NPORT-EX 2 FSMP.htm
Not
FDIC
Insured
May
Lose
Value
No
Bank
Guarantee
357-Q3PH
1
Schedule
of
Investments
(unaudited)
Franklin
Strategic
Mortgage
Portfolio
2
Notes
to
Schedule
of
Investments
8
Franklin
Strategic
Mortgage
Portfolio
Schedule
of
Investments
(unaudited),
June
30,
2022
Quarterly
Schedule
of
Investments
See
Notes
to
Schedule
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
Bond
,
4.25
%
,
2/15/28
.....................
$
100,000
$
95,602
Insurance
0.0%
†
a,b
Ambac
Assurance
Corp.
,
Sub.
Bond
,
144A,
5.1
%
,
Perpetual
...................
237
217
Total
Corporate
Bonds
(Cost
$99,894)
.........................................
95,819
Asset-Backed
Securities
2.9%
Diversified
Financial
Services
2.6%
b
American
Homes
4
Rent
Trust
,
2015-SFR1
,
A
,
144A,
3.467
%
,
4/17/52
...........
139,583
136,796
b
CF
Hippolyta
Issuer
LLC
,
2020-1,
A1,
144A,
1.69%,
7/15/60
.....................................
110,460
100,241
2021-1A,
A1,
144A,
1.53%,
3/15/61
....................................
96,451
85,177
c
CWABS,
Inc.
,
2004-1
,
M1
,
FRN
,
2.374
%
,
(
1-month
USD
LIBOR
+
0.75
%
),
3/25/34
..
11,613
11,325
b
FirstKey
Homes
Trust
,
2020-SFR2
,
A
,
144A,
1.266
%
,
10/19/37
.................
148,939
137,298
b
Home
Partners
of
America
Trust
,
2021-2,
B,
144A,
2.302%,
12/17/26
....................................
166,905
150,371
2021-3,
B,
144A,
2.649%,
1/17/41
.....................................
57,588
52,344
b,c
Invitation
Homes
Trust
,
2018-SFR4
,
A
,
144A,
FRN
,
2.623
%
,
(
1-month
USD
LIBOR
+
1.1
%
),
1/17/38
....................................................
173,526
172,803
b
New
Economy
Assets
Phase
1
Sponsor
LLC
,
2021-1
,
A1
,
144A,
1.91
%
,
10/20/61
...
270,000
236,002
1,082,357
a
a
a
a
a
Thrifts
&
Mortgage
Finance
0.3%
d
Conseco
Finance
Securitizations
Corp.
,
2002-2
,
M1
,
FRN
,
7.424
%
,
3/01/33
.......
92,077
92,096
Total
Asset-Backed
Securities
(Cost
$1,269,722)
................................
1,174,453
Commercial
Mortgage-Backed
Securities
3.5%
Diversified
Financial
Services
3.4%
b,e
Anthracite
Ltd.
,
2004-HY1A
,
E
,
144A,
7.147
%
,
6/20/41
.......................
1,598,000
24
BANK
,
2021-BN34,
A5,
2.438%,
6/15/63
......................................
125,000
107,970
2021-BN33,
A5,
2.556%,
5/15/64
......................................
90,000
78,626
b,c
BX
Commercial
Mortgage
Trust
,
2021-VOLT,
A,
144A,
FRN,
2.024%,
(1-month
USD
LIBOR
+
0.7%),
9/15/36
......
100,000
96,599
2019-XL,
A,
144A,
FRN,
2.244%,
(1-month
USD
LIBOR
+
0.92%),
10/15/36
......
128,422
126,279
2022-LP2,
A,
144A,
FRN,
2.347%,
(1-month
SOFR
+
1.013%),
2/15/39
.........
84,044
80,856
b,c
BX
Mortgage
Trust
,
2021-PAC
,
A
,
144A,
FRN
,
2.014
%
,
(
1-month
USD
LIBOR
+
0.689
%
),
10/15/36
.................................................
200,000
190,224
b,c
BX
Trust
,
2022-IND
,
A
,
144A,
FRN
,
2.825
%
,
(
1-month
SOFR
+
1.491
%
),
4/15/37
...
170,000
165,798
b,c
Cold
Storage
Trust
,
2020-ICE5
,
A
,
144A,
FRN
,
2.224
%
,
(
1-month
USD
LIBOR
+
0.9
%
),
11/15/37
........................................................
324,387
316,658
d
Commercial
Mortgage
Trust
,
2006-GG7
,
AJ
,
FRN
,
6.214
%
,
7/10/38
..............
39,434
31,567
b,c
DBCG
Mortgage
Trust
,
2017-BBG
,
A
,
144A,
FRN
,
2.025
%
,
(
1-month
USD
LIBOR
+
0.7
%
),
6/15/34
....................................................
240,000
234,783
1,429,384
a
a
a
a
a
Thrifts
&
Mortgage
Finance
0.1%
c
FNMA
,
2007-1
,
NF
,
FRN
,
1.874
%
,
(
1-month
USD
LIBOR
+
0.25
%
),
2/25/37
........
33,783
33,601
Total
Commercial
Mortgage-Backed
Securities
(Cost
$1,565,618)
.................
1,462,985
Franklin
Strategic
Mortgage
Portfolio
Schedule
of
Investments
(unaudited)
See
Notes
to
Schedule
of
Investments.
Quarterly
Schedule
of
Investments
3
a
a
Principal
Amount
a
Value
a
a
a
a
a
Mortgage-Backed
Securities
76.8%
Federal
Home
Loan
Mortgage
Corp.
(FHLMC)
Fixed
Rate
34.6%
FHLMC
Gold
Pools,
30
Year,
4.5%,
4/01/40
................................
$
208,583
$
215,616
FHLMC
Gold
Pools,
30
Year,
4.5%,
1/01/49
................................
341,566
349,637
FHLMC
Gold
Pools,
30
Year,
5%,
10/01/33
-
2/01/39
.........................
125,421
131,856
FHLMC
Gold
Pools,
30
Year,
5.5%,
9/01/33
................................
15,414
16,396
FHLMC
Gold
Pools,
30
Year,
6%,
12/01/32
-
11/01/36
........................
42,751
45,561
FHLMC
Gold
Pools,
30
Year,
6.5%,
11/01/27
-
7/01/32
........................
20,988
22,064
FHLMC
Gold
Pools,
30
Year,
7.5%,
1/01/26
-
3/01/32
........................
49,806
50,948
FHLMC
Gold
Pools,
30
Year,
8%,
7/01/24
-
5/01/30
..........................
68,766
70,431
FHLMC
Gold
Pools,
30
Year,
9%,
9/01/30
.................................
4,247
4,259
FHLMC
Pool,
15
Year,
2%,
4/01/37
......................................
1,241,118
1,160,209
FHLMC
Pool,
15
Year,
2.5%,
5/01/37
.....................................
1,899,000
1,815,958
FHLMC
Pool,
30
Year,
2%,
2/01/52
......................................
2,165,957
1,882,993
FHLMC
Pool,
30
Year,
2%,
3/01/52
......................................
2,599,253
2,259,676
FHLMC
Pool,
30
Year,
2.5%,
11/01/51
....................................
879,187
792,416
FHLMC
Pool,
30
Year,
2.5%,
2/01/52
.....................................
1,224,332
1,102,436
FHLMC
Pool,
30
Year,
2.5%,
4/01/52
.....................................
1,233,471
1,110,659
FHLMC
Pool,
30
Year,
3%,
5/01/50
......................................
839,501
797,393
FHLMC
Pool,
30
Year,
3%,
2/01/52
......................................
83,612
77,985
FHLMC
Pool,
30
Year,
3.5%,
7/01/49
.....................................
947,936
922,703
FHLMC
Pool,
30
Year,
3.5%,
5/01/52
.....................................
891,909
859,085
FHLMC
Pool,
30
Year,
4%,
5/01/50
......................................
78,849
78,895
FHLMC
Pool,
30
Year,
4.5%,
10/01/48
....................................
538,528
549,951
14,317,127
f
Federal
National
Mortgage
Association
(FNMA)
Adjustable
Rate
1.0%
FNMA,
1.625%
-
3.867%,
(6-month
USD
LIBOR
+/-
MBS
Margin),
1/01/23
-
7/01/38
.
410,251
408,966
FNMA,
2.902%,
(6-month
H15BDI
+/-
MBS
Margin),
7/01/25
...................
506
503
409,469
Federal
National
Mortgage
Association
(FNMA)
Fixed
Rate
40.7%
FNMA,
3.5%,
7/01/56
................................................
552,759
539,067
FNMA,
15
Year,
2%,
5/01/37
...........................................
1,969,842
1,841,428
FNMA,
15
Year,
2.5%,
3/01/29
.........................................
267,956
264,291
FNMA,
15
Year,
2.5%,
6/01/32
.........................................
699,026
685,908
FNMA,
30
Year,
2%,
1/01/52
...........................................
1,242,031
1,079,955
FNMA,
30
Year,
2.5%,
4/01/52
.........................................
1,233,486
1,110,672
FNMA,
30
Year,
3%,
10/01/46
..........................................
1,189,967
1,127,321
FNMA,
30
Year,
3%,
11/01/48
..........................................
1,484,579
1,400,882
FNMA,
30
Year,
3%,
9/01/49
...........................................
268,385
254,250
FNMA,
30
Year,
3%,
9/01/49
...........................................
270,071
256,054
FNMA,
30
Year,
3%,
8/01/50
...........................................
528,466
494,982
FNMA,
30
Year,
3%,
9/01/50
...........................................
517,852
492,528
FNMA,
30
Year,
3%,
11/01/51
..........................................
766,390
715,465
FNMA,
30
Year,
3.5%,
6/01/49
.........................................
213,456
208,610
FNMA,
30
Year,
3.5%,
8/01/49
.........................................
1,059,550
1,030,189
FNMA,
30
Year,
3.5%,
9/01/49
.........................................
952,017
925,514
FNMA,
30
Year,
3.5%,
2/01/50
.........................................
221,773
215,465
FNMA,
30
Year,
3.5%,
4/01/50
.........................................
366,921
357,049
FNMA,
30
Year,
3.5%,
11/01/50
.........................................
231,911
224,899
FNMA,
30
Year,
4%,
11/01/45
..........................................
1,885,181
1,870,161
FNMA,
30
Year,
4.5%,
11/01/47
.........................................
453,899
465,926
FNMA,
30
Year,
5%,
4/01/34
...........................................
59,103
60,522
FNMA,
30
Year,
5.5%,
9/01/33
-
11/01/35
.................................
399,005
419,085
FNMA,
30
Year,
6%,
10/01/34
..........................................
203,262
222,427
FNMA,
30
Year,
6%,
12/01/23
-
8/01/35
...................................
300,802
320,274
FNMA,
30
Year,
6.5%,
12/01/27
-
8/01/32
.................................
191,433
201,721
FNMA,
30
Year,
7.5%,
8/01/25
-
5/01/32
..................................
7,903
8,372
Franklin
Strategic
Mortgage
Portfolio
Schedule
of
Investments
(unaudited)
Quarterly
Schedule
of
Investments
See
Notes
to
Schedule
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,
8%,
1/01/25
-
7/01/31
....................................
$
15,167
$
16,246
FNMA,
30
Year,
9%,
8/01/24
-
4/01/25
....................................
347
359
FNMA,
30
Year,
9.5%,
11/01/29
-
4/01/30
.................................
18,754
18,885
16,828,507
Government
National
Mortgage
Association
(GNMA)
Fixed
Rate
0.5%
GNMA
I,
30
Year,
7%,
11/15/29
.........................................
1,395
1,508
GNMA
I,
30
Year,
8%,
11/15/25
-
12/15/26
.................................
3,347
3,447
GNMA
I,
Single-family,
30
Year,
6.5%,
1/15/24
-
9/15/32
......................
52,690
55,368
GNMA
I,
Single-family,
30
Year,
7%,
1/15/26
-
2/15/32
........................
7,094
7,213
GNMA
I,
Single-family,
30
Year,
7.5%,
10/15/23
-
5/15/28
......................
11,294
11,492
GNMA
I,
Single-family,
30
Year,
8%,
9/15/27
...............................
1,324
1,338
GNMA
I,
Single-family,
30
Year,
8.5%,
7/15/24
..............................
29
29
GNMA
II,
Single-family,
30
Year,
6.5%,
1/20/26
-
1/20/33
......................
65,432
69,826
GNMA
II,
Single-family,
30
Year,
7.5%,
11/20/22
-
7/20/32
.....................
36,200
39,050
GNMA
II,
Single-family,
30
Year,
8%,
8/20/26
...............................
33
34
GNMA
II,
Single-family,
30
Year,
9%,
9/20/24
-
3/20/25
.......................
133
134
189,439
Total
Mortgage-Backed
Securities
(Cost
$33,884,424)
............................
31,744,542
Residential
Mortgage-Backed
Securities
14.4%
Capital
Markets
0.1%
c
Merrill
Lynch
Mortgage
Investors
Trust
,
2003-A
,
1A
,
FRN
,
2.364
%
,
(
1-month
USD
LIBOR
+
0.74
%
),
3/25/28
............................................
40,235
39,028
Diversified
Financial
Services
9.9%
c
American
Home
Mortgage
Investment
Trust
,
2005-1
,
6A
,
FRN
,
4.062
%
,
(
6-month
USD
LIBOR
+
2
%
),
6/25/45
..............................................
27,702
27,731
b
BRAVO
Residential
Funding
Trust
,
2019-1,
A1C,
144A,
3.5%,
3/25/58
.....................................
23,959
23,814
d
2019-2,
A3,
144A,
FRN,
3.5%,
10/25/44
.................................
59,117
57,209
b
CIM
Trust
,
d
2019-INV1,
A1,
144A,
FRN,
4%,
2/25/49
................................
14,398
14,237
c
2019-INV2,
A11,
144A,
FRN,
1.956%,
(1-month
USD
LIBOR
+
0.95%),
5/25/49
...
49,651
48,668
d
2019-INV2,
A3,
144A,
FRN,
4%,
5/25/49
................................
31,280
30,723
d
2018-INV1,
A4,
144A,
FRN,
4%,
8/25/48
................................
20,576
20,296
b,d
Citigroup
Mortgage
Loan
Trust
,
2013-A
,
A
,
144A,
FRN
,
3
%
,
5/25/42
.............
5,188
5,145
b,d
COLT
Mortgage
Loan
Trust
,
2022-4
,
A1
,
144A,
FRN
,
4.301
%
,
3/25/67
............
97,824
96,744
b,c
Connecticut
Avenue
Securities
Trust
,
2019-R02,
1M2,
144A,
FRN,
3.924%,
(1-month
USD
LIBOR
+
2.3%),
8/25/31
....
36,999
37,008
2019-R03,
1M2,
144A,
FRN,
3.774%,
(1-month
USD
LIBOR
+
2.15%),
9/25/31
...
34,353
34,300
b,d
CSMC
Trust
,
2014-OAK1
,
1A1
,
144A,
FRN
,
3
%
,
11/25/29
.....................
32,353
31,069
b,c
FHLMC
STACR
REMIC
Trust
,
2022-DNA1,
M1A,
144A,
FRN,
1.926%,
(30-day
SOFR
Average
+
1%),
1/25/42
...
280,000
270,361
2022-DNA3,
M1A,
144A,
FRN,
2.926%,
(30-day
SOFR
Average
+
2%),
4/25/42
...
76,221
75,070
2020-DNA1,
M2,
144A,
FRN,
3.324%,
(1-month
USD
LIBOR
+
1.7%),
1/25/50
....
61,723
61,057
2020-HQA3,
M2,
144A,
FRN,
5.224%,
(1-month
USD
LIBOR
+
3.6%),
7/25/50
....
25,362
25,350
b,c
FHLMC
STACR
Trust
,
2019-DNA4
,
M2
,
144A,
FRN
,
3.574
%
,
(
1-month
USD
LIBOR
+
1.95
%
),
10/25/49
..................................................
79,158
78,474
b,d
Flagstar
Mortgage
Trust
,
2021-4,
A5,
144A,
FRN,
2.5%,
6/01/51
..................................
178,673
161,945
2021-2,
A6,
144A,
FRN,
2.5%,
4/25/51
..................................
200,264
183,071
Franklin
Strategic
Mortgage
Portfolio
Schedule
of
Investments
(unaudited)
See
Notes
to
Schedule
of
Investments.
Quarterly
Schedule
of
Investments
5
a
a
Principal
Amount
a
Value
a
a
a
a
a
Residential
Mortgage-Backed
Securities
(continued)
Diversified
Financial
Services
(continued)
b,d
GS
Mortgage-Backed
Securities
Trust
,
2021-PJ6
,
A8
,
144A,
FRN
,
2.5
%
,
11/25/51
...
$
216,314
$
196,062
b,d
J.P.
Morgan
Mortgage
Trust
,
2013-3,
A3,
144A,
FRN,
3.355%,
7/25/43
................................
53,976
51,952
2021-6,
A4,
144A,
FRN,
2.5%,
10/25/51
.................................
275,360
251,720
2021-13,
A4,
144A,
FRN,
2.5%,
4/25/52
.................................
188,083
172,067
2021-15,
A4,
144A,
FRN,
2.5%,
6/25/52
.................................
54,786
50,083
2022-1,
A4,
144A,
FRN,
2.5%,
7/25/52
..................................
284,916
260,455
b,d
Mill
City
Mortgage
Loan
Trust
,
2018-2,
A1,
144A,
FRN,
3.5%,
5/25/58
..................................
50,046
49,662
2018-1,
A1,
144A,
FRN,
3.25%,
5/25/62
.................................
43,264
42,556
2018-4,
A1B,
144A,
FRN,
3.495%,
4/25/66
...............................
96,095
93,471
b
OBX
Trust
,
c
2018-1,
A2,
144A,
FRN,
2.274%,
(1-month
USD
LIBOR
+
0.65%),
6/25/57
.......
34,117
33,458
d
2021-J1,
A4,
144A,
FRN,
2.5%,
5/25/51
.................................
171,935
157,174
d
2021-J3,
A4,
144A,
FRN,
2.5%,
10/25/51
................................
86,808
78,972
d
Provident
Funding
Associates
LLP
,
2021-J1
,
A3
,
FRN
,
2.5
%
,
2/20/49
.............
134,862
122,689
b,d
PSMC
Trust
,
2021-3
,
A3
,
144A,
FRN
,
2.5
%
,
8/25/51
.........................
253,539
230,762
b,d
Sequoia
Mortgage
Trust
,
2021-1,
A1,
144A,
FRN,
2.5%,
3/25/51
..................................
168,620
144,851
2021-6,
A4,
144A,
FRN,
2.5%,
10/25/51
.................................
229,377
208,200
b
Towd
Point
Mortgage
Trust
,
d
2016-4,
A1,
144A,
FRN,
2.25%,
7/25/56
.................................
5,386
5,376
d
2016-5,
A1,
144A,
FRN,
2.5%,
10/25/56
.................................
58,975
58,567
d
2017-1,
A1,
144A,
FRN,
2.75%,
10/25/56
................................
45,981
45,635
c
2017-5,
A1,
144A,
FRN,
2.224%,
(1-month
USD
LIBOR
+
0.6%),
2/25/57
........
19,537
19,346
d
2017-2,
A1,
144A,
FRN,
2.75%,
4/25/57
.................................
12,175
12,109
d
2017-4,
A1,
144A,
FRN,
2.75%,
6/25/57
.................................
102,973
100,619
d
2018-1,
A1,
144A,
FRN,
3%,
1/25/58
...................................
25,718
25,285
d
2018-2,
A1,
144A,
FRN,
3.25%,
3/25/58
.................................
65,407
64,120
d
2019-1,
A1,
144A,
FRN,
3.656%,
3/25/58
................................
130,560
127,667
d
2018-6,
A1A,
144A,
FRN,
3.75%,
3/25/58
................................
43,515
43,286
d
2017-1,
A2,
144A,
FRN,
3.5%,
10/25/56
.................................
165,000
162,240
4,090,656
a
a
a
a
a
Thrifts
&
Mortgage
Finance
4.4%
c
FHLMC
Structured
Agency
Credit
Risk
Debt
Notes
,
2013-DN2,
M2,
FRN,
5.874%,
(1-month
USD
LIBOR
+
4.25%),
11/25/23
........
93,337
93,988
2014-DN2,
M3,
FRN,
5.224%,
(1-month
USD
LIBOR
+
3.6%),
4/25/24
..........
139,642
141,042
2014-DN3,
M3,
FRN,
5.624%,
(1-month
USD
LIBOR
+
4%),
8/25/24
...........
38,743
39,057
2014-DN4,
M3,
FRN,
6.174%,
(1-month
USD
LIBOR
+
4.55%),
10/25/24
........
64,050
64,853
2015-HQ2,
M3,
FRN,
4.874%,
(1-month
USD
LIBOR
+
3.25%),
5/25/25
.........
63,138
63,407
2016-DNA2,
M3,
FRN,
6.274%,
(1-month
USD
LIBOR
+
4.65%),
10/25/28
.......
104,035
107,280
2016-HQA2,
M3,
FRN,
6.774%,
(1-month
USD
LIBOR
+
5.15%),
11/25/28
.......
121,664
125,335
c
FNMA
,
2014-C04,
1M2,
FRN,
6.524%,
(1-month
USD
LIBOR
+
4.9%),
11/25/24
.........
77,780
80,044
2015-C01,
1M2,
FRN,
5.924%,
(1-month
USD
LIBOR
+
4.3%),
2/25/25
.........
80,058
80,961
2016-C01,
1M2,
FRN,
8.374%,
(1-month
USD
LIBOR
+
6.75%),
8/25/28
........
154,270
162,175
2016-C02,
1M2,
FRN,
7.624%,
(1-month
USD
LIBOR
+
6%),
9/25/28
...........
134,982
140,345
2016-C03,
1M2,
FRN,
6.924%,
(1-month
USD
LIBOR
+
5.3%),
10/25/28
........
160,836
166,034
2014-C02,
2M2,
FRN,
4.224%,
(1-month
USD
LIBOR
+
2.6%),
5/25/24
.........
73,577
73,617
2014-C03,
2M2,
FRN,
4.524%,
(1-month
USD
LIBOR
+
2.9%),
7/25/24
.........
31,245
31,300
2016-C05,
2M2,
FRN,
6.074%,
(1-month
USD
LIBOR
+
4.45%),
1/25/29
........
75,152
78,352
2013-C01,
M2,
FRN,
6.874%,
(1-month
USD
LIBOR
+
5.25%),
10/25/23
........
80,080
82,339
2014-C01,
M2,
FRN,
6.024%,
(1-month
USD
LIBOR
+
4.4%),
1/25/24
..........
84,181
86,139
Franklin
Strategic
Mortgage
Portfolio
Schedule
of
Investments
(unaudited)
Quarterly
Schedule
of
Investments
See
Notes
to
Schedule
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
,
2017-C05
,
1M2
,
FRN
,
3.824
%
,
(
1-month
USD
LIBOR
+
2.2
%
),
1/25/30
.............................................
$
138,473
$
139,194
b
Virginia
Housing
Development
Authority
,
2020-A
,
A
,
144A,
2.85
%
,
12/25/49
........
56,234
53,308
1,808,770
a
a
a
a
a
Total
Residential
Mortgage-Backed
Securities
(Cost
$6,294,111)
..................
5,938,454
Total
Long
Term
Investments
(Cost
$43,113,769)
................................
40,416,253
a
a
a
a
a
Short
Term
Investments
2.0%
Shares
a
Money
Market
Funds
2.0%
g,h
Institutional
Fiduciary
Trust
-
Money
Market
Portfolio,
0.895%
..................
809,964
809,964
Total
Money
Market
Funds
(Cost
$809,964)
.....................................
809,964
Total
Short
Term
Investments
(Cost
$809,964
)
..................................
809,964
a
Total
Investments
(Cost
$43,923,733)
99.8%
....................................
$41,226,217
Other
Assets,
less
Liabilities
0.2%
.............................................
95,132
Net
Assets
100.0%
...........................................................
$41,321,349
†
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
June
30,
2022,
the
aggregate
value
of
these
securities
was
$6,276,014,
representing
15.2%
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
See
Note
3
regarding
investments
in
affiliated
management
investment
companies.
h
The
rate
shown
is
the
annualized
seven-day
effective
yield
at
period
end.
Franklin
Strategic
Mortgage
Portfolio
Schedule
of
Investments
(unaudited)
See
Notes
to
Schedule
of
Investments.
Quarterly
Schedule
of
Investments
7
At
June
30,
2022,
the
Fund
had
the
following futures
contracts
outstanding.
See
A
bbreviations
on
page
10
.
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
$
1,185,312
9/21/22
$
18,765
U.S.
Treasury
10
Year
Ultra
Notes
................
Long
6
764,250
9/21/22
(12,477)
U.S.
Treasury
2
Year
Notes
.....................
Short
5
1,050,078
9/30/22
812
U.S.
Treasury
5
Year
Notes
.....................
Long
23
2,581,750
9/30/22
(28,670)
U.S.
Treasury
Long
Bonds
.....................
Long
19
2,633,875
9/21/22
(11,199)
U.S.
Treasury
Ultra
Bonds
......................
Long
1
154,344
9/21/22
(3,408)
Total
Futures
Contracts
......................................................................
$(36,177)
*
As
of
period
end.
Franklin
Strategic
Mortgage
Portfolio
Notes
to
Schedule
of
Investments
(unaudited)
8
Quarterly
Schedule
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.
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.
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
June
30,
2022,
the
Fund
held
investments
in
affiliated
management
investment
companies
as
follows: 
Franklin
Strategic
Mortgage
Portfolio
Notes
to
Schedule
of
Investments
(unaudited)
9
Quarterly
Schedule
of
Investments
4. 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
June
30,
2022,
in
valuing
the
Fund's
assets
and
liabilities
carried
at
fair
value,
is
as
follows:
a
For
detailed
categories,
see
the
accompanying
Schedule
of
Investments.
    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,
0.895%
$
2,291,364
$
4,147,636
$
(5,629,036)
$
—
$
—
$
809,964
809,964
$
766
Total
Affiliated
Securities
...
$2,291,364
$4,147,636
$(5,629,036)
$—
$—
$809,964
$766
Level
1
Level
2
Level
3
Total
Franklin
Strategic
Mortgage
Portfolio
Assets:
Investments
in
Securities:
a
Corporate
Bonds
........................
$
—
$
95,819
$
—
$
95,819
Asset-Backed
Securities
..................
—
1,174,453
—
1,174,453
Commercial
Mortgage-Backed
Securities
......
—
1,462,985
—
1,462,985
Mortgage-Backed
Securities
................
—
31,744,542
—
31,744,542
Residential
Mortgage-Backed
Securities
......
—
5,938,454
—
5,938,454
Short
Term
Investments
...................
809,964
—
—
809,964
Total
Investments
in
Securities
...........
$809,964
$40,416,253
$—
$41,226,217
Other
Financial
Instruments:
Futures
contracts
........................
$
19,577
$
—
$
—
$
19,577
Total
Other
Financial
Instruments
.........
$19,577
$—
$—
$19,577
Liabilities:
Other
Financial
Instruments:
Futures
contracts
........................
$
55,754
$
—
$
—
$
55,754
Total
Other
Financial
Instruments
.........
$55,754
$—
$—
$55,754
3.
Investments
in
Affiliated
Management
Investment
Companies 
(continued)
Franklin
Strategic
Mortgage
Portfolio
Notes
to
Schedule
of
Investments
(unaudited)
10
Quarterly
Schedule
of
Investments
Abbreviations
Currency
USD
United
States
Dollar
Selected
Portfolio
FHLMC
Fe
deral
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
SOFR
Secured
Overnight
Financing
Rate
For
additional
information
on
the
Fund's
significant
accounting
policies,
please
refer
to
the Fund's
most
recent
semiannual
or
annual
shareholder
report.