SEMIANNUAL REPORT
FRANKLIN LIBERTY SHORT DURATION U.S. GOVERNMENT ETF
A Series of Franklin ETF Trust
September 30, 2021
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Contents |
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Semiannual Report |
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2 | |
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Performance Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
4 |
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Your Fund’s Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
6 |
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Financial Highlights and Statement of Investments . . . . . . |
7 |
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Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
16 |
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Notes to Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . |
19 |
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Shareholder Information . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
26 |
Visit franklintempleton.com for fund updates and documents, or to find helpful financial planning tools.
Not FDIC Insured | May Lose Value | No Bank Guarantee
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Semiannual Report |
1
SEMIANNUAL REPORT
Franklin Liberty Short Duration U.S. Government ETF
This semiannual report for Franklin Liberty Short Duration U.S. Government ETF covers the period ended September 30, 2021.
Your Fund’s Goal and Main Investments
The Fund seeks to provide a high level of current income as is consistent with prudent investing, while seeking preserva- tion of capital, by normally investing at least 80% of its net assets in securities issued or guaranteed by the U.S. govern- ment, its agencies or instrumentalities.1 The Fund currently targets an estimated portfolio duration of three years or less.
Performance Overview
For the six months under review, the Fund posted cumulative total returns of -0.02% based on market price and -0.09% based on net asset value. In comparison, the Bloomberg U.S. Government Index: 1-3 Year Component, which includes U.S. dollar-denominated, fixed-rate, nominal U.S. Treasuries and U.S. agency debentures with at least one year up to, but not including, three years to final maturity, posted a +0.03% cumulative total return for the same period.2 You can find more of the Fund’s performance data in the Performance Summary beginning on page 4.
Performance data represent past performance, which does not guarantee future results. Investment return and principal value will fluctuate, and you may have a gain or loss when you sell your shares. Current performance may differ from figures shown. For most recent month-end performance, go
to franklintempleton.com or call (800) 342-5236.
Economic and Market Overview
The U.S. bond market, as measured by the Bloomberg
U.S. Aggregate Bond Index, posted a +1.88% total return for the six months ended September 30, 2021.2 The inflation rate was elevated during the period amid high demand and supply-chain bottlenecks, with the price pressures coming principally from the areas most impacted by shutdowns related to the novel coronavirus (COVID-19) pandemic, such
Portfolio Composition* 9/30/21
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% of Total |
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Net Assets | |
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MBS ARMs |
36.30% | |
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MBS Fixed Rate |
36.25% | |
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U.S. Agencies |
2.74% | |
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U.S. Treasuries |
25.10% | |
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TIPS |
0% | |
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Short-Term Investments & Other Net Assets |
-0.40% | |
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*Figures reflect certain derivatives held in the portfolio (or their underlying reference assets) and may not total 100% or may be negative due to rounding, use of any derivatives, unsettled trades or other factors.
as used vehicles, airfares, semiconductors and energy. How- ever, investors’ inflation expectations were relatively stable, and a widely-used measure indicated that markets antici- pated inflation will moderate. Longer-term bonds generally outperformed shorter-term bonds, as the yield curve (a mea- sure of the difference between long-term and short-term bond yields) flattened slightly.
In an effort to support the economy, the U.S. Federal Reserve (Fed) kept the federal funds target rate at a record-low range of 0.00%–0.25%. The Fed also maintained quantitative easing measures aimed at ensuring credit flows to borrowers and supporting credit markets with open-ended U.S. Treasury and mortgage bond purchasing. In its September 2021 meeting statement, the Fed indicated that it soon plans to reduce its purchases of U.S. Treasury and mortgage-backed securities but declined to provide a timeta- ble. The Fed also maintained that it views inflation as partially transitory, and that further employment progress was needed before the Fed would consider raising the range for the federal funds target rate.
U.S. Treasury bonds, as measured by the Bloomberg U.S. Treasury Index, posted a +1.83% total return for the six-month period.2 The 10-year U.S. Treasury yield (which moves inversely to price) declined amid an increase in novel coronavirus (COVID-19) cases as the Delta variant spread.
1.Some securities owned by the Fund, but not shares of the Fund, are guaranteed by the U.S. government, its agencies or instrumentalities as to timely payment of principal and interest. The Fund’s net asset value, trading price and yield are not guaranteed and will fluctuate with market conditions. Please see the Fund’s prospectus for the level of credit support offered by government agency or instrumentality issues.
2.Source: Morningstar.
The index is unmanaged and includes reinvestment of any income or distributions. It does not reflect any fees, expenses or sales charges. One cannot invest directly in an index, and an index is not representative of the Fund’s portfolio.
See www.franklintempletondatasources.com for additional data provider information.
The dollar value, number of shares or principal amount, and names of all portfolio holdings are listed in the Fund’s Statement of Investments (SOI). The SOI begins on page 8.
2
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F R A N K L I N L I B E R T Y S H O R T D U R AT I O N U . S . G O V E R N M E N T E T F
Mortgage-backed securities (MBS), as measured by the Bloomberg MBS Index, posted a +0.43% total return for the period, helped by ongoing Fed support.2
Corporate bonds followed a similar trajectory as
U.S. Treasuries, but benefited from a continued decline in spreads (the difference in yields between government and corporate bonds) amid an increase in investors’ appetite for risk. High-yield corporate bonds, as represented by the Bloomberg U.S. Corporate High Yield Bond Index, posted a +3.65% total return, while investment-grade corporate bonds, as represented by the Bloomberg U.S. Corporate Bond Index, posted a +3.54% total return.2
Investment Strategy
Under normal market conditions, the Fund invests at least 80% of its net assets in securities issued or guaranteed by the U.S. government, its agencies, or instrumentalities. The Fund currently targets an estimated portfolio duration of three years or less. The Fund generally invests 50%–80% of its assets in mortgage securities issued or guaranteed by the U.S. government, its agencies, or instrumentalities, including adjustable rate mortgage securities (ARMs) and collateral- ized mortgage obligations (CMOs). The Fund also invests in direct U.S. government obligations (such as Treasury bonds, bills and notes) and in securities issued or guaranteed by the U.S. government, its agencies or instrumentalities, including government-sponsored entities. All of the Fund’s principal investments are debt securities, including bonds, notes and debentures. To pursue its investment goal, the Fund may invest in certain interest rate-related derivatives, principally U.S. Treasury futures contracts and options on interest rate/ bond futures. The use of these derivatives may allow the Fund to obtain net long or short exposures to selected inter- est rates or durations. These derivatives may be used to hedge risks associated with the Fund’s other portfolio invest- ments and to manage the duration of the Fund’s portfolio. The Fund is an actively managed exchange-traded fund (ETF) that does not seek to replicate the performance of a specified index. The Fund may have a higher degree of port- folio turnover than funds that seek to replicate the performance of an index.
Manager’s Discussion
The six-month period ending September 30, 2021, was char- acterized by a rise in yields for Treasuries with maturities less than 5 years, a drop in yields for Treasuries with maturities more than 5 years, and some widening of spreads for agency fixed-rate mortgage-backed securities (MBS) and agency col- lateralized mortgage obligations (CMO). The Fund’s yield curve exposure was the largest positive contributor to
performance versus the benchmark. The Fund was posi- tioned with less duration than the benchmark overall, but with more exposure than the benchmark beyond the two-year point on the yield curve. The outperformance due to yield curve exposure was largely offset by the impact of spread widening in the Fund’s exposure to MBS and CMOs. The Fund’s exposure to other mortgage-related sectors – multi- family agency MBS and agency ARM securities – had a negligible impact on performance over the period.
The Fund invested in U.S. Treasuries, agency debentures, agency mortgage pass-through securities and other U.S. government-related bonds and cash investments. We looked for valuations we considered attractive within lower interest- rate risk government bond markets with a focus on high current income. We used U.S. Treasury futures and options on U.S. Treasury futures for duration and convexity manage- ment. Over the period, the futures and options positions had a net realized loss.
Thank you for your participation in Franklin Liberty Short Duration U.S. Government ETF. We look forward to serving your future investment needs.
Patrick A. Klein, Ph.D.
Paul Varunok
Neil Dhruv
Portfolio Management Team
The foregoing information reflects our analysis, opinions and portfolio holdings as of September 30, 2021, the end of the reporting period. The way we implement our main investment strategies and the resulting portfolio holdings may change depending on factors such as market and economic condi- tions. These opinions may not be relied upon as investment advice or an offer for a particular security. The information is not a complete analysis of every aspect of any market, coun- try, industry, security or the Fund. Statements of fact are from sources considered reliable, but the investment manager makes no representation or warranty as to their complete- ness or accuracy. Although historical performance is no guarantee of future results, these insights may help you understand our investment management philosophy.
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Semiannual Report |
3
F R A N K L I N L I B E R T Y S H O R T D U R AT I O N U . S . G O V E R N M E N T E T F
Performance Summary as of September 30, 2021
Total return reflects reinvestment of the Fund’s dividends and capital gain distributions, if any, and any unrealized gains or losses. Total returns do not include brokerage commissions that may be payable on secondary market transactions. The per- formance tables do not reflect any taxes that a shareholder would pay on Fund dividends, capital gain distributions, if any, or any realized gains on the sale of Fund shares.
Net asset value or “NAV” is the value of one share of a fund as calculated in accordance with the standard formula for valuing fund shares. The price used to calculate market return (Market Price) is determined by using the midpoint between the highest bid and the lowest offer on the primary stock exchange on which shares of a fund are listed for trading, as of the time that such fund’s NAV is calculated. Since shares of the Fund did not trade in the secondary market until after the Fund’s inception, for the period from inception to the first day of secondary trading (11/6/13), the NAV of the Fund is used as a proxy for the Market Price to calculate market returns. Market and NAV returns assume that dividends and capital gain distributions have been rein- vested at Market Price and NAV.
Your dividend income will vary depending on dividends or interest paid by securities in the Fund’s portfolio, adjusted for oper- ating expenses. Capital gain distributions are net profits realized from the sale of portfolio securities.
Performance as of 9/30/211
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Cumulative Total Return2 |
Average Annual Total Return2 | ||||||||||||||
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Based on |
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NAV3 |
market price4 |
NAV3 |
market price4 | |||||||||||
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6-Month |
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-0.09% |
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-0.02% |
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-0.09% |
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-0.02% |
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1-Year |
+0.04% |
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-0.03% |
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+0.04% |
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-0.03% |
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5-Year |
+7.81% |
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+7.60% |
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+1.51% |
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+1.48% |
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Since Inception (11/4/13) |
+10.77% |
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+10.45% |
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+1.30% |
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+1.26% |
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30-Day Standardized Yield6 |
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Distribution Rate5 |
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(with fee waiver) (without fee waiver) |
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0.90% |
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0.40% |
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0.29% |
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Performance data represent past performance, which does not guarantee future results. Investment return and principal value will fluctuate, and you may have a gain or loss when you sell your shares. Current performance may differ from figures shown. For most recent month-end performance, go to franklintempleton.com or call (800) 342-5236.
See page 5 for Performance Summary footnotes
4
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F R A N K L I N L I B E R T Y S H O R T D U R AT I O N U . S . G O V E R N M E N T E T F
P E R F O R M A N C E S U M M A R Y
Distributions (4/1/21–9/30/21)
Net Investment
Income
$0.441950
Total Annual Operating Expenses7
0.25%
All investments involve risks, including possible loss of principal. Interest rate movements, unscheduled mortgage prepayments and other risk factors will affect the Fund’s share price and yield. Bond prices, and thus a fund’s share price, generally move in the opposite direction of interest rates. Therefore, as the prices of bonds in the Fund adjust to a rise in interest rates, the Fund’s share price may decline. Changes in the financial strength of a bond issuer or in a bond’s credit rating may affect its value. Events such as the spread of deadly diseases, disasters, and financial, political or social disruptions, may heighten risks and adversely affect performance. The Fund’s prospectus also includes a discussion of the main investment risks.
ETFs trade like stocks, fluctuate in market value and may trade at prices above or below their net asset value. Brokerage commissions and ETF expenses will reduce returns.
1.The Fund has a fee waiver and/or an expense reimbursement contractually guaranteed through 7/31/22. Fund investment results reflect the expense reduction; without this reduction, the results would have been lower.
2.Total return calculations represent the cumulative and average annual changes in value of an investment over the periods indicated. Return for less than one year, if any, has not been annualized.
3.Assumes reinvestment of distributions based on net asset value.
4.Assumes reinvestment of distributions based on market price.
5.Distribution rate is based on an annualization of the 7.136 cent per share September dividend and the NAV of $94.71 per share on 9/30/21.
6.The Fund’s 30-day standardized yield is calculated over a trailing 30-day period using the yield to maturity on bonds and/or the dividends accrued on stocks. It may not equal the Fund’s actual income distribution rate, which reflects the Fund’s past dividends paid to shareholders.
7.Figures are effective as of October 1, 2021 (as stated in the Fund’s prospectus supplement dated October 1, 2021) and may differ from the expense ratios disclosed in the Your Fund’s Expenses and Financial Highlights sections in this report. In periods of market volatility, assets may decline significantly, causing total annual Fund operating expenses to become higher than the figures shown.
See www.franklintempletondatasources.com for additional data provider information.
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Semiannual Report |
5
F R A N K L I N L I B E R T Y S H O R T D U R AT I O N U . S . G O V E R N M E N T E T F
Your Fund’s Expenses
As a Fund shareholder, you can incur two types of costs: (1) transaction costs, including brokerage commissions on purchases and sales of Fund shares; and (2) ongoing Fund costs, including management fees and other Fund expenses. All funds have ongoing costs, sometimes referred to as operating expenses. The table below shows ongoing costs of investing in the Fund and can help you understand these costs and compare them with those of other funds. The table assumes a $1,000 invest- ment held for the six months indicated.
Actual Fund Expenses
The table below provides information about actual account values and actual expenses in the columns under the heading “Actual.” In these columns the Fund’s actual return, which includes the effect of Fund expenses, is used to calculate the “End- ing Account Value.” You can estimate the expenses you paid during the period by following these steps (of course, your account value and expenses will differ from those in this illustration): Divide your account value by $1,000 (if your account had an $8,600 value, then $8,600 ÷ $1,000 = 8.6). Then multiply the result by the number in the row under the headings “Actual” and “Expenses Paid During Period” (if Actual Expenses Paid During Period were $7.50, then 8.6 x $7.50 = $64.50). In this illustration, the actual expenses paid this period are $64.50.
Hypothetical Example for Comparison with Other Funds
Under the heading “Hypothetical” in the table, information is provided about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. This information may not be used to estimate the actual ending account balance or expenses you paid for the period, but it can help you compare ongoing costs of investing in the Fund with those of other funds. To do so, com- pare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that expenses shown in the table are meant to highlight ongoing costs and do not reflect any transactional costs. Therefore, information under the heading “Hypothetical” is useful in comparing ongoing costs only, and will not help you compare total costs of owning different funds. In addition, if transactional costs were included, your total costs would have been higher.
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Actual |
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Hypothetical |
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(actual return after expenses) |
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(5% annual return before expenses) |
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Expenses |
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Expenses |
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Beginning |
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Ending |
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Paid During |
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Ending |
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Paid During |
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Account |
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Period |
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Net Annualized |
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Value 4/1/21 |
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Value 9/30/21 |
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4/1/21–9/30/211,2 |
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Value 9/30/21 |
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4/1/21–9/30/211,2 |
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Expense Ratio2 |
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$1,000 |
$999.08 |
$1.25 |
$1,023.82 |
$1.27 |
0.25% | ||||||
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1.Expenses are equal to the annualized expense ratio for the six-month period as indicated above—in the far right column—multiplied by the simple average account value over the period indicated, and then multiplied by 183/365 to reflect the one-half year period.
2.Reflects expenses after fee waivers and expense reimbursements. Does not include acquired fund fees and expenses.
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F R A N K LI N E T F T R U S T
Financial Highlights
Franklin Liberty Short Duration U.S. Government ETF
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Six Months Ended |
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Year Ended March 31, |
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Year Ended May 31, | ||||
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September 30, 2021 |
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(unaudited) |
2021 |
2020 |
2019 |
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2018a |
2017 |
2016 | |||||||
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Per share operating performance |
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(for a share outstanding throughout |
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the period) |
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Net asset value, beginning of |
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period . . . . . . . . . . . . . . . . . . . . . . . . . |
$95.24 |
$94.84 |
$94.40 |
$95.18 |
$96.75 |
$97.83 |
$99.03 | ||||||||
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Income from investment operationsb: |
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Net investment incomec . . . . . . . . . . . |
0.21 |
0.79 |
2.11 |
1.95 |
1.17 |
1.02 |
0.72 | ||||||||
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Net realized and unrealized gains |
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(losses) . . . . . . . . . . . . . . . . . . . . . . . |
(0.30) |
0.89 |
0.85 |
(0.03) |
(0.89) |
(0.08) |
(0.39) | ||||||||
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Total from investment operations . . . . |
(0.09) |
1.68 |
2.96 |
1.92 |
0.28 |
0.94 |
0.33 | ||||||||
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Less distributions from net investment |
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income . . . . . . . . . . . . . . . . . . . . . . . . . |
(0.44) |
(1.28) |
(2.52) |
(2.70) |
(1.85) |
(2.02) |
(1.53) | ||||||||
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Net asset value, end of period . . . . . . . |
$94.71 |
$95.24 |
$94.84 |
$94.40 |
$95.18 |
$96.75 |
$97.83 | ||||||||
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Total returnd . . . . . . . . . . . . . . . . . . . . . |
(0.09)% |
1.77% |
3.18% |
2.04% |
0.30% |
0.97% |
0.34% | ||||||||
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Ratios to average net assetse |
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Expenses before waiver and |
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payments by affiliates . . . . . . . . . . . . |
0.35% |
0.37% |
0.43% |
0.44% |
0.50% |
0.39% |
0.40% | ||||||||
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Expenses net of waiver and payments |
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by affiliates . . . . . . . . . . . . . . . . . . . . . |
0.25%f |
0.24% |
0.23% |
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0.25%f |
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0.27%f |
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0.30%f |
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0.30%f | ||
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Net investment income . . . . . . . . . . . . . |
0.44% |
0.82% |
2.23% |
2.06% |
1.47% |
1.05% |
0.73% | ||||||||
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Supplemental data |
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Net assets, end of period (000’s) . . . . |
$476,024 |
$435,827 |
$187,395 |
$125,177 |
$164,279 |
$169,406 |
$183,521 | ||||||||
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Portfolio turnover rateg . . . . . . . . . . . . . |
49.47% |
210.16% |
169.35% |
104.49% |
103.43% |
134.97% |
145.14% | ||||||||
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Portfolio turnover rate excluding |
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mortgage dollar rollsg,h . . . . . . . . . . . . |
29.73% |
189.55% |
105.08% |
64.69% |
68.15% |
75.90% |
62.17% | ||||||||
aFor the period June 1, 2017 to March 31, 2018.
bThe amount shown for a share outstanding throughout the period may not correlate with the Statement of Operations for the period due to the timing of sales and repurchases of creation unit Fund shares in relation to income earned, adjustments to interest income for the inflation index bonds, and/or fluctuating market value of the investments of the Fund.
cBased on average daily shares outstanding.
dTotal return is not annualized for periods less than one year. Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption at net asset value on the last day of the period.
eRatios are annualized for periods less than one year, except for non-recurring expenses, if any. fBenefit of expense reduction rounds to less than 0.01%.
gPortfolio turnover rate includes portfolio transactions that are executed as a result of the Fund offering and redeeming Creation Units solely for cash (“Cash creations”). hSee Note 1(d) regarding mortgage dollar rolls.
|
franklintempleton.com |
The accompanying notes are an integral part of these financial statements. | Semiannual Report |
7
F R A N K LI N E T F T R U S T
Statement of Investments, September 30, 2021 (unaudited)
Franklin Liberty Short Duration U.S. Government ETF
|
|
|
Principal Amount |
|
Value | ||
|
U.S. Government and Agency Securities 27.8% |
|
|
|
|
|
|
|
Dragon 2012 LLC, secured bond, 1.972%, 3/12/24 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
$ |
23,333 |
$ |
23,759 | ||
|
Export-Import Bank of the U.S., |
|
|
|
|
|
|
|
secured bond, 2.628%, 11/12/26 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
1,426,130 |
|
1,494,284 | ||
|
senior secured bond, 1.90%, 7/12/24 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
1,630,265 |
|
1,659,072 | ||
|
Iraq Government Agency for International Development Bonds, 2.149%, 1/18/22 . . . . . . . . . . . . . . |
|
1,250,000 |
|
1,263,370 | ||
aKE Export Leasing LLC, 2013-A, secured note, FRN, 0.351%, (3-Month USD LIBOR + 0.23%),
|
2/28/25 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
616,226 |
615,485 |
|
MSN 41079 and 41084 Ltd., 1.631%, 12/14/24 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
1,464,253 |
1,488,204 |
|
Petroleos Mexicanos, 2.378%, 4/15/25 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
560,000 |
576,865 |
|
Reliance Industries Ltd., |
|
|
|
2.512%, 1/15/26 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
843,750 |
877,676 |
|
senior secured note, 2.06%, 1/15/26 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
1,125,000 |
1,158,826 |
|
Tayarra Ltd., 3.628%, 2/15/22 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
71,673 |
72,125 |
|
U.S. International Development Finance Corp., |
|
|
|
2.12%, 3/20/24 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
916,667 |
938,513 |
|
4.01%, 5/15/30 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
1,507,500 |
1,707,537 |
|
U.S. Treasury Note, |
|
|
|
0.125%, 12/31/22 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
8,000,000 |
7,999,062 |
|
0.125%, 4/30/23 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
2,500,000 |
2,497,119 |
|
0.125%, 5/15/23 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
11,000,000 |
10,986,250 |
|
0.125%, 5/31/23 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
5,000,000 |
4,992,383 |
|
0.125%, 7/15/23 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
2,500,000 |
2,495,264 |
|
0.125%, 8/15/23 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
5,000,000 |
4,988,477 |
|
0.125%, 9/15/23 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
3,000,000 |
2,991,445 |
|
0.25%, 4/15/23 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
6,000,000 |
6,005,508 |
|
0.25%, 6/15/23 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
6,000,000 |
6,002,578 |
|
0.25%, 11/15/23 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
5,000,000 |
4,993,945 |
|
0.25%, 3/15/24 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
5,500,000 |
5,481,953 |
|
0.25%, 5/15/24 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
5,000,000 |
4,976,367 |
|
0.25%, 6/15/24 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
5,000,000 |
4,972,656 |
|
0.375%, 4/15/24 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
5,000,000 |
4,995,313 |
|
0.50%, 3/15/23 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
5,500,000 |
5,526,963 |
|
1.25%, 7/31/23 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
3,400,000 |
3,462,953 |
|
1.25%, 8/31/24 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
8,000,000 |
8,174,375 |
|
1.50%, 3/31/23 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
7,500,000 |
7,648,682 |
|
1.50%, 9/30/24 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
8,000,000 |
8,235,938 |
|
1.625%, 4/30/23 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
3,400,000 |
3,476,699 |
|
1.625%, 10/31/23 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
3,000,000 |
3,082,266 |
|
1.75%, 6/30/24 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
5,300,000 |
5,487,984 |
|
Ulani MSN 37894, 2.184%, 12/20/24 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
1,130,435 |
1,159,501 |
|
Total U.S. Government and Agency Securities (Cost $132,425,516) |
|
|
|
|
132,509,397 | |
|
|
|
|
Mortgage-Backed Securities 72.6%
bFederal Home Loan Mortgage Corp. (FHLMC) Adjustable Rate 29.2%
|
FHLMC, 0.25%, (SOFR +/- MBS Margin), 12/25/30 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
1,933,741 |
1,938,714 |
|
FHLMC, 0.25%, (SOFR +/- MBS Margin), 1/25/31 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
5,000,000 |
5,011,891 |
|
FHLMC, 0.25%, (SOFR +/- MBS Margin), 1/25/31 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
5,000,000 |
5,011,901 |
|
FHLMC, 0.253%, (1-Month USD LIBOR +/- MBS Margin), 12/25/30 . . . . . . . . . . . . . . . . . . . . . . . . . |
1,000,000 |
1,001,149 |
|
FHLMC, 0.273%, (1-Month USD LIBOR +/- MBS Margin), 2/25/25 . . . . . . . . . . . . . . . . . . . . . . . . . . |
339,444 |
338,623 |
|
FHLMC, 0.28%, (SOFR +/- MBS Margin), 5/25/28 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
4,999,875 |
5,015,894 |
|
FHLMC, 0.28%, (SOFR +/- MBS Margin), 4/25/31 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
2,500,000 |
2,508,473 |
|
FHLMC, 0.29%, (SOFR +/- MBS Margin), 1/25/31 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
5,000,000 |
5,020,681 |
|
FHLMC, 0.293%, (1-Month USD LIBOR +/- MBS Margin), 3/25/25 . . . . . . . . . . . . . . . . . . . . . . . . . . |
691,240 |
691,918 |
|
FHLMC, 0.303%, (1-Month USD LIBOR +/- MBS Margin), 3/25/28 . . . . . . . . . . . . . . . . . . . . . . . . . . |
729,852 |
730,332 |
|
FHLMC, 0.313%, (1-Month USD LIBOR +/- MBS Margin), 5/25/25 . . . . . . . . . . . . . . . . . . . . . . . . . . |
361,809 |
362,427 |
|
FHLMC, 0.323%, (1-Month USD LIBOR +/- MBS Margin), 1/25/28 . . . . . . . . . . . . . . . . . . . . . . . . . . |
630,652 |
632,537 |
|
FHLMC, 0.333%, (1-Month USD LIBOR +/- MBS Margin), 12/25/24 . . . . . . . . . . . . . . . . . . . . . . . . . |
492,301 |
493,379 |
|
FHLMC, 0.343%, (1-Month USD LIBOR +/- MBS Margin), 11/25/30 . . . . . . . . . . . . . . . . . . . . . . . . . |
3,999,159 |
4,013,332 |
8
|
Semiannual Report |
franklintempleton.com |
F R A N K LI N E T F T R U S T
S T A T E M E N T O F I N V E S T M E N T S ( U N A U D I T E D )
Franklin Liberty Short Duration U.S. Government ETF (continued)
|
|
|
|
|
Principal Amount |
Value | |
|
|
|
|
|
|
|
|
|
|
Mortgage-Backed Securities (continued) |
|
|
|
| |
|
b Federal Home Loan Mortgage Corp. (FHLMC) Adjustable Rate (continued) |
|
|
|
| ||
|
|
FHLMC, 0.343%, (1-Month USD LIBOR +/- MBS Margin), 12/25/30 . . . . . . . . . . . . . . . . . . . . . . . . . |
$ 3,500,000 |
$ 3,505,834 | |||
|
|
FHLMC, 0.373%, (1-Month USD LIBOR +/- MBS Margin), 8/25/27 . . . . . . . . . . . . . . . . . . . . . . . . . . |
2,395,698 |
2,402,164 | |||
|
|
FHLMC, 0.373%, (1-Month USD LIBOR +/- MBS Margin), 6/25/28 . . . . . . . . . . . . . . . . . . . . . . . . . . |
890,612 |
895,077 | |||
|
|
FHLMC, 0.383%, (1-Month USD LIBOR +/- MBS Margin), 11/25/24 . . . . . . . . . . . . . . . . . . . . . . . . . |
94,044 |
94,387 | |||
|
|
FHLMC, 0.383%, (1-Month USD LIBOR +/- MBS Margin), 7/25/30 . . . . . . . . . . . . . . . . . . . . . . . . . . |
4,366,925 |
4,379,040 | |||
|
|
FHLMC, 0.383%, (1-Month USD LIBOR +/- MBS Margin), 8/25/30 . . . . . . . . . . . . . . . . . . . . . . . . . . |
3,639,178 |
3,649,217 | |||
|
|
FHLMC, 0.383%, (1-Month USD LIBOR +/- MBS Margin), 11/25/30 . . . . . . . . . . . . . . . . . . . . . . . . . |
1,479,243 |
1,485,517 | |||
|
|
FHLMC, 0.384%, (1-Month USD LIBOR +/- MBS Margin), 12/15/48 . . . . . . . . . . . . . . . . . . . . . . . . . |
997,030 |
1,001,739 | |||
|
|
FHLMC, 0.403%, (1-Month USD LIBOR +/- MBS Margin), 9/25/30 . . . . . . . . . . . . . . . . . . . . . . . . . . |
2,889,540 |
2,902,489 | |||
|
|
FHLMC, 0.413%, (1-Month USD LIBOR +/- MBS Margin), 9/25/24 . . . . . . . . . . . . . . . . . . . . . . . . . . |
661,739 |
663,205 | |||
|
|
FHLMC, 0.413%, (1-Month USD LIBOR +/- MBS Margin), 9/25/30 . . . . . . . . . . . . . . . . . . . . . . . . . . |
1,771,271 |
1,779,323 | |||
|
|
FHLMC, 0.423%, (1-Month USD LIBOR +/- MBS Margin), 8/25/24 . . . . . . . . . . . . . . . . . . . . . . . . . . |
670,886 |
671,906 | |||
|
|
FHLMC, 0.423%, (1-Month USD LIBOR +/- MBS Margin), 11/25/27 . . . . . . . . . . . . . . . . . . . . . . . . . |
533,298 |
535,803 | |||
|
|
FHLMC, 0.433%, (1-Month USD LIBOR +/- MBS Margin), 8/25/24 . . . . . . . . . . . . . . . . . . . . . . . . . . |
494,213 |
494,799 | |||
|
|
FHLMC, 0.433%, (1-Month USD LIBOR +/- MBS Margin), 8/25/30 . . . . . . . . . . . . . . . . . . . . . . . . . . |
6,253,237 |
6,276,554 | |||
|
|
FHLMC, 0.443%, (1-Month USD LIBOR +/- MBS Margin), 1/25/24 . . . . . . . . . . . . . . . . . . . . . . . . . . |
711,833 |
712,518 | |||
|
|
FHLMC, 0.443%, (1-Month USD LIBOR +/- MBS Margin), 8/25/24 . . . . . . . . . . . . . . . . . . . . . . . . . . |
3,352,310 |
3,361,577 | |||
|
|
FHLMC, 0.443%, (1-Month USD LIBOR +/- MBS Margin), 6/25/27 . . . . . . . . . . . . . . . . . . . . . . . . . . |
1,792,803 |
1,805,227 | |||
|
|
FHLMC, 0.443%, (1-Month USD LIBOR +/- MBS Margin), 6/25/30 . . . . . . . . . . . . . . . . . . . . . . . . . . |
2,194,000 |
2,203,625 | |||
|
|
FHLMC, 0.453%, (1-Month USD LIBOR +/- MBS Margin), 5/25/24 . . . . . . . . . . . . . . . . . . . . . . . . . . |
2,692,125 |
2,695,858 | |||
|
|
FHLMC, 0.453%, (1-Month USD LIBOR +/- MBS Margin), 3/25/27 . . . . . . . . . . . . . . . . . . . . . . . . . . |
193,733 |
194,083 | |||
|
|
FHLMC, 0.453%, (1-Month USD LIBOR +/- MBS Margin), 6/25/30 . . . . . . . . . . . . . . . . . . . . . . . . . . |
1,446,617 |
1,452,079 | |||
|
|
FHLMC, 0.463%, (1-Month USD LIBOR +/- MBS Margin), 5/25/22 . . . . . . . . . . . . . . . . . . . . . . . . . . |
28,334 |
28,320 | |||
|
|
FHLMC, 0.463%, (1-Month USD LIBOR +/- MBS Margin), 7/25/22 . . . . . . . . . . . . . . . . . . . . . . . . . . |
63,877 |
63,807 | |||
|
|
FHLMC, 0.483%, (1-Month USD LIBOR +/- MBS Margin), 8/25/25 . . . . . . . . . . . . . . . . . . . . . . . . . . |
749,420 |
752,032 | |||
|
|
FHLMC, 0.484%, (1-Month USD LIBOR +/- MBS Margin), 12/15/39 . . . . . . . . . . . . . . . . . . . . . . . . . |
874,663 |
876,406 | |||
|
|
FHLMC, 0.503%, (1-Month USD LIBOR +/- MBS Margin), 12/25/26 . . . . . . . . . . . . . . . . . . . . . . . . . |
520,198 |
521,239 | |||
|
|
FHLMC, 0.523%, (1-Month USD LIBOR +/- MBS Margin), 6/25/26 . . . . . . . . . . . . . . . . . . . . . . . . . . |
2,474,254 |
2,485,143 | |||
|
|
FHLMC, 0.523%, (1-Month USD LIBOR +/- MBS Margin), 5/25/29 . . . . . . . . . . . . . . . . . . . . . . . . . . |
1,871,472 |
1,884,440 | |||
|
|
FHLMC, 0.523%, (1-Month USD LIBOR +/- MBS Margin), 6/25/30 . . . . . . . . . . . . . . . . . . . . . . . . . . |
3,824,931 |
3,849,045 | |||
|
|
FHLMC, 0.534%, (1-Month USD LIBOR +/- MBS Margin), 10/15/40 . . . . . . . . . . . . . . . . . . . . . . . . . |
1,601,026 |
1,622,420 | |||
|
|
FHLMC, 0.553%, (1-Month USD LIBOR +/- MBS Margin), 5/25/30 . . . . . . . . . . . . . . . . . . . . . . . . . . |
1,945,408 |
1,957,624 | |||
|
|
FHLMC, 0.563%, (1-Month USD LIBOR +/- MBS Margin), 4/25/26 . . . . . . . . . . . . . . . . . . . . . . . . . . |
2,376,959 |
2,390,751 | |||
|
|
FHLMC, 0.573%, (1-Month USD LIBOR +/- MBS Margin), 2/25/26 . . . . . . . . . . . . . . . . . . . . . . . . . . |
3,528,235 |
3,544,912 | |||
|
|
FHLMC, 0.573%, (1-Month USD LIBOR +/- MBS Margin), 7/25/26 . . . . . . . . . . . . . . . . . . . . . . . . . . |
2,092,727 |
2,103,907 | |||
|
|
FHLMC, 0.583%, (1-Month USD LIBOR +/- MBS Margin), 1/25/26 . . . . . . . . . . . . . . . . . . . . . . . . . . |
1,103,396 |
1,109,970 | |||
|
|
FHLMC, 0.583%, (1-Month USD LIBOR +/- MBS Margin), 10/25/26 . . . . . . . . . . . . . . . . . . . . . . . . . |
3,080,569 |
3,103,732 | |||
|
|
FHLMC, 0.593%, (1-Month USD LIBOR +/- MBS Margin), 11/25/25 . . . . . . . . . . . . . . . . . . . . . . . . . |
2,982,247 |
2,999,713 | |||
|
|
FHLMC, 0.593%, (1-Month USD LIBOR +/- MBS Margin), 12/25/29 . . . . . . . . . . . . . . . . . . . . . . . . . |
4,976,747 |
5,044,323 | |||
|
|
FHLMC, 0.603%, (1-Month USD LIBOR +/- MBS Margin), 7/25/29 . . . . . . . . . . . . . . . . . . . . . . . . . . |
1,917,247 |
1,936,396 | |||
|
|
FHLMC, 0.603%, (1-Month USD LIBOR +/- MBS Margin), 8/25/29 . . . . . . . . . . . . . . . . . . . . . . . . . . |
1,588,837 |
1,601,486 | |||
|
|
FHLMC, 0.603%, (1-Month USD LIBOR +/- MBS Margin), 9/25/29 . . . . . . . . . . . . . . . . . . . . . . . . . . |
1,368,111 |
1,380,196 | |||
|
|
FHLMC, 0.613%, (1-Month USD LIBOR +/- MBS Margin), 3/25/29 . . . . . . . . . . . . . . . . . . . . . . . . . . |
3,601,630 |
3,629,288 | |||
|
|
FHLMC, 0.623%, (1-Month USD LIBOR +/- MBS Margin), 12/25/28 . . . . . . . . . . . . . . . . . . . . . . . . . |
3,973,630 |
4,017,303 | |||
|
|
FHLMC, 0.623%, (1-Month USD LIBOR +/- MBS Margin), 2/25/29 . . . . . . . . . . . . . . . . . . . . . . . . . . |
1,260,158 |
1,270,655 | |||
|
|
FHLMC, 0.643%, (1-Month USD LIBOR +/- MBS Margin), 11/25/28 . . . . . . . . . . . . . . . . . . . . . . . . . |
1,561,240 |
1,580,106 | |||
|
|
FHLMC, 0.783%, (1-Month USD LIBOR +/- MBS Margin), 2/25/27 . . . . . . . . . . . . . . . . . . . . . . . . . . |
1,574,333 |
1,591,190 | |||
|
|
FHLMC, 0.883%, (1-Month USD LIBOR +/- MBS Margin), 3/25/30 . . . . . . . . . . . . . . . . . . . . . . . . . . |
1,975,563 |
2,001,023 | |||
|
|
FHLMC, 1.722%, (12-Month USD LIBOR +/- MBS Margin), 3/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . |
135,012 |
141,177 | |||
|
|
FHLMC, 1.74%, (12-Month USD LIBOR +/- MBS Margin), 8/01/34 . . . . . . . . . . . . . . . . . . . . . . . . . . |
123,129 |
129,131 | |||
|
|
FHLMC, 1.771%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/29 . . . . . . . . . . . . . . . . . . . . . . . . |
23,652 |
23,691 | |||
|
|
FHLMC, 1.886%, (12-Month USD LIBOR +/- MBS Margin), 2/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . |
36,437 |
36,905 | |||
|
|
FHLMC, 1.887%, (12-Month USD LIBOR +/- MBS Margin), 5/01/33 . . . . . . . . . . . . . . . . . . . . . . . . . |
2,580 |
2,577 | |||
|
|
FHLMC, 1.893%, (12-Month USD LIBOR +/- MBS Margin), 9/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . |
1,295 |
1,369 | |||
|
|
FHLMC, 1.895%, (12-Month USD LIBOR +/- MBS Margin), 4/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . |
65,123 |
68,630 | |||
|
|
FHLMC, 1.918%, (12-Month USD LIBOR +/- MBS Margin), 1/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . |
8,753 |
9,250 | |||
|
|
FHLMC, 1.922%, (12-Month USD LIBOR +/- MBS Margin), 5/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . |
11,167 |
11,318 | |||
|
franklintempleton.com |
Semiannual Report |
9
F R A N K LI N E T F T R U S T
S T A T E M E N T O F I N V E S T M E N T S ( U N A U D I T E D )
Franklin Liberty Short Duration U.S. Government ETF (continued)
Mortgage-Backed Securities (continued)
b Federal Home Loan Mortgage Corp. (FHLMC) Adjustable Rate (continued)
FHLMC, 1.956%, (12-Month USD LIBOR +/- MBS Margin), 12/01/35 . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 1.97%, (12-Month USD LIBOR +/- MBS Margin), 12/01/36 . . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 1.975%, (US 1 Year CMT T-Note +/- MBS Margin), 8/01/33 . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 1.983%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/33 . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.005%, (12-Month USD LIBOR +/- MBS Margin), 1/01/42 . . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.011%, (12-Month USD LIBOR +/- MBS Margin), 5/01/35 . . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.024%, (12-Month USD LIBOR +/- MBS Margin), 6/01/37 . . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.027%, (12-Month USD LIBOR +/- MBS Margin), 10/01/36 . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.035%, (12-Month USD LIBOR +/- MBS Margin), 1/01/38 . . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.059%, (12-Month USD LIBOR +/- MBS Margin), 1/01/37 . . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.067%, (6-Month USD LIBOR +/- MBS Margin), 1/01/26 . . . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.069%, (12-Month USD LIBOR +/- MBS Margin), 4/01/34 . . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.086%, (12-Month USD LIBOR +/- MBS Margin), 1/01/37 . . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.092%, (12-Month USD LIBOR +/- MBS Margin), 5/01/42 . . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.093%, (12-Month USD LIBOR +/- MBS Margin), 9/01/36 . . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.098%, (12-Month USD LIBOR +/- MBS Margin), 6/01/37 . . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.115%, (12-Month USD LIBOR +/- MBS Margin), 9/01/36 . . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.125%, (12-Month USD LIBOR +/- MBS Margin), 3/01/35 . . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.126%, (12-Month USD LIBOR +/- MBS Margin), 5/01/35 . . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.137%, (12-Month USD LIBOR +/- MBS Margin), 7/01/43 . . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.139%, (12-Month USD LIBOR +/- MBS Margin), 3/01/35 . . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.147%, (12-Month USD LIBOR +/- MBS Margin), 1/01/36 . . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.151%, (12-Month USD LIBOR +/- MBS Margin), 9/01/37 . . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.172%, (12-Month USD LIBOR +/- MBS Margin), 3/01/36 . . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.178%, (12-Month USD LIBOR +/- MBS Margin), 1/01/36 . . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.181%, (12-Month USD LIBOR +/- MBS Margin), 4/01/37 . . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.195%, (12-Month USD LIBOR +/- MBS Margin), 11/01/42 . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.205%, (12-Month USD LIBOR +/- MBS Margin), 7/01/35 . . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.208%, (12-Month USD LIBOR +/- MBS Margin), 9/01/35 . . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.216%, (12-Month USD LIBOR +/- MBS Margin), 8/01/36 . . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.231%, (12-Month USD LIBOR +/- MBS Margin), 9/01/36 . . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.25%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/34 . . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.25%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/34 . . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.26%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/36 . . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.28%, (US 1 Year CMT T-Note +/- MBS Margin), 1/01/35 . . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.295%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/27 . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.314%, (12-Month USD LIBOR +/- MBS Margin), 3/01/36 . . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.315%, (US 1 Year CMT T-Note +/- MBS Margin), 4/01/29 . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.337%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/35 . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.338%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/33 . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.34%, (US 1 Year CMT T-Note +/- MBS Margin), 10/01/35 . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.343%, (US 1 Year CMT T-Note +/- MBS Margin), 10/01/33 . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.344%, (US 1 Year CMT T-Note +/- MBS Margin), 10/01/33 . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.347%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/36 . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.35%, (6-Month USD LIBOR +/- MBS Margin), 9/01/30 . . . . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.35%, (US 1 Year CMT T-Note +/- MBS Margin), 11/01/33 . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.355%, (US 1 Year CMT T-Note +/- MBS Margin), 11/01/36 . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.36%, (US 1 Year CMT T-Note +/- MBS Margin), 1/01/38 . . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.364%, (US 1 Year CMT T-Note +/- MBS Margin), 6/01/37 . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.37%, (US 1 Year CMT T-Note +/- MBS Margin), 1/01/36 . . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.37%, (US 1 Year CMT T-Note +/- MBS Margin), 10/01/38 . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.373%, (US 1 Year CMT T-Note +/- MBS Margin), 6/01/34 . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.375%, (US 1 Year CMT T-Note +/- MBS Margin), 8/01/32 . . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.375%, (US 1 Year CMT T-Note +/- MBS Margin), 11/01/33 . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.375%, (US 1 Year CMT T-Note +/- MBS Margin), 11/01/33 . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.375%, (US 1 Year CMT T-Note +/- MBS Margin), 11/01/34 . . . . . . . . . . . . . . . . . . . . . . .
FHLMC, 2.375%, (US 1 Year CMT T-Note +/- MBS Margin), 11/01/34 . . . . . . . . . . . . . . . . . . . . . . .
|
Principal Amount |
|
Value |
|
$ 145,795 |
$ |
153,884 |
|
45,859 |
|
48,544 |
|
34,080 |
|
34,252 |
|
32,600 |
|
34,640 |
|
65,051 |
|
68,709 |
|
2,586 |
|
2,615 |
|
47,674 |
|
49,461 |
|
14,333 |
|
15,204 |
|
20,012 |
|
21,157 |
|
8,394 |
|
8,895 |
|
246 |
|
244 |
|
5,812 |
|
5,896 |
|
2,393 |
|
2,485 |
|
478,751 |
|
506,899 |
|
5,873 |
|
6,098 |
|
2,380 |
|
2,385 |
|
38,258 |
|
40,757 |
|
220,218 |
|
230,517 |
|
204,691 |
|
216,862 |
|
1,438,031 |
|
1,523,908 |
|
36,165 |
|
38,291 |
|
14,319 |
|
14,456 |
|
523,850 |
|
556,314 |
|
244,658 |
|
259,473 |
|
6,523 |
|
6,929 |
|
24,008 |
|
24,392 |
|
347,346 |
|
368,331 |
|
6,393 |
|
6,786 |
|
103,925 |
|
105,026 |
|
2,492 |
|
2,576 |
|
12,265 |
|
12,516 |
|
115,784 |
|
124,397 |
|
6,881 |
|
6,880 |
|
33,660 |
|
36,205 |
|
10,423 |
|
11,183 |
|
310 |
|
310 |
|
7,476 |
|
7,805 |
|
1,334 |
|
1,337 |
|
312,719 |
|
333,946 |
|
4,576 |
|
4,814 |
|
90,797 |
|
97,360 |
|
14,132 |
|
15,059 |
|
84,135 |
|
89,672 |
|
1,380,701 |
|
1,475,514 |
|
1,733 |
|
1,748 |
|
112,917 |
|
120,356 |
|
12,098 |
|
12,974 |
|
649,283 |
|
692,380 |
|
106,676 |
|
107,478 |
|
10,592 |
|
11,340 |
|
73,556 |
|
73,860 |
|
22,938 |
|
23,883 |
|
1,037 |
|
1,040 |
|
16,171 |
|
16,425 |
|
13,217 |
|
14,031 |
|
45,271 |
|
48,350 |
|
30,793 |
|
32,889 |
10
|
Semiannual Report |
franklintempleton.com |
F R A N K LI N E T F T R U S T
S T A T E M E N T O F I N V E S T M E N T S ( U N A U D I T E D )
Franklin Liberty Short Duration U.S. Government ETF (continued)
|
Principal Amount |
Value |
Mortgage-Backed Securities (continued)
bFederal Home Loan Mortgage Corp. (FHLMC) Adjustable Rate (continued)
|
FHLMC, 2.375%, (US 1 Year CMT T-Note +/- MBS Margin), 2/01/35 . . . . . . . . . . . . . . . . . . . . . . . . |
$ |
23,188 |
$ |
24,784 |
|
FHLMC, 2.376%, (US 1 Year CMT T-Note +/- MBS Margin), 2/01/36 . . . . . . . . . . . . . . . . . . . . . . . . |
|
37,217 |
|
39,858 |
|
FHLMC, 2.383%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/30 . . . . . . . . . . . . . . . . . . . . . . . . |
|
31 |
|
31 |
|
FHLMC, 2.403%, (US 1 Year CMT T-Note +/- MBS Margin), 5/01/36 . . . . . . . . . . . . . . . . . . . . . . . . |
|
1,032,337 |
|
1,103,642 |
|
FHLMC, 2.424%, (US 1 Year CMT T-Note +/- MBS Margin), 3/01/35 . . . . . . . . . . . . . . . . . . . . . . . . |
|
11,182 |
|
11,933 |
|
FHLMC, 2.433%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/29 . . . . . . . . . . . . . . . . . . . . . . . . |
|
159,277 |
|
160,463 |
|
FHLMC, 2.455%, (US 1 Year CMT T-Note +/- MBS Margin), 1/01/28 . . . . . . . . . . . . . . . . . . . . . . . . |
|
527 |
|
528 |
|
FHLMC, 2.459%, (US 1 Year CMT T-Note +/- MBS Margin), 1/01/37 . . . . . . . . . . . . . . . . . . . . . . . . |
|
26,581 |
|
26,817 |
|
FHLMC, 2.534%, (US 1 Year CMT T-Note +/- MBS Margin), 11/01/33 . . . . . . . . . . . . . . . . . . . . . . . |
|
32,667 |
|
33,731 |
|
FHLMC, 2.582%, (US 1 Year CMT T-Note +/- MBS Margin), 12/01/35 . . . . . . . . . . . . . . . . . . . . . . . |
|
212,006 |
|
227,720 |
|
FHLMC, 2.72%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/37 . . . . . . . . . . . . . . . . . . . . . . . . . |
|
41,380 |
|
43,386 |
|
FHLMC, 2.854%, (US 1 Year CMT T-Note +/- MBS Margin), 1/01/29 . . . . . . . . . . . . . . . . . . . . . . . . |
|
4,749 |
|
4,799 |
|
FHLMC, 2.902%, (US 1 Year CMT T-Note +/- MBS Margin), 10/01/29 . . . . . . . . . . . . . . . . . . . . . . . |
|
4,812 |
|
4,883 |
|
FHLMC, 5.467%, (US 1 Year CMT T-Note +/- MBS Margin), 8/01/24 . . . . . . . . . . . . . . . . . . . . . . . . |
|
568 |
|
571 |
|
|
|
|
|
|
|
|
|
|
|
139,115,631 |
|
Federal Home Loan Mortgage Corp. (FHLMC) Fixed Rate 7.0% |
|
|
|
|
|
|
|
|
| |
|
FHLMC, 0.75%, 5/25/44 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
2,337,963 |
|
2,306,013 |
|
FHLMC, 0.799%, 5/25/30 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
2,482,240 |
|
2,415,994 |
|
FHLMC, 0.826%, 2/25/31 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
942,921 |
|
910,698 |
|
FHLMC, 1.054%, 8/25/26 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
1,974,126 |
|
1,988,959 |
|
FHLMC, 2.00%, 7/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
12,466,534 |
|
12,853,406 |
|
FHLMC, 2.00%, 2/25/50 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
1,436,457 |
|
1,469,013 |
|
FHLMC, 2.745%, 1/25/26 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
1,500,000 |
|
1,603,238 |
|
FHLMC, 2.995%, 12/25/25 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
1,500,000 |
|
1,616,433 |
|
FHLMC, 3.062%, 12/25/24 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
1,500,000 |
|
1,603,370 |
|
FHLMC, 3.458%, 8/25/23 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
2,000,000 |
|
2,102,228 |
|
FHLMC, 3.49%, 1/25/24 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
2,000,000 |
|
2,121,395 |
|
FHLMC, 3.50%, 6/01/26 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
255,577 |
|
272,899 |
|
FHLMC, 3.50%, 3/15/43 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
304,802 |
|
309,085 |
|
FHLMC, 4.00%, 3/01/49 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
1,331,942 |
|
1,452,074 |
|
|
|
|
|
|
|
|
|
|
|
33,024,805 |
|
|
|
|
|
|
bFederal National Mortgage Association (FNMA) Adjustable Rate 5.9%
|
FNMA, 0.436%, (1-Month USD LIBOR +/- MBS Margin), 10/25/58 . . . . . . . . . . . . . . . . . . . . . . . . . . |
1,927,023 |
1,952,741 |
|
FNMA, 0.486%, (1-Month USD LIBOR +/- MBS Margin), 5/25/40 . . . . . . . . . . . . . . . . . . . . . . . . . . . |
626,272 |
632,714 |
|
FNMA, 0.486%, (1-Month USD LIBOR +/- MBS Margin), 9/25/46 . . . . . . . . . . . . . . . . . . . . . . . . . . . |
1,217,476 |
1,230,415 |
|
FNMA, 0.486%, (1-Month USD LIBOR +/- MBS Margin), 10/25/46 . . . . . . . . . . . . . . . . . . . . . . . . . . |
1,068,008 |
1,078,289 |
|
FNMA, 0.536%, (1-Month USD LIBOR +/- MBS Margin), 9/25/22 . . . . . . . . . . . . . . . . . . . . . . . . . . . |
2,617,387 |
2,617,814 |
|
FNMA, 0.536%, (1-Month USD LIBOR +/- MBS Margin), 10/25/41 . . . . . . . . . . . . . . . . . . . . . . . . . . |
2,343,919 |
2,375,927 |
|
FNMA, 0.536%, (1-Month USD LIBOR +/- MBS Margin), 7/25/49 . . . . . . . . . . . . . . . . . . . . . . . . . . . |
2,294,316 |
2,316,490 |
|
FNMA, 1.175%, (6-Month USD LIBOR +/- MBS Margin), 9/01/33 . . . . . . . . . . . . . . . . . . . . . . . . . . . |
691 |
691 |
|
FNMA, 1.26%, (6-Month USD LIBOR +/- MBS Margin), 11/01/33 . . . . . . . . . . . . . . . . . . . . . . . . . . . |
2,048 |
2,060 |
|
FNMA, 1.262%, (6-Month USD LIBOR +/- MBS Margin), 11/01/33 . . . . . . . . . . . . . . . . . . . . . . . . . . |
445 |
441 |
|
FNMA, 1.48%, (6-Month USD LIBOR +/- MBS Margin), 3/01/28 . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
1,661 |
1,669 |
|
FNMA, 1.484%, (6-Month USD LIBOR +/- MBS Margin), 9/01/27 . . . . . . . . . . . . . . . . . . . . . . . . . . . |
2,890 |
2,905 |
|
FNMA, 1.494%, (1 Year CMT +/- MBS Margin), 1/01/31 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
17,569 |
17,717 |
|
FNMA, 1.499%, (1 Year CMT +/- MBS Margin), 6/01/40 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
37,279 |
38,679 |
|
FNMA, 1.499%, (1 Year CMT +/- MBS Margin), 11/01/40 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
11,886 |
12,123 |
|
FNMA, 1.556%, (6-Month USD LIBOR +/- MBS Margin), 8/01/33 . . . . . . . . . . . . . . . . . . . . . . . . . . . |
4,006 |
4,141 |
|
FNMA, 1.561%, (6-Month USD LIBOR +/- MBS Margin), 5/01/32 . . . . . . . . . . . . . . . . . . . . . . . . . . . |
1,560 |
1,566 |
|
FNMA, 1.572%, (12-Month USD LIBOR +/- MBS Margin), 6/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . |
43,490 |
45,170 |
|
FNMA, 1.648%, (6-Month USD LIBOR +/- MBS Margin), 2/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . . . |
234,179 |
243,144 |
|
FNMA, 1.656%, (6-Month USD LIBOR +/- MBS Margin), 4/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . . . |
2,619 |
2,703 |
|
FNMA, 1.668%, (6-Month USD LIBOR +/- MBS Margin), 2/01/33 . . . . . . . . . . . . . . . . . . . . . . . . . . . |
123,431 |
127,643 |
|
FNMA, 1.677%, (6-Month USD LIBOR +/- MBS Margin), 5/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . . . |
12,715 |
13,228 |
|
FNMA, 1.693%, (6-Month USD LIBOR +/- MBS Margin), 3/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . . |
91,012 |
94,674 |
|
FNMA, 1.696%, (12-Month USD LIBOR +/- MBS Margin), 7/01/34 . . . . . . . . . . . . . . . . . . . . . . . . . . |
381 |
385 |
|
franklintempleton.com |
Semiannual Report |
11
F R A N K LI N E T F T R U S T
S T A T E M E N T O F I N V E S T M E N T S ( U N A U D I T E D )
Franklin Liberty Short Duration U.S. Government ETF (continued)
Mortgage-Backed Securities (continued)
b Federal National Mortgage Association (FNMA) Adjustable Rate (continued)
FNMA, 1.706%, (12-Month USD LIBOR +/- MBS Margin), 10/01/34 . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.713%, (6-Month USD LIBOR +/- MBS Margin), 4/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.737%, (6-Month USD LIBOR +/- MBS Margin), 3/01/34 . . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.742%, (12-Month USD LIBOR +/- MBS Margin), 2/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.746%, (6-Month USD LIBOR +/- MBS Margin), 3/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.748%, (6-Month USD LIBOR +/- MBS Margin), 11/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.75%, (12-Month USD LIBOR +/- MBS Margin), 10/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.758%, (6-Month USD LIBOR +/- MBS Margin), 1/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.759%, (6-Month USD LIBOR +/- MBS Margin), 11/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.765%, (12-Month USD LIBOR +/- MBS Margin), 7/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.766%, (6-Month USD LIBOR +/- MBS Margin), 7/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.768%, (6-Month USD LIBOR +/- MBS Margin), 11/01/33 . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.773%, (12-Month USD LIBOR +/- MBS Margin), 3/01/34 . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.80%, (6-Month USD LIBOR +/- MBS Margin), 5/01/33 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.80%, (6-Month USD LIBOR +/- MBS Margin), 5/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.805%, (12-Month USD LIBOR +/- MBS Margin), 10/01/34 . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.815%, (6-Month USD LIBOR +/- MBS Margin), 6/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.817%, (6-Month USD LIBOR +/- MBS Margin), 12/01/24 . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.82%, (12-Month USD LIBOR +/- MBS Margin), 1/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.82%, (6-Month USD LIBOR +/- MBS Margin), 11/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.828%, (12-Month USD LIBOR +/- MBS Margin), 2/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.829%, (6-Month USD LIBOR +/- MBS Margin), 6/01/34 . . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.841%, (1 Year CMT +/- MBS Margin), 11/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.864%, (6-Month USD LIBOR +/- MBS Margin), 4/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.892%, (12-Month USD LIBOR +/- MBS Margin), 1/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.899%, (12-Month USD LIBOR +/- MBS Margin), 7/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.90%, (12-Month USD LIBOR +/- MBS Margin), 4/01/33 . . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.918%, (6-Month USD LIBOR +/- MBS Margin), 2/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.923%, (12-Month USD LIBOR +/- MBS Margin), 12/01/33 . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.925%, (12-Month USD LIBOR +/- MBS Margin), 5/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.925%, (1 Year CMT +/- MBS Margin), 10/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.931%, (12-Month USD LIBOR +/- MBS Margin), 1/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.934%, (1 Year CMT +/- MBS Margin), 11/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.94%, (12-Month USD LIBOR +/- MBS Margin), 4/01/33 . . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.941%, (12-Month USD LIBOR +/- MBS Margin), 11/01/35 . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.943%, (1 Year CMT +/- MBS Margin), 11/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.945%, (12-Month USD LIBOR +/- MBS Margin), 4/01/40 . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.955%, (12-Month USD LIBOR +/- MBS Margin), 1/01/38 . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.961%, (1 Year CMT +/- MBS Margin), 11/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.964%, (1 Year CMT +/- MBS Margin), 1/01/23 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.971%, (12-Month USD LIBOR +/- MBS Margin), 11/01/36 . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.973%, (12-Month USD LIBOR +/- MBS Margin), 1/01/33 . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.982%, (12-Month USD LIBOR +/- MBS Margin), 9/01/37 . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.988%, (12-Month USD LIBOR +/- MBS Margin), 7/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.99%, (6-Month USD LIBOR +/- MBS Margin), 12/01/34 . . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.993%, (1 Year CMT +/- MBS Margin), 11/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.996%, (12-Month USD LIBOR +/- MBS Margin), 12/01/34 . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 1.999%, (12-Month USD LIBOR +/- MBS Margin), 3/01/42 . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 2.00%, (US 1 Year CMT T-Note +/- MBS Margin), 2/01/25 . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 2.00%, (12-Month USD LIBOR +/- MBS Margin), 3/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 2.001%, (12-Month USD LIBOR +/- MBS Margin), 8/01/38 . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 2.002%, (6-Month USD LIBOR +/- MBS Margin), 1/01/25 . . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 2.007%, (12-Month USD LIBOR +/- MBS Margin), 2/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 2.009%, (12-Month USD LIBOR +/- MBS Margin), 6/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 2.01%, (12-Month USD LIBOR +/- MBS Margin), 1/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 2.013%, (1 Year CMT +/- MBS Margin), 11/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
FNMA, 2.018%, (12-Month USD LIBOR +/- MBS Margin), 12/01/32 . . . . . . . . . . . . . . . . . . . . . . . . .
|
Principal Amount |
|
Value | |
|
$ |
34,932 |
$ |
36,147 |
|
|
5,122 |
|
5,341 |
|
|
7,566 |
|
7,866 |
|
|
17,257 |
|
18,130 |
|
|
2,753 |
|
2,870 |
|
|
329,220 |
|
343,302 |
|
|
3,401 |
|
3,429 |
|
|
2,714 |
|
2,822 |
|
|
7,861 |
|
8,182 |
|
|
5,951 |
|
6,261 |
|
|
11,091 |
|
11,563 |
|
|
5,420 |
|
5,445 |
|
|
122,120 |
|
128,119 |
|
|
7,611 |
|
7,682 |
|
|
1,653 |
|
1,717 |
|
|
5,092 |
|
5,116 |
|
|
10,298 |
|
10,736 |
|
|
375 |
|
379 |
|
|
45,831 |
|
48,047 |
|
|
5,415 |
|
5,592 |
|
|
45,229 |
|
45,820 |
|
|
117,727 |
|
122,654 |
|
|
17,740 |
|
18,491 |
|
|
3,224 |
|
3,371 |
|
|
25,257 |
|
26,568 |
|
|
38,686 |
|
39,036 |
|
|
377 |
|
379 |
|
|
11,960 |
|
12,056 |
|
|
2,075 |
|
2,080 |
|
|
19,523 |
|
20,599 |
|
|
117,012 |
|
122,304 |
|
|
16,842 |
|
17,735 |
|
|
18,343 |
|
19,175 |
|
|
5,661 |
|
5,705 |
|
|
167,435 |
|
176,274 |
|
|
23,756 |
|
24,102 |
|
|
227,784 |
|
240,458 |
|
|
80,563 |
|
85,155 |
|
|
18,565 |
|
19,375 |
|
|
257 |
|
257 |
|
|
28,195 |
|
29,807 |
|
|
17,143 |
|
17,169 |
|
|
410 |
|
418 |
|
|
55,901 |
|
56,775 |
|
|
7,634 |
|
7,667 |
|
|
144,200 |
|
145,444 |
|
|
7,766 |
|
8,194 |
|
|
242,368 |
|
255,958 |
|
|
3,569 |
|
3,570 |
|
|
2,140 |
|
2,157 |
|
|
293,014 |
|
309,531 |
|
|
872 |
|
878 |
|
|
12,910 |
|
13,630 |
|
|
23,132 |
|
24,540 |
|
|
6,063 |
|
6,183 |
|
|
60,140 |
|
62,964 |
|
|
1,553 |
|
1,555 |
12
|
Semiannual Report |
franklintempleton.com |
F R A N K LI N E T F T R U S T
S T A T E M E N T O F I N V E S T M E N T S ( U N A U D I T E D )
Franklin Liberty Short Duration U.S. Government ETF (continued)
|
|
|
|
|
Principal Amount |
|
Value | ||
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-Backed Securities (continued) |
|
|
|
|
|
| |
|
b Federal National Mortgage Association (FNMA) Adjustable Rate (continued) |
|
|
|
|
|
| ||
|
|
FNMA, 2.02%, (6-Month USD LIBOR +/- MBS Margin), 11/01/34 . . . . . . . . . . . . . . . . . . . . . . . . . . . |
$ |
27,554 |
$ |
27,889 | |||
|
|
FNMA, 2.032%, (12-Month USD LIBOR +/- MBS Margin), 9/01/37 . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
127,087 |
|
134,334 | |||
|
|
FNMA, 2.032%, (12-Month USD LIBOR +/- MBS Margin), 9/01/37 . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
399,765 |
|
422,597 | |||
|
|
FNMA, 2.034%, (12-Month USD LIBOR +/- MBS Margin), 11/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . |
|
120,907 |
|
127,477 | |||
|
|
FNMA, 2.041%, (US 1 Year CMT T-Note +/- MBS Margin), 8/01/29 . . . . . . . . . . . . . . . . . . . . . . . . . |
|
777 |
|
778 | |||
|
|
FNMA, 2.043%, (1 Year CMT +/- MBS Margin), 11/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
43,841 |
|
46,002 | |||
|
|
FNMA, 2.047%, (12-Month USD LIBOR +/- MBS Margin), 8/01/37 . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
73,041 |
|
73,650 | |||
|
|
FNMA, 2.053%, (12-Month USD LIBOR +/- MBS Margin), 9/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
115,415 |
|
120,389 | |||
|
|
FNMA, 2.059%, (12-Month USD LIBOR +/- MBS Margin), 7/01/42 . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
1,617,416 |
|
1,715,427 | |||
|
|
FNMA, 2.065%, (12-Month USD LIBOR +/- MBS Margin), 12/01/39 . . . . . . . . . . . . . . . . . . . . . . . . . |
|
21,195 |
|
22,388 | |||
|
|
FNMA, 2.068%, (12-Month USD LIBOR +/- MBS Margin), 1/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
39,224 |
|
40,886 | |||
|
|
FNMA, 2.068%, (1 Year CMT +/- MBS Margin), 11/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
26,626 |
|
27,960 | |||
|
|
FNMA, 2.069%, (12-Month USD LIBOR +/- MBS Margin), 5/01/38 . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
1,034,544 |
|
1,093,921 | |||
|
|
FNMA, 2.076%, (12-Month USD LIBOR +/- MBS Margin), 3/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
4,761 |
|
5,033 | |||
|
|
FNMA, 2.079%, (1 Year CMT +/- MBS Margin), 11/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
20,944 |
|
21,995 | |||
|
|
FNMA, 2.083%, (12-Month USD LIBOR +/- MBS Margin), 9/01/40 . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
57,920 |
|
61,434 | |||
|
|
FNMA, 2.089%, (1 Year CMT +/- MBS Margin), 11/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
78,574 |
|
79,421 | |||
|
|
FNMA, 2.091%, (12-Month USD LIBOR +/- MBS Margin), 12/01/34 . . . . . . . . . . . . . . . . . . . . . . . . . |
|
16,347 |
|
17,259 | |||
|
|
FNMA, 2.099%, (1 Year CMT +/- MBS Margin), 10/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
279,254 |
|
293,552 | |||
|
|
FNMA, 2.102%, (12-Month USD LIBOR +/- MBS Margin), 11/01/34 . . . . . . . . . . . . . . . . . . . . . . . . . |
|
5,210 |
|
5,498 | |||
|
|
FNMA, 2.105%, (12-Month USD LIBOR +/- MBS Margin), 6/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
14,186 |
|
14,982 | |||
|
|
FNMA, 2.113%, (12-Month USD LIBOR +/- MBS Margin), 8/01/44 . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
1,575,900 |
|
1,666,340 | |||
|
|
FNMA, 2.116%, (12-Month USD LIBOR +/- MBS Margin), 5/01/37 . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
157,317 |
|
166,463 | |||
|
|
FNMA, 2.116%, (12-Month USD LIBOR +/- MBS Margin), 4/01/44 . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
1,812,632 |
|
1,918,794 | |||
|
|
FNMA, 2.123%, (11th District COF +/- MBS Margin), 8/01/29 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
16,027 |
|
16,039 | |||
|
|
FNMA, 2.123%, (12-Month USD LIBOR +/- MBS Margin), 8/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
51,277 |
|
52,379 | |||
|
|
FNMA, 2.124%, (US 1 Year CMT T-Note +/- MBS Margin), 12/01/34 . . . . . . . . . . . . . . . . . . . . . . . . |
|
4,197 |
|
4,369 | |||
|
|
FNMA, 2.125%, (12-Month USD LIBOR +/- MBS Margin), 3/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
53,308 |
|
55,780 | |||
|
|
FNMA, 2.127%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/34 . . . . . . . . . . . . . . . . . . . . . . . . . |
|
9,896 |
|
9,954 | |||
|
|
FNMA, 2.132%, (12-Month USD LIBOR +/- MBS Margin), 12/01/34 . . . . . . . . . . . . . . . . . . . . . . . . . |
|
144,385 |
|
147,874 | |||
|
|
FNMA, 2.14%, (12-Month USD LIBOR +/- MBS Margin), 5/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
75,210 |
|
79,698 | |||
|
|
FNMA, 2.142%, (12-Month USD LIBOR +/- MBS Margin), 9/01/42 . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
823,421 |
|
872,271 | |||
|
|
FNMA, 2.163%, (12-Month USD LIBOR +/- MBS Margin), 3/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
16,253 |
|
17,247 | |||
|
|
FNMA, 2.171%, (US 1 Year CMT T-Note +/- MBS Margin), 12/01/33 . . . . . . . . . . . . . . . . . . . . . . . . |
|
92,679 |
|
94,302 | |||
|
|
FNMA, 2.177%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . |
|
66,604 |
|
70,173 | |||
|
|
FNMA, 2.178%, (US 1 Year CMT T-Note +/- MBS Margin), 4/01/40 . . . . . . . . . . . . . . . . . . . . . . . . . |
|
39,046 |
|
40,694 | |||
|
|
FNMA, 2.182%, (12-Month USD LIBOR +/- MBS Margin), 10/01/40 . . . . . . . . . . . . . . . . . . . . . . . . . |
|
403,167 |
|
427,449 | |||
|
|
FNMA, 2.195%, (US 1 Year CMT T-Note +/- MBS Margin), 8/01/32 . . . . . . . . . . . . . . . . . . . . . . . . . |
|
6,336 |
|
6,346 | |||
|
|
FNMA, 2.195%, (12-Month USD LIBOR +/- MBS Margin), 12/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . |
|
25,352 |
|
26,947 | |||
|
|
FNMA, 2.202%, (12-Month USD LIBOR +/- MBS Margin), 7/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
5,024 |
|
5,057 | |||
|
|
FNMA, 2.203%, (12-Month USD LIBOR +/- MBS Margin), 1/01/41 . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
158,291 |
|
167,812 | |||
|
|
FNMA, 2.213%, (12-Month USD LIBOR +/- MBS Margin), 5/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
83,250 |
|
88,369 | |||
|
|
FNMA, 2.216%, (US 1 Year CMT T-Note +/- MBS Margin), 5/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . |
|
18,289 |
|
18,361 | |||
|
|
FNMA, 2.23%, (12-Month USD LIBOR +/- MBS Margin), 8/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
14,965 |
|
15,015 | |||
|
|
FNMA, 2.239%, (US 1 Year CMT T-Note +/- MBS Margin), 12/01/37 . . . . . . . . . . . . . . . . . . . . . . . . |
|
25,255 |
|
27,122 | |||
|
|
FNMA, 2.25%, (12-Month USD LIBOR +/- MBS Margin), 10/01/33 . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
20,003 |
|
20,091 | |||
|
|
FNMA, 2.257%, (US 1 Year CMT T-Note +/- MBS Margin), 12/01/40 . . . . . . . . . . . . . . . . . . . . . . . . |
|
55,692 |
|
59,517 | |||
|
|
FNMA, 2.264%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . |
|
22,519 |
|
22,552 | |||
|
|
FNMA, 2.272%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/39 . . . . . . . . . . . . . . . . . . . . . . . . . |
|
986 |
|
985 | |||
|
|
FNMA, 2.28%, (US 1 Year CMT T-Note +/- MBS Margin), 6/01/32 . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
735 |
|
736 | |||
|
|
FNMA, 2.288%, (US 1 Year CMT T-Note +/- MBS Margin), 1/01/33 . . . . . . . . . . . . . . . . . . . . . . . . . |
|
10,205 |
|
10,231 | |||
|
|
FNMA, 2.29%, (1 Year CMT +/- MBS Margin), 9/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
29,400 |
|
31,144 | |||
|
|
FNMA, 2.291%, (US 1 Year CMT T-Note +/- MBS Margin), 11/01/34 . . . . . . . . . . . . . . . . . . . . . . . . |
|
17,028 |
|
17,165 | |||
|
|
FNMA, 2.294%, (1 Year CMT +/- MBS Margin), 5/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
41,808 |
|
44,284 | |||
|
|
FNMA, 2.296%, (US 1 Year CMT T-Note +/- MBS Margin), 3/01/38 . . . . . . . . . . . . . . . . . . . . . . . . . |
|
5,411 |
|
5,476 | |||
|
|
FNMA, 2.30%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/39 . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
45,012 |
|
48,118 | |||
|
|
FNMA, 2.305%, (US 1 Year CMT T-Note +/- MBS Margin), 12/01/40 . . . . . . . . . . . . . . . . . . . . . . . . |
|
841,987 |
|
899,655 | |||
|
franklintempleton.com |
Semiannual Report |
13
F R A N K LI N E T F T R U S T
S T A T E M E N T O F I N V E S T M E N T S ( U N A U D I T E D )
Franklin Liberty Short Duration U.S. Government ETF (continued)
|
|
|
|
|
|
Principal Amount |
|
|
Value | ||
|
|
|
|
|
|
|
|
|
|
| |
|
|
Mortgage-Backed Securities (continued) |
|
|
|
|
|
|
| ||
|
b Federal National Mortgage Association (FNMA) Adjustable Rate (continued) |
|
|
|
|
|
|
| |||
|
|
FNMA, 2.307%, (US 1 Year CMT T-Note +/- MBS Margin), 4/01/34 . . . . . . . . . . . . . . . . . . . . . . . . . |
$ |
32,567 |
$ |
32,605 | |||||
|
|
FNMA, 2.31%, (US 1 Year CMT T-Note +/- MBS Margin), 5/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
10,720 |
|
|
10,734 | ||||
|
|
FNMA, 2.31%, |
(12-Month USD LIBOR +/- MBS Margin), 1/01/37 . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
28,082 |
|
|
28,635 | |||
|
|
FNMA, 2.312%, (US 1 Year CMT T-Note +/- MBS Margin), 3/01/25 . . . . . . . . . . . . . . . . . . . . . . . . . |
|
2,449 |
|
|
2,454 | ||||
|
|
FNMA, 2.316%, (US 1 Year CMT T-Note +/- MBS Margin), 10/01/34 . . . . . . . . . . . . . . . . . . . . . . . . |
|
57,470 |
|
|
61,431 | ||||
|
|
FNMA, 2.318%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/33 . . . . . . . . . . . . . . . . . . . . . . . . . |
|
1,441 |
|
|
1,447 | ||||
|
|
FNMA, 2.318%, (US 1 Year CMT T-Note +/- MBS Margin), 2/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . |
|
25,968 |
|
|
27,597 | ||||
|
|
FNMA, 2.321%, (US 1 Year CMT T-Note +/- MBS Margin), 12/01/40 . . . . . . . . . . . . . . . . . . . . . . . . |
|
249,982 |
|
|
267,215 | ||||
|
|
FNMA, 2.322%, (US 1 Year CMT T-Note +/- MBS Margin), 8/01/28 . . . . . . . . . . . . . . . . . . . . . . . . . |
|
591 |
|
|
595 | ||||
|
|
FNMA, 2.324%, (US 1 Year CMT T-Note +/- MBS Margin), 12/01/34 . . . . . . . . . . . . . . . . . . . . . . . . |
|
47,517 |
|
|
50,814 | ||||
|
|
FNMA, 2.325%, (12-Month USD LIBOR +/- MBS Margin), 8/01/37 . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
42,109 |
|
|
44,871 | ||||
|
|
FNMA, 2.328%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/38 . . . . . . . . . . . . . . . . . . . . . . . . . |
|
151,059 |
|
|
151,876 | ||||
|
|
FNMA, 2.329%, (US 1 Year CMT T-Note +/- MBS Margin), 8/01/39 . . . . . . . . . . . . . . . . . . . . . . . . . |
|
3,942 |
|
|
3,992 | ||||
|
|
FNMA, 2.331%, (1 Year CMT +/- MBS Margin), 10/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
42,722 |
|
|
45,269 | ||||
|
|
FNMA, 2.336%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/33 . . . . . . . . . . . . . . . . . . . . . . . . . |
|
4,385 |
|
|
4,409 | ||||
|
|
FNMA, 2.336%, (US 1 Year CMT T-Note +/- MBS Margin), 2/01/37 . . . . . . . . . . . . . . . . . . . . . . . . . |
|
26,727 |
|
|
26,529 | ||||
|
|
FNMA, 2.338%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . |
|
81,188 |
|
|
82,594 | ||||
|
|
FNMA, 2.348%, (US 1 Year CMT T-Note +/- MBS Margin), 6/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . |
|
30,332 |
|
|
32,461 | ||||
|
|
FNMA, 2.349%, (US 1 Year CMT T-Note +/- MBS Margin), 5/01/33 . . . . . . . . . . . . . . . . . . . . . . . . . |
|
17,951 |
|
|
18,014 | ||||
|
|
FNMA, 2.357%, (US 1 Year CMT T-Note +/- MBS Margin), 8/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . |
|
107,591 |
|
|
114,809 | ||||
|
|
FNMA, 2.368%, (US 1 Year CMT T-Note +/- MBS Margin), 1/01/32 . . . . . . . . . . . . . . . . . . . . . . . . . |
|
14,961 |
|
|
15,362 | ||||
|
|
FNMA, 2.403%, (US 1 Year CMT T-Note +/- MBS Margin), 10/01/34 . . . . . . . . . . . . . . . . . . . . . . . . |
|
13,092 |
|
|
13,977 | ||||
|
|
FNMA, 2.41%, (US 1 Year CMT T-Note +/- MBS Margin), 10/01/33 . . . . . . . . . . . . . . . . . . . . . . . . . |
|
1,959 |
|
|
2,086 | ||||
|
|
FNMA, 2.415%, (US 1 Year CMT T-Note +/- MBS Margin), 5/01/33 . . . . . . . . . . . . . . . . . . . . . . . . . |
|
25,932 |
|
|
27,586 | ||||
|
|
FNMA, 2.589%, (US 1 Year CMT T-Note +/- MBS Margin), 1/01/28 . . . . . . . . . . . . . . . . . . . . . . . . . |
|
1,356 |
|
|
1,362 | ||||
|
|
FNMA, 2.592%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/28 . . . . . . . . . . . . . . . . . . . . . . . . . |
|
1,138 |
|
|
1,140 | ||||
|
|
FNMA, 2.605%, (US 1 Year CMT T-Note +/- MBS Margin), 5/01/35 . . . . . . . . . . . . . . . . . . . . . . . . . |
|
9,569 |
|
|
10,156 | ||||
|
|
FNMA, 2.733%, (12-Month USD LIBOR +/- MBS Margin), 3/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
18,809 |
|
|
20,134 | ||||
|
|
FNMA, 2.813%, (US 1 Year CMT T-Note +/- MBS Margin), 12/01/30 . . . . . . . . . . . . . . . . . . . . . . . . |
|
2,701 |
|
|
2,704 | ||||
|
|
FNMA, 3.506%, (11th District COF +/- MBS Margin), 10/01/27 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
217 |
|
|
220 | ||||
|
|
FNMA, 4.09%, (11th District COF +/- MBS Margin), 8/01/28 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
16,193 |
|
|
16,581 | ||||
|
|
FNMA, 4.825%, (US 1 Year CMT T-Note +/- MBS Margin), 3/01/33 . . . . . . . . . . . . . . . . . . . . . . . . . |
|
51,569 |
|
|
52,033 | ||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,099,482 |
|
|
Federal National Mortgage Association (FNMA) Fixed Rate 26.8% |
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
| |||
|
|
FNMA, 0.785%, 7/25/30 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
5,310,467 |
|
|
5,187,035 | ||||
|
|
FNMA, 1.75%, 1/25/43 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
1,375,125 |
|
|
1,404,735 | ||||
|
|
FNMA, 2.00%, 7/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
12,473,390 |
|
|
12,860,475 | ||||
|
|
FNMA, 2.00%, 9/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
3,230,482 |
|
|
3,330,733 | ||||
|
c FNMA, 2.00%, 9/01/36 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
21,400,000 |
|
|
22,041,164 | |||||
|
|
FNMA, 2.50%, 1/01/51 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
26,051,622 |
|
|
26,901,134 | ||||
|
|
FNMA, 2.50%, 4/01/51 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
12,487,092 |
|
|
12,890,062 | ||||
|
|
FNMA, 2.50%, 7/01/51 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
6,196,888 |
|
|
6,396,867 | ||||
|
|
FNMA, 2.50%, 9/01/51 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
12,272,110 |
|
|
12,668,142 | ||||
|
c FNMA, 2.50%, 10/01/51 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
9,300,000 |
|
|
9,589,535 | |||||
|
|
FNMA, 3.00%, 10/25/45 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
1,995,183 |
|
|
2,067,538 | ||||
|
|
FNMA, 3.00%, 7/01/50 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
9,785,737 |
|
|
10,250,813 | ||||
|
|
FNMA, 3.50%, 9/01/25 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
37,971 |
|
|
40,534 | ||||
|
|
FNMA, 3.50%, 10/01/25 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
341,576 |
|
|
364,741 | ||||
|
|
FNMA, 3.50%, 3/01/26 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
292,446 |
|
|
312,136 | ||||
|
|
FNMA, 3.50%, 8/01/26 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
61,728 |
|
|
65,940 | ||||
|
|
FNMA, 3.50%, 8/01/26 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
26,495 |
|
|
28,289 | ||||
|
|
FNMA, 3.50%, 10/01/26 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
2,688 |
|
|
2,871 | ||||
|
|
FNMA, 3.50%, 10/01/26 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
1,634 |
|
|
1,746 | ||||
|
|
FNMA, 3.50%, 10/01/26 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
8,140 |
|
|
8,695 | ||||
|
|
FNMA, 3.50%, 1/01/27 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
392,530 |
|
|
419,232 | ||||
|
|
FNMA, 3.50%, 1/01/27 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
13,981 |
|
|
14,929 | ||||
|
|
FNMA, 3.50%, 1/01/27 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
6,059 |
|
|
6,499 | ||||
14
|
Semiannual Report |
franklintempleton.com |
F R A N K LI N E T F T R U S T
S T A T E M E N T O F I N V E S T M E N T S ( U N A U D I T E D )
Franklin Liberty Short Duration U.S. Government ETF (continued)
|
|
|
|
|
|
Principal Amount |
|
|
Value | ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-Backed Securities (continued) |
|
|
|
|
|
|
| ||
|
|
Federal National Mortgage Association (FNMA) Fixed Rate (continued) |
|
|
|
|
|
|
| ||
|
|
FNMA, 3.50%, 4/01/27 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
$ 89,250 |
$ |
95,765 |
| |||||
|
|
FNMA, 3.50%, 7/01/27 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
402,566 |
|
|
429,402 |
| ||||
|
|
FNMA, 3.50%, 5/01/31 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
106,052 |
|
|
113,220 |
| ||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
127,492,232 |
|
|
b Government National Mortgage Association (GNMA) Adjustable Rate 1.2% |
|
|
|
|
|
|
| |||
|
|
|
|
|
|
|
| ||||
|
|
GNMA, 0.387%, (1-Month USD LIBOR +/- MBS Margin), 4/20/37 . . . . . . . . . . . . . . . . . . . . . . . . . . . |
1,823,994 |
|
|
1,827,402 |
| ||||
|
|
GNMA, 0.417%, (1-Month USD LIBOR +/- MBS Margin), 6/20/41 . . . . . . . . . . . . . . . . . . . . . . . . . . . |
2,408,930 |
|
|
2,430,916 |
| ||||
|
|
GNMA, 0.685%, (1-Month USD LIBOR +/- MBS Margin), 1/16/40 . . . . . . . . . . . . . . . . . . . . . . . . . . . |
1,318,304 |
|
|
1,335,216 |
| ||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,593,534 |
|
|
|
Government National Mortgage Association (GNMA) Fixed Rate 2.5% |
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
| |||
|
|
GNMA, 2.50%, 9/20/27 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
1,087,741 |
|
|
1,108,938 |
| ||||
|
c GNMA, 2.50%, 10/01/51 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
6,300,000 |
|
|
6,504,012 | ||||||
|
|
GNMA, 3.00%, 8/20/51 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
4,222,861 |
|
|
4,427,315 | |||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,040,265 |
|
|
|
Total Mortgage-Backed Securities (Cost $345,842,657) |
|
|
|
|
|
|
| ||
|
|
|
|
|
|
345,365,949 |
| ||||
|
|
Total Investments before Short Term Investments (Cost $478,268,173) . . |
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
477,875,346 |
| |||
|
|
|
|
|
|
Shares |
|
|
|
| |
|
|
|
|
|
|
|
|
|
| ||
|
|
Short Term Investments (Cost $35,603,520) 7.5% |
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
| |||
|
|
Money Market Funds 7.5% |
|
|
|
|
|
|
| ||
|
d,e Institutional Fiduciary Trust Money Market Portfolio, 0.01% . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
35,603,520 |
|
|
35,603,520 |
| |||||
|
|
Total Investments (Cost $513,871,693) 107.9% |
|
|
|
|
|
|
| ||
|
|
|
|
|
|
513,478,866 |
| ||||
|
|
Other Assets, less Liabilities (7.9)% . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
|
|
|
(37,454,665) | ||||
|
|
Net Assets 100.0% |
|
|
|
|
|
|
| ||
|
|
|
|
|
$ |
476,024,201 |
| ||||
aThe coupon rate shown represents the value inclusive of any caps or floors, if applicable, in effect at period end.
bAdjustable 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 pool in which the majority of mort- gages pay interest based on the index shown at their designated reset dates plus a spread, less the applicable servicing and guaranty fee (MBS margin).
cSecurity purchased on a to-be-announced (TBA) basis. See Note 1(b).
dThe rate shown is the annualized seven-day effective yield at period end.
eSee Note 3(c) regarding investments in affiliated management investment companies.
At September 30, 2021, the Fund had the following futures contracts outstanding. See Note 1(c).
Futures Contracts
|
|
|
|
|
|
|
|
|
|
|
|
Value/Unrealized | ||
|
|
|
|
|
Number of |
Notional |
Expiration |
Appreciation | ||||||
|
Description |
|
Type |
Contracts |
Value* |
Date |
(Depreciation) | |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury 5 Yr. Note . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
Long |
118 |
$14,483,578 |
|
12/31/21 |
$ (79,988) | |||||||
|
U.S. Treasury 10 Yr. Note . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
Short |
245 |
32,244,297 |
|
12/21/21 |
318,649 |
| ||||||
|
U.S. Treasury 10 Yr. Ultra . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
Short |
53 |
7,698,250 |
|
12/21/21 |
113,181 |
| ||||||
|
U.S. Treasury Long Bond . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
Short |
104 |
16,558,750 |
|
12/21/21 |
343,630 |
| ||||||
|
U.S. Treasury Ultra Bond . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
Short |
8 |
1,528,500 |
|
12/21/21 |
44,426 | |||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Futures Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
. . . . . . . |
. . . . . . . . . . . . |
|
. . . . . . . . . . . . . |
|
. . |
. . . . . . . . . . |
$739,898 |
| ||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*As of period end.
See Note 8 regarding other derivative information.
See abbreviations on page 25.
|
franklintempleton.com |
The accompanying notes are an integral part of these financial statements. | Semiannual Report |
15
F R A N K LI N E T F T R U S T
F I N A N C I A L S T A T E M E N T S
Statement of Assets and Liabilities
September 30, 2021 (unaudited)
Franklin Liberty Short Duration U.S. Government ETF
|
Assets: |
|
|
|
Investments in securities: |
|
|
|
Cost – Unaffiliated issuers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
$ |
478,268,173 |
|
Cost – Non-controlled affiliates (Note 3c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
35,603,520 |
|
|
|
|
|
Value – Unaffiliated issuers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
$ |
477,875,346 |
|
Value – Non-controlled affiliates (Note 3c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
35,603,520 |
|
Receivables: |
|
|
|
Investment securities sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
275,849 |
|
Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
556,959 |
|
Deposits with broker for: |
|
|
|
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
817,376 |
|
|
|
|
|
Total assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
515,129,050 |
|
Liabilities: |
|
|
|
|
| |
|
Payables: |
|
|
|
Investment securities purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
38,515,202 |
|
Management fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
89,236 |
|
Distributions to shareholders . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
358,655 |
|
Variation margin on futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
45,172 |
|
Accrued expenses and other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
96,584 |
|
|
|
|
|
Total liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
39,104,849 |
|
|
|
|
|
Net assets, at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
$ |
476,024,201 |
|
Net assets consist of: |
|
|
|
|
| |
|
Paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
$ |
486,905,115 |
|
Total distributable earnings (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
(10,880,914) |
|
|
|
|
|
Net assets, at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
$ |
476,024,201 |
|
|
|
|
|
Shares outstanding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
5,026,000 |
|
|
|
|
|
Net asset value per share . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
$ |
94.71 |
|
|
|
|
16
|
Semiannual Report | The accompanying notes are an integral part of these financial statements. |
franklintempleton.com |
F R A N K LI N E T F T R U S T
F I N A N C I A L S T A T E M E N T S
Statement of Operations
for the six months ended September 30, 2021 (unaudited)
Franklin Liberty Short Duration U.S. Government ETF
Investment income:
|
Dividends: |
|
|
|
Non-controlled affiliates (Note 3c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
$ |
973 |
|
Interest: |
|
|
|
Unaffiliated issuers: |
|
|
|
Inflation principal adjustments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
13,778 |
|
Paydown gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
(885,681) |
|
Paid in casha . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
2,478,631 |
|
Total investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
1,607,701 |
|
Expenses: |
|
|
|
|
| |
|
Management fees (Note 3a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
697,415 |
|
Transfer agent fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
6,747 |
|
Reports to shareholders . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
32,764 |
|
Professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
28,993 |
|
Trustees fees and expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
22,702 |
|
Pricing fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
551 |
|
Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
28,255 |
|
|
|
|
|
Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
817,427 |
|
|
|
|
|
Expense reductions (Note 4) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
(7,311) |
|
Expenses waived/paid by affiliates (Note 3c and 3d) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
(236,248) |
|
|
|
|
|
Net expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
573,868 |
|
|
|
|
|
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
1,033,833 |
|
Realized and unrealized gains (losses): |
|
|
|
|
| |
|
Net realized gain (loss) from: |
|
|
|
Investments: |
|
|
|
Unaffiliated issuers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
388,379 |
|
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
(1,510,790) |
|
|
|
|
|
Net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
(1,122,411) |
|
Net change in unrealized appreciation (depreciation) on: |
|
|
|
|
| |
|
Investments: |
|
|
|
Unaffiliated issuers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
(523,200) |
|
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
88,225 |
|
|
|
|
|
Net change in unrealized appreciation (depreciation) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
(434,975) |
|
|
|
|
|
Net realized and unrealized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
(1,557,386) |
|
|
|
|
|
Net increase (decrease) in net assets resulting from operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
$ |
(523,553) |
|
|
|
|
aIncludes amortization of premium and accretion.
|
franklintempleton.com |
The accompanying notes are an integral part of these financial statements. | Semiannual Report |
17
F R A N K LI N E T F T R U S T
F I N A N C I A L S T A T E M E N T S
Statements of Changes in Net Assets
Franklin Liberty Short Duration U.S. Government ETF
|
|
|
Six Months Ended |
|
|
| |
|
|
|
September 30, 2021 |
|
|
Year Ended | |
|
|
|
|
(unaudited) |
|
March 31, 2021 | |
|
|
|
|
|
|
|
|
|
Increase (decrease) in net assets: |
|
|
|
|
|
|
|
Operations: |
|
|
|
|
|
|
|
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
$ |
1,033,833 |
$ |
3,628,516 | ||
|
Net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
|
(1,122,411) |
|
|
2,155,618 |
|
Net change in unrealized appreciation (depreciation) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
|
(434,975) |
|
|
(540,470) |
|
|
|
|
|
|
|
|
|
Net increase (decrease) in net assets resulting from operations . . . . . . . . . . . . . . . . . . . |
|
|
(523,553) |
|
|
5,243,664 |
|
|
|
|
|
|
|
|
|
Distributions to shareholders (Note 1f) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
|
(2,175,298) |
|
|
(5,978,409) |
|
|
|
|
|
|
|
|
|
Capital share transactions (Note 2) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
|
42,896,398 |
|
|
249,166,328 |
|
|
|
|
|
|
|
|
|
Net increase (decrease) in net assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
|
40,197,547 |
|
|
248,431,583 |
|
Net assets: |
|
|
|
|
|
|
|
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
|
435,826,654 |
|
|
187,395,071 |
|
|
|
|
|
| ||
|
End of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
$ |
476,024,201 |
$ |
435,826,654 | ||
|
|
|
|
|
|
|
|
18
|
Semiannual Report | The accompanying notes are an integral part of these financial statements. |
franklintempleton.com |
F R A N K LI N E T F T R U S T
F R A N K L I N L I B E R T Y S H O R T D U R AT I O N U . S . G O V E R N M E N T E T F
Notes to Financial Statements
1.Organization and Significant Accounting Policies
Franklin ETF Trust (Trust) is registered under the Investment Company Act of 1940 (1940 Act) as an open-end manage- ment investment company, consisting of three separate funds and applies the specialized accounting and reporting guidance in U.S. Generally Accepted Accounting Principles (U.S. GAAP). Franklin Liberty Short Duration U.S. Govern- ment ETF (Fund) is included in this report. The Fund is an exchange traded fund (ETF) and is actively managed, thus it is not designed to track an index.
Subsequent to May 31, 2017, the Fund’s fiscal year end changed to March 31.
The following summarizes the Fund’s significant accounting policies.
a. 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 mea- surement date. The Fund calculates the net asset value (NAV) per share as of 4 p.m. Eastern time each day the New York Stock Exchange (NYSE) is open for trading. 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 securi- ties and financial instrument dealers, and other market sources to determine fair value.
Debt securities generally trade in the over-the-counter market rather than on a securities exchange. The Fund’s pricing ser- vices 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 deter- mine 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 finan- cial 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 dis- counted 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 uncer- tainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed.
b. Securities Purchased on a TBA Basis
The Fund purchases securities on a to-be-announced (TBA) basis, with payment and delivery scheduled for a future date. These transactions are subject to market fluctuations and are subject to the risk that the value at delivery may be more or less than the trade date purchase price.
c. 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 which expose the Fund to gains or losses in excess of the amounts shown in the Statement of Assets and Liabilities. Realized gain and loss and unrealized appreciation and depreciation on these contracts for the period are included in the Statement
of Operations.
Collateral requirements differ by type of derivative. Collateral or initial margin requirements are set by the broker or
|
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Semiannual Report |
19
F R A N K LI N E T F T R U S T
N O T E S T O F I N A N C I A L S T A T E M E N T S
Franklin Liberty Short Duration U.S. Government ETF (continued)
1.Organization and Significant Accounting Policies (continued)
c. Derivative Financial Instruments (continued)
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.
The Fund entered into exchange traded futures contracts pri- marily 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 varia- tion margin payable or receivable in the Statement of Assets and Liabilities.
The Fund purchased or wrote exchange traded and/or OTC option contracts primarily to manage and/or gain exposure to interest rate risk. An option is a contract entitling the holder to purchase or sell a specific amount of shares or units of an asset or notional amount of a swap (swaption), at a specified price. When an option is purchased or written, an amount equal to the premium paid or received is recorded as an asset or liability, respectively. Upon exercise of an option, the acquisition cost or sales proceeds of the underlying invest- ment 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.
See Note 8 regarding other derivative information.
d. Mortgage Dollar Rolls
The Fund enters into mortgage dollar rolls, typically on a TBA 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) secu- rities 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.
e. Income Taxes
It is the Fund’s policy to qualify as a regulated investment company under the Internal Revenue Code. The Fund intends to distribute to shareholders substantially all of its taxable income and net realized gains to relieve it from federal income and excise taxes. As a result, no provision for U.S. federal income taxes is required.
The Fund may recognize an income tax liability related to its uncertain tax positions under U.S. GAAP when the uncertain tax position has a less than 50% probability that it will be sus- tained upon examination by the tax authorities based on its technical merits. As of September 30, 2021, the Fund has determined that no tax liability is required in its financial statements related to uncertain tax positions for any open tax years (or expected to be taken in future tax years). Open tax years are those that remain subject to examination and are based on the statute of limitations in each jurisdiction in which the Fund invests.
f. Security Transactions, Investment Income, Expenses and Distributions
Security transactions are accounted for on trade date. Real- ized gains and losses on security transactions are determined on a specific identification basis. Interest income and estimated expenses are accrued daily. Amortization of premium and accretion of discount on debt securities are included in interest income. Paydown gains and losses are recorded separately in the Statement of Operations. Dividend income is recorded on ex-dividend date. Distributions to shareholders are recorded on the ex-dividend date and are determined according to income tax regulations (tax basis). Distributable earnings determined on a tax basis may differ from earnings recorded in accordance with U.S. GAAP. These differences may be permanent or temporary. Perma- nent differences are reclassified among capital accounts to reflect their tax character. These reclassifications have no impact on net assets or the results of operations. Temporary differences are not reclassified, as they may reverse in sub- sequent periods.
20
|
Semiannual Report |
franklintempleton.com |
F R A N K LI N E T F T R U S T
N O T E S T O F I N A N C I A L S T A T E M E N T S
Franklin Liberty Short Duration U.S. Government ETF (continued)
1.Organization and Significant Accounting Policies (continued)
f. Security Transactions, Investment Income, Expenses and Distributions (continued)
Inflation-indexed bonds are adjusted for inflation through periodic increases or decreases in the security’s interest accruals, face amount, or principal redemption value, by amounts corresponding to the rate of inflation as measured by an index. Any increase or decrease in the face amount or principal redemption value will be included as inflation princi- pal adjustments in the Statement of Operations.
g. Accounting Estimates
The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
h. Guarantees and Indemnifications
Under the Fund’s organizational documents, its officers and trustees are indemnified by the Fund against certain liabilities arising out of the performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts with service providers that contain gen- eral indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred. Currently, the Fund expects the risk of loss to be remote.
2. Shares of Beneficial Interest
Shares of the Fund are issued and redeemed at their respective NAV only in aggregations of a specified number of shares or multiples thereof (Creation Units). Only certain large institutional investors (Authorized Participants) may engage in creation or redemption transactions directly with the Fund. Once created, shares of the Fund generally trade in the secondary market in amounts less than one Creation Unit. The market price of the Fund ‘s shares will be based on the price in the secondary mar- ket which may be at, above or below the most recent NAV. Creation Units may be issued and redeemed for cash and/or in-kind. For the period ended September 30, 2021 and year ended March 31, 2021, all Creations Unit transactions were made in cash.
Authorized participants pay a standard transaction fee to the shareholder servicing agent when purchasing or redeeming Cre- ation Units of the Fund regardless of the number of Creation Units that are being created or redeemed on the same day by the Authorized Participant. The standard transaction fee is imposed to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units and is not charged to or paid by the Fund.
In addition, for cash Creation Unit transactions, a variable fee for creation transactions and redemption transactions may be charged to the Authorized Participant to cover certain brokerage, tax, foreign exchange, execution, market impact and other costs and expenses related to the execution of trades. Variable fees, if any, are included in capital share transactions in the Statements of Changes in Net Assets.
At September 30, 2021, there were an unlimited number of shares authorized (without par value). Transactions in the Fund’s shares were as follows:
|
|
|
Six Months Ended |
|
Year Ended | ||||
|
|
|
September 30, 2021 |
|
March 31, 2021 | ||||
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
Amount |
|
Shares |
|
Amount |
|
|
|
|
|
|
|
|
|
|
|
Shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
650,000 |
$ 61,878,509 |
3,900,000 |
$ 373,194,517 | ||||
|
Shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
(200,000) |
(18,982,111) |
(1,300,000) |
(124,028,189) | ||||
|
|
|
|
|
| ||||
|
Net increase (decrease) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
450,000 |
$ 42,896,398 |
2,600,000 |
$ 249,166,328 | ||||
|
|
|
|
|
|
|
|
|
|
|
franklintempleton.com |
Semiannual Report |
21
F R A N K LI N E T F T R U S T
N O T E S T O F I N A N C I A L S T A T E M E N T S
Franklin Liberty Short Duration U.S. Government ETF (continued)
3. Transactions with Affiliates
Franklin Resources, Inc. is the holding company for various subsidiaries that together are referred to as Franklin Templeton. Certain officers and trustees of the Fund are also officers and/or directors of the following subsidiaries:
|
Subsidiary |
Affiliation |
|
Franklin Advisers, Inc. (Advisers) |
Investment manager |
|
|
|
|
Franklin Templeton Services, LLC (FT Services) |
Administrative manager |
|
|
|
|
Franklin Distributors, LLC (Distributors) |
|
|
(formerly Franklin Templeton Distributors, Inc.) |
Principal underwriter |
|
|
|
a. Management Fees
The Fund pays an investment management fee to Advisers of 0.30% per year of the average daily net assets of the Fund.
b. Administrative Fees
Under an agreement with Advisers, FT Services provides administrative services to the Fund. The fee is paid by Advisers based on the Fund’s average daily net assets, and is not an additional expense of the Fund.
c. 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. Management fees paid by the Fund are waived on assets invested in the affiliated management investment companies as noted in the Statement of Operations, in an amount not to exceed the management and administrative fees paid directly or indirectly by each affiliate. During the period ended September 30, 2021, the Fund held investments in affiliated management investment companies as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of |
| |
|
|
|
|
|
|
|
|
|
|
|
|
Net Change |
|
|
Shares |
| ||
|
|
|
Value at |
|
|
|
|
|
|
|
in Unrealized |
Value at |
Held at |
| ||||
|
|
|
Beginning |
|
|
|
|
|
Realized |
Appreciation |
End of |
End |
Dividend | |||||
|
|
|
of Period |
Purchases |
Sales |
Gain (Loss) |
(Depreciation) |
Period |
of Period |
Income | ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-Controlled Affiliates |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
|
Institutional Fiduciary Trust |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
|
Money Market Portfolio, |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
|
0.01% . . . . . . . . . . . . . . . . . . . . . $6,687,494 |
$89,736,484 |
$(60,820,458) |
$ — |
$ — |
$35,603,520 |
35,603,520 |
$973 | ||||||||||
d. Waiver and Expense Reimbursements
Advisers has contractually agreed in advance to waive or limit its fees and to assume as its own expense certain expenses otherwise payable by the Fund so that the expenses (including acquired fund fees and expenses) of the Fund do not exceed 0.25% based on the average net assets (other than certain non-routine expenses or costs, including those relating to litigation, indemnification, reorganizations, and liquidations) until July 31, 2022. Total expenses waived or paid are not subject to recap- ture subsequent to the Fund’s fiscal year end.
e. Other Affiliated Transactions
At September 30, 2021, Franklin Resources Inc. owned 0.04% of the Fund’s outstanding shares.
22
|
Semiannual Report |
franklintempleton.com |
F R A N K LI N E T F T R U S T
N O T E S T O F I N A N C I A L S T A T E M E N T S
Franklin Liberty Short Duration U.S. Government ETF (continued)
4. Expense Offset Arrangement
The Fund has entered into an arrangement with its custodian whereby credits realized as a result of uninvested cash balances are used to reduce a portion of the Fund’s custodian expenses. During the period ended September 30, 2021, the custodian fees were reduced as noted in the Statement of Operations.
5. Income Taxes
For tax purposes, capital losses may be carried over to offset future capital gains, if any. At March 31, 2021, the capital loss carryforwards were as follows:
|
Capital loss carryforwards: |
|
|
Short term . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
$3,223,368 |
|
Long term . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
4,810,925 |
|
|
|
|
Total capital loss carryforwards . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
$8,034,293 |
|
|
|
At September 30, 2021, the cost of investments and net unrealized appreciation (depreciation) for income tax purposes were as follows:
|
Cost of investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
$ |
515,148,036 |
|
Unrealized appreciation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
$ |
852,434 |
|
Unrealized depreciation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
(1,780,988) |
|
|
|
|
|
Net unrealized appreciation (depreciation) . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
$ |
(928,554) |
|
|
|
|
Differences between income and/or capital gains as determined on a book basis and a tax basis are primarily due to differing treatments of paydown losses and bond discounts and premiums.
6. Investment Transactions
Purchases and sales of investments (excluding short term securities) for the period ended September 30, 2021, aggregated $280,994,510 and $230,131,950, respectively.
7. Novel Coronavirus Pandemic
The global outbreak of a novel coronavirus disease, known as COVID-19, has caused adverse effects on many companies, sectors, nations, regions and the market in general, and may continue for an unpredictable duration. The effects of this pan- demic 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.
8. Other Derivative Information
At September 30, 2021, the Fund’s investments in derivative contracts are reflected in the Statement of Assets and Liabilities as follows:
|
|
|
Asset Derivatives |
|
|
|
Liability Derivatives |
|
|
|
|
Derivative Contracts |
|
|
|
|
|
|
|
|
|
|
Not Accounted for as |
|
Statement of Assets and |
|
|
|
Statement of Assets and |
|
|
|
|
Hedging Instruments |
|
Liabilities Location |
|
Fair Value |
|
Liabilities Location |
|
Fair Value | |
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate contracts . . . . . . . . . . . . . . |
|
Variation margin |
|
$819,886a |
|
Variation margin |
|
$79,988a | |
aThis amount reflects the cumulative appreciation (depreciation) of futures contracts as reported in the Statement of Investments. Only the variation margin receivable/payable at period end is separately reported within the Statement of Assets and Liabilities. Prior variation margin movements were recorded to cash upon receipt or payment.
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F R A N K LI N E T F T R U S T
N O T E S T O F I N A N C I A L S T A T E M E N T S
Franklin Liberty Short Duration U.S. Government ETF (continued)
8. Other Derivative Information (continued)
For the period ended September 30, 2021, the effect of derivative contracts in the Fund’s Statement of Operations was as follows:
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|
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Net Change in | |
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|
|
|
|
|
|
|
|
|
Unrealized | |
|
Derivative Contracts |
|
|
|
Net Realized |
|
|
Appreciation | |||
|
Not Accounted for as |
|
Statement of |
|
Gain (Loss) |
Statement of |
|
(Depreciation) | |||
|
Hedging Instruments |
|
Operations Locations |
|
for the Period |
Operations Locations |
|
for the Period | |||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gain (loss) from: |
|
|
|
|
Net change in unrealized |
|
|
|
|
|
|
|
|
|
|
|
appreciation (depreciation) on: |
|
|
|
|
Interest rate contracts . . . . . . . |
|
Investments |
|
$ (127,223)a |
Investments |
|
$(48,002)a | |||
|
|
|
Futures contracts |
(1,510,790) |
|
|
Futures contracts |
88,225 | |||
aPurchased option contracts are included in net realized gain (loss) from investments and net change in unrealized appreciation (depreciation) on investments in the Statement of Operations.
For the period ended September 30, 2021, the average month end notional amount of options and futures contracts repre- sented 60,286 shares/units and $68,360,638, respectively.
See Note 1(c) regarding derivative financial instruments.
9. Fair Value Measurements
The Fund follows a fair value hierarchy that distinguishes between market data obtained from independent sources (observ- able 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, pre- payment speed, credit risk, etc.)
•Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of financial instruments)
The inputs 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 September 30, 2021, in valuing the Fund’s assets carried at fair value, is as follows:
|
|
|
|
Level 1 |
|
|
Level 2 |
|
Level 3 |
|
|
Total |
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities: |
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Government and Agency Securities . . . . . . . . . . . . . . . . . . . . . . |
$ |
— |
$ |
132,509,397 |
|
$ — |
$ |
132,509,397 | |||
|
Mortgage-Backed Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
|
— |
|
|
345,365,949 |
|
— |
|
|
345,365,949 |
|
Short Term Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
|
|
35,603,520 |
|
|
— |
|
— |
|
|
35,603,520 |
|
|
|
|
|
|
|
|
|
| |||
|
Total Investments in Securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
$ |
35,603,520 |
$ |
477,875,346 |
|
$ — |
$ |
513,478,866 | |||
|
Other Financial Instruments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Futures Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
$ |
819,886 |
$ |
— |
|
$ — |
$ |
819,886 | |||
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Other Financial Instruments: |
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . |
$ |
79,988 |
$ |
— |
|
$ — |
$ |
79,988 | |||
|
|
|
|
|
|
|
|
|
|
|
|
|
24
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F R A N K LI N E T F T R U S T
N O T E S T O F I N A N C I A L S T A T E M E N T S
Franklin Liberty Short Duration U.S. Government ETF (continued)
10. New Accounting Pronouncement
In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2020-04, Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. In January 2021, the FASB issued ASU No. 2021-01, with further amendments to Topic 848. The amendments in the ASUs provide optional temporary accounting recognition and financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (LIBOR) and other interbank-offered based reference rates as of the end of 2021 and 2023. The ASUs are effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management has reviewed the requirements and believes the adoption of these ASUs will not have a material impact on the financial statements.
11. Subsequent Events
The Fund has evaluated subsequent events through the issuance of the financial statements and determined that no events have occurred that require disclosure.
Abbreviations
Selected Portfolio
CMT Constant Maturity Treasury Index
COF Cost of Funds
FRN Floating Rate Note
LIBOR London InterBank Offered Rate
MBS Mortgage-Backed Security
SOFR Secured Overnight Financing Rate
USD United States Dollar
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F R A N K LI N E T F T R U S T
Shareholder Information
Board Approval of Investment
Management Agreements
FRANKLIN ETF TRUST
Franklin Liberty Short Duration U.S.
Government ETF
(Fund)
At a meeting held on May 26, 2021 (Meeting), the Board of Trustees (Board) of the Franklin ETF Trust (Trust), including a majority of the trustees who are not “interested persons” as defined in the Investment Company Act of 1940 (Inde- pendent Trustees), reviewed and approved the continuance of the investment management agreement between Franklin Advisers, Inc. (Manager) and the Trust, on behalf of the Fund (Management Agreement) for an additional one-year period. The Independent Trustees received advice from and met separately with Independent Trustee counsel in considering whether to approve the continuation of the Management Agreement.
In considering the continuation of the Management Agree- ment, the Board reviewed and considered information provided by the Manager at the Meeting and throughout the year at meetings of the Board and its committees, including a number of special meetings during the pandemic to enhance Board oversight of Fund-related matters during this period. The Board also reviewed and considered information pro- vided in response to a detailed set of requests for information submitted to the Manager by Independent Trustee counsel on behalf of the Independent Trustees in connection with the annual contract renewal process. In addition, prior to the Meeting, the Independent Trustees held a telephonic contract renewal meeting at which the Independent Trustees con- ferred amongst themselves and Independent Trustee counsel about contract renewal matters and, in some cases, requested additional information from the Manager relating to the contract. The Board reviewed and considered all of the factors it deemed relevant in approving the continuance of the Management Agreement, including, but not limited to:
(i)the nature, extent and quality of the services provided by the Manager; (ii) the investment performance of the Fund;
(iii)the costs of the services provided and profits realized by the Manager and its affiliates from the relationship with the Fund; (iv) the extent to which economies of scale are realized as the Fund grows; and (v) whether fee levels reflect these economies of scale for the benefit of Fund investors.
In approving the continuance of the Management Agreement, the Board, including a majority of the Independent Trustees, determined that the terms of the Management Agreement are
fair and reasonable and that the continuance of such Management Agreement is in the best interests of the Fund and its shareholders. While attention was given to all informa- tion furnished, the following discusses some primary factors relevant to the Board’s determination.
Nature, Extent and Quality of Services
The Board reviewed and considered information regarding the nature, extent and quality of investment management services provided by the Manager and its affiliates to the Fund and its shareholders. This information included, among other things, the qualifications, background and experience of the senior management and investment personnel of the Manager; as well as information on succession planning where appropri- ate; the structure of investment personnel compensation; oversight of third-party service providers; investment perfor- mance reports and related financial information for the Fund; reports on expenses; legal and compliance matters; risk con- trols; pricing and other services provided by the Manager and its affiliates; and management fees charged by the Manager and its affiliates to US funds and other accounts, including management’s explanation of differences among accounts where relevant. The Board noted management’s continuing efforts and expenditures in establishing effective business continuity plans, including the effectiveness of those plans during the pandemic, and developing strategies to address areas of heightened concern in the registered fund industry, such as cybersecurity in the current work-from-home environ- ment and liquidity risk management.
The Board also reviewed and considered the benefits pro- vided to Fund shareholders of investing in a fund that is part of the Franklin Templeton (FT) family of funds. The Board noted the financial position of Franklin Resources, Inc. (FRI), the Manager’s parent, and its commitment to the registered fund business as evidenced by its continued introduction of new funds, reassessment of the fund offerings in response to the market environment and project initiatives and capital investments relating to the services provided to the Fund by the FT organization. The Board specifically noted FT’s com- mitment to enhancing services and controlling costs, as reflected in its outsourcing of certain administrative functions, and growth opportunities, as evidenced by its recent acquisi- tion of the Legg Mason companies. The Board also noted FT’s attention focused on expanding the distribution opportu- nities for all funds in the FT family of funds.
Following consideration of such information, the Board was satisfied with the nature, extent and quality of services pro- vided by the Manager and its affiliates to the Fund and
its shareholders.
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F R A N K LI N E T F T R U S T S H A R E H O LD E R I N F O R M A T I O N
Fund Performance
The Board reviewed and considered the performance results of the Fund for various time periods ended February 28, 2021. The Board considered the performance returns for the Fund in comparison to the performance returns of registered funds deemed comparable to the Fund included in a universe (Performance Universe) selected by Broadridge Financial Solutions, Inc. (Broadridge), an independent provider of investment company data. The Board received a description of the methodology used by Broadridge to select the regis- tered funds included in a Performance Universe. The Board also reviewed and considered Fund performance reports pro- vided and discussions that occurred with portfolio managers at Board meetings throughout the year. The Board noted its ongoing discussions with the Manager about the perfor- mance of the Fund to date, particularly as compared to peers, the importance of performance to asset growth and growth of market share, and the performance of the Fund in periods of volatility. In addition, the Board acknowledged information provided regarding the Manager’s strategy behind the overall product line up, the sources of asset growth, the nature of the Manager’s research, potential use of innovative data and technology, and investments in mar- keting and distribution. Finally, the Board noted the Manager’s high level of client engagement and the strength of its compliance program. A summary of the Fund’s perfor- mance results is below.
The Performance Universe for the Fund included the Fund and all retail and institutional short US government funds and exchange-traded funds. The Fund commenced opera- tions on November 4, 2013, and thus has been in operation for less than ten years. The Board noted that the Fund’s annualized total return for the three-year period was below the median of its Performance Universe, but for the one- and five-year periods was above the median of its Performance Universe. The Board concluded that the Fund’s performance was satisfactory.
Comparative Fees and Expenses
The Board reviewed and considered information regarding the Fund’s actual total expense ratio and its various compo- nents, including, as applicable, management fees; transfer agent expenses; underlying fund expenses; Rule 12b-1 and non-Rule 12b-1 service fees; and other non-management fees. The Board considered the actual total expense ratio and, separately, the contractual management fee rate, with- out the effect of fee waivers, if any (Management Rate) of the Fund in comparison to the median expense ratio and median Management Rate, respectively, of other exchange-traded
funds deemed comparable to and with a similar expense structure to the Fund selected by Broadridge (Expense Group). Broadridge fee and expense data is based upon information taken from each fund’s most recent annual report, which reflects historical asset levels that may be quite different from those currently existing, particularly in a period of market volatility. While recognizing such inherent limitation and the fact that expense ratios and Management Rates gen- erally increase as assets decline and decrease as assets grow, the Board believed the independent analysis con- ducted by Broadridge to be an appropriate measure of comparative fees and expenses. The Broadridge Manage- ment Rate includes administrative charges. The Board received a description of the methodology used by Broad- ridge to select the exchange-traded funds included in an Expense Group.
The Expense Group for the Fund was comprised of actively managed exchange-traded funds, which included the Fund, eight ultra-short obligation funds, five short investment-grade debt funds, and one short-intermediate investment-grade debt fund. The Board noted that the Management Rate for the Fund was only one basis point above the median of its Expense Group, and that its actual total expense ratio was below the median of its Expense Group. The Board also noted that the Fund’s actual total expense ratio reflected a fee waiver from management. The Board concluded that the Management Rate charged to the Fund is reasonable.
Profitability
The Board reviewed and considered information regarding the profits realized by the Manager and its affiliates in con- nection with the operation of the Fund. In this respect, the Board considered the Fund profitability analysis that addresses the overall profitability of FT’s US fund business, as well as its profits in providing investment management and other services to each of the individual funds during the 12-month period ended September 30, 2020, being the most recent fiscal year-end for FRI. The Board noted that although management continually makes refinements to its methodologies used in calculating profitability in response to organizational and product-related changes, the overall methodology has remained consistent with that used in the Fund’s profitability report presentations from prior years. The Board further noted management’s representation that the profitability analysis excluded the impact of the recent acqui- sition of the Legg Mason companies and that management expects to incorporate the legacy Legg Mason companies into the profitability analysis beginning next year. The Board also noted that PricewaterhouseCoopers LLP, auditor
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F R A N K LI N E T F T R U S T
S H A R E H O LD E R I N F O R M A T I O N
to FRI and certain FT funds, has been engaged to periodi- cally review and assess the allocation methodologies to be used solely by the Fund’s Board with respect to the profit- ability analysis.
The Board noted management’s belief that costs incurred in establishing the infrastructure necessary for the type of fund operations conducted by the Manager and its affiliates may not be fully reflected in the expenses allocated to the Fund in determining its profitability, as well as the fact that the level of profits, to a certain extent, reflected operational cost savings and efficiencies initiated by management. As part of this eval- uation, the Board considered management’s outsourcing of certain operations, which effort has required considerable up- front expenditures by the Manager but, over the long run is expected to result in greater efficiencies. The Board also noted management’s expenditures in improving shareholder services provided to the Fund, as well as the need to imple- ment systems and meet additional regulatory and compliance requirements resulting from recent US Securities and Exchange Commission and other regulatory requirements.
The Board also considered the extent to which the Manager and its affiliates might derive ancillary benefits from fund operations, including revenues generated from transfer agent services, potential benefits resulting from personnel and sys- tems enhancements necessitated by fund growth, as well as increased leverage with service providers and counterparties. Based upon its consideration of all these factors, the Board concluded that the level of profits realized by the Manager and its affiliates from providing services to the Fund was not excessive in view of the nature, extent and quality of services provided to the Fund.
Economies of Scale
The Board reviewed and considered the extent to which the Manager may realize economies of scale, if any, as the Fund grows larger and whether the Fund’s management fee struc- ture reflects any economies of scale for the benefit of shareholders. The Board considered the Manager’s view that any analyses of potential economies of scale in managing a particular fund are inherently limited in light of the joint and common costs and investments the Manager incurs across the FT family of funds as a whole. The Board noted that the Fund commenced operations on November 4, 2013 and that, as of December 31, 2020, the Fund’s net assets were approximately $541 million. The Board recognized that there would not likely be any economies of scale until the Fund’s assets grow.
Conclusion
Based on its review, consideration and evaluation of all fac- tors it believed relevant, including the above-described factors and conclusions, the Board unanimously approved the continuation of the Management Agreement for an addi- tional one-year period.
Liquidity Risk Management Program – Funds no HLIM
Franklin Liberty Short Duration U.S. Government ETF
Each Fund has adopted and implemented a written Liquidity Risk Management Program (the “LRMP”) as required by Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The LRMP is designed to assess and man- age each Fund’s liquidity risk, which is defined as the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of remaining investors’ interests in the Fund. In accordance with the Liquidity Rule, the LRMP includes policies and procedures that provide for: (1) assessment, management, and review (no less frequently than annually) of each Fund’s liquidity risk; (2) classification of each Fund’s portfolio holdings into one of four liquidity categories (Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid); (3) for Funds that do not pri- marily hold assets that are Highly Liquid, establishing and maintaining a minimum percentage of the Fund’s net assets in Highly Liquid investments (called a “Highly Liquid Invest- ment Minimum” or “HLIM”); and (4) prohibiting the Fund’s acquisition of Illiquid investments that would result in the Fund holding more than 15% of its net assets in Illiquid assets. The LRMP also requires reporting to the Securities and Exchange Commission (“SEC”) (on a non-public basis) and to the Board if the Fund’s holdings of Illiquid assets exceed 15% of the Fund’s net assets. Funds with HLIMs must have procedures for addressing HLIM shortfalls, includ- ing reporting to the Board and, with respect to HLIM shortfalls lasting more than seven consecutive calendar days, reporting to the SEC (on a non-public basis).
The Director of Liquidity Risk within the Investment Risk Management Group (the “IRMG”) is the appointed Adminis- trator of the LRMP. The IRMG maintains the Investment Liquidity Committee (the “ILC”) to provide oversight and administration of policies and procedures governing liquidity risk management for FT products and portfolios. The ILC includes representatives from Franklin Templeton’s Risk, Trading, Global Compliance, Investment Compliance, Invest- ment Operations, Valuation Committee, Product Management and Global Product Strategy.
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F R A N K LI N E T F T R U S T S H A R E H O LD E R I N F O R M A T I O N
In assessing and managing each Fund’s liquidity risk, the ILC considers, as relevant, a variety of factors, including the Fund’s investment strategy and the liquidity of its portfolio investments during both normal and reasonably foreseeable stressed conditions; its short and long-term cash flow projec- tions; and its cash holdings and access to other funding sources including the Funds’ interfund lending facility and line of credit. Classification of the Fund’s portfolio holdings in the four liquidity categories is based on the number of days it is reasonably expected to take to convert the investment to cash (for Highly Liquid and Moderately Liquid holdings) or sell or dispose of the investment (for Less Liquid and Illiquid investments), in current market conditions without signifi- cantly changing the investment’s market value.
Each Fund primarily holds liquid assets that are defined under the Liquidity Rule as “Highly Liquid Investments,” and therefore is not required to establish an HLIM. Highly Liquid Investments are defined as cash and any investment reasonably expected to be convertible to cash in current market conditions in three business days or less without the conversion to cash signifi- cantly changing the market value of the investment.
At meetings of the Funds’ Board of Trustees held in May 2021, the Program Administrator provided a written report to the Board addressing the adequacy and effectiveness of the program for the year ended December 31, 2020. The Pro- gram Administrator report concluded that (i.) the LRMP, as adopted and implemented, remains reasonably designed to assess and manage each Fund’s liquidity risk; (ii.) the LRMP, including the Highly Liquid Investment Minimum (“HLIM”) where applicable, was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk; and (iii.) each Fund was able to meet requests for redemption without significant dilution of remaining invest- ors’ interests in the Fund.
Proxy Voting Policies and Procedures
The Fund’s investment manager has established Proxy Vot- ing Policies and Procedures (Policies) that the Fund uses to determine how to vote proxies relating to portfolio securities. Shareholders may view the Fund’s complete Policies online at franklintempleton.com. Alternatively, shareholders may request copies of the Policies free of charge by calling the Proxy Group collect at (954) 527-7678 or by sending a written request to: Franklin Templeton Companies, LLC, 300 S.E. 2nd Street, Fort Lauderdale, FL 33301, Attention: Proxy Group. Copies of the Fund’s proxy voting records are also made available online at franklintempleton.com and posted on the U.S. Securities and Exchange Commission’s website at sec.gov and reflect the most recent 12-month period ended June 30.
Quarterly Statement of Investments
The Trust, on behalf of the Fund, files a complete statement of investments with the U.S. Securities and Exchange Com- mission for the first and third quarters for each fiscal year as an exhibit to its report on Form N-PORT. Shareholders may view the filed Form N-PORT by visiting the Commission’s website at sec.gov. The filed form may also be viewed and copied at the Commission’s Public Reference Room in Washington, DC. Information regarding the operations of the Public Reference Room may be obtained by calling
(800) SEC-0330.
Premium/Discount Information
Information about the differences between the daily market price on the secondary market for the shares of the Fund and the Fund’s net asset value may be found on the Fund’s web- site at franklintempleton.com.
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29
Authorized for distribution only when accompanied or preceded by a summary prospectus and/or prospectus. Investors should carefully consider a fund’s investment goals, risks, charges and expenses before investing. A prospectus contains this and other information; please read it carefully before investing.
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Semiannual Report
Franklin Liberty Short Duration U.S. Government ETF
|
Investment Manager |
Distributor |
Investor Services |
|
Franklin Advisers, Inc. |
Franklin Distributors, LLC |
Transfer Agent |
|
|
(800) DIAL BEN®/342-5236 |
BNY Mellon |
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franklintempleton.com |
(855) 231-1706 |
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111 Sanders Creek Parkway |
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East Syracuse, NY 13057 |
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© 2021 Franklin Templeton Investments. All rights reserved. |
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