256
Total
Short
Term
Investments
(Cost
$15,677,704
)
................................
15,677,704
a
Total
Investments
(Cost
$68,076,323)
127.3%
...................................
$68,352,064
Other
Assets,
less
Liabilities
(27.3)%
..........................................
(14,668,186)
Net
Assets
100.0%
...........................................................
$53,683,878
†
Rounds
to
less
than
0.1%
of
net
assets.
a
Perpetual
security
with
no
stated
maturity
date.
b
Security
was
purchased
pursuant
to
Rule
144A
or
Regulation
S
under
the
Securities
Act
of
1933.
144A
securities
may
be
sold
in
transactions
exempt
from
registration
only
to
qualified
institutional
buyers
or
in
a
public
offering
registered
under
the
Securities
Act
of
1933.
Regulation
S
securities
cannot
be
sold
in
the
United
States
without
either
an
effective
registration
statement
filed
pursuant
to
the
Securities
Act
of
1933,
or
pursuant
to
an
exemption
from
registration.
At
December
31,
2021,
the
aggregate
value
of
these
securities
was
$6,669,079,
representing
12.4%
of
net
assets.
c
The
coupon
rate
shown
represents
the
rate
inclusive
of
any
caps
or
floors,
if
applicable,
in
effect
at
period
end.
d
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.
e
Defaulted
security
or
security
for
which
income
has
been
deemed
uncollectible.
f
Adjustable
Rate
Mortgage-Backed
Security
(ARM);
the
rate
shown
is
the
effective
rate
at
period
end.
ARM
rates
are
not
based
on
a
published
reference
rate
and
spread,
but
instead
pass-through
weighted
average
interest
income
inclusive
of
any
caps
or
floors,
if
applicable,
from
the
underlying
mortgage
loans
in
which
the
majority
of
mortgages
pay
interest
based
on
the
index
shown
at
their
designated
reset
dates
plus
a
spread,
less
the
applicable
servicing
and
guaranty
fee
(MBS
margin).
g
Security
purchased
on
a
to-be-announced
(TBA)
basis.
Franklin
Strategic
Mortgage
Portfolio
Statement
of
Investments
(unaudited)
See
Notes
to
Statement
of
Investments.
Quarterly
Statement
of
Investments
7
At
December
31,
2021,
the
Fund
had
the
following futures
contracts
outstanding.
See
Note
3. 
See
A
bbreviations
on
page
11
.
h
See
Note
6
regarding
investments
in
affiliated
management
investment
companies.
i
The
rate
shown
is
the
annualized
seven-day
effective
yield
at
period
end.
j
Investment
is
through
participation
in
a
joint
account
with
other
funds
managed
by
the
investment
manager
or
an
affiliate
of
the
investment
manager.
At
December
31,
2021,
all
repurchase
agreements
had
been
entered
into
on
that
date.
Futures
Contracts
Description
Type
Number
of
Contracts
Notional
Amount
*
Expiration
Date
Value/
Unrealized
Appreciation
(Depreciation)
Interest
rate
contracts
U.S.
Treasury
10
Year
Notes
....................
Short
10
$
1,304,688
3/22/22
$
(15,388)
U.S.
Treasury
10
Year
Ultra
Notes
................
Long
7
1,025,062
3/22/22
16,943
U.S.
Treasury
5
Year
Notes
.....................
Long
27
3,266,367
3/31/22
14,357
U.S.
Treasury
Long
Bonds
.....................
Long
12
1,925,250
3/22/22
18,725
U.S.
Treasury
Ultra
Bonds
......................
Long
1
197,125
3/22/22
(80)
Total
Futures
Contracts
......................................................................
$34,557
*
As
of
period
end.
Franklin
Strategic
Mortgage
Portfolio
Notes
to
Statement
of
Investments
(unaudited)
8
Quarterly
Statement
of
Investments
1.
Organization
Franklin
Strategic
Mortgage
Portfolio (Trust)
is
registered
under
the
Investment
Company
Act
of
1940
(1940
Act)
as
an
open-
end
management
investment
company,
consisting
of
one
fund,
Franklin
Strategic
Mortgage
Portfolio
(Fund)
and
applies
the
specialized
accounting
and
reporting
guidance
in
U.S.
Generally
Accepted
Accounting
Principles
(U.S.
GAAP). 
2. Financial
Instrument
Valuation
The
Fund's 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
Fund
calculates 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
Fund’s
Board
of
Trustees
(the
Board),
the
Fund’s
administrator
has
responsibility
for
oversight
of
valuation,
including
leading
the
cross-functional
Valuation
Committee
(VC).
The
Fund
may
utilize
independent
pricing
services,
quotations
from
securities
and
financial
instrument
dealers,
and
other
market
sources
to
determine
fair
value. 
Debt
securities
generally
trade
in
the
OTC
market
rather
than
on
a
securities
exchange.
The Fund's
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.
Derivative
financial
instruments
listed
on
an
exchange
are
valued
at
the
official
closing
price
of
the
day.
Investments
in
open-end
mutual
funds
are
valued
at
the
closing
NAV.
Investments
in
repurchase
agreements
are
valued
at
cost,
which
approximates
fair
value. 
The
Fund
has procedures
to
determine
the
fair
value
of
financial
instruments
for
which
market
prices
are
not
reliable
or
readily
available.
Under
these
procedures,
the
Fund
primarily employs
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. 
3.
Derivative
Financial
Instruments
The
Fund
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.
Franklin
Strategic
Mortgage
Portfolio
Notes
to
Statement
of
Investments
(unaudited)
9
Quarterly
Statement
of
Investments
The
Fund
entered
into
exchange
traded
futures
contracts
primarily
to
manage
and/or
gain
exposure
to
interest
rate
risk.
A
futures
contract
is
an
agreement
between
the
Fund
and
a
counterparty
to
buy
or
sell
an
asset
at
a
specified
price
on
a
future
date.
Required
initial
margins
are
pledged
by
the
Fund,
and
the
daily
change
in
fair
value
is
accounted
for
as
a
variation
margin
payable
or
receivable.
4.
Mortgage
Dollar
Rolls 
The
Fund
enters
into
mortgage
dollar
rolls,
typically
on
a
to-be-announced
basis.
Mortgage
dollar
rolls
are
agreements
between
the
Fund
and
a
financial
institution
where
the
Fund
sells
(or
buys)
mortgage-backed
securities
for
delivery
on
a
specified
date
and
simultaneously
contracts
to
repurchase
(or
sell)
substantially
similar
(same
type,
coupon,
and
maturity)
securities
at
a
future
date
and
at
a
predetermined
price.
Gains
or
losses
are
realized
on
the
initial
sale,
and
the
difference
between
the
repurchase
price
and
the
sale
price
is
recorded
as
an
unrealized
gain
or
loss
to
the
Fund
upon
entering
into
the
mortgage
dollar
roll.
In
addition,
the
Fund
may
invest
the
cash
proceeds
that
are
received
from
the
initial
sale.
During
the
period
between
the
sale
and
repurchase,
the
Fund
is
not
entitled
to
principal
and
interest
paid
on
the
mortgage
backed
securities.
Transactions
in
mortgage
dollar
rolls
are
accounted
for
as
purchases
and
sales
and
may
result
in
an
increase
to
the
Fund’s
portfolio
turnover
rate.
The
risks
of
mortgage
dollar
roll
transactions
include
the
potential
inability
of
the
counterparty
to
fulfill
its
obligations.
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 Fund, its ability
to
buy
and
sell
fund
investments
at
appropriate
valuations
and its ability
to
achieve its investment
objectives.
6.
Investments
in
Affiliated
Management
Investment
Companies 
The
Fund
invests
in
one
or
more
affiliated
management
investment
companies.
As
defined
in
the
1940
Act,
an
investment
is
deemed
to
be
a
“Controlled
Affiliate”
of
a
fund
when
a
fund
owns,
either
directly
or
indirectly,
25%
or
more
of
the
affiliated
fund’s
outstanding
shares
or
has
the
power
to
exercise
control
over
management
or
policies
of
such
fund.
The
Fund
does
not
invest  for
purposes
of
exercising
a
controlling
influence
over
the
management
or
policies.
During
the
period
ended
December
31,
2021,
the
Fund
held
investments
in
affiliated
management
investment
companies
as
follows: 
    aa
Value
at
Beginning
of
Period
Purchases
Sales
Realized
Gain
(Loss)
Net
Change
in
Unrealized
Appreciation
(Depreciation)
Value
at
End
of
Period
Number
of
Shares
Held
at
End
of
Period
Investment
Income
a      
a  
a  
a  
a  
a  
a  
a  
Franklin
Strategic
Mortgage
Portfolio
Non-Controlled
Affiliates
Dividends
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.01%
.
$
2,291,364
$
1,154,546
$
(767,462)
$
—
$
—
$
2,678,448
2,678,448
$
68
Total
Affiliated
Securities
...
$2,291,364
$1,154,546
$(767,462)
$—
$—
$2,678,448
$68
3.
Derivative
Financial
Instruments
(continued)
Franklin
Strategic
Mortgage
Portfolio
Notes
to
Statement
of
Investments
(unaudited)
10
Quarterly
Statement
of
Investments
7. Fair
Value
Measurements 
The
Fund
follows
a
fair
value
hierarchy
that
distinguishes
between
market
data
obtained
from
independent
sources
(observable
inputs)
and
the Fund's
own
market
assumptions
(unobservable
inputs).
These
inputs
are
used
in
determining
the
value
of
the
Fund's 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
Fund's
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
December
31,
2021,
in
valuing
the
Fund's
assets
and
liabilities
carried
at
fair
value,
is
as
follows:
a
For
detailed
categories,
see
the
accompanying
Statement
of
Investments.
8.
Subsequent
Events
The Fund
has
evaluated
subsequent
events
through
the
issuance
of
the
Statement
of
Investments
and
determined
that
no
events
have
occurred
that
require
disclosure.
Level
1
Level
2
Level
3
Total
Franklin
Strategic
Mortgage
Portfolio
Assets:
Investments
in
Securities:
a
Corporate
Bonds
........................
$
—
$
111,191
$
—
$
111,191
U.S.
Government
and
Agency
Securities
.......
—
500,459
—
500,459
Asset-Backed
Securities
..................
—
2,473,405
—
2,473,405
Commercial
Mortgage-Backed
Securities
......
—
1,046,058
—
1,046,058
Mortgage-Backed
Securities
................
—
42,078,480
—
42,078,480
Residential
Mortgage-Backed
Securities
......
—
6,464,767
—
6,464,767
Short
Term
Investments
...................
2,678,448
12,999,256
—
15,677,704
Total
Investments
in
Securities
...........
$2,678,448
$65,673,616
$—
$68,352,064
Other
Financial
Instruments:
Futures
contracts
........................
$
50,025
$
—
$
—
$
50,025
Total
Other
Financial
Instruments
.........
$50,025
$—
$—
$50,025
Liabilities:
Other
Financial
Instruments:
Futures
contracts
........................
$
15,468
$
—
$
—
$
15,468
Total
Other
Financial
Instruments
.........
$15,468
$—
$—
$15,468
Franklin
Strategic
Mortgage
Portfolio
Notes
to
Statement
of
Investments
(unaudited)
11
Quarterly
Statement
of
Investments
Abbreviations
Cu
r
rency
USD
United
States
Dollar
Selected
Portfolio
FHLMC
Federal
Home
Loan
Mortgage
Corp.
FNMA
Federal
National
Mortgage
Association
FRN
Floating
Rate
Note
GNMA
Government
National
Mortgage
Association
H15BDI
U.S.
Treasury
Bill
Auction
High
Discount
Rate
LIBOR
London
Inter-Bank
Offered
Rate
MBS
Mortgage-Backed
Security
For
additional
information
on
the
Fund's
significant
accounting
policies,
please
refer
to
the Fund's
most
recent
semiannual
or
annual
shareholder
report.