SEMIANNUAL REPORT
FRANKLIN TEMPLETON
ETF TRUST
September 30, 2022
Franklin Disruptive Commerce ETF |
Franklin Dynamic Municipal Bond ETF |
Franklin Exponential Data ETF |
Franklin Genomic Advancements ETF |
Franklin High Yield Corporate ETF Formerly, Franklin Liberty High Yield Corporate ETF |
Franklin Intelligent Machines ETF |
Franklin International Aggregate Bond ETF Formerly, Franklin Liberty International Aggregate Bond ETF |
Franklin Investment Grade Corporate ETF |
Formerly Franklin Liberty Investment Grade Corporate ETF |
Franklin Municipal Green Bond ETF |
Franklin Senior Loan ETF Formerly Franklin Liberty Senior Loan ETF |
Franklin Systematic Style Premia ETF Formerly Franklin Liberty Systematic Style Premia ETF |
Franklin U.S. Core Bond ETF Formerly Franklin Liberty U.S. Core Bond ETF |
Franklin U.S. Low Volatility ETF Formerly Franklin Liberty U.S. Low Volatility ETF |
Franklin U.S. Treasury Bond ETF Formerly Franklin Liberty U.S. Treasury Bond ETF |
Franklin Ultra Short Bond ETF Formerly Franklin Liberty Ultra Short Bond ETF |
Not FDIC Insured | | May Lose Value | | No Bank Guarantee |
Visit franklintempleton.com for fund updates and documents, or to find helpful financial planning tools.
franklintempleton.com |
Semiannual Report |
1 |
SEMIANNUAL REPORT
Franklin Disruptive Commerce ETF
This semiannual report for Franklin Disruptive Commerce ETF covers the period ended September 30, 2022.
Your Fund’s Goal and Main Investments
The Fund seeks capital appreciation. Under normal market conditions, the Fund invests at least 80% of its net assets in equity securities, predominantly common stock, of companies that are relevant to the Fund’s investment theme of disruptive commerce. These companies include those that are focused on, or that the investment manager believes will benefit from, electronic commerce, auctions, the sharing economy, electronic payment capabilities, drop shipping, direct marketing, significant decreases in transport and delivery costs and other activities or developments, as outlined in more detail in the Prospectus.
Performance Overview
During the six-month period, the Fund posted cumulative total returns of -33.97% based on market price and -33.90% based on net asset value (NAV). In comparison, the Russell 3000® Index, which measures the performance of the largest 3,000 U.S. companies representing the majority of the U.S. market’s total capitalization, posted a -20.42% cumulative total return for the same period.1 You can find more of the Fund’s performance data in the Performance Summary beginning on page 5.
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
U.S. equities, as measured by the Standard & Poor’s® 500 Index, posted a -20.20% total return for the six months ended September 30, 2022.1 High inflation, rising interest rates and geopolitical instability contributed to a sharp decline in equity prices, particularly as the period progressed. Although
consumer spending continued to rise, deteriorating financial conditions negatively impacted consumer sentiment, which improved slightly at the end of the period after falling in June 2022 to the lowest level in over 60 years.
Elevated inflation was a major concern for both consumers and investors, as inflation accelerated in June 2022 to the highest rate since 1981. Continued supply-chain disruptions, strong consumer demand, and volatile energy prices drove inflation higher. Russia’s invasion of Ukraine also disrupted financial markets and led to a rise in oil and commodity prices, although much of that increase abated by period-end. The unemployment rate declined marginally from 3.6% in March 2022 to 3.5% in September 2022 as notable employment gains occurred in the leisure and hospitality and health care sectors. Wage growth remained strong throughout the period, adding to some investors’ inflation concerns.
U.S. gross domestic product contracted in the second quarter of 2022, with the economy technically entering a recession, amid lower investments in inventories and fixed assets. An inventory drawdown, declining residential and business investment and lower levels of government spending contributed to the economic slowdown. Rising interest rates translated to higher borrowing costs for individuals and businesses, which dampened economic activity. Mortgage rates reached the highest level since 2007, and new home construction slowed toward period-end.
In an effort to control inflation, the U.S. Federal Reserve (Fed) continued to raise the federal funds target rate. The Fed raised the federal funds rate at each of its four meetings during the period to end at a range of 3.00%–3.25%. The Fed noted in its September 2022 meeting that inflation remained elevated amid robust job growth and low unemployment. Furthermore, the Fed said it would continue to reduce its bond holdings, and Fed Chair Jerome Powell indicated that reducing inflation was likely to require a period of below-trend growth.
1. Source: Morningstar. Frank Russell Company is the source and owner of the trademarks, service marks and copyrights related to the Russell Indexes. Russell® is a trademark of Frank Russell Company.
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 Schedule of Investments (SOI). The SOI begins on page 90.
2 |
Semiannual Report |
franklintempleton.com |
FRANKLIN DISRUPTIVE COMMERCE ETF
Porfolio Composition | ||||
9/30/22 | ||||
% of Total Net Assets |
||||
Internet & Direct Marketing Retail | 24.7% | |||
IT Services | 18.3% | |||
Software | 9.2% | |||
Trading Companies & Distributors | 8.3% | |||
Hotels, Restaurants & Leisure | 6.1% | |||
Food & Staples Retailing | 5.3% | |||
Road & Rail | 4.8% | |||
Interactive Media & Services | 3.7% | |||
Professional Services | 3.6% | |||
Commercial Services & Supplies | 3.3% | |||
Equity Real Estate Investment Trusts (REITs) | 2.8% | |||
Entertainment | 2.3% | |||
Containers & Packaging | 2.2% | |||
Other | 3.2% | |||
Other Net Assets | 2.2% |
Top 10 Holdings | ||||
9/30/22 | ||||
Company Sector/Industry |
% of Total Net Assets |
|||
Amazon.com
Inc. Internet & Direct Marketing Retail |
10.0% | |||
Costco
Wholesale Corp. Hypermarkets & Super Centers |
5.3% | |||
Fastenal
Co. Trading Companies & Distributors |
4.3% | |||
Adyen
NV Data Processing & Outsourced Services |
4.0% | |||
W.W. Grainger
Inc. Trading Companies & Distributors |
4.0% | |||
Mastercard
Inc. Data Processing & Outsourced Services |
3.7% | |||
Uber
Technologies Inc. Trucking |
3.7% | |||
Copart
Inc. Diversified Support Services |
3.3% | |||
ZoomInfo
Technologies Inc. Interactive Media & Services |
3.2% | |||
CoStar Group
Inc. Research & Consulting Services |
3.1% |
Investment Strategy
We use fundamental, bottom-up research analysis to identify companies positioned to capitalize on disruptive innovation or that are enabling the further development of the disruptive
commerce themes in the markets in which they operate. We evaluate market segments, products, services and business models positioned to benefit significantly from disruptive innovations in commerce relative to broad securities markets, and we seek to identify the primary beneficiaries of new trends or developments in commerce. We may invest in companies in any economic sector or of any market capitalization and may invest in companies both inside and outside of the U.S., including those in developing or emerging markets. Although we search for investments across a large number of sectors, we expect to concentrate our investments in consumer discretionary-related industries.
Manager’s Discussion
During the period under review, the portfolio held exposures to nine different equity sectors, all of which produced negative absolute returns. The bulk of the overall decline occurred in the consumer discretionary, information technology (IT), communication services and industrials sectors, which on average comprised about 87% of total net assets. Widespread declines were evident in the consumer discretionary sector, where e-commerce names such as tech giant Amazon.com (focused on e-commerce, cloud computing, online advertising, digital streaming and artificial intelligence), online fashion retailer Revolve Group, food delivery specialist DoorDash and MercadoLibre (Latin America’s largest online marketplace) were standout detractors. Investments in the hotels, restaurants and leisure industry also suffered significant double-digit percentage losses including Airbnb (vacation rental and short-term homestays broker) and Booking Holdings (online travel and related services). Elsewhere in the portfolio, select entertainment industry companies Sea Limited and ROBLOX shed more than half of their equity value. Interactive media and services also fared poorly as all related holdings posted double-digit declines including ZoomInfo Technologies, which provides marketing software and data solutions.
Within IT, all positions in the IT services industry sold off, as did all software industry holdings. Among the top detractors in IT services were Shopify, an e-commerce platform for online stores and retail point-of-sale systems; Dutch e-payment platform provider Adyen; credit card giants Mastercard and Visa; Dlocal (cross-border payments connecting global merchants to emerging markets); and fintech-focused conglomerate Block (formerly Square). In the software space, Bill.com Holdings (cloud-based back-office software) and Unity Software (video game development platform provider) were the worst of nine individual detractors.
Across the entire portfolio, there were only four holdings that aided absolute returns, and their combined contribution was
franklintempleton.com |
Semiannual Report |
3 |
FRANKLIN DISRUPTIVE COMMERCE ETF
so small that they had almost no impact on overall performance. The only notable contributor among them was CoStar Group, a leading provider of online real estate marketplaces, information and analytics in the commercial and residential property markets.
Thank you for your participation in Franklin Disruptive Commerce ETF. We look forward to serving your future investment needs.
Matthew J. Moberg, CPA
Lead Portfolio Manager
Kelly Rogal, CFA
Portfolio Manager
The foregoing information reflects our analysis, opinions and portfolio holdings as of September 30, 2022, 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 conditions. 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, country, 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 completeness or accuracy. Although historical performance is no guarantee of future results, these insights may help you understand our investment management philosophy.
CFA® is a trademark owned by CFA Institute.
4 |
Semiannual Report |
franklintempleton.com |
FRANKLIN DISRUPTIVE COMMERCE ETF
Performance Summary as of September 30, 2022
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 performance table does 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 mutual fund shares. Market Price returns typically are based upon the official closing price of the ETF’s shares. 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 (2/27/20), 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 reinvested 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 operating expenses. Capital gain distributions are net profits realized from the sale of portfolio securities.
Performance as of 9/30/221
Cumulative Total Return2 | Average Annual Total Return2 | |||||||||||||||
Based on NAV3 |
Based on market price4 |
Based on NAV3 |
Based on market price4 |
|||||||||||||
6-Month |
-33.90% | -33.97% | -33.90% | -33.97% | ||||||||||||
1-Year |
-58.25% | -58.21% | -58.25% | -58.21% | ||||||||||||
Since Inception (2/25/20) |
-17.50% | -17.50% | -7.14% | -7.14% |
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 6 for Performance Summary footnotes.
franklintempleton.com |
Semiannual Report |
5 |
FRANKLIN DISRUPTIVE COMMERCE ETF
PERFORMANCE SUMMARY
Total Annual Operating Expenses5
0.50% |
All investments involve risks, including possible loss of principal. Stock prices fluctuate, sometimes rapidly and dramatically, due to factors affecting individual companies, particular industries or sectors, or general market conditions. The Fund’s investment strategies incorporate the identification of thematic investment opportunities and its performance may be negatively impacted if the investment manager does not correctly identify such opportunities or if the theme develops in an unexpected manner. By focusing its investments in consumer discretionary related industries, the Fund carries much greater risks of adverse developments and price movements in such industries than a fund that invests in a wider variety of industries. Companies operating within consumer discretionary related industries could be affected by, among other things, overall economic conditions, interest rates, disposable income, fluctuating consumer confidence and consumer demand. Many of these companies compete aggressively on price, potentially affecting their long run profitability. Companies within consumer discretionary related industries may have extensive online operations, which could make these companies particularly vulnerable to cyber security risk. Special risks are associated with foreign investing, including currency fluctuations, economic instability and political developments. As a non-diversified fund, the Fund may invest in a relatively small number of issuers which may negatively impact the Fund’s performance and result in greater fluctuation in the value of the Fund’s shares. The manager’s portfolio selection strategy is not solely based on ESG considerations, and therefore the issuers in which the Fund invests may not be considered ESG-focused companies. Integrating ESG considerations into the investment process is not a guarantee that better performance will be achieved. 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 description of the main investment risks.
Russia’s military invasion of Ukraine in February 2022, the resulting responses by the United States and other countries, and the potential for wider conflict could increase volatility and uncertainty in the financial markets and adversely affect regional and global economies. The United States and other countries have imposed broad-ranging economic sanctions on Russia and certain Russian individuals, banking entities and corporations as a response to its invasion of Ukraine. The United States and other countries have also imposed economic sanctions on Belarus and may impose sanctions on other countries that support Russia’s military invasion. These sanctions, as well as any other economic consequences related to the invasion, such as additional sanctions, boycotts or changes in consumer or purchaser preferences or cyberattacks on governments, companies or individuals, may further decrease the value and liquidity of certain Russian securities and securities of issuers in other countries that are subject to economic sanctions related to the invasion.
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 total annual operating expenses are sourced from the Fund’s prospectus available at the time of publication. Actual expenses may be higher and may impact portfolio returns.
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. Figures are as stated in the Fund’s current prospectus and may differ from the expense ratios disclosed in the Your Fund’s Expenses and Financial Highlights sections in this report.
See www.franklintempletondatasources.com for additional data provider information.
6 |
Semiannual Report |
franklintempleton.com |
FRANKLIN DISRUPTIVE COMMERCE ETF
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 investment 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 “Ending 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 × $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, compare 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.
Actual |
Hypothetical (5% annual return before expenses) |
|||||||||||||||||||||
Beginning Account Value 4/1/22 |
Ending Account Value 9/30/22 |
Expenses Paid During Period 4/1/22–9/30/221 |
Ending Account Value 9/30/22 |
Expenses Paid During Period 4/1/22–9/30/221 |
Net Annualized Expense Ratio |
|||||||||||||||||
$1,000.00 | $ | 661.00 | $ | 2.08 | $ | 1,022.56 | $ | 2.54 | 0.50 | % |
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.
franklintempleton.com |
Semiannual Report |
7 |
Franklin Dynamic Municipal Bond ETF
This semiannual report for Franklin Dynamic Municipal Bond ETF covers the period ended September 30, 2022.
Your Fund’s Goal and Main Investments
The Fund seeks to provide a high level of current income that is exempt from federal income taxes, including the federal alternative minimum tax, by normally investing at least 80% of its net assets in municipal securities that pay interest free from such taxes.1The Fund seeks to maintain a dollar-weighted average portfolio maturity (the time in which the debt must be repaid) of three to 10 years, and may invest in municipal securities in any rating category by U.S. nationally recognized rating services (or unrated or short-term rated securities of comparable quality), including securities rated below investment grade and securities of issuers that are, or are about to be, involved in reorganizations, financial restructuring, or bankruptcy.
Performance Overview
During the six-month period, the Fund posted cumulative total returns of -7.10% based on market price and -6.86% based on net asset value (NAV). In comparison, the Bloomberg Municipal 1-15 Year Index, which is a subset of the Bloomberg Municipal Bond Index, posted a -4.09% 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 10.
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.
Municipal Bond Market Overview
During the six months ending September 30, 2022, multi-decade high inflation persisted throughout much of the period as a strong U.S. job market and ample consumer savings
pushed demand beyond the ability of businesses to increase supply. In response, the U.S. Federal Reserve (Fed) continued to raise short-term interest rates at a rapid pace, leading U.S. Treasury (UST) yields to rise sharply.
Recessionary concerns grew as the market lowered its confidence in the Fed’s ability to engineer a soft landing that would bring inflation down without causing a severe economic contraction.
Following one of the worst starts to a new year in 2022, the municipal bond (muni) market continued to perform poorly. High levels of fixed income market volatility, a general risk-off shift in sentiment, and poor performance pushed year-to-date outflows from muni retail vehicles ever higher, leading market technical conditions to further deteriorate. So far this year, net issuance has remained light, lagging well behind historic norms. Fundamentals remained strong, however, with many issuers reporting surpluses for 2022 as federal government transfers bolstered revenues.
For the six-month period, U.S. fixed income sectors performed better relative to equities, as measured by the Standard & Poor’s 500 Index, which posted a -20.20% total return for the period.2 Investment-grade munis, as measured by the Bloomberg Municipal Bond Index, posted a -6.30% total return, and USTs, as measured by the Bloomberg U.S. Treasury Index, posted a -7.96% total return.2 Investment-grade corporate bonds, as measured by the Bloomberg U.S. Corporate Bond Index, posted a -11.95% total return.2
1. Dividends are generally subject to state and local taxes, if any. For investors subject to alternative minimum tax, a small portion of Fund dividends may be taxable.
Distributions of capital gains are generally taxable. To avoid imposition of 28% backup withholding on all Fund distributions and redemption proceeds, U.S. investors must be properly certified on Form W-9 and non-U.S. investors on Form W-8BEN.
2. Source: Morningstar. Treasuries, if held to maturity, offer a fixed rate of return and a fixed principal value; their interest payments and principal are guaranteed.
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 Schedule of Investments (SOI). The SOI begins on page 93.
8 | Semiannual Report | franklintempleton.com |
FRANKLIN DYNAMIC MUNICIPAL BOND ETF
Portfolio Composition | ||||
9/30/22 | ||||
% of Total Investments |
||||
Special Tax |
26.61% | |||
Industrial Development Revenue and Pollution Control |
17.53% | |||
Health Care |
10.78% | |||
Education |
8.46% | |||
Transportation |
7.79% | |||
Lease |
7.64% | |||
Local |
6.91% | |||
State |
6.25% | |||
Housing |
3.29% | |||
Other |
2.36% | |||
Utilities |
2.24% | |||
Refunded |
0.39% | |||
Cash |
(0.23)% |
Investment Strategy
We select securities that we believe will provide the best balance between risk and return within the Fund’s range of allowable investments and we typically invest with a long-term time horizon. This means we generally hold securities in the Fund’s portfolio for income purposes, although we may sell a security at any time if we believe it could help the Fund meet its goal. When selecting securities for the Fund’s portfolio, we may consider existing market conditions, the availability of lower-rated securities, and whether the difference in yields between higher and lower-rated securities justifies the higher risk of lower-rated securities. The Fund is an actively managed exchange-traded fund (ETF) that does not seek to replicate the performance of a specified index.
Manager’s Discussion
The portfolio management team invested across the entire quality spectrum, including below investment-grade bonds, to achieve our objective of maximizing income for our investors. As credit spreads fluctuate, we will continue to seek the best opportunities in higher and lower quality securities. The yield curve flattened significantly over the reporting period, and the team focused on yield curve positioning in an effort to help our investors achieve high levels of tax-free income over the long term.
Thank you for your participation in Franklin Dynamic Municipal Bond ETF. We look forward to serving your future investment needs.
The foregoing information reflects our analysis, opinions and portfolio holdings as of September 30, 2022, 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 conditions. 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, country, 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 completeness or accuracy. Although historical performance is no guarantee of future results, these insights may help you understand our investment management philosophy.
franklintempleton.com |
Semiannual Report |
9 |
FRANKLIN DYNAMIC MUNICIPAL BOND ETF
Performance Summary as of September 30, 2022
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 performance table does 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 mutual fund shares. Market Price returns typically are based upon the official closing price of the ETF’s shares. 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 (9/5/17), 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 reinvested 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 operating expenses. Capital gain distributions are net profits realized from the sale of portfolio securities.
Performance as of 9/30/221
Cumulative Total Return2 | Average Annual Total Return2 | |||||||||||||||
Based on NAV3 |
Based on market price4 |
Based on NAV3 |
Based on market price4 |
|||||||||||||
6-Month |
-6.86% | -7.10% | -6.86% | -7.10% | ||||||||||||
1-Year |
-12.48% | -12.74% | -12.48% | -12.74% | ||||||||||||
5-Year |
+3.00% | +2.40% | +0.59% | +0.47% | ||||||||||||
Since Inception (8/31/17) |
+2.55% | +2.31% | +0.50% | +0.45% |
30-Day Standardized Yield6 | Taxable Equivalent 30-Day Standardized Yield7 |
|||||||||||||||
Distribution Rate5 | (with fee waiver) | (without fee waiver) | (with fee waiver) | (without fee waiver) | ||||||||||||
3.51% |
3.81% | 3.39% | 6.44% | 5.73% |
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 11 for Performance Summary footnotes.
10 |
Semiannual Report |
franklintempleton.com |
FRANKLIN DYNAMIC MUNICIPAL BOND ETF
PERFORMANCE SUMMARY
Distributions (4/1/22–9/30/22)
Net Investment Income |
$0.322419 |
Total Annual Operating Expenses8
With Fee Waiver |
0.30% |
All investments involve risks, including possible loss of principal. Because municipal bonds are sensitive to interest-rate movements, the Fund’s yield and share price will fluctuate with market conditions. Bond prices generally move in the opposite direction of interest rates. Thus, as prices of bonds in the Fund adjust to a rise in interest rates, the Fund’s share price may decline. The Fund may invest in lower-rated bonds which include higher risk of default and loss of principal. Changes in the credit rating of a bond, or in the credit rating or financial strength of a bond’s issuer, insurer or guarantor, may affect the bond’s value. The Fund may invest a significant part of its assets in municipal securities that finance similar types of projects, such as utilities, hospitals, higher education and transportation. A change that affects one project would likely affect all similar projects, thereby increasing market risk. The manager’s portfolio selection strategy is not solely based on ESG considerations, and therefore the issuers in which the Fund invests may not be considered ESG-focused companies. Integrating ESG considerations into the investment process is not a guarantee that better performance will be achieved. 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 description of the main investment risks.
Russia’s military invasion of Ukraine in February 2022, the resulting responses by the United States and other countries, and the potential for wider conflict could increase volatility and uncertainty in the financial markets and adversely affect regional and global economies. The United States and other countries have imposed broad-ranging economic sanctions on Russia and certain Russian individuals, banking entities and corporations as a response to its invasion of Ukraine. The United States and other countries have also imposed economic sanctions on Belarus and may impose sanctions on other countries that support Russia’s military invasion. These sanctions, as well as any other economic consequences related to the invasion, such as additional sanctions, boycotts or changes in consumer or purchaser preferences or cyberattacks on governments, companies or individuals, may further decrease the value and liquidity of certain Russian securities and securities of issuers in other countries that are subject to economic sanctions related to the invasion.
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. Gross expenses are the Fund’s total annual operating expenses and are sourced from the Fund’s prospectus available at the time of publication. Actual expenses may be higher and may impact portfolio returns. Net expenses reflect contractual fee waivers, expense caps and/or reimbursements, which cannot be terminated prior to 7/31/23 without Board consent.
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 September dividend and the NAV per share on 9/30/22.
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. Taxable equivalent yield assumes the 2022 maximum federal income tax rate of 37.00% plus 3.80% Medicare tax.
8. Figures are as stated in the Fund’s current prospectus and may differ from the expense ratios disclosed in the Your Fund’s Expenses and Financial Highlights sections in this report.
See www.franklintempletondatasources.com for additional data provider information.
franklintempleton.com |
Semiannual Report |
11 |
FRANKLIN DYNAMIC MUNICIPAL BOND ETF
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 investment 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 “Ending 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 × $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, compare 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.
Actual (actual return after expenses) |
Hypothetical (5% annual return before expenses) |
|||||||||||||||||||||
Beginning Account Value 4/1/22 |
Ending Account Value 9/30/22 |
Expenses Paid During Period 4/1/22–9/30/221 |
Ending Account Value 9/30/22 |
Expenses Paid During Period 4/1/22–9/30/221 |
Net Annualized Expense Ratio |
|||||||||||||||||
$1,000.00 | $ | 931.40 | $ | 1.45 | $ | 1,023.56 | $ | 1.52 | 0.30 | % |
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.
12 |
Semiannual Report |
franklintempleton.com |
This semiannual report for Franklin Exponential Data ETF covers the period ended September 30, 2022.
Your Fund’s Goal and Main Investments
The Fund seeks capital appreciation. Under normal market conditions, the Fund invests at least 80% of its net assets in equity securities, predominantly common stock, of companies that are relevant to the Fund’s investment theme of exponential data. These companies include those that are focused on, or that the investment manager believes will benefit from, the use of large data sets and/or growth of data, including systems, services, hardware, software and other digital and physical infrastructure related to data products or services, as outlined in more detail in the Prospectus.
Performance Overview
During the six-month period, the Fund posted cumulative total returns of -30.78% based on market price and -30.68% based on net asset value (NAV). In comparison, the Russell 3000® Index, which measures the performance of the largest 3,000 U.S. companies representing the majority of the U.S. market’s total capitalization, posted a -20.42% cumulative total return for the same period.1 You can find more of the Fund’s performance data in the Performance Summary beginning on page 16.
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
U.S. equities, as measured by the Standard & Poor’s 500 Index, posted a -20.20% total return for the six months ended September 30, 2022.1 High inflation, rising interest rates and geopolitical instability contributed to a sharp decline in equity prices, particularly as the period progressed. Although consumer spending continued to rise, deteriorating financial
conditions negatively impacted consumer sentiment, which improved slightly at the end of the period after falling in June 2022 to the lowest level in over 60 years.
Elevated inflation was a major concern for both consumers and investors, as inflation accelerated in June 2022 to the highest rate since 1981. Continued supply-chain disruptions, strong consumer demand, and volatile energy prices drove inflation higher. Russia’s invasion of Ukraine also disrupted financial markets and led to a rise in oil and commodity prices, although much of that increase abated by period-end. The unemployment rate declined marginally from 3.6% in March 2022 to 3.5% in September 2022 as notable employment gains occurred in the leisure and hospitality and health care sectors. Wage growth remained strong throughout the period, adding to some investors’ inflation concerns.
U.S. gross domestic product contracted in the second quarter of 2022, with the economy technically entering a recession, amid lower investments in inventories and fixed assets. An inventory drawdown, declining residential and business investment and lower levels of government spending contributed to the economic slowdown. Rising interest rates translated to higher borrowing costs for individuals and businesses, which dampened economic activity. Mortgage rates reached the highest level since 2007, and new home construction slowed toward period-end.
In an effort to control inflation, the U.S. Federal Reserve (Fed) continued to raise the federal funds target rate. The Fed raised the federal funds rate at each of its four meetings during the period to end at a range of 3.00%–3.25%. The Fed noted in its September 2022 meeting that inflation remained elevated amid robust job growth and low unemployment. Furthermore, the Fed said it would continue to reduce its bond holdings, and Fed Chair Jerome Powell indicated that reducing inflation was likely to require a period of below-trend growth.
1. 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 Schedule of Investments (SOI). The SOI begins on page 106.
franklintempleton.com |
Semiannual Report |
13 |
FRANKLIN EXPONENTIAL DATA ETF
Porfolio Composition | ||||
9/30/22 | ||||
% of Total Net Assets |
||||
Software | 49.0% | |||
IT Services | 15.7% | |||
Equity Real Estate Investment Trusts (REITs) | 11.7% | |||
Interactive Media & Services | 8.2% | |||
Capital Markets | 6.3% | |||
Wireless Telecommunication Services | 3.3% | |||
Communications Equipment | 2.1% | |||
Electronic Equipment, Instruments & Components | 2.0% | |||
Other | 1.6% | |||
Short-Term Investments & Other Net Assets | 0.1% | |||
Top 10 Holdings |
||||
9/30/22 | ||||
Company Sector/Industry |
% of Total Net Assets |
|||
Microsoft
Corp. Information Technology |
6.2% | |||
Datadog Inc.,
A Information Technology |
5.2% | |||
Alphabet Inc.,
A Communication Services |
5.0% | |||
Snowflake Inc.,
A Information Technology |
4.9% | |||
MongoDB
Inc. Information Technology |
4.8% | |||
Crowdstrike
Holdings Inc., A Information Technology |
4.1% | |||
Cloudflare
Inc., A Information Technology |
4.1% | |||
Palo Alto
Networks Inc. Information Technology |
4.0% | |||
Equinix
Inc. Real Estate |
4.0% | |||
SBA
Communications Corp. Real Estate |
3.9% |
Investment Strategy
We use fundamental, bottom-up research analysis to identify companies positioned to capitalize on innovations in or that are enabling the further development of the exponential data theme in the markets in which they operate. We evaluate market segments, products, services and business models positioned to benefit significantly from innovations in data products or services or the commercialization of data relative to the broad equities market, and we seek to identify the primary beneficiaries of new trends or developments in
exponential data. We may invest in companies in any economic sector or of any market capitalization and may invest in companies both inside and outside of the U.S.,including those in developing or emerging markets. Although we search for investments across a large number of sectors, we expect to concentrate our investments in information technology-related industries.
Manager’s Discussion
During the six-month period under review, widespread declines occurred across nearly all sector and industry allocations, and they were most acutely felt in the software and information technology services industries. All related holdings sold off, including key detractors such as MongoDB, a documentation database tool that helps queries work flexibly; cloud-based network performance and security specialist Cloudflare; and Datadog, which provides a data analytics and observability services to cloud-scale operations and applications.
Among communication services sector stocks, Google parent company Alphabet, and ZoomInfo Technologies, which provides marketing software and data solutions, sustained significant losses in the interactive media and services industry. To a lesser extent, the Fund also posted double-digit percentage declines in four smaller sector allocations: real estate (anchored by Crown Castle International, a real estate investment trust for shared communications infrastructure), financials (where financial information and analytics provider S&P Global was the worst of four detractors), health care (featuring a sharp selloff in glucose monitoring system maker DexCom), and industrials (where consumer credit reporting agency TransUnion was the sole investment).
Turning to contributors, only three individual stocks added to absolute returns, and their combined impact was nearly inconsequential given the magnitude of declines elsewhere in the portfolio. These minor outliers to the upside were wireless communication services provider T-Mobile US, electronics test and measurement equipment and software maker Keysight Technologies, and online gaming and game creation platform ROBLOX (bought and sold during the period).
Thank you for your participation in Franklin Exponential Data ETF. We look forward to serving your future investment needs.
Matthew J. Moberg, CPA
Lead Portfolio Manager
Kelly Rogal, CFA
Portfolio Manager
14 |
Semiannual Report |
franklintempleton.com |
FRANKLIN EXPONENTIAL DATA ETF
The foregoing information reflects our analysis, opinions and portfolio holdings as of September 30, 2022, 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 conditions. 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, country, 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 completeness or accuracy. Although historical performance is no guarantee of future results, these insights may help you understand our investment management philosophy.
franklintempleton.com |
Semiannual Report |
15 |
FRANKLIN EXPONENTIAL DATA ETF
Performance Summary as of September 30, 2022
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 performance table does 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 mutual fund shares. Market Price returns typically are based upon the official closing price of the ETF’s shares. 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 (1/14/21), 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 reinvested 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 operating expenses. Capital gain distributions are net profits realized from the sale of portfolio securities.
Performance as of 9/30/221
Cumulative Total Return2 | Average Annual Total Return2 | |||||||||||||||
Based on NAV3 |
Based on market price4 |
Based on NAV3 |
Based on market price4 |
|||||||||||||
6-Month |
-30.68% | -30.78% | -30.68% | -30.78% | ||||||||||||
1-Year |
-41.86% | -41.91% | -41.86% | -41.91% | ||||||||||||
Since Inception (1/12/21) |
-36.84% | -36.84% | -23.50% | -23.50% |
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 17 for Performance Summary footnotes.
16 |
Semiannual Report |
franklintempleton.com |
FRANKLIN EXPONENTIAL DATA ETF
PERFORMANCE SUMMARY
Total Annual Operating Expenses5
0.50% |
All investments involve risks, including possible loss of principal. Stock prices fluctuate, sometimes rapidly and dramatically, due to factors affecting individual companies, particular industries or sectors, or general market conditions. The Fund’s investment strategies incorporate the identification of thematic investment opportunities and its performance may be negatively impacted if the investment manager does not correctly identify such opportunities or if the theme develops in an unexpected manner. By focusing its investments in information technology related industries, the Fund carries much greater risks of adverse developments and price movements in such industries than a Fund that invests in a wider variety of industries. Companies operating within information technology related industries may be affected by worldwide technological developments, the success of their products and services (which may be outdated quickly), anticipated products or services that are delayed or cancelled, and investor perception of the company and/or its products or services. These companies typically face intense competition and potentially rapid product obsolescence. They may also have limited product lines, markets, financial resources or personnel. Technology companies are also heavily dependent on intellectual property rights and may be adversely affected by loss or impairment of those rights. There can be no assurance these companies will be able to successfully protect their intellectual property to prevent the misappropriation of their technology, or that competitors will not develop technology that is substantially similar or superior to such companies’ technology. These companies typically engage in significant amounts of spending on research and development, and there is no guarantee that the products or services produced by these companies will be successful. Technology companies are also potential targets for cyberattacks, which can have a materially adverse impact on the performance of these companies. In addition, companies operating within the technology sector may develop and/or utilize artificial intelligence. Artificial intelligence technology could face increasing regulatory scrutiny in the future, which may limit the development of this technology and impede the growth of companies that develop and/or utilize this technology. Similarly, the collection of data from consumers and other sources could face increased scrutiny as regulators consider how the data is collected, stored, safeguarded and used. The customers and/or suppliers of technology companies may be concentrated in a particular country, region or industry. Any adverse event affecting one of these countries, regions or industries could have a negative impact on these companies. Special risks are associated with foreign investing, including currency fluctuations, economic instability and political developments. The manager’s portfolio selection strategy is not solely based on ESG considerations, and therefore the issuers in which the Fund invests may not be considered ESG-focused companies. Integrating ESG considerations into the investment process is not a guarantee that better performance will be achieved. As a non-diversified fund, the Fund may invest in a relatively small number of issuers and, as a result, be subject to greater risk of loss with respect to its portfolio securities. 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 description of the main investment risks.
Russia’s military invasion of Ukraine in February 2022, the resulting responses by the United States and other countries, and the potential for wider conflict could increase volatility and uncertainty in the financial markets and adversely affect regional and global economies. The United States and other countries have imposed broad-ranging economic sanctions on Russia and certain Russian individuals, banking entities and corporations as a response to its invasion of Ukraine. The United States and other countries have also imposed economic sanctions on Belarus and may impose sanctions on other countries that support Russia’s military invasion. These sanctions, as well as any other economic consequences related to the invasion, such as additional sanctions, boycotts or changes in consumer or purchaser preferences or cyberattacks on governments, companies or individuals, may further decrease the value and liquidity of certain Russian securities and securities of issuers in other countries that are subject to economic sanctions related to the invasion.
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 total annual operating expenses are sourced from the Fund’s prospectus available at the time of publication. Actual expenses may be higher and may impact portfolio returns.
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. Figures are as stated in the Fund’s current prospectus and may differ from the expense ratios disclosed in the Your Fund’s Expenses and Financial Highlights sections in this report.
See www.franklintempletondatasources.com for additional data provider information.
franklintempleton.com |
Semiannual Report |
17 |
FRANKLIN EXPONENTIAL DATA ETF
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 investment 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 “Ending 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 × $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, compare 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.
Actual (actual return after expenses) |
Hypothetical (5% annual return before expenses) |
|||||||||||||||||||||
Beginning Account Value 4/1/22 |
Ending Account Value 9/30/22 |
Expenses 4/1/22–9/30/221 |
Ending Account Value 9/30/22 |
Expenses 4/1/22–9/30/221 |
Net Annualized Expense Ratio |
|||||||||||||||||
$1,000.00 | $ | 693.20 | $ | 2.08 | $ | 1,022.61 | $ | 2.48 | 0.49 | % |
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.
18 |
Semiannual Report |
franklintempleton.com |
Franklin Genomic Advancements ETF
This semiannual report for Franklin Genomic Advancements ETF covers the period ended September 30, 2022.
Your Fund’s Goal and Main Investments
The Fund seeks capital appreciation. Under normal market conditions, the Fund invests at least 80% of its net assets in equity securities, predominantly common stock, of companies that are relevant to the Fund’s investment theme of genomic advancements. These companies include those that are focused on, that the investment manager believes will benefit from, extending and enhancing the quality of human and animal life through technological or scientific advancements in such areas as genetic engineering, gene therapy, genome analysis and other uses, as outlined in more detail in the Prospectus.
Performance Overview
During the six-month period, the Fund posted cumulative total returns of -19.66% based on market price and -19.78% based on net asset value (NAV). In comparison, the Russell 3000® Index, which measures the performance of the largest 3,000 U.S. companies representing the majority of the U.S. market’s total capitalization, posted a -20.42% cumulative total return for the same period.1 You can find more of the Fund’s performance data in the Performance Summary beginning on page 22.
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
U.S. equities, as measured by the Standard & Poor’s 500 Index, posted a -20.20% total return for the six months ended September 30, 2022.1 High inflation, rising interest rates and geopolitical instability contributed to a sharp decline in equity prices, particularly as the period progressed. Although consumer spending continued to rise, deteriorating financial
conditions negatively impacted consumer sentiment, which improved slightly at the end of the period after falling in June 2022 to the lowest level in over 60 years.
Elevated inflation was a major concern for both consumers and investors, as inflation accelerated in June 2022 to the highest rate since 1981. Continued supply-chain disruptions, strong consumer demand, and volatile energy prices drove inflation higher. Russia’s invasion of Ukraine also disrupted financial markets and led to a rise in oil and commodity prices, although much of that increase abated by period-end. The unemployment rate declined marginally from 3.6% in March 2022 to 3.5% in September 2022 as notable employment gains occurred in the leisure and hospitality and health care sectors. Wage growth remained strong throughout the period, adding to some investors’ inflation concerns.
U.S. gross domestic product contracted in the second quarter of 2022, with the economy technically entering a recession, amid lower investments in inventories and fixed assets. An inventory drawdown, declining residential and business investment and lower levels of government spending contributed to the economic slowdown. Rising interest rates translated to higher borrowing costs for individuals and businesses, which dampened economic activity. Mortgage rates reached the highest level since 2007, and new home construction slowed toward period-end.
In an effort to control inflation, the U.S. Federal Reserve (Fed) continued to raise the federal funds target rate. The Fed raised the federal funds rate at each of its four meetings during the period to end at a range of 3.00%–3.25%. The Fed noted in its September 2022 meeting that inflation remained elevated amid robust job growth and low unemployment. Furthermore, the Fed said it would continue to reduce its bond holdings, and Fed Chair Jerome Powell indicated that reducing inflation was likely to require a period of below-trend growth.
1. 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 Schedule of Investments (SOI). The SOI begins on page 108.
franklintempleton.com |
Semiannual Report |
19 |
FRANKLIN GENOMIC ADVANCEMENTS ETF
Porfolio Composition | ||||
9/30/22 | ||||
% of Total Net Assets |
||||
Life Sciences Tools & Services | 43.3% | |||
Biotechnology | 33.0% | |||
Pharmaceuticals | 6.8% | |||
Health Care Providers & Services | 5.1% | |||
Health Care Equipment & Supplies | 3.6% | |||
Chemicals | 3.5% | |||
Other | 3.7% | |||
Other Net Assets | 1.0% |
Top 10 Holdings | ||||
9/30/22 | ||||
Company Sector/Industry |
% of Total Net Assets |
|||
Repligen
Corp. Life Sciences Tools & Services |
6.3% | |||
Danaher
Corp. Health Care Equipment |
6.0% | |||
Thermo Fisher
Scientific Inc. Life Sciences Tools & Services |
6.0% | |||
Sartorius AG,
0.35% Health Care Equipment |
3.6% | |||
Medpace
Holdings Inc. Life Sciences Tools & Services |
3.4% | |||
Vertex
Pharmaceuticals Inc. Biotechnology |
3.4% | |||
Regeneron
Pharmaceuticals Inc. Biotechnology |
3.3% | |||
Samsung
Biologics Co. Ltd. Life Sciences Tools & Services |
3.1% | |||
Guardant Health
Inc. Health Care Services |
3.0% | |||
Corteva
Inc. Fertilizers & Agricultural Chemicals |
3.0% |
Investment Strategy
We use fundamental, bottom-up research analysis to identify companies positioned to capitalize on disruptive innovation or are enabling the further development of the genomic advancements theme in the markets in which they operate. We evaluate market segments, products, services and business models positioned to benefit significantly from advancements in genomics relative to broad securities markets, and we seek to identify the primary beneficiaries of new trends or developments in genomics. We may invest in companies in any economic sector or of any market capitalization and may invest in companies both inside and outside of the U.S., including those in developing or emerging markets.
Although we search for investments across a large number of sectors, we expect to concentrate our investments in health care-related industries.
Manager’s Discussion
During the six-month period under review, all of the Fund’s core areas of investment—life sciences tools and services, biotechnology and pharmaceuticals—experienced nearly across-the-board absolute declines under bear market conditions. Some of our larger positions in the life sciences tools and services industry had a disproportionately negative impact on returns including Lonza Group, a contract manufacturer for the pharmaceuticals industry; Avantor, a chemicals and materials company that supplies the life sciences, advanced technologies and applied materials industries; Thermo Fisher Scientific, which makes analytical laboratory instruments and bioprocessing tools; and Charles River Laboratories International, which specializes in outsourced preclinical research for the biopharma industry. Within the biotechnology industry, our sizable positions in mRNA vaccine developer Moderna, and Intellia Therapeutics, which develops therapeutics using a CRISPR gene editing system, were at the top of an extensive list of detractors, while Catalent (global provider of outsourced drug development and drug manufacturing) and biopharma-ceutical giant AstraZeneca were the standout detractors in the pharmaceuticals industry.
In the information technology sector, shares of semiconductor chipmaker NVIDIA lost more than half of their value, and we eventually liquidated this holding before the end of September. To a lesser extent, returns were also negative across most of our smaller industry allocations including health care-focused real estate investments trusts, where Alexandria Real Estate Equities was the sole position; health care services; health care technology; fertilizers and agricultural chemicals; and health care equipment (not held at period-end). When combined, these holdings comprised about 11% of total net assets at the end of September.
Turning to contributors, only a few individual stocks were spared during the prolonged selloff that characterized most of the April–September period. Among the outliers to the upside were Vertex Pharmaceuticals, which develops and markets drugs for cystic fibrosis and gene-editing drugs for blood diseases, and Eli Lilly, a multinational pharma. Avid Biosciences, a pure biologics contract development and manufacturing organization, and a handful of other stocks were also net contributors, but their combined positive impact was nearly insignificant given the magnitude of the declines across the rest of the portfolio.
20 |
Semiannual Report |
franklintempleton.com |
FRANKLIN GENOMIC ADVANCEMENTS ETF
Thank you for your participation in Franklin Genomic Advancements ETF. We look forward to serving your future investment needs.
Matthew J. Moberg, CPA Lead Portfolio Manager
Kelly Rogal, CFA Portfolio Manager
The foregoing information reflects our analysis, opinions and portfolio holdings as of September 30, 2022, 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 conditions. 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, country, 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 completeness or accuracy. Although historical performance is no guarantee of future results, these insights may help you understand our investment management philosophy.
franklintempleton.com |
Semiannual Report |
21 |
FRANKLIN GENOMIC ADVANCEMENTS ETF
Performance Summary as of September 30, 2022
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 performance table does 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 mutual fund shares. Market Price returns typically are based upon the official closing price of the ETF’s shares. 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 (2/27/20), 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 reinvested 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 operating expenses. Capital gain distributions are net profits realized from the sale of portfolio securities.
Performance as of 9/30/221
Cumulative Total Return2 | Average Annual Total Return2 | |||||||||||||||
Based on NAV3 |
Based on market price4 |
Based on NAV3 |
Based on market price4 |
|||||||||||||
6-Month |
-19.78% | -19.66% | -19.78% | -19.66% | ||||||||||||
1-Year |
-43.08% | -43.17% | -43.08% | -43.17% | ||||||||||||
Since Inception (2/25/20) |
+19.16% | +19.08% | +6.98% | +6.95% |
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 23 for Performance Summary footnotes.
22 |
Semiannual Report |
franklintempleton.com |
FRANKLIN GENOMIC ADVANCEMENTS ETF
PERFORMANCE SUMMARY
Total Annual Operating Expenses5
0.50% |
All investments involve risks, including possible loss of principal. Stock prices fluctuate, sometimes rapidly and dramatically, due to factors affecting individual companies, particular industries or sectors, or general market conditions. The Fund’s investment strategies incorporate the identification of thematic investment opportunities and its performance may be negatively impacted if the investment manager does not correctly identify such opportunities or if the theme develops in an unexpected manner. By focusing its investments in health care related industries, the Fund carries much greater risks of adverse developments and price movements in such industries than a fund that invests in a wider variety of industries. Companies operating within health care related industries face intense competition and potentially rapid product obsolescence. These companies are also heavily dependent on intellectual property rights and may be adversely affected by loss or impairment of those rights. These companies typically engage in significant amounts of spending on research and development, and there is no guarantee that the products or services produced by these companies will be successful, or that competitors will not develop technology that is substantially similar or superior to such companies’ technology. The field of genomic science could face increasing regulatory scrutiny in the future, which may limit the development of this technology and impede the growth of companies that develop and/or utilize this technology. Special risks are associated with foreign investing, including currency fluctuations, economic instability and political developments. As a non-diversified fund, the Fund may invest in a relatively small number of issuers which may negatively impact the Fund’s performance and result in greater fluctuation in the value of the Fund’s shares. The manager’s portfolio selection strategy is not solely based on ESG considerations, and therefore the issuers in which the Fund invests may not be considered ESG-focused companies. Integrating ESG considerations into the investment process is not a guarantee that better performance will be achieved. 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 description of the main investment risks.
Russia’s military invasion of Ukraine in February 2022, the resulting responses by the United States and other countries, and the potential for wider conflict could increase volatility and uncertainty in the financial markets and adversely affect regional and global economies. The United States and other countries have imposed broad-ranging economic sanctions on Russia and certain Russian individuals, banking entities and corporations as a response to its invasion of Ukraine. The United States and other countries have also imposed economic sanctions on Belarus and may impose sanctions on other countries that support Russia’s military invasion. These sanctions, as well as any other economic consequences related to the invasion, such as additional sanctions, boycotts or changes in consumer or purchaser preferences or cyberattacks on governments, companies or individuals, may further decrease the value and liquidity of certain Russian securities and securities of issuers in other countries that are subject to economic sanctions related to the invasion.
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 total annual operating expenses are sourced from the Fund’s prospectus available at the time of publication. Actual expenses may be higher and may impact portfolio returns.
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. Figures are as stated in the Fund’s current prospectus and may differ from the expense ratios disclosed in the Your Fund’s Expenses and Financial Highlights sections in this report.
See www.franklintempletondatasources.com for additional data provider information.
franklintempleton.com |
Semiannual Report |
23 |
FRANKLIN GENOMIC ADVANCEMENTS ETF
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 investment 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 “Ending 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 × $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, compare 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.
Actual (actual return after expenses) |
Hypothetical (5% annual return before expenses) |
|||||||||||||||||||||
Beginning Account Value 4/1/22 |
Ending Account Value 9/30/22 |
Expenses Paid During Period 4/1/22–9/30/221 |
Ending Account Value 9/30/22 |
Expenses Paid During Period 4/1/22–9/30/221 |
Net Annualized Expense Ratio |
|||||||||||||||||
$1,000.00 | $ | 802.20 | $ | 2.26 | $ | 1,022.56 | $ | 2.54 | 0.50 | % |
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.
24 |
Semiannual Report |
franklintempleton.com |
Franklin High Yield Corporate ETF
Formerly, Franklin Liberty High Yield Corporate ETF
This semiannual report for Franklin High Yield Corporate ETF covers the period ended September 30, 2022.
Your Fund’s Goal and Main Investments
The Fund seeks to earn a high level of current income. Its secondary goal is to seek capital appreciation to the extent it is possible and consistent with the Fund’s principal goal. The Fund normally invests at least 80% of its net assets in high yield corporate debt securities and investments that provide exposure to high yield corporate debt securities, including bonds, notes, debentures, convertible securities, bank loans and corporate loans, and senior and subordinated debt securities
Performance Overview
During the six-month period, the Fund posted cumulative total returns of -10.43% based on market price and -10.27% based on net asset value (NAV). In comparison, the ICE BofA U.S. High Yield Constrained Index, which tracks the performance of U.S. dollar denominated below investment-grade corporate debt publicly issued in the U.S. domestic market, posted a -10.59% cumulative total return for the same period.1You can find more of the Fund’s performance data in the Performance Summary beginning on page 28.
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 -9.22% total return for the six months ended September 30, 2022.1 High inflation amid a strong labor market led to significantly tighter monetary policy, reducing the value of most bonds. Geopolitical instability disrupted financial markets amid the ongoing war in Ukraine, adding to the uncertainty surrounding the course of the global economy. The yield curve continued to narrow, inverting in the second half of the period as investors became increasingly concerned about the economic outlook.
In an effort to control inflation, the U.S. Federal Reserve (Fed) continued to raise the federal funds target rate. The Fed raised the federal funds rate at each of its four meetings during the period to end at a range of 3.00%–3.25%. The Fed noted in its September 2022 meeting that inflation remained elevated amid robust job growth and low unemployment. In order to achieve its goal of 2% long-run inflation, the Fed stated it anticipates making additional increases to the federal funds target rate. Furthermore, the Fed indicated it would continue to reduce its U.S. Treasury (UST) and agency mortgage-backed security holdings.
UST bonds, as measured by the Bloomberg U.S. Treasury Index, posted a -7.96% total return for the six-month period.1 The 10- year UST yield (which moves inversely to price) grew amid high inflation and the Fed’s tightening monetary stance. Mortgage-backed securities (MBS), as measured by the Bloomberg U.S. MBS Index, posted a -9.14% total return for the period as mortgage rates rose to the highest level in over adecade.1
Corporate bond prices also declined, constrained by inflation, rising interest rates and concerns about the impact of elevated interest rates on corporate borrowing costs and the wider economy. Corporate yield spreads, a measure of the difference in yields between corporate bonds and similarly-dated USTs, rose, reflecting investors’ increased risk-aversion preferences. In this environment, high-yield corporate bonds, as represented by the Bloomberg U.S. Corporate High Yield Bond Index, posted a -10.41% total return, while investment-grade corporate bonds, as represented by the Bloomberg U.S. Corporate Bond Index, posted a -11.95% total return.1
Portfolio Composition | ||||
9/30/22 | ||||
% of Total Net Assets |
||||
Corporate Bonds & Notes | 89.0% | |||
Senior Floating Rate Interests | 4.2% | |||
Short-Term Investments & Other Net Assets | 6.8% |
1. 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 Schedule of Investments (SOI). The SOI begins on page 112.
franklintempleton.com |
Semiannual Report |
25 |
FRANKLIN HIGH YIELD CORPORATE ETF
Top 10 Sectors/Industries | ||||
9/30/22 | ||||
% of Total Net Assets |
||||
Energy | 17.8% | |||
Media & Entertainment | 12.5% | |||
Materials | 11.0% | |||
Commercial & Professional Services | 6.7% | |||
Diversified Financials | 5.7% | |||
Utilities | 5.6% | |||
Consumer Services | 4.2% | |||
Automobiles & Components | 3.5% | |||
Health Care Equipment & Services | 3.3% | |||
Capital Goods | 3.2% |
Investment Strategy
The Fund may invest up to 100% of its total assets in high yield debt securities. The Fund may buy both rated and unrated debt securities, including securities rated below B by Moody’s or Standard & Poor’s (or deemed comparable by the Fund’s investment manager). The Fund may invest in fixed or floating rate corporate loans and corporate debt securities, including covenant life loans. The Fund may also invest in defaulted debt securities. The Fund may invest in debt securities of any maturity or duration.
The Fund may invest in debt securities of U.S. and foreign issuers, including those in developing or emerging markets. The Fund may enter into certain derivative transactions, principally currency and cross currency forwards; and swap agreements, including interest rate and credit default swaps (including credit default index swaps). The use of these derivative transactions may allow the Fund to obtain net long or short exposures to select currencies, interest rates, countries, durations or credit risks.
We are research driven, fundamental investors who rely on our team of analysts to provide in-depth industry expertise and use qualitative and quantitative analysis to evaluate companies. As bottom-up investors, we focus primarily on individual securities but consider sectors when choosing investments. In selecting securities, we do not rely principally
on the ratings assigned by rating agencies, but perform our own independent investment analysis to evaluate the creditworthiness of the issuer. We consider a variety of factors, including the issuer’s experience and managerial strength, its sensitivity to economic conditions, and its current and prospective financial condition. The Fund is an actively managed ETF and, thus, does not seek to replicate the performance of a specified index. Accordingly, the investment manager has discretion on a daily basis to manage the Fund’s portfolio in accordance with the Fund’s investment goals.
Top 10 Holdings | ||||
9/30/22 | ||||
Company Sector/Industry |
% of Total Net Assets |
|||
Federal Home Loan Bank Discount Notes, 10/03/22 | 5.5% | |||
TransDigm Inc.,
144A, 6.25%, 3/15/26 Capital Goods |
1.2% | |||
Vistra Operations Co. LLC, 144A, 5.50%, 9/01/26 Utilities | 1.1% | |||
Harbour Energy
PLC, 144A, 5.50%, 10/15/26 Energy |
1.1% | |||
InterGen NV,
144A, 7.00%, 6/30/23 Utilities |
1.1% | |||
CSC Holdings
LLC, 144A, 7.50%, 4/01/28 Media & Entertainment |
1.1% | |||
United Rentals
North America Inc., 5.50%, 5/15/27 Commercial Services |
1.1% | |||
American
Airlines Inc/AAdvantage Loyalty IP Ltd., 144A, 5.50%,
4/20/26 Airlines |
1.1% | |||
Banijay Entertainment SASU, 144A, 5.375%, 3/01/25 Media & Entertainment | 1.0% | |||
DaVita Inc.,
144A, 4.625%, 6/01/30 Health Care Equipment & Services |
1.0% |
Manager’s Discussion
Since the beginning of 2022, escalating geopolitical risks around the Russia-Ukraine war, combined with fears that the Fed’s aggressive interest-rate stance could push the economy into a recession, have resulted in persistent volatility. As spreads widened and U.S. Treasury yields increased, the high yield (HY) asset class experienced negative returns. Despite the fundamental challenges, it is worth noting that HY credit fundamentals are entering this turbulent period from a position of strength, with healthy net leverage and robust interest coverage as readily accessible capital markets in the past several years enabled most issuers to build up liquidity reserves. With the Fed actively seeking to slow the economy to combat inflation, we continue to be cautious of issuers or industries that are facing secular declines or heightened competitive pressures, as well as companies with minimal cash flow generation relative to their debt obligations.
Based on benchmark index data, HY spreads generally widened during the six-month period under review. Most segments of the HY market posted negative absolute returns for the performance period under review. CCC rated bonds returned -14.18%, compared to returns of -11.19% and -9.40% for B and BB rated segments, respectively. From an industry standpoint, energy stood out as a key performer, followed by metals/minerals.
26 |
Semiannual Report |
franklintempleton.com |
FRANKLIN HIGH YIELD CORPORATE ETF
The Fund’s yield-curve positioning contributed to performance during the six-month period under review. Conversely, the Fund’s ratings quality hindered results.
The Fund’s industry allocation contributed to relative performance for the period, led by overweight positions in the energy and utility industries and underweight positions in the health care segment. Conversely, underweighted positions in the food and beverage, aerospace and defense, and restaurant industries hindered results.
The Fund held mostly cash bonds during the period under review. The Fund had no exposure to derivatives at the end of the review period.
Thank you for your participation in Franklin High Yield Corporate ETF. We look forward to serving your future investment needs.
Glenn I. Voyles, CFA
Patricia O’Connor, CFA
Jonathan G. Belk, CFA
Thomas Runkel, CFA
Pururav Thoutireddy, Ph.D
Portfolio Management Team
The foregoing information reflects our analysis, opinions and portfolio holdings as of September 30, 2022, 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 conditions. 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, country, 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 completeness or accuracy. Although historical performance is no guarantee of future results, these insights may help you understand our investment management philosophy.
franklintempleton.com |
Semiannual Report |
27 |
FRANKLIN HIGH YIELD CORPORATE ETF
Performance Summary as of September 30, 2022
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 performance table does 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 mutual fund shares. Market Price returns typically are based upon the official closing price of the ETF’s shares. 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 (6/1/18), 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 reinvested 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 operating expenses. Capital gain distributions are net profits realized from the sale of portfolio securities.
Performance as of 9/30/221
Cumulative Total Return2 | Average Annual Total Return2 | |||||||||||||||
Based on NAV3 |
Based on market price4 |
Based on NAV3 |
Based on market price4 |
|||||||||||||
6-Month |
-10.27% | -10.43% | -10.27% | -10.43% | ||||||||||||
1-Year |
-13.92% | -14.27% | -13.92% | -14.27% | ||||||||||||
3-Year |
-1.00% | -1.83% | -0.33% | -0.61% | ||||||||||||
Since Inception (5/30/18) |
+10.70% | +10.23% | +2.37% | +2.27% |
Distribution Rate5 | 30-Day Standardized Yield6 |
|||||
8.03% |
7.54% |
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 29 for Performance Summary footnotes.
28 |
Semiannual Report |
franklintempleton.com |
FRANKLIN HIGH YIELD CORPORATE ETF
PERFORMANCE SUMMARY
Distributions (4/1/22–9/30/22)
Net
Investment Income |
$0.729443 |
Total Annual Operating Expenses7
0.40% |
All investments involve risks, including possible loss of principal. Bond prices generally move in the opposite direction of interest rates. Thus, as the prices of bonds in the Fund adjust to a rise in interest rates, the Fund’s share price may decline. Distributions to shareholders may decline when prevailing interest rates fall or when the Fund experiences defaults on debt securities it holds. The high-yield corporate debt securities and instruments in which the Fund invests tend to be rated below investment grade. Investing in higher-yielding, lower-rated corporate debt securities and instruments involves greater risk of default, which could result in loss of principal – a risk that may be heightened in a slowing economy. Changes in the financial strength of a bond issuer or in a bond’s credit rating may affect its value. The markets for particular securities or types of securities are or may become relatively illiquid. Reduced liquidity will have an adverse impact on the security’s value and on the Fund’s ability to sell such securities when necessary to meet the Fund’s liquidity needs or in response to a specific market event. Investing in derivative securities and the use of foreign currency techniques involve special risks as such may not achieve the anticipated benefits and/or may result in losses to the Fund. The manager’s portfolio selection strategy is not solely based on ESG considerations, and therefore the issuers in which the Fund invests may not be considered ESG-focused companies. 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 description of the main investment risks.
Russia’s military invasion of Ukraine in February 2022, the resulting responses by the United States and other countries, and the potential for wider conflict could increase volatility and uncertainty in the financial markets and adversely affect regional and global economies. The United States and other countries have imposed broad-ranging economic sanctions on Russia and certain Russian individuals, banking entities and corporations as a response to its invasionof Ukraine. The United States and other countries have also imposed economic sanctions on Belarus and may impose sanctions on other countries that support Russia’s military invasion. These sanctions, as well as any other economic consequences related to the invasion, such as additional sanctions, boycotts or changes in consumer or purchaser preferences or cyberattacks on governments, companies or individuals, may further decrease the value and liquidity of certain Russian securities and securities of issuers in other countries that are subject to economic sanctions related to the invasion.
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 total annual operating expenses are sourced from the Fund’s prospectus available at the time of publication. Actual expenses may be higher and may impact portfolio returns.
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 September dividend and the NAV per share on 9/30/22.
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 as stated in the Fund’s current prospectus and may differ from the expense ratios disclosed in the Your Fund’s Expenses and Financial Highlights sections in this report.
See www.franklintempletondatasources.com for additional data provider information.
franklintempleton.com |
Semiannual Report |
29 |
FRANKLIN HIGH YIELD CORPORATE ETF
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 investment 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 “Ending 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 × $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, compare 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.
Actual (actual return after expenses) |
Hypothetical (5% annual return before expenses) |
|||||||||||||||||||||
Beginning Account Value 4/1/22 |
Ending Account Value 9/30/22 |
Expenses Paid During Period 4/1/22–9/30/221 |
Ending Account Value 9/30/22 |
Expenses Paid During Period 4/1/22–9/30/221 |
Net Annualized Expense Ratio |
|||||||||||||||||
$1,000.00 | $ | 897.30 | $ | 1.90 | $ | 1,023.06 | $ | 2.03 | 0.40 | % |
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.
30 |
Semiannual Report |
franklintempleton.com |
Franklin Intelligent Machines ETF
This semiannual report for Franklin Intelligent Machines ETF covers the period ended September 30, 2022.
Your Fund’s Goal and Main Investments
The Fund seeks capital appreciation. Under normal market conditions, the Fund invests at least 80% of its net assets in equity securities, predominantly common stock, of companies that are relevant to the Fund’s investment theme of intelligent machines. These companies include those that are focused on, or that the investment manager believes will benefit from, the ongoing technology-driven transformation of products, software, systems and machinery as well as product design, manufacture, logistics, distribution and maintenance, including through developments in artificial intelligence, as outlined in more detail in the Prospectus.
Performance Overview
During the six-month period, the Fund posted cumulative total returns of -26.88% based on market price and -26.95% based on net asset value (NAV). In comparison, the Russell 3000® Index, which measures the performance of the largest 3,000 U.S. companies representing the majority of the U.S. market’s total capitalization, posted a -20.42% cumulative total return for the same period.1 You can find more of the Fund’s performance data in the Performance Summary beginning on page 34.
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
U.S. equities, as measured by the Standard & Poor’s 500 Index, posted a -20.20% total return for the six months ended September 30, 2022.1 High inflation, rising interest rates and geopolitical instability contributed to a sharp decline in equity prices, particularly as the period progressed. Although consumer spending continued to rise, deteriorating financial conditions negatively impacted consumer sentiment, which
improved slightly at the end of the period after falling in June 2022 to the lowest level in over 60 years.
Elevated inflation was a major concern for both consumers and investors, as inflation accelerated in June 2022 to the highest rate since 1981. Continued supply-chain disruptions, strong consumer demand, and volatile energy prices drove inflation higher. Russia’s invasion of Ukraine also disrupted financial markets and led to a rise in oil and commodity prices, although much of that increase abated by period-end. The unemployment rate declined marginally from 3.6% in March 2022 to 3.5% in September 2022 as notable employment gains occurred in the leisure and hospitality and health care sectors. Wage growth remained strong throughout the period, adding to some investors’ inflation concerns.
U.S. gross domestic product contracted in the second quarter of 2022, with the economy technically entering a recession, amid lower investments in inventories and fixed assets. An inventory drawdown, declining residential and business investment and lower levels of government spending contributed to the economic slowdown. Rising interest rates translated to higher borrowing costs for individuals and businesses, which dampened economic activity. Mortgage rates reached the highest level since 2007, and new home construction slowed toward period-end.
In an effort to control inflation, the U.S. Federal Reserve (Fed) continued to raise the federal funds target rate. The Fed raised the federal funds rate at each of its four meetings during the period to end at a range of 3.00%–3.25%. The Fed noted in its September 2022 meeting that inflation remained elevated amid robust job growth and low unemployment. Furthermore, the Fed said it would continue to reduce its bond holdings, and Fed Chair Jerome Powell indicated that reducing inflation was likely to require a period of below-trend growth.
1. 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.
The dollar value, number of shares or principal amount, and names of all portfolio holdings are listed in the Fund’s Schedule of Investments (SOI). The SOI begins on page 119.
franklintempleton.com |
Semiannual Report |
31 |
FRANKLIN INTELLIGENT MACHINES ETF
Porfolio Composition | ||||
9/30/22 | ||||
% of Total Net Assets |
||||
Semiconductors & Semiconductor Equipment |
32.8% | |||
Software |
23.9% | |||
Health Care Equipment & Supplies |
10.5% | |||
Electronic Equipment, Instruments & Components |
8.8% | |||
Automobiles |
7.7% | |||
Computers & Peripherals |
5.0% | |||
Construction & Engineering |
3.1% | |||
Industrial Conglomerates |
2.2% | |||
Aerospace & Defense |
2.1% | |||
Other |
3.9% | |||
Other Net Assets |
0.0% |
Top 10 Holdings | ||||
9/30/22 | ||||
Company Sector/Industry |
% of Total Net Assets |
|||
Tesla Inc. Automobile Manufacturers |
7.7% | |||
Apple Inc. Technology Hardware, Storage & Peripherals |
5.0% | |||
Cadence Design Systems Inc. Application Software |
4.3% | |||
Synopsys Inc. Application Software |
4.3% | |||
NVIDIA Corp. Semiconductors |
4.1% | |||
Intuitive Surgical Inc. Health Care Equipment |
3.9% | |||
ASML Holding NV Semiconductor Equipment |
3.9% | |||
Enphase Energy Inc. Semiconductor Equipment |
3.8% | |||
Descartes Systems Group Inc. Application Software |
3.1% | |||
Keyence Corp. Electronic Equipment & Instruments |
3.0% |
Investment Strategy
We use fundamental, bottom-up research analysis to identify companies positioned to capitalize on disruptive innovation in or are enabling the further development of the intelligent machines theme in the markets in which they operate. We evaluate market segments, products, services and business models positioned to benefit significantly from disruptive innovations in intelligent products, design, manufacturing and/or predictive maintenance relative to broad securities
markets, and we seek to identify the primary beneficiaries of new trends or developments in physical applications of these innovations. We may invest in companies in any economic sector or of any market capitalization and may invest in companies both inside and outside of the U.S., including those in developing or emerging markets. Although we search for investments across a large number of sectors, we expect to have significant investments in particular sectors, including technology.
Manager’s Discussion
During the six-month period under review, the Fund was invested in 16 different industries, all of which produced negative absolute returns. The largest industry-level detractors were semiconductor and semiconductor equipment companies such as NVIDIA, ASML Holding, Taiwan Semiconductor Manufacturing, Entegris, Applied Materials and SiTime, all of which posted steep, double-digit percentage declines. Elsewhere in the information technology (IT) sector, all software industry holdings traded lower including key detractors Dassault Systèmes (3D product design, simulation and manufacturing software) and Atlassian (collaborative and quality-control software for software developers). The Fund’s smaller IT-related industry allocations also experienced across-the-board declines in every stock position, including standout detractors Keyence (electronics test and measurement equipment/software) and Zebra Technologies (mobile computing specialist focused on barcode printers and barcode scanners) in the electronic equipment, instruments and components industry; and Apple in the technology hardware, storage and peripherals industry.
Health care holdings collectively posted the largest overall decline among the Fund’s sector allocations as all related investments traded lower. Health care equipment and supplies companies were a notable area of weakness as Intuitive Surgical (robotic surgery systems), DexCom (next-generation glucose monitoring systems), IDEXX Laboratories (advanced diagnostic products and services for the veterinary and livestock markets) fared poorly along with six other, lesser industry detractors.
Elsewhere in the portfolio, electric vehicle (EV) manufacturer Tesla was a major detractor in the consumer discretionary sector, while Axon Enterprise, which designs and manufactures non-lethal weapons primarily for law enforcement, was the worst of 10 detractors in the industrials sector.
Turning to contributors, only four individual stocks added to absolute returns, and their combined impact was small given the magnitude of declines elsewhere in the portfolio. The most notable outlier to the upside was Enphase Energy,
32 |
Semiannual Report |
franklintempleton.com |
FRANKLIN INTELLIGENT MACHINES ETF
which has seen robust demand for its residential solar micro-inverters. To a much lesser extent, incremental contributions were seen in electronic design automation software specialist Cadence Design Systems; Valmont Industries, which manufactures irrigation equipment, windmill support structures, and utility poles; and Keysight Technologies, which makes electronics testing and measurement equipment.
Thank you for your continued participation in Franklin Intelligent Machines ETF. We look forward to serving your future investment needs.
Matthew J. Moberg, CPA
Lead Portfolio Manager
Kelly Rogal, CFA
Portfolio Manager
The foregoing information reflects our analysis, opinions and portfolio holdings as of September 30, 2022, 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 conditions. 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, country, 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 completeness or accuracy. Although historical performance is no guarantee of future results, these insights may help you understand our investment management philosophy.
franklintempleton.com |
Semiannual Report |
33 |
FRANKLIN INTELLIGENT MACHINES ETF
Performance Summary as of September 30, 2022
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 performance table does 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 mutual fund shares. Market Price returns typically are based upon the official closing price of the ETF’s shares. 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 (2/27/20), 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 reinvested 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 operating expenses. Capital gain distributions are net profits realized from the sale of portfolio securities.
Performance as of 9/30/221
Cumulative Total Return2 | Average Annual Total Return2 | |||||||||||||||
Based on NAV3 |
Based on market price4 |
Based on NAV3 |
Based on market price4 |
|||||||||||||
6-Month |
-26.95% | -26.88% | -26.95% | -26.88% | ||||||||||||
1-Year |
-30.09% | -30.32% | -30.09% | -30.32% | ||||||||||||
Since Inception (2/25/20) |
+35.53% | +35.17% | +12.42% | +12.30% |
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 35 for Performance Summary footnotes.
34 |
Semiannual Report |
franklintempleton.com |
FRANKLIN INTELLIGENT MACHINES ETF
PERFORMANCE SUMMARY
Total Annual Operating Expenses5
0.50% |
All investments involve risks, including possible loss of principal. Stock prices fluctuate, sometimes rapidly and dramatically, due to factors affecting individual companies, particular industries or sectors, or general market conditions. The Fund’s investment strategies incorporate the identification of thematic investment opportunities and its performance may be negatively impacted if the investment manager does not correctly identify such opportunities or if the theme develops in an unexpected manner. The Fund has significant exposure to the technology sector. Companies operating within the technology sector may be affected by worldwide technological developments, the success of their products and services (which may be outdated quickly), anticipated products or services that are delayed or cancelled, and investor perception of the company and/or its products or services. In addition, companies operating within the technology sector may develop and/or utilize artificial intelligence. Artificial intelligence technology could face increasing regulatory scrutiny in the future, which may limit the development of this technology and impede the growth of companies that develop and/or utilize this technology. Special risks are associated with foreign investing, including currency fluctuations, economic instability and political developments. As a non-diversified fund, the Fund may invest in a relatively small number of issuers which may negatively impact the Fund’s performance and result in greater fluctuation in the value of the Fund’s shares. The manager’s portfolio selection strategy is not solely based on ESG considerations, and therefore the issuers in which the Fund invests may not be considered ESG-focused companies. Integrating ESG considerations into the investment process is not a guarantee that better performance will be achieved. 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 description of the main investment risks.
Russia’s military invasion of Ukraine in February 2022, the resulting responses by the United States and other countries, and the potential for wider conflict could increase volatility and uncertainty in the financial markets and adversely affect regional and global economies. The United States and other countries have imposed broad-ranging economic sanctions on Russia and certain Russian individuals, banking entities and corporations as a response to its invasion of Ukraine. The United States and other countries have also imposed economic sanctions on Belarus and may impose sanctions on other countries that support Russia’s military invasion. These sanctions, as well as any other economic consequences related to the invasion, such as additional sanctions, boycotts or changes in consumer or purchaser preferences or cyberattacks on governments, companies or individuals, may further decrease the value and liquidity of certain Russian securities and securities of issuers in other countries that are subject to economic sanctions related to the invasion.
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 total annual operating expenses are sourced from the Fund’s prospectus available at the time of publication. Actual expenses may be higher and may impact portfolio returns.
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. Figures are as stated in the Fund’s current prospectus and may differ from the expense ratios disclosed in the Your Fund’s Expenses and Financial Highlights sections in this report.
See www.franklintempletondatasources.com for additional data provider information.
franklintempleton.com |
Semiannual Report |
35 |
FRANKLIN INTELLIGENT MACHINES ETF
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 investment 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 “Ending 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 × $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, compare 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.
Actual (actual return after expenses) |
Hypothetical (5% annual return before expenses) |
|||||||||||||||||||||
Beginning Account Value 4/1/22 |
Ending Account Value 9/30/22 |
Expenses Paid During 4/1/22–9/30/221 |
Ending Account Value 9/30/22 |
Expenses Paid During 4/1/22–9/30/221 |
Net Annualized Expense Ratio |
|||||||||||||||||
$1,000.00 | $ | 730.50 | $ | 2.17 | $ | 1,022.56 | $ | 2.54 | 0.50 | % |
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.
36 |
Semiannual Report |
franklintempleton.com |
Franklin International Aggregate Bond ETF
Formerly, Franklin Liberty International Aggregate Bond ETF
This semiannual report for Franklin International Aggregate Bond ETF covers the period ended September 30, 2022.
Your Fund’s Goal and Main Investments
The Fund seeks total investment return, consistent with prudent investing, consisting of a combination of interest income and capital appreciation. Under normal market conditions, the Fund invests at least 80% of its net assets in bonds and investments that provide exposure to bonds. Bonds include debt obligations of any maturity, such as bonds, notes, bills and debentures.
Geographic Composition | ||||
9/30/22 | ||||
% of Total Net Assets |
||||
Europe |
41.0% | |||
Asia |
27.0% | |||
North America |
7.9% | |||
Supranationals |
2.3% | |||
Australia & New Zealand |
2.2% | |||
Middle East & Africa |
0.9% | |||
Latin America & Caribbean |
0.1% | |||
Short-Term Investments & Other Net Assets |
18.6% |
Performance Overview
During the six-month period, the Fund posted cumulative total returns of -3.99% based on market price and -3.71% based on net asset value (NAV). In comparison, the Fund’s benchmark, the Bloomberg Global Aggregate Bond ex-USD Index (100% Hedged to USD), which measures global investment-grade debt from 24 local currency markets, posted a -6.13% cumulative total return. 1You can find more of the Fund’s performance data in the Performance Summary beginning on page 40.
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
Global aggregate bond markets posted significantly negative returns over the six-month review period.
After rising steadily in the first quarter of 2022, U.S. inflation maintained its upward trend over the second quarter. Concerns over rising price levels prompted the U.S. Federal Reserve (Fed) to raise its base rate by 50 basis points (bps) in early May, stoking expectations of aggressive rate tightening to come. With U.S. inflation showing no signs of slowing, reaching 8.6% (year-on-year) in May due to the rapidly increasing cost of housing, energy and food, the central bank then raised rates again in June, this time by an unexpected 75 bps, the largest increase since 1994. Overall, U.S. economic data released in the second quarter was lackluster; U.S. gross domestic product (GDP) for the first quarter of 2022 was revised down slightly. Consumer spending waned and sentiment fell significantly. Industrial production and surveys of business sentiment also finished the second quarter lower.
In July, a further acceleration in U.S. inflation persuaded the Fed to raise rates by a further 75 bps. The combination of rising prices and higher interest rates affected the broader U.S. economy; consumer sentiment remained depressed and industrial production for June was down. Business sentiment also turned negative, while the housing market continued to cool. On the contrary, the U.S. job market showed signs of strength in June. In August, investors remained concerned that, despite the slowdown in economic growth, the Fed would continue hiking interest rates. A subsequent hawkish Jackson Hole address from Fed Chair Jerome Powell confirmed this position. Surprisingly, inflation fell slightly in July, helping to precipitate an improvement in U.S. consumer sentiment reading. Labor market figures were also notably robust. However, weak data from China, and discouraging news on energy prices and supplies, with the consequent impact on Europe, accompanied a deterioration in investor sentiment. In September, with core inflation rising by 6.3% (year-on-year) in August, up from 5.9% in July, the Fed raised the federal funds rate by another 75 bps. It also updated its 2023 economic projections, revising growth down to 1.2%, and unemployment and core inflation up to 4.4% and 3.1%, respectively.
1. 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 Schedule of Investments (SOI).
The SOI begins on page 122 .
franklintempleton.com |
Semiannual Report |
37 |
FRANKLIN INTERNATIONAL AGGREGATE BOND ETF
Against this backdrop, benchmark 10-year U.S. Treasury yields increased in April, although they fell a little in May. Having peaked close to 3.5% in mid-June, in the wake of the inflation data and subsequent Fed hike, they ended the second quarter below 3% as concerns grew about a potential recession, and then declined in July by more than 35 bps, despite the hike in the U.S. federal funds rate. Following hawkish comments from Fed policymakers, yields then rebounded sharply in August and September, with two-and five-year U.S. Treasury yields moving above 4% by the end of the period under review.
In Europe, data released in April underlined that while the European Central Bank (ECB) would ultimately be forced to raise rates, it would have to balance slowing growth against rising prices. Indeed, the energy crisis saw eurozone inflation reach 8.1% year-on-year in May. This increased pressure on the ECB to increase the cost of borrowing, although the central bank revised its forecast for 2022 eurozone growth down from 4.2% to 2.9%. The ECB bolstered its increasingly hawkish positioning in June by committing to raise interest rates by 25 bps at its July meeting, followed by a gradual and sustained increase in rates as appropriate. The move was prompted by surging energy prices, which saw eurozone inflation reach 8.6% (year-on-year) in June.
In fact, with inflation rising to 8.9% (year-on-year) in July, the ECB raised rates by 50 bps during the month, while also unveiling its new tools designed to ensure the effective transmission of monetary policy to all member states via sovereign debt purchases. Purchasing managers’ index data showed that the eurozone economy contracted in July, with both output and new orders falling for the first time since early 2021. Meanwhile, the ECB Survey of Professional Forecasters, released in July, raised inflation projections to 3.6% for 2023, but revised eurozone growth down to 1.5%. Eurozone inflation then reached 9.1% (year-on-year) in August. Although economic growth continued to slow in the region, the inflation data strengthened the case for the ECB to raise rates further at its next meeting. Indeed, in September, an increasingly hawkish central bank hiked its base rate by 75 bps. At the same time, economic growth for 2023 was also revised down to 0.9%, emphasizing the difficult path the ECB must tread on monetary policy.
In European fixed income markets, given the hawkish rhetoric from the ECB, benchmark 10-year German Bund yields were up sharply over the second quarter of 2022, reflecting the increased possibility of policy tightening. Nevertheless, in July, benchmark 10-year German Bund yields fell sharply, losing more than 50 bps over the month. However, benchmark European government bond yields rose significantly in August and September, with German five-and 10-year Bund yields moving above 2% by the end of the third quarter.
Portfolio Composition | ||||
9/30/22 | ||||
% of Total Net Assets |
||||
Foreign Government and Agency Securities |
76.6% | |||
Corporate Bonds & Notes |
4.8% | |||
Short-Term Investments & Other Net Assets |
18.6% |
Investment Strategy
The Fund invests predominantly in fixed and floating-rate bonds issued by governments, government agencies and governmental-related or corporate issuers located outside the U.S. Bonds may be denominated and issued in the local currency or in another currency. The Fund may also invest in securities or structured products that are linked to or derive their value from another security, asset or currency of any nation. In addition, the Fund’s assets are invested in issuers located in at least three countries (excluding the U.S.). The Fund may invest without limit in developing or emerging markets.
The Fund may invest in debt securities of any maturity or duration, and the average maturity or duration of debt securities in the Fund’s portfolio will fluctuate depending on the investment manager’s outlook on changing market, economic and political conditions.
The Fund is a “non-diversified” fund, which means it generally invests a greater portion of its assets in the securities of one or more issuers and invests overall in a smaller number of issuers than a diversified fund.
When choosing investments for the Fund, we allocate the Fund’s assets based upon our assessment of changing market, political and economic conditions. We consider various factors, including evaluation of interest rates, currency exchange rate changes and credit risks. We may consider selling a security when we believe the security has become fully valued due to either its price appreciation or changes in the issuer’s fundamentals, or when we believe another security is a more attractive investment opportunity.
We seek to hedge substantially all of the Fund’s foreign currency exposure using currency related derivatives, including currency and cross currency forwards and currency futures contracts. We expect to maintain extensive positions in currency related derivative instruments as a hedging technique or to implement a currency investment strategy, which exposes a large amount of the Fund’s assets to obligations under these instruments. The results of such transactions may represent, from time to time, a significant component of the Fund’s investment returns. The use of these derivative
38 |
Semiannual Report |
franklintempleton.com |
FRANKLIN INTERNATIONAL AGGREGATE BOND ETF
transactions may allow the Fund to obtain net long or net negative (short) exposure to selected currencies. The Fund may also enter into various other transactions involving derivatives, including interest rate/bond futures contracts and interest rate swap agreements. These derivative instruments may be used for hedging purposes. Derivatives that provide exposure to bonds may be used to satisfy the Fund’s 80% policy.
Manager’s Discussion
The Fund’s duration and yield-curve positioning helped relative results, mostly due to duration stances on eurozone, U.K. and Japanese bonds. However, duration positioning in Chinese bonds hindered relative performance.
The Fund’s local market allocation further contributed to relative returns, namely an overweight exposure to the outperforming U.S. market and an underweight position in the underperforming U.K. market. Nonetheless, an underweight allocation to China’s market, which bettered the benchmark, weighed on relative results.
The Fund’s sector allocation contributed to relative performance, while security selection had a small negative impact on relative returns. In government bonds, an overweight exposure to German Bunds and positioning in Italian sovereign debt bolstered relative results. In the corporate space, an underweight exposure to investment-grade financial bonds added relative value, although this was countered to some degree by the harmful bearing of selection in this area. Selection in investment-grade industrial issues also aided relative results. In contrast, selection in hard-currency emerging market debt hurt relative performance.
The Fund’s currency positioning also added to relative results, largely owing to underweight allocations to the euro and British pound, both of which depreciated against the U.S. dollar. Nevertheless, an overweight exposure to the Canadian dollar, also down versus its U.S. counterpart, subtracted relative value.
In terms of derivative use, currency forwards are used in the portfolio to hedge foreign-currency-denominated holdings back into the portfolio’s base currency, the U.S. dollar. Therefore, the use of the forwards is generally risk reducing, both on an absolute basis and relative to the benchmark. For the period under review, derivatives use added 1286 bps to the Fund’s performance, as the U.S. dollar rose strongly against most other major currencies.
Thank you for your participation in Franklin International Aggregate Bond ETF. We look forward to serving your future investment needs.
John Beck
Co-Lead Portfolio Manager
Sonal Desai, Ph.D.
Co-Lead Portfolio Manager
David Zahn, CFA
Patrick Klein, Ph.D.
Portfolio Management Team
The foregoing information reflects our analysis, opinions and portfolio holdings as of September 30, 2022, 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 conditions. 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, country, 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 completeness or accuracy. Although historical performance is no guarantee of future results, these insights may help you understand our investment management philosophy.
franklintempleton.com |
Semiannual Report |
39 |
FRANKLIN INTERNATIONAL AGGREGATE BOND ETF
Performance Summary as of September 30, 2022
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 performance table does 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 mutual fund shares. Market Price returns typically are based upon the official closing price of the ETF’s shares. 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 (6/1/18), 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 reinvested 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 operating expenses. Capital gain distributions are net profits realized from the sale of portfolio securities.
Performance as of 9/30/221
Cumulative Total Return2 | Average Annual Total Return2 | |||||||||||||||
Based on NAV3 |
Based on market price4 |
Based on NAV3 |
Based on market price4 |
|||||||||||||
6-Month |
-3.71% | -3.99% | -3.71% | -3.99% | ||||||||||||
1-Year |
-7.38% | -7.38% | -7.38% | -7.38% | ||||||||||||
3-Year |
-7.13% | -7.28% | -2.43% | -2.49% | ||||||||||||
Since Inception (5/30/18) |
-2.46% | -2.44% | -0.57% | -0.57% |
Distribution Rate5 |
30-Day Standardized Yield6 |
|||||
0.59% |
1.60% |
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 41 for Performance Summary footnotes. |
40 |
Semiannual Report |
franklintempleton.com |
FRANKLIN INTERNATIONAL AGGREGATE BOND ETF
PERFORMANCE SUMMARY
Distributions (4/1/22–9/30/22)
Net
Investment Income |
$0.402361 |
Total Annual Operating Expenses7
0.25% |
All investments involve risks, including possible loss of principal. Bond prices generally move in the opposite direction of interest rates and a rise in interest rates may cause the Fund’s share price to decline. Changes in the financial strength of a bond issuer or in a bond’s credit rating may affect its value. The Fund’s investments in foreign securities involve certain risks including economic and political uncertainties. Investments in developing markets involve heightened risks related to the same factors, in addition to those associated with their relatively small size and lesser liquidity. Investing in derivative securities and the use of foreign currency techniques involve special risks including counterparty risk, and as such may not achieve the anticipated benefits and/or may result in losses to the Fund. Sovereign debt securities are subject to various risks in addition to those relating to debt securities and foreign securities generally, including, but not limited to, the risk that a governmental entity may be unwilling or unable to pay interest and repay principal on its sovereign debt, or otherwise meet its obligations. The manager’s portfolio selection strategy is not solely based on ESG considerations, and therefore the issuers in which the Fund invests may not be considered ESG-focused companies. 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 description of the main investment risks.
Russia’s military invasion of Ukraine in February 2022, the resulting responses by the United States and other countries, and the potential for wider conflict could increase volatility and uncertainty in the financial markets and adversely affect regional and global economies. The United States and other countries have imposed broad-ranging economic sanctions on Russia and certain Russian individuals, banking entities and corporations as a response to its invasion of Ukraine. The United States and other countries have also imposed economic sanctions on Belarus and may impose sanctions on other countries that support Russia’s military invasion. These sanctions, as well as any other economic consequences related to the invasion, such as additional sanctions, boycotts or changes in consumer or purchaser preferences or cyberattacks on governments, companies or individuals, may further decrease the value and liquidity of certain Russian securities and securities of issuers in other countries that are subject to economic sanctions related to the invasion.
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 total annual operating expenses are sourced from the Fund’s prospectus available at the time of publication. Actual expenses may be higher and may impact portfolio returns.
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 September dividend and the NAV per share on 9/30/22.
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 as stated in the Fund’s current prospectus and may differ from the expense ratios disclosed in the Your Fund’s Expenses and Financial Highlights sections in this report.
See www.franklintempletondatasources.com for additional data provider information.
franklintempleton.com |
Semiannual Report |
41 |
FRANKLIN INTERNATIONAL AGGREGATE BOND ETF
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 investment 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 “Ending 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 × $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, compare 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.
Actual (actual return after expenses) |
Hypothetical (5% annual return before expenses) |
|||||||||||||||||||||
Beginning Account Value 4/1/22 |
Ending Account Value 9/30/22 |
Expenses Paid During Period 4/1/22–9/30/221 |
Ending Account Value 9/30/22 |
Expenses Paid During Period 4/1/22–9/30/221 |
Net Annualized Expense Ratio |
|||||||||||||||||
$1,000.00 | $ | 962.90 | $ | 1.23 | $ | 1,023.82 | $ | 1.27 | 0.25 | % |
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.
42 |
Semiannual Report |
franklintempleton.com |
Franklin Investment Grade Corporate ETF
Formerly, Franklin Liberty Investment Grade Corporate ETF
This semiannual report for Franklin Investment Grade Corporate ETF covers the period ended September 30, 2022.
Your Fund’s Goal and Main Investments
The Fund seeks a high level of current income as is consistent with prudent investing, while seeking preservation of capital. Under normal market conditions, the Fund invests at least 80% of its net assets in investment-grade corporate debt securities and investments.
Performance Overview
During the six-month period, the Fund posted cumulative total returns of -12.33% based on market price and 12.32% based on net asset value (NAV).1 In comparison, the Bloomberg U.S. Corporate Investment Grade Bond Index, which measures the performance of the investment grade, fixed-rate, taxable corporate bond market, posted a -11.95% cumulative total return for the same period.1 You can find more of the Fund’s performance data in the Performance Summary beginning on page 46.
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 -9.22% total return for the six months ended September 30, 2022.1 High inflation amid a strong labor market led to significantly tighter monetary policy, reducing the value of most bonds. Geopolitical instability disrupted financial markets amid the ongoing war in Ukraine, adding to the uncertainty surrounding the course of the global economy. The yield curve continued to narrow, inverting in the second half of the period as investors became increasingly concerned about the economic outlook.
In an effort to control inflation, the U.S. Federal Reserve (Fed) continued to raise the federal funds target rate. The
Fed raised the federal funds rate at each of its four meetings during the period to end at a range of 3.00%–3.25%. The Fed noted in its September 2022 meeting that inflation remained elevated amid robust job growth and low unemployment. In order to achieve its goal of 2% long-run inflation, the Fed stated it anticipates making additional increases to the federal funds target rate. Furthermore, the Fed indicated it would continue to reduce its U.S. Treasury (UST) and agency mortgage-backed security holdings.
UST bonds, as measured by the Bloomberg U.S. Treasury Index, posted a -7.96% total return for the six-month period.1 The 10-year UST yield (which moves inversely to price) grew amid high inflation and the Fed’s tightening monetary stance. Mortgage-backed securities (MBS), as measured by the Bloomberg U.S. MBS Index, posted a -9.14% total return for the period as mortgage rates rose to the highest level in over a decade.1
Corporate bond prices also declined, constrained by inflation, rising interest rates and concerns about the impact of elevated interest rates on corporate borrowing costs and the wider economy. Corporate yield spreads, a measure of the difference in yields between corporate bonds and similarly-dated USTs, rose, reflecting investors’ increased risk-aversion preferences. In this environment, high-yield corporate bonds, as represented by the Bloomberg U.S. Corporate High Yield Bond Index, posted a -10.41% total return, while investment-grade corporate bonds, as represented by the Bloomberg U.S. Corporate Investment Grade Bond Index, posted a -11.95% total return.1
1. 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 Schedule of Investments (SOI).
The SOI begins on page 127.
franklintempleton.com |
Semiannual Report |
43 |
FRANKLIN INVESTMENT GRADE CORPORATE ETF
Top 10 Sectors/Industries | ||||
9/30/22 | ||||
% of Total Net Assets |
||||
Banks |
23.7% | |||
Electric Utilities |
7.3% | |||
Diversified Financial Services |
4.1% | |||
Health Care Providers & Services |
3.7% | |||
Oil, Gas & Consumable Fuels |
3.3% | |||
Food |
3.2% | |||
Electric |
2.9% | |||
Household Products |
2.9% | |||
Capital Markets |
2.8% | |||
Pharmaceuticals |
2.3% |
Investment Strategy
The Fund invests primarily in U.S. dollar-denominated corporate debt securities issued by U.S. and foreign companies. The Fund may invest in debt securities of any maturity or duration.
The Fund’s focus on the credit quality of its portfolio is intended to reduce credit risk and help to preserve the Fund’s capital. The Fund may also invest a portion of its assets in convertible securities, preferred securities (including preferred stock) and U.S. Treasury securities, and generally expects to invest a portion of its assets in cash, cash equivalents and high-quality money market securities, including short-term U.S. government securities, commercial paper, repurchase agreements and affiliated or unaffiliated money market funds. The Fund may invest up to 40% of its net assets in foreign securities, including those in developing markets, and up to 15% of its net assets in non-U.S. dollar-denominated securities. The Fund may enter into certain derivative transactions to seek to enhance Fund returns, increase liquidity, gain exposure to certain instruments or markets in a more efficient or less expensive way and/or hedge risks associated with its other portfolio investments.
Top 10 Holdings | ||||
9/30/22 | ||||
Issue/Issuer | % of Total Net Assets |
|||
Verizon
Communications Inc., senior bond, |
1.7% | |||
Bank of America Corp., sub. bond, 4.183%, 11/25/27 |
1.5% | |||
Delta Air Lines Inc./SkyMiles IP Ltd., first lien, 144A, 4.50%, 4.50%, 10/20/25 |
1.4% | |||
Wells Fargo & Co., 4.808% to 7/25/27, FRN thereafter, 7/25/28 |
1.4% | |||
Vistra Operations Co. LLC, senior secured note, first lien, 144A, 3.55%, 7/15/24 |
1.3% | |||
BPCE SA, senior note, 144A, 5.70%, 10/22/23 |
1.3% | |||
National
Australia Bank Ltd., sub. note, 144A, |
1.2% | |||
Essex Portfolio LP, senior bond, 2.65%, 3/15/32 |
1.2% | |||
T-Mobile USA Inc., 2.875%, 2/15/31 |
1.2% | |||
The
Procter & Gamble Co., senior bond, |
1.2% |
In choosing investments, we select securities in various market sectors based on our assessment of changing economic, market, industry and issuer conditions. We use a top-down analysis of macroeconomic trends, combined with a bottom-up fundamental analysis of market sectors, industries and issuers, to try to take advantage of varying sector reactions to economic events. The Fund’s portfolio is constructed by taking into account our desired duration and yield curve exposure, total return potential, as well as the appropriate diversification and risk profile at the issue, company and industry level.
Manager’s Discussion
Investment-grade corporate bond absolute performance was negative over the six months under review, because of the combination of much higher U.S. Treasury yields and wider corporate bond credit spreads.
The Fund performed slightly worse than its benchmark for the six months under review. The Fund’s overweight allocation to BBB-rated bonds and its underweight allocation to A-rated bonds detracted from performance during this risk off period in markets. Security selection also detracted from results, led by companies within the energy, communications and banking sectors.
Duration and yield curve positioning were strong contributors to relative performance. On average over the six months, we maintained a duration slightly lower than the benchmark, especially in bonds with shorter maturities given our view that the yield curve would invert due to tighter central bank policy.
44 |
Semiannual Report |
franklintempleton.com |
FRANKLIN INVESTMENT GRADE CORPORATE ETF
Overall industry allocation contributed to results. Our underweight allocation to bonds in the communication sector helped performance, as did our overweight in the electric utility sector. However, an underweight in technology and capital goods companies detracted from performance.
The Fund primarily held cash bonds during the period. The Fund also used interest-rate futures contracts to manage duration exposure. The use of futures had a small impact on total Fund returns.
Thank you for your participation in Franklin Investment Grade Corporate ETF. We look forward to serving your future investment needs.
Marc Kremer, CFA
Shawn Lyons, CFA
Thomas Runkel, CFA
Pururav Thoutireddy, Ph.D.
Portfolio Management Team
The foregoing information reflects our analysis, opinions and portfolio holdings as of September 30, 2022, 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 conditions. 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, country, 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 completeness or accuracy. Although historical performance is no guarantee of future results, these insights may help you understand our investment management philosophy.
franklintempleton.com |
Semiannual Report |
45 |
FRANKLIN INVESTMENT GRADE CORPORATE ETF
Performance Summary as of September 30, 2022
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 performance table does 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 mutual fund shares. Market Price returns typically are based upon the official closing price of the ETF’s shares. 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 (10/5/16), 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 reinvested 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 operating expenses. Capital gain distributions are net profits realized from the sale of portfolio securities.
Performance as of 9/30/221
Cumulative Total Return2 | Average Annual Total Return2 | |||||||||||||||
Based on NAV3 |
Based on market price4 |
Based on NAV3 |
Based on market price4 |
|||||||||||||
6-Month |
-12.32% | -12.33% | -12.32% | -12.33% | ||||||||||||
1-Year |
-19.01% | -18.81% | -19.01% | -18.81% | ||||||||||||
5-Year |
-1.57% | -1.86% | -0.31% | -0.38% | ||||||||||||
Since Inception (10/3/16) |
+0.28% | +0.22% | +0.05% | +0.04% |
Distribution Rate5 | 30-Day Standardized Yield6 | |||||||
4.27% |
5.05% |
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 47 for Performance Summary footnotes.
46 |
Semiannual Report |
franklintempleton.com |
FRANKLIN INVESTMENT GRADE CORPORATE ETF
PERFORMANCE SUMMARY
Distributions (4/1/22–9/30/22)
Net
Investment Income |
$0.409714 |
Total Annual Operating Expenses7
0.35% |
All investments involve risks, including possible loss of principal. Bond prices generally move in the opposite direction of interest rates. Thus, as the prices of bonds in the Fund adjust to a rise in interest rates, the Fund’s share price may decline. Distributions to shareholders may decline when prevailing interest rates fall or when the Fund experiences defaults on debt securities it holds. Changes in the financial strength of a bond issuer or in a bond’s credit rating may affect its value. The Fund’s investments in foreign securities involve certain risks including currency fluctuations, and economic and political uncertainties. Investments in developing markets involve heightened risks related to the same factors, in addition to those associated with their relatively small size and lesser liquidity. Investing in derivative securities and the use of foreign currency techniques involve special risks as such may not achieve the anticipated benefits and/or may result in losses to the Fund. The manager’s portfolio selection strategy is not solely based on ESG considerations, and therefore the issuers in which the Fund invests may not be considered ESG-focused companies. Integrating ESG considerations into the investment process is not a guarantee that better performance will be achieved. 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 description of the main investment risks.
Russia’s military invasion of Ukraine in February 2022, the resulting responses by the United States and other countries, and the potential for wider conflict could increase volatility and uncertainty in the financial markets and adversely affect regional and global economies. The United States and other countries have imposed broad-ranging economic sanctions on Russia and certain Russian individuals, banking entities and corporations as a response to its invasion of Ukraine. The United States and other countries have also imposed economic sanctions on Belarus and may impose sanctions on other countries that support Russia’s military invasion. These sanctions, as well as any other economic consequences related to the invasion, such as additional sanctions, boycotts or changes in consumer or purchaser preferences or cyberattacks on governments, companies or individuals, may further decrease the value and liquidity of certain Russian securities and securities of issuers in other countries that are subject to economic sanctions related to the invasion.
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 total annual operating expenses are sourced from the Fund’s prospectus available at the time of publication. Actual expenses may be higher and may impact portfolio returns.
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 September dividend and the NAV per share on 9/30/22.
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 as stated in the Fund’s current prospectus and may differ from the expense ratios disclosed in the Your Fund’s Expenses and Financial Highlights sections in this report.
See www.franklintempletondatasources.com for additional data provider information.
franklintempleton.com |
Semiannual Report |
47 |
FRANKLIN INVESTMENT GRADE CORPORATE ETF
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 investment 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 “Ending 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 × $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, compare 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.
Actual (actual return after expenses) |
Hypothetical (5% annual return before expenses) |
|||||||||||||||||||||
Beginning Account Value 4/1/22 |
Ending Account Value 9/30/22 |
Expenses Paid During 4/1/22–9/30/221 |
Ending Account Value 9/30/22 |
Expenses Paid During 4/1/22–9/30/221 |
Net Annualized Expense Ratio |
|||||||||||||||||
$1,000.00 | $ | 876.80 | $ | 1.65 | $ | 1,023.31 | $ | 1.78 | 0.35 | % |
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.
48 |
Semiannual Report |
franklintempleton.com |
Franklin Municipal Green Bond ETF
Formerly, Franklin Liberty Federal Tax-Free Bond ETF
This semiannual report for Franklin Municipal Green Bond ETF covers the period ended September 30, 2022.
Your Fund’s Goal and Main Investments
The Fund seeks to provide a high level of current income that is exempt from federal income taxes, including the federal alternative minimum tax, by normally investing at least 80% of its net assets in municipal securities that pay interest free from such taxes.1 In addition, the Fund invests at least 80% of its net assets in municipal green bonds. Municipal “green bonds” are bonds that promote environmental sustainability. The Fund buys predominately municipal securities rated, at the time of purchase, in one of the top four ratings categories by one or more U.S. nationally recognized rating services (or comparable unrated or short-term rated securities).
Performance Overview
During the six-month period, the Fund posted cumulative total returns of -9.38% based on market price and -9.22% based on net asset value (NAV). In comparison, the Bloomberg Municipal Bond Index, which is a market value-weighted index of tax-exempt, investment-grade bonds with maturities of one year or more, posted a -6.30% 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 51.
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.
Municipal Bond Market Overview
During the six months ending September 30, 2022, multi-decade high inflation persisted throughout much of the period as a strong U.S. job market and ample consumer savings pushed demand beyond the ability of businesses to increase supply. In response, the U.S. Federal Reserve (Fed) continued to raise short-term interest rates at a rapid pace, leading U.S. Treasury (UST) yields to rise sharply.
Recessionary concerns grew as the market lowered its confidence in the Fed’s ability to engineer a soft landing that would bring inflation down without causing a severe economic contraction.
Following one of the worst starts to a new year in 2022, the municipal bond (muni) market continued to perform poorly. High levels of fixed income market volatility, a general risk-off shift in sentiment, and poor performance pushed year-to-date outflows from muni retail vehicles ever higher, leading market technical conditions to further deteriorate. So far this year, net issuance has remained light, lagging well behind historic norms. Fundamentals remained strong, however, with many issuers reporting surpluses for 2022 as federal government transfers bolstered revenues.
For the six-month period, U.S. fixed income sectors performed better relative to equities, as measured by the Standard & Poor’s 500 Index, which posted a -20.20% total return for the period.2 Investment-grade munis, as measured by the Bloomberg Municipal Bond Index, posted a -6.30% total return, and USTs, as measured by the Bloomberg U.S. Treasury Index, posted a -7.96% total return.2 Investment-grade corporate bonds, as measured by the Bloomberg U.S. Corporate Bond Index, posted a -11.95% total return.2
Investment Strategy
We select securities that we believe will provide the best balance between risk and return within the Fund’s range of allowable investments and we typically invest with a long-term time horizon. This means we generally hold securities in the Fund’s portfolio for income purposes, although we may sell a security at any time if we believe it could help the Fund meet its goal. With a focus on income, individual securities are considered for purchase or sale based on various factors and considerations, including credit profile, risk, structure, pricing, portfolio impact, duration management, restructuring, opportunistic trading and tax loss harvesting opportunities. The Fund is an actively managed exchange-traded fund (ETF) that does not seek to replicate the performance of a specified index.
1. Dividends are generally subject to state and local taxes, if any. For investors subject to alternative minimum tax, a small portion of Fund dividends may be taxable. Distributions of capital gains are generally taxable. To avoid imposition of 28% backup withholding on all Fund distributions and redemption proceeds, U.S. investors must be properly certified on Form W-9 and non-U.S. investors on Form W-8BEN.
2. Source: Morningstar. Treasuries, if held to maturity, offer a fixed rate of return and a fixed principal value; their interest payments and principal are guaranteed.
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 Schedule of Investments (SOI). The SOI begins on page 135.
franklintempleton.com |
Semiannual Report |
49 |
FRANKLIN MUNICIPAL GREEN BOND ETF
Portfolio Composition | ||||
9/30/22 | ||||
% of Total Investments |
||||
Utilities |
18.21% | |||
Lease |
12.29% | |||
Special Tax |
12.12% | |||
Transportation |
10.10% | |||
Industrial
Development Revenue and |
9.49% | |||
Health Care |
9.37% | |||
Education |
8.39% | |||
Local |
7.29% | |||
Housing |
5.86% | |||
Other |
5.46% | |||
State |
0.70% | |||
Cash |
0.54% | |||
Refunded |
0.16% |
Manager’s Discussion
During the six-month period, the portfolio management team invested across the investment-grade quality spectrum to achieve our objective of maximizing income for our investors. As credit spreads within investment grade fluctuate, we will continue to seek the best opportunities in higher and lower quality securities. The yield curve flattened significantly over the reporting period, and the team focused on yield curve positioning in an effort to help our investors achieve high levels of tax-free income over the long term.
Thank you for your participation in Franklin Municipal Green Bond ETF. We look forward to serving your future investment needs.
The foregoing information reflects our analysis, opinions and portfolio holdings as of September 30, 2022, 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 conditions. 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, country, 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 completeness or accuracy. Although historical performance is no guarantee of future results, these insights may help you understand our investment management philosophy.
50 |
Semiannual Report |
franklintempleton.com |
FRANKLIN MUNICIPAL GREEN BOND ETF
Performance Summary as of September 30, 2022
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 performance table does 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 mutual fund shares. Market Price returns typically are based upon the official closing price of the ETF’s shares. 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 (9/5/17), 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 reinvested 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 operating expenses. Capital gain distributions are net profits realized from the sale of portfolio securities.
Performance as of 9/30/221
Cumulative Total Return2 | Average Annual Total Return2 | |||||||||||||||
Based on NAV3 |
Based on market price4 |
Based on NAV3 |
Based on market price4 |
|||||||||||||
6-Month |
-9.22% | -9.38% | -9.22% | -9.38% | ||||||||||||
1-Year |
-15.37% | -15.55% | -15.37% | -15.55% | ||||||||||||
5-Year |
+0.75% | +0.40% | +0.15% | +0.08% | ||||||||||||
Since Inception (8/31/17) |
+0.23% | +0.09% | +0.05% | +0.02% |
30-Day Standardized Yield6 | Taxable Equivalent 30-Day Standardized Yield7 |
|||||||||||||||
Distribution Rate5 | (with fee waiver) | (without fee waiver) | (with fee waiver) | (without fee waiver) | ||||||||||||
3.22% |
3.56% | 3.18% | 6.01% | 5.37% |
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 52 for Performance Summary footnotes.
franklintempleton.com |
Semiannual Report |
51 |
FRANKLIN MUNICIPAL GREEN BOND ETF
PERFORMANCE SUMMARY
Distributions (4/1/22–9/30/22)
Net
Investment Income |
$0.315965 |
Total Annual Operating Expenses8
With Fee Waiver | Without Fee Waiver | |||
0.30% |
0.66% |
All investments involve risks, including possible loss of principal. Because municipal bonds are sensitive to interest-rate movements, the Fund’s yield and share price will fluctuate with market conditions. Bond prices generally move in the opposite direction of interest rates. Thus, as prices of bonds in the Fund adjust to a rise in interest rates, the Fund’s share price may decline. The Fund may invest in lower rated bonds which include higher risk of default and loss of principal. Changes in the credit rating of a bond, or in the credit rating or financial strength of a bond’s issuer, insurer or guarantor, may affect the bond’s value. Some sectors might be more likely to issue green bonds, and events or factors impacting these sectors may have a greater effect on, and may more adversely affect, the Fund than they would a fund that does not invest in issuers with a common purpose. In addition, green bonds selected by the investment manager may not result in direct environmental benefits. Green bonds may not result in direct environmental benefits and the issuer may not use proceeds as intended or to appropriate new or additional projects. The managers’ environmental social and governance (ESG) investment strategies may limit the types and number of investment opportunities available and, as a result, may underperform strategies that are not subject to such criteria. ESG factors or criteria are subjective and qualitative, and the analysis by the manager may not always accurately assess ESG practices of a security or issuer, or reflect the opinions of other investors or advisors. The Fund may invest a significant part of its assets in municipal securities that finance similar types of projects, such as utilities, hospitals, higher education and transportation. A change that affects one project would likely affect all similar projects, thereby increasing market risk. To the extent such a change impacts sectors more likely to issue green bonds, it may have a greater adverse effect on the Fund because the Fund focuses investments in green bonds. 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 description of the main investment risks.
Russia’s military invasion of Ukraine in February 2022, the resulting responses by the United States and other countries, and the potential for wider conflict could increase volatility and uncertainty in the financial markets and adversely affect regional and global economies. The United States and other countries have imposed broad-ranging economic sanctions on Russia and certain Russian individuals, banking entities and corporations as a response to its invasion of Ukraine. The United States and other countries have also imposed economic sanctions on Belarus and may impose sanctions on other countries that support Russia’s military invasion. These sanctions, as well as any other economic consequences related to the invasion, such as additional sanctions, boycotts or changes in consumer or purchaser preferences or cyberattacks on governments, companies or individuals, may further decrease the value and liquidity of certain Russian securities and securities of issuers in other countries that are subject to economic sanctions related to the invasion.
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. Gross expenses are the Fund’s total annual operating expenses and are sourced from the Fund’s prospectus available at the time of publication. Actual expenses may be higher and may impact portfolio returns. Net expenses reflect contractual fee waivers, expense caps and/or reimbursements, which cannot be terminated prior to 7/31/23 without Board consent.
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 September dividend and the NAV per share on 9/30/22.
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. Taxable equivalent yield assumes the 2022 maximum federal income tax rate of 37.00% plus 3.80% Medicare tax.
8. Figures are as stated in the Fund’s current prospectus and may differ from the expense ratios disclosed in the Your Fund’s Expenses and Financial Highlights sections in this report.
See www.franklintempletondatasources.com for additional data provider information.
52 |
Semiannual Report |
franklintempleton.com |
FRANKLIN MUNICIPAL GREEN BOND ETF
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 investment 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 “Ending 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 × $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, compare 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.
Actual (actual return after expenses) |
Hypothetical (5% annual return before expenses) |
|||||||||||||||||||||
Beginning Account Value 4/1/22 |
Ending Account Value 9/30/22 |
Expenses Paid During Period 4/1/22–9/30/221 |
Ending Account Value 9/30/22 |
Expenses Period |
Net Annualized Expense Ratio |
|||||||||||||||||
$1,000.00 | $ | 907.80 | $ | 1.43 | $ | 1,023.56 | $ | 1.52 | 0.30 | % |
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.
franklintempleton.com |
Semiannual Report |
53 |
Formerly, Franklin Liberty Senior Loan ETF
This semiannual report for Franklin Senior Loan ETF covers the period ended September 30, 2022.
Your Fund’s Goal and Main Investments
The Fund seeks to provide a high level of current income. A secondary goal is preservation of capital. The Fund normally invests at least 80% of its net assets in senior loans and investments that provide exposure to senior loans. Senior loans include loans referred to as leveraged loans, bank loans and/or floating rate loans
Performance Overview
During the six-month period, the Fund posted cumulative total returns of -4.49% based on market price and -4.07% based on net asset value (NAV). In comparison, the Fund’s benchmark, the S&P/LSTA U.S. Leveraged Loan 100 Index, which reflects the performance of the largest facilities in the leveraged loan market, posted a -4.08% cumulative total return for the same period.1 You can find more of the Fund’s performance data in the Performance Summary beginning on page 57.
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 -9.22% total return for the six months ended September 30, 2022.2 High inflation amid a strong labor market led to significantly tighter monetary policy, reducing the value of most bonds. Geopolitical instability disrupted financial markets amid the ongoing war in Ukraine, adding to the uncertainty surrounding the course of the global economy. The yield curve continued to narrow, inverting in the second half of the period as investors became increasingly concerned about the economic outlook.
In an effort to control inflation, the U.S. Federal Reserve (Fed) continued to raise the federal funds target rate. The Fed raised the federal funds rate at each of its four meetings during the period to end at a range of 3.00%–3.25%. The Fed noted in its September 2022 meeting that inflation remained elevated amid robust job growth and low unemployment. In order to achieve its goal of 2% long-run inflation, the Fed stated it anticipates making additional increases to the federal funds target rate. Furthermore, the Fed indicated it would continue to reduce its U.S. Treasury (UST) and agency mortgage-backed security holdings.
UST bonds, as measured by the Bloomberg U.S. Treasury Index, posted a -7.96% total return for the six-month period.2 The 10-year UST yield (which moves inversely to price) grew amid high inflation and the Fed’s tightening monetary stance. Mortgage-backed securities (MBS), as measured by the Bloomberg U.S. MBS Index, posted a -9.14% total return for the period as mortgage rates rose to the highest level in over a decade.2
Corporate bond prices also declined, constrained by inflation, rising interest rates and concerns about the impact of elevated interest rates on corporate borrowing costs and the wider economy. Corporate yield spreads, a measure of the difference in yields between corporate bonds and similarly-dated USTs, rose, reflecting investors’ increased risk-aversion preferences. In this environment, high-yield corporate bonds, as represented by the Bloomberg U.S. Corporate High Yield Bond Index, posted a -10.41% total return, while investment-grade corporate bonds, as represented by the Bloomberg U.S. Corporate Bond Index, posted a -11.95% total return.2
Portfolio Composition | ||||
9/30/22 | ||||
% of Total Net Assets |
||||
Senior Floating Rate Interests | 88.1% | |||
Corporate Bonds & Notes | 3.0% | |||
Asset-Backed Securities | 0.9% | |||
Short-Term Investments & Other Net Assets | 8.0% |
1. Source: FactSet.
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.
2. Source: Morningstar.
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 Schedule of Investments (SOI).
The SOI begins on page 143.
54 |
Semiannual Report |
franklintempleton.com |
FRANKLIN SENIOR LOAN ETF
Top 10 Sectors/Industries | ||||
9/30/22 | ||||
% of Total Net Assets |
||||
Software | 14.7% | |||
Media | 7.9% | |||
Commercial Services & Supplies | 7.1% | |||
Health Care Providers & Services | 6.6% | |||
Airlines | 4.3% | |||
Chemicals | 3.7% | |||
IT Services | 3.5% | |||
Pharmaceuticals | 3.4% | |||
Diversified Financial Services | 2.5% | |||
Insurance | 2.3% |
Investment Strategy
The Fund invests predominantly in income-producing senior floating interest-rate corporate loans made to or issued by U.S. companies, non-U.S. entities and U.S. subsidiaries of non-U.S. entities. Floating interest rates vary with and are periodically adjusted to a generally recognized base interest rate such as the London Interbank Offered Rate (LIBOR) or the Prime Rate. The Fund may invest in companies whose financial condition is troubled or uncertain and that may be involved in bankruptcy proceedings, reorganizations or financial restructurings.
Senior loans generally have credit ratings below investment grade and may be subject to restrictions on resale. Under normal market conditions, the Fund invests at least 75% of its net assets in senior loans that are rated B- or higher at the time of purchase by a nationally recognized statistical rating organization (NRSRO) or, if unrated, are determined to be of comparable quality by the Fund’s investment manager. Under normal market conditions, the Fund may invest up to 25% of its net assets in senior loans that are rated below B-by an NRSRO or, if unrated, are determined to be of comparable quality by the investment manager.
Manager’s Discussion
The loan market experienced meaningful price declines during the six-month period as the U.S. Federal Reserve (Fed) signaled its commitment to tackling inflation with aggressive tightening. While loan prices had previously benefited from expectations of a gradual rising rate environment, the new pace of rate hikes was expected to slow economic growth and potentially affect the debt servicing ability of certain issuers. Technical conditions, which had been supportive of loan prices in the prior period, turned negative as loan retail
vehicles experienced outflows. Additionally, primary market activity was subdued amid weaker demand. Sentiment concerning fundamental conditions also worsened, as credit rating downgrades outpaced upgrades.
During the period, the Fund performed in line with its primary benchmark, the Morningstar LSTA U.S. Leveraged Loan 100 Index. Amid greater dispersion in loan prices based on credit quality, the Fund’s underweight in upper tier loans (BB-rated) detracted from performance, but its underweight and selection in lower tier loans contributed to performance. Upper tier loans in the index returned -0.79%, middle tier loans (B-rated) returned -4.10%, and lower-tier loans returned -53.31%. As of September 30, 2022, the Fund had approximately 15% of its loan portfolio in the upper tier and 72% in the middle tier, compared to the index, which had 34% in the upper tier and 65% in the middle tier. The Fund maintained an overweight weighting in lower tier loans for most of the period but ended the period at 0.9% (compared to the benchmark weighting of 0.7%), as lower rated constituents fell out of the index. The Fund’s loan selection among lower rated loans positively contributed to relative performance as it did not have exposure to larger benchmark names that experienced meaningful declines.
The top individual contributors to Fund performance included issuers that continued to see rebounds from pandemic-related declines, in addition to issuers that were perceived to be more insulated from a potential economic slowdown due to higher rates. American Airlines (a global airline operator) traded higher from discounted levels due to a continued recovery in travel volumes, which raised expectations that the company would be able to reduce debt. The top detractors from performance primarily included issuers that had traded lower due to operational challenges or the expectation that rising rates would negatively impact interest coverage. Goto Group (a provider of workplace communication software) was the top detractor after reporting continued revenue declines for a core segment and a weak outlook for the rest of the year. The second lien term loans of Asurion (a provider of wireless handset insurance services) also declined amid weaker demand for lower rated loans during the period.
franklintempleton.com |
Semiannual Report |
55 |
FRANKLIN SENIOR LOAN ETF
Top 10 Holdings | ||||
9/30/22 | ||||
Company Sector/Industry |
% of Total Net Assets |
|||
Federal Home Loan Bank Discount Notes, 10/3/2022 |
7.3% | |||
Verscend
Holding Corp., FRN thereafter, IT Services |
1.6% | |||
Greeneden U.S. Holdings II LLC, FRN thereafter, 7.115%, 12/1/2027 Technology Hardware, Storage & Peripherals |
1.5% | |||
Navicure
Inc., FRN thereafter, 7.115%, 10/22/2026 Software |
1.4% | |||
eResearchTechnology
Inc., FRN thereafter, Pharmaceuticals |
1.4% | |||
Peraton
Corp., FRN thereafter, 6.865%, 2/1/2028 Aerospace & Defense |
1.3% | |||
Gainwell
Acquisition Corp., FRN thereafter, Health Care Providers & Services |
1.3% | |||
Hyland
Software Inc., FRN thereafter, Software |
1.2% | |||
Deerfield Dakota Holding LLC, FRN thereafter, 6.797%, 4/9/2027 IT Services |
1.3% | |||
Polaris Newco LLC, FRN thereafter, 7.674%, 6/2/2028 Software |
1.2% |
Thank you for your participation in Franklin Senior Loan ETF. We look forward to serving your future investment needs.
Reema Agarwal, CFA
Co-Lead Portfolio Manager
Justin Ma, CFA
Co-Lead Portfolio Manager
Margaret Chiu, CFA
Portfolio Manger
The foregoing information reflects our analysis, opinions and portfolio holdings as of September 30, 2022, 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 conditions. 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, country, 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 completeness or accuracy. Although historical performance is no guarantee of future results, these insights may help you understand our investment management philosophy.
56 |
Semiannual Report |
franklintempleton.com |
FRANKLIN SENIOR LOAN ETF
Performance Summary as of September 30, 2022
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 performance table does 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 mutual fund shares. Market Price returns typically are based upon the official closing price of the ETF’s shares. 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 (6/1/18), 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 reinvested 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 operating expenses. Capital gain distributions are net profits realized from the sale of portfolio securities.
Performance as of 9/30/221
Cumulative Total Return2 | Average Annual Total Return2 | |||||||||||||||
Based on NAV3 |
Based on market price4 |
Based on NAV3 |
Based on market price4 |
|||||||||||||
6-Month |
-4.07% | -4.49% | -4.07% | -4.49% | ||||||||||||
1-Year |
-3.66% | -4.39% | -3.66% | -4.39% | ||||||||||||
3-Year |
+3.25% | +2.25% | +1.07% | +0.75% | ||||||||||||
Since Inception (5/30/18) |
+8.57% | +7.98% | +1.91% | +1.79% |
Distribution Rate5 | 30-Day Standardized Yield6 | |||
6.37% |
5.55% |
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 58 for Performance Summary footnotes.
franklintempleton.com |
Semiannual Report |
57 |
FRANKLIN SENIOR LOAN ETF
PERFORMANCE SUMMARY
Distributions (4/1/22–9/30/22)
Net
Investment Income |
$0.576117 |
Total Annual Operating Expenses7
0.45% |
All investments involve risks, including possible loss of principal. Investors should be aware that the Fund’s share price and yield will fluctuate with market conditions. The senior loans and debt securities in which the Fund invests tend to be rated below investment grade. Investing in higher-yielding, lower-rated, senior loans and debt securities involves greater risk of default, which could result in loss of principal-a risk that may be heightened in a slowing economy. Interest earned on senior loans varies with changes in prevailing interest rates. Therefore, while senior loans offer higher interest income when interest rates rise, they will also generate less income when interest rates decline. Changes in the financial strength of a bond issuer or in a bond’s credit rating may affect its value. The markets for particular securities or types of securities are or may become relatively illiquid. Reduced liquidity will have an adverse impact on the security’s value and on the Fund’s ability to sell such securities when necessary to meet the Fund’s liquidity needs or in response to a specific market event. The manager’s portfolio selection strategy is not solely based on ESG considerations, and therefore the issuers in which the Fund invests may not be considered ESG-focused companies. Integrating ESG considerations into the investment process is not a guarantee that better performance will be achieved. 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 description of the main investment risks.
Russia’s military invasion of Ukraine in February 2022, the resulting responses by the United States and other countries, and the potential for wider conflict could increase volatility and uncertainty in the financial markets and adversely affect regional and global economies. The United States and other countries have imposed broad-ranging economic sanctions on Russia and certain Russian individuals, banking entities and corporations as a response to its invasion of Ukraine. The United States and other countries have also imposed economic sanctions on Belarus and may impose sanctions on other countries that support Russia’s military invasion. These sanctions, as well as any other economic consequences related to the invasion, such as additional sanctions, boycotts or changes in consumer or purchaser preferences or cyberattacks on governments, companies or individuals, may further decrease the value and liquidity of certain Russian securities and securities of issuers in other countries that are subject to economic sanctions related to the invasion.
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 total annual operating expenses are sourced from the Fund’s prospectus available at the time of publication. Actual expenses may be higher and may impact portfolio returns.
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 September dividend and the NAV per share on 9/30/22.
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 as stated in the Fund’s current prospectus and may differ from the expense ratios disclosed in the Your Fund’s Expenses and Financial Highlights sections in this report.
See www.franklintempletondatasources.com for additional data provider information.
58 |
Semiannual Report |
franklintempleton.com |
FRANKLIN SENIOR LOAN ETF
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 investment 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 “Ending 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 × $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, compare 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.
Actual (actual return after expenses) |
Hypothetical (5% annual return before expenses) |
|||||||||||||||||||||
Beginning Account Value 4/1/22 |
Ending Account Value 9/30/22 |
Expenses Paid During Period 4/1/22–9/30/221 |
Ending Account Value 9/30/22 |
Expenses Paid During Period 4/1/22–9/30/221 |
Net Annualized Expense Ratio |
|||||||||||||||||
$1,000.00 | $ | 959.30 | $ | 2.26 | $ | 1,022.76 | $ | 2.33 | 0.46 | % |
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.
franklintempleton.com |
Semiannual Report |
59 |
Franklin Systematic Style Premia ETF
Formerly, Franklin Liberty Systematic Style Premia ETF
This semiannual report for Franklin Systematic Style Premia ETF covers the period ended September 30, 2022.
Your Fund’s Goal and Main Investments
The Fund seeks to provide absolute return. The Fund seeks to achieve its investment goal by allocating its assets across two underlying alternative investment strategies, which represent top-down and bottom-up approaches to capturing factor-based risk premia. The strategies consist of a top-down risk premia strategy and a bottom-up long/short equity strategy.
Performance Overview
During the six-month the Fund posted cumulative total returns of +1.13% based on market price and +1.13% based on net asset value (NAV). In comparison, the ICE BofA U.S.
3-Month Treasury Bill Index, which tracks the performance of short-term U.S. government securities with a remaining term to final maturity of less than three months, posted a +0.57% cumulative total return for the same period.1 You can find more of the Fund’s performance data in the Performance Summary beginning on page 63.
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 -9.22% total return for the six months ended September 30, 2022.1 High inflation amid a strong labor market led to significantly tighter monetary policy, reducing the value of most bonds. Geopolitical instability disrupted financial markets amid the ongoing war in Ukraine, adding to the uncertainty surrounding the course of the global economy. The yield curve continued to narrow, inverting in the second half of the period as investors became increasingly concerned about the economic outlook.
In an effort to control inflation, the U.S. Federal Reserve (Fed) continued to raise the federal funds target rate. The Fed raised the federal funds rate at each of its four meetings during the period to end at a range of 3.00%–3.25%. The Fed noted in its September 2022 meeting that inflation remained elevated amid robust job growth and low unemployment. In order to achieve its goal of 2% long-run inflation, the Fed stated it anticipates making additional increases to the federal funds target rate. Furthermore, the Fed indicated it would continue to reduce its U.S. Treasury (UST) and agency mortgage-backed security holdings.
UST bonds, as measured by the Bloomberg U.S. Treasury Index, posted a -7.96% total return for the six-month period.1 The 10-year UST yield (which moves inversely to price) grew amid high inflation and the Fed’s tightening monetary stance. Mortgage-backed securities (MBS), as measured by the Bloomberg U.S. MBS Index, posted a -9.14% total return for the period as mortgage rates rose to the highest level in over a decade.1
Corporate bond prices also declined, constrained by inflation, rising interest rates and concerns about the impact of elevated interest rates on corporate borrowing costs and the wider economy. Corporate yield spreads, a measure of the difference in yields between corporate bonds and similarly-dated USTs, rose, reflecting investors’ increased risk-aversion preferences. In this environment, high-yield corporate bonds, as represented by the Bloomberg U.S. Corporate High Yield Bond Index, posted a -10.41% total return, while investment-grade corporate bonds, as represented by the Bloomberg U.S. Corporate Bond Index, posted a -11.95% total return.1
Portfolio Composition | ||||
9/30/22 | ||||
% of Total Net Assets |
||||
Common Stocks |
50.9% | |||
Preferred Stock |
0.1% | |||
Other Net Assets |
49.0% |
1. 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 Schedule of Investments (SOI). The SOI begins on page 152.
60 | Semiannual Report | franklintempleton.com |
FRANKLIN SYSTEMATIC STYLE PREMIA ETF
Top 10 Sectors/Industries | ||||
9/30/22 | ||||
% of Total Net Assets |
||||
Software |
3.6% | |||
Semiconductors & Semiconductor Equipment |
3.5% | |||
Oil, Gas & Consumable Fuels |
3.3% | |||
Biotechnology |
3.3% | |||
Insurance |
2.5% | |||
Specialty Retail |
2.5% | |||
Interactive Media & Services |
2.5% | |||
IT Services |
2.0% | |||
Capital Markets |
1.9% | |||
Hotels, Restaurants & Leisure |
1.8% |
Investment Strategy
The Fund’s top-down risk premia strategy focuses on value, momentum and carry factors in taking both long and short positions across equity, fixed income, commodity and currency asset classes.
The Fund’s bottom-up long/short equity strategy focuses on quality, value and momentum factors in determining whether to hold long or short positions in individual equity securities. Long/short equity strategies generally seek to produce returns from investments in the equity markets by taking long and short positions in stocks and stock indices (through the use of derivatives or through a short position in an exchange-traded fund). Long positions benefit from an increase in the price of the underlying instrument, while short positions benefit from a decrease in that price.
Under normal market conditions, the top-down risk premia strategy invests primarily in equity, interest rate/bond and commodity index futures; equity and commodity-linked total return swaps; and currency forwards. Under normal market conditions, the bottom-up long/short equity strategy invests primarily in equity securities and equity total return swaps, with equity total return swaps being used to obtain short exposures.
Under normal market conditions, we seek to allocate assets between the two factor-based risk premia alternative investment strategies described above according to each strategy’s estimated risk, as measured by historical returns-based risk models. The allocation to each strategy is driven by the estimated risk contribution of each individual strategy to the Fund’s overall investment strategy, which the investment manager seeks to keep within certain pre-determined bounds.
Through the two strategies, we invest the Fund’s assets based on a systematic investment process for securities selection and asset allocation by utilizing quantitative models. By employing these two approaches, we seek to provide positive absolute return over time while maintaining a relatively low correlation with traditional markets. The exposure to individual factors may vary based on the market opportunity of the individual factors.
The Fund may use derivatives for both hedging and non-hedging (investment) purposes. The Fund’s derivative investments may include, among other instruments: (i) futures contracts, including futures on equity, interest rate/bond and commodity indices; (ii) swaps, including equity and commodity-linked total return swaps; and (iii) currency forward contracts. These derivatives may be used to enhance Fund returns, increase liquidity, gain long or short exposure to certain instruments, markets or factors in a more efficient or less expensive way and/or hedge risks associated with its other portfolio investments. The results of such transactions are expected to represent a material component of the Fund’s investment returns.
Top 10 Long Positions | ||||
9/30/22 | ||||
Company Sector/Industry, Country |
% of Total Net Assets |
|||
Microsoft Corp. Software, United States |
1.6% | |||
Alphabet
Inc., C Interactive Media & Services, United States |
1.1% | |||
Meta
Platforms Inc., A Interactive Media & Services, United States |
0.9% | |||
McDonald’s Corp. Hotels, Restaurants & Leisure, United States |
0.8% | |||
Texas
Instruments Inc. Semiconductors & Semiconductor Equipment, United States |
0.8% | |||
The Home
Depot Inc. Specialty Retail, United States |
0.8% | |||
Lowe’s
Cos Inc. Specialty Retail, United States |
0.8% | |||
Broadcom
Inc. Semiconductors & Semiconductor Equipment, United States |
0.8% | |||
AbbVie
Inc. Biotechnology, United States |
0.7% | |||
Cigna
Corp. Health Care Providers & Services, United States |
0.7% |
Manager’s Discussion
During the six months ended September 30, 2022, the Fund’s foreign currency macro strategy, a net long U.S.
franklintempleton.com |
Semiannual Report |
61 |
FRANKLIN SYSTEMATIC STYLE PREMIA ETF
dollar position against foreign currencies—which accounted for more than one-third of the Fund’s weighting, on average, during the period—and short government fixed income futures positioning drove positive performance. The long/short single equities strategy also bolstered absolute returns during a period of significant drawdown for equity markets, as contribution from short positioning outweighed detraction from long positioning. In contrast, commodities strategies weighed on returns.
The foreign currency macro strategy had positive results during the period. Value, carry and momentum factors all performed well. Short positioning in the Israeli shekel was a key contributor, owing to our foreign currency carry and value factors. Long positioning in the South African rand partially offset the asset class’s gains.
The Fund’s fixed income positioning also contributed significantly. Our fixed income macro strategies had a positive impact, as short positions in U.S. Treasuries, Gilts and Canadian government bonds, together with long positions in German bunds, contributed more to performance than the detraction from long positions in French, Italian and Australian bonds.
In our long/short single stock equities component, the momentum and quality factors bolstered performance. Our portfolio was long lower volatility stocks and short higher volatility stocks, which also aided performance. In capital terms, the portfolio was net long, and this detracted from performance as well.
Our real estate holdings also detracted, with broad-based losses across the bulk of the portfolio as interest and mortgage rates rose.
The macro equity index futures strategy weighed on performance, as long positions in Canadian, Australian and Japanese indexes (combining value, carry and momentum factors) detracted. Shorts in Mexico, India, the United States and Sweden partially offset the losses.
Commodities strategies detracted from returns, as oil prices fell sharply, and commodities prices broadly declined. Our trend-following strategy was a significant detractor, while our value, carry, and momentum factors were relatively stable.
Top 10 Short Holdings | ||||
9/30/22 | ||||
Company Sector/Industry, Country |
% of Total Value of Underlying Entity |
|||
Netflix
Inc, Media & Entertainment, United States |
1.5% | |||
PayPal Holdings
Inc. Software & Services, United States |
1.4% | |||
Toyota Motor
Corp. Automobiles & Components, Japan |
1.4% | |||
Zoetis
Inc. Pharmaceuticals, Biotechnology & Life Sciences, United States |
1.4% | |||
AIA Group
Ltd. Insurance, Hong Kong |
1.4% | |||
Enbridge
Inc. Energy, Canada |
1.4% | |||
Medtronic
PLC Health Care Equipment & Services, United States |
1.4% | |||
Tesla
Inc. Automobiles & Components, United States |
1.3% | |||
Target
Corp. Retailing, United States |
1.3% | |||
Intuitive
Surgical Inc. Health Care Equipment & Services, United States |
1.3% |
Thank you for your participation in Franklin Systematic Style Premia ETF. We look forward to serving your future investment needs.
Chandra Seethamraju, Ph.D.
Lead Portfolio Manager
Sundaram Chettiappan, CFA
Vaneet Chadha, CFA
Portfolio Management Team
The foregoing information reflects our analysis, opinions and portfolio holdings as of September 30, 2022, 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 conditions. 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, country, 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 completeness or accuracy. Although historical performance is no guarantee of future results, these insights may help you understand our investment management philosophy.
62 |
Semiannual Report |
franklintempleton.com |
FRANKLIN SYSTEMATIC STYLE PREMIA ETF
Performance Summary as of September 30, 2022
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 performance table does 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 mutual fund shares. Market Price returns typically are based upon the official closing price of the ETF’s shares. 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 (12/20/19), 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 reinvested 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 operating expenses. Capital gain distributions are net profits realized from the sale of portfolio securities.
Performance as of 9/30/221
Cumulative Total Return2 | Average Annual Total Return2 | |||||||||||||||
Based on NAV3 |
Based on market price4 |
Based on NAV3 |
Based on market price4 |
|||||||||||||
6-Month |
+1.13% | +1.13% | +1.13% | +1.13% | ||||||||||||
1-Year |
+5.59% | +5.15% | +5.59% | +5.15% | ||||||||||||
Since Inception (12/18/19) |
-5.82% | -6.15% | -2.13% | -2.25% |
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 64 for Performance Summary footnotes.
franklintempleton.com |
Semiannual Report |
63 |
FRANKLIN SYSTEMATIC STYLE PREMIA ETF
Total Annual Operating Expenses5
0.65% |
All investments involve risks, including possible loss of principal. Stock prices fluctuate, sometimes rapidly and dramatically, due to factors affecting individual companies, particular industries or sectors, or general market conditions. The Fund is actively managed and could experience losses if the manager’s judgment about particular investments, or its evaluation of the risks, potential returns and correlation properties of the various risk premia in which the Fund invests, prove to be incorrect. The manager’s allocation of Fund assets among different strategies, asset classes and investments may not prove beneficial or produce the desired results. Trading models used by the manager for securities selection and asset allocation may become outdated and the historical patterns upon which the models are based may weaken or disappear. There can be no assurance that the factor-based risk premia investment strategies utilized by the manager will enhance Fund performance, reduce volatility or reduce potential loss. Investments in derivatives involve costs and create economic leverage, which may result in significant volatility and cause the Fund to participate in losses (as well as gains) that significantly exceed the Fund’s initial investment. Certain derivatives have the potential for unlimited loss. Investing in derivatives and the use of foreign currency techniques involve special risks and may not achieve the anticipated benefits and/or may result in losses to the Fund. Other risks include illiquidity, mispricing or improper valuation of the derivative, and imperfect correlation between the value of the derivative and the underlying instrument. The Fund may realize losses when a counterparty fails to perform as promised. Currency management strategies could result in losses to the Fund if currencies do not perform as the manager expects. Bond prices generally move in the opposite direction of interest rates. As the prices of bonds in the Fund adjust to a rise in interest rates, the Fund’s share price may decline. Changes in an issuer’s financial strength or in a security’s credit rating may affect its value. Liquidity risk exists when securities or other investments become more difficult to sell, or are unable to be sold, at the price at which they’ve been valued. Special risks are associated with foreign investing, including currency fluctuations, economic instability and political developments; investments in emerging markets involve heightened risks related to the same factors. To the extent the Fund focuses particular countries, regions, industries, sectors or types of investment from time to time, it may be subject to greater risks or adverse developments in such areas of focus than a Fund that invests in a wider variety of countries, regions, industries or sectors or investments. 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 description of the main investment risks.
Russia’s military invasion of Ukraine in February 2022, the resulting responses by the United States and other countries, and the potential for wider conflict could increase volatility and uncertainty in the financial markets and adversely affect regional and global economies. The United States and other countries have imposed broad-ranging economic sanctions on Russia and certain Russian individuals, banking entities and corporations as a response to its invasion of Ukraine. The United States and other countries have also imposed economic sanctions on Belarus and may impose sanctions on other countries that support Russia’s military invasion. These sanctions, as well as any other economic consequences related to the invasion, such as additional sanctions, boycotts or changes in consumer or purchaser preferences or cyberattacks on governments, companies or individuals, may further decrease the value and liquidity of certain Russian securities and securities of issuers in other countries that are subject to economic sanctions related to the invasion.
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 total annual operating expenses are sourced from the Fund’s prospectus available at the time of publication. Actual expenses may be higher and may impact portfolio returns.
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. Figures are as stated in the Fund’s current prospectus and may differ from the expense ratios disclosed in the Your Fund’s Expenses and Financial Highlights sections in this report.
See www.franklintempletondatasources.com for additional data provider information.
64 | Semiannual Report | franklintempleton.com |
FRANKLIN SYSTEMATIC STYLE PREMIA ETF
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 investment 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 “Ending 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 × $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, compare 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.
Actual (actual return after expenses) |
Hypothetical (5% annual return before expenses) |
|||||||||||||||||||||
Beginning Account Value 4/1/22 |
Ending Account Value 9/30/22 |
Expenses 4/1/22–9/30/221 |
Ending Account Value 9/30/22 |
Expenses 4/1/22–9/30/221 |
Net Annualized Expense Ratio |
|||||||||||||||||
$1,000.00 | $ | 1,011.30 | $ | 3.28 | $ | 1,021.81 | $ | 3.29 | 0.65 | % |
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.
franklintempleton.com |
Semiannual Report |
65 |
Formerly, Franklin Liberty U.S. Core Bond ETF
This semiannual report for Franklin U.S. Core Bond ETF covers the period ended September 30, 2022.
Your Fund’s Goal and Main Investments
The Fund seeks total return. Under normal market conditions, the Fund invests at least 80% of its net assets in bonds of U.S. issuers, including government, corporate debt, mortgage-backed and asset-backed securities. Bonds include debt obligations of any maturity, such as bonds, notes, bills and debentures.
Performance Overview
During the six-month period, the Fund posted cumulative total returns of -9.34% based on market price and -9.38% based on net asset value (NAV). In comparison, the Bloomberg U.S. Aggregate Bond Index, which measures the performance of the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market, posted a -9.22% total return.1 You can find more of the Fund’s performance data in the Performance Summary beginning on page 69.
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 -9.22% total return for the six months ended September 30, 2022.1 High inflation amid a strong labor market led to significantly tighter monetary policy, reducing the value of most bonds. Geopolitical instability disrupted financial markets amid the ongoing war in Ukraine, adding to the uncertainty surrounding the course of the global economy. The yield curve continued to narrow, inverting in the second half of the period as investors became increasingly concerned about the economic outlook.
In an effort to control inflation, the U.S. Federal Reserve (Fed) continued to raise the federal funds target rate. The Fed raised the federal funds rate at each of its four meetings during the period to end at a range of 3.00%–3.25%. The Fed noted in its September 2022 meeting that inflation remained elevated amid robust job growth and low unemployment. In order to achieve its goal of 2% long-run inflation, the Fed stated it anticipates making additional increases to the federal funds target rate. Furthermore, the Fed indicated it would continue to reduce its U.S. Treasury (UST) and agency mortgage-backed security holdings.
UST bonds, as measured by the Bloomberg U.S. Treasury Index, posted a -7.96% total return for the six-month period.1 The 10-year UST yield (which moves inversely to price) grew amid high inflation and the Fed’s tightening monetary stance. Mortgage-backed securities (MBS), as measured by the Bloomberg U.S. MBS Index, posted a -9.14% total return for the period as mortgage rates rose to the highest level in over a decade.1
Corporate bond prices also declined, constrained by inflation, rising interest rates and concerns about the impact of elevated interest rates on corporate borrowing costs and the wider economy. Corporate yield spreads, a measure of the difference in yields between corporate bonds and similarly-dated USTs, rose, reflecting investors’ increased risk-aversion preferences. In this environment, high-yield corporate bonds, as represented by the Bloomberg U.S. Corporate High Yield Bond Index, posted a -10.41% total return, while investment-grade corporate bonds, as represented by the Bloomberg U.S. Corporate Bond Index, posted a -11.95% total return.1
1. 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 Schedule of Investments (SOI). The SOI begins on page 168.
66 |
Semiannual Report |
franklintempleton.com |
FRANKLIN U.S. CORE BOND ETF
Portfolio Composition | ||||
9/30/22 | ||||
% of Total Net Assets |
||||
U.S. Government & Agency Securities |
45.1% | |||
Mortgage-Backed Securities |
23.9% | |||
Corporate Bonds & Notes |
21.6% | |||
Asset-Backed Securities |
3.0% | |||
Municipal Bonds |
3.0% | |||
Foreign Government and Agency Securities |
1.6% | |||
Short-Term Investments & Other Net Assets |
1.8% |
Investment Strategy
The Fund invests predominantly in investment-grade debt securities and, under normal market conditions, is generally expected to have sector, credit and duration exposures comparable to its benchmark index. However, we make investment decisions based upon our own fundamental analysis, which affects the Fund’s sector, credit and duration exposures so that they may vary from the benchmark index. The Fund’s investments in mortgage-backed securities include securities that are issued or guaranteed by the U.S. government, its agencies or instrumentalities, which include mortgage pass-through securities representing interests in pools of mortgage loans issued or guaranteed by the Government National Mortgage Association (Ginnie Mae), the Federal National Mortgage Association (Fannie Mae), and the Federal Home Loan Mortgage Corporation (Freddie Mac).
In addition, the Fund may purchase or sell mortgage-backed securities on a delayed delivery or forward commitment basis through the to-be-announced (TBA) market. With TBA transactions, the particular securities to be delivered must meet specified terms and conditions.
For purposes of pursuing its investment goal, the Fund may enter into various interest-rate and credit-related derivatives, principally U.S. Treasury futures, interest-rate swaps and credit default swaps. The use of these derivative transactions may allow the Fund to obtain net long or short exposures to select interest rates, durations or credit risks. The Fund may enter into certain derivative transactions to seek to enhance Fund returns, increase liquidity, gain exposure to certain instruments or markets in a more efficient or less expensive way and/or hedge risks associated with its other portfolio investments.
In choosing investments, we select securities in various market sectors based on our assessment of changing economic, market, industry and issuer conditions. We use a top-down
analysis of macroeconomic trends, combined with a bottom-up fundamental analysis of market sectors, industries and issuers, to try to take advantage of varying sector reactions to economic events. We may consider selling a security when we believe the security has become fully valued due to either its price appreciation or changes in the issuer’s fundamentals, or when we believe another security is a more attractive investment opportunity.
Top 10 Holdings | ||||
9/30/22 | ||||
% of Total Net Assets |
||||
U.S. Treasury Note, 2.125%, 2/29/24 |
6.8% | |||
U.S. Treasury Note, 0.375%, 11/30/25 |
5.6% | |||
U.S. Treasury Note, 1.25%, 12/31/26 |
5.0% | |||
U.S. Treasury Note, 0.375%, 1/31/26 |
3.8% | |||
U.S. Treasury Note, 0.50%, 3/31/25 |
3.3% | |||
U.S. Treasury Note, 3.25%, 6/30/27 |
2.1% | |||
U.S. Treasury Bond, 2.00%, 11/15/41 |
2.0% | |||
U.S. Treasury Note, 2.125%, 3/31/24 |
1.9% | |||
U.S. Treasury Bond, 1.375%, 8/15/50 |
1.7% | |||
U.S. Treasury Note, 0.25%, 6/30/25 |
1.5% |
Manager’s Discussion
During the six-month period under review, the Fund posted a gross return of -9.38% based on net asset value, underperforming the Bloomberg U.S. Aggregate Bond Index return of -9.22%. Duration positioning was the main positive contributor to returns relative to the benchmark. Throughout the performance period, we maintained a duration less than that of the benchmark. The dramatic rise in U.S. Treasury (UST) yields has resulted in our underweight positions contributing to relative performance (especially the 5-year and 10-year portion of the curve).
Sector allocations weighed modestly on relative performance over the period, led by overweight holdings of sovereign emerging market (EM) securities, municipal bonds (munis), and commercial mortgage-backed securities (CMBS). Conversely, underweight exposure to agency mortgage-backed securities (MBS) benefited relative results. Allocations to corporate credit bonds, asset-backed securities and agency notes had neutral effects on performance.
Security selection detracted from relative results, led by selection in investment-grade corporate bonds, municipal bonds, CMBS and sovereign developed securities.
Conversely, selection in agency MBS and sovereign EM securities contributed to relative performance.
franklintempleton.com |
Semiannual Report |
67 |
FRANKLIN U.S. CORE BOND ETF
David Yuen retired effective September 30, 2022, and his responsibilities have been allocated to others in the portfolio management team.
Thank you for your participation in Franklin U.S. Core Bond ETF. We look forward to serving your future investment needs.
David Yuen, CFA, FRM Patrick Klein, Ph.D. Tina Chou
Portfolio Management Team
FRM® is a trademark owned by Global Association of Risk Professionals (GARP).
The foregoing information reflects our analysis, opinions and portfolio holdings as of September 30, 2022, 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 conditions. 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, country, 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 completeness or accuracy. Although historical performance is no guarantee of future results, these insights may help you understand our investment management philosophy.
68 |
Semiannual Report |
franklintempleton.com |
FRANKLIN U.S. CORE BOND ETF
Performance Summary as of September 30, 2022
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 performance table does 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 mutual fund shares. Market Price returns typically are based upon the official closing price of the ETF’s shares. 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 (9/19/19), 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 reinvested 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 operating expenses. Capital gain distributions are net profits realized from the sale of portfolio securities.
Performance as of 9/30/221
Cumulative Total Return2 | Average Annual Total Return2 | |||||||||||||||
Based on NAV3 |
Based on market price4 |
Based on NAV3 |
Based on market price4 |
|||||||||||||
6-Month |
-9.38% | -9.34% | -9.38% | -9.34% | ||||||||||||
1-Year |
-15.16% | -15.13% | -15.16% | -15.13% | ||||||||||||
3-Year |
-9.78% | -9.89% | -3.37% | -3.41% | ||||||||||||
Since Inception (9/17/19) |
-9.12% | -9.12% | -3.10% | -3.10% |
Distribution Rate5 | 30-Day Standardized Yield6 | |||
2.91% |
3.79% |
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 70 for Performance Summary footnotes.
franklintempleton.com |
Semiannual Report |
69 |
FRANKLIN U.S. CORE BOND ETF
Distributions (4/1/22–9/30/22) |
Net Investment Income |
$0.279757 |
Total Annual Operating Expenses7
|
0.15% |
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. The manager’s portfolio selection strategy is not solely based on ESG considerations, and therefore the issuers in which the Fund invests may not be considered ESG-focused companies. Integrating ESG considerations into the investment process is not a guarantee that better performance will be achieved. 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 description of the main investment risks.
Russia’s military invasion of Ukraine in February 2022, the resulting responses by the United States and other countries, and the potential for wider conflict could increase volatility and uncertainty in the financial markets and adversely affect regional and global economies. The United States and other countries have imposed broad-ranging economic sanctions on Russia and certain Russian individuals, banking entities and corporations as a response to its invasion of Ukraine. The United States and other countries have also imposed economic sanctions on Belarus and may impose sanctions on other countries that support Russia’s military invasion. These sanctions, as well as any other economic consequences related to the invasion, such as additional sanctions, boycotts or changes in consumer or purchaser preferences or cyberattacks on governments, companies or individuals, may further decrease the value and liquidity of certain Russian securities and securities of issuers in other countries that are subject to economic sanctions related to the invasion.
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 total annual operating expenses are sourced from the Fund’s prospectus available at the time of publication. Actual expenses may be higher and may impact portfolio returns.
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 September dividend and the NAV per share on 9/30/22.
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 as stated in the Fund’s current prospectus and may differ from the expense ratios disclosed in the Your Fund’s Expenses and Financial Highlights sections in this report.
See www.franklintempletondatasources.com for additional data provider information.
70 |
Semiannual Report |
franklintempleton.com |
FRANKLIN U.S. CORE BOND ETF
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 investment 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 “Ending 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 × $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, compare 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.
Actual (actual return after expenses) |
Hypothetical (5% annual return before expenses) |
|||||||||||||||||||||
Beginning Account Value 4/1/22 |
Ending Account Value 9/30/22 |
Expenses Paid During Period 4/1/22–9/30/221 |
Ending Account Value 9/30/22 |
Expenses Paid During Period 4/1/22–9/30/221 |
Net Annualized Expense Ratio |
|||||||||||||||||
$1,000.00 | $ | 906.20 | $ | 0.67 | $ | 1,024.37 | $ | 0.71 | 0.14 | % |
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.
franklintempleton.com |
Semiannual Report |
71 |
Franklin U.S. Low Volatility ETF
Formerly, Franklin Liberty U.S. Low Volatility ETF
This semiannual report for Franklin U.S. Low Volatility ETF covers the period ended September 30, 2022.
Your Fund’s Goal and Main Investments
The Fund seeks capital appreciation with an emphasis on lower volatility. Under normal market conditions, the Fund invests at least 80% of its net assets in U.S. investments, and primarily equity securities.
Performance Overview
During the six-month period, the Fund posted cumulative total returns of -14.73% based on market price and -14.61% based on net asset value (NAV). In comparison, the Russell 1000® Index, which measures the performance of the approximately 1,000 largest companies in the Russell 3000® Index, posted a -20.51% cumulative total return for the same period.1 You can find more of the Fund’s performance data in the Performance Summary beginning on page 75.
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
U.S. equities, as measured by the Standard & Poor’s 500 Index, posted a -20.20% total return for the six months ended September 30, 2022.1 High inflation, rising interest rates and geopolitical instability contributed to a sharp decline in equity prices, particularly as the period progressed. Although consumer spending continued to rise, deteriorating financial conditions negatively impacted consumer sentiment, which improved slightly at the end of the period after falling in June 2022 to the lowest level in over 60 years.
Elevated inflation was a major concern for both consumers and investors, as inflation accelerated in June 2022 to the highest rate since 1981. Continued supply-chain disruptions,
strong consumer demand, and volatile energy prices drove
inflation higher. Russia’s invasion of Ukraine also disrupted financial markets and led to a rise in oil and commodity prices, although much of that increase abated by period-end. The unemployment rate declined marginally from 3.6% in March 2022 to 3.5% in September 2022 as notable employment gains occurred in the leisure and hospitality and health care sectors. Wage growth remained strong throughout the period, adding to some investors’ inflation concerns.
U.S. gross domestic product contracted in the second quarter of 2022, with the economy technically entering a recession, amid lower investments in inventories and fixed assets. An inventory drawdown, declining residential and business investment and lower levels of government spending contributed to the economic slowdown. Rising interest rates translated to higher borrowing costs for individuals and businesses, which dampened economic activity. Mortgage rates reached the highest level since 2007, and new home construction slowed toward period-end.
In an effort to control inflation, the U.S. Federal Reserve (Fed) continued to raise the federal funds target rate. The Fed raised the federal funds rate at each of its four meetings during the period to end at a range of 3.00%–3.25%. The Fed noted in its September 2022 meeting that inflation remained elevated amid robust job growth and low unemployment. Furthermore, the Fed said it would continue to reduce its bond holdings, and Fed Chair Jerome Powell indicated that reducing inflation was likely to require a period of below-trend growth.
1. 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.
2. “U.S. companies” are those that (i) are organized under the laws of, or have a principal office in, or for whose securities the principal trading market is, the U.S.; or (ii) derive 50% or more of their total revenue or profit from either goods or services produced, or sales made, in the U.S.; or (iii) have 50% or more of their assets in the U.S.
The dollar value, number of shares or principal amount, and names of all portfolio holdings are listed in the Fund’s Schedule of Investments (SOI). The SOI begins on page 177.
72 | Semiannual Report | franklintempleton.com |
FRANKLIN U.S. LOW VOLATILITY ETF
Top 10 Sectors/Industries | ||||
9/30/22 | ||||
% of Total Net Assets |
||||
Information Technology |
24.4% | |||
Health Care |
14.5% | |||
Consumer Discretionary |
12.0% | |||
Financials |
11.2% | |||
Industrials |
10.0% | |||
Communication Services |
7.0% | |||
Consumer Staples |
6.4% | |||
Energy |
4.6% | |||
Real Estate |
3.2% | |||
Utilities |
3.0% |
Top 10 Holdings | ||||
9/30/22 | ||||
Company Sector/Industry |
% of Total Net Assets |
|||
Exxon Mobil Corp. Energy |
1.6% | |||
DTE Midstream LLC Energy |
1.5% | |||
Chevron Corp. Energy |
1.5% | |||
Black Knight Inc. Information Technology |
1.5% | |||
Synopsys Inc. Information Technology |
1.4% | |||
Bristol-Myers Squibb Co. Health Care |
1.4% | |||
Automatic Data Processing Inc. Information Technology |
1.4% | |||
Microsoft Corp. Information Technology |
1.4% | |||
Keysight Technologies Inc. Information Technology |
1.4% | |||
Merck & Co. Inc. Health Care |
1.4% |
Investment Strategy
The Fund invests primarily in equity securities (principally common stocks) of U.S. companies.2 The Fund seeks capital appreciation, while providing a lower level of volatility than the broader equity market as measured by the Russell 1000® Index, meaning the Fund seeks returns that fluctuate less than the returns of the Russell 1000® Index. We apply a fundamentally driven “bottom-up” research process to create a starting universe of eligible securities across a large number of sectors derived from the holdings of a number of Franklin
Templeton equity funds. We screen that universe on a quarterly basis in order to identify those securities with the lowest realized volatility relative to their corresponding sectors, while we also incorporate fundamental views of individual stocks. The Fund’s sector weightings generally are based on the current sector weightings within the Russell 1000® Index. Individual securities in the Fund’s portfolio are generally weighted equally within each sector. We may, from time to time, make adjustments to the Fund’s portfolio as a result of corporate actions, changes to the volatility profile of the Fund’s holdings, or for risk management related purposes.
Manager’s Discussion
The Fund generated negative absolute returns but outperformed its benchmark, the Russell 1000® Index, for the six-month period ended September 30, 2022. Stock selection in the information technology (IT) sector was the most significant contributor to relative performance during the period. Overweight positions relative to the benchmark index in Black Knight and Keysight Technologies, along with a lack of exposure to select IT benchmark holdings, drove the sector’s relative outperformance. Black Knight, which provides software, data and analytics solutions for the mortgage and finance industries, announced in May its planned acquisition by Intercontinental Exchange, while Keysight Technologies, an electronic measurement company, logged double-digit growth in orders and revenue in its recent quarter.
Alphabet, from the consumer discretionary sector, was another contributor to relative performance. The parent company of Google recently fell short of estimates for quarterly earnings and revenue growth, citing currency fluctuations and growing economic uncertainties behind the disappointing figures. The Fund’s relative underweight in Alphabet supported relative returns as a result. Stock selection in consumer discretionary also helped relative performance.
In the communication services sector, overweight positions in media companies Liberty Broadband and Charter Communications detracted. Shares of Liberty Broadband, a communication business provider and holding company, and cable and broadband internet service provider Charter Communications, both declined on concerns of slowing subscriber growth trends amid competition and economic headwinds. Liberty’s main asset is Charter Communications. Meanwhile, stock selection in the energy sector also weighed on performance, though the Fund’s overweight to the top-performing sector limited the detraction.
franklintempleton.com |
Semiannual Report |
73 |
FRANKLIN U.S. LOW VOLATILITY ETF
Thank you for your participation in Franklin U.S. Low
Volatility ETF. We look forward to serving your future investment needs.
Todd Brighton, CFA
Portfolio Manager
The foregoing information reflects our analysis, opinions and portfolio holdings as of September 30, 2022, 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 conditions. 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, country, 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 completeness or accuracy. Although historical performance is no guarantee of future results, these insights may help you understand our investment management philosophy.
74 | Semiannual Report | franklintempleton.com |
FRANKLIN U.S. LOW VOLATILITY ETF
Performance Summary as of September 30, 2022
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 performance table does 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 mutual fund shares. Market Price returns typically are based upon the official closing price of the ETF’s shares. 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 (9/22/16), 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 reinvested 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 operating expenses. Capital gain distributions are net profits realized from the sale of portfolio securities.
Performance as of 9/30/221
Cumulative Total Return2 | Average Annual Total Return2 | |||||||||||||||
Based on NAV3 |
Based on market price4 |
Based on NAV3 |
Based on market price4 |
|||||||||||||
6-Month |
-14.61% | -14.73% | -14.61% | -14.73% | ||||||||||||
1-Year |
-9.55% | -9.58% | -9.55% | -9.58% | ||||||||||||
5-Year |
+59.35% | +59.89% | +9.77% | +9.84% | ||||||||||||
Since Inception (9/20/16) |
+83.60% | +83.64% | +10.61% | +10.61% |
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 76 for Performance Summary footnotes.
franklintempleton.com |
Semiannual Report |
75 |
FRANKLIN U.S. LOW VOLATILITY ETF
Distributions (4/1/22–9/30/22)
Net Investment Income |
$0.392342 |
Total Annual Operating Expenses5
0.29% |
All investments involve risks, including possible loss of principal. Stock prices fluctuate, sometimes rapidly and dramatically, due to factors affecting individual companies, particular industries or sectors, or general market conditions. There can be no guarantee that the Fund’s volatility strategy will be successful, and achieving the Fund’s volatility strategy does not mean the Fund will achieve a positive or competitive return. The volatility strategy can also be expected to limit the Fund’s participation in market price appreciation when compared to similar funds that do not attempt this strategy. Smaller and midsize-company stocks have historically experienced more price volatility than larger company stocks, especially over the short term. 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 description of the main investment risks.
Russia’s military invasion of Ukraine in February 2022, the resulting responses by the United States and other countries, and the potential for wider conflict could increase volatility and uncertainty in the financial markets and adversely affect regional and global economies. The United States and other countries have imposed broad-ranging economic sanctions on Russia and certain Russian individuals, banking entities and corporations as a response to its invasion of Ukraine. The United States and other countries have also imposed economic sanctions on Belarus and may impose sanctions on other countries that support Russia’s military invasion. These sanctions, as well as any other economic consequences related to the invasion, such as additional sanctions, boycotts or changes in consumer or purchaser preferences or cyberattacks on governments, companies or individuals, may further decrease the value and liquidity of certain Russian securities and securities of issuers in other countries that are subject to economic sanctions related to the invasion.
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 total annual operating expenses are sourced from the Fund’s prospectus available at the time of publication. Actual expenses may be higher and may impact portfolio returns.
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. Figures are as stated in the Fund’s current prospectus and may differ from the expense ratios disclosed in the Your Fund’s Expenses and Financial Highlights sections in this report.
See www.franklintempletondatasources.com for additional data provider information.
76 |
Semiannual Report |
franklintempleton.com |
FRANKLIN U.S. LOW VOLATILITY ETF
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 investment 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 “Ending 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 × $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, compare 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.
Actual (actual return after expenses) |
Hypothetical (5% annual return before expenses) |
|||||||||||||||||||||
Beginning Account Value 4/1/22 |
Ending Account Value 9/30/22 |
Expenses Paid During |
Ending Account Value 9/30/22 |
Expenses Paid During |
Net Annualized Expense Ratio |
|||||||||||||||||
$1,000.00 | $ | 853.90 | $ | 1.35 | $ | 1,023.62 | $ | 1.47 | 0.29 | % |
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.
franklintempleton.com |
Semiannual Report |
77 |
Franklin U.S. Treasury Bond ETF
Formerly, Franklin Liberty U.S. Treasury Bond ETF
This semiannual report for Franklin U.S. Treasury Bond ETF covers the period ended September 30, 2022.
Your Fund’s Goal and Main Investments
The Fund seeks income. Under normal market conditions, the Fund invests at least 80% of its net assets in direct obligations of the U.S. Treasury.
Performance Overview
During the six-month period, the Fund posted cumulative total returns of -7.22% based on market price and -7.22% based on net asset value (NAV). In comparison, the Bloomberg U.S. Treasury Index, which measures the performance of U.S. Treasury bills, posted a -7.96% cumulative total return.1 You can find more of the Fund’s performance data in the Performance Summary beginning on page 80.
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 -9.22% total return for the six months ended September 30, 2022.1 High inflation amid a strong labor market led to significantly tighter monetary policy, reducing the value of most bonds. Geopolitical instability disrupted financial markets amid the ongoing war in Ukraine, adding to the uncertainty surrounding the course of the global economy. The yield curve continued to narrow, inverting in the second half of the period as investors became increasingly concerned about the economic outlook.
In an effort to control inflation, the U.S. Federal Reserve (Fed) continued to raise the federal funds target rate. The Fed raised the federal funds rate at each of its four meetings during the period to end at a range of 3.00%–3.25%. The Fed noted in its September 2022 meeting that inflation
remained elevated amid robust job growth and low unem-
ployment. In order to achieve its goal of 2% long-run inflation, the Fed stated it anticipates making additional increases to the federal funds target rate. Furthermore, the Fed indicated it would continue to reduce its U.S. Treasury (UST) and agency mortgage-backed security holdings.
UST bonds, as measured by the Bloomberg U.S. Treasury Index, posted a -7.96% total return for the six-month period.1 The 10-year UST yield (which moves inversely to price) grew amid high inflation and the Fed’s tightening monetary stance. Mortgage-backed securities (MBS), as measured by the Bloomberg U.S. MBS Index, posted a -9.14% total return for the period as mortgage rates rose to the highest level in over a decade.1
Corporate bond prices also declined, constrained by inflation, rising interest rates and concerns about the impact of elevated interest rates on corporate borrowing costs and the wider economy. Corporate yield spreads, a measure of the difference in yields between corporate bonds and similarly-dated USTs, rose, reflecting investors’ increased risk-aversion preferences. In this environment, high-yield corporate bonds, as represented by the Bloomberg U.S. Corporate High Yield Bond Index, posted a -10.41% total return, while investment-grade corporate bonds, as represented by the Bloomberg U.S. Corporate Bond Index, posted a -11.95% total return.1
Portfolio Composition | ||||
9/30/22 | ||||
% of Total Net Assets |
||||
U.S. Government & Agency Securities |
91.7% | |||
Short-Term Investments & Other Net Assets |
8.3% |
Investment Strategy
The Fund invests at least 80% of its net assets in direct obligations of the U.S. Treasury, including Treasury bonds, bills and notes and investments that provide exposure to direct obligations of the U.S. Treasury. The Fund may also invest in securities issued or guaranteed by the U.S. government, its agencies, or instrumentalities, including government spon-
1. 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 Schedule of Investments (SOI). The SOI begins on page 181.
78 |
Semiannual Report |
franklintempleton.com |
FRANKLIN U.S. TREASURY BOND ETF
sored entities and mortgage-backed securities (MBS). In addition, the Fund may purchase or sell MBS on a delayed delivery or forward commitment basis through the to-be-announced (TBA) market. With TBA transactions, the particular securities to be delivered must meet specified terms and conditions.
To pursue its investment goal, the Fund may enter into certain interest rate-related derivative transactions, principally interest rate/bond futures contracts and interest rate swaps. The use of these derivative transactions may allow the Fund to obtain net long or short exposures to select interest rates or durations. These derivatives may be used to enhance Fund returns, increase liquidity, gain exposure to certain instruments or markets in a more efficient or less expensive way and/or hedge risks associated with its other portfolio investments.
We generally buy and hold high quality fixed income securities. Using this straightforward approach, we seek to produce current income with a high degree of credit safety from a conservatively managed portfolio of U.S. Treasury securities. We may utilize quantitative models to identify investment opportunities as part of the portfolio construction process for the Fund. Quantitative models are proprietary systems that rely on mathematical computations to identify investment opportunities. The Fund is an actively managed ETF and, thus, does not seek to replicate the performance of a specified index. Accordingly, the investment manager has discretion on a daily basis to manage the Fund’s portfolio in accordance with the Fund’s investment goal.
Manager’s Discussion
During the six-month period, yield-curve positioning was the primary contributor to outperformance relative to the benchmark, led mainly by the underweight duration on the five- and 10-year parts of curve as yields rose. Over the performance period, yields for Treasuries with maturities less than five years rose more than yields for Treasuries with maturities greater than five years. Underweights on the two-and 30-year parts of the curve also contributed positively to performance relative to the benchmark. Conversely, the Fund was positioned with more duration than the benchmark on the 20-year part of the curve, and this was a modest detractor to relative performance. Our non-benchmark allocation to U.S. Treasury Inflation-Protected Securities (TIPS) detracted from performance relative to the benchmark. Our allocation to agency fixed-rate mortgage-backed securities (MBS) had a largely neutral effect on results.
Top 10 Holdings | ||||
9/30/22 | ||||
% of Total Net Assets |
||||
U.S. Treasury Note, 2.375%, 2/29/24 |
11.6% | |||
U.S. Treasury Bond, 2.375%, 2/15/42 |
5.2% | |||
U.S. Treasury Bond, 2.00%, 8/15/51 |
5.0% | |||
U.S. Treasury Note, 1.25%, 4/30/28 |
4.3% | |||
U.S. Treasury Bond, 3.00%, 5/15/42 |
4.1% | |||
U.S. Treasury Note, 0.375%, 1/31/26 |
3.8% | |||
U.S. Treasury Note, 1.50%, 11/30/24 |
3.8% | |||
U.S. Treasury Note, 1.375%, 12/31/28 |
3.8% | |||
U.S. Treasury Note, 0.25%, 7/31/25 |
3.8% | |||
U.S. Treasury Note, 2.125%, 11/30/24 |
3.4% |
Thank you for your participation in Franklin U.S. Treasury Bond ETF. We look forward to serving your future investment needs.
Warren Keyser
Patrick Klein, Ph.D.
Portfolio Management Team
The foregoing information reflects our analysis, opinions and portfolio holdings as of September 30, 2022, 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 conditions. 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, country, 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 completeness or accuracy. Although historical performance is no guarantee of future results, these insights may help you understand our investment management philosophy.
franklintempleton.com |
Semiannual Report |
79 |
FRANKLIN U.S. TREASURY BOND ETF
Performance Summary as of September 30, 2022
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 performance table does 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 mutual fund shares. Market Price returns typically are based upon the official closing price of the ETF’s shares. 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 (6/11/20), 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 reinvested 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 operating expenses. Capital gain distributions are net profits realized from the sale of portfolio securities.
Performance as of 9/30/221
Cumulative Total Return2 | Average Annual Total Return2 | |||||||||||||||
Based on NAV3 |
Based on market price4 |
Based on NAV3 |
Based on market price4 |
|||||||||||||
6-Month |
-7.22% | -7.22% | -7.22% | -7.22% | ||||||||||||
1-Year |
-11.90% | -11.83% | -11.90% | -11.83% | ||||||||||||
Since Inception (6/9/20) |
-13.34% | -13.34% | -6.01% | -6.01% |
Distribution Rate5 | 30-Day Standardized Yield6 | |||||||
2.36% |
3.62% |
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 81 for Performance Summary footnotes.
80 |
Semiannual Report |
franklintempleton.com |
FRANKLIN U.S. TREASURY BOND ETF
PERFORMANCE SUMMARY
Distributions (4/1/22–9/30/22)
Net
Investment Income |
$0.233977 |
Total Annual Operating Expenses7
0.09% |
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 description of the main investment risks.
Russia’s military invasion of Ukraine in February 2022, the resulting responses by the United States and other countries, and the potential for wider conflict could increase volatility and uncertainty in the financial markets and adversely affect regional and global economies. The United States and other countries have imposed broad-ranging economic sanctions on Russia and certain Russian individuals, banking entities and corporations as a response to its invasion of Ukraine. The United States and other countries have also imposed economic sanctions on Belarus and may impose sanctions on other countries that support Russia’s military invasion. These sanctions, as well as any other economic consequences related to the invasion, such as additional sanctions, boycotts or changes in consumer or purchaser preferences or cyberattacks on governments, companies or individuals, may further decrease the value and liquidity of certain Russian securities and securities of issuers in other countries that are subject to economic sanctions related to the invasion.
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 total annual operating expenses are sourced from the Fund’s prospectus available at the time of publication. Actual expenses may be higher and may impact portfolio returns.
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 September dividend and the NAV per share on 9/30/22.
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 as stated in the Fund’s current prospectus and may differ from the expense ratios disclosed in the Your Fund’s Expenses and Financial Highlights sections in this report.
See www.franklintempletondatasources.com for additional data provider information.
franklintempleton.com |
Semiannual Report |
81 |
FRANKLIN U.S. TREASURY BOND ETF
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 investment 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 “Ending 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 × $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, compare 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.
Actual (actual return after expenses) |
Hypothetical (5% annual return before expenses) |
|||||||||||||||||||||
Beginning Account Value 4/1/22 |
Ending Account Value 9/30/22 |
Expenses Paid During Period 4/1/22–9/30/221 |
Ending Account Value 9/30/22 |
Expenses Paid During Period 4/1/22–9/30/221 |
Net Annualized Expense Ratio |
|||||||||||||||||
$1,000.00 | $ | 927.60 | $ | 0.39 | $ | 1,024.67 | $ | 0.41 | 0.08 | % |
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.
82 | Semiannual Report | franklintempleton.com |
Formerly, Franklin Liberty Ultra Short Bond ETF
This semiannual report for Franklin Ultra Short Bond ETF covers the period ended September 30, 2022.
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 preservation of capital. Under normal market conditions, the Fund invests at least 80% of its net assets in bonds and investments that provide exposure to bonds.
Performance Overview
During the six-month period, the Fund posted cumulative total returns of +0.01% based on market price and -0.08% based on net asset value (NAV). In comparison, the ICE BofA U.S. 3-Month Treasury Bill Index, which tracks the performance of short-term U.S. government securities with a remaining term to final maturity of less than three months, posted a +0.57% cumulative total return.1 You can find more of the Fund’s performance data in the Performance Summary beginning on page 86.
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 -9.22% total return for the six months ended September 30, 2022.1 High inflation amid a strong labor market led to significantly tighter monetary policy, reducing the value of most bonds. Geopolitical instability disrupted financial markets amid the ongoing war in Ukraine, adding to the uncertainty surrounding the course of the global economy. The yield curve continued to narrow, inverting in the second half of the period as investors became increasingly concerned about the economic outlook.
In an effort to control inflation, the U.S. Federal Reserve (Fed) continued to raise the federal funds target rate. The
Fed raised the federal funds rate at each of its four meetings during the period to end at a range of 3.00%–3.25%. The Fed noted in its September 2022 meeting that inflation remained elevated amid robust job growth and low unemployment. In order to achieve its goal of 2% long-run inflation, the Fed stated it anticipates making additional increases to the federal funds target rate. Furthermore, the Fed indicated it would continue to reduce its U.S. Treasury (UST) and agency mortgage-backed security holdings.
UST bonds, as measured by the Bloomberg U.S. Treasury Index, posted a -7.96% total return for the six-month period.1 The 10-year UST yield (which moves inversely to price) grew amid high inflation and the Fed’s tightening monetary stance. Mortgage-backed securities (MBS), as measured by the Bloomberg U.S. MBS Index, posted a -9.14% total return for the period as mortgage rates rose to the highest level in over a decade.1
Corporate bond prices also declined, constrained by inflation, rising interest rates and concerns about the impact of elevated interest rates on corporate borrowing costs and the wider economy. Corporate yield spreads, a measure of the difference in yields between corporate bonds and similarly-dated USTs, rose, reflecting investors’ increased risk-aversion preferences. In this environment, high-yield corporate bonds, as represented by the Bloomberg U.S. Corporate High Yield Bond Index, posted a -10.41% total return, while investment-grade corporate bonds, as represented by the Bloomberg U.S. Corporate Bond Index, posted a -11.95% total return.1
1. 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 Schedule of Investments (SOI). The SOI begins on page 183.
franklintempleton.com |
Semiannual Report |
83 |
FRANKLIN ULTRA SHORT BOND ETF
Top 10 Sectors/Industries | ||||
9/30/22 | ||||
% of Total Net Assets |
||||
Banks |
32.6% | |||
Auto Manufacturers |
8.0% | |||
Miscellaneous Manufacturing |
6.1% | |||
Internet |
4.1% | |||
Pipelines |
4.1% | |||
Transportation |
4.1% | |||
Aerospace & Defense |
4.0% | |||
Healthcare-Products |
3.9% | |||
Insurance |
3.9% | |||
Pharmaceuticals |
2.0% |
Top 10 Holdings | ||||
9/30/22 | ||||
Issue/Issuer | % of Total Net Assets |
|||
Westpac Banking Corp., 3.78% to 5/28/19, FRN thereafter, 2/26/24 | 4.1% | |||
eBay Inc., senior note, 3.676% to , 1/30/23 | 4.1% | |||
Citibank Credit Card Issuance Trust, Series 2017-A5, A5, 3.672% to , 4/22/26 | 4.1% | |||
Discover Card Execution Note Trust, Series 2017-A5, A5, 3.418% to , 12/15/26 | 4.1% | |||
Goldman Sachs Group Inc., senior unsecured note, 3.23% to 11/17/22, FRN thereafter, 11/17/23 | 4.1% | |||
Hyundai Capital America, 144A, 2.375%, 2/10/23 | 4.1% | |||
Penske Truck Leasing Co. LP / PTL Finance Corp., senior note, 144A, 2.70%, 3/14/23 | 4.1% | |||
Boeing Co., 1.167%, 2/04/23 | 4.0% | |||
Toronto-Dominion Bank, Sr. Unsecured, MTN, 4.285%, 9/13/24 | 4.0% | |||
Parker-Hannifin Corp., Sr. Unsecured, 3.65%, 6/15/24 | 4.0% |
Investment Strategy
The Fund targets securities with an estimated average portfolio duration of one year or less. The Fund invests predominantly in U.S. dollar denominated, investment-grade debt securities and investments. The Fund generally expects to invest a substantial portion of its assets in cash, cash equivalents and high-quality money market securities, including commercial paper, certificates of deposit, repurchase agreements and affiliated or unaffiliated money market funds. The Fund may invest in securities issued or guaranteed by the U.S. government or by non-U.S. governments or their respective agencies or instrumentalities, including mortgage-backed securities and inflation-indexed securities issued by the U.S. Treasury. The Fund may also invest in asset-backed
securities and U.S. dollar denominated foreign securities, including emerging market securities.
The Fund may enter into certain interest rate-related derivatives to enhance Fund returns, increase liquidity, gain exposure to certain instruments or markets in a more efficient or less expensive way and/or hedge risks associated with its other portfolio investments.
In choosing investments, we select securities in various market sectors based on our assessment of changing economic, market, industry and issuer conditions. We use a top-down analysis of macroeconomic trends, combined with a bottom-up fundamental analysis of market sectors, industries and issuers, to try to take advantage of varying sector reactions to economic events. We may consider selling a security when we believe the security has become fully valued due to either its price appreciation or changes in the issuer’s fundamentals, or when we believe another security is a more attractive investment opportunity.
Manager’s Discussion
The Fund underperformed its benchmark for the six-month period ended September 30, 2022. Short-term investment-grade (IG) corporate spreads widened modestly during the period under review, underperforming similar maturity Treasuries. In addition, the short end of the Treasury yield curve steepened with two-year yields up 1.82% while 3-month Treasury bill rates rose 2.75%.
The Fund’s longer duration positioning compared to its benchmark, the ICE BofA U.S. 3-month Treasury Bill Index, was the primary detractor from relative performance. The Fund’s overweight allocation to IG corporate debt also detracted from performance. However, the Fund’s IG corporate bonds did provide positive performance versus the benchmark basket of U.S. Treasury bills.
The Fund’s sector allocation within the IG corporate bond segment contributed to returns. Our allocations to banking, energy and industrials aided results, while our positioning in media, technology and asset-backed securities (ABS) detracted from performance. Positive contributors from individual positions included Hyundai Capital America, Parker-Hannifin and AmerisourceBergen, while detractors included General Motors Financial, General Electric and Toronto-Dominion Bank.
While the Fund has the ability to invest in derivative securities, it held no derivatives during the period under review.
David Yuen retired effective September 30, 2022, and his responsibilities have been allocated to others in the portfolio management team.
84 |
Semiannual Report |
franklintempleton.com |
FRANKLIN ULTRA SHORT BOND ETF
Thank you for your participation in Franklin Ultra Short Bond ETF. We look forward to serving your future investment needs.
David Yuen, CFA, FRM
Shawn Lyons, CFA
Thomas Runkel, CFA
Kent Burns, CFA
Johnson Ng, CFA
Portfolio Management Team
The foregoing information reflects our analysis, opinions and portfolio holdings as of September 30, 2022, 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 conditions. 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, country, 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 completeness or accuracy. Although historical performance is no guarantee of future results, these insights may help you understand our investment management philosophy.
franklintempleton.com |
Semiannual Report |
85 |
FRANKLIN ULTRA SHORT BOND ETF
Performance Summary as of September 30, 2022
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 performance table does 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 mutual fund shares. Market Price returns typically are based upon the official closing price of the ETF’s shares. 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 (7/16/20), 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 reinvested 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 operating expenses. Capital gain distributions are net profits realized from the sale of portfolio securities.
Performance as of 9/30/221
Cumulative Total Return2 | Average Annual Total Return2 | |||||||||||||||
Based on NAV3 |
Based on market price4 |
Based on NAV3 |
Based on market price4 |
|||||||||||||
6-Month |
-0.08% | +0.01% | -0.08% | +0.01% | ||||||||||||
1-Year |
-1.13% | -1.09% | -1.13% | -1.09% | ||||||||||||
Since Inception (7/14/20) |
+0.04% | +0.08% | +0.02% | +0.04% |
Distribution Rate5 | 30-Day Standardized Yield6 | |||||||
1.96% |
3.28% |
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 87 for Performance Summary footnotes.
86 | Semiannual Report | franklintempleton.com |
FRANKLIN ULTRA SHORT BOND ETF
PERFORMANCE SUMMARY
Distributions (4/1/22–9/30/22)
Net Investment Income |
$0.141357 |
Total Annual Operating Expenses7
0.15% |
All investments involve risk, including possible loss of principal. Changes in the financial strength of a bond issuer or in a bond’s credit rating may affect its value. The Fund’s focus on the credit quality of its portfolio is intended to reduce credit risk and help to preserve the Fund’s capital. The Fund is not a money market fund and does not seek to maintain a stable net asset value of $1.00 per share. Interest rate movements, unanticipated changes in mortgage prepayment rates 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 opposite direction of interest rates. Therefore, as the price of bonds in the Fund adjust to a rise in interest rates, the Fund’s share price may decline. By focusing its investments in financials related industries, the Fund carries much greater risks of adverse developments and price movements in such industries than a fund that invests in a wider variety of industries. Because the Fund concentrates in a specific industry or group of industries, there is also the risk that the Fund will perform poorly during a slump in demand for securities of companies in such industries. The Fund’s investment in foreign securities involve certain risks including currency fluctuations, and economic and political uncertainties. Investments in developing markets involve heightened risks related to the same factors, in addition to those associated with their relatively small size and lesser liquidity. Investing in derivative securities involves special risks as such may not achieve the anticipated benefits and/or may result in losses to the Fund. The manager’s portfolio selection strategy is not solely based on ESG considerations, and therefore the issuers in which the Fund invests may not be considered ESG-focused companies. Integrating ESG considerations into the investment process is not a guarantee that better performance will be achieved. 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 description of the main investment risks.
Russia’s military invasion of Ukraine in February 2022, the resulting responses by the United States and other countries, and the potential for wider conflict could increase volatility and uncertainty in the financial markets and adversely affect regional and global economies. The United States and other countries have imposed broad-ranging economic sanctions on Russia and certain Russian individuals, banking entities and corporations as a response to its invasion of Ukraine. The United States and other countries have also imposed economic sanctions on Belarus and may impose sanctions on other countries that support Russia’s military invasion. These sanctions, as well as any other economic consequences related to the invasion, such as additional sanctions, boycotts or changes in consumer or purchaser preferences or cyberattacks on governments, companies or individuals, may further decrease the value and liquidity of certain Russian securities and securities of issuers in other countries that are subject to economic sanctions related to the invasion.
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 total annual operating expenses are sourced from the Fund’s prospectus available at the time of publication. Actual expenses may be higher and may impact portfolio returns.
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 September dividend and the NAV per share on 9/30/22.
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 as stated in the Fund’s current prospectus and may differ from the expense ratios disclosed in the Your Fund’s Expenses and Financial Highlights sections in this report.
See www.franklintempletondatasources.com for additional data provider information.
franklintempleton.com |
Semiannual Report |
87 |
FRANKLIN ULTRA SHORT BOND ETF
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 investment 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 “Ending 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 × $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, compare 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.
Actual (actual return after expenses) |
Hypothetical (5% annual return before expenses) |
|||||||||||||||||||||
Beginning Account Value 4/1/22 |
Ending Account Value 9/30/22 |
Expenses Paid During Period 4/1/22–9/30/221 |
Ending Account Value 9/30/22 |
Expenses Period |
Net Annualized Expense Ratio |
|||||||||||||||||
$1,000.00 | $ | 999.20 | $ | 0.65 | $ | 1,024.42 | $ | 0.66 | 0.13 | % |
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.
88 | Semiannual Report | franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
Franklin Disruptive Commerce ETF
Six Months Ended (unaudited) |
Year Ended March 31, | |||||||||||||||
2022 | 2021 | 2020a | ||||||||||||||
Per share operating performance (for a share outstanding throughout the period) |
||||||||||||||||
Net asset value, beginning of period |
$ | 30.97 | $ | 49.21 | $ | 21.32 | $ | 25.00 | ||||||||
|
|
|||||||||||||||
Income from investment operationsb: | ||||||||||||||||
Net investment income (loss)c |
0.01 | (0.19 | ) | (0.21 | ) | (0.01 | ) | |||||||||
Net realized and unrealized gains (losses) |
(10.51 | ) | (17.73 | ) | 28.10 | (3.67 | ) | |||||||||
|
|
|||||||||||||||
Total from investment operations |
(10.50 | ) | (17.92 | ) | 27.89 | (3.68 | ) | |||||||||
|
|
|||||||||||||||
Net realized gains |
— | (0.32 | ) | — | — | |||||||||||
|
|
|||||||||||||||
Net asset value, end of period |
$ | 20.47 | $ | 30.97 | $ | 49.21 | $ | 21.32 | ||||||||
|
|
|||||||||||||||
Total returnd |
(33.90)% | (36.59)% | 130.82% | (14.72)% | ||||||||||||
Ratios to average net assetse | ||||||||||||||||
Expenses before waiver and payments by affiliates |
0.50% | 0.62% | 0.87% | 12.59% | ||||||||||||
Expenses net of waiver and payments by affiliates |
0.50% | 0.50% | 0.50% | 0.50% | ||||||||||||
Net investment income (loss) |
0.05% | (0.40)% | (0.44)% | (0.32)% | ||||||||||||
Supplemental data | ||||||||||||||||
Net assets, end of period (000’s) |
$8,187 | $18,584 | $41,827 | $2,132 | ||||||||||||
Portfolio turnover ratef |
32.66%g | 89.85%g | 45.81%g | 0.94%g |
aFor the period February 25, 2020 (commencement of operations) to March 31, 2020.
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 and/or fluctuating fair 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.
fPortfolio turnover rate includes portfolio transactions that are executed as a result of the Fund offering and redeeming Creation Units solely for cash (“Cash creations”).
gPortfolio turnover rate excluding cash creations was as follows: | 32.31% | 89.79% | 45.81% | 0.94% |
franklintempleton.com |
The accompanying notes are an integral part of these financial statements. | Semiannual Report |
89 |
FRANKLIN TEMPLETON ETF TRUST
Schedule of Investments, September 30, 2022 (unaudited)
Franklin Disruptive Commerce ETF
Country | Shares | Value | ||||||||||||
Common Stocks 97.8% | ||||||||||||||
Air Freight & Logistics 1.4% | ||||||||||||||
United Parcel Service Inc., B |
United States | 483 | $ | 78,024 | ||||||||||
a |
XPO Logistics Inc. |
United States | 897 | 39,934 | ||||||||||
|
|
|||||||||||||
117,958 | ||||||||||||||
|
|
|||||||||||||
Commercial Services & Supplies 3.3% | ||||||||||||||
a |
Copart Inc. |
United States | 2,508 | 266,851 | ||||||||||
|
|
|||||||||||||
Containers & Packaging 2.2% | ||||||||||||||
Graphic Packaging Holding Co. |
United States | 1,018 | 20,095 | |||||||||||
Packaging Corp. of America |
United States | 1,391 | 156,196 | |||||||||||
|
|
|||||||||||||
176,291 | ||||||||||||||
|
|
|||||||||||||
Entertainment 2.3% | ||||||||||||||
a |
Netflix Inc. |
United States | 186 | 43,792 | ||||||||||
a |
ROBLOX Corp., A |
United States | 1,025 | 36,736 | ||||||||||
a |
Sea Ltd., ADR |
Taiwan | 1,902 | 106,607 | ||||||||||
|
|
|||||||||||||
187,135 | ||||||||||||||
|
|
|||||||||||||
Equity Real Estate Investment Trusts (REITs) 2.8% | ||||||||||||||
Prologis Inc. |
United States | 2,276 | 231,242 | |||||||||||
|
|
|||||||||||||
Food & Staples Retailing 5.3% | ||||||||||||||
Costco Wholesale Corp. |
United States | 910 | 429,766 | |||||||||||
|
|
|||||||||||||
Food Products 0.3% | ||||||||||||||
a |
Freshpet Inc. |
United States | 556 | 27,850 | ||||||||||
|
|
|||||||||||||
Hotels, Restaurants & Leisure 6.1% | ||||||||||||||
a |
Airbnb Inc., A |
United States | 2,217 | 232,874 | ||||||||||
a |
Booking Holdings Inc. |
United States | 141 | 231,692 | ||||||||||
a |
Vacasa Inc., A |
United States | 11,395 | 34,983 | ||||||||||
|
|
|||||||||||||
499,549 | ||||||||||||||
|
|
|||||||||||||
Interactive Media & Services 3.7% | ||||||||||||||
Shutterstock Inc. |
United States | 847 | 42,494 | |||||||||||
a |
ZoomInfo Technologies Inc., A |
United States | 6,271 | 261,250 | ||||||||||
|
|
|||||||||||||
303,744 | ||||||||||||||
|
|
|||||||||||||
Internet & Direct Marketing Retail 24.7% | ||||||||||||||
a |
Amazon.com Inc. |
United States | 7,218 | 815,634 | ||||||||||
a |
Chewy Inc., A |
United States | 1,302 | 39,997 | ||||||||||
a |
DoorDash Inc., A |
United States | 4,342 | 214,712 | ||||||||||
eBay Inc. |
United States | 2,480 | 91,289 | |||||||||||
a |
Etsy Inc. |
United States | 2,534 | 253,729 | ||||||||||
a |
Expedia Group Inc. |
United States | 420 | 39,350 | ||||||||||
a |
Global-e Online Ltd. |
Israel | 2,725 | 72,921 | ||||||||||
JD.com Inc., ADR |
China | 1,621 | 81,536 | |||||||||||
a |
Liquidity Services Inc. |
United States | 2,893 | 47,040 | ||||||||||
a |
MercadoLibre Inc. |
Brazil | 288 | 238,401 | ||||||||||
a |
Pinduoduo Inc., ADR |
China | 1,333 | 83,419 | ||||||||||
a |
Revolve Group Inc. |
United States | 914 | 19,825 | ||||||||||
Zozo Inc. |
Japan | 1,042 | 20,834 | |||||||||||
|
|
|||||||||||||
2,018,687 | ||||||||||||||
|
|
|||||||||||||
IT Services 18.3% | ||||||||||||||
a |
Adyen NV, ADR |
Netherlands | 26,101 | 326,785 | ||||||||||
a |
Block Inc. |
United States | 677 | 37,228 | ||||||||||
a |
Dlocal Ltd. |
Uruguay | 3,591 | 73,687 | ||||||||||
a |
International Money Express Inc. |
United States | 1,594 | 36,327 | ||||||||||
Jack Henry & Associates Inc. |
United States | 953 | 173,703 |
90 |
Semiannual Report |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
SCHEDULE OF INVESTMENTS
Franklin Disruptive Commerce ETF (continued)
Country | Shares | Value | ||||||||||||
Common Stocks (continued) | ||||||||||||||
IT Services (continued) | ||||||||||||||
Mastercard Inc., A |
United States | 1,065 | $ | 302,822 | ||||||||||
a |
PayPal Holdings Inc. |
United States | 478 | 41,141 | ||||||||||
a |
Shopify Inc., A |
Canada | 8,355 | 225,084 | ||||||||||
a |
Toast Inc., A |
United States | 2,236 | 37,386 | ||||||||||
Visa Inc., A |
United States | 1,390 | 246,934 | |||||||||||
|
|
|||||||||||||
1,501,097 | ||||||||||||||
|
|
|||||||||||||
Professional Services 3.6% | ||||||||||||||
a |
CoStar Group Inc. |
United States | 3,698 | 257,566 | ||||||||||
TransUnion |
United States | 654 | 38,906 | |||||||||||
|
|
|||||||||||||
296,472 | ||||||||||||||
|
|
|||||||||||||
Road & Rail 4.8% | ||||||||||||||
Old Dominion Freight Line Inc. |
United States | 355 | 88,313 | |||||||||||
a |
Uber Technologies Inc. |
United States | 11,407 | 302,286 | ||||||||||
|
|
|||||||||||||
390,599 | ||||||||||||||
|
|
|||||||||||||
Software 9.2% | ||||||||||||||
a |
Bill.com Holdings Inc. |
United States | 1,704 | 225,558 | ||||||||||
a |
Coupa Software Inc. |
United States | 660 | 38,808 | ||||||||||
a |
Descartes Systems Group Inc. |
Canada | 2,673 | 169,816 | ||||||||||
a |
Lightspeed Commerce Inc. |
Canada | 1,218 | 21,549 | ||||||||||
a |
Manhattan Associates Inc. |
United States | 1,310 | 174,269 | ||||||||||
a |
Sprout Social Inc., A |
United States | 743 | 45,085 | ||||||||||
a |
Unity Software Inc. |
United States | 2,460 | 78,376 | ||||||||||
|
|
|||||||||||||
753,461 | ||||||||||||||
|
|
|||||||||||||
Specialty Retail 1.5% | ||||||||||||||
a |
Petco Health & Wellness Co. Inc. |
United States | 3,086 | 34,440 | ||||||||||
Tractor Supply Co. |
United States | 486 | 90,337 | |||||||||||
|
|
|||||||||||||
124,777 | ||||||||||||||
|
|
|||||||||||||
Trading Companies & Distributors 8.3% | ||||||||||||||
Fastenal Co. |
United States | 7,699 | 354,462 | |||||||||||
W.W. Grainger Inc. |
United States | 667 | 326,290 | |||||||||||
|
|
|||||||||||||
680,752 | ||||||||||||||
|
|
|||||||||||||
Total Common Stocks (Cost $11,578,381) |
8,006,231 | |||||||||||||
|
|
|||||||||||||
Total Investments (Cost $11,578,381) 97.8% |
8,006,231 | |||||||||||||
Other Assets, less Liabilities 2.2% |
180,588 | |||||||||||||
|
|
|||||||||||||
Net Assets 100.0% |
$ | 8,186,819 | ||||||||||||
|
|
aNon-income producing.
See Abbreviations on page 223.
franklintempleton.com |
The accompanying notes are an integral part of these financial statements. | Semiannual Report |
91 |
FRANKLIN TEMPLETON ETF TRUST
Financial Highlights
Franklin Dynamic Municipal Bond ETF
Six Months Ended (unaudited) |
Year Ended March 31, | |||||||||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018a | ||||||||||||||||||||
Per share operating performance (for a share outstanding throughout the period) |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 24.81 | $ | 26.32 | $ | 24.72 | $ | 24.97 | $ | 24.40 | $ | 25.00 | ||||||||||||
|
|
|||||||||||||||||||||||
Income from investment operationsb: | ||||||||||||||||||||||||
Net investment incomec |
0.32 | 0.61 | 0.59 | 0.58 | 0.63 | 0.22 | ||||||||||||||||||
Net realized and unrealized gains (losses) |
(2.01 | ) | (1.56 | ) | 1.59 | (0.17 | ) | 0.57 | (0.60 | ) | ||||||||||||||
|
|
|||||||||||||||||||||||
Total from investment operations |
(1.69 | ) | (0.95 | ) | 2.18 | 0.41 | 1.20 | (0.38 | ) | |||||||||||||||
|
|
|||||||||||||||||||||||
Less distributions from net investment income |
(0.32 | ) | (0.56 | ) | (0.58 | ) | (0.66 | ) | (0.63 | ) | (0.22 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ | 22.80 | $ | 24.81 | $ | 26.32 | $ | 24.72 | $ | 24.97 | $ | 24.40 | ||||||||||||
|
|
|||||||||||||||||||||||
Total returnd |
(6.86)% | (3.70)% | 8.84% | 1.61% | 4.99% | (1.53)% | ||||||||||||||||||
Ratios to average net assetse | ||||||||||||||||||||||||
Expenses before waiver and payments by affiliates |
0.72% | 0.75% | 1.01% | 1.46% | 2.15% | 1.71% | ||||||||||||||||||
Expenses net of waiver and payments by affiliates |
0.30% | 0.30% | 0.30% | 0.30% | 0.30% | 0.30% | ||||||||||||||||||
Net investment income |
2.72% | 2.32% | 2.29% | 2.29% | 2.57% | 1.55% | ||||||||||||||||||
Supplemental data | ||||||||||||||||||||||||
Net assets, end of period (000’s) |
$88,934 | $76,908 | $42,112 | $12,362 | $7,490 | $7,319 | ||||||||||||||||||
Portfolio turnover ratef |
25.85%g | 27.62% | g | 14.05% | g | 35.28% | g | 35.63% | 17.49% |
aFor the period August 31, 2017 (commencement of operations) 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 and/or fluctuating fair 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.
fPortfolio turnover rate includes portfolio transactions that are executed as a result of the Fund offering and redeeming Creation Units solely for cash (“Cash creations”).
gPortfolio turnover rate excluding cash creations was as follows: | 25.85% | 27.62% | 14.05% | 35.28% |
92 |
Semiannual Report | The accompanying notes are an integral part of these financial statements. |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
Schedule of Investments, September 30, 2022 (unaudited)
Franklin Dynamic Municipal Bond ETF
Principal Amount* | Value | |||||||||
Municipal Bonds 100.9% | ||||||||||
Alabama 5.7% | ||||||||||
Black
Belt Energy Gas District, |
500,000 | $ | 487,192 | |||||||
Gas Project, Series 2022E, VRDN, 5.00%, 5/01/53 |
1,000,000 | 1,029,518 | ||||||||
Project No.4, Series 2019A-1, VRDN, 4.00%, 12/01/49 |
1,000,000 | 990,943 | ||||||||
Refunding, VRDN, 4.00%, 6/01/51 |
1,000,000 | 962,430 | ||||||||
Series 2022D-1, VRDN, 4.00%, 7/01/52 |
500,000 | 495,499 | ||||||||
County of Mobile, Gomesa Projects, 4.00%, 11/01/45 |
100,000 | 73,876 | ||||||||
Homewood
Educational Building Authority, Samford University, Refunding, Series
2019A, |
100,000 | 94,263 | ||||||||
Southeast
Energy Authority, |
500,000 | 475,266 | ||||||||
Cooperative District, Series 2022B-1, VRDN, 5.00%, 5/01/53 |
500,000 | 500,612 | ||||||||
|
|
|||||||||
5,109,599 | ||||||||||
|
|
|||||||||
Alaska 0.3% | ||||||||||
Alaska Industrial Development & Export Authority, Greater Fairbanks Community Hospital Foundation Obligated Group, Refunding, 4.00%, 4/01/32 |
100,000 | 98,013 | ||||||||
Borough
of Matanuska-Susitna, State of Alaska Department of Administration,
Refunding, |
150,000 | 151,560 | ||||||||
|
|
|||||||||
249,573 | ||||||||||
|
|
|||||||||
Arizona 1.6% | ||||||||||
Arizona Industrial Development Authority, 4.00%, 7/01/29 |
250,000 | 239,928 | ||||||||
City of Phoenix Civic Improvement Corp., Wastewater Revenue, Series 2018A, 5.00%, 7/01/25 |
100,000 | 104,660 | ||||||||
Glendale Industrial Development Authority, 4.00%, 5/15/31 |
160,000 | 144,416 | ||||||||
Industrial Development Authority of the City of Phoenix, Downtown Phoenix Student Housing II LLC, 5.00%, 7/01/31 |
100,000 | 99,782 | ||||||||
La
Paz County Industrial Development Authority, |
100,000 | 101,253 | ||||||||
5.00%, 2/15/31 |
100,000 | 99,089 | ||||||||
Maricopa County Union High School District No 210-Phoenix, Series 2020C, 5.00%, 7/01/31 |
170,000 | 186,461 | ||||||||
Sierra
Vista Industrial Development Authority, Georgetown Community Development
Authority, |
250,000 | 235,839 | ||||||||
Tempe
Industrial Development Authority, Tempe Life Care Village Obligated Group,
Refunding, |
200,000 | 175,727 | ||||||||
|
|
|||||||||
1,387,155 | ||||||||||
|
|
|||||||||
Arkansas 0.2% | ||||||||||
Arkansas
Development Finance Authority, |
100,000 | 92,939 | ||||||||
Baptist Memorial Health Care Obligated Group, Refunding, 5.00%, 9/01/32 |
100,000 | 101,892 | ||||||||
|
|
|||||||||
194,831 | ||||||||||
|
|
|||||||||
California 10.8% | ||||||||||
California Community College Financing Authority, NCCD-Napa Valley Properties LLC, Series 2022A, 4.25%, 7/01/32 |
500,000 | 464,743 | ||||||||
California
Municipal Finance Authority, |
100,000 | 84,329 | ||||||||
Biola University, Inc., Refunding, 5.00%, 10/01/29 |
100,000 | 104,135 | ||||||||
Caritas Corp., Refunding Series 2021B, 3.00%, 8/15/31 |
185,000 | 158,884 | ||||||||
Series 2020B, 4.00%, 9/01/30 |
50,000 | 47,825 | ||||||||
Series 2021A, 4.00%, 9/01/30 |
205,000 | 196,085 | ||||||||
Series 2021C, 4.00%, 9/01/31 |
295,000 | 279,015 | ||||||||
a |
California Pollution Control Financing Authority, CalPlant I LLC, AMT, 7.50%, 7/01/32 |
250,000 | 150,000 | |||||||
California
School Finance Authority, |
215,000 | 188,284 | ||||||||
John Adams Academies Obligated Group, Series 2022A, 4.50%, 7/01/32 |
250,000 | 233,289 | ||||||||
Summit Public Schools Obligated Group, 5.00%, 6/01/27 |
100,000 | 101,485 |
franklintempleton.com |
Semiannual Report |
93 |
FRANKLIN TEMPLETON ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Dynamic Municipal Bond ETF (continued)
Principal Amount* | Value | |||||||||
Municipal Bonds (continued) | ||||||||||
California (continued) | ||||||||||
California
Statewide Communities Development Authority, |
50,000 | $ | 49,972 | |||||||
Community Facilities District No 2015, 4.00%, 9/01/29 |
110,000 | 106,602 | ||||||||
Community Facilities District No 2015-01, 5.00%, 9/01/27 |
65,000 | 66,948 | ||||||||
Community Facilities District No 2016-02, 4.00%, 9/01/30 |
130,000 | 124,181 | ||||||||
Community Facilities District No 2018, 4.00%, 9/01/30 |
150,000 | 142,999 | ||||||||
Improvement Area No. 1, 4.00%, 9/01/31 |
200,000 | 184,509 | ||||||||
Southern California Edison Co, Refunding, 1.75%, 9/01/29 |
1,500,000 | 1,248,218 | ||||||||
Special Assessment, 4.00%, 9/02/28 |
250,000 | 240,995 | ||||||||
Special Assessment, 4.00%, 9/02/31 |
100,000 | 93,471 | ||||||||
Special Assessment, Series 2020B, 4.00%, 9/02/30 |
125,000 | 117,504 | ||||||||
Special Assessment, Series 2021A, 4.00%, 9/02/31 |
150,000 | 137,460 | ||||||||
Chino Community Facilities District, 4.00%, 9/01/30 |
150,000 | 143,245 | ||||||||
Chula Vista Community Facilities District, 4.00%, 9/01/31 |
100,000 | 92,960 | ||||||||
City of Calimesa, Community Facilities District No 2018-1, 4.00%, 9/01/33 |
150,000 | 139,599 | ||||||||
City of Fontana, Community Facilities District No 85, 4.00%, 9/01/30 |
150,000 | 143,764 | ||||||||
City of Gardena, 2.066%, 4/01/26 |
1,000,000 | 918,397 | ||||||||
City of Ontario, Community Facilities District No 45, 4.00%, 9/01/31 |
150,000 | 139,440 | ||||||||
City of Rancho Cordova, Community Facilities District No 2014-1, 5.00%, 9/01/31 |
205,000 | 211,948 | ||||||||
City of Sacramento, Greenbriar Community Facilities District No 2018-03, 4.00%, 9/01/31 |
200,000 | 190,280 | ||||||||
Corona-Norco Unified School District, Corona-Norco Unified School District Community Facilities District No 17-1, 4.00%, 9/01/34 |
105,000 | 94,354 | ||||||||
County of Orange, Village of Esencia, No 2017-1, Series 2018A, 5.00%, 8/15/28 |
100,000 | 105,476 | ||||||||
CSCDA Community Improvement Authority, Jefferson Anaheim Social Bonds, 2.875%, 8/01/41 |
155,000 | 123,872 | ||||||||
Elsinore
Valley Municipal Water District, Community Facilities District No 2020,
Series 2021A, |
100,000 | 95,760 | ||||||||
Irvine Unified School District, Series 2020A, 5.00%, 9/01/32 |
250,000 | 259,410 | ||||||||
Jurupa Community Services District, 4.00%, 9/01/28 |
145,000 | 141,679 | ||||||||
Marina Redevelopment Agency Successor Agency, Series 2020A, 4.00%, 9/01/32 |
135,000 | 124,321 | ||||||||
Perris Joint Powers Authority, Refunding, Series 2017B, 5.00%, 9/01/25 |
100,000 | 102,932 | ||||||||
Poway Unified School District, 5.00%, 9/01/32 |
250,000 | 265,404 | ||||||||
River
Islands Public Financing Authority, |
500,000 | 466,572 | ||||||||
Series 2021A-2, 4.00%, 9/01/30 |
200,000 | 190,284 | ||||||||
Riverside Unified School District, 4.00%, 9/01/30 |
245,000 | 230,383 | ||||||||
Romoland School District, Series 2020A, 4.00%, 9/01/33 |
140,000 | 127,882 | ||||||||
Sierra View Local Health Care District, Tulare County, Refunding, 5.00%, 7/01/30 |
100,000 | 104,798 | ||||||||
Sulphur Springs Union School District, Community Facilities District No 2014-1, 5.00%, 9/01/31 |
135,000 | 139,077 | ||||||||
Three Rivers Levee Improvement Authority, Refunding, 4.00%, 9/01/31 |
100,000 | 94,581 | ||||||||
Transbay
Joint Powers Authority, Redevelopment Project Green Bond Subordinate
Tax, |
500,000 | 464,307 | ||||||||
|
|
|||||||||
9,631,658 | ||||||||||
|
|
|||||||||
Colorado 1.8% | ||||||||||
City & County of Denver CO, Refunding, Series 2008A1, VRDN, 2.95%, 12/01/29 |
450,000 | 450,000 | ||||||||
Colorado Educational & Cultural Facilities Authority, Golden View Classical Academy, Refunding, 4.00%, 1/01/32 |
200,000 | 183,344 | ||||||||
Colorado
Health Facilities Authority, |
150,000 | 154,940 | ||||||||
Christian Living Neighborhoods Obligated Group, Refunding, 4.00%, 1/01/29 |
100,000 | 91,218 | ||||||||
Series 2019A-1, 5.00%, 8/01/33 |
160,000 | 161,748 | ||||||||
Regional
Transportation District, |
250,000 | 255,855 | ||||||||
Sales Tax Revenue, Refunding, Series 2013A, 5.00%, 11/01/27 |
100,000 | 108,340 | ||||||||
Southglenn Metropolitan District, Refunding, 5.00%, 12/01/30 |
100,000 | 96,856 | ||||||||
Southlands Metropolitan District No 1, Refunding, Series 2017A-1, 3.50%, 12/01/27 |
100,000 | 91,123 | ||||||||
|
|
|||||||||
1,593,424 | ||||||||||
|
|
94 |
Semiannual Report |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Dynamic Municipal Bond ETF (continued)
Principal Amount* | Value | |||||||||
Municipal Bonds (continued) | ||||||||||
Connecticut 1.7% | ||||||||||
Connecticut Housing Finance Authority, Refunding, Series 2016A-1, 2.875%, 11/15/30 |
135,000 | $ | 122,922 | |||||||
Connecticut
State Health & Educational Facilities Authority, |
135,000 | 141,822 | ||||||||
Series 2020A, 5.00%, 1/01/30 |
150,000 | 150,507 | ||||||||
State of Connecticut, Social Bond, Sereis 2021B, 3.00%, 6/01/32 |
1,050,000 | 939,489 | ||||||||
Steel Point Infrastructure Improvement District, Steelpointe Harbor Project, 4.00%, 4/01/31 |
200,000 | 183,937 | ||||||||
|
|
|||||||||
1,538,677 | ||||||||||
|
|
|||||||||
Delaware 0.1% | ||||||||||
County of Kent, CHF-Dover LLC, 5.00%, 7/01/29 |
100,000 | 97,481 | ||||||||
|
|
|||||||||
District of Columbia 0.2% | ||||||||||
District of Columbia, 5.50%, 2/28/35 |
200,000 | 205,463 | ||||||||
|
|
|||||||||
Florida 14.7% | ||||||||||
Abbott Square Community Development District, Special Assessment, Series 2022, 5.00%, 6/15/32 |
200,000 | 195,925 | ||||||||
Artisan
Lakes East Community Development District, Special Assessment, Series
2021-2, |
195,000 | 173,685 | ||||||||
Astonia
Community Development District, Assessment Area One Project, Special
Assessment, |
145,000 | 126,005 | ||||||||
Avalon
Groves Community Development District, Assessment Area 3, Special
Assessment, |
120,000 | 107,691 | ||||||||
Avalon Park West Community Development District, Special Assessment, Refunding, 3.25%, 5/01/30 |
100,000 | 85,612 | ||||||||
Avenir Community Development District, Assessment Area 2, Special Assessment, Series 2021A, 2.75%, 5/01/31 |
90,000 | 76,413 | ||||||||
Babcock
Ranch Community Independent Special District, |
50,000 | 42,491 | ||||||||
Assessment Area 3B, Special Assessment, 3.00%, 5/01/30 |
145,000 | 123,223 | ||||||||
Bannon Lakes Community Development District, Special Assessment, 3.00%, 5/01/31 |
200,000 | 165,652 | ||||||||
Belmond
Reserve Community Development District, Special Assessment, Series
2020, |
100,000 | 85,620 | ||||||||
Berry
Bay Community Development District, Assessment Area 1, Special
Assessment, |
100,000 | 83,165 | ||||||||
Black Creek Community Development District, 5.125%, 6/15/32 |
100,000 | 97,385 | ||||||||
Capital Projects Finance Authority, University Project, Series 2020A-1, 5.00%, 10/01/32 |
105,000 | 103,540 | ||||||||
Capital
Trust Agency, Inc., |
125,000 | 100,733 | ||||||||
Educational Growth Fund LLC, 3.375%, 7/01/31 |
100,000 | 84,469 | ||||||||
Liza Jackson Preparatory School, Inc., 4.00%, 8/01/30 |
100,000 | 95,905 | ||||||||
Lutz Preparatory School, Inc., Refunding, 4.00%, 6/01/31 |
200,000 | 191,845 | ||||||||
WFCS Holdings II LLC, Series 2021A, 3.30%, 1/01/31 |
300,000 | 252,800 | ||||||||
Celebration Community Development District, Assessment Area One Project, Special Assessment, 2.25%, 5/01/26 |
105,000 | 93,459 | ||||||||
Coddington Community Development District, Special Assessment, 5.00%, 5/01/32 |
275,000 | 274,162 | ||||||||
Coral Keys Homes Community Development District, Special Assessment, 3.125%, 5/01/30 |
165,000 | 140,930 | ||||||||
Cordoba Ranch Community Development District, Special Assessment, Refunding, 3.00%, 5/01/31 |
100,000 | 82,631 | ||||||||
Cordova
Palms Community Development District, |
135,000 | 133,523 | ||||||||
Special Assessment, 2.80%, 5/01/31 |
100,000 | 81,323 | ||||||||
County of Osceola, Refunding, Series 2020A-2, zero cpn., 10/01/32 |
150,000 | 89,217 | ||||||||
Crestview II Community Development District, Special Assessment, Refunding, 4.00%, 5/01/31 |
126,000 | 118,538 | ||||||||
Cypress Bluff Community Development District, Special Assessment, Series 2020A, 3.125%, 5/01/30 |
60,000 | 51,280 | ||||||||
Cypress
Park Estates Community Development District, Special Assessment, Series
2022, |
150,000 | 146,173 | ||||||||
DW Bayview Community Development District, Special Assessment, 3.00%, 5/01/32 |
100,000 | 82,153 | ||||||||
East Bonita Beach Road Community Development District, Special Assessment, 3.00%, 5/01/32 |
100,000 | 81,137 | ||||||||
Edgewater East Community Development District, Special Assessment, 3.10%, 5/01/31 |
100,000 | 83,610 | ||||||||
Enbrook Community Development District, Special Assessment, 3.00%, 5/01/30 |
100,000 | 84,599 | ||||||||
Entrada Community Development District, Special Assessment, 2.125%, 5/01/26 |
100,000 | 89,269 |
franklintempleton.com |
Semiannual Report |
95 |
FRANKLIN TEMPLETON ETF TRUST
SHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Dynamic Municipal Bond ETF (continued)
Principal Amount* | Value | |||||||||
Municipal Bonds (continued) | ||||||||||
Florida (continued) | ||||||||||
Epperson
North Community Development District, Assessment Area 2, Special
Assessment, |
85,000 | $ | 69,754 | |||||||
Florida
Development Finance Corp., |
175,000 | 160,168 | ||||||||
Brightline Trains Florida LLC, Refunding, VRDN, 7.25%, 7/01/57 |
250,000 | 244,079 | ||||||||
Glenridge on Palmer Ranch Obligated Group, Refunding, 5.00%, 6/01/31 |
200,000 | 185,609 | ||||||||
Mayflower Retirement Community, Refunding, 4.00%, 6/01/31 |
100,000 | 87,503 | ||||||||
Shands Jacksonville Medical Center Obligated Group, Refunding, 5.00%, 2/01/38 |
1,400,000 | 1,322,131 | ||||||||
Forest
Lake Community Development District, Assessment Area 1 Project, Special
Assessment, |
145,000 | 129,352 | ||||||||
Grand Oaks Community Development District, Special Assessment, 4.00%, 5/01/30 |
150,000 | 141,538 | ||||||||
Hammock Reserve Community Development District, Assessment Area One Project, Special Assessment, 3.25%, 5/01/30 |
100,000 | 86,160 | ||||||||
Herons Glen Recreation District, Special Assessment, Refunding, 3.00%, 5/01/32 |
100,000 | 89,843 | ||||||||
Hills
of Minneola Community Development District, |
75,000 | 66,920 | ||||||||
South Parcel Assessment Area, Special Assessment, 3.50%, 5/01/31 |
100,000 | 86,643 | ||||||||
Holly Hill Road East Community Development District, Assessment Area 3 Project, Special Assessment, 4.00%, 11/01/25 |
85,000 | 83,658 | ||||||||
Indigo Community Development District, 2021 Assessment Area, Phase A1, Special Assessment, 2.70%, 5/01/31 |
100,000 | 80,563 | ||||||||
Kindred
Community Development District II, |
70,000 | 62,603 | ||||||||
Special Assessment, 3.00%, 5/01/30 |
155,000 | 132,282 | ||||||||
Kingman
Gate Community Development District, |
85,000 | 76,737 | ||||||||
Special Assessment, 3.125%, 6/15/30 |
110,000 | 94,973 | ||||||||
Lakes
of Sarasota Community Development District, |
135,000 | 118,356 | ||||||||
Special Assessment, Series 2021B-1, 3.00%, 5/01/26 |
115,000 | 107,767 | ||||||||
Lakewood
Ranch Stewardship District, |
100,000 | 85,717 | ||||||||
Special Assessment, 3.125%, 5/01/30 |
60,000 | 51,179 | ||||||||
Special Assessment, 3.20%, 5/01/30 |
175,000 | 150,377 | ||||||||
Star Farms at Lakewood Ranch Proj-Phase 1/2, Special Assessment, 2.70%, 5/01/31 |
100,000 | 83,743 | ||||||||
Laurel Road Community Development District, Special Assessment, Series 2021A-1, 2.60%, 5/01/26 |
100,000 | 91,370 | ||||||||
Lawson Dunes Community Development District, Special Assessment, 4.375%, 5/01/27 |
200,000 | 194,977 | ||||||||
Magnolia Park Community Development District, Special Assessment, Refunding, 4.00%, 5/01/31 |
47,000 | 44,223 | ||||||||
Meadow
View at Twin Creeks Community Development District, Phase 4, Special
Assessment, |
75,000 | 61,572 | ||||||||
Miami
Health Facilities Authority, Miami Jewish Health Systems Obligated Group,
Refunding, |
150,000 | 141,400 | ||||||||
Mirada
Community Development District, Assessment Area Four, Special
Assessment, |
200,000 | 164,423 | ||||||||
Mirada II Community Development District, Special Assessment, 3.125%, 5/01/31 |
100,000 | 82,774 | ||||||||
North AR-1 Pasco Community Development District, Assessment Area Two, Special Assessment, |
||||||||||
Series 2021A, 3.25%, 5/01/31 |
100,000 | 82,606 | ||||||||
North Powerline Road Community Development District, Special Assessment, 4.75%, 5/01/27 |
280,000 | 273,805 | ||||||||
Old Hickory Community Development District, Special Assessment, 3.00%, 6/15/30 |
100,000 | 86,320 | ||||||||
b |
Orange County Health Facilities Authority, Presbyterian Retirement Communities, Inc. Obligated Group, Refunding, Series 2023A, 5.00%, 8/01/32 |
500,000 | 491,424 | |||||||
Palm
Beach County Health Facilities Authority, Jupiter Medical Center Obligated
Group, |
100,000 | 101,898 | ||||||||
Palm Coast Park Community Development District, 4.15%, 5/01/27 |
200,000 | 196,278 | ||||||||
Parkview at Long Lake Ranch Community Development District, Special Assessment, 3.125%, 5/01/30 |
100,000 | 85,282 | ||||||||
Parrish Plantation Community Development District, Special Assessment, 3.125%, 5/01/31 |
100,000 | 85,788 | ||||||||
Pine Ridge Plantation Community Development District, Subordinate Lien, Special Assessment, Refunding, Series 2020A-2, 3.30%, 5/01/30 |
150,000 | 128,924 |
96 |
Semiannual Report |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Dynamic Municipal Bond ETF (continued)
Principal Amount* | Value | |||||||||
Municipal Bonds (continued) | ||||||||||
Florida (continued) | ||||||||||
Preserve
at South Branch Community Development District, Special Assessment, Series
2021, |
100,000 | $ | 83,421 | |||||||
Reunion East Community Development District, Special Assessment, 2.85%, 5/01/31 |
100,000 | 83,948 | ||||||||
River
Hall Community Development District, |
100,000 | 84,800 | ||||||||
Special Assessment, Refunding, Series 2021A-2, 3.00%, 5/01/24 |
30,000 | 29,182 | ||||||||
Special Assessment, Refunding, Series 2021A-2, 3.00%, 5/01/25 |
40,000 | 37,993 | ||||||||
Rivers Edge II Community Development District, Special Assessment,, 3.00%, 5/01/31 |
100,000 | 81,985 | ||||||||
Rivers Edge III Community Development District, Special Assessment,, 2.40%, 5/01/26 |
100,000 | 89,675 | ||||||||
Saddle
Creek Preserve of Polk County Community Development District, Special
Assessment, |
80,000 | 67,753 | ||||||||
Sanctuary Cove Community Development District, Special Assessment, 2.125%, 5/01/26 |
135,000 | 119,371 | ||||||||
Sandmine
Road Community Development District, |
100,000 | 85,429 | ||||||||
Assessment Area Two, Special Assessment, 2.30%, 11/01/26 |
50,000 | 44,063 | ||||||||
Sandridge Community Development District, Special Assessment, Series 2021A1, 2.875%, 5/01/26 |
120,000 | 109,489 | ||||||||
Sarasota National Community Development District, Special Assessment, Refunding, 3.50%, 5/01/31 |
100,000 | 87,809 | ||||||||
Sawyers Landing Community Development District, Special Assessment, 3.75%, 5/01/31 |
150,000 | 132,690 | ||||||||
Shingle Creek at Bronson Community Development District, Special Assessment, 3.10%, 6/15/31 |
100,000 | 84,031 | ||||||||
Six Mile Creek Community Development District, Assessment Area 2, Phase 3, Special Assessment, 3.10%, 5/01/31 |
75,000 | 61,652 | ||||||||
Stillwater Community Development District, 2021 Project, Special Assessment, 3.00%, 6/15/31 |
100,000 | 82,778 | ||||||||
Summer Woods Community Development District, Assessment Area Three Project, Special Assessment, 3.15%, 5/01/31 |
75,000 | 61,830 | ||||||||
Sunbridge Stewardship District, Special Assessment, 4.50%, 5/01/27 |
235,000 | 233,746 | ||||||||
Tamarindo Community Development District, Special Assessment, 3.00%, 5/01/31 |
100,000 | 82,855 | ||||||||
Timber
Creek Southwest Community Development District, Special Assessment, Series
2020, |
150,000 | 126,970 | ||||||||
Tohoqua
Community Development District, |
140,000 | 126,234 | ||||||||
Special Assessment, 2.875%, 5/01/31 |
100,000 | 81,858 | ||||||||
Tradition Community Development District No 9, Special Assessment, 2.70%, 5/01/31 |
100,000 | 80,486 | ||||||||
Trevesta Community Development District, Special Assessment, 3.25%, 5/01/30 |
100,000 | 85,392 | ||||||||
V-Dana Community Development
District, |
150,000 | 129,333 | ||||||||
Assessment Area One-2021 Project, Special Assessment, Series 2021P, 3.125%, 5/01/31 |
100,000 | 83,449 | ||||||||
Veranda Community Development District II, Special Assessment, Refunding, 3.10%, 5/01/31 |
100,000 | 83,373 | ||||||||
Viera Stewardship District, Village 2, Special Assessment, Series 2021, 2.80%, 5/01/31 |
130,000 | 105,822 | ||||||||
Village
Community Development District No 13, Limited Offering, Special
Assessment, |
100,000 | 89,688 | ||||||||
West
Villages Improvement District, Unit of Development No 7, Special
Assessment, |
100,000 | 84,287 | ||||||||
Windward Community Development District, Special Assessment, Series 2020A-1, 3.65%, 5/01/30 |
100,000 | 87,831 | ||||||||
Wiregrass
II Community Development District, Assessment Area Two, Special
Assessment, |
225,000 | 219,455 | ||||||||
|
|
|||||||||
13,063,560 | ||||||||||
|
|
|||||||||
Georgia 3.9% | ||||||||||
Development
Authority of Rockdale County, AHPC Terraces at Fieldstone LLC, Series
2021B-S, |
100,000 | 76,711 | ||||||||
George L Smith II Congress Center Authority, Signia Hotel Management LLC,, 3.625%, 1/01/31 |
350,000 | 295,823 | ||||||||
Main
Street Natural Gas, Inc., |
1,500,000 | 1,412,015 | ||||||||
Series 2019A, 5.00%, 5/15/29 |
100,000 | 102,990 | ||||||||
Series 2022A, VRDN, 4.00%, 9/01/52 |
500,000 | 469,513 | ||||||||
Series 2022B, 5.00%, 12/01/52 |
1,000,000 | 999,722 | ||||||||
Municipal Electric Authority of Georgia, Refunding, Series 2019A, 5.00%, 1/01/33 |
100,000 | 103,397 | ||||||||
|
|
|||||||||
3,460,171 | ||||||||||
|
|
franklintempleton.com |
Semiannual Report |
97 |
FRANKLIN TEMPLETON ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Dynamic Municipal Bond ETF (continued)
Principal Amount* | Value | |||||||||
Municipal Bonds (continued) | ||||||||||
Guam 0.1% | ||||||||||
Guam Government Waterworks Authority, Refunding, 5.00%, 7/01/30 |
125,000 | $ | 128,954 | |||||||
|
|
|||||||||
Illinois 14.9% | ||||||||||
Chicago
Board of Education, |
500,000 | 506,550 | ||||||||
Series B, 5.00%, 12/01/30 |
435,000 | 436,976 | ||||||||
Series B, 5.00%, 12/01/31 |
250,000 | 249,620 | ||||||||
Chicago
Park District, |
770,000 | 796,175 | ||||||||
Refunding, Series 2020F-2, 5.00%, 1/01/31 |
100,000 | 104,402 | ||||||||
City of Berwyn, Refunding Series 2022B, 4.00%, 12/01/41 |
1,000,000 | 904,431 | ||||||||
City of Chicago, |
||||||||||
Refunding, Series 2021A, 5.00%, 1/01/33 |
640,000 | 637,636 | ||||||||
zero cpn., 1/01/31 |
875,000 | 592,094 | ||||||||
Illinois
Finance Authority, |
100,000 | 1 | ||||||||
Lifespace Communities, Inc. Obligated Group, Refunding, Series 2015A, 5.00%, 5/15/24 |
245,000 | 245,853 | ||||||||
Refunding, 4.00%, 10/01/31 |
180,000 | 162,593 | ||||||||
Refunding, Monthly, VRDN, 3.272%, 11/01/34 |
400,000 | 395,711 | ||||||||
Metropolitan
Pier & Exposition Authority, |
1,000,000 | 966,617 | ||||||||
McCormick Project, Refunding, zero cpn., 6/15/28 |
100,000 | 77,380 | ||||||||
McCormick Project, zero cpn., 12/15/32 |
85,000 | 51,431 | ||||||||
Railsplitter Tobacco Settlement Authority, 5.00%, 6/01/27 |
100,000 | 103,987 | ||||||||
Southwestern
Illinois Development Authority, Madison County Community Unit School
District No |
245,000 | 224,600 | ||||||||
State
of Illinois, |
745,000 | 682,135 | ||||||||
5.50%, 1/01/30 |
670,000 | 707,000 | ||||||||
5.50%, 5/01/30 |
175,000 | 184,847 | ||||||||
Refunding, Series 2016B, 5.00%, 10/01/31 |
475,000 | 481,862 | ||||||||
Series 2017C, 5.00%, 11/01/29 |
200,000 | 203,713 | ||||||||
Series 2020B, 5.00%, 10/01/31 |
150,000 | 152,766 | ||||||||
Series 2021B, 3.00%, 12/01/41 |
500,000 | 356,076 | ||||||||
Series B, 5.00%, 3/01/26 |
1,000,000 | 1,017,650 | ||||||||
State
of Illinois Sales Tax Revenue, |
695,000 | 736,402 | ||||||||
Series A, 4.00%, 6/15/27 |
1,485,000 | 1,497,600 | ||||||||
Series D, 4.00%, 6/15/30 |
625,000 | 617,569 | ||||||||
Upper Illinois River Valley Development Authority, Refunding, 3.50%, 12/01/32 |
125,000 | 103,917 | ||||||||
Village of Villa Park, Garden Station Redevelopment Area, 12/31/38 |
100,000 | 68,342 | ||||||||
|
|
|||||||||
13,265,936 | ||||||||||
|
|
|||||||||
Indiana 0.7% | ||||||||||
City of Goshen, Green Oaks of Goshen LLC, 4.75%, 8/01/24 |
130,000 | 122,951 | ||||||||
City of Jeffersonville, Vivera Senior Living of Columbus LLC, Series 2020A, 4.75%, 11/01/30 |
100,000 | 86,461 | ||||||||
Indiana
Finance Authority, |
150,000 | 132,620 | ||||||||
University of Evansville, 7.00%, 9/01/32 |
180,000 | 165,494 | ||||||||
Indiana
Housing & Community Development Authority, Vita of Marion LLC,
Series 2021A, |
100,000 | 85,066 | ||||||||
|
|
|||||||||
592,592 | ||||||||||
|
|
|||||||||
Iowa 0.7% | ||||||||||
Iowa Tobacco Settlement Authority, Refunding, Series 2021B-1, 4.00%, 6/01/49 |
710,000 | 628,949 | ||||||||
|
|
|||||||||
Kansas 0.2% | ||||||||||
City
of Manhattan, Meadowlark Hills Retirement Community Obligated Group,
Refunding |
170,000 | 158,833 | ||||||||
|
|
98 |
Semiannual Report |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Dynamic Municipal Bond ETF (continued)
Principal Amount* | Value | |||||||||
Municipal Bonds (continued) | ||||||||||
Kentucky 0.8% | ||||||||||
County of Owen, Refunding, VRDN, 2.45%, 6/01/39 |
100,000 | $ | 85,227 | |||||||
Kentucky
Public Energy Authority, Kentucky Public Energy Authority, , Series
2022A2, Daily, |
625,000 | 562,977 | ||||||||
Louisville/Jefferson County Metropolitan Government, Refunding, 4.00%, 5/01/29 |
100,000 | 92,408 | ||||||||
|
|
|||||||||
740,612 | ||||||||||
|
|
|||||||||
Louisiana 0.8% | ||||||||||
Lakeshore Villages Master Community Development District, 5.00%, 6/01/32 |
245,000 | 240,752 | ||||||||
Louisiana
Local Government Environmental Facilities & Community Development
Authority, |
190,000 | 139,656 | ||||||||
5.00%, 7/01/29 |
100,000 | 92,576 | ||||||||
Patriot Services Group Obligated Group, 5.25%, 10/01/32 |
145,000 | 122,359 | ||||||||
Port New Orleans Board of Commissioners, AMT, Series 2020E, 5.00%, 4/01/34 |
100,000 | 100,695 | ||||||||
|
|
|||||||||
696,038 | ||||||||||
|
|
|||||||||
Maryland 0.6% | ||||||||||
City of Baltimore, Harbor Point Special Taxing District, Refunding, 3.25%, 6/01/31 |
100,000 | 84,836 | ||||||||
County of Frederick, Oakdale-Lake Linganore Development District, 3.25%, 7/01/29 |
140,000 | 124,318 | ||||||||
Maryland Economic Development Corp., Ports America Chesapeake LLC, Refunding, Series 2017A, 5.00%, 6/01/27 |
100,000 | 104,595 | ||||||||
Maryland
Health & Higher Educational Facilities Authority, |
145,000 | 139,984 | ||||||||
Refunding, 5.00%, 6/01/30 |
100,000 | 103,135 | ||||||||
|
|
|||||||||
556,868 | ||||||||||
|
|
|||||||||
Massachusetts 0.6% | ||||||||||
Massachusetts Development Finance Agency, |
||||||||||
Foxborough Regional Charter School, Refunding, 5.00%, 7/01/27 |
100,000 | 100,885 | ||||||||
Salem Community Corp. Obligated Group, Refunding, 5.00%, 1/01/28 |
200,000 | 195,927 | ||||||||
Wellforce Obligated Group, Refunding, Series 2020C, 5.00%, 10/01/30 |
200,000 | 215,014 | ||||||||
|
|
|||||||||
511,826 | ||||||||||
|
|
|||||||||
Michigan 1.3% | ||||||||||
Grand Rapids Economic Development Corp., Refunding, 4.00%, 11/01/27 |
100,000 | 92,387 | ||||||||
Green
Lake Township Economic Development Corp., Interlochen Center for the Arts,
VRDN, |
500,000 | 500,000 | ||||||||
Kalamazoo Economic Development Corp., Refunding, 5.00%, 8/15/31 |
110,000 | 102,946 | ||||||||
Michigan
Finance Authority, |
190,000 | 182,356 | ||||||||
Lawrence Technological University Obligated Group, Refunding, 4.00%, 2/01/32 |
285,000 | 256,880 | ||||||||
|
|
|||||||||
1,134,569 | ||||||||||
|
|
|||||||||
Minnesota 1.1% | ||||||||||
City of Eagan, Series 2018A, 4.00%, 2/01/26 |
100,000 | 102,471 | ||||||||
County of Mille Lacs, Series 2018A, 3.00%, 2/01/24 |
135,000 | 134,149 | ||||||||
Duluth Economic Development Authority, Refunding, 4.00%, 7/01/31 |
125,000 | 116,564 | ||||||||
Housing & Redevelopment Authority of The City of St Paul Minnesota, Episcopal Homes Obligated Group, Refunding, 4.00%, 11/01/33 |
135,000 | 112,698 | ||||||||
Minnesota Higher Education Facilities Authority, University of St Thomas/Minneapolis, Series 2022B, 5.00%, 10/01/30 |
250,000 | 268,235 | ||||||||
Northern Municipal Power Agency, Refunding, 5.00%, 1/01/36 |
100,000 | 104,774 | ||||||||
St Louis Park Independent School District No 283, Series 2018A, 5.00%, 2/01/25 |
100,000 | 104,062 | ||||||||
|
|
|||||||||
942,953 | ||||||||||
|
|
|||||||||
Mississippi 0.4% | ||||||||||
Mississippi Development Bank, Magnolia Regional Health Center, Refunding, 5.00%, 10/01/31 |
150,000 | 153,284 | ||||||||
Mississippi Home Corp., |
||||||||||
Patriot Services Group Obligated Group, Series 2021D-8, 3.50%, 6/01/33 |
100,000 | 78,776 |
franklintempleton.com |
Semiannual Report |
99 |
FRANKLIN TEMPLETON ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Dynamic Municipal Bond ETF (continued)
Principal Amount* | Value | |||||||||
Municipal Bonds (continued) | ||||||||||
Mississippi (continued) | ||||||||||
Patriot Services Group Pascagoula Portfolio II Obligated Group, Series 2021A, 3.65%, 6/01/33 |
100,000 | $ | 79,943 | |||||||
|
|
|||||||||
312,003 | ||||||||||
|
|
|||||||||
Missouri 1.4% | ||||||||||
Cape Girardeau County Industrial Development Authority, SoutheastHEALTH Obligated Group, 5.00%, 3/01/29 |
130,000 | 132,413 | ||||||||
City of Maryland Heights, Westport Plaza Redevelopment, 3.625%, 11/01/31 |
80,000 | 70,495 | ||||||||
Missouri Development Finance Board, City of Independence, Refunding, 5.00%, 3/01/30 |
930,000 | 943,320 | ||||||||
St Louis County Industrial Development Authority, Refunding, 5.00%, 9/01/27 |
100,000 | 97,786 | ||||||||
|
|
|||||||||
1,244,014 | ||||||||||
|
|
|||||||||
Montana 0.1% | ||||||||||
Cascade County High School District A Great Falls, 5.00%, 7/01/25 |
100,000 | 104,232 | ||||||||
|
|
|||||||||
Nebraska 1.1% | ||||||||||
Central Plains Energy Project, Series 2022-1, VRDN, 5.00%, 5/01/53 |
1,000,000 | 1,001,529 | ||||||||
|
|
|||||||||
Nevada 1.0% | ||||||||||
City of Carson City, Carson Tahoe Regional Healthcare Obligated Group, 5.00%, 9/01/28 |
140,000 | 144,512 | ||||||||
City
of Las Vegas, |
200,000 | 167,713 | ||||||||
Special Assessment, 4.00%, 12/01/22 |
95,000 | 94,970 | ||||||||
Special Improvement District No 611, Special Assessment, 3.50%, 6/01/31 |
160,000 | 139,311 | ||||||||
Tahoe-Douglas Visitors Authority, 5.00%, 7/01/31 |
250,000 | 252,203 | ||||||||
Washoe County School District, Series 2017C, 5.00%, 10/01/26 |
100,000 | 106,151 | ||||||||
|
|
|||||||||
904,860 | ||||||||||
|
|
|||||||||
New Hampshire 0.1% | ||||||||||
New Hampshire Health and Education Facilities Authority Act, University System of New Hampshire Obligated Group, Refunding, Series 2017A, 5.00%, 7/01/27 |
100,000 | 107,622 | ||||||||
|
|
|||||||||
New Jersey 5.5% | ||||||||||
Camden County Improvement Authority, Camden Prep High School Project, 5.00%, 7/15/32 |
250,000 | 248,019 | ||||||||
New
Jersey Economic Development Authority, |
200,000 | 208,199 | ||||||||
5.00%, 7/01/32 |
100,000 | 94,314 | ||||||||
AMT, Refunding, VRDN, 2.20%, 10/01/39 |
100,000 | 85,170 | ||||||||
United Airlines, Inc., 5.25%, 9/15/29 |
250,000 | 247,701 | ||||||||
New Jersey Educational Facilities Authority, Seton Hall University, Series 2016C, 5.00%, 7/01/29 . |
240,000 | 246,792 | ||||||||
New
Jersey Transportation Trust Fund Authority, |
100,000 | 104,278 | ||||||||
Refunding, Series 2021A, 5.00%, 6/15/28 |
265,000 | 275,733 | ||||||||
Refunding, Series 2021A, 5.00%, 6/15/31 |
1,840,000 | 1,919,229 | ||||||||
Transportation Program Bonds, Sereis 2022BB, 5.00%, 6/15/34 |
1,000,000 | 1,016,911 | ||||||||
Pinelands Regional School District, 3.00%, 8/01/27 |
100,000 | 94,822 | ||||||||
State of New Jersey, Series 2020A, 4.00%, 6/01/31 |
180,000 | 181,530 | ||||||||
Tobacco Settlement Financing Corp., Refunding, Series 2018A, 5.00%, 6/01/30 |
190,000 | 196,137 | ||||||||
|
|
|||||||||
4,918,835 | ||||||||||
|
|
|||||||||
New York 4.7% | ||||||||||
Genesee County Funding Corp., Rochester Regional Health Obligated Group, 5.00%, 12/01/29 |
200,000 | 209,356 | ||||||||
Metropolitan
Transportation Authority, |
1,255,000 | 1,293,472 | ||||||||
Green Bond, Series 2017C-1, 5.00%, 11/15/30 |
1,140,000 | 1,169,559 | ||||||||
New York State Dormitory Authority, St Joseph’s College, 5.00%, 7/01/30 |
65,000 | 67,338 | ||||||||
New
York Transportation Development Corp., |
120,000 | 110,740 | ||||||||
3.00%, 8/01/31 |
210,000 | 183,952 | ||||||||
AMT, 5.25%, 8/01/31 |
90,000 | 90,055 | ||||||||
AMT, Refunding, 5.00%, 12/01/30 |
100,000 | 102,011 | ||||||||
Delta Air Lines, Inc., AMT, 4.00%, 10/01/30 |
225,000 | 211,315 |
100 |
Semiannual Report |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Dynamic Municipal Bond ETF (continued)
Principal Amount* | Value | |||||||||
Municipal Bonds (continued) | ||||||||||
New York (continued) | ||||||||||
Laguardia Gateway Partners LLCTerm B, AMT, 5.00%, 7/01/30 |
100,000 | $ | 101,215 | |||||||
Refunding, 5.00%, 12/01/30 |
150,000 | 156,528 | ||||||||
Port Authority of New York & New Jersey, Series 230TH, 3.00%, 12/01/31 |
500,000 | 446,629 | ||||||||
|
|
|||||||||
4,142,170 | ||||||||||
|
|
|||||||||
North Carolina 0.1% | ||||||||||
North Carolina Medical Care Commission, United Methodist Retirement Homes, Inc. Obligated Group, 5.00%, 10/01/27 |
100,000 | 104,636 | ||||||||
|
|
|||||||||
North Dakota 0.1% | ||||||||||
County of Grand Forks, Red River Biorefinery LLC, AMT, 6.625%, 12/15/31 |
125,000 | 74,403 | ||||||||
|
|
|||||||||
Ohio 2.5% | ||||||||||
Akron Bath Copley Joint Township Hospital District, Summa Health System Obligated Group, Refunding, 4.00%, 11/15/33 |
150,000 | 133,716 | ||||||||
Buckeye Tobacco Settlement Financing Authority, Refunding, Series 2020A-2, Class 1, 5.00%, 6/01/28 |
175,000 | 182,330 | ||||||||
County of Cuyahoga OH, Eliza Jennings Obligated Group, Refunding, 5.00%, 5/15/32 |
600,000 | 582,149 | ||||||||
County of Franklin, |
||||||||||
Nationwide Children’s Hospital, Inc., 5.00%, 11/01/28 |
100,000 | 106,839 | ||||||||
Ohio Living Obligated Group, Refunding, 4.00%, 7/01/33 |
200,000 | 182,446 | ||||||||
Trinity Health Corp Obligated Group, Series 2019A, 5.00%, 12/01/31 |
100,000 | 106,886 | ||||||||
Wesley Communities Obligated Group, Refunding, 5.00%, 11/15/30 |
100,000 | 96,187 | ||||||||
County of Hamilton, UC Health Obligated Group, 5.00%, 9/15/33 |
100,000 | 102,894 | ||||||||
Franklin County Convention Facilities Authority, 5.00%, 12/01/30 |
100,000 | 102,168 | ||||||||
Ohio Air Quality Development Authority, AMT, 3.75%, 1/15/28 |
100,000 | 99,724 | ||||||||
Ohio Higher Educational Facility Commission, Cleveland Institute of Music/The, 5.00%, 12/01/32 . |
300,000 | 297,493 | ||||||||
State of Ohio, Refunding, 5.00%, 11/15/33 |
200,000 | 203,634 | ||||||||
|
|
|||||||||
2,196,466 | ||||||||||
|
|
|||||||||
Oregon 1.1% | ||||||||||
Medford Hospital Facilities Authority, Asante Health System Obligated Group, Series 2020A, 5.00%, 8/15/33 |
200,000 | 207,063 | ||||||||
Oregon State Facilities Authority, PeaceHealth Obligated Group, Series 2018B, 2.75%, 8/01/34 |
400,000 | 400,000 | ||||||||
Union County Hospital Facility Authority, Grande Ronde Hospital Inc Obligated Group, 5.00%, 7/01/31 |
340,000 | 346,220 | ||||||||
|
|
|||||||||
953,283 | ||||||||||
|
|
|||||||||
Pennsylvania 1.6% | ||||||||||
Allegheny County Higher Education Building Authority, Robert Morris University, 5.00%, 10/15/26 |
100,000 | 100,664 | ||||||||
Allentown Neighborhood Improvement Zone Development Authority, 5.00%, 5/01/28 |
100,000 | 100,161 | ||||||||
Bucks County Industrial Development Authority, Grand View Hospital/Sellersville PA Obligated Group, 5.00%, 7/01/32 |
150,000 | 147,823 | ||||||||
Franklin County Industrial Development Authority, Refunding, 5.00%, 12/01/28 |
100,000 | 95,302 | ||||||||
Luzerne County Industrial Development Authority, Pennsylvania-American Water Co., AMT, Refunding, VRDN, 2.45%, 12/01/39 |
100,000 | 86,512 | ||||||||
Pennsylvania Economic Development Financing Authority, UPMC Obligated Group, Series 2017A, 3.375%, 11/15/33 |
125,000 | 110,931 | ||||||||
Philadelphia
Authority for Industrial Development, |
150,000 | 151,407 | ||||||||
Philadelphia Electrical & Technology Charter High School, 4.00%, 6/01/31 |
100,000 | 92,438 | ||||||||
Redevelopment Authority of the City of Philadelphia, Social Bond, Series 2021A, 2.799%, 9/01/33 |
500,000 | 409,575 | ||||||||
Westmoreland County Industrial Development Authority, Excela Health Obligated Group, Refunding, Series 2020A, 5.00%, 7/01/30 |
100,000 | 104,262 | ||||||||
|
|
|||||||||
1,399,075 | ||||||||||
|
|
|||||||||
Puerto Rico 2.8% | ||||||||||
Commonwealth
of Puerto Rico, |
3,219 | 2,960 | ||||||||
Series 2021A, zero cpn., 7/01/33 |
12,391 | 6,851 |
franklintempleton.com |
Semiannual Report |
101 |
FRANKLIN TEMPLETON ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Dynamic Municipal Bond ETF (continued)
Principal Amount* | Value | |||||||||
Municipal Bonds (continued) | ||||||||||
Puerto Rico (continued) | ||||||||||
Series 2021A1, 4.00%, 7/01/33 |
359,628 | $ | 317,060 | |||||||
Series 2021A1, 4.00%, 7/01/35 |
8,654 | 7,419 | ||||||||
Series 2021A1, 4.00%, 7/01/37 |
7,428 | 6,115 | ||||||||
Series 2021A1, 4.00%, 7/01/41 |
10,099 | 7,911 | ||||||||
Series 2021A1, 4.00%, 7/01/46 |
110,503 | 83,053 | ||||||||
Series 2021A1, 5.25%, 7/01/23 |
105,373 | 105,868 | ||||||||
Series 2021A1, 5.375%, 7/01/25 |
10,723 | 10,835 | ||||||||
Series 2021A1, 5.625%, 7/01/27 |
10,626 | 10,860 | ||||||||
Series 2021A1, 5.625%, 7/01/29 |
10,454 | 10,710 | ||||||||
Series 2021A1, 5.75%, 7/01/31 |
10,154 | 10,373 | ||||||||
VRDN, 11/01/43 |
48,075 | 24,098 | ||||||||
GDB Debt Recovery Authority of Puerto Rico, 7.50%, 8/20/40 |
335,671 | 295,390 | ||||||||
Puerto
Rico Electric Power Authority, |
170,000 | 171,573 | ||||||||
Refunding, Series 2007VV, 5.25%, 7/01/32 |
175,000 | 172,314 | ||||||||
Puerto
Rico Highway & Transportation Authority, |
200,000 | 198,031 | ||||||||
Refunding, Series 2007CC, 5.50%, 7/01/29 |
250,000 | 254,606 | ||||||||
Series 2007CC, 5.50%, 7/01/28 |
155,000 | 158,356 | ||||||||
Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue, Series 2018A-1, zero cpn., 7/01/31 |
1,043,000 | 664,524 | ||||||||
|
|
|||||||||
2,518,907 | ||||||||||
|
|
|||||||||
South Carolina 0.6% | ||||||||||
County of Richland, Village at Sandhill Improvement District, Special Assessment, Refunding, 3.00%, 11/01/26 |
100,000 | 89,193 | ||||||||
Patriots Energy Group, Refunding, 4.00%, 6/01/33 |
100,000 | 94,441 | ||||||||
South Carolina Jobs-Economic Development Authority, |
||||||||||
AHPC Vista Towers 2021 LLC, 3.65%, 12/01/36 |
100,000 | 75,487 | ||||||||
Columbia Portfolio Obligated Group, 6/01/37 |
315,000 | 194,255 | ||||||||
Orchard Pk and Willowbrook Apartment, 3.65%, 12/01/36 |
100,000 | 75,564 | ||||||||
|
|
|||||||||
528,940 | ||||||||||
|
|
|||||||||
Tennessee 0.8% | ||||||||||
City of Lawrenceburg, Refunding, 2.50%, 6/01/27 |
100,000 | 94,804 | ||||||||
Cleveland Housing Authority, |
||||||||||
Cleveland Forward Phase One LLC, 6.25%, 4/01/41 |
300,000 | 277,767 | ||||||||
Cleveland Forward Phase Two LLC, 6.25%, 4/01/41 |
100,000 | 92,589 | ||||||||
Metropolitan Government of Nashville & Davidson County, Refunding, 4.00%, 7/01/29 |
100,000 | 103,075 | ||||||||
Metropolitan Nashville Airport Authority, Subordinate, AMT, Series 2019B, 5.00%, 7/01/30 |
100,000 | 104,731 | ||||||||
|
|
|||||||||
672,966 | ||||||||||
|
|
|||||||||
Texas 8.0% | ||||||||||
Arlington Higher Education Finance Corp., Riverwalk Education Foundation, Inc., 4.00%, 8/15/33 |
100,000 | 97,733 | ||||||||
City of Cedar Park, Refunding, 5.00%, 2/15/24 |
100,000 | 102,439 | ||||||||
City
of Celina, |
100,000 | 96,274 | ||||||||
Edgewood Creek Public Improvement District, Special Assessment, 3.75%, 9/01/31 |
180,000 | 150,545 | ||||||||
Special Assessment, 3.625%, 9/01/30 |
125,000 | 108,701 | ||||||||
Special Assessment, Refunding, 4.00%, 9/01/30 |
190,000 | 189,020 | ||||||||
Sutton Fields II Public Improvement District, Special Assessment, 2.875%, 9/01/27 |
100,000 | 87,024 | ||||||||
The Parks at Wilson Creek Public Improvement District, Special Assessment, 3.25%, 9/01/31 . |
110,000 | 94,644 | ||||||||
Wells North Public Improvement District, Special Assessment, 3.25%, 9/01/30 |
180,000 | 153,458 | ||||||||
City of Crandall, Special Assessment, 4.75%, 9/15/31 |
100,000 | 89,606 | ||||||||
City
of Fate, |
97,000 | 86,843 | ||||||||
Williamsburg East Public Improvement District, Special Assessment, 3.375%, 8/15/30 |
145,000 | 123,528 | ||||||||
City of Garland, Refunding, 5.00%, 2/15/27 |
100,000 | 106,743 |
102 |
Semiannual Report |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Dynamic Municipal Bond ETF (continued)
Principal Amount* | Value | |||||||||
Municipal Bonds (continued) | ||||||||||
Texas (continued) | ||||||||||
City of Horseshoe Bay, Escondido Public Improvement District, Special Assessment, Refunding, 3.00%, 10/01/30 |
140,000 | $ | 117,315 | |||||||
City
of Kyle, |
100,000 | 87,760 | ||||||||
Kyle 57 Public Improvement District, Series 2022, 4.75%, 9/01/32 |
133,000 | 127,115 | ||||||||
Plum Creek North Public Improvement District, Special Assessment, 4.375%, 9/01/32 |
215,000 | 198,952 | ||||||||
City
of Lago Vista, |
130,000 | 114,157 | ||||||||
Tessera on Lake Travis Public Improvement District, Special Assessment, Refunding, 5.00%, 9/01/30 |
140,000 | 129,528 | ||||||||
City of Leander, Oak Creek Public Improvement District, Special Assessment, Refunding, 3.25%, 9/01/32 |
100,000 | 84,410 | ||||||||
City of Liberty Hill, Summerlyn West Public Improvement District, Special Assessment, 3.125%, 9/01/30 |
75,000 | 63,112 | ||||||||
City of Mclendon-Chisholm, Sonoma Public Improvement District, Special Assessment, 5.375%, 9/15/32 |
155,000 | 150,981 | ||||||||
City of Oak Point, Special Assessment, 3.25%, 9/01/30 |
155,000 | 133,349 | ||||||||
City
of Pilot Point, |
150,000 | 146,505 | ||||||||
Creekview Public Improvement District, Special Assessment, Series 2022, 5.75%, 9/15/32 |
145,000 | 141,356 | ||||||||
City
of Princeton, |
100,000 | 86,160 | ||||||||
Winchester Public Improvement District, Special Assessment, 2.875%, 9/01/31 |
100,000 | 81,774 | ||||||||
City of Royse City, Creekshaw Public Improvement District, Special Assessment, 3.125%, 9/15/25 |
150,000 | 140,674 | ||||||||
City of Tomball, Raburn Reserve Public Improvement District, Special Assessment, 3.375%, 9/15/30 |
100,000 | 87,882 | ||||||||
County of Hays, La Cima Public Improvement District, Special Assessment, 3.25%, 9/15/30 |
150,000 | 126,218 | ||||||||
County of Medina, Woodlands Public Improvement District IA#1 Project, Special Assessment, 3.50%, 9/01/26 |
100,000 | 89,025 | ||||||||
Ector County Hospital District, Refunding, 5.00%, 9/15/31 |
100,000 | 101,731 | ||||||||
Hidalgo County Regional Mobility Authority, Senior Lien, Series 2022A, 5.00%, 12/01/33 |
350,000 | 354,930 | ||||||||
New
Hope Cultural Education Facilities Finance Corp., |
100,000 | 107,052 | ||||||||
5.00%, 4/01/31 |
30,000 | 31,586 | ||||||||
CHF-Collegiate Housing College Station I LLC, 5.00%, 4/01/29 |
100,000 | 97,994 | ||||||||
Refunding, 4.00%, 1/01/29 |
100,000 | 87,378 | ||||||||
North
Parkway Municipal Management District No 1, |
50,000 | 43,125 | ||||||||
Special Assessment, 4.25%, 9/15/31 |
152,000 | 141,873 | ||||||||
Port
Freeport, |
855,000 | 891,808 | ||||||||
AMT, Series 2019A, 5.00%, 6/01/31 |
100,000 | 104,747 | ||||||||
Texas Municipal Gas Acquisition & Supply Corp. III, Refunding, 5.00%, 12/15/30 |
1,400,000 | 1,441,419 | ||||||||
Viridian
Municipal Management District, |
100,000 | 81,975 | ||||||||
Viridian Public Improvement District, Special Assessment, 2.375%, 12/01/25 |
53,000 | 48,171 | ||||||||
|
|
|||||||||
7,126,620 | ||||||||||
|
|
|||||||||
U. S. Virgin Islands 0.3% | ||||||||||
Matching Fund Special Purpose Securitization Corp., United States Virgin Islands Federal Excise Tax, Refunding, Series 2022A, 5.00%, 10/01/30 |
250,000 | 255,717 | ||||||||
|
|
|||||||||
Utah 1.0% | ||||||||||
City of Provo, Refunding, 4.00%, 1/01/23 |
100,000 | 100,246 | ||||||||
Military Installation Development Authority, Series 2021A-2, 4.00%, 6/01/36 |
250,000 | 204,346 | ||||||||
Utah Charter School Finance Authority, Wallace Stegner Academy, Series 2022A, 5.25%, 6/15/32 |
230,000 | 224,187 | ||||||||
Utah Infrastructure Agency, 5.00%, 10/15/32 |
250,000 | 245,030 | ||||||||
Utah State Building Ownership Authority, Master Lease Program, 2.50%, 5/15/27 |
100,000 | 95,328 | ||||||||
|
|
|||||||||
869,137 | ||||||||||
|
|
franklintempleton.com |
Semiannual Report |
103 |
FRANKLIN TEMPLETON ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Dynamic Municipal Bond ETF (continued)
Principal Amount* | Value | |||||||||
Municipal Bonds (continued) | ||||||||||
Vermont 0.1% | ||||||||||
Vermont Public Power Supply Authority, Refunding, Series 2017A, 5.00%, 7/01/28 |
100,000 | $ | 105,012 | |||||||
|
|
|||||||||
Virginia 1.0% | ||||||||||
Peninsula Town Center Community Development Authority, Special Assessment, Refunding, 4.50%, 9/01/28 |
100,000 | 92,813 | ||||||||
Virginia
Small Business Financing Authority, |
750,000 | 707,017 | ||||||||
National Senior Campuses, Inc.Obligated Group, Refunding, 5.00%, 1/01/33 |
100,000 | 103,887 | ||||||||
|
|
|||||||||
903,717 | ||||||||||
|
|
|||||||||
Washington 1.0% | ||||||||||
City of Seattle, Refunding, 4.00%, 7/01/28 |
100,000 | 103,389 | ||||||||
Skagit County Public Hospital District No 1, Refunding, 5.00%, 12/01/29 |
100,000 | 102,501 | ||||||||
Spokane County School District No 356 Central Valley, 5.00%, 12/01/26 |
100,000 | 106,858 | ||||||||
University of Washington, Series 2016A, 5.00%, 12/01/26 |
100,000 | 106,698 | ||||||||
Washington Health Care Facilities Authority, 3.00%, 12/01/34 |
125,000 | 102,383 | ||||||||
Washington
State Housing Finance Commission, |
100,000 | 89,883 | ||||||||
Madison at Rivers Edge Apartments LLC, 3.65%, 1/01/37 |
100,000 | 75,474 | ||||||||
Presbyterian Retirement Communities Northwest Obligated Group, Series 2019A, 5.00%, 1/01/34 |
100,000 | 90,078 | ||||||||
Spokane United Methodist Homes Obligated Group, 5.00%, 1/01/32 |
100,000 | 89,306 | ||||||||
|
|
|||||||||
866,570 | ||||||||||
|
|
|||||||||
West Virginia 0.3% | ||||||||||
West Virginia Economic Development Authority, Appalachian Power Co., VRDN, 3.75%, 12/01/42 |
250,000 | 242,917 | ||||||||
|
|
|||||||||
Wisconsin 2.5% | ||||||||||
City of Brookfield, Refunding, 3.00%, 12/01/25 |
115,000 | 113,364 | ||||||||
Public
Finance Authority, |
335,000 | 315,680 | ||||||||
Duke Energy Progress LLC, Refunding, VRDN, 3.30%, 10/01/46 |
500,000 | 489,713 | ||||||||
Friends Homes Obligated Group, Refunding, 4.00%, 9/01/29 |
100,000 | 93,493 | ||||||||
Ocean Academy Charter School, 4.00%, 10/15/31 |
100,000 | 87,611 | ||||||||
Refunding, 4.00%, 3/01/27 |
55,000 | 52,240 | ||||||||
Refunding, 4.00%, 7/01/31 |
100,000 | 86,171 | ||||||||
Refunding, 5.00%, 10/01/24 |
100,000 | 99,943 | ||||||||
Refunding, 5.00%, 10/01/29 |
100,000 | 98,050 | ||||||||
Refunding, 5.00%, 1/01/30 |
250,000 | 261,742 | ||||||||
Signature Preparatory, 5.00%, 6/15/31 |
120,000 | 113,662 | ||||||||
VRDN, 3.50%, 12/01/50 |
100,000 | 77,680 | ||||||||
Wisconsin Center District, Series 2020C, zero cpn., 12/15/30 |
365,000 | 257,899 | ||||||||
Wisconsin Health & Educational Facilities Authority, St John’s Communities, Inc. Obligated Group, Series 2018A, 4.00%, 9/15/27 |
100,000 | 100,613 | ||||||||
|
|
|||||||||
2,247,861 | ||||||||||
|
|
|||||||||
Total Investments (Cost $99,729,625) 100.9% |
89,691,214 | |||||||||
Other Assets, less Liabilities (0.9)% |
(757,342 | ) | ||||||||
|
|
|||||||||
Net Assets 100.0% |
$ | 88,933,872 | ||||||||
|
|
*The principal amount is stated in U.S. dollars unless otherwise indicated.
aSee Note 10 regarding defaulted securities.
bSecurity purchased on a when-issued basis. See Note 1(d).
See Abbreviations on page 223.
104 |
Semiannual Report | The accompanying notes are an integral part of these financial statements. |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
Financial Highlights
Franklin Exponential Data ETF
Six Months Ended September 30, 2022 (unaudited) |
Year Ended March 31, | |||||||||||
2022 | 2021a | |||||||||||
Per share operating performance (for a share outstanding throughout the period) |
||||||||||||
Net asset value, beginning of period |
$ | 22.78 | $ | 23.34 | $ | 25.00 | ||||||
|
|
|||||||||||
Income from investment operationsb: | ||||||||||||
Net investment income (loss)c |
(0.01 | ) | (0.05 | ) | (— | )d | ||||||
Net realized and unrealized gains (losses) |
(6.98 | ) | (0.51 | ) | (1.66 | ) | ||||||
|
|
|||||||||||
Total from investment operations |
(6.99 | ) | (0.56 | ) | (1.66 | ) | ||||||
|
|
|||||||||||
Net asset value, end of period |
$ | 15.79 | $ | 22.78 | $ | 23.34 | ||||||
|
|
|||||||||||
Total returne |
(30.68)% | (2.40)% | (6.64)% | |||||||||
Ratios to average net assetsf | ||||||||||||
Expenses before waiver and payments by affiliates |
0.50% | 1.73% | 5.95% | |||||||||
Expenses net of waiver and payments by affiliates |
0.49% | 0.38% | 0.25% | |||||||||
Net investment income (loss) |
(0.15)% | (0.20)% | (0.07)% | |||||||||
Supplemental data | ||||||||||||
Net assets, end of period (000’s) |
$2,368 | $3,417 | $2,334 | |||||||||
Portfolio turnover rateg |
19.10% | h | 49.72% | h | 23.20% | h |
aFor the period January 12, 2021 (commencement of operations) to March 31, 2021.
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 and/or fluctuating fair value of the investments of the Fund.
cBased on average daily shares outstanding.
dAmount rounds to less than $0.01 per share.
eTotal 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.
fRatios are annualized for periods less than one year.
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”).
hPortfolio turnover rate excluding cash creations was as follows: | 19.10% | 49.72% | 23.20% |
franklintempleton.com |
The accompanying notes are an integral part of these financial statements. | Semiannual Report |
105 |
FRANKLIN TEMPLETON ETF TRUST
Statement of Investments, September 30, 2022 (unaudited)
Country | Shares | Value | ||||||||||||
Common Stocks 99.9% | ||||||||||||||
Capital Markets 6.3% | ||||||||||||||
FactSet Research Systems Inc. |
United States | 114 | $ | 45,613 | ||||||||||
Moody’s Corp. |
United States | 50 | 12,156 | |||||||||||
MSCI Inc. |
United States | 112 | 47,240 | |||||||||||
S&P Global Inc. |
United States | 147 | 44,886 | |||||||||||
|
|
|||||||||||||
149,895 | ||||||||||||||
|
|
|||||||||||||
Communications Equipment 2.1% | ||||||||||||||
a |
Arista Networks Inc. |
United States | 445 | 50,236 | ||||||||||
|
|
|||||||||||||
Electronic Equipment, Instruments & Components 2.0% | ||||||||||||||
a |
Keysight Technologies Inc. |
United States | 309 | 48,624 | ||||||||||
|
|
|||||||||||||
Equity Real Estate Investment Trusts (REITs) 11.7% | ||||||||||||||
Crown Castle Inc. |
United States | 624 | 90,199 | |||||||||||
Equinix Inc. |
United States | 164 | 93,290 | |||||||||||
SBA Communications Corp. |
United States | 325 | 92,511 | |||||||||||
|
|
|||||||||||||
276,000 | ||||||||||||||
|
|
|||||||||||||
Health Care Equipment & Supplies 1.1% | ||||||||||||||
a |
Dexcom Inc. |
United States | 316 | 25,451 | ||||||||||
|
|
|||||||||||||
Interactive Media & Services 8.2% | ||||||||||||||
a |
Alphabet Inc., A |
United States | 1,247 | 119,276 | ||||||||||
a |
ZoomInfo Technologies Inc., A |
United States | 1,814 | 75,571 | ||||||||||
|
|
|||||||||||||
194,847 | ||||||||||||||
|
|
|||||||||||||
IT Services 15.7% | ||||||||||||||
Accenture PLC, A |
United States | 187 | 48,115 | |||||||||||
a |
Endava PLC |
United Kingdom | 158 | 12,740 | ||||||||||
a |
EPAM Systems Inc. |
United States | 31 | 11,228 | ||||||||||
a |
Gartner Inc. |
United States | 170 | 47,037 | ||||||||||
a |
Globant SA |
United States | 59 | 11,038 | ||||||||||
a |
MongoDB Inc. |
United States | 572 | 113,576 | ||||||||||
a |
Snowflake Inc., A |
United States | 688 | 116,932 | ||||||||||
a |
Thoughtworks Holding Inc. |
United States | 996 | 10,448 | ||||||||||
|
|
|||||||||||||
371,114 | ||||||||||||||
|
|
|||||||||||||
Professional Services 0.5% | ||||||||||||||
TransUnion |
United States | 189 | 11,244 | |||||||||||
|
|
|||||||||||||
Software 49.0% | ||||||||||||||
a |
Cloudflare Inc., A |
United States | 1,746 | 96,571 | ||||||||||
a |
Confluent Inc., A |
United States | 998 | 23,723 | ||||||||||
a |
Crowdstrike Holdings Inc., A |
United States | 589 | 97,073 | ||||||||||
a |
Datadog Inc., A |
United States | 1,399 | 124,203 | ||||||||||
a |
Fair Isaac Corp. |
United States | 110 | 45,321 | ||||||||||
a |
Fortinet Inc. |
United States | 1,016 | 49,916 | ||||||||||
a |
Gitlab Inc., A |
United States | 1,322 | 67,713 | ||||||||||
a |
HubSpot Inc. |
United States | 86 | 23,230 | ||||||||||
Microsoft Corp. |
United States | 628 | 146,261 | |||||||||||
a |
Monday.com Ltd. |
United States | 379 | 42,956 | ||||||||||
a |
Palo Alto Networks Inc. |
United States | 580 | 94,998 | ||||||||||
a |
Qualtrics International Inc. |
United States | 1,139 | 11,595 | ||||||||||
a |
Salesforce Inc. |
United States | 168 | 24,165 | ||||||||||
a |
SentinelOne Inc., A |
United States | 1,927 | 49,254 | ||||||||||
a |
ServiceNow Inc. |
United States | 239 | 90,249 | ||||||||||
a |
Sprinklr Inc. |
United States | 1,235 | 11,387 | ||||||||||
a |
Sprout Social Inc., A |
United States | 215 | 13,046 | ||||||||||
a |
Trade Desk Inc., A |
United States | 820 | 48,995 | ||||||||||
Trend Micro Inc. |
Japan | 909 | 49,110 |
106 |
Semiannual Report |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin Exponential Data ETF (continued)
Country | Shares | Value | ||||||||||||
Common Stocks (continued) | ||||||||||||||
Software (continued) | ||||||||||||||
a |
Zscaler Inc. |
United States | 302 | $ | 49,640 | |||||||||
|
|
|||||||||||||
1,159,406 | ||||||||||||||
|
|
|||||||||||||
Wireless Telecommunication Services 3.3% | ||||||||||||||
a |
T-Mobile US Inc. |
United States | 578 | 77,550 | ||||||||||
|
|
|||||||||||||
Total Common Stocks (Cost $2,856,409) |
2,364,367 | |||||||||||||
|
|
|||||||||||||
Total
Investments before Short Term Investments |
2,364,367 | |||||||||||||
|
|
|||||||||||||
Short-Term Investments 0.1% | ||||||||||||||
Money Market Funds 0.1% | ||||||||||||||
b,c |
Institutional Fiduciary Trust Portfolio, 2.45% |
United States | 2,910 | 2,910 | ||||||||||
|
|
|||||||||||||
Total Investments (Cost $2,859,319) 100.0% |
2,367,277 | |||||||||||||
|
|
|||||||||||||
Other Assets, less Liabilities 0.0%† |
957 | |||||||||||||
|
|
|||||||||||||
Net Assets 100.0% |
$ | 2,368,234 | ||||||||||||
|
|
†Rounds to less than 0.1% of net assets.
aNon-income producing.
bThe rate shown is the annualized seven-day effective yield at period end.
cSee Note 3(d) regarding investments in affiliated management investment companies.
See Abbreviations on page 223.
franklintempleton.com |
The accompanying notes are an integral part of these financial statements. | Semiannual Report |
107 |
FRANKLIN TEMPLETON ETF TRUST
Financial Highlights
Franklin Genomic Advancements ETF
Six Months Ended (unaudited) |
Year Ended March 31, | |||||||||||||||
2022 | 2021 | 2020a | ||||||||||||||
Per share operating performance (for a share outstanding throughout the period) |
||||||||||||||||
Net asset value, beginning of period |
$ | 37.00 | $ | 43.26 | $ | 22.58 | $ | 25.00 | ||||||||
|
|
|||||||||||||||
Income from investment operationsb: | ||||||||||||||||
Net investment income (loss)c |
(0.02 | ) | (0.15 | ) | (0.18 | ) | (0.01 | ) | ||||||||
Net realized and unrealized gains (losses) |
(7.30 | ) | (5.99 | ) | 20.92 | (2.41 | ) | |||||||||
|
|
|||||||||||||||
Total from investment operations |
(7.32 | ) | (6.14 | ) | 20.74 | (2.42 | ) | |||||||||
|
|
|||||||||||||||
Less distributions from: | ||||||||||||||||
Net investment income |
— | (0.12 | ) | (0.01 | ) | — | ||||||||||
Net realized gains |
— | — | (0.05 | ) | — | |||||||||||
|
|
|||||||||||||||
Total Distributions |
— | (0.12 | ) | (0.06 | ) | — | ||||||||||
|
|
|||||||||||||||
Net asset value, end of period |
$ | 29.68 | $ | 37.00 | $ | 43.26 | $ | 22.58 | ||||||||
|
|
|||||||||||||||
Total returnd |
(19.78)% | (14.26)% | 91.81% | (9.68)% | ||||||||||||
Ratios to average net assetse | ||||||||||||||||
Expenses before waiver and payments by affiliates |
0.50% | 0.66% | 1.84% | 12.22% | ||||||||||||
Expenses net of waiver and payments by affiliates |
0.50% | 0.50% | 0.50% | 0.50% | ||||||||||||
Net investment income (loss) |
(0.11)% | (0.32)% | (0.45)% | (0.37)% | ||||||||||||
Supplemental data | ||||||||||||||||
Net assets, end of period (000’s) |
$10,389 | $14,799 | $15,140 | $2,258 | ||||||||||||
Portfolio turnover ratef |
27.04% | g | 61.43% | g | 46.58% | g | 2.20% | g |
aFor the period February 25, 2020 (commencement of operations) to March 31, 2020.
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 and/or fluctuating fair 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.
fPortfolio turnover rate includes portfolio transactions that are executed as a result of the Fund offering and redeeming Creation Units solely for cash (“Cash creations”).
gPortfolio turnover rate excluding cash creations was as follows: | 27.04% | 59.54% | 44.75% | 2.20% |
108 |
Semiannual Report | The accompanying notes are an integral part of these financial statements. |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
Statement of Investments, September 30, 2021 (unaudited)
Franklin Genomic Advancements ETF
Country | Shares | Value | ||||||||||||
Common Stocks 95.4% | ||||||||||||||
Biotechnology 33.0% | ||||||||||||||
a |
Alnylam Pharmaceuticals Inc. |
United States | 1,098 | $ | 219,776 | |||||||||
a |
Avid Bioservices Inc. |
United States | 12,366 | 236,438 | ||||||||||
a |
Bavarian Nordic A/S |
Denmark | 1,775 | 52,081 | ||||||||||
a |
Beam Therapeutics Inc. |
United States | 2,006 | 95,566 | ||||||||||
BioNTech SE |
Germany | 1,603 | 216,213 | |||||||||||
a |
CRISPR Therapeutics AG |
Switzerland | 1,599 | 104,495 | ||||||||||
a |
Dynavax Technologies Corp. |
United States | 7,840 | 81,849 | ||||||||||
a |
Editas Medicine Inc. |
United States | 7,820 | 95,717 | ||||||||||
a |
Fate Therapeutics Inc. |
United States | 2,221 | 49,773 | ||||||||||
a |
Intellia Therapeutics Inc. |
United States | 5,314 | 297,371 | ||||||||||
a |
Ionis Pharmaceuticals Inc. |
United States | 3,621 | 160,157 | ||||||||||
a |
IVERIC bio Inc. |
United States | 3,135 | 56,242 | ||||||||||
a |
Krystal Biotech Inc. |
United States | 2,418 | 168,534 | ||||||||||
a |
Ligand Pharmaceuticals Inc. |
United States | 633 | 54,508 | ||||||||||
a |
Moderna Inc. |
United States | 2,463 | 291,250 | ||||||||||
a |
PTC Therapeutics Inc. |
United States | 3,224 | 161,845 | ||||||||||
a |
Regeneron Pharmaceuticals Inc. |
United States | 492 | 338,924 | ||||||||||
a |
Sarepta Therapeutics Inc. |
United States | 2,139 | 236,445 | ||||||||||
a |
Taysha Gene Therapies Inc. |
United States | 176 | 340 | ||||||||||
a |
Twist Bioscience Corp. |
United States | 1,449 | 51,063 | ||||||||||
a |
Veracyte Inc. |
United States | 801 | 13,296 | ||||||||||
a |
Vertex Pharmaceuticals Inc. |
United States | 1,201 | 347,737 | ||||||||||
a |
Verve Therapeutics Inc. |
United States | 2,820 | 96,867 | ||||||||||
|
|
|||||||||||||
3,426,487 | ||||||||||||||
|
|
|||||||||||||
Chemicals 3.5% | ||||||||||||||
Corteva Inc. |
United States | 5,360 | 306,324 | |||||||||||
FMC Corp. |
United States | 511 | 54,013 | |||||||||||
|
|
|||||||||||||
360,337 | ||||||||||||||
|
|
|||||||||||||
Equity Real Estate Investment Trusts (REITs) 0.5% | ||||||||||||||
Alexandria Real Estate Equities Inc. |
United States | 373 | 52,291 | |||||||||||
|
|
|||||||||||||
Health Care Providers & Services 5.1% | ||||||||||||||
a |
Fulgent Genetics Inc. |
United States | 657 | 25,045 | ||||||||||
a |
Guardant Health Inc. |
United States | 5,752 | 309,630 | ||||||||||
Laboratory Corp. of America Holdings |
United States | 508 | 104,043 | |||||||||||
a |
Privia Health Group Inc. |
United States | 2,687 | 91,519 | ||||||||||
|
|
|||||||||||||
530,237 | ||||||||||||||
|
|
|||||||||||||
Health Care Technology 1.9% | ||||||||||||||
a |
Doximity Inc. |
United States | 1,719 | 51,948 | ||||||||||
a |
Schrodinger Inc. |
United States | 3,978 | 99,371 | ||||||||||
Simulations Plus Inc. |
United States | 1,004 | 48,734 | |||||||||||
|
|
|||||||||||||
200,053 | ||||||||||||||
|
|
|||||||||||||
Life Sciences Tools & Services 43.3% | ||||||||||||||
Agilent Technologies Inc. |
United States | 1,704 | 207,121 | |||||||||||
a |
Avantor Inc. |
United States | 1,209 | 23,696 | ||||||||||
a |
Bio-Rad Laboratories Inc., A |
United States | 239 | 99,696 | ||||||||||
Bio-Techne Corp. |
United States | 365 | 103,660 | |||||||||||
Bruker Corp. |
United States | 4,171 | 221,313 | |||||||||||
a |
Charles River Laboratories International Inc. |
United States | 1,111 | 218,645 | ||||||||||
Danaher Corp. |
United States | 2,427 | 626,870 | |||||||||||
a |
Evotec SE |
Germany | 5,328 | 93,717 | ||||||||||
a |
ICON PLC |
Ireland | 548 | 100,711 | ||||||||||
a |
Illumina Inc. |
United States | 288 | 54,947 | ||||||||||
a |
IQVIA Holdings Inc. |
United States | 543 | 98,359 |
franklintempleton.com |
Semiannual Report |
109 |
FRANKLIN TEMPLETON ETF TRUST
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin Genomic Advancements ETF (continued)
Country | Shares | Value | ||||||||||||
Common Stocks (continued) | ||||||||||||||
Life Sciences Tools & Services (continued) | ||||||||||||||
Lonza Group AG |
Switzerland | 436 | $ | 215,420 | ||||||||||
a |
Medpace Holdings Inc. |
United States | 2,262 | 355,519 | ||||||||||
a |
Olink Holding AB |
Sweden | 560 | 6,798 | ||||||||||
a |
Oxford Nanopore Technologies PLC |
United Kingdom | 33,333 | 95,443 | ||||||||||
PerkinElmer Inc. |
United States | 1,402 | 168,703 | |||||||||||
a |
QIAGEN NV |
Netherlands | 5,038 | 207,969 | ||||||||||
a |
Repligen Corp. |
United States | 3,498 | 654,511 | ||||||||||
a,b |
,Samsung Biologics Co. Ltd., 144A |
South Korea | 570 | 321,514 | ||||||||||
Thermo Fisher Scientific Inc. |
United States | 1,224 | 620,801 | |||||||||||
|
|
|||||||||||||
4,495,413 | ||||||||||||||
|
|
|||||||||||||
Pharmaceuticals 6.8% | ||||||||||||||
AstraZeneca PLC |
United Kingdom | 3,866 | 212,011 | |||||||||||
Bristol-Myers Squibb Co. |
United States | 1,610 | 114,455 | |||||||||||
a |
Catalent Inc. |
United States | 3,694 | 267,298 | ||||||||||
Eli Lilly & Co. |
United States | 366 | 118,346 | |||||||||||
|
|
|||||||||||||
712,110 | ||||||||||||||
|
|
|||||||||||||
Semiconductors & Semiconductor Equipment 0.2% | ||||||||||||||
Brooks Automation Inc. |
United States | 544 | 23,316 | |||||||||||
|
|
|||||||||||||
Software 1.1% | ||||||||||||||
a |
Cadence Design Systems Inc. |
United States | 682 | 111,459 | ||||||||||
|
|
|||||||||||||
Total Common Stocks (Cost $13,276,878) |
9,911,703 | |||||||||||||
|
|
|||||||||||||
Preferred Stock 3.6% | ||||||||||||||
Health Care Equipment & Supplies 3.6% | ||||||||||||||
c |
Sartorius AG, 0.35%, pfd. |
Germany | 1,055 | 369,074 | ||||||||||
|
|
|||||||||||||
Total Preferred Stocks (Cost $642,905) |
369,074 | |||||||||||||
|
|
|||||||||||||
Total Investments (Cost $13,919,783) 99.0% |
10,280,777 | |||||||||||||
Other Assets, less Liabilities 1.0% |
108,226 | |||||||||||||
|
|
|||||||||||||
Net Assets 100.0% |
$ | 10,389,003 | ||||||||||||
|
|
aNon-income producing.
bSecurity was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from registration only to qualified institutional buyers or in a public offering registered under the Securities Act of 1933. At September 30, 2022, the value of was $321,514, representing 3.1% of net assets.
cVariable rate security. The rate shown represents the yield at period end.
See Abbreviations on page 223.
110 |
Semiannual Report | The accompanying notes are an integral part of these financial statements. |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
Financial Highlights
Franklin High Yield Corporate ETFa
Six Months Ended September 30, 2022 |
Year Ended March 31, | |||||||||||||||||||
2022 | 2021 | 2020 | 2019b | |||||||||||||||||
Per share operating performance (for a share outstanding throughout the period) |
||||||||||||||||||||
Net asset value, beginning of period |
$ | 24.76 | $ | 26.16 | $ | 22.67 | $ | 25.45 | $ | 25.00 | ||||||||||
|
|
|||||||||||||||||||
Income from investment operationsc: | ||||||||||||||||||||
Net investment incomed |
0.60 | 1.20 | 1.23 | 1.33 | 1.21 | |||||||||||||||
Net realized and unrealized gains (losses) |
(3.10 | ) | (1.34 | ) | 3.73 | (2.51 | ) | 0.49 | ||||||||||||
|
|
|||||||||||||||||||
Total from investment operations |
(2.50 | ) | (0.14 | ) | 4.96 | (1.18 | ) | 1.70 | ||||||||||||
|
|
|||||||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income |
(0.73 | ) | (1.18 | ) | (1.47 | ) | (1.56 | ) | (1.23 | ) | ||||||||||
Net realized gains |
— | (0.08 | ) | — | (0.04 | ) | (0.02 | ) | ||||||||||||
|
|
|||||||||||||||||||
Total Distributions |
(0.73 | ) | (1.26 | ) | (1.47 | ) | (1.60 | ) | (1.25 | ) | ||||||||||
|
|
|||||||||||||||||||
Net asset value, end of period |
$ | 21.53 | $ | 24.76 | $ | 26.16 | $ | 22.67 | $ | 25.45 | ||||||||||
|
|
|||||||||||||||||||
Total returne |
(10.27)% | (0.69)% | 22.28% | (5.12)% | 7.07% | |||||||||||||||
Ratios to average net assetsf | ||||||||||||||||||||
Expenses before waiver and payments by affiliates |
0.40% | 0.47% | 0.64% | 0.86% | 1.54% | |||||||||||||||
Expenses net of waiver and payments by affiliates |
0.40% | 0.40% | 0.40% | 0.40% | 0.40% | |||||||||||||||
Net investment income |
5.21% | 4.62% | 4.84% | 5.29% | 5.80% | |||||||||||||||
Supplemental data | ||||||||||||||||||||
Net assets, end of period (000’s) |
$187,281 | $334,286 | $346,586 | $130,362 | $10,181 | |||||||||||||||
Portfolio turnover rateg |
3.41% | h | 43.83% | h | 53.18% | h | 129.98% | h | 23.57% |
aEffective August 1, 2022, Formerly, Franklin Liberty High Yield Corporate ETF was renamed Franklin High Yield Corporate ETF.
bFor the period May 30, 2018 (commencement of operations) to March 31, 2019.
cThe 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 and/or fluctuating fair value of the investments of the Fund.
dBased on average daily shares outstanding.
eTotal 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.
fRatios are annualized for periods less than one year.
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”).
hPortfolio turnover rate excluding cash creations was as follows: | 3.41% | 43.83% | 53.18% | 129.98% |
franklintempleton.com |
The accompanying notes are an integral part of these financial statements. | Semiannual Report |
111 |
FRANKLIN TEMPLETON ETF TRUST
Schedule of Investments, September 30, 2022 (unaudited)
Franklin High Yield Corporate ETF
Country | Principal Amount* | Value | ||||||||||||
Corporate Bonds & Notes 89.0% | ||||||||||||||
Airlines 1.9% | ||||||||||||||
a |
American
Airlines Inc/AAdvantage Loyalty IP Ltd., senior secured note, |
United States | 2,100,000 | $ | 1,975,753 | |||||||||
a |
United Airlines Inc., 144A, 4.375%, 4/15/26 |
United States | 1,700,000 | 1,520,208 | ||||||||||
|
|
|||||||||||||
3,495,961 | ||||||||||||||
|
|
|||||||||||||
Automobiles & Components 3.5% | ||||||||||||||
Dana Inc., senior note5.625%, 6/15/28 |
United States | 1,700,000 | 1,406,233 | |||||||||||
a |
Dornoch Debt Merger Sub Inc., 144A, 6.625%, 10/15/29 |
United States | 1,400,000 | 1,011,225 | ||||||||||
Goodyear
Tire & Rubber Co., |
United States | 800,000 | 654,500 | |||||||||||
senior bond4.875%, 3/15/27 |
United States | 1,000,000 | 886,460 | |||||||||||
a |
Jaguar Land Rover Automotive PLC, 144A, 5.50%, 7/15/29 |
United Kingdom | 2,400,000 | 1,675,224 | ||||||||||
a |
Real Hero Merger Sub 2 Inc., senior note, 144A, 6.25%, 2/01/29 |
United States | 1,300,000 | 940,485 | ||||||||||
|
|
|||||||||||||
6,574,127 | ||||||||||||||
|
|
|||||||||||||
Capital Goods 3.2% | ||||||||||||||
a |
ATS Automation Tooling Systems Inc., 144A, 144A, 4.125%, 12/15/28 |
Canada | 900,000 | 748,422 | ||||||||||
a |
Cornerstone Building Brands Inc., senior note, 144A, 6.125%, 1/15/29 |
United States | 1,400,000 | 783,922 | ||||||||||
a |
Standard Industries Inc., 144A, 4.75%, 1/15/28 |
United States | 200,000 | 169,451 | ||||||||||
a |
Stericycle Inc., Senior note, 144A, 3.875%, 1/15/29 |
United States | 1,000,000 | 829,200 | ||||||||||
a |
TransDigm Inc., senior secured note, 144A, 6.25%, 3/15/26 |
United States | 2,300,000 | 2,234,887 | ||||||||||
a |
Vertiv Group Corp., 144A, 4.125%, 11/15/28 |
United States | 1,500,000 | 1,209,772 | ||||||||||
|
|
|||||||||||||
5,975,654 | ||||||||||||||
|
|
|||||||||||||
Commercial & Professional Services 6.7% | ||||||||||||||
a |
Ahern Rentals Inc., secured note, senior lien, 144A, 7.375%, 5/15/23 |
United States | 900,000 | 610,783 | ||||||||||
a |
APX Group Inc., 144A, 5.75%, 7/15/29 |
United States | 1,100,000 | 872,014 | ||||||||||
a |
Gartner Inc., 144A, 3.625%, 6/15/29 |
United States | 500,000 | 417,328 | ||||||||||
Grand Canyon University, unsecured note, 5.125%, 10/01/28 |
United States | 1,700,000 | 1,542,291 | |||||||||||
a |
H&E Equipment Services Inc., senior note, 144A, 3.875%, 12/15/28 |
United States | 1,900,000 | 1,495,499 | ||||||||||
a |
Herc Holdings Inc., senior note, 144A, 5.50%, 7/15/27 |
United States | 1,800,000 | 1,623,627 | ||||||||||
a |
MPH Acquisition Holdings LLC, 144A, 5.75%, 11/01/28 |
United States | 1,800,000 | 1,355,418 | ||||||||||
a |
NESCO Holdings II Inc., secured note, 144A, 5.50%, 4/15/29 |
United States | 600,000 | 500,862 | ||||||||||
a |
Nielsen Finance LLC / Nielsen Finance Co., 144A, 4.50%, 7/15/29 |
United States | 1,800,000 | 1,796,580 | ||||||||||
a |
Prime Security Services Borrower LLC / Prime Finance Inc., senior secured note, first lien, 144A, 3.375%, 8/31/27 |
United States | 1,300,000 | 1,094,977 | ||||||||||
a |
PROG Holdings Inc., 144A, 6.00%, 11/15/29 |
United States | 800,000 | 641,040 | ||||||||||
a |
ZipRecruiter Inc., 144A, 5.00%, 1/15/30 |
United States | 800,000 | 647,560 | ||||||||||
|
|
|||||||||||||
12,597,979 | ||||||||||||||
|
|
|||||||||||||
Commercial Services 1.1% | ||||||||||||||
United Rentals North America Inc.5.50%, 5/15/27 |
United States | 2,100,000 | 2,033,850 | |||||||||||
|
|
|||||||||||||
Construction Materials 0.3% | ||||||||||||||
a |
Camelot Return Merger Sub Inc., 144A, 8.75%, 8/01/28 |
United States | 700,000 | 577,893 | ||||||||||
|
|
|||||||||||||
Consumer Durables & Apparel 1.0% | ||||||||||||||
a |
Ashton Woods USA LLC / Ashton Woods Finance Co., 144A, 4.625%, 4/01/30 |
United States | 1,200,000 | 861,774 | ||||||||||
a |
Kontoor Brands Inc., 144A, 4.125%, 11/15/29 |
United States | 1,200,000 | 957,935 | ||||||||||
|
|
|||||||||||||
1,819,709 | ||||||||||||||
|
|
|||||||||||||
Consumer Services 4.1% | ||||||||||||||
a,b,c |
24 Hour Fitness Worldwide Inc., senior note, 144A, 8.00%, 6/01/22 |
United States | 800,000 | 240 | ||||||||||
Carnival Corp., |
||||||||||||||
a |
144A, 7.625%, 3/01/26 |
United States | 800,000 | 609,212 | ||||||||||
a |
senior note144A, 5.75%, 3/01/27 |
United States | 1,900,000 | 1,335,272 | ||||||||||
a |
NCL Corp. Ltd., 144A, 5.875%, 3/15/26 |
United States | 1,300,000 | 990,990 | ||||||||||
a |
Royal Caribbean Cruises Ltd., 144A, 5.50%, 8/31/26 |
United States | 1,700,000 | 1,302,676 | ||||||||||
a |
Station Casinos LLC, 144A, 4.50%, 2/15/28 |
United States | 1,400,000 | 1,151,195 | ||||||||||
a |
Studio City Finance Ltd., senior note, 144A, 5.00%, 1/15/29 |
United States | 2,200,000 | 980,745 |
112 |
Semiannual Report |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin High Yield Corporate ETF (continued)
Country | Principal Amount* | Value | ||||||||||||
Corporate Bonds & Notes (continued) | ||||||||||||||
Consumer Services (continued) | ||||||||||||||
a |
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., senior bond, 144A, 5.50%, 3/01/25 |
United States | 1,500,000 | $ | 1,406,520 | |||||||||
|
|
|||||||||||||
7,776,850 | ||||||||||||||
|
|
|||||||||||||
Diversified Financials 5.7% | ||||||||||||||
a |
Apollo Commercial Real Estate Finance Inc., 144A, 4.625%, 6/15/29 |
United States | 1,000,000 | 755,300 | ||||||||||
a |
Global Net Lease Inc./Global Net Lease Operating Partnership LP, senior note, 144A, 3.75%, 12/15/27 |
United States | 1,300,000 | 1,015,800 | ||||||||||
a |
Jane Street Group / JSG Finance Inc., 144A, 4.50%, 11/15/29 |
United States | 600,000 | 516,843 | ||||||||||
a |
Jefferson Capital Holdings LLC, 144A, 6.00%, 8/15/26 |
United States | 1,400,000 | 1,173,697 | ||||||||||
a |
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 144A, 4.75%, 6/15/29 |
United States | 1,300,000 | 975,390 | ||||||||||
a |
Necessity Retail REIT Inc. / American Finance Operating Partner LP, 144A, 4.50%, 9/30/28 |
United States | 1,600,000 | 1,195,920 | ||||||||||
a |
Oxford Finance LLC / Oxford Finance Co-Issuer II Inc., 144A, 6.375%, 2/01/27 |
United States | 1,500,000 | 1,406,543 | ||||||||||
a |
PRA Group Inc., 144A, 5.00%, 10/01/29 |
United States | 1,500,000 | 1,218,326 | ||||||||||
a |
VICI Properties LP / VICI Note Co. Inc., 144A, 3.875%, 2/15/29 |
United States | 1,500,000 | 1,261,507 | ||||||||||
a |
XHR LP, 144A, 4.875%, 6/01/29 |
United States | 1,400,000 | 1,157,128 | ||||||||||
|
|
|||||||||||||
10,676,454 | ||||||||||||||
|
|
|||||||||||||
Energy 17.8% | ||||||||||||||
a |
Antero Resources Corp., 144A, 7.625%, 2/01/29 |
United States | 601,000 | 601,195 | ||||||||||
a |
Atlantica Sustainable Infrastructure PLC, 144A, 4.125%, 6/15/28 |
Spain | 1,400,000 | 1,182,741 | ||||||||||
a |
Calumet Specialty Products Partners LP / Calumet Finance Corp., 144A, 8.125%, 1/15/27 |
United States | 700,000 | 646,408 | ||||||||||
Cheniere Energy Inc.4.625%, 10/15/28 |
United States | 1,700,000 | 1,563,464 | |||||||||||
Cheniere Energy Partners LP, 4.00%, 3/01/31 |
United States | 700,000 | 588,343 | |||||||||||
senior note4.50%, 10/01/29 |
United States | 1,500,000 | 1,324,043 | |||||||||||
a |
Chesapeake Energy Corp., 144A, 6.75%, 4/15/29 |
United States | 1,900,000 | 1,825,377 | ||||||||||
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., senior note5.75%, 4/01/25 |
United States | 600,000 | 570,108 | |||||||||||
a senior note144A, 8.00%, 4/01/29 |
United States | 1,200,000 | 1,157,496 | |||||||||||
a |
CrownRock LP / CrownRock Finance Inc., 144A, 5.00%, 5/01/29 |
United States | 1,000,000 | 884,848 | ||||||||||
a |
CSI Compressco LP / CSI Compressco Finance Inc., senior secured note, first lien, 144A, 7.50%, 4/01/25 |
United States | 1,000,000 | 873,555 | ||||||||||
a |
DT Midstream Inc., 144A, 4.125%, 6/15/29 |
United States | 1,500,000 | 1,270,748 | ||||||||||
EnLink Midstream Partners LP, senior note4.15%, 6/01/25 |
United States | 1,900,000 | 1,767,741 | |||||||||||
a |
EQM Midstream Partners LP, 144A, 7.50%, 6/01/27 |
United States | 1,600,000 | 1,527,632 | ||||||||||
a |
Harbour Energy PLC, 144A, 5.50%, 10/15/26 |
United Kingdom | 2,300,000 | 2,063,606 | ||||||||||
a |
Hilcorp Energy I LP / Hilcorp Finance Co., senior bond144A, 6.00%, 2/01/31 |
United States | 400,000 | 348,055 | ||||||||||
a |
senior note144A, 5.75%, 2/01/29 |
United States | 1,700,000 | 1,489,719 | ||||||||||
a |
Kinetik Holdings LP, 144A, 5.875%, 6/15/30 |
United States | 1,500,000 | 1,376,646 | ||||||||||
a |
Martin Midstream Partners LP / Martin Midstream Finance Corp., senior note, second lien, 144A, 11.50%, 2/28/25 |
United States | 1,886,248 | 1,844,005 | ||||||||||
a |
Nabors Industries Inc., 144A, 7.375%, 5/15/27 |
United States | 1,000,000 | 925,000 | ||||||||||
a |
Nabors Industries Ltd., senior note, 144A, 7.25%, 1/15/26 |
United States | 600,000 | 523,232 | ||||||||||
Occidental Petroleum Corp., |
||||||||||||||
senior bond6.45%, 9/15/36 |
United States | 700,000 | 701,722 | |||||||||||
senior note 5.55%, 3/15/26 |
United States | 1,400,000 | 1,403,416 | |||||||||||
senior bond 8.875%, 7/15/30 |
United States | 1,500,000 | 1,673,355 | |||||||||||
a |
SunCoke Energy Inc., 144A, 4.875%, 6/30/29 |
United States | 1,000,000 | 773,305 | ||||||||||
Sunoco LP / Sunoco Finance Corp., senior note6.00%, 4/15/27 |
United States | 1,500,000 | 1,432,522 | |||||||||||
Venture Global Calcasieu Pass LLC, |
||||||||||||||
a |
144A, 4.125%, 8/15/31 |
United States | 800,000 | 665,296 | ||||||||||
a |
144A, 3.875%, 8/15/29 |
United States | 900,000 | 773,838 | ||||||||||
a |
Weatherford International Ltd., 144A, 8.625%, 4/30/30 |
United States | 400,000 | 349,260 |
franklintempleton.com |
Semiannual Report |
113 |
FRANKLIN TEMPLETON ETF TRUST
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin High Yield Corporate ETF (continued)
Country | Principal Amount* | Value | ||||||||||||
Corporate Bonds & Notes (continued) | ||||||||||||||
Energy (continued) | ||||||||||||||
a |
144A, 6.50%, 9/15/28 |
United States | 1,300,000 | $ | 1,171,820 | |||||||||
|
|
|||||||||||||
33,298,496 | ||||||||||||||
|
|
|||||||||||||
Food 0.6% | ||||||||||||||
a |
Lamb Weston Holdings Inc., 144A, 4.125%, 1/31/30 |
United States | 1,400,000 | 1,187,081 | ||||||||||
|
|
|||||||||||||
Food, Beverage & Tobacco 0.2% | ||||||||||||||
a |
Primo Water Holdings Inc., 144A, 4.375%, 4/30/29 |
Canada | 400,000 | 325,956 | ||||||||||
|
|
|||||||||||||
Health Care Equipment & Services 3.3% | ||||||||||||||
Centene Corp., senior note4.25%, 12/15/27 |
United States | 2,000,000 | 1,833,650 | |||||||||||
a |
CHS/Community Health Systems Inc., senior secured note144A, 6.00%, 1/15/29 |
United States | 900,000 | 663,522 | ||||||||||
a |
secured note144A, 6.875%, 4/15/29 |
United States | 1,400,000 | 679,339 | ||||||||||
a |
DaVita Inc., 144A, 4.625%, 6/01/30 |
United States | 2,400,000 | 1,862,892 | ||||||||||
a |
Tenet Healthcare Corp., 144A, 6.125%, 6/15/30 |
United States | 1,300,000 | 1,194,213 | ||||||||||
|
|
|||||||||||||
6,233,616 | ||||||||||||||
|
|
|||||||||||||
Healthcare-Products 0.8% | ||||||||||||||
a |
Garden Spinco Corp., 144A, 8.625%, 7/20/30 |
United States | 1,500,000 | 1,552,973 | ||||||||||
|
|
|||||||||||||
Household & Personal Products 1.1% | ||||||||||||||
a |
Spectrum Brands Inc., senior bond, 144A, 5.50%, 7/15/30 |
United States | 800,000 | 627,402 | ||||||||||
a |
VM Consolidated Inc., senior note, 144A, 5.50%, 4/15/29 |
United States | 1,600,000 | 1,378,702 | ||||||||||
|
|
|||||||||||||
2,006,104 | ||||||||||||||
|
|
|||||||||||||
Internet 0.4% | ||||||||||||||
a |
Match Group Holdings II LLC, 144A, 4.625%, 6/01/28 |
United States | 800,000 | 700,700 | ||||||||||
|
|
|||||||||||||
Lodging 0.7% | ||||||||||||||
Las Vegas Sands Corp.3.50%, 8/18/26 |
United States | 1,400,000 | 1,226,492 | |||||||||||
|
|
|||||||||||||
Materials 10.0% | ||||||||||||||
a |
Advanced Drainage Systems Inc., 144A, 6.375%, 6/15/30 |
United States | 1,400,000 | 1,359,722 | ||||||||||
a |
Arcosa Inc., 144A, 4.375%, 4/15/29 |
United States | 1,400,000 | 1,192,177 | ||||||||||
a |
Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc., senior note144A, 5.25%, 8/15/27 |
Luxembourg | 200,000 | 125,573 | ||||||||||
a |
senior secured note, first lien144A, 5.25%, 4/30/25 |
Luxembourg | 1,700,000 | 1,592,594 | ||||||||||
a |
ASP Unifrax Holdings Inc., 144A, 5.25%, 9/30/28 |
United States | 400,000 | 308,098 | ||||||||||
a |
Consolidated Energy Finance SA, 144A, 5.625%, 10/15/28 |
Luxembourg | 400,000 | 321,772 | ||||||||||
a |
Constellium SE, 144A, 3.75%, 4/15/29 |
France | 1,700,000 | 1,243,348 | ||||||||||
a |
CVR Partners LP / CVR Nitrogen Finance Corp., 144A, 6.125%, 6/15/28 |
United States | 1,000,000 | 872,151 | ||||||||||
a |
Eco Material Technologies Inc., Sr. Secured, 144A, 7.875%, 1/31/27 |
United States | 1,300,000 | 1,153,677 | ||||||||||
a |
Gates Global LLC / Gates Corp., senior note, 144A, 6.25%, 1/15/26 |
United States | 1,500,000 | 1,381,822 | ||||||||||
a |
Glatfelter Corp., 144A, 4.75%, 11/15/29 |
United States | 900,000 | 519,282 | ||||||||||
a |
GPD Companies Inc., senior secured note, 144A, 10.125%, 4/01/26 |
United States | 550,000 | 501,923 | ||||||||||
a |
Ingevity Corp., senior note, 144A, 3.875%, 11/01/28 |
United States | 900,000 | 745,326 | ||||||||||
Mauser
Packaging Solutions Holding Co., |
United States | 500,000 | 440,543 | |||||||||||
a senior note144A, 8.50%, 4/15/24 |
United States | 1,400,000 | 1,337,000 | |||||||||||
a |
Novelis Corp., senior bond, 144A, 4.75%, 1/30/30 |
United States | 1,400,000 | 1,151,542 | ||||||||||
a |
OI European Group B.V., 144A, 4.75%, 2/15/30 |
United States | 1,000,000 | 797,365 | ||||||||||
a |
Owens-Brockway
Glass Container Inc., senior note, 144A, |
United States | 322,000 | 318,297 | ||||||||||
a |
Pactiv Evergreen Group Issuer Inc/Pactiv Evergreen Group Issuer LLC, senior secured note, 144A, 4.00%, 10/15/27 |
United States | 1,400,000 | 1,176,556 | ||||||||||
a |
Roller Bearing Co. of America Inc., 144A, 4.375%, 10/15/29 |
United States | 800,000 | 675,792 | ||||||||||
a |
Trivium Packaging Finance B.V., senior secured note, 144A, 5.50%, 8/15/26 . |
Netherlands | 1,600,000 | 1,433,103 | ||||||||||
|
|
|||||||||||||
18,647,663 | ||||||||||||||
|
|
114 |
Semiannual Report |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin High Yield Corporate ETF (continued)
Country | Principal Amount* | Value | ||||||||||||
Corporate Bonds & Notes (continued) | ||||||||||||||
Media & Entertainment 11.6% | ||||||||||||||
a |
Banijay Entertainment SASU, senior note, 144A, 5.375%, 3/01/25 |
France | 2,000,000 | $ | 1,884,200 | |||||||||
CCO Holdings LLC / CCO Holdings Capital Corp., |
||||||||||||||
a senior bond144A, 5.375%, 6/01/29 |
United States | 1,300,000 | 1,140,750 | |||||||||||
a |
senior bond144A, 4.50%, 8/15/30 |
United States | 1,700,000 | 1,348,619 | ||||||||||
a |
Clear Channel International B.V., senior secured note, first lien, 144A, 6.625%, 8/01/25 |
United States | 600,000 | 558,233 | ||||||||||
a |
Clear Channel Outdoor Holdings Inc., 144A, 7.50%, 6/01/29 |
United States | 700,000 | 508,610 | ||||||||||
a |
Cogent Communications Group Inc., 144A, 3.50%, 5/01/26 |
United States | 1,900,000 | 1,676,195 | ||||||||||
a |
CSC Holdings LLC, senior note, 144A, 7.50%, 4/01/28 |
United States | 2,500,000 | 2,043,200 | ||||||||||
Diamond Sports Group LLC / Diamond Sports Finance Co., |
||||||||||||||
a senior note144A, 6.625%, 8/15/27 |
United States | 900,000 | 66,375 | |||||||||||
a secured note144A, 5.375%, 8/15/26 |
United States | 900,000 | 180,270 | |||||||||||
a |
Directv Financing LLC / Directv Financing Co-Obligor Inc., 144A, 5.875%, 8/15/27 |
United States | 1,700,000 | 1,469,437 | ||||||||||
a |
DISH DBS Corp., 144A, 5.75%, 12/01/28 |
United States | 2,200,000 | 1,666,753 | ||||||||||
a |
Everi Holdings Inc., 144A, 5.00%, 7/15/29 |
United States | 1,000,000 | 821,814 | ||||||||||
a |
Motion Bondco DAC, 144A, 6.625%, 11/15/27 |
United Kingdom | 300,000 | 254,459 | ||||||||||
Netflix Inc., senior unsecured6.375%, 5/15/29 |
United States | 600,000 | 597,056 | |||||||||||
senior unsecured note5.875%, 11/15/28 |
United States | 1,000,000 | 978,280 | |||||||||||
senior bond5.75%, 3/01/24 |
United States | 1,000,000 | 1,016,350 | |||||||||||
a |
Northwest Fiber LLC / Northwest Fiber Finance Sub Inc., senior note, 144A, 6.00%, 2/15/28 |
United States | 800,000 | 621,682 | ||||||||||
a |
Sinclair Television Group Inc., senior bond, 144A, 5.50%, 3/01/30 |
United States | 600,000 | 432,537 | ||||||||||
a |
Sirius XM Radio Inc., 144A, 4.00%, 7/15/28 |
United States | 1,800,000 | 1,534,842 | ||||||||||
a |
Univision Communications Inc., senior note, 144A, 6.625%, 6/01/27 |
United States | 1,900,000 | 1,797,300 | ||||||||||
a |
Virgin Media Secured Finance PLC, senior secured bond, 144A, 4.50%, 8/15/30 |
United Kingdom | 1,400,000 | 1,095,109 | ||||||||||
|
|
|||||||||||||
21,692,071 | ||||||||||||||
|
|
|||||||||||||
Mining 0.7% | ||||||||||||||
a |
Alcoa Nederland Holding B.V., 144A, 5.50%, 12/15/27 |
United States | 1,500,000 | 1,402,133 | ||||||||||
|
|
|||||||||||||
Oil & Gas 0.9% | ||||||||||||||
PBF Holding Co. LLC / PBF Finance Corp.7.25%, 6/15/25 |
United States | 1,700,000 | 1,626,407 | |||||||||||
|
|
|||||||||||||
Pharmaceuticals 0.4% | ||||||||||||||
1375209 BC Ltd., 144A, 9.00%, 1/30/28 |
Canada | 261,835 | 261,180 | |||||||||||
Bausch Health Cos. Inc., 144A, 14.00%, 10/15/30 |
Canada | 92,043 | 50,624 | |||||||||||
144A, 11.00%, 9/30/28 |
Canada | 465,120 | 376,747 | |||||||||||
|
|
|||||||||||||
688,551 | ||||||||||||||
|
|
|||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences 1.1% | ||||||||||||||
a |
Bausch Health Companies Inc., 144A, 4.875%, 6/01/28 |
United States | 1,000,000 | 646,380 | ||||||||||
a,b |
Par Pharmaceutical Inc., senior secured note, 144A, 7.50%, 4/01/27 |
United States | 400,000 | 316,952 | ||||||||||
Teva
Pharmaceutical Finance Netherlands III B.V., |
Israel | 700,000 | 575,291 | |||||||||||
4.75%, 5/09/27 |
Israel | 700,000 | 595,392 | |||||||||||
|
|
|||||||||||||
2,134,015 | ||||||||||||||
|
|
|||||||||||||
Pipelines 0.3% | ||||||||||||||
a |
EnLink Midstream LLC, 144A, 6.50%, 9/01/30 |
United States | 600,000 | 587,304 | ||||||||||
|
|
|||||||||||||
Retailing 1.9% | ||||||||||||||
a |
Fertitta Entertainment LLC / Fertitta Entertainment Finance Co. Inc., 144A, 6.75%, 1/15/30 |
United States | 1,100,000 | 838,068 | ||||||||||
a |
Gap Inc., 144A, 3.625%, 10/01/29 |
United States | 600,000 | 390,951 | ||||||||||
a |
Lithia Motors Inc., senior note, 144A, 4.625%, 12/15/27 |
United States | 1,700,000 | 1,479,174 | ||||||||||
a |
Macy’s Retail Holdings LLC, |
|||||||||||||
144A, 6.125%, 3/15/32 |
United States | 400,000 | 307,134 |
franklintempleton.com |
Semiannual Report |
115 |
FRANKLIN TEMPLETON ETF TRUST
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin High Yield Corporate ETF (continued)
Country | Principal Amount* | Value | ||||||||||||
Corporate Bonds & Notes (continued) | ||||||||||||||
Retailing (continued) | ||||||||||||||
a 144A, 5.875%, 3/15/30 |
United States | 600,000 | $ | 475,785 | ||||||||||
|
|
|||||||||||||
3,491,112 | ||||||||||||||
|
|
|||||||||||||
Software & Services 1.2% | ||||||||||||||
a |
Gartner Inc., senior note, 144A, 4.50%, 7/01/28 |
United States | 1,600,000 | 1,432,968 | ||||||||||
a |
Rocket Software Inc., senior note, 144A, 6.50%, 2/15/29 |
United States | 1,200,000 | 890,448 | ||||||||||
|
|
|||||||||||||
2,323,416 | ||||||||||||||
|
|
|||||||||||||
Technology Hardware & Equipment 0.3% | ||||||||||||||
a |
Condor Merger Sub Inc., 144A, 7.375%, 2/15/30 |
United States | 700,000 | 573,629 | ||||||||||
|
|
|||||||||||||
Telecommunication Services 2.0% | ||||||||||||||
a |
Altice France Holding SA, senior note, 144A, 10.50%, 5/15/27 |
Luxembourg | 600,000 | 471,327 | ||||||||||
a |
Altice France SA, senior note, first lien, 144A, 8.125%, 2/01/27 |
France | 1,000,000 | 895,995 | ||||||||||
a |
CommScope Technologies LLC, 144A, 5.00%, 3/15/27 |
United States | 1,400,000 | 1,058,869 | ||||||||||
a |
Iliad Holding SASU, 144A, 6.50%, 10/15/26 |
France | 1,600,000 | 1,401,688 | ||||||||||
|
|
|||||||||||||
3,827,879 | ||||||||||||||
|
|
|||||||||||||
Transportation 0.6% | ||||||||||||||
a |
First Student Bidco Inc. / First Transit Parent Inc., 144A, 4.00%, 7/31/29 |
United States | 1,300,000 | 1,055,966 | ||||||||||
|
|
|||||||||||||
Utilities 5.6% | ||||||||||||||
Calpine Corp., |
||||||||||||||
a |
senior note144A, 5.125%, 3/15/28 |
United States | 600,000 | 516,565 | ||||||||||
a |
first lien144A, 4.50%, 2/15/28 |
United States | 1,200,000 | 1,059,816 | ||||||||||
a |
InterGen NV, 144A, 7.00%, 6/30/23 |
Netherlands | 2,100,000 | 2,044,350 | ||||||||||
a |
Leeward Renewable Energy Operations LLC, 144A, 4.25%, 7/01/29 |
United States | 1,800,000 | 1,452,960 | ||||||||||
Talen Energy Supply LLC, |
||||||||||||||
b senior note6.50%, 6/01/25 |
United States | 1,000,000 | 804,246 | |||||||||||
a,b senior note144A, 7.625%, 6/01/28 |
United States | 1,000,000 | 1,033,797 | |||||||||||
a |
TTM Technologies Inc., senior note, 144A, 4.00%, 3/01/29 |
United States | 1,800,000 | 1,453,320 | ||||||||||
a |
Vistra Operations Co. LLC, senior note, 144A, 5.50%, 9/01/26 |
United States | 2,300,000 | 2,136,343 | ||||||||||
|
|
|||||||||||||
10,501,397 | ||||||||||||||
|
|
|||||||||||||
Total Corporate Bonds & Notes (Cost $197,507,944) |
166,611,438 | |||||||||||||
|
|
|||||||||||||
Senior Floating Rate Interests 4.2% | ||||||||||||||
Materials 1.0% | ||||||||||||||
Hexion Holdings Corporation, |
||||||||||||||
d 2022 USD Term Loan, TBD, 7.413%, 3/15/29 |
United States | 1,097,250 | 941,441 | |||||||||||
d 2022 USD 2nd Lien Term Loan, TBD, 9.834%, 3/02/30 |
United States | 1,186,047 | 978,488 | |||||||||||
|
|
|||||||||||||
1,919,929 | ||||||||||||||
|
|
|||||||||||||
Software & Services 1.5% | ||||||||||||||
Athenahealth Inc., |
||||||||||||||
d |
2022 Term Loan B, TBD, 6.576%, 2/15/29 |
United States | 1,449,989 | 1,302,815 | ||||||||||
d |
2022 Delayed Draw Term Loan, TBD, 3.50%, 2/15/29 |
United States | 246,377 | 221,370 | ||||||||||
d |
McAfee LLC, 2022 USD Term Loan B, TBD, 6.362%, 3/01/29 |
United States | 1,396,500 | 1,277,546 | ||||||||||
|
|
|||||||||||||
2,801,731 | ||||||||||||||
|
|
|||||||||||||
Chemicals 0.7% | ||||||||||||||
d |
PMHC II Inc., 2022 Term Loan B, TBD, 6.977%, 4/23/29 |
United States | 1,700,000 | 1,379,660 | ||||||||||
|
|
|||||||||||||
Media & Entertainment 1.0% | ||||||||||||||
d |
Diamond Sports Group LLC, 2022 First Priority Term Loan, TBD, 10.696%, d5/26/26 |
United States | 199,317 | 192,341 | ||||||||||
d |
Fertitta Entertainment LLC, 2022 Term Loan B, TBD, 7.034%, 1/27/29 |
United States | 1,691,500 | 1,573,975 | ||||||||||
|
|
|||||||||||||
1,766,316 | ||||||||||||||
|
|
|||||||||||||
Total Floating Rate Loans (Cost $8,872,317) |
7,867,636 | |||||||||||||
|
|
116 |
Semiannual Report |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin High Yield Corporate ETF (continued)
Country | Principal Amount* | Value | ||||||||||||
Senior Floating Rate Interests (continued) | ||||||||||||||
Media & Entertainment (continued) | ||||||||||||||
Total
Investments before Short Term Investments |
$ | 174,479,074 | ||||||||||||
|
|
|||||||||||||
Short-Term Investments 5.5% |
||||||||||||||
U.S. Government & Agency Securities (Cost $10,323,509) 5.5% |
||||||||||||||
e |
Federal Home Loan Bank Discount Notes, 10/03/22 |
United States | 10,325,000 | 10,325,000 | ||||||||||
|
|
|||||||||||||
Total Short-Term Investments (Cost $10,323,509) |
10,325,000 | |||||||||||||
|
|
|||||||||||||
Total Investments (Cost $216,703,770) 98.7% |
184,804,074 | |||||||||||||
Other Assets, less Liabilities 1.3% |
2,477,263 | |||||||||||||
|
|
|||||||||||||
Net Assets 100.0% |
$ | 187,281,337 | ||||||||||||
|
|
*The principal amount is stated in U.S. dollars unless otherwise indicated.
aSecurity was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from registration only to qualified institutional buyers or in a public offering registered under the Securities Act of 1933. At September 30, 2022, the value of was $139,121,673, representing 74.3% of net assets.
bSee Note 10 regarding defaulted securities.
cFair valued using significant unobservable inputs. See Note 12 regarding fair value measurements.
dA portion or all of the security represents an unsettled loan commitment. The coupon rate is to-be determined (TBD) at the time of settlement and will be based upon a reference index/floor plus a spread.
eThe security was issued on a discount basis with no stated coupon rate.
See Abbreviations on page 223.
franklintempleton.com |
The accompanying notes are an integral part of these financial statements. | Semiannual Report |
117 |
FRANKLIN TEMPLETON ETF TRUST
Financial Highlights
Franklin Intelligent Machines ETF
Six Months Ended September 30, 2022 (unaudited) |
Year Ended March 31, | |||||||||||||||
2022 | 2021 | 2020a | ||||||||||||||
Per share operating performance (for a share outstanding throughout the period) |
||||||||||||||||
Net asset value, beginning of period |
$ | 46.30 | $ | 43.24 | $ | 20.67 | $ | 25.00 | ||||||||
|
|
|||||||||||||||
Income from investment operationsb: | ||||||||||||||||
Net investment income (loss)c |
(— | )d | (0.10 | ) | (0.06 | ) | — | |||||||||
Net realized and unrealized gains (losses) |
(12.48 | ) | 3.25 | 22.63 | (4.33 | ) | ||||||||||
|
|
|||||||||||||||
Total from investment operations |
(12.48 | ) | 3.15 | 22.57 | (4.33 | ) | ||||||||||
|
|
|||||||||||||||
Less distributions from: | ||||||||||||||||
Net investment income |
— | — | (0.00 | )d | — | |||||||||||
Net realized gains |
— | (0.09 | ) | — | — | |||||||||||
|
|
|||||||||||||||
Total Distributions | — | (0.09 | ) | — | — | |||||||||||
|
|
|||||||||||||||
Net asset value, end of period |
$ | 33.82 | $ | 46.30 | $ | 43.24 | $ | 20.67 | ||||||||
|
|
|||||||||||||||
Total returne |
(26.95)% | 7.27% | 109.21% | (17.32)% | ||||||||||||
Ratios to average net assetsf | ||||||||||||||||
Expenses before waiver and payments by affiliates |
0.50% | 0.77% | 2.19% | 12.91% | ||||||||||||
Expenses net of waiver and payments by affiliates |
0.50% | 0.50% | 0.50% | 0.50% | ||||||||||||
Net investment income (loss) |
(0.02)% | (0.21)% | (0.17)% | 0.20% | ||||||||||||
Supplemental data | ||||||||||||||||
Net assets, end of period (000’s) |
$6,764 | $11,574 | $10,809 | $2,067 | ||||||||||||
Portfolio turnover rateg |
17.85%h | 35.98%h | 75.25%h | —%h |
aFor the period February 25, 2020 (commencement of operations) to March 31, 2020.
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 and/or fluctuating fair value of the investments of the Fund.
cBased on average daily shares outstanding.
dAmount rounds to less than $0.001 per share.
eTotal 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.
fRatios are annualized for periods less than one year.
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”).
hPortfolio turnover rate excluding cash creations was as follows: | 17.85% | 35.98% | 75.25% |
118 |
Semiannual Report | The accompanying notes are an integral part of these financial statements. |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
Schedule of Investments, September 30, 2022 (unaudited)
Franklin Intelligent Machines ETF
Country | Shares | Value | ||||||||||||
Common Stocks 100.0% | ||||||||||||||
Aerospace & Defense 2.1% | ||||||||||||||
a |
Axon Enterprise Inc. |
United States | 1,240 | $ | 143,530 | |||||||||
|
|
|||||||||||||
Automobiles 7.7% | ||||||||||||||
a |
Tesla Inc. |
United States | 1,954 | 518,298 | ||||||||||
|
|
|||||||||||||
Computers & Peripherals 5.0% | ||||||||||||||
Apple Inc. |
United States | 2,452 | 338,866 | |||||||||||
|
|
|||||||||||||
Construction & Engineering 3.1% | ||||||||||||||
Quanta Services Inc. |
United States | 1,081 | 137,709 | |||||||||||
Valmont Industries Inc. |
United States | 271 | 72,796 | |||||||||||
|
|
|||||||||||||
210,505 | ||||||||||||||
|
|
|||||||||||||
Electrical Equipment 1.4% | ||||||||||||||
Eaton Corp. PLC |
United States | 266 | 35,474 | |||||||||||
a |
NuScale Power Corp. |
United States | 2,612 | 30,508 | ||||||||||
a |
Sunrun Inc. |
United States | 987 | 27,231 | ||||||||||
|
|
|||||||||||||
93,213 | ||||||||||||||
|
|
|||||||||||||
Electronic Equipment, Instruments & Components 8.8% | ||||||||||||||
Amphenol Corp., A |
United States | 1,017 | 68,099 | |||||||||||
Keyence Corp. |
Japan | 625 | 206,829 | |||||||||||
a |
Keysight Technologies Inc. |
United States | 671 | 105,589 | ||||||||||
Samsung SDI Co. Ltd. |
South Korea | 336 | 128,228 | |||||||||||
TE Connectivity Ltd. |
Switzerland | 300 | 33,108 | |||||||||||
a |
Trimble Inc. |
United States | 375 | 20,351 | ||||||||||
a |
Zebra Technologies Corp., A |
United States | 126 | 33,013 | ||||||||||
|
|
|||||||||||||
595,217 | ||||||||||||||
|
|
|||||||||||||
Health Care Equipment & Supplies 10.5% | ||||||||||||||
a |
Dexcom Inc. |
United States | 1,644 | 132,408 | ||||||||||
a |
IDEXX Laboratories Inc. |
United States | 312 | 101,650 | ||||||||||
a |
Insulet Corp. |
United States | 578 | 132,593 | ||||||||||
a |
Intuitive Surgical Inc. |
United States | 1,428 | 267,664 | ||||||||||
ResMed Inc. |
United States | 186 | 40,604 | |||||||||||
a |
Shockwave Medical Inc. |
United States | 130 | 36,149 | ||||||||||
|
|
|||||||||||||
711,068 | ||||||||||||||
|
|
|||||||||||||
Health Care Technology 1.5% | ||||||||||||||
a |
Inspire Medical Systems Inc. |
United States | 575 | 101,988 | ||||||||||
|
|
|||||||||||||
Household Durables 0.5% | ||||||||||||||
Panasonic Corp. |
Japan | 4,640 | 32,521 | |||||||||||
|
|
|||||||||||||
Industrial Conglomerates 2.2% | ||||||||||||||
Honeywell International Inc. |
United States | 221 | 36,900 | |||||||||||
Roper Technologies Inc. |
United States | 200 | 71,928 | |||||||||||
Siemens AG |
Germany | 366 | 36,286 | |||||||||||
|
|
|||||||||||||
145,114 | ||||||||||||||
|
|
|||||||||||||
Machinery 0.5% | ||||||||||||||
a |
Chart Industries Inc. |
United States | 180 | 33,183 | ||||||||||
|
|
|||||||||||||
Semiconductors & Semiconductor Equipment 32.8% | ||||||||||||||
Analog Devices Inc. |
United States | 996 | 138,783 | |||||||||||
Applied Materials Inc. |
United States | 1,669 | 136,741 | |||||||||||
ASM International NV |
Netherlands | 556 | 127,320 | |||||||||||
ASML Holding NV |
Netherlands | 631 | 262,086 | |||||||||||
a |
Enphase Energy Inc. |
United States | 937 | 259,989 | ||||||||||
Entegris Inc. |
United States | 1,578 | 131,006 | |||||||||||
a |
First Solar Inc. |
United States | 270 | 35,713 |
franklintempleton.com |
Semiannual Report |
119 |
FRANKLIN TEMPLETON ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Intelligent Machines ETF (continued)
Country | Shares | Value | ||||||||||||
Common Stocks (continued) | ||||||||||||||
Semiconductors & Semiconductor Equipment (continued) | ||||||||||||||
Infineon Technologies AG |
Germany | 3,026 | $ | 67,322 | ||||||||||
KLA Corp. |
United States | 221 | 66,881 | |||||||||||
Lam Research Corp. |
United States | 173 | 63,318 | |||||||||||
Marvell Technology Inc. |
United States | 787 | 33,770 | |||||||||||
Microchip Technology Inc. |
United States | 611 | 37,289 | |||||||||||
NVIDIA Corp. |
United States | 2,267 | 275,191 | |||||||||||
NXP Semiconductors NV |
China | 228 | 33,632 | |||||||||||
a |
SiTime Corp. |
United States | 425 | 33,460 | ||||||||||
a |
SolarEdge Technologies Inc. |
United States | 236 | 54,625 | ||||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. |
Taiwan | 2,837 | 194,505 | |||||||||||
Teradyne Inc. |
United States | 1,804 | 135,571 | |||||||||||
Texas Instruments Inc. |
United States | 447 | 69,187 | |||||||||||
a |
Wolfspeed Inc. |
United States | 623 | 64,393 | ||||||||||
|
|
|||||||||||||
2,220,782 | ||||||||||||||
|
|
|||||||||||||
Software 23.9% | ||||||||||||||
a |
Altair Engineering Inc. |
United States | 1,559 | 68,939 | ||||||||||
a |
ANSYS Inc. |
United States | 615 | 136,345 | ||||||||||
a |
Asana Inc. |
United States | 1,514 | 33,656 | ||||||||||
a |
Atlassian Corp. PLC |
United States | 308 | 64,862 | ||||||||||
a |
Autodesk Inc. |
United States | 757 | 141,408 | ||||||||||
Bentley Systems Inc., B |
United States | 1,074 | 32,854 | |||||||||||
a |
Cadence Design Systems Inc. |
United States | 1,803 | 294,664 | ||||||||||
Constellation Software Inc. |
Canada | 100 | 139,885 | |||||||||||
Dassault Systemes SE |
France | 2,037 | 71,311 | |||||||||||
a |
Descartes Systems Group Inc. |
Canada | 3,307 | 211,096 | ||||||||||
a |
PTC Inc. |
United States | 1,291 | 135,039 | ||||||||||
a |
Synopsys Inc. |
United States | 943 | 288,096 | ||||||||||
|
|
|||||||||||||
1,618,155 | ||||||||||||||
|
|
|||||||||||||
Total Common Stocks (Cost $7,706,465) |
6,762,440 | |||||||||||||
|
|
|||||||||||||
Total Investments (Cost $7,706,465) 100.0% |
6,762,440 | |||||||||||||
Other Assets, less Liabilities 0.0%† |
1,936 | |||||||||||||
|
|
|||||||||||||
Net Assets 100.0% |
$ | 6,764,376 | ||||||||||||
|
|
†Rounds to less than 0.1% of net assets.
aNon-income producing.
See Abbreviations on page 223.
120 |
Semiannual Report | The accompanying notes are an integral part of these financial statements. |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
Financial Highlights
Franklin International Aggregate Bond ETFa
Six Months Ended (unaudited) |
Year Ended March 31, | |||||||||||||||||||
2022 | 2021 | 2020 | 2019b | |||||||||||||||||
Per share operating performance (for a share outstanding throughout the period) |
||||||||||||||||||||
Net asset value, beginning of period |
$ | 23.65 | $ | 25.02 | $ | 24.95 | $ | 24.56 | $ | 25.00 | ||||||||||
|
|
|||||||||||||||||||
Income from investment operationsc: | ||||||||||||||||||||
Net investment income (loss)d |
0.08 | 0.05 | (0.01 | ) | 0.22 | 0.39 | ||||||||||||||
Net realized and unrealized gains (losses) |
(0.95 | ) | (0.87 | ) | 0.19 | 0.78 | (0.40 | ) | ||||||||||||
|
|
|||||||||||||||||||
Total from investment operations |
(0.87 | ) | (0.82 | ) | 0.18 | 1.00 | (0.01 | ) | ||||||||||||
|
|
|||||||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income |
(0.40 | ) | (0.42 | ) | (0.11 | ) | (0.09 | ) | (0.43 | ) | ||||||||||
Net realized gains |
— | (0.13 | ) | — | (0.52 | ) | — | |||||||||||||
|
|
|||||||||||||||||||
Total Distributions |
(0.40 | ) | (0.55 | ) | (0.11 | ) | (0.61 | ) | (0.43 | ) | ||||||||||
|
|
|||||||||||||||||||
Net asset value, end of period |
$ | 22.38 | $ | 23.65 | $ | 25.02 | $ | 24.95 | $ | 24.56 | ||||||||||
|
|
|||||||||||||||||||
Total returne |
(3.71)% | (3.35)% | 0.72% | 4.05% | 0.00% | |||||||||||||||
Ratios to average net assetsf | ||||||||||||||||||||
Expenses before waiver and payments by affiliates |
0.25% | 0.39% | 0.58% | 3.23% | 2.32% | |||||||||||||||
Expenses net of waiver and payments by affiliates |
0.25% | 0.25% | 0.25% | 0.28% | 0.35% | |||||||||||||||
Net investment income (loss) |
0.68% | 0.21% | (0.03)% | 0.87% | 1.91% | |||||||||||||||
Supplemental data | ||||||||||||||||||||
Net assets, end of period (000’s) |
$189,085 | $193,968 | $181,405 | $4,989 | $4,912 | |||||||||||||||
Portfolio turnover rateg |
6.77% | h | 24.12%h | 72.21% | h | 66.78% | h | 50.32% |
aEffective August 1, 2022, Formerly, Franklin Liberty International Aggregate Bond ETF was renamed Franklin International Aggregate Bond ETF.
bFor the period May 30, 2018 (commencement of operations) to March 31, 2019.
cThe 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 and/or fluctuating fair value of the investments of the Fund.
dBased on average daily shares outstanding.
eTotal 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.
fRatios are annualized for periods less than one year.
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”).
hPortfolio turnover rate excluding cash creations was as follows: | 6.77 | % | 24.12 | % | 72.21 | % | 66.78 | % |
franklintempleton.com |
The accompanying notes are an integral part of these financial statements. | Semiannual Report |
121 |
FRANKLIN TEMPLETON ETF TRUST
Schedule of Investments, September 30, 2022 (unaudited)
Franklin International Aggregate Bond ETF
Principal Amount* | Value | |||||||||||||
Foreign Government and Agency Securities 76.6% | ||||||||||||||
Australia 2.2% | ||||||||||||||
a |
Government of Australia, senior bond, 149, Reg S, 2.25%, 5/21/28 |
1,900,000 | AUD | $ | 1,125,619 | |||||||||
a |
New South Wales Treasury Corp., senior bond, Reg S, 3.00%, 5/20/27 |
1,200,000 | AUD | 732,432 | ||||||||||
a,b |
Queensland Treasury Corp., senior bond, 144A, Reg S, 3.25%, 8/21/29 |
1,200,000 | AUD | 723,279 | ||||||||||
a |
Western Australian Treasury Corp., senior note, 26, Reg S, 3.00%, 10/21/26 |
2,500,000 | AUD | 1,537,851 | ||||||||||
|
|
|||||||||||||
4,119,181 | ||||||||||||||
|
|
|||||||||||||
Austria 1.1% | ||||||||||||||
Government of Austria, |
||||||||||||||
a,b 144A, Reg S, 1.20%, 10/20/25 |
1,200,000 | EUR | 1,144,849 | |||||||||||
a,b senior bond, 144A, Reg S, 1.50%, 2/20/47 |
1,200,000 | EUR | 889,842 | |||||||||||
|
|
|||||||||||||
2,034,691 | ||||||||||||||
|
|
|||||||||||||
Belgium 2.5% | ||||||||||||||
a,b |
Government of Belgium, unsecured bond, 144A, Reg S, 1.00%, 6/22/31 |
5,500,000 | EUR | 4,742,688 | ||||||||||
|
|
|||||||||||||
Canada 5.3% | ||||||||||||||
Government of Canada, |
||||||||||||||
1.25%, 3/01/25 |
5,000,000 | CAD | 3,415,174 | |||||||||||
1.25%, 6/01/30 |
750,000 | CAD | 471,436 | |||||||||||
5.00%, 6/01/37 |
2,300,000 | CAD | 1,999,610 | |||||||||||
senior bond, 2.00%, 9/01/23 |
5,000,000 | CAD | 3,555,869 | |||||||||||
senior bond, 2.00%, 12/01/51 |
1,100,000 | CAD | 628,545 | |||||||||||
|
|
|||||||||||||
10,070,634 | ||||||||||||||
|
|
|||||||||||||
China 9.3% | ||||||||||||||
Agricultural Development Bank of China, Series 2008, Unsecured 3.45%, 9/23/25 |
13,000,000 | CNY | 1,873,499 | |||||||||||
China
Development Bank, |
24,000,000 | CNY | 3,429,551 | |||||||||||
senior note, 2004, 3.43%, 1/14/27 |
25,000,000 | CNY | 3,608,068 | |||||||||||
China
Government Bond, |
25,000,000 | CNY | 3,580,661 | |||||||||||
2.85%, 6/04/27 |
25,000,000 | CNY | 3,549,942 | |||||||||||
Export-Import Bank of China, Series 2003, Unsecured 2.17%, 4/07/23 |
11,000,000 | CNY | 1,542,804 | |||||||||||
|
|
|||||||||||||
17,584,525 | ||||||||||||||
|
|
|||||||||||||
Cyprus 0.9% | ||||||||||||||
a |
Government of Cyprus, Reg S, 1.50%, 4/16/27 |
1,900,000 | EUR | 1,734,179 | ||||||||||
|
|
|||||||||||||
France 2.8% | ||||||||||||||
French
Republic Government Bond OAT, |
3,200,000 | EUR | 3,036,493 | |||||||||||
a Reg S, 0.01%, 11/25/29 |
2,800,000 | EUR | 2,311,963 | |||||||||||
|
|
|||||||||||||
5,348,456 | ||||||||||||||
|
|
|||||||||||||
Germany 13.6% | ||||||||||||||
a |
Bundesobligation, senior bond, 180, Reg S, %, 10/18/24 |
8,500,000 | EUR | 8,050,415 | ||||||||||
Government
of Germany, |
1,100,000 | EUR | 1,359,874 | |||||||||||
a Reg S, 4.25%, 7/04/39 |
1,000,000 | EUR | 1,255,758 | |||||||||||
a senior bond, Reg S, 0.01%, 8/15/26 |
14,000,000 | EUR | 12,805,525 | |||||||||||
KFW, Senior note, 2.05%, 2/16/26 |
300,000,000 | JPY | 2,205,933 | |||||||||||
|
|
|||||||||||||
25,677,505 | ||||||||||||||
|
|
|||||||||||||
Italy 4.8% | ||||||||||||||
Italy
Treasury Bond, |
2,800,000 | EUR | 1,899,905 | |||||||||||
a senior bond, Reg S, 1.25%, 12/01/26 |
3,700,000 | EUR | 3,311,702 | |||||||||||
a senior unsecured bond, Reg S, 0.05%, 1/15/23 |
4,000,000 | EUR | 3,909,196 | |||||||||||
|
|
|||||||||||||
9,120,803 | ||||||||||||||
|
|
122 |
Semiannual Report |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin International Aggregate Bond ETF (continued)
Principal Amount* | Value | |||||||||||||
Foreign Government and Agency Securities (continued) | ||||||||||||||
Japan 17.7% | ||||||||||||||
Development Bank of Japan Inc., senior bond, 2.30%, 3/19/26 |
1,000,000,000 | JPY | $ | 7,395,279 | ||||||||||
Government
of Japan, |
600,000,000 | JPY | 4,630,876 | |||||||||||
senior bond, 1.00%, 12/20/35 |
1,300,000,000 | JPY | 9,449,068 | |||||||||||
Japan Government Five Year Bond, senior bond, 142, 0.10%, 12/20/24 |
1,300,000,000 | JPY | 9,012,612 | |||||||||||
Japan Government Thirty Year Bond, senior bond, 0.40%, 12/20/49 |
550,000,000 | JPY | 3,006,263 | |||||||||||
|
|
|||||||||||||
33,494,098 | ||||||||||||||
|
|
|||||||||||||
Mexico 0.1% | ||||||||||||||
c Mexican Bonos, senior bond, senior bond, 8.00%, 11/07/47 |
3,900,000 | MXN | 163,443 | |||||||||||
|
|
|||||||||||||
Netherlands 1.3% | ||||||||||||||
a,b |
Government of the Netherlands, 144A, Reg S, 0.50%, 7/15/26 |
2,700,000 | EUR | 2,504,633 | ||||||||||
|
|
|||||||||||||
Poland 1.4% | ||||||||||||||
Republic of Poland Government Bond, 2.75%, 10/25/29 |
17,000,000 | PLN | 2,598,237 | |||||||||||
|
|
|||||||||||||
Romania 0.7% | ||||||||||||||
a |
Government of Romania, senior bond, Reg S, 2.00%, 1/28/32 |
2,100,000 | EUR | 1,271,806 | ||||||||||
|
|
|||||||||||||
Spain 5.4% | ||||||||||||||
Government of Spain, |
||||||||||||||
a,b 144A, Reg S, 1.00%, 7/30/42 |
4,000,000 | EUR | 2,529,157 | |||||||||||
senior note, 0.01%, 1/31/25 |
5,000,000 | EUR | 4,653,694 | |||||||||||
a,b senior unsecured bond, 144A, Reg S, 1.25%, 10/31/30 |
3,600,000 | EUR | 3,086,170 | |||||||||||
|
|
|||||||||||||
10,269,021 | ||||||||||||||
|
|
|||||||||||||
d | Supranational 2.3% | |||||||||||||
Asian Development Bank, senior bond, 339-00-1, 2.35%, 6/21/27 |
240,000,000 | JPY | 1,829,544 | |||||||||||
a |
European Investment Bank, senior bond, Reg S, 1.90%, 1/26/26 |
330,000,000 | JPY | 2,422,323 | ||||||||||
|
|
|||||||||||||
4,251,867 | ||||||||||||||
|
|
|||||||||||||
Sweden 2.0% | ||||||||||||||
Government of Sweden, |
||||||||||||||
a,b |
144A, Reg S, 1.50%, 11/13/23 |
22,000,000 | SEK | 1,965,620 | ||||||||||
senior bond, 0.75%, 5/12/28 |
22,000,000 | SEK | 1,818,036 | |||||||||||
|
|
|||||||||||||
3,783,656 | ||||||||||||||
|
|
|||||||||||||
United Kingdom 3.2% | ||||||||||||||
United
Kingdom Gilt, |
1,800,000 | GBP | 1,474,643 | |||||||||||
a Reg S, 3.50%, 7/22/68 |
900,000 | GBP | 1,051,221 | |||||||||||
a |
United Kingdom Treasury Bond, Reg S, 4.75%, 12/07/30 |
3,000,000 | GBP | 3,499,647 | ||||||||||
|
|
|||||||||||||
6,025,511 | ||||||||||||||
|
|
|||||||||||||
Total Foreign
Government and Agency Securities (Cost $189,866,640) |
144,794,934 | |||||||||||||
|
|
|||||||||||||
Corporate Bonds & Notes 4.8% | ||||||||||||||
Denmark 0.1% | ||||||||||||||
a |
Nykredit Realkredit AS, secured bond, Reg S, 1.00%, 10/01/50 |
1,048,904 | DKK | 95,318 | ||||||||||
|
|
|||||||||||||
France 0.7% | ||||||||||||||
a |
Air Liquide Finance SA, senior note, Reg S, 1.375%, 4/02/30 |
500,000 | EUR | 425,133 | ||||||||||
a |
Orange SA, senior note, Reg S, 1.375%, 3/20/28 |
1,000,000 | EUR | 881,190 | ||||||||||
|
|
|||||||||||||
1,306,323 | ||||||||||||||
|
|
|||||||||||||
Germany 0.9% | ||||||||||||||
a |
Aroundtown SA, senior note, Reg S, 1.625%, 1/31/28 |
1,000,000 | EUR | 769,978 | ||||||||||
a |
Deutsche Telekom AG, senior note, Reg S, 0.875%, 3/25/26 |
500,000 | EUR | 455,234 | ||||||||||
a |
Siemens Financieringsmaatschappij NV, senior note, Reg S, 0.01%, 2/20/26 |
500,000 | EUR | 443,079 | ||||||||||
|
|
|||||||||||||
1,668,291 | ||||||||||||||
|
|
franklintempleton.com |
Semiannual Report |
123 |
FRANKLIN TEMPLETON ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin International Aggregate Bond ETF (continued)
Principal Amount* | Value | |||||||||||||
Corporate Bonds & Notes (continued) | ||||||||||||||
Romania 0.1% | ||||||||||||||
a |
Globalworth Real Estate Investments Ltd., senior note, Reg S, 3.00%, 3/29/25 |
300,000 | EUR | $ | 257,735 | |||||||||
|
|
|||||||||||||
United Kingdom 0.4% | ||||||||||||||
a |
RELX Finance BV, senior note, Reg S, 0.50%, 3/10/28 |
1,000,000 | EUR | 828,558 | ||||||||||
|
|
|||||||||||||
United States 2.6% | ||||||||||||||
AbbVie Inc., senior note, 1.375%, 5/17/24 |
500,000 | EUR | 478,600 | |||||||||||
Air Products and Chemicals Inc., senior note, 0.50%, 5/05/28 |
1,000,000 | EUR | 827,747 | |||||||||||
Apple Inc., senior bond, 1.625%, 11/10/26 |
500,000 | EUR | 466,959 | |||||||||||
AT&T Inc., senior note, 0.25%, 3/04/26 |
1,000,000 | EUR | 878,193 | |||||||||||
a |
Schlumberger Finance France SAS, senior note, Reg S, 1.00%, 2/18/26 |
500,000 | EUR | 455,849 | ||||||||||
Stryker Corp., senior note, 0.25%, 12/03/24 |
1,000,000 | EUR | 918,842 | |||||||||||
The Procter & Gamble, senior note, 0.50%, 10/25/24 |
500,000 | EUR | 470,026 | |||||||||||
Verizon Communications Inc., senior note, 0.875%, 4/02/25 |
500,000 | EUR | 464,867 | |||||||||||
|
|
|||||||||||||
4,961,083 | ||||||||||||||
|
|
|||||||||||||
Total Corporate Bonds & Notes (Cost $9,524,281) |
9,117,308 | |||||||||||||
|
|
|||||||||||||
Total Investments before Short Term Investments ($199,390,921) |
153,912,242 | |||||||||||||
|
|
|||||||||||||
Short-Term Investments 9.1% | ||||||||||||||
U.S. Government & Agency Securities (Cost $17,182,518) 9.1% |
||||||||||||||
a |
Federal Home Loan Bank Discount Notes, 10/03/22 |
17,185,000 | 17,185,000 | |||||||||||
|
|
|||||||||||||
Total Short-Term Investments (Cost $17,182,518) |
17,185,000 | |||||||||||||
|
|
|||||||||||||
Total Investments (Cost $216,573,439) 90.5% |
171,097,242 | |||||||||||||
Other Assets, less Liabilities 9.5% |
17,987,301 | |||||||||||||
|
|
|||||||||||||
Net Assets 100.0% |
$ | 189,084,543 | ||||||||||||
|
|
*The principal amount is stated in U.S. dollars unless otherwise indicated.
aSecurity was purchased pursuant to Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. Such a security cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. At September 30, 2022, the value of was $74,988,864, representing 39.7% of net assets.
bSecurity was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from registration only to qualified institutional buyers or in a public offering registered under the Securities Act of 1933. At September 30, 2022, the value of was $19,486,143, representing 10.3% of net assets.
cPrincipal amount is stated in 100 Mexican Peso Units.
dA supranational organization is an entity formed by two or more central governments through international treaties.
eThe security was issued on a discount basis with no stated coupon rate.
At September 30, 2022 the Fund had the following forward exchange contracts outstanding. See Note 1(c).
Forward Exchange Contracts | ||||||||||||||||||||||||||||
Currency | Counterpartya | Type | Quantity | Contract Amount |
Settlement Date |
Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||||||||
OTC Forward Exchange Contracts | ||||||||||||||||||||||||||||
Chinese Yuan |
CITI | Sell | 144,200,000 | $ | 21,351,726 | 10/18/22 | $ | 1,118,996 | $ | — | ||||||||||||||||||
Australian Dollar |
CITI | Sell | 7,465,000 | 5,174,066 | 11/07/22 | 370,808 | — | |||||||||||||||||||||
Canadian Dollar |
CITI | Sell | 13,120,000 | 10,200,750 | 11/07/22 | 661,782 | — | |||||||||||||||||||||
Danish Krone |
CITI | Sell | 1,141,000 | 157,093 | 11/07/22 | 6,640 | — | |||||||||||||||||||||
Euro |
CITI | Sell | 76,270,000 | 78,294,587 | 11/07/22 | 3,516,258 | — | |||||||||||||||||||||
Great British Pound |
CITI | Sell | 7,845,968 | 9,576,193 | 11/07/22 | 837,146 | — | |||||||||||||||||||||
Hungarian Forint |
CITI | Buy | 22,203,286 | 55,868 | 11/07/22 | — | (4,953 | ) | ||||||||||||||||||||
Japanese Yen |
CITI | Sell | 200,000,000 | 1,476,399 | 11/07/22 | 89,884 | — | |||||||||||||||||||||
Japanese Yen |
CITI | Sell | 5,749,000,000 | 43,410,303 | 11/07/22 | 3,554,908 | — | |||||||||||||||||||||
Mexican Peso |
CITI | Sell | 7,600,000 | 361,181 | 11/07/22 | — | (14,219 | ) | ||||||||||||||||||||
Polish Zloty |
CITI | Sell | 6,000,000 | 1,284,601 | 11/07/22 | 80,868 | — | |||||||||||||||||||||
Polish Zloty |
CITI | Sell | 8,050,000 | 1,723,953 | 11/07/22 | 108,945 | — | |||||||||||||||||||||
South African Rand |
CITI | Sell | 470,000 | 27,802 | 11/07/22 | 1,885 | — |
124 |
Semiannual Report |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin International Aggregate Bond ETF (continued)
Forward Exchange Contracts (continued) | ||||||||||||||||||||||||||||
Currency | Counterpartya | Type | Quantity | Contract Amount |
Settlement Date |
Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||||||||
OTC Forward Exchange Contracts (continued) | ||||||||||||||||||||||||||||
Swedish Krona |
CITI | Sell | 10,000,000 | $ | 987,918 | 11/07/22 | $ | 88,100 | $ | — | ||||||||||||||||||
Swedish Krona |
CITI | Sell | 34,500,000 | 3,385,715 | 11/07/22 | 281,345 | — | |||||||||||||||||||||
|
|
|||||||||||||||||||||||||||
Total Forward Exchange Contracts |
|
$ | 10,717,565 | $ | (19,172 | ) | ||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||
Net unrealized appreciation (depreciation) |
|
$ | 10,698,393 | |||||||||||||||||||||||||
|
|
aMay be comprised of multiple contracts with the same counterparty, currency and settlement date.
See Note 11 regarding other derivative information.
See Abbreviations on page 223.
franklintempleton.com |
The accompanying notes are an integral part of these financial statements. | Semiannual Report |
125 |
FRANKLIN TEMPLETON ETF TRUST
Financial Highlights
Franklin Investment Grade Corporate ETFa
Six Months Ended September 30, 2022 (unaudited) |
Year Ended March 31, | |||||||||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||||||
Per share operating performance (for a share outstanding throughout the period) |
||||||||||||||||||||||||
Net asset value, beginning of period |
$23.71 | $25.47 | $24.22 | $24.09 | $23.97 | $24.21 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Income from investment operationsb: | ||||||||||||||||||||||||
Net investment incomec |
0.32 | 0.58 | 0.60 | 0.73 | 0.82 | 0.80 | ||||||||||||||||||
Net realized and unrealized gains (losses) |
(3.21 | ) | (1.63 | ) | 1.71 | 0.27 | 0.21 | (0.22 | ) | |||||||||||||||
|
|
|||||||||||||||||||||||
Total from investment operations |
(2.89 | ) | (1.05 | ) | 2.31 | 1.00 | 1.03 | 0.58 | ||||||||||||||||
|
|
|||||||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income |
(0.41 | ) | (0.66 | ) | (0.83 | ) | (0.81 | ) | (0.91 | ) | (0.82 | ) | ||||||||||||
Net realized gains |
— | (0.05 | ) | (0.23 | ) | (0.06 | ) | — | — | |||||||||||||||
|
|
|||||||||||||||||||||||
Total Distributions |
(0.41 | ) | (0.71 | ) | (1.06 | ) | (0.87 | ) | (0.91 | ) | (0.82 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period | $20.41 | $23.71 | $25.47 | $24.22 | $24.09 | $23.97 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total returnd |
(12.32)% | (4.30)% | 9.43% | 4.02% | 4.46% | 2.38% | ||||||||||||||||||
Ratios to average net assetse |
| |||||||||||||||||||||||
Expenses before waiver and payments by affiliates |
0.35% | 0.42% | 0.50% | 0.58% | 1.07% | 1.04% | ||||||||||||||||||
Expenses net of waiver and payments by affiliates |
0.35% | 0.35% | 0.35% | 0.35% | 0.35% | 0.37% | ||||||||||||||||||
Net investment income |
2.90% | 2.27% | 2.27% | 2.86% | 3.49% | 3.27% | ||||||||||||||||||
Supplemental data |
| |||||||||||||||||||||||
Net assets, end of period (000’s) |
$578,607 | $981,602 | $1,018,639 | $553,338 | $18,065 | $39,554 | ||||||||||||||||||
Portfolio turnover ratef |
14.93%g | 36.76%g | 53.32%g | 52.17%g | 22.02% | 63.14% |
aEffective August 1, 2022, Formerly, Franklin Liberty Investment Grade Corporate ETF was renamed Franklin Investment Grade Corporate ETF.
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 and/or fluctuating fair 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.
fPortfolio turnover rate includes portfolio transactions that are executed as a result of the Fund offering and redeeming Creation Units solely for cash (“Cash creations”).
gPortfolio turnover rate excluding cash creations was as follows: | 14.93% | 36.76% | 53.32% | 52.17% |
126 |
Semiannual Report | The accompanying notes are an integral part of these financial statements. |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
Schedule of Investments, September 30, 2022 (unaudited)
Franklin Investment Grade Corporate ETF
Country | Principal Amount* | Value | ||||||||||||
Corporate Bonds & Notes 94.4% | ||||||||||||||
Aerospace & Defense 1.8% | ||||||||||||||
Lockheed Martin Corp., |
||||||||||||||
senior note, 4.07%, 12/15/42 |
United States | 3,300,000 | $ | 2,806,997 | ||||||||||
4.15%, 6/15/53 |
United States | 3,400,000 | 2,854,025 | |||||||||||
The Boeing Co., |
||||||||||||||
5.15%, 5/01/30 |
United States | 2,000,000 | 1,852,445 | |||||||||||
senior unsecured note, 3.65%, 3/01/47 |
United States | 4,500,000 | 2,856,521 | |||||||||||
|
|
|||||||||||||
10,369,988 | ||||||||||||||
|
|
|||||||||||||
Agriculture 1.1% | ||||||||||||||
Cargill Inc., |
||||||||||||||
a 144A, 1.70%, 2/02/31 |
United States | 4,000,000 | 3,062,894 | |||||||||||
a Sr. Unsecured, 144A, 2.125%, 11/10/31 |
United States | 3,800,000 | 2,975,731 | |||||||||||
|
|
|||||||||||||
6,038,625 | ||||||||||||||
|
|
|||||||||||||
Air Freight & Logistics 0.8% | ||||||||||||||
FedEx Corp., senior bond, 4.75%, 11/15/45 |
United States | 5,950,000 | 4,811,147 | |||||||||||
|
|
|||||||||||||
Airlines 2.2% | ||||||||||||||
a |
Delta Air Lines Inc./SkyMiles IP Ltd., first lien, 144A, 4.50%, 4.50%, 10/20/25 |
United States | 8,300,000 | 8,061,421 | ||||||||||
United Airlines, senior bond, 3.45%, 1/07/30 |
United States | 2,618,309 | 2,121,108 | |||||||||||
United Airlines 2020-1 Class B Pass Through Trust, 2020-1 Class B, 4.875%, 7/15/27 |
United States | 2,534,200 | 2,370,239 | |||||||||||
|
|
|||||||||||||
12,552,768 | ||||||||||||||
|
|
|||||||||||||
Banks 23.7% | ||||||||||||||
a |
Banco de Chile, Sr. Unsecured , 144A, 2.99%, 12/09/31 |
Chile | 1,800,000 | 1,400,156 | ||||||||||
Banco Santander SA, sub. note, 2.749%, 12/03/30 |
Spain | 5,700,000 | 4,038,042 | |||||||||||
Bancolombia SA, senior note, 3.00%, 1/29/25 |
Colombia | 5,000,000 | 4,564,914 | |||||||||||
Bank of America Corp., |
||||||||||||||
Sr. Unsecured note, 2.592% to 4/29/30, FRN thereafter, 4/29/31 |
United States | 3,300,000 | 2,620,414 | |||||||||||
sub. bond, 4.183%, 11/25/27 |
United States | 9,100,000 | 8,442,973 | |||||||||||
4.571% to 4/27/32, FRN thereafter, 4/27/33 |
United States | 5,000,000 | 4,485,150 | |||||||||||
a |
BNP Paribas SA, senior note, 144A, 4.705% to 1/10/24, FRN thereafter, 1/10/25 |
France | 6,600,000 | 6,501,099 | ||||||||||
a |
BPCE SA, senior note, 144A, 5.70%, 10/22/23 |
France | 7,600,000 | 7,518,136 | ||||||||||
Citigroup Inc., |
||||||||||||||
senior bond, 3.668% to 7/24/27, FRN thereafter, 7/24/28 |
United States | 5,200,000 | 4,687,930 | |||||||||||
3.057% to 1/25/32, FRN thereafter, 1/25/33 |
United States | 5,200,000 | 4,100,998 | |||||||||||
a |
Credit Agricole SA, subordinated, 144A, 4.375%, 3/17/25 |
France | 3,800,000 | 3,652,956 | ||||||||||
Deutsche Bank AG, Senior unsecured, 0.898%, 5/28/24 |
Germany | 3,500,000 | 3,235,283 | |||||||||||
Deutsche Bank AG/New York NY, senior note, 2.129% to 11/24/25, FRN thereafter, 11/24/26 |
Germany | 3,300,000 | 2,805,190 | |||||||||||
Fifth Third Bancorp, Sr. Unsecured, 4.772% to 7/28/29, FRN thereafter, 7/28/30 |
United States | 4,135,000 | 3,866,036 | |||||||||||
Goldman Sachs Group Inc., |
||||||||||||||
Sr. Unsecured, 2.64% to 2/24/27, FRN thereafter, 2/24/28 |
United States | 4,600,000 | 3,996,315 | |||||||||||
Sr. Unsecured, 4.387% to 6/15/26, FRN thereafter, 6/15/27 |
United States | 1,400,000 | 1,334,634 | |||||||||||
HSBC Holdings PLC, senior note, 1.645% to 4/18/25, FRN thereafter, 4/18/26 |
United Kingdom | 4,700,000 | 4,183,491 |
franklintempleton.com |
Semiannual Report |
127 |
FRANKLIN TEMPLETON ETF TRUST
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin Investment Grade Corporate ETF (continued)
Country | Principal Amount* | Value | ||||||||||||
Corporate Bonds & Notes (continued) | ||||||||||||||
Banks (continued) | ||||||||||||||
JPMorgan Chase & Co., |
||||||||||||||
senior bond, 2.522% to 4/22/30, FRN thereafter, 4/22/31 |
United States | 5,500,000 | $ | 4,354,886 | ||||||||||
sub. bond, 4.25%, 10/01/27 |
United States | 5,200,000 | 4,880,954 | |||||||||||
2.963% to 1/25/32, FRN thereafter, 1/25/33 |
United States | 3,800,000 | 2,991,653 | |||||||||||
Sr. Unsecured, 4.851% to 7/25/27, FRN thereafter, 7/25/28 |
United States | 4,200,000 | 4,037,092 | |||||||||||
KeyBank NA, 4.15%, 8/08/25 |
United States | 2,000,000 | 1,940,189 | |||||||||||
Morgan Stanley, 0.791% to 1/22/24, FRN thereafter, 1/22/25 |
United States | 3,300,000 | 3,093,217 | |||||||||||
0.731% to 4/05/23, FRN thereafter, 4/05/24 |
United States | 4,000,000 | 3,904,248 | |||||||||||
a |
National Australia Bank Ltd., sub. note, 144A, 2.332%, 8/21/30 |
Australia | 9,500,000 | 7,086,969 | ||||||||||
a |
Standard Chartered PLC, senior note, 144A, 1.456% to 1/14/27, FRN thereafter, 1/14/27 |
United Kingdom | 4,700,000 | 3,984,198 | ||||||||||
SVB Financial Group, |
||||||||||||||
senior note, 3.125%, 6/05/30 |
United States | 5,000,000 | 4,034,148 | |||||||||||
4.25% to 12/31/99, FRN thereafter, 11/15/26 |
United States | 1,700,000 | 1,254,596 | |||||||||||
The Goldman Sachs Group Inc., 4.125% to 12/31/99, FRN thereafter, 11/10/26 |
United States | 2,100,000 | 1,672,125 | |||||||||||
The PNC Financial Services Group Inc., 3.40% to 12/31/99, FRN thereafter, 9/15/26 |
United States | 3,300,000 | 2,470,966 | |||||||||||
Truist Bank, sub. note, 3.30%, 5/15/26 |
United States | 3,300,000 | 3,064,934 | |||||||||||
Truist Financial Corp., sub. bond, 3.875%, 3/19/29 |
United States | 5,400,000 | 4,891,599 | |||||||||||
a |
UniCredit SpA, 144A, 1.982% to 6/03/27, FRN thereafter, 6/03/27 |
Italy | 4,200,000 | 3,432,268 | ||||||||||
Wells Fargo & Co., |
||||||||||||||
sub. bond, 4.75%, 12/07/46 |
United States | 900,000 | 721,942 | |||||||||||
4.808% to 7/25/27, FRN thereafter, 7/25/28 |
United States | 8,300,000 | 7,924,496 | |||||||||||
|
|
|||||||||||||
137,174,197 | ||||||||||||||
|
|
|||||||||||||
Beverages 1.9% | ||||||||||||||
Anheuser-Busch Companies LLC/Anheuser-Busch InBev Worldwide Inc., 4.90%, 2/01/46 |
United States | 3,500,000 | 3,050,017 | |||||||||||
Anheuser-Busch InBev Worldwide Inc., senior bond, 5.80%, 1/23/59 |
Belgium | 3,500,000 | 3,355,052 | |||||||||||
PepsiCo Inc., 1.625%, 5/01/30 |
United States | 6,000,000 | 4,818,201 | |||||||||||
|
|
|||||||||||||
11,223,270 | ||||||||||||||
|
|
|||||||||||||
Biotechnology 2.2% | ||||||||||||||
AbbVie Inc., Senior unsecured, 4.25%, 11/21/49 |
United States | 1,500,000 | 1,206,072 | |||||||||||
Amgen Inc., 4.20%, 3/01/33 |
United States | 1,650,000 | 1,495,457 | |||||||||||
Bio-Rad Laboratories Inc., 3.30%, 3/15/27 |
United States | 5,250,000 | 4,772,496 | |||||||||||
a |
CSL Finance PLC, 144A, 4.25%, 4/27/32 |
Australia | 5,400,000 | 4,936,678 | ||||||||||
|
|
|||||||||||||
12,410,703 | ||||||||||||||
|
|
|||||||||||||
Capital Markets 2.8% | ||||||||||||||
Brixmor Operating Partnership LP, senior bond, 4.125%, 5/15/29 |
United States | 2,400,000 | 2,088,790 | |||||||||||
Credit Suisse Group AG, |
||||||||||||||
a senior bond, 144A, 3.869% to 1/12/28, FRN thereafter, 1/12/29 |
Switzerland | 2,600,000 | 2,124,364 | |||||||||||
a senior note, 144A, 2.997% to 12/14/22, FRN thereafter, 12/14/23 |
Switzerland | 4,300,000 | 4,267,131 | |||||||||||
Morgan Stanley, 1.794% to 2/13/31, FRN thereafter, 2/13/32 |
United States | 5,900,000 | 4,319,085 | |||||||||||
The Goldman Sachs Group Inc., sub. note, 4.25%, 10/21/25 |
United States | 3,350,000 | 3,236,966 | |||||||||||
|
|
|||||||||||||
16,036,336 | ||||||||||||||
|
|
128 |
Semiannual Report |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin Investment Grade Corporate ETF (continued)
Country | Principal Amount* | Value | ||||||||||||
Corporate Bonds & Notes (continued) | ||||||||||||||
Chemicals 1.6% | ||||||||||||||
Celanese US Holdings LLC, 5.90%, 7/05/24 |
United States | 4,700,000 | $ | 4,638,510 | ||||||||||
DuPont de Nemours Inc., 5.419%, 11/15/48 |
United States | 5,300,000 | 4,782,176 | |||||||||||
|
|
|||||||||||||
9,420,686 | ||||||||||||||
|
|
|||||||||||||
Diversified Financial Services 4.1% | ||||||||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 3.00%, 10/29/28 |
Ireland | 5,000,000 | 4,014,271 | |||||||||||
Air Lease Corp., 0.80%, 8/18/24 |
United States | 4,600,000 | 4,193,808 | |||||||||||
American Express Co., 2.25%, 3/04/25 |
United States | 5,700,000 | 5,348,017 | |||||||||||
Aon PLC, 4.60%, 6/14/44 |
Ireland | 7,600,000 | 6,396,279 | |||||||||||
Capital One Financial Corp., Sr. Unsecured, 4.985% to 7/24/25, FRN thereafter, 7/24/26 |
United States | 3,800,000 | 3,717,113 | |||||||||||
|
|
|||||||||||||
23,669,488 | ||||||||||||||
|
|
|||||||||||||
Diversified Telecommunication Services 1.7% | ||||||||||||||
Verizon Communications Inc., senior bond, 3.40%, 3/22/41 |
United States | 13,700,000 | 10,035,485 | |||||||||||
|
|
|||||||||||||
Electric 2.9% | ||||||||||||||
Baltimore Gas and Electric Co., 4.55%, 6/01/52 |
United States | 2,400,000 | 2,066,751 | |||||||||||
Dominion Energy Inc., |
||||||||||||||
4.35%, 8/15/32 |
United States | 1,900,000 | 1,721,217 | |||||||||||
senior unsecured note, Series B, 3.30%, 4/15/41 |
United States | 2,700,000 | 1,952,791 | |||||||||||
DTE Electric Co., Series B, 3.65%, 3/01/52 |
United States | 7,500,000 | 5,684,871 | |||||||||||
Public Service Enterprise Group Inc., Sr. Unsecured, 2.45%, 11/15/31 |
United States | 7,100,000 | 5,536,963 | |||||||||||
|
|
|||||||||||||
16,962,593 | ||||||||||||||
|
|
|||||||||||||
Electric Utilities 7.3% | ||||||||||||||
a |
Comision Federal de Electricidad, 144A, 3.348%, 2/09/31 |
Mexico | 1,100,000 | 789,789 | ||||||||||
Commonwealth Edison Co., first mortgage, Secured, 4.00%, 3/01/48 |
United States | 2,800,000 | 2,251,685 | |||||||||||
Duke Energy Corp., senior bond, 4.80%, 12/15/45 |
United States | 3,415,000 | 2,826,273 | |||||||||||
Duke Energy Progress LLC, senior bond, 2.50%, 8/15/50 |
United States | 4,500,000 | 2,674,108 | |||||||||||
a |
EDP Finance BV, senior note, 144A, 1.71%, 1/24/28 |
Netherlands | 4,200,000 | 3,410,018 | ||||||||||
a |
Enel Finance International NV, senior note, 144A, 3.625%, 5/25/27 |
Italy | 5,300,000 | 4,760,901 | ||||||||||
Exelon Corp., senior bond, 4.05%, 4/15/30 |
United States | 6,200,000 | 5,626,420 | |||||||||||
Georgia Power Co., |
||||||||||||||
senior bond, 4.75%, 9/01/40 |
United States | 4,700,000 | 3,963,321 | |||||||||||
senior bond, 4.30%, 3/15/42 |
United States | 2,445,000 | 1,957,377 | |||||||||||
Public Service Electric and Gas Co., First Mortgage, 3.15%, 1/01/50 |
United States | 2,150,000 | 1,486,308 | |||||||||||
Virginia Electric and Power Co., senior note, 3.50%, 3/15/27 |
United States | 5,200,000 | 4,878,718 | |||||||||||
a |
Vistra Operations Co. LLC, senior secured note, first lien, 144A, 3.55%, 7/15/24 |
United States | 8,100,000 | 7,724,309 | ||||||||||
|
|
|||||||||||||
42,349,227 | ||||||||||||||
|
|
|||||||||||||
Electronic Equipment, Instruments & Components 1.1% | ||||||||||||||
Flex Ltd., senior note, 3.75%, 2/01/26 |
Singapore | 3,800,000 | 3,534,466 | |||||||||||
Teledyne FLIR LLC, Sr. Unsecured note, 2.50%, 8/01/30 |
United States | 3,700,000 | 2,896,547 | |||||||||||
|
|
|||||||||||||
6,431,013 | ||||||||||||||
|
|
franklintempleton.com |
Semiannual Report |
129 |
FRANKLIN TEMPLETON ETF TRUST
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin Investment Grade Corporate ETF (continued)
Country | Principal Amount* | Value | ||||||||||||
Corporate Bonds & Notes (continued) | ||||||||||||||
Energy Equipment & Services 1.4% | ||||||||||||||
Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor Inc., senior bond, 4.08%, 12/15/47 |
United States | 1,000,000 | $ | 743,017 | ||||||||||
Kinder Morgan Inc., 2.00%, 2/15/31 |
United States | 4,400,000 | 3,280,657 | |||||||||||
a |
Schlumberger Holdings Corp., senior bond, 144A, 4.30%, 5/01/29 |
United States | 4,700,000 | 4,313,558 | ||||||||||
|
|
|||||||||||||
8,337,232 | ||||||||||||||
|
|
|||||||||||||
Entertainment 0.2% | ||||||||||||||
a |
Magallanes Inc., 144A, 5.05%, 3/15/42 |
United States | 1,400,000 | 1,049,994 | ||||||||||
|
|
|||||||||||||
Equity Real Estate Investment Trusts (REITs) 2.3% | ||||||||||||||
Essex Portfolio LP, senior bond, 2.65%, 3/15/32 |
United States | 9,000,000 | 6,993,866 | |||||||||||
a |
Global Net Lease Inc./Global Net Lease Operating Partnership LP,senior |
|||||||||||||
note, 144A, 3.75%, 12/15/27 |
United States | 2,400,000 | 1,875,324 | |||||||||||
Simon Property Group LP, senior note, 3.375%, 12/01/27 |
United States | 5,000,000 | 4,519,226 | |||||||||||
|
|
|||||||||||||
13,388,416 | ||||||||||||||
|
|
|||||||||||||
Food 3.2% | ||||||||||||||
a |
Bimbo Bakeries USA Inc., 144A, 4.00%, 5/17/51 |
Mexico | 1,600,000 | 1,175,966 | ||||||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance Inc., |
||||||||||||||
a 144A, 3.625%, 1/15/32 |
United States | 1,800,000 | 1,409,895 | |||||||||||
a 144A, 2.50%, 1/15/27 |
United States | 3,500,000 | 2,997,470 | |||||||||||
Kraft Heinz Foods Co., 5.00%, 6/04/42 |
United States | 5,100,000 | 4,441,384 | |||||||||||
Nestle Holdings Inc., |
||||||||||||||
a 144A, 4.70%, 1/15/53 |
United States | 4,000,000 | 3,741,434 | |||||||||||
a 144A, 4.30%, 10/01/32 |
United States | 5,000,000 | 4,760,750 | |||||||||||
|
|
|||||||||||||
18,526,899 | ||||||||||||||
|
|
|||||||||||||
Health Care Providers & Services 3.7% | ||||||||||||||
CVS Health Corp., senior bond, 5.30%, 12/05/43 |
United States | 3,000,000 | 2,713,195 | |||||||||||
Elevance Health Inc., 4.10%, 5/15/32 |
United States | 6,700,000 | 6,062,705 | |||||||||||
HCA Inc., senior secured bond, first lien, 4.50%, 2/15/27 |
United States | 5,400,000 | 5,048,574 | |||||||||||
STERIS Irish FinCo UnLtd Co., 3.75%, 3/15/51 |
Ireland | 3,300,000 | 2,284,608 | |||||||||||
UnitedHealth Group Inc., 3.05%, 5/15/41 |
United States | 7,600,000 | 5,538,813 | |||||||||||
|
|
|||||||||||||
21,647,895 | ||||||||||||||
|
|
|||||||||||||
Home Builders 0.3% | ||||||||||||||
MDC Holdings Inc., 2.50%, 1/15/31 |
United States | 2,800,000 | 1,874,358 | |||||||||||
|
|
|||||||||||||
Hotels, Restaurants & Leisure 0.5% | ||||||||||||||
Las Vegas Sands Corp., Senior unsecured, 3.90%, 8/08/29 |
United States | 2,300,000 | 1,904,347 | |||||||||||
Marriott International Inc., senior bond, 3.125%, 6/15/26 |
United States | 1,000,000 | 923,641 | |||||||||||
|
|
|||||||||||||
2,827,988 | ||||||||||||||
|
|
|||||||||||||
Household Products 2.9% | ||||||||||||||
a |
GSK Consumer Healthcare Capital US LLC, 144A, 3.375%, 3/24/27 |
United States | 5,800,000 | 5,266,509 | ||||||||||
a |
Kimberly-Clark de Mexico SAB de CV, senior bond, 144A, 2.431%, 7/01/31 . |
Mexico | 5,900,000 | 4,727,051 | ||||||||||
The Procter & Gamble Co., senior bond, 3.00%, 3/25/30 |
United States | 7,500,000 | 6,727,048 | |||||||||||
|
|
|||||||||||||
16,720,608 | ||||||||||||||
|
|
130 |
Semiannual Report |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin Investment Grade Corporate ETF (continued)
Country | Principal Amount* | Value | ||||||||||||
Corporate Bonds & Notes (continued) | ||||||||||||||
Insurance 2.1% | ||||||||||||||
Aflac Inc., senior bond, 4.75%, 1/15/49 |
United States | 5,300,000 | $ | 4,674,990 | ||||||||||
Berkshire Hathaway Finance Corp., 3.85%, 3/15/52 |
United States | 1,500,000 | 1,151,538 | |||||||||||
MetLife Inc., junior sub. bond, 6.40%, 12/15/66 |
United States | 3,000,000 | 2,897,540 | |||||||||||
The Allstate Corp., senior bond, 4.20%, 12/15/46 |
United States | 4,300,000 | 3,552,175 | |||||||||||
|
|
|||||||||||||
12,276,243 | ||||||||||||||
|
|
|||||||||||||
Interactive Media & Services 0.3% | ||||||||||||||
a |
Tencent Holdings Ltd., senior note, 144A, 3.595%, 1/19/28 |
China | 2,000,000 | 1,791,400 | ||||||||||
|
|
|||||||||||||
Internet 1.6% | ||||||||||||||
Amazon.com Inc., 3.95%, 4/13/52 |
United States | 6,000,000 | 4,935,040 | |||||||||||
a |
Meta Platforms Inc., 144A, 4.45%, 8/15/52 |
United States | 5,000,000 | 4,088,877 | ||||||||||
|
|
|||||||||||||
9,023,917 | ||||||||||||||
|
|
|||||||||||||
Internet & Direct Marketing Retail 0.6% | ||||||||||||||
Alibaba Group Holding Ltd., senior note, 3.40%, 12/06/27 |
China | 4,000,000 | 3,604,752 | |||||||||||
|
|
|||||||||||||
IT Services 0.5% | ||||||||||||||
Apple Inc., 2.80%, 2/08/61 |
United States | 4,500,000 | 2,815,998 | |||||||||||
|
|
|||||||||||||
Lodging 0.8% | ||||||||||||||
Las Vegas Sands Corp., 3.20%, 8/08/24 |
United States | 4,700,000 | 4,434,070 | |||||||||||
|
|
|||||||||||||
Media 1.9% | ||||||||||||||
Charter Communications Operating LLC/Charter Communications Operating |
|
|||||||||||||
Capital, |
||||||||||||||
senior bond, 2.80%, 4/01/31 |
United States | 5,600,000 | 4,242,631 | |||||||||||
senior secured note, 3.50%, 3/01/42 |
United States | 2,600,000 | 1,655,640 | |||||||||||
Comcast Corp., senior bond, 4.95%, 10/15/58 |
United States | 5,000,000 | 4,312,679 | |||||||||||
Fox Corp., senior bond, 5.476%, 1/25/39 |
United States | 900,000 | 782,214 | |||||||||||
|
|
|||||||||||||
10,993,164 | ||||||||||||||
|
|
|||||||||||||
Metals & Mining 0.3% | ||||||||||||||
a |
Antofagasta PLC, senior note, 144A, 2.375%, 10/14/30 |
United Kingdom | 1,900,000 | 1,423,793 | ||||||||||
|
|
|||||||||||||
Miscellaneous Manufacturing 0.2% | ||||||||||||||
Parker-Hannifin Corp., 4.25%, 9/15/27 |
United States | 1,300,000 | 1,240,268 | |||||||||||
|
|
|||||||||||||
Multi-Utilities 0.9% | ||||||||||||||
Berkshire Hathaway Energy Co., |
||||||||||||||
senior bond, 3.80%, 7/15/48 |
United States | 5,800,000 | 4,380,437 | |||||||||||
Sr. Unsecured, 5.15%, 11/15/43 |
United States | 1,000,000 | 911,930 | |||||||||||
|
|
|||||||||||||
5,292,367 | ||||||||||||||
|
|
|||||||||||||
Oil & Gas 0.6% | ||||||||||||||
Exxon Mobil Corp., 3.452%, 4/15/51 |
United States | 4,200,000 | 3,136,961 | |||||||||||
|
|
|||||||||||||
Oil, Gas & Consumable Fuels 3.3% | ||||||||||||||
Aker BP ASA, |
||||||||||||||
a senior note, 144A, 3.75%, 1/15/30 |
Norway | 3,500,000 | 2,980,162 | |||||||||||
a senior bond, 144A, 4.00%, 1/15/31 |
Norway | 2,200,000 | 1,869,997 | |||||||||||
Canadian Natural Resources Ltd., senior bond, 3.85%, 6/01/27 |
Canada | 4,000,000 | 3,700,326 | |||||||||||
Chevron Corp., senior bond, 3.078%, 5/11/50 |
United States | 1,000,000 | 710,705 | |||||||||||
Exxon Mobil Corp., senior bond, 3.567%, 3/06/45 |
United States | 4,200,000 | 3,188,401 | |||||||||||
TransCanada PipeLines Ltd., |
||||||||||||||
senior bond, 4.25%, 5/15/28 |
Canada | 5,700,000 | 5,286,681 |
franklintempleton.com |
Semiannual Report |
131 |
FRANKLIN TEMPLETON ETF TRUST
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin Investment Grade Corporate ETF (continued)
Country | Principal Amount* | Value | ||||||||||||
Corporate Bonds & Notes (continued) | ||||||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||||
senior note, 6.10%, 6/01/40 |
Canada | 1,200,000 | $ | 1,164,463 | ||||||||||
|
|
|||||||||||||
18,900,735 | ||||||||||||||
|
|
|||||||||||||
Paper & Forest Products 0.5% | ||||||||||||||
Suzano Austria GmbH, senior bond, 3.75%, 1/15/31 |
Austria | 3,300,000 | 2,590,450 | |||||||||||
|
|
|||||||||||||
Pharmaceuticals 2.3% | ||||||||||||||
AbbVie Inc., 4.05%, 11/21/39 |
United States | 4,300,000 | 3,471,149 | |||||||||||
Bristol-Myers Squibb Co., |
||||||||||||||
senior bond, 4.125%, 6/15/39 |
United States | 3,500,000 | 3,068,996 | |||||||||||
senior bond, 5.00%, 8/15/45 |
United States | 2,400,000 | 2,272,663 | |||||||||||
Sr. Unsecured, 3.70%, 3/15/52 |
United States | 2,300,000 | 1,768,920 | |||||||||||
Takeda Pharmaceutical Co. Ltd., Senior unsecured, 3.175%, 7/09/50 |
Japan | 4,400,000 | 2,931,671 | |||||||||||
|
|
|||||||||||||
13,513,399 | ||||||||||||||
|
|
|||||||||||||
Pipelines 0.7% | ||||||||||||||
Eastern Gas Transmission & Storage Inc., 3.90%, 11/15/49 |
United States | 2,600,000 | 1,932,813 | |||||||||||
Energy Transfer LP, |
||||||||||||||
5.15%, 3/15/45 |
United States | 1,700,000 | 1,342,222 | |||||||||||
4.90%, 3/15/35 |
United States | 1,200,000 | 1,010,553 | |||||||||||
|
|
|||||||||||||
4,285,588 | ||||||||||||||
|
|
|||||||||||||
Real Estate Management & Development 0.4% | ||||||||||||||
ERP Operating LP, senior bond, 4.50%, 7/01/44 |
United States | 2,500,000 | 2,105,082 | |||||||||||
|
|
|||||||||||||
Retail 1.3% | ||||||||||||||
Home
Depot Inc., |
United States | 4,050,000 | 3,065,704 | |||||||||||
Sr. Unsecured, 4.95%, 9/15/52 |
United States | 625,000 | 588,742 | |||||||||||
Nordstrom Inc., 4.375%, 4/01/30 |
United States | 2,500,000 | 1,834,537 | |||||||||||
Target Corp., 2.95%, 1/15/52 |
United States | 2,700,000 | 1,823,475 | |||||||||||
|
|
|||||||||||||
7,312,458 | ||||||||||||||
|
|
|||||||||||||
Road & Rail 1.0% | ||||||||||||||
Burlington Northern Santa Fe LLC, Sr. Unsecured, 5.75%, 5/01/40 |
United States | 5,700,000 | 5,784,836 | |||||||||||
|
|
|||||||||||||
Shipbuilding 0.7% | ||||||||||||||
Huntington Ingalls Industries Inc., 0.67%, 8/16/23 |
United States | 4,300,000 | 4,148,220 | |||||||||||
|
|
|||||||||||||
Software 1.3% | ||||||||||||||
Microsoft Corp., senior bond, 2.675%, 6/01/60 |
United States | 4,600,000 | 2,907,976 | |||||||||||
Salesforce Inc., Sr. Unsecured, 1.95%, 7/15/31 |
United States | 1,700,000 | 1,341,093 | |||||||||||
ServiceNow Inc., senior bond, 1.40%, 9/01/30 |
United States | 4,700,000 | 3,467,310 | |||||||||||
|
|
|||||||||||||
7,716,379 | ||||||||||||||
|
|
|||||||||||||
Telecommunications 1.4% | ||||||||||||||
AT&T Inc., 3.50%, 6/01/41 |
United States | 1,500,000 | 1,083,554 | |||||||||||
T-Mobile USA Inc., 2.875%, 2/15/31 |
United States | 8,600,000 | 6,941,963 | |||||||||||
|
|
|||||||||||||
8,025,517 | ||||||||||||||
|
|
|||||||||||||
Tobacco 1.1% | ||||||||||||||
Imperial Brands Finance PLC, |
||||||||||||||
a senior note, 144A, 4.25%, 7/21/25 |
United States | 5,400,000 | 5,183,177 | |||||||||||
a senior bond, 144A, 3.875%, 7/26/29 |
United States | 1,600,000 | 1,360,833 | |||||||||||
|
|
|||||||||||||
6,544,010 | ||||||||||||||
|
|
132 |
Semiannual Report |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin Investment Grade Corporate ETF (continued)
Country | Principal Amount* | Value | ||||||||||||
Corporate Bonds & Notes (continued) | ||||||||||||||
Trucking & Leasing 0.3% | ||||||||||||||
a |
SMBC Aviation Capital Finance DAC, 144A, 1.90%, 10/15/26 |
Ireland | 2,000,000 | $ | 1,668,619 | |||||||||
|
|
|||||||||||||
Wireless Telecommunication Services 0.6% | ||||||||||||||
a |
Sprint Spectrum Co. LLC, senior secured bond, first lien, 144A, 5.152%, 9/20/29 |
United States | 3,700,000 | 3,623,717 | ||||||||||
|
|
|||||||||||||
Total Corporate Bonds & Notes (Cost $667,209,137) |
546,110,859 | |||||||||||||
|
|
|||||||||||||
Discount Note 0.3% |
||||||||||||||
U.S. Treasury Note, 0.125%, 10/15/23 |
United States | 2,000,000 | 1,915,878 | |||||||||||
|
|
|||||||||||||
Total
Investments before Short Term Investments |
548,026,737 | |||||||||||||
|
|
|||||||||||||
Short-Term Investments 4.2% | ||||||||||||||
U.S. Government & Agency Securities (Cost $24,426,471) 4.2% |
|
|||||||||||||
b |
Federal Home Loan Bank Discount Notes, 10/3/22 |
United States | 24,430,000 | 24,430,000 | ||||||||||
|
|
|||||||||||||
Total Short-Term Investments (Cost $24,426,471) |
24,430,000 | |||||||||||||
|
|
|||||||||||||
Total Investments (Cost $693,629,163) 98.9% |
572,456,737 | |||||||||||||
Other Assets, less Liabilities 1.1% |
6,150,730 | |||||||||||||
|
|
|||||||||||||
Net Assets 100.0% |
$ | 578,607,467 | ||||||||||||
|
|
*The principal amount is stated in U.S. dollars unless otherwise indicated.
aSecurity was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from registration only to qualified institutional buyers or in a public offering registered under the Securities Act of 1933. At September 30, 2022, the value of was $130,997,544, representing 22.6% of net assets.
bThe security was issued on a discount basis with no stated coupon rate.
At September 30, 2022, the Fund had the following futures contracts outstanding. See Note 1(c).
Futures Contracts | ||||||||||||||||||||
Description | Type | Number of Contracts |
Notional Amount* |
Expiration Date |
Value/Unrealized Appreciation (Depreciation) |
|||||||||||||||
Interest rate contracts | ||||||||||||||||||||
U.S. Treasury 10 Yr. Note |
Short | 79 | $ | 8,852,937 | 12/20/22 | $ | 449,204 | |||||||||||||
U.S. Treasury Note 5 Yr. (CBT) |
Short | 53 | 5,697,914 | 12/30/22 | 201,415 | |||||||||||||||
U.S. Treasury Ultra 10 Yr. (CBT) |
Short | 44 | 5,213,313 | 12/20/22 | 334,752 | |||||||||||||||
|
|
|||||||||||||||||||
Total Futures Contracts |
|
$ | 985,371 | |||||||||||||||||
|
|
*As of period end.
See Note 11 regarding other derivative information.
See Abbreviations on page 223.
franklintempleton.com |
Semiannual Report |
133 |
FRANKLIN TEMPLETON ETF TRUST
Financial Highlights
Franklin Investment Grade Corporate ETFa
Six Months Ended (unaudited) |
Year Ended March 31, | |||||||||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018b | ||||||||||||||||||||
Per share operating performance (for a share outstanding throughout the period) |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 24.99 | $ | 26.86 | $ | 26.07 | $ | 25.20 | $ | 24.34 | $ | 25.00 | ||||||||||||
|
|
|||||||||||||||||||||||
Income from investment operationsc: | ||||||||||||||||||||||||
Net investment incomed |
0.27 | 0.36 | 0.40 | 0.46 | 0.67 | 0.30 | ||||||||||||||||||
Net realized and unrealized gains (losses) |
(2.55 | ) | (1.79 | ) | 0.94 | 1.02 | 0.85 | (0.66 | ) | |||||||||||||||
|
|
|||||||||||||||||||||||
Total from investment operations |
(2.28 | ) | (1.43 | ) | 1.34 | 1.48 | 1.52 | (0.36 | ) | |||||||||||||||
|
|
|||||||||||||||||||||||
Less distributions from net investment income |
(0.32 | ) | (0.44 | ) | (0.55 | ) | (0.61 | ) | (0.66 | ) | (0.30 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ | 22.39 | $ | 24.99 | $ | 26.86 | $ | 26.07 | $ | 25.20 | $ | 24.34 | ||||||||||||
|
|
|||||||||||||||||||||||
Total returne |
(9.22)% | (5.44)% | 5.16% | 5.92% | 6.38% | (1.45)% | ||||||||||||||||||
Ratios to average net assetsf | ||||||||||||||||||||||||
Expenses before waiver and payments by affiliates |
0.78% | 0.66% | 0.78% | 1.00% | 2.05% | 1.71% | ||||||||||||||||||
Expenses net of waiver and payments by affiliates |
0.30% | 0.30% | 0.30% | 0.30% | 0.30% | 0.30% | ||||||||||||||||||
Net investment income |
2.22% | 1.34% | 1.50% | 1.77% | 2.74% | 2.11% | ||||||||||||||||||
Supplemental data | ||||||||||||||||||||||||
Net assets, end of period (000’s) |
$99,644 | $104,939 | $126,221 | $28,674 | $8,820 | $7,302 | ||||||||||||||||||
Portfolio turnover rateg |
30.45% | h | 48.41% | h | 11.86% | h | 17.21% | h | 21.21% | 5.00% |
aEffective August 1, 2022, Formerly, Franklin Liberty Federal Tax-Free Bond ETF was renamed Franklin Municipal Green Bond ETF.
bFor the period August 31, 2017 (commencement of operations) to March 31, 2018.
cThe 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 and/or fluctuating fair value of the investments of the Fund.
dBased on average daily shares outstanding.
eTotal 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.
fRatios are annualized for periods less than one year.
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”).
hPortfolio turnover rate excluding cash creations was as follows: | 30.45% | 48.41% | 11.86% | 17.21% |
134 | Semiannual Report | The accompanying notes are an integral part of these financial statements. | franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
Schedule of Investments, September 30, 2022 (unaudited)
Franklin Municipal Green Bond ETF
Principal Amount* | Value | |||||||||
Municipal Bonds 98.5% | ||||||||||
Alabama 0.3% | ||||||||||
County of Mobile, Gomesa Projects, 4.00%, 11/01/45 |
400,000 | $ | 295,502 | |||||||
|
|
|||||||||
Alaska 0.2% | ||||||||||
Borough
of Matanuska-Susitna, State of Alaska Department of Administration,
Refunding, |
150,000 | 151,560 | ||||||||
|
|
|||||||||
Arizona 0.9% | ||||||||||
Arizona State University, Series B, 5.00%, 7/01/42 |
235,000 | 243,022 | ||||||||
City of Phoenix Civic Improvement Corp., 5.00%, 7/01/44 |
300,000 | 316,117 | ||||||||
Glendale Industrial Development Authority, 4.00%, 5/15/31 |
400,000 | 361,041 | ||||||||
|
|
|||||||||
920,180 | ||||||||||
|
|
|||||||||
Arkansas 0.1% | ||||||||||
Central Arkansas Water, 4.00%, 10/01/33 |
100,000 | 101,077 | ||||||||
|
|
|||||||||
California 28.6% | ||||||||||
California Community Choice Financing Authority, |
||||||||||
Green Bond, Series 2021B-1, VRDN, 4.00%, 2/01/52 |
4,000,000 | 3,826,262 | ||||||||
Green Bond, VRDN, 4.00%, 10/01/52 |
3,000,000 | 2,970,411 | ||||||||
California
Housing Finance Agency, Lakeside Drive Senior Housing LP, Series
2019, |
95,587 | 79,311 | ||||||||
California Infrastructure & Economic Development Bank, |
||||||||||
5.00%, 8/01/49 |
180,000 | 184,290 | ||||||||
California Science Center Foundation, 4.00%, 5/01/46 |
1,230,000 | 1,082,334 | ||||||||
FRN thereafter, 2.81%, 8/01/47 |
3,100,000 | 3,067,084 | ||||||||
California Municipal Finance Authority, |
||||||||||
4.00%, 5/15/39 |
3,445,000 | 3,174,532 | ||||||||
Northbay Healthcare Group Obligated Group, Refunding, 5.00%, 11/01/26 |
790,000 | 815,146 | ||||||||
California
State Public Works Board, California Air Resources Board, Series
2022D, |
1,000,000 | 915,379 | ||||||||
City of Foster City, 4.00%, 8/01/32 |
115,000 | 117,296 | ||||||||
City
of Los Angeles, Department of Airports Customer Facility Charge
Revenue, |
1,000,000 | 856,653 | ||||||||
City
of San Francisco CA Public Utilities Commission Water Revenue, Series
A, |
100,000 | 89,005 | ||||||||
Clovis Unified School District, Refunding, zero cpn., 8/01/35 |
200,000 | 111,621 | ||||||||
Konocti Unified School District, Series 2004C, zero cpn., 8/01/28 |
150,000 | 117,958 | ||||||||
Los Angeles County Metropolitan Transportation Authority, 4.00%, 6/01/35 |
1,800,000 | 1,795,420 | ||||||||
Los
Angeles County Metropolitan Transportation Authority Sales Tax
Revenue, |
150,000 | 156,760 | ||||||||
Peninsula Corridor Joint Powers Board/CA, Series 2022A, 5.00%, 6/01/38 |
1,000,000 | 1,086,508 | ||||||||
Perris Joint Powers Authority, Refunding, Series 2017B, 5.00%, 9/01/37 |
100,000 | 101,998 | ||||||||
Port of Los Angeles, 5.00%, 8/01/25 |
95,000 | 98,743 | ||||||||
Sacramento Municipal Utility District, Electric System Revenue, 5.00%, 8/15/30 |
115,000 | 128,684 | ||||||||
San Diego Association of Governments, Green Bond, 5.00%, 11/15/24 |
2,000,000 | 2,033,791 | ||||||||
San
Diego County Regional Airport Authority, Subordinate Bond, AMT, Series
2021B, |
2,000,000 | 1,712,748 |
franklintempleton.com |
Semiannual Report |
135 |
FRANKLIN TEMPLETON ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Municipal Green Bond ETF (continued)
Principal Amount* | Value | |||||||||
Municipal Bonds (continued) | ||||||||||
California (continued) | ||||||||||
San Francisco Bay Area Rapid Transit District, |
||||||||||
3.00%, 8/01/36 |
150,000 | $ | 130,107 | |||||||
4.25%, 8/01/52 |
1,000,000 | 935,186 | ||||||||
Santa Cruz County Capital Financing Authority, 4.00%, 6/01/42 |
1,500,000 | 1,361,836 | ||||||||
Southern California Public Power Authority, 4.00%, 7/01/38 |
150,000 | 140,765 | ||||||||
Three Rivers Levee Improvement Authority, |
||||||||||
4.00%, 9/01/32 |
100,000 | 93,672 | ||||||||
Community Facilities District No 2006-1, Refunding, 4.00%, 9/01/27 |
250,000 | 245,364 | ||||||||
Refunding, 4.00%, 9/01/29 |
250,000 | 243,001 | ||||||||
Refunding, 4.00%, 9/01/31 |
200,000 | 189,162 | ||||||||
Transbay
Joint Powers Authority, |
160,368 | |||||||||
Redevelopment Project Green Bond Subordinate Tax, 2.40%, 10/01/49 |
500,000 | 464,307 | ||||||||
|
|
|||||||||
28,485,702 | ||||||||||
|
|
|||||||||
Colorado 2.0% | ||||||||||
Board of Water Commissioners City & County of Denver, Series A, 5.00%, 9/15/47 |
150,000 | 156,026 | ||||||||
Regional Transportation District, Refunding, 5.00%, 1/15/32 |
250,000 | 255,855 | ||||||||
Sterling Ranch Community Authority Board, Refunding, Series 2020A, 3.375%, 12/01/30 |
25,000 | 21,544 | ||||||||
University of Colorado, |
||||||||||
5.00%, 6/01/27 |
150,000 | 161,255 | ||||||||
Refunding, VRDN, 2.00%, 6/01/51 |
1,500,000 | 1,427,758 | ||||||||
|
|
|||||||||
2,022,438 | ||||||||||
|
|
|||||||||
Connecticut 0.8% | ||||||||||
Connecticut State Health & Educational Facilities Authority, 4.00%, 7/01/31 |
125,000 | 129,949 | ||||||||
Hartford County Metropolitan District, Clean Water Project Revenue, Refunding, Series 2021A, 4.00%, 2/01/39 |
745,000 | 682,477 | ||||||||
|
|
|||||||||
812,426 | ||||||||||
|
|
|||||||||
District of Columbia 3.4% | ||||||||||
District of Columbia, 5.50%, 2/28/37 |
845,000 | 852,464 | ||||||||
District of Columbia Water & Sewer Authority, |
||||||||||
Series A, 5.00%, 10/01/44 |
205,000 | 213,716 | ||||||||
Sub Series 2019A, 4.00%, 10/01/49 |
570,000 | 506,258 | ||||||||
Sub Series 2022B, 5.00%, 10/01/34 |
715,000 | 782,472 | ||||||||
Washington Metropolitan Area Transit Authority Dedicated Revenue, Green Bond, Series 2021A, 4.00%, 7/15/34 |
1,000,000 | 999,268 | ||||||||
|
|
|||||||||
3,354,178 | ||||||||||
|
|
|||||||||
Florida 1.4% | ||||||||||
Babcock Ranch Community Independent Special District, 4.00%, 5/01/40 |
840,000 | 717,872 | ||||||||
City of Tampa, 5.00%, 5/01/36 |
135,000 | 143,990 | ||||||||
County of Palm Beach FL Water & Sewer Revenue, 4.00%, 10/01/31 |
100,000 | 102,337 |
136 |
Semiannual Report |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Municipal Green Bond ETF (continued)
Principal Amount* | Value | |||||||||
Municipal Bonds (continued) | ||||||||||
Florida (continued) | ||||||||||
Somerset Community Development District, 4.00%, 5/01/32 |
415,000 | $ | 384,177 | |||||||
|
|
|||||||||
1,348,376 | ||||||||||
|
|
|||||||||
Georgia 1.3% | ||||||||||
Cobb County Kennestone Hospital Authority, WellStar Health System Obligated Group, 3.00%, 4/01/37 |
910,000 | 715,751 | ||||||||
Main Street Natural Gas, Inc., |
||||||||||
Series 2018A, VRDN, 4.00%, 4/01/48 |
100,000 | 100,166 | ||||||||
Series 2018B, Monthly, VRDN, 2.468%, 4/01/48 |
425,000 | 421,321 | ||||||||
Private Colleges & Universities Authority, 5.00%, 9/01/48 |
100,000 | 105,305 | ||||||||
|
|
|||||||||
1,342,543 | ||||||||||
|
|
|||||||||
Illinois 4.0% | ||||||||||
Illinois Finance Authority, |
||||||||||
4.00%, 7/01/37 |
250,000 | 239,012 | ||||||||
State of Illinois Water Revolving Fund - Clean Water Program, 4.00%, 7/01/38 |
1,340,000 | 1,272,441 | ||||||||
Metropolitan Water Reclamation District of Greater Chicago, Green Bond, Series 2021B, 5.00%, 12/01/33 |
1,685,000 | 1,817,171 | ||||||||
State of Illinois, |
||||||||||
5.50%, 5/01/30 |
100,000 | 105,627 | ||||||||
5.50%, 5/01/39 |
250,000 | 254,636 | ||||||||
Series 2019B, 4.00%, 11/01/38 |
200,000 | 171,221 | ||||||||
Upper Illinois River Valley Development Authority, Refunding, 3.50%, 12/01/32 |
150,000 | 124,700 | ||||||||
|
|
|||||||||
3,984,808 | ||||||||||
|
|
|||||||||
Indiana 2.2% | ||||||||||
Indianapolis Local Public Improvement Bond Bank, |
||||||||||
5.00%, 1/15/27 |
610,000 | 650,423 | ||||||||
5.00%, 7/15/27 |
450,000 | 482,486 | ||||||||
Refunding, 5.00%, 1/01/52 |
1,000,000 | 1,062,756 | ||||||||
|
|
|||||||||
2,195,665 | ||||||||||
|
|
|||||||||
Kentucky 2.0% | ||||||||||
Louisville and Jefferson County Metropolitan Sewer District, Green Bond, Refunding , Series 2022A, 4.00%, 5/15/34 |
2,000,000 | 1,988,771 | ||||||||
|
|
|||||||||
Louisiana 2.9% | ||||||||||
Louisiana Local Government Environmental Facilities & Community Development Authority, |
||||||||||
3.90%, 11/01/44 |
500,000 | 367,516 | ||||||||
4.50%, 11/01/47 |
1,000,000 | 760,182 | ||||||||
Parish of St Bernard LA, 4.00%, 11/01/45 |
1,000,000 | 724,062 | ||||||||
Terrebonne Levee & Conservation District, Series 2020B, 4.00%, 6/01/39 |
1,000,000 | 925,597 | ||||||||
Terrebonne Levee & Conservation District Sales Tax Revenue, Series B, 4.00%, 6/01/40 |
100,000 | 91,158 | ||||||||
|
|
|||||||||
2,868,515 | ||||||||||
|
|
|||||||||
Maine 0.4% | ||||||||||
City of Portland ME General Airport Revenue, 4.00%, 1/01/35 |
245,000 | 225,863 | ||||||||
Maine Municipal Bond Bank, Series 2017C, 5.00%, 11/01/31 |
135,000 | 145,423 | ||||||||
|
|
|||||||||
371,286 | ||||||||||
|
|
franklintempleton.com |
Semiannual Report |
137 |
FRANKLIN TEMPLETON ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Municipal Green Bond ETF (continued)
Principal Amount* | Value | |||||||||
Municipal Bonds (continued) | ||||||||||
Maryland 2.9% | ||||||||||
Maryland Community Development Administration, Series 2021C, 0.375%, 7/01/23 |
500,000 | $ | 488,696 | |||||||
Maryland Economic Development Corp., 5.25%, 6/30/47 |
2,000,000 | 2,004,793 | ||||||||
Maryland Health & Higher Educational Facilities Authority, Adventist Healthcare Obligated Group, Refunding, 4.00%, 1/01/30 |
365,000 | 352,374 | ||||||||
Washington Suburban Sanitary Commission, 3.00%, 6/01/35 |
100,000 | 87,660 | ||||||||
|
|
|||||||||
2,933,523 | ||||||||||
|
|
|||||||||
Massachusetts 3.5% | ||||||||||
Massachusetts Clean Energy Cooperative Corp., Green Bond, 2.135%, 7/01/29 |
1,295,000 | 1,086,695 | ||||||||
Massachusetts Development Finance Agency, |
||||||||||
Springfield College, Green Bond, 5.00%, 6/01/26 |
420,000 | 431,043 | ||||||||
Springfield College, Green Bond, 5.00%, 6/01/27 |
440,000 | 453,410 | ||||||||
Massachusetts Housing Finance Agency, |
||||||||||
Series C-1, 2.65%, 12/01/34 |
100,000 | 82,150 | ||||||||
Sustainability Bond, Series 2021B-1, 2.60%, 12/01/41 |
2,000,000 | 1,425,572 | ||||||||
|
|
|||||||||
3,478,870 | ||||||||||
|
|
|||||||||
Minnesota 1.7% | ||||||||||
City of Center City, Refunding, 4.00%, 11/01/34 |
125,000 | 117,996 | ||||||||
City of Minneapolis MN, 3.00%, 12/01/40 |
100,000 | 80,498 | ||||||||
Minnesota Higher Education Facilities Authority, Series A, 5.00%, 10/01/52 |
1,500,000 | 1,509,444 | ||||||||
|
|
|||||||||
1,707,938 | ||||||||||
|
|
|||||||||
Mississippi 0.6% | ||||||||||
Mississippi Development Bank, County of Jackson Project, 3.625%, 11/01/36 |
500,000 | 389,801 | ||||||||
Mississippi Home Corp., Patriot Services Group Obligated Group, 5.20%, 6/01/36 |
280,000 | 226,332 | ||||||||
|
|
|||||||||
616,133 | ||||||||||
|
|
|||||||||
Missouri 0.1% | ||||||||||
Park Hill School District of Platte County, 3.00%, 3/01/33 |
100,000 | 89,359 | ||||||||
|
|
|||||||||
New Jersey 1.3% | ||||||||||
New Jersey Educational Facilities Authority, Series A, 5.00%, 7/01/32 |
645,000 | 657,363 | ||||||||
Newark Board of Education, |
||||||||||
5.00%, 7/15/30 |
320,000 | 349,994 | ||||||||
Sustainability Bonds, 5.00%, 7/15/25 |
250,000 | 260,583 | ||||||||
|
|
|||||||||
1,267,940 | ||||||||||
|
|
|||||||||
New Mexico 0.2% | ||||||||||
City of Santa, Wastewater Utility System Revenue, 4.00%, 6/01/35 |
100,000 | 101,032 | ||||||||
City of Santa Fe NM Wastewater Utility System Revenue, 5.00%, 6/01/29 |
100,000 | 108,853 | ||||||||
|
|
|||||||||
209,885 | ||||||||||
|
|
|||||||||
New York 10.3% | ||||||||||
Battery Park City Authority, 5.00%, 11/01/49 |
100,000 | 105,802 | ||||||||
Metropolitan Transportation Authority, |
||||||||||
Climate Bond Certified, 5.00%, 11/15/32 |
500,000 | 502,840 | ||||||||
Green Bond, Series 2021A-1, 4.00%, 11/15/45 |
2,000,000 | 1,660,535 | ||||||||
Refunding, Series 2017B, 5.00%, 11/15/28 |
255,000 | 264,682 | ||||||||
Series A-1-GROUP 1, 4.00%, 11/15/41 |
600,000 | 543,972 |
138 |
Semiannual Report |
franklintempleton.com |
SCHEDULE OF INVESTMENTS FRANKLIN
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Municipal Green Bond ETF (continued)
Principal Amount* | Value | |||||||||
Municipal Bonds (continued) | ||||||||||
New York (continued) | ||||||||||
Series B, 5.00%, 11/15/24 |
150,000 | $ | 153,855 | |||||||
Series B-2, 4.00%, 11/15/32 |
215,000 | 214,755 | ||||||||
New York Liberty Development Corp, 7 World Trade Center II LLC, Refunding , Sereis 2022A1, 3.00%, 9/15/43 |
1,000,000 | 734,362 | ||||||||
New
York Liberty Development Corp., Green Bonds- 4 World Trade,
Refunding, |
2,000,000 | 1,441,580 | ||||||||
New York Power Authority, 5.00%, 11/15/29 |
1,250,000 | 1,386,851 | ||||||||
New York State Dormitory Authority, |
||||||||||
5.00%, 7/01/35 |
100,000 | 113,246 | ||||||||
Refunding, 3.00%, 10/01/33 |
100,000 | 86,766 | ||||||||
New York State Housing Finance Agency, |
||||||||||
Series N, 2.60%, 11/01/34 |
100,000 | 80,186 | ||||||||
Series P, 2.00%, 5/01/28 |
100,000 | 89,762 | ||||||||
Sustainability Bonds, Series 2022A, VRDN, 2.50%, 11/01/60 |
1,500,000 | 1,394,890 | ||||||||
New York Transportation Development Corp., AMT, Refunding, 5.00%, 12/01/30 |
100,000 | 102,011 | ||||||||
Trust for Cultural Resources of The City of New York, 5.00%, 7/01/31 |
520,000 | 566,383 | ||||||||
Western Nassau County Water Authority, Green Bonds, Series 2021A, 4.00%, 4/01/40 |
900,000 | 810,063 | ||||||||
|
|
|||||||||
10,252,541 | ||||||||||
|
|
|||||||||
North Carolina 0.1% | ||||||||||
University of North Carolina at Charlotte, 4.00%, 10/01/34 |
100,000 | 97,939 | ||||||||
|
|
|||||||||
Ohio 4.6% | ||||||||||
American Municipal Power, Inc., |
||||||||||
4.00%, 2/15/41 |
1,380,000 | 1,208,783 | ||||||||
5.00%, 2/15/29 |
100,000 | 108,076 | ||||||||
Ohio State University, 5.00%, 12/01/23 |
3,000,000 | 3,065,313 | ||||||||
State of Ohio, |
||||||||||
Series A, 4.00%, 3/01/30 |
100,000 | 103,914 | ||||||||
Series B, 4.00%, 3/01/24 |
50,000 | 50,623 | ||||||||
|
|
|||||||||
4,536,709 | ||||||||||
|
|
|||||||||
Oregon 2.2% | ||||||||||
Hospital Facilities Authority of Multnomah County Oregon, Terwilliger Plaza Inc Obligated Group, Refunding, 4.00%, 12/01/51 |
500,000 | 374,657 | ||||||||
Port
of Portland OR Airport Revenue, |
2,000,000 | 1,678,736 | ||||||||
Series 2020-27A, 5.00%, 7/01/36 |
150,000 | 152,865 | ||||||||
|
|
|||||||||
2,206,258 | ||||||||||
|
|
|||||||||
Pennsylvania 1.9% | ||||||||||
Pennsylvania Economic Development Financing Authority, UPMC Obligated Group, Series 2017A, 3.375%, 11/15/33 |
125,000 | 110,932 | ||||||||
School District of Philadelphia, |
||||||||||
Green Bond, Series 2019B, 5.00%, 9/01/29 |
1,600,000 | 1,687,284 | ||||||||
Series B, 5.00%, 9/01/31 |
100,000 | 105,870 | ||||||||
|
|
|||||||||
1,904,086 | ||||||||||
|
|
|||||||||
Puerto Rico 0.8% | ||||||||||
Puerto Rico Highway & Transportation Authority, |
||||||||||
Refunding, Series 2007N, 5.25%, 7/01/36 |
200,000 | 195,846 | ||||||||
Series 2007CC, 5.50%, 7/01/28 |
550,000 | 561,908 | ||||||||
|
|
|||||||||
757,754 | ||||||||||
|
|
franklintempleton.com |
Semiannual Report |
139 |
FRANKLIN TEMPLETON ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Municipal Green Bond ETF (continued)
Principal Amount* | Value | |||||||||
Municipal Bonds (continued) | ||||||||||
Rhode Island 0.2% | ||||||||||
Rhode Island Housing and Mortgage Finance Corp., 2.75%, 10/01/34 |
150,000 | $ | 124,935 | |||||||
Rhode Island Infrastructure Bank, Series A, 4.00%, 10/01/27 |
50,000 | 51,237 | ||||||||
|
|
|||||||||
176,172 | ||||||||||
|
|
|||||||||
South Dakota 0.7% | ||||||||||
County of Lincoln, Augustana College Association, 4.00%, 8/01/41 |
900,000 | 719,834 | ||||||||
|
|
|||||||||
Tennessee 1.2% | ||||||||||
City of Kingsport, Series 2017B, 3.00%, 3/01/35 |
130,000 | 110,304 | ||||||||
Metropolitan Government Nashville & Davidson County Industrial Development Board, Waste |
||||||||||
Management, Inc. of Tennessee Project, VRDN, 0.58%, 8/01/31 |
1,200,000 | 1,121,239 | ||||||||
|
|
|||||||||
1,231,543 | ||||||||||
|
|
|||||||||
Texas 1.0% | ||||||||||
City of Round Rock, Utility System Revenue, Refunding, 2.75%, 8/01/29 |
100,000 | 92,386 | ||||||||
Harris County Flood Control District, Series 2022A, 4.25%, 10/01/47 |
1,000,000 | 953,013 | ||||||||
|
|
|||||||||
1,045,399 | ||||||||||
|
|
|||||||||
Utah 5.0% | ||||||||||
Central Valley Water Reclamation Facility, Series C, 4.00%, 3/01/47 |
1,255,000 | 1,105,752 | ||||||||
City of Spanish Fork, 5.00%, 9/01/26 |
175,000 | 185,230 | ||||||||
Intermountain Power Agency, Series A, 5.00%, 7/01/43 |
3,000,000 | 3,162,163 | ||||||||
Utah Infrastructure Agency, 4.00%, 10/15/30 |
500,000 | 460,066 | ||||||||
Utah State Building Ownership Authority, Master Lease Program, 2.50%, 5/15/27 |
100,000 | 95,328 | ||||||||
|
|
|||||||||
5,008,539 | ||||||||||
|
|
|||||||||
Vermont 0.7% | ||||||||||
City of Burlington, Electric System Revenue, Series 2022A, 5.00%, 7/01/31 |
500,000 | 546,545 | ||||||||
Vermont Educational & Health Buildings Financing Agency, 5.00%, 12/01/38 |
195,000 | 195,073 | ||||||||
|
|
|||||||||
741,618 | ||||||||||
|
|
|||||||||
Virginia 2.9% | ||||||||||
Charles City County Economic Development Authority, Waste Management, Inc., AMT, 1.45%, 4/01/27 |
1,100,000 | 965,745 | ||||||||
City
of Hampton, |
100,000 | 104,038 | ||||||||
5.00%, 9/01/27 |
50,000 | 54,095 | ||||||||
Fairfax County Economic Development Authority, County of Fairfax, 4.00%, 10/01/37 |
1,630,000 | 1,583,336 | ||||||||
Northern Virginia Transportation Commission, 5.00%, 6/01/28 |
190,000 | 206,930 | ||||||||
|
|
|||||||||
2,914,144 | ||||||||||
|
|
|||||||||
Washington 1.4% | ||||||||||
Central Puget Sound Regional Transit Authority, |
||||||||||
Series S-1, 5.00%, 11/01/27 |
50,000 | 52,667 | ||||||||
Series S-1, 5.00%, 11/01/32 |
100,000 | 105,334 | ||||||||
FYI Properties, 5.00%, 6/01/24 |
135,000 | 138,569 |
140 |
Semiannual Report | The accompanying notes are an integral part of these financial statements. |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
STATEMENT OF INVESTMENTS (UNAUDITED)
Franklin Municipal Green Bond ETF (continued)
Principal Amount* | Value | |||||||||
Municipal Bonds (continued) | ||||||||||
Washington (continued) | ||||||||||
Washington Health Care Facilities Authority, 5.00%, 12/01/32 |
250,000 | $ | 259,557 | |||||||
Washington State Housing Finance Commission, Series 2021A-1, 3.50%, 12/20/35 |
980,892 | 833,086 | ||||||||
|
|
|||||||||
1,389,213 | ||||||||||
|
|
|||||||||
Wisconsin 4.7% | ||||||||||
Milwaukee Metropolitan Sewerage District, Series A, 3.00%, 10/01/35 |
100,000 | 84,646 | ||||||||
Public Finance Authority, |
||||||||||
RED River Valley Alliance LLC, AMT, 4.00%, 3/31/56 |
2,500,000 | 1,791,797 | ||||||||
VRDN, 3.50%, 12/01/50 |
200,000 | 155,361 | ||||||||
University of Wisconsin Hospitals & Clinics, Obligated Group, Green Bond, 4.00%, 4/01/46 |
3,000,000 | 2,618,713 | ||||||||
|
|
|||||||||
4,650,517 | ||||||||||
|
|
|||||||||
Total Investments (Cost $112,966,243) 98.5% |
98,178,941 | |||||||||
Other Assets, less Liabilities 1.5% |
1,465,269 | |||||||||
|
|
|||||||||
Net Assets 100.0% |
$ | 99,644,210 | ||||||||
|
|
*The principal amount is stated in U.S. dollars unless otherwise indicated.
See Abbreviations on page 223.
franklintempleton.com |
The accompanying notes are an integral part of these financial statements. | Semiannual Report |
141 |
FRANKLIN TEMPLETON ETF TRUST
Financial Highlights
Franklin Senior Loan ETFa
Six Months Ended September 30, 2022 (unaudited) |
Year Ended March 31, | |||||||||||||||||||
2022 | 2021 | 2020 | 2019b | |||||||||||||||||
Per
share operating performance (for a share outstanding throughout the period) |
||||||||||||||||||||
Net asset value, beginning of period |
$ | 24.70 | $ | 24.83 | $ | 22.85 | $ | 24.85 | $ | 25.00 | ||||||||||
|
|
|||||||||||||||||||
Income from investment operationsc: | ||||||||||||||||||||
Net investment incomed |
0.59 | 0.91 | 0.70 | 0.99 | 0.81 | |||||||||||||||
Net realized and unrealized gains (losses) |
(1.58 | ) | (0.23 | ) | 1.99 | (1.90 | ) | (0.21 | ) | |||||||||||
|
|
|||||||||||||||||||
Total from investment operations |
(0.99 | ) | 0.68 | 2.69 | (0.91 | ) | 0.60 | |||||||||||||
|
|
|||||||||||||||||||
Less distributions from net investment income |
(0.58 | ) | (0.81 | ) | (0.71 | ) | (1.09 | ) | (0.75 | ) | ||||||||||
|
|
|||||||||||||||||||
Net asset value, end of period |
$ | 23.13 | $ | 24.70 | $ | 24.83 | $ | 22.85 | $ | 24.85 | ||||||||||
|
|
|||||||||||||||||||
Total returne |
(4.07)% | 2.76% | 11.91% | (3.92)% | 2.44% | |||||||||||||||
Ratios to average net assetsf | ||||||||||||||||||||
Expenses before waiver and payments by affiliates |
0.46% | 0.58% | 0.92% | 0.97% | 1.00% | |||||||||||||||
Expenses net of waiver and payments by affiliates |
0.46% | 0.45% | 0.45% | 0.45% | 0.45% | |||||||||||||||
Net investment income |
4.91% | 3.72% | 2.88% | 4.02% | 3.90% | |||||||||||||||
Supplemental data | ||||||||||||||||||||
Net assets, end of period (000’s) |
$218,625 | $292,722 | $201,101 | $54,833 | $57,165 | |||||||||||||||
Portfolio turnover rateg |
18.43%h | 35.67%h | 45.87%h | 51.48%h | 10.62% |
aEffective August 1, 2022, Formerly, Franklin Liberty Senior Loan ETF was renamed Franklin Senior Loan ETF.
bFor the period May 30, 2018 (commencement of operations) to March 31, 2019.
cThe 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 and/or fluctuating fair value of the investments of the Fund.
dBased on average daily shares outstanding.
eTotal 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.
fRatios are annualized for periods less than one year.
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”).
hPortfolio turnover rate excluding cash creations was as follows: | 18.43% | 35.67% | 45.87% | 51.48% |
142 |
Semiannual Report | The accompanying notes are an integral part of these financial statements. |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
Schedule of Investments, September 30, 2022 (unaudited)
Franklin Seenior Loan ETF
Country | Principal Amount* | Value | ||||||||||||
Corporate Bonds & Notes 3.0% |
||||||||||||||
Airlines 0.3% | ||||||||||||||
a |
Air Canada, 144A, 3.875%, 8/15/26 |
Canada | 400,000 | $ | 344,000 | |||||||||
a |
Delta Air Lines Inc./SkyMiles IP Ltd., first lien, 144A, 4.50%, 4.50%, 10/20/25 |
United States | 250,000 | 242,814 | ||||||||||
a |
United Airlines Inc., 144A, 4.375%, 4/15/26 |
United States | 140,000 | 125,194 | ||||||||||
|
|
|||||||||||||
712,008 | ||||||||||||||
|
|
|||||||||||||
Chemicals 0.3% | ||||||||||||||
a |
ASP Unifrax Holdings Inc., 144A, 5.25%, 9/30/28 |
United States | 419,400 | 323,041 | ||||||||||
a |
SCIH Salt Holdings Inc., 144A, 4.875%, 5/01/28 |
United States | 500,000 | 413,847 | ||||||||||
|
|
|||||||||||||
736,888 | ||||||||||||||
|
|
|||||||||||||
Commercial Services & Supplies 0.1% | ||||||||||||||
a |
MPH Acquisition Holdings LLC, 144A, 5.50%, 9/01/28 |
United States | 213,000 | 176,125 | ||||||||||
|
|
|||||||||||||
Communications Equipment 0.1% | ||||||||||||||
a |
CommScope Inc., 144A, 4.75%, 9/01/29 |
United States | 288,500 | 235,863 | ||||||||||
|
|
|||||||||||||
Construction Materials 0.1% | ||||||||||||||
a |
Cemex SAB de CV, senior secured note, 144A, 5.20%, 9/17/30 |
Mexico | 375,000 | 324,383 | ||||||||||
|
|
|||||||||||||
Containers & Packaging 0.2% | ||||||||||||||
a |
Pactiv Evergreen Group Issuer Inc/Pactiv Evergreen Group Issuer LLC, senior secured note, 144A, 4.00%, 10/15/27 |
United States | 400,000 | 336,159 | ||||||||||
|
|
|||||||||||||
Diversified Financial Services 0.4% | ||||||||||||||
a |
Altice France SA, 144A, 5.125%, 7/15/29 |
France | 500,000 | 374,735 | ||||||||||
a |
Jane Street Group / JSG Finance Inc., 144A, 4.50%, 11/15/29 |
United States | 300,000 | 258,421 | ||||||||||
a |
Vmed O2 UK Financing I PLC, senior secured bond, 144A, 4.25%, 1/31/31 . |
United Kingdom | 210,000 | 159,600 | ||||||||||
|
|
|||||||||||||
792,756 | ||||||||||||||
|
|
|||||||||||||
Electric 0.3% | ||||||||||||||
a |
Calpine Corp., first lien, 144A, 4.50%, 2/15/28 |
United States | 800,000 | 706,544 | ||||||||||
|
|
|||||||||||||
Environmental Control 0.1% | ||||||||||||||
a |
GFL Environmental Inc., 144A, 3.50%, 9/01/28 |
Canada | 200,000 | 169,000 | ||||||||||
|
|
|||||||||||||
Media 0.4% | ||||||||||||||
a |
Diamond Sports Group LLC / Diamond Sports Finance Co., secured note, 144A, 5.375%, 8/15/26 |
United States | 1,210,000 | 242,363 | ||||||||||
a |
Directv Financing LLC / Directv Financing Co-Obligor Inc., 144A, 5.875%, 8/15/27 |
United States | 750,000 | 648,281 | ||||||||||
a |
Univision Communications Inc., senior secured note, first lien, 144A, 5.125%, 2/15/25 |
United States | 44,444 | 42,262 | ||||||||||
|
|
|||||||||||||
932,906 | ||||||||||||||
|
|
|||||||||||||
Oil, Gas & Consumable Fuels 0.1% | ||||||||||||||
Cheniere Energy Inc., 4.625%, 10/15/28 |
United States | 150,000 | 137,953 | |||||||||||
a |
Weatherford International Ltd., 144A, 6.50%, 9/15/28 |
United States | 44,600 | 40,202 | ||||||||||
|
|
|||||||||||||
178,155 | ||||||||||||||
|
|
|||||||||||||
Packaging & Containers 0.2% | ||||||||||||||
a |
Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc., 144A, 4.125%, 8/15/26 |
United States | 500,000 | 416,908 | ||||||||||
|
|
|||||||||||||
Pharmaceuticals 0.3% | ||||||||||||||
a,b |
Endo
Luxembourg Finance Co. I Sarl / Endo US Inc., 144A,
6.125%, |
United States | 925,000 | 731,625 | ||||||||||
|
|
|||||||||||||
Specialty Retail 0.1% | ||||||||||||||
a |
Staples Inc., 144A, 7.50%, 4/15/26 |
United States | 161,000 | 135,410 | ||||||||||
|
|
|||||||||||||
Total Corporate Bonds & Notes (Cost $8,149,970) |
6,584,730 | |||||||||||||
|
|
franklintempleton.com |
Semiannual Report |
143 |
FRANKLIN TEMPLETON ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Senior Loan ETF (continued)
Country | Principal Amount* | Value | ||||||||||||
c | Senior Floating Rate Interests 88.1% | |||||||||||||
Aerospace & Defense 2.6% | ||||||||||||||
Dynasty Acquisition Co. Inc., |
||||||||||||||
FRN thereafter, 2020 Term Loan B1, 6.615%, 4/06/26 |
United States | 769,377 | $ | 712,555 | ||||||||||
FRN thereafter, 2020 CAD Term Loan B2, 6.615%, 4/06/26 |
United States | 413,643 | 383,094 | |||||||||||
Madison IAQ LLC, FRN thereafter, Term Loan, 6.815%, 6/21/28 |
United States | 2,025,446 | 1,876,788 | |||||||||||
Peraton Corp., FRN thereafter, Term Loan B, 6.865%, 2/01/28 |
United States | 2,939,239 | 2,793,379 | |||||||||||
|
|
|||||||||||||
5,765,816 | ||||||||||||||
|
|
|||||||||||||
Air Freight & Logistics 1.3% | ||||||||||||||
First Student Bidco Inc., |
||||||||||||||
FRN thereafter, Term Loan C, 6.642%, 7/21/28 |
United States | 324,319 | 301,060 | |||||||||||
FRN thereafter, Term Loan B, 6.642%, 7/21/28 |
United States | 872,021 | 809,484 | |||||||||||
Kenan Advantage Group Inc., FRN thereafter, 2021 Term Loan B1, 6.865%, 3/24/26 |
United States | 1,758,365 | 1,667,159 | |||||||||||
|
|
|||||||||||||
2,777,703 | ||||||||||||||
|
|
|||||||||||||
Airlines 4.0% | ||||||||||||||
Air Canada, FRN thereafter, 2021 Term Loan B, 6.421%, 8/11/28 |
Canada | 1,955,291 | 1,864,340 | |||||||||||
American Airlines Inc., |
||||||||||||||
FRN thereafter, 2018 Term Loan B, 4.83%, 6/27/25 |
United States | 2,408,046 | 2,341,078 | |||||||||||
FRN thereafter, 2021 Term Loan, 7.46%, 4/20/28 |
United States | 1,024,129 | 994,942 | |||||||||||
Kestrel Bidco Inc., FRN thereafter, Term Loan B, 5.993%, 12/11/26 |
Canada | 1,253,084 | 1,110,702 | |||||||||||
United Airlines Inc., FRN thereafter, 2021 Term Loan B, 6.533%, 4/21/28 |
United States | 2,476,815 | 2,374,474 | |||||||||||
|
|
|||||||||||||
8,685,536 | ||||||||||||||
|
|
|||||||||||||
Auto Components 0.8% | ||||||||||||||
Clarios Global LP, FRN thereafter, 2021 USD Term Loan B, 6.365%, 4/30/26 |
United States | 1,755,327 | 1,665,735 | |||||||||||
|
|
|||||||||||||
Auto Parts & Equipment 2.3% | ||||||||||||||
DexKo Global Inc., |
||||||||||||||
FRN thereafter, 6.865%, 10/04/28 |
United States | 159,600 | 147,181 | |||||||||||
FRN thereafter, 7.424%, 10/04/28 |
United States | 836,136 | 771,072 | |||||||||||
First Brands Group LLC, FRN thereafter, 2021 Term Loan, 8.369%, 3/30/27 . |
United States | 2,323,249 | 2,241,354 | |||||||||||
Truck Hero Inc., FRN thereafter, 2021 Term Loan B, 6.615%, 1/31/28 |
United States | 2,076,918 | 1,822,351 | |||||||||||
|
|
|||||||||||||
4,981,958 | ||||||||||||||
|
|
|||||||||||||
Automobile Manufacturers 0.8% | ||||||||||||||
American Trailer World Corp., FRN thereafter, Term Loan B, 6.784%, 3/03/28 |
United States | 1,884,928 | 1,722,353 | |||||||||||
|
|
|||||||||||||
Building Products 1.3% | ||||||||||||||
Allied Universal Holdco LLC, FRN thereafter, 2021 USD Incremental Term Loan B, 6.784%, 5/12/28 |
United States | 1,758,136 | 1,550,456 | |||||||||||
Solis IV BV, FRN thereafter, USD Term Loan B1, 6.34%, 2/26/29 |
Netherlands | 598,500 | 495,558 | |||||||||||
White Cap Buyer LLC, FRN thereafter, Term Loan B, 6.784% to , FRN thereafter, 10/19/27 |
United States | 976,805 | 916,101 | |||||||||||
|
|
|||||||||||||
2,962,115 | ||||||||||||||
|
|
|||||||||||||
Capital Markets 1.8% | ||||||||||||||
Citadel Securities LP, FRN thereafter, 2021 Term Loan B, 5.649%, 2/02/28 |
United States | 1,428,250 | 1,390,830 | |||||||||||
Edelman Financial Center LLC, FRN thereafter, 2021 Term Loan B, 6.615%, 4/07/28 |
United States | 1,281,824 | 1,179,817 | |||||||||||
Jane Street Group LLC, FRN thereafter, 2021 Term Loan, 5.865%, 1/26/28 . |
United States | 1,420,544 | 1,365,348 | |||||||||||
|
|
|||||||||||||
3,935,995 | ||||||||||||||
|
|
144 |
Semiannual Report |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Senior Loan ETF (continued)
Country | Principal Amount* | Value | ||||||||||||
c | Senior Floating Rate Interests (continued) | |||||||||||||
Casinos & Gaming 1.9% | ||||||||||||||
Scientific Games Holdings LP, FRN thereafter, 2022 USD Term Loan B, 5.617%, 4/04/29 |
United States | 1,483,426 | $ | 1,377,731 | ||||||||||
Scientific Games International Inc., FRN thereafter, 2022 USD Term Loan, 5.906%, 4/14/29 |
United States | 1,312,988 | 1,278,851 | |||||||||||
Twin River Worldwide Holdings Inc., FRN thereafter, 2021 Term Loan B, 5.935%, 10/02/28 |
United States | 1,784,510 | 1,616,588 | |||||||||||
|
|
|||||||||||||
4,273,170 | ||||||||||||||
|
|
|||||||||||||
Chemicals 3.4% | ||||||||||||||
Hexion Holdings Corporation, 2022 USD Term Loan, TBD, 7.413%, 3/15/29 . |
United States | 1,596,000 | 1,369,368 | |||||||||||
INEOS Styrolution US Holding LLC, FRN thereafter, 5.865%, 1/29/26 |
United States | 1,707,613 | 1,597,335 | |||||||||||
LSF11 A5 Holdco LLC, FRN thereafter, Term Loan, 6.649%, 10/15/28 |
United States | 1,561,664 | 1,455,276 | |||||||||||
PMHC II Inc., 2022 Term Loan B, TBD, 6.977%, 4/23/29 |
United States | 1,800,000 | 1,460,817 | |||||||||||
SCIH Salt Holdings Inc., FRN thereafter, 2021 Incremental Term Loan B, 6.806%, 3/16/27 |
United States | 1,593,116 | 1,483,589 | |||||||||||
|
|
|||||||||||||
7,366,385 | ||||||||||||||
|
|
|||||||||||||
Commercial Services & Supplies 3.8% | ||||||||||||||
Amentum Government Services Holdings LLC, FRN thereafter, 2022 Term Loan, 7.206%, 2/15/29 |
United States | 2,628,810 | 2,517,085 | |||||||||||
APX Group Inc., FRN thereafter, 2021 Term Loan B, 8.50%, 7/10/28 |
United States | 990,479 | 939,009 | |||||||||||
KUEHG Corp., FRN thereafter, 2018 Incremental Term Loan, 6.865%, 2/21/25 |
United States | 1,078,649 | 1,022,020 | |||||||||||
MPH Acquisition Holdings LLC, FRN thereafter, 2021 Term Loan B, 7.32%, 9/01/28 |
United States | 497,488 | 461,188 | |||||||||||
PECF USS Intermediate Holding III Corporation, FRN thereafter, Term Loan B, 7.365%, 12/15/28 |
United States | 1,829,124 | 1,566,947 | |||||||||||
Spin Holdco Inc., FRN thereafter, 2021 Term Loan, 7.144%, 3/04/28 |
United States | 2,163,962 | 1,906,992 | |||||||||||
|
|
|||||||||||||
8,413,241 | ||||||||||||||
|
|
|||||||||||||
Communications Equipment 0.4% | ||||||||||||||
CommScope Inc., FRN thereafter, 2019 Term Loan B, 6.365%, 4/06/26 |
United States | 969,996 | 898,459 | |||||||||||
|
|
|||||||||||||
Computer & Electronics Retail 1.5% | ||||||||||||||
McAfee LLC, 2022 USD Term Loan B, TBD, 6.362%, 3/01/29 |
United States | 1,750,452 | 1,601,348 | |||||||||||
Vision Solutions Inc., FRN thereafter, 2021 Incremental Term Loan, 6.783%, 4/24/28 |
United States | 1,889,907 | 1,669,422 | |||||||||||
|
|
|||||||||||||
3,270,770 | ||||||||||||||
|
|
|||||||||||||
Construction Materials 0.9% | ||||||||||||||
Cornerstone Building Brands Inc., FRN thereafter, 2021 Term Loan B, 6.068%, 4/12/28 |
United States | 1,381,685 | 1,142,916 | |||||||||||
Quikrete Holdings, Inc., FRN thereafter, 2021 Term Loan B1, 6.115%, 6/11/28 |
United States | 796,000 | 767,865 | |||||||||||
|
|
|||||||||||||
1,910,781 | ||||||||||||||
|
|
|||||||||||||
Consumer Finance 0.1% | ||||||||||||||
d |
Stars Group Holdings BV (The), 2022 USD Term Loan B, TBD, 6.292%, 9/16/28 |
Netherlands | 169,492 | 165,731 | ||||||||||
|
|
|||||||||||||
Containers & Packaging 2.8% | ||||||||||||||
BWAY Holding Company, FRN thereafter, 2017 Term Loan B, 5.814%, 4/03/24 |
United States | 1,502,296 | 1,405,593 | |||||||||||
Charter NEX US Inc., FRN thereafter, 2021 Term Loan, 6.556%, 12/01/27 |
United States | 1,661,104 | 1,580,516 | |||||||||||
Klockner-Pentaplast of America Inc., FRN thereafter, 2021 Term Loan B, 8.259%, 2/12/26 |
Luxembourg | 1,981,657 | 1,699,271 |
franklintempleton.com |
Semiannual Report |
145 |
FRANKLIN TEMPLETON ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Senior Loan ETF (continued)
Country | Principal Amount* | Value | ||||||||||||
c | Senior Floating Rate Interests (continued) | |||||||||||||
Containers & Packaging (continued) | ||||||||||||||
Reynolds Group Holdings Inc., FRN thereafter, 2021 Term Loan B, 6.615%, 9/24/28 |
United States | 1,489,470 | $ | 1,431,984 | ||||||||||
|
|
|||||||||||||
6,117,364 | ||||||||||||||
|
|
|||||||||||||
Diversified Banks 0.7% | ||||||||||||||
AqGen Island Holdings Inc., FRN thereafter, Term Loan, 7.188%, 8/02/28 |
United States | 1,594,550 | 1,455,027 | |||||||||||
|
|
|||||||||||||
Diversified Financial Services 0.9% | ||||||||||||||
Asurion LLC, |
||||||||||||||
FRN thereafter, 2020 Term Loan B8, 6.365% to , FRN thereafter, 12/23/26 |
United States | 586,570 | 498,954 | |||||||||||
FRN thereafter, 2021 Second Lien Term Loan B4, 8.365%, 1/20/29 |
United States | 1,697,666 | 1,307,203 | |||||||||||
Citadel Securities LP, 2022 Incremental Term Loan B, 6.149%, 2/02/28 |
United States | 200,000 | 198,250 | |||||||||||
|
|
|||||||||||||
2,004,407 | ||||||||||||||
|
|
|||||||||||||
Diversified Telecommunication Services 0.8% | ||||||||||||||
Altice France SA, FRN thereafter, 2018 Term Loan B13, 6.905% to , FRN thereafter, 8/14/26 |
France | 1,176,571 | 1,070,679 | |||||||||||
Zayo Group Holdings Inc., FRN thereafter, USD Term Loan, 6.115%, 3/09/27 |
United States | 708,194 | 595,241 | |||||||||||
|
|
|||||||||||||
1,665,920 | ||||||||||||||
|
|
|||||||||||||
Electronic Equipment & Instruments 0.6% | ||||||||||||||
Magenta Buyer LLC, FRN thereafter, 2021 USD 1st Lien Term Loan, 7.87%, 7/27/28 |
United States | 1,395,128 | 1,263,986 | |||||||||||
|
|
|||||||||||||
Food Products 0.5% | ||||||||||||||
Triton Water Holdings Inc, FRN thereafter, Term Loan, 7.174%, 3/31/28 |
United States | 1,116,705 | 1,007,670 | |||||||||||
|
|
|||||||||||||
Health Care Providers & Services 8.1% | ||||||||||||||
ADMI Corp., |
||||||||||||||
FRN thereafter, 2021 Term Loan B2, 6.49%, 12/23/27 |
United States | 1,456,624 | 1,289,119 | |||||||||||
FRN thereafter, 2021 Incremental Term Loan B3, 6.865%, 12/23/27 |
United States | 659,100 | 588,246 | |||||||||||
Charlotte Buyer Inc., FRN thereafter, 1st Lien Term Loan, 7.98% to , SOFR CME + 5.250%, 2/11/28 |
United States | 376,344 | 353,763 | |||||||||||
CHG Healthcare Services Inc., FRN thereafter, 6.924%, 9/29/28 |
United States | 1,402,997 | 1,350,819 | |||||||||||
Gainwell Acquisition Corp., FRN thereafter, Term Loan B, 7.674%, 10/01/27 |
United States | 2,892,718 | 2,763,992 | |||||||||||
ICON Luxembourg SARL, FRN thereafter, LUX Term Loan, 5.938%, 7/03/28 |
Luxembourg | 1,266,213 | 1,240,496 | |||||||||||
Medical Solutions Holdings Inc., |
||||||||||||||
FRN thereafter, 2021 Delayed Draw Term Loan, 3.50%, 11/01/28 |
United States | 260,431 | 248,581 | |||||||||||
FRN thereafter, 2021 1st Lien Term Loan, 6.377%, 11/01/28 |
United States | 1,618,729 | 1,545,077 | |||||||||||
Medline Borrower LP, FRN thereafter, USD Term Loan B, 6.365%, 10/23/28 |
United States | 1,347,943 | 1,242,002 | |||||||||||
National Mentor Holdings Inc., |
||||||||||||||
FRN thereafter, 2021 Term Loan, 6.87%, 3/02/28 |
United States | 800,854 | 577,116 | |||||||||||
FRN thereafter, 2021 Term Loan C, 7.424%, 3/02/28 |
United States | 29,688 | 21,394 | |||||||||||
Phoenix Guarantor Inc., FRN thereafter, 2021 Term Loan B3, 6.615%, 3/05/26 |
United States | 1,184,867 | 1,128,853 | |||||||||||
PRA Health Sciences Inc., FRN thereafter, US Term Loan, 5.892%, 7/03/28 |
United States | 315,478 | 309,070 | |||||||||||
Radiology Partners Inc., FRN thereafter, 2018 1st Lien Term Loan B, 7.302%, 7/09/25 |
United States | 1,124,138 | 952,145 | |||||||||||
Team Health Holdings Inc., FRN thereafter, 1st Lien Term Loan, 5.865%, 2/06/24 |
United States | 1,308,131 | 1,201,846 | |||||||||||
U.S. Anesthesia Partners Inc., FRN thereafter, 2021 Term Loan, 6.814%, 10/01/28 |
United States | 1,337,713 | 1,260,320 |
146 |
Semiannual Report |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Senior Loan ETF (continued)
Country | Principal Amount* | Value | ||||||||||||
c | Senior Floating Rate Interests (continued) | |||||||||||||
Health Care Providers & Services (continued) | ||||||||||||||
U.S. Radiology Specialists Inc., FRN thereafter, 2020 Term Loan, 8.924%, 12/15/27 |
United States | 1,281,644 | $ | 1,134,255 | ||||||||||
U.S. Renal Care Inc., FRN thereafter, 2019 Term Loan B, 8.115%, 6/26/26 |
United States | 819,748 | 595,723 | |||||||||||
|
|
|||||||||||||
17,802,817 | ||||||||||||||
|
|
|||||||||||||
Health Care Services 1.0% | ||||||||||||||
MedAssets Software Intermediate Holdings Inc., FRN thereafter, 2021 Term Loan, 7.115%, 12/18/28 |
United States | 2,306,881 | 2,128,098 | |||||||||||
|
|
|||||||||||||
Home Furnishings 0.4% | ||||||||||||||
AI Aqua Merger Sub Inc., FRN thereafter, 2021 1st Lien Term Loan B, 6.346%, 7/31/28 |
United States | 922,688 | 859,543 | |||||||||||
|
|
|||||||||||||
Hotels Restaurants & Leisure 1.7% | ||||||||||||||
Caesars
Resort Collection LLC, |
United States | 892,605 | 873,543 | |||||||||||
FRN thereafter, 2020 Term Loan B1, 6.615%, 7/21/25 |
United States | 636,282 | 628,421 | |||||||||||
Fertitta Entertainment LLC, 2022 Term Loan B, TBD, 7.034%, 1/27/29 |
United States | 1,056,295 | 982,904 | |||||||||||
Hilton Grand Vacations Borrower LLC, FRN thereafter, 2021 Term Loan B, 6.115%, 8/02/28 |
United States | 1,361,076 | 1,320,033 | |||||||||||
|
|
|||||||||||||
3,804,901 | ||||||||||||||
|
|
|||||||||||||
Insurance 2.0% | ||||||||||||||
Acrisure
LLC, |
United States | 1,120,477 | 1,027,567 | |||||||||||
FRN thereafter, 2021 First Lien Term Loan B, 7.365%, 2/15/27 |
United States | 242,919 | 228,952 | |||||||||||
Alliant Holdings Intermediate LLC, FRN thereafter, 2021 Term Loan B4, 6.493%, 11/06/27 |
United States | 1,052,528 | 999,901 | |||||||||||
AssuredPartners Inc., FRN thereafter, 2020 Term Loan B, 6.615%, 2/12/27 . |
United States | 1,459,784 | 1,384,970 | |||||||||||
Asurion LLC, FRN thereafter, 2022 Term Loan B10, 7.134%, 8/19/28 |
United States | 300,000 | 256,688 | |||||||||||
Sedgwick
Claims Management Services Inc., FRN thereafter, 2019 Term |
United States | 397,943 | 381,154 | |||||||||||
|
|
|||||||||||||
4,279,232 | ||||||||||||||
|
|
|||||||||||||
Interactive Media & Services 1.2% | ||||||||||||||
Arches Buyer Inc., FRN thereafter, 2021 Term Loan B, 6.365%, 12/06/27 |
United States | 1,582,843 | 1,430,004 | |||||||||||
Hunter Holdco 3 Limited, FRN thereafter, USD Term Loan B, 7.924%, 8/19/28 |
United States | 1,195,153 | 1,132,407 | |||||||||||
|
|
|||||||||||||
2,562,411 | ||||||||||||||
|
|
|||||||||||||
Internet Services & Infrastructure 0.8% | ||||||||||||||
MH Sub I LLC, |
||||||||||||||
FRN thereafter, 2020 Incremental Term Loan, 6.274%, 9/13/24 |
United States | 1,324,794 | 1,265,841 | |||||||||||
FRN thereafter, 2017 1st Lien Term Loan, 6.871%, 9/13/24 |
United States | 490,139 | 468,503 | |||||||||||
|
|
|||||||||||||
1,734,344 | ||||||||||||||
|
|
|||||||||||||
IT Services 3.8% | ||||||||||||||
Deerfield Dakota Holding LLC, FRN thereafter, 2020 USD Term Loan B, 6.797%, 4/09/27 |
United States | 2,863,205 | 2,708,119 | |||||||||||
Dun and Bradstreet Corp., FRN thereafter, Term Loan, 6.33%, 2/06/26 |
United States | 955,380 | 925,883 | |||||||||||
Sedgwick Claims Management Services Inc., FRN thereafter, 2018 Term Loan B, 6.365%, 12/31/25 |
United States | 1,164,153 | 1,105,462 | |||||||||||
Verscend Holding Corp., FRN thereafter, 2021 Term Loan B, 7.115%, 8/27/25 |
United States | 3,683,054 | 3,581,770 | |||||||||||
|
|
|||||||||||||
8,321,234 | ||||||||||||||
|
|
franklintempleton.com |
Semiannual Report |
147 |
FRANKLIN TEMPLETON ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Senior Loan ETF (continued)
Country | Principal Amount* | Value | ||||||||||||
c | Senior Floating Rate Interests (continued) | |||||||||||||
Leisure Equipment & Products 0.8% | ||||||||||||||
Playtika Holding Corp., FRN thereafter, 2021 Term Loan, 5.865%, 3/13/28 |
United States | 1,094,445 | $ | 1,051,104 | ||||||||||
Varsity Brands Inc., FRN thereafter, 2017 Term Loan B, 6.615%, 12/15/24 |
United States | 794,529 | 743,382 | |||||||||||
|
|
|||||||||||||
1,794,486 | ||||||||||||||
|
|
|||||||||||||
Machinery 0.7% | ||||||||||||||
Vertical US Newco Inc., FRN thereafter, Term Loan B, 6.871%, 7/30/27 |
Germany | 1,708,929 | 1,641,999 | |||||||||||
|
|
|||||||||||||
Media 7.4% | ||||||||||||||
AMC Entertainment Holdings Inc., FRN thereafter, 2019 Term Loan B, 5.756%, 4/22/26 |
United States | 246,173 | 193,617 | |||||||||||
Cengage Learning Inc., FRN thereafter, 2021 Term Loan B, 7.814%, 7/14/26 |
United States | 1,917,642 | 1,741,161 | |||||||||||
Clear Channel Outdoor Holdings Inc., FRN thereafter, Term Loan B, 6.306%, 8/21/26 |
United States | 2,227,795 | 1,996,662 | |||||||||||
CSC Holdings LLC, FRN thereafter, 2017 Term Loan B1, 5.068%, 7/17/25 |
United States | 2,378,344 | 2,275,789 | |||||||||||
Diamond Sports Group LLC, |
||||||||||||||
FRN thereafter, 2022 2nd Lien Term Loan, 5.946%, 8/24/26 |
United States | 927,099 | 185,086 | |||||||||||
d , 2022 First Priority Term Loan, TBD, 10.696%, 5/26/26 |
United States | 0 | 0 | |||||||||||
Gray Television Inc., FRN thereafter, 2021 Term Loan D, 5.564%, 12/01/28 |
United States | 1,092,496 | 1,063,720 | |||||||||||
McGraw-Hill Global Education Holdings LLC, FRN thereafter, 2021 Term Loan, 8.315%, 7/28/28 |
United States | 1,590,144 | 1,470,390 | |||||||||||
e |
Nexstar Broadcasting Inc., FRN thereafter, 2019 Term Loan B4, 5.615%, 9/18/26 |
United States | 982,039 | 970,991 | ||||||||||
Radiate Holdco LLC, FRN thereafter, 2021 Term Loan B, 6.365%, 9/25/26 |
United States | 2,064,036 | 1,914,403 | |||||||||||
Univision Communications Inc., |
||||||||||||||
FRN thereafter, 2021 First Lien Term Loan B, 6.365%, 3/15/26 |
United States | 1,657,301 | 1,576,765 | |||||||||||
FRN thereafter, 2022 Term Loan B, 6.365%, 1/31/29 |
United States | 639,179 | 613,011 | |||||||||||
Virgin Media Bristol LLC, FRN thereafter, 2020 USD Term Loan Q, 6.068%, 1/31/29 |
United States | 1,670,000 | 1,620,944 | |||||||||||
William Morris Endeavor Entertainment LLC and IMG LLC, FRN thereafter, 2018 1st Lien Term Loan, 5.867% to , FRN thereafter, 5/18/25 |
United States | 639,670 | 612,084 | |||||||||||
|
|
|||||||||||||
16,234,623 | ||||||||||||||
|
|
|||||||||||||
Office Services & Supplies 1.1% | ||||||||||||||
Prime Security Services Borrower LLC, FRN thereafter, 2021 Term Loan, 5.303%, 9/23/26 |
United States | 2,437,895 | 2,366,855 | |||||||||||
|
|
|||||||||||||
Personal Products 1.5% | ||||||||||||||
Conair Holdings LLC, FRN thereafter, Term Loan B, 7.424%, 5/17/28 |
United States | 1,655,512 | 1,404,081 | |||||||||||
Sunshine Luxembourg VII SARL, FRN thereafter, 2021 Term Loan B3, 7.424%, 10/01/26 |
Luxembourg | 2,025,795 | 1,890,188 | |||||||||||
|
|
|||||||||||||
3,294,269 | ||||||||||||||
|
|
|||||||||||||
Pharmaceuticals 4.3% | ||||||||||||||
Bausch Health Companies Inc., FRN thereafter, 2022 Term Loan B, 8.098%, 2/01/27 |
Canada | 1,018,215 | 786,495 | |||||||||||
eResearchTechnology Inc., FRN thereafter, 2020 1st Lien Term Loan, 7.615%, 2/04/27 |
United States | 3,165,976 | 2,961,881 | |||||||||||
Grifols Worldwide Operations USA, Inc., FRN thereafter, USD 2019 Term Loan B, 5.115%, 11/15/27 |
United States | 800,000 | 761,168 | |||||||||||
Jazz Financing Lux S.a.r.l., FRN thereafter, USD Term Loan, 6.615%, 5/05/28 |
United States | 1,977,465 | 1,915,135 | |||||||||||
Organon & Co., FRN thereafter, USD Term Loan, 6.188%, 6/02/28 |
United States | 1,408,272 | 1,380,107 |
148 |
Semiannual Report |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Senior Loan ETF (continued)
Country | Principal Amount* | Value | ||||||||||||
c | Senior Floating Rate Interests (continued) | |||||||||||||
Pharmaceuticals (continued) | ||||||||||||||
Parexel International Corporation, FRN thereafter, 2021 1st Lien Term Loan, 6.365%, 11/15/28 |
United States | 1,585,581 | $ | 1,516,711 | ||||||||||
|
|
|||||||||||||
9,321,497 | ||||||||||||||
|
|
|||||||||||||
Real Estate Management & Development 0.6% | ||||||||||||||
Cushman & Wakefield U.S. Borrower LLC, FRN thereafter, 2020 Term Loan B, 5.865%, 8/21/25 |
United States | 1,394,030 | 1,335,780 | |||||||||||
|
|
|||||||||||||
Retail REITs 1.3% | ||||||||||||||
Great Outdoors Group LLC, FRN thereafter, 2021 Term Loan B1, 6.865%, 3/06/28 |
United States | 1,969,536 | 1,826,745 | |||||||||||
Petco Health and Wellness Company Inc., FRN thereafter, 2021 Term Loan B, 6.924%, 3/03/28 |
United States | 795,960 | 753,802 | |||||||||||
Restoration Hardware Inc., FRN thereafter, Term Loan B, 5.615%, 10/20/28 . |
United States | 409,566 | 364,053 | |||||||||||
|
|
|||||||||||||
2,944,600 | ||||||||||||||
|
|
|||||||||||||
Semiconductor Equipment 0.3% | ||||||||||||||
MKS Instruments, Inc., FRN thereafter, 2022 USD Term Loan B, 5.868%, 8/17/29 |
United States | 600,000 | 587,100 | |||||||||||
|
|
|||||||||||||
Soft Drinks 0.4% | ||||||||||||||
Naked Juice LLC, FRN thereafter, Term Loan, 6.903%, 1/24/29 |
United States | 959,201 | 883,530 | |||||||||||
|
|
|||||||||||||
Software 13.2% | ||||||||||||||
Athenahealth
Inc., |
United States | 449,275 | 403,674 | |||||||||||
d , 2022 Term Loan B, TBD, 6.576%, 2/15/29 |
United States | 2,644,098 | 2,375,722 | |||||||||||
CDK Global Inc., FRN thereafter, 2022 USD Term Loan B, 6.61%, 7/06/29 |
United Kingdom | 257,143 | 248,319 | |||||||||||
Cloudera
Inc., |
United States | 1,424,920 | 1,257,492 | |||||||||||
FRN thereafter, 2021 Second Lien Term Loan, 9.115%, 10/08/29 |
United States | 303,306 | 257,810 | |||||||||||
Cornerstone OnDemand Inc., FRN thereafter, 2021 Term Loan, 6.865%, 10/16/28 |
United States | 1,100,494 | 929,917 | |||||||||||
DCert
Buyer Inc., |
United States | 2,672,918 | 2,557,462 | |||||||||||
FRN thereafter, 2021 2nd Lien Term Loan, 9.903%, 2/19/29 |
United States | 1,000,000 | 937,500 | |||||||||||
Epicor Software Corporation, FRN thereafter, 2020 Term Loan, 6.365%, 7/30/27 |
United States | 1,703,446 | 1,600,975 | |||||||||||
Finastra USA Inc., FRN thereafter, USD 1st Lien Term Loan, 6.871%, 6/13/24 |
United States | 1,537,786 | 1,342,487 | |||||||||||
GoTo Group Inc., FRN thereafter, Term Loan B, 7.802%, 8/31/27 |
United States | 1,872,648 | 1,308,868 | |||||||||||
Hyland
Software Inc., |
United States | 2,791,538 | 2,710,416 | |||||||||||
FRN thereafter, 2021 2nd Lien Term Loan, 9.365%, 7/07/25 |
United States | 30,303 | 29,899 | |||||||||||
Idera Inc., FRN thereafter, 2021 Term Loan, 6.32%, 3/02/28 |
United States | 1,237,290 | 1,152,740 | |||||||||||
Ivanti
Software Inc., |
United States | 139,297 | 109,139 | |||||||||||
FRN thereafter, 2021 Term Loan B, 7.332%, 12/01/27 |
United States | 1,288,027 | 1,009,627 | |||||||||||
Mitchell International Inc., FRN thereafter, 2021 Term Loan B, 6.734%, 10/15/28 |
United States | 1,585,035 | 1,440,797 | |||||||||||
Navicure Inc., FRN thereafter, 2019 Term Loan B, 7.115%, 10/22/26 |
United States | 3,183,007 | 3,059,665 | |||||||||||
Polaris Newco LLC, FRN thereafter, USD Term Loan B, 7.674%, 6/02/28 |
United States | 2,787,803 | 2,579,889 | |||||||||||
Quest Software US Holdings Inc., FRN thereafter, 2022 Term Loan, 6.977%, 2/01/29 |
United States | 600,000 | 447,000 | |||||||||||
Sovos
Compliance LLC, |
United States | 257,088 | 245,776 |
franklintempleton.com |
Semiannual Report |
149 |
FRANKLIN TEMPLETON ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Senior Loan ETF (continued)
Country | Principal Amount* | Value | ||||||||||||
c | Senior Floating Rate Interests (continued) | |||||||||||||
Software (continued) | ||||||||||||||
FRN thereafter, 2021 Term Loan, 7.615%, 8/11/28 |
United States | 1,481,824 | $ | 1,416,623 | ||||||||||
Ultimate
Software Group Inc. (The), |
United States | 659,792 | 629,554 | |||||||||||
FRN thereafter, Term Loan B, 6.865%, 5/04/26 |
United States | 297,698 | 284,674 | |||||||||||
FRN thereafter, 2021 2nd Lien Term Loan, 7.535%, 5/03/27 |
United States | 570,096 | 542,068 | |||||||||||
|
|
|||||||||||||
28,878,093 | ||||||||||||||
|
|
|||||||||||||
Specialty Retail 2.2% | ||||||||||||||
Michaels Companies Inc., FRN thereafter, 2021 Term Loan B, 7.924%, 4/15/28 |
United States | 1,690,351 | 1,369,184 | |||||||||||
PetSmart Inc., FRN thereafter, 2021 Term Loan B, 6.87%, 2/11/28 |
United States | 1,326,374 | 1,259,783 | |||||||||||
SRS Distribution Inc., |
||||||||||||||
FRN thereafter, 2022 Incremental Term Loan, 6.177%, 6/02/28 |
United States | 79,148 | 72,954 | |||||||||||
FRN thereafter, 2021 Term Loan B, 6.306%, 6/02/28 |
United States | 372,824 | 345,096 | |||||||||||
Staples Inc., FRN thereafter, 7 Year Term Loan, 7.782%, 4/16/26 |
United States | 2,137,260 | 1,884,572 | |||||||||||
|
|
|||||||||||||
4,931,589 | ||||||||||||||
|
|
|||||||||||||
Technology Hardware, Storage & Peripherals 1.5% | ||||||||||||||
Greeneden U.S. Holdings II LLC, FRN thereafter, 2020 USD Term Loan B4, 7.115%, 12/01/27 |
United States | 3,354,160 | 3,202,921 | |||||||||||
|
|
|||||||||||||
Wireless Telecommunication Services 0.6% | ||||||||||||||
CCI Buyer Inc., FRN thereafter, Term Loan, 7.553%, 12/17/27 |
United States | 1,487,663 | 1,406,213 | |||||||||||
|
|
|||||||||||||
Total Floating Rate Loans (Cost $207,932,029) | 192,626,257 | |||||||||||||
|
|
|||||||||||||
Asset-Backed Securities 0.9% | ||||||||||||||
a,f |
BlueMountain CLO Ltd., FRN thereafter, C, Series 2018-3A, C, 144A, 4.983%, 10/25/30 |
United States | 1,000,000 | 933,582 | ||||||||||
a,f |
LCM XVIII LP, FRN thereafter, CR, Series 2018-A, CR, 144A, 4.56%, 4/20/31 |
United States | 1,000,000 | 935,400 | ||||||||||
|
|
|||||||||||||
Total Asset-Backed Securities (Cost $1,996,875) |
1,868,982 | |||||||||||||
|
|
|||||||||||||
Total Investments before Short Term Investments (Cost $218,078,874) |
201,079,969 | |||||||||||||
|
|
|||||||||||||
Short-Term Investments 7.3% |
||||||||||||||
U.S.
Government & Agency Securities |
||||||||||||||
g |
Federal Home Loan Bank Discount Notes, 10/3/22 |
United States | 16,040,000 | 16,040,000 | ||||||||||
|
|
|||||||||||||
Total Short-Term Investments (Cost $16,037,683) |
16,040,000 | |||||||||||||
|
|
|||||||||||||
Total Investments (Cost $234,116,557) 99.3% |
217,119,969 | |||||||||||||
Other Assets, less Liabilities 0.7% |
1,505,247 | |||||||||||||
|
|
|||||||||||||
Net Assets 100.0% |
$ | 218,625,216 | ||||||||||||
|
|
*The principal amount is stated in U.S. dollars unless otherwise indicated.
aSecurity was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from registration only to qualified institutional buyers or in a public offering registered under the Securities Act of 1933. At September 30, 2022, the value of was $8,315,759, representing 3.8% of net assets.
bSee Note 10 regarding defaulted securities.
cThe coupon rate shown represents the rate at period end.
dA portion or all of the security represents an unsettled loan commitment. The coupon rate is to-be determined (TBD) at the time of settlement and will be based upon a reference index/floor plus a spread.
eA portion or all of the security purchased on a delayed delivery basis.
fThe coupon rate shown represents the rate inclusive of any caps or floors, if applicable, in effect at period end.
gThe security was issued on a discount basis with no stated coupon rate.
See Abbreviations on page 223.
150 |
Semiannual Report | The accompanying notes are an integral part of these financial statements. |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
Consolidated Financial Highlights
Franklin Systematic Style Premia ETFa
Six Months Ended September 30, 2022 (unaudited) |
Year Ended March 31, | |||||||||||||||
2022 | 2021 | 2020b | ||||||||||||||
Per share operating
performance (for a share outstanding throughout the period) |
| |||||||||||||||
Net asset value, beginning of period |
$21.25 | $19.55 | $23.16 | $25.00 | ||||||||||||
|
|
|||||||||||||||
Income from investment operationsc: | ||||||||||||||||
Net investment incomed |
0.11 | 0.14 | 0.23 | 0.11 | ||||||||||||
Net realized and unrealized gains (losses) |
0.13 | 1.82 | (2.25 | ) | (1.94 | ) | ||||||||||
|
|
|||||||||||||||
Total from investment operations |
0.24 | 1.96 | (2.02 | ) | (1.83 | ) | ||||||||||
|
|
|||||||||||||||
Less distributions from: | ||||||||||||||||
Net investment income |
— | (0.26 | ) | (0.05 | ) | (0.01 | ) | |||||||||
Net realized gains |
— | — | (1.54 | ) | — | |||||||||||
|
|
|||||||||||||||
Total Distributions |
— | (0.26 | ) | (1.59 | ) | (0.01 | ) | |||||||||
|
|
|||||||||||||||
Net asset value, end of period |
$ | 21.49 | $ | 21.25 | $ | 19.55 | $ | 23.16 | ||||||||
|
|
|||||||||||||||
Total returne |
1.13% | 10.09% | (8.70)% | (7.34)% | ||||||||||||
Ratios to average net assetsf |
| |||||||||||||||
Expenses before waiver and payments by affiliates |
0.70% | 0.73% | 1.14% | 1.15% | ||||||||||||
Expenses net of waiver and payments by affiliates |
0.65% | 0.63% | 0.65% | 0.65% | ||||||||||||
Net investment income |
1.00% | 0.69% | 1.08% | 1.67% | ||||||||||||
Supplemental data |
| |||||||||||||||
Net assets, end of period (000’s) |
$100,987 | $55,258 | $46,927 | $50,948 | ||||||||||||
Portfolio turnover rateg |
91.58% | h | 189.89% | h | 171.16% | h | 60.95% | h |
aEffective August 1, 2022, Formerly, Franklin Liberty Systematic Style Premia ETF was renamed Franklin Systematic Style Premia ETF.
bFor the period December 18, 2019 (commencement of operations) to March 31, 2020.
cThe 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 and/or fluctuating fair value of the investments of the Fund.
dBased on average daily shares outstanding.
eTotal 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.
fRatios are annualized for periods less than one year.
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”).
hPortfolio turnover rate excluding cash creations was as follows: | 91.58% | 189.89% | 171.16% | 60.95% |
franklintempleton.com |
The accompanying notes are an integral part of these financial statements. | Semiannual Report |
151 |
FRANKLIN TEMPLETON ETF TRUST
Consolidated Schedule of Investments, September 30, 2022 (unaudited)
Franklin Systematic Style Premia ETF
Country | Shares | Value | ||||||||||||
Common Stocks 50.9% | ||||||||||||||
Aerospace & Defense 0.6% | ||||||||||||||
BAE Systems PLC |
United Kingdom | 24,349 | $ | 214,674 | ||||||||||
General Dynamics Corp. |
United States | 1,576 | 334,380 | |||||||||||
Thales SA |
France | 812 | 89,888 | |||||||||||
|
|
|||||||||||||
638,942 | ||||||||||||||
|
|
|||||||||||||
Air Freight & Logistics 0.2% | ||||||||||||||
C.H. Robinson Worldwide Inc. |
United States | 997 | 96,021 | |||||||||||
Expeditors International of Washington Inc. |
United States | 1,086 | 95,905 | |||||||||||
|
|
|||||||||||||
191,926 | ||||||||||||||
|
|
|||||||||||||
Airlines 0.0%† | ||||||||||||||
a |
Singapore Airlines Ltd. |
Singapore | 10,400 | 36,964 | ||||||||||
|
|
|||||||||||||
Automobiles 0.2% | ||||||||||||||
Stellantis NV |
United States | 16,856 | 202,647 | |||||||||||
|
|
|||||||||||||
Banks 1.2% | ||||||||||||||
Banco Bilbao Vizcaya Argentaria SA |
Spain | 51,668 | 233,874 | |||||||||||
Banco Santander SA |
Spain | 112,919 | 265,214 | |||||||||||
Mitsubishi UFJ Financial Group Inc. |
Japan | 75,379 | 339,282 | |||||||||||
NatWest Group PLC |
United Kingdom | 40,419 | 101,926 | |||||||||||
Societe Generale SA |
France | 6,078 | 121,557 | |||||||||||
Standard Chartered PLC |
United Kingdom | 19,765 | 125,057 | |||||||||||
|
|
|||||||||||||
1,186,910 | ||||||||||||||
|
|
|||||||||||||
Beverages 0.1% | ||||||||||||||
Kirin Holdings Co. Ltd. |
Japan | 4,200 | 64,620 | |||||||||||
|
|
|||||||||||||
Biotechnology 3.3% | ||||||||||||||
AbbVie Inc. |
United States | 5,710 | 766,339 | |||||||||||
Amgen Inc. |
United States | 2,379 | 536,227 | |||||||||||
Gilead Sciences Inc. |
United States | 9,371 | 578,097 | |||||||||||
a |
Moderna Inc. |
United States | 2,668 | 315,491 | ||||||||||
a |
Regeneron Pharmaceuticals Inc. |
United States | 857 | 590,361 | ||||||||||
a |
Vertex Pharmaceuticals Inc. |
United States | 1,981 | 573,579 | ||||||||||
|
|
|||||||||||||
3,360,094 | ||||||||||||||
|
|
|||||||||||||
Building Products 0.4% | ||||||||||||||
AGC Inc. |
Japan | 1,500 | 46,530 | |||||||||||
Carlisle Companies Inc. |
United States | 398 | 111,603 | |||||||||||
Compagnie de Saint-Gobain |
France | 3,859 | 140,066 | |||||||||||
Owens Corning |
United States | 737 | 57,936 | |||||||||||
|
|
|||||||||||||
356,135 | ||||||||||||||
|
|
|||||||||||||
Capital Markets 1.9% | ||||||||||||||
3i Group PLC |
United Kingdom | 7,623 | 93,009 | |||||||||||
Ameriprise Financial Inc. |
United States | 848 | 213,654 | |||||||||||
Australian Stock Exchange Ltd. |
Australia | 1,471 | 67,869 | |||||||||||
Blackstone Inc. |
United States | 5,240 | 438,588 | |||||||||||
Carlyle Group Inc. |
United States | 1,533 | 39,613 | |||||||||||
Deutsche Boerse AG |
Germany | 1,467 | 241,800 | |||||||||||
FactSet Research Systems Inc. |
United States | 293 | 117,232 | |||||||||||
LPL Financial Holdings Inc. |
United States | 620 | 135,458 | |||||||||||
Raymond James Financial Inc. |
United States | 1,494 | 147,637 | |||||||||||
Singapore Exchange Ltd. |
Singapore | 6,300 | 41,535 | |||||||||||
UBS Group AG |
Switzerland | 26,695 | 392,593 | |||||||||||
|
|
|||||||||||||
1,928,988 | ||||||||||||||
|
|
|||||||||||||
Chemicals 1.7% | ||||||||||||||
Albemarle Corp. |
United States | 845 | 223,452 | |||||||||||
CF Industries Holdings Inc. |
United States | 1,692 | 162,855 |
152 |
Semiannual Report |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Systematic Style Premia ETF (continued)
Country | Shares | Value | ||||||||||||
Common Stocks (continued) | ||||||||||||||
Chemicals (continued) | ||||||||||||||
Corteva Inc. |
United States | 5,670 | $ | 324,041 | ||||||||||
Dow Inc. |
United States | 4,893 | 214,949 | |||||||||||
ICL Group Ltd. |
Israel | 5,635 | 45,624 | |||||||||||
LyondellBasell Industries NV, A |
United States | 2,012 | 151,463 | |||||||||||
Mosaic Co. |
United States | 3,022 | 146,053 | |||||||||||
Nitto Denko Corp. |
Japan | 1,100 | 59,505 | |||||||||||
Nutrien Ltd. |
Canada | 4,500 | 377,279 | |||||||||||
|
|
|||||||||||||
1,705,221 | ||||||||||||||
|
|
|||||||||||||
Communications Equipment 0.1% | ||||||||||||||
Nokia OYJ |
Finland | 34,154 | 147,905 | |||||||||||
|
|
|||||||||||||
Construction & Engineering 0.0%† | ||||||||||||||
Taisei Corp. |
Japan | 1,400 | 38,882 | |||||||||||
|
|
|||||||||||||
Consumer Finance 0.3% | ||||||||||||||
Discover Financial Services |
United States | 2,153 | 195,751 | |||||||||||
Synchrony Financial |
United States | 3,803 | 107,206 | |||||||||||
|
|
|||||||||||||
302,957 | ||||||||||||||
|
|
|||||||||||||
Containers & Packaging 0.1% | ||||||||||||||
Packaging Corp. of America |
United States | 631 | 70,855 | |||||||||||
|
|
|||||||||||||
Distributors 0.2% | ||||||||||||||
Genuine Parts Co. |
United States | 1,100 | 164,252 | |||||||||||
LKQ Corp. |
United States | 1,827 | 86,143 | |||||||||||
|
|
|||||||||||||
250,395 | ||||||||||||||
|
|
|||||||||||||
Diversified Financial Services 0.1% | ||||||||||||||
ORIX Corp. |
Japan | 9,300 | 130,333 | |||||||||||
|
|
|||||||||||||
Diversified Telecommunication Services 0.8% | ||||||||||||||
Deutsche Telekom AG |
Germany | 24,855 | 425,916 | |||||||||||
Lumen Technologies Inc. |
United States | 7,165 | 52,161 | |||||||||||
Nippon Telegraph & Telephone Corp. |
Japan | 9,500 | 256,361 | |||||||||||
Orange SA |
France | 13,303 | 120,523 | |||||||||||
|
|
|||||||||||||
854,961 | ||||||||||||||
|
|
|||||||||||||
Electric Utilities 0.5% | ||||||||||||||
Exelon Corp. |
United States | 7,585 | 284,134 | |||||||||||
NRG Energy Inc. |
United States | 1,802 | 68,963 | |||||||||||
Power Assets Holdings Ltd. |
Hong Kong | 11,000 | 55,211 | |||||||||||
Red Electrica Corp. SA |
Spain | 3,155 | 48,556 | |||||||||||
|
|
|||||||||||||
456,864 | ||||||||||||||
|
|
|||||||||||||
Electrical Equipment 0.6% | ||||||||||||||
ABB Ltd. |
Switzerland | 1,549 | 40,604 | |||||||||||
Emerson Electric Co. |
United States | 4,465 | 326,927 | |||||||||||
Fuji Electric Co. Ltd. |
Japan | 1,000 | 36,547 | |||||||||||
Mitsubishi Electric Corp. |
Japan | 11,600 | 104,544 | |||||||||||
Prysmian SpA |
Italy | 2,023 | 58,702 | |||||||||||
|
|
|||||||||||||
567,324 | ||||||||||||||
|
|
|||||||||||||
Electronic Equipment, Instruments & Components 0.1% | ||||||||||||||
a |
Arrow Electronics Inc. |
United States | 456 | 42,039 | ||||||||||
TDK Corp. |
Japan | 2,900 | 89,257 | |||||||||||
|
|
|||||||||||||
131,296 | ||||||||||||||
|
|
|||||||||||||
Entertainment 0.2% | ||||||||||||||
a |
Liberty Media Corp-Liberty Formula One, C |
United States | 1,468 | 85,878 | ||||||||||
a |
Live Nation Entertainment Inc. |
United States | 879 | 66,839 | ||||||||||
|
|
|||||||||||||
152,717 | ||||||||||||||
|
|
franklintempleton.com |
Semiannual Report |
153 |
FRANKLIN TEMPLETON ETF TRUST
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Systematic Style Premia ETF (continued)
Country | Shares | Value | ||||||||||||
Common Stocks (continued) | ||||||||||||||
Equity Real Estate Investment Trusts (REITs) 1.3% | ||||||||||||||
Dexus |
Australia | 8,401 | $ | 41,699 | ||||||||||
Extra Space Storage Inc. |
United States | 1,055 | 182,209 | |||||||||||
Gaming and Leisure Properties Inc. |
United States | 1,979 | 87,551 | |||||||||||
Goodman Group |
Australia | 12,788 | 129,744 | |||||||||||
Host Hotels & Resorts Inc. |
United States | 5,488 | 87,149 | |||||||||||
Iron Mountain Inc. |
United States | 2,209 | 97,130 | |||||||||||
Medical Properties Trust Inc. |
United States | 4,469 | 53,002 | |||||||||||
Public Storage |
United States | 1,228 | 359,571 | |||||||||||
The GPT Group |
Australia | 14,980 | 36,888 | |||||||||||
Weyerhaeuser Co. |
United States | 5,644 | 161,193 | |||||||||||
WP Carey Inc. |
United States | 1,288 | 89,902 | |||||||||||
|
|
|||||||||||||
1,326,038 | ||||||||||||||
|
|
|||||||||||||
Food & Staples Retailing 1.0% | ||||||||||||||
Alimentation Couche-Tard Inc. |
Canada | 7,500 | 303,537 | |||||||||||
Coles Group Ltd. |
Australia | 10,468 | 110,580 | |||||||||||
Jeronimo Martins SGPS SA |
Portugal | 2,130 | 39,751 | |||||||||||
Koninklijke Ahold Delhaize NV |
Netherlands | 7,938 | 203,238 | |||||||||||
Loblaw Companies Ltd. |
Canada | 1,300 | 103,485 | |||||||||||
The Kroger Co. |
United States | 5,530 | 241,938 | |||||||||||
|
|
|||||||||||||
1,002,529 | ||||||||||||||
|
|
|||||||||||||
Food Products 0.8% | ||||||||||||||
Archer-Daniels-Midland Co. |
United States | 4,400 | 353,980 | |||||||||||
The Hershey Co. |
United States | 1,132 | 249,572 | |||||||||||
Tyson Foods Inc., A |
United States | 1,981 | 130,608 | |||||||||||
b,c |
WH Group Ltd., 144A, Reg S |
Hong Kong | 62,500 | 39,411 | ||||||||||
Yakult Honsha Co. Ltd. |
Japan | 1,000 | 58,102 | |||||||||||
|
|
|||||||||||||
831,673 | ||||||||||||||
|
|
|||||||||||||
Gas Utilities 0.1% | ||||||||||||||
UGI Corp. |
United States | 1,625 | 52,536 | |||||||||||
|
|
|||||||||||||
Health Care Equipment & Supplies 0.2% | ||||||||||||||
a |
Hologic Inc. |
United States | 1,920 | 123,878 | ||||||||||
Sonova Holding AG |
Switzerland | 430 | 96,114 | |||||||||||
|
|
|||||||||||||
219,992 | ||||||||||||||
|
|
|||||||||||||
Health Care Providers & Services 1.4% | ||||||||||||||
a |
Centene Corp. |
United States | 4,508 | 350,767 | ||||||||||
Cigna Corp. |
United States | 2,459 | 682,299 | |||||||||||
McKesson Corp. |
United States | 1,139 | 387,112 | |||||||||||
|
|
|||||||||||||
1,420,178 | ||||||||||||||
|
|
|||||||||||||
Health Care Technology 0.2% | ||||||||||||||
a |
Veeva Systems Inc., A |
United States | 1,028 | 169,497 | ||||||||||
|
|
|||||||||||||
Hotels, Restaurants & Leisure 1.8% | ||||||||||||||
Aramark |
United States | 1,764 | 55,037 | |||||||||||
a |
Booking Holdings Inc. |
United States | 266 | 437,094 | ||||||||||
Compass Group PLC |
United Kingdom | 13,729 | 276,629 | |||||||||||
McDonald’s Corp. |
United States | 3,660 | 844,508 | |||||||||||
Yum! Brands Inc. |
United States | 1,883 | 200,238 | |||||||||||
|
|
|||||||||||||
1,813,506 | ||||||||||||||
|
|
|||||||||||||
Independent Power Producers & Energy Traders 0.1% | ||||||||||||||
Northland Power Inc. |
Canada | 1,800 | 52,989 | |||||||||||
|
|
154 |
Semiannual Report |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Systematic Style Premia ETF (continued)
Country | Shares | Value | ||||||||||||
Common Stocks (continued) | ||||||||||||||
Industrial Conglomerates 0.1% | ||||||||||||||
Jardine Matheson Holdings Ltd. |
Hong Kong | 1,300 | $ | 65,832 | ||||||||||
Keppel Corp. Ltd. |
Singapore | 11,000 | 53,279 | |||||||||||
|
|
|||||||||||||
119,111 | ||||||||||||||
|
|
|||||||||||||
Insurance 2.5% | ||||||||||||||
Aflac Inc. |
United States | 4,716 | 265,039 | |||||||||||
American Financial Group Inc. |
United States | 555 | 68,226 | |||||||||||
American International Group Inc. |
United States | 6,004 | 285,070 | |||||||||||
a |
Arch Capital Group Ltd. |
United States | 2,889 | 131,565 | ||||||||||
Chubb Ltd. |
United States | 3,284 | 597,294 | |||||||||||
Fairfax Financial Holdings Ltd. |
Canada | 200 | 91,829 | |||||||||||
Fidelity National Financial Inc. |
United States | 1,816 | 65,739 | |||||||||||
Hartford Financial Services Group Inc. |
United States | 2,530 | 156,708 | |||||||||||
MetLife Inc. |
United States | 5,089 | 309,310 | |||||||||||
Principal Financial Group Inc. |
United States | 1,930 | 139,250 | |||||||||||
Sompo Holdings Inc. |
Japan | 2,400 | 95,539 | |||||||||||
Tokio Marine Holdings Inc. |
Japan | 14,400 | 255,180 | |||||||||||
W R Berkley Corp. |
United States | 1,642 | 106,040 | |||||||||||
|
|
|||||||||||||
2,566,789 | ||||||||||||||
|
|
|||||||||||||
Interactive Media & Services 2.5% | ||||||||||||||
a |
Alphabet Inc., A |
United States | 4,870 | 465,816 | ||||||||||
a |
Alphabet Inc., C |
United States | 11,376 | 1,093,802 | ||||||||||
b |
Auto Trader Group PLC, 144A |
United Kingdom | 7,541 | 43,353 | ||||||||||
a |
Meta Platforms Inc., A |
United States | 6,543 | 887,754 | ||||||||||
|
|
|||||||||||||
2,490,725 | ||||||||||||||
|
|
|||||||||||||
Internet & Direct Marketing Retail 0.2% | ||||||||||||||
eBay Inc. |
United States | 4,317 | 158,909 | |||||||||||
|
|
|||||||||||||
IT Services 2.0% |
| |||||||||||||
Accenture PLC, A |
United States | 2,278 | 586,129 | |||||||||||
Capgemini SE |
France | 1,067 | 172,995 | |||||||||||
a |
CGI Inc. |
Canada | 1,700 | 128,658 | ||||||||||
Cognizant Technology Solutions Corp., A |
United States | 4,007 | 230,162 | |||||||||||
Computershare Ltd. |
Australia | 4,301 | 68,470 | |||||||||||
a |
FleetCor Technologies Inc. |
United States | 511 | 90,023 | ||||||||||
Fujitsu Ltd. |
Japan | 1,300 | 141,770 | |||||||||||
a |
Gartner Inc. |
United States | 616 | 170,441 | ||||||||||
Jack Henry & Associates Inc. |
United States | 547 | 99,702 | |||||||||||
Paychex Inc. |
United States | 2,519 | 282,657 | |||||||||||
TIS Inc. |
Japan | 1,800 | 47,691 | |||||||||||
Western Union Co. |
United States | 2,926 | 39,501 | |||||||||||
|
|
|||||||||||||
2,058,199 | ||||||||||||||
|
|
|||||||||||||
Leisure Products 0.1% | ||||||||||||||
Bandai Namco Holdings Inc. |
Japan | 1,600 | 104,272 | |||||||||||
|
|
|||||||||||||
Life Sciences Tools & Services 0.3% | ||||||||||||||
a |
Mettler-Toledo International Inc. |
United States | 175 | 189,721 | ||||||||||
a |
Waters Corp. |
United States | 412 | 111,046 | ||||||||||
|
|
|||||||||||||
300,767 | ||||||||||||||
|
|
|||||||||||||
Machinery 1.1% | ||||||||||||||
CNH Industrial NV |
United Kingdom | 7,910 | 90,121 | |||||||||||
Cummins Inc. |
United States | 1,093 | 222,436 | |||||||||||
IDEX Corp. |
United States | 588 | 117,512 | |||||||||||
Komatsu Ltd. |
Japan | 7,300 | 131,682 | |||||||||||
Mitsubishi Heavy Industries Ltd. |
Japan | 2,600 | 86,328 |
franklintempleton.com |
Semiannual Report |
155 |
FRANKLIN TEMPLETON ETF TRUST
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Systematic Style Premia ETF (continued)
Country | Shares | Value | ||||||||||||
Common Stocks (continued) | ||||||||||||||
Machinery (continued) | ||||||||||||||
Nordson Corp. |
United States | 391 | $ | 82,998 | ||||||||||
PACCAR Inc. |
United States | 2,678 | 224,122 | |||||||||||
Snap-on Inc. |
United States | 413 | 83,158 | |||||||||||
b |
VAT Group AG, 144A |
Switzerland | 167 | 34,579 | ||||||||||
|
|
|||||||||||||
1,072,936 | ||||||||||||||
|
|
|||||||||||||
Marine 0.1% | ||||||||||||||
AP Moller-Maersk A/S, A |
Denmark | 24 | 42,625 | |||||||||||
AP Moller-Maersk A/S, B |
Denmark | 39 | 71,244 | |||||||||||
|
|
|||||||||||||
113,869 | ||||||||||||||
|
|
|||||||||||||
Media 0.1% | ||||||||||||||
Dentsu Group Inc. |
Japan | 1,700 | 48,271 | |||||||||||
Publicis Groupe |
France | 1,727 | 82,732 | |||||||||||
|
|
|||||||||||||
131,003 | ||||||||||||||
|
|
|||||||||||||
Metals & Mining 1.5% | ||||||||||||||
ArcelorMittal SA |
Luxembourg | 4,121 | 83,427 | |||||||||||
BHP Group Ltd. |
Australia | 11,888 | 294,423 | |||||||||||
BlueScope Steel Ltd. |
Australia | 3,660 | 35,745 | |||||||||||
a |
Cleveland-Cliffs Inc. |
United States | 3,651 | 49,179 | ||||||||||
Glencore PLC |
Australia | 75,556 | 403,287 | |||||||||||
Nippon Steel Corp. |
Japan | 6,300 | 87,333 | |||||||||||
Nucor Corp. |
United States | 2,098 | 224,465 | |||||||||||
Rio Tinto Ltd. |
Australia | 2,431 | 145,970 | |||||||||||
Steel Dynamics Inc. |
United States | 1,522 | 107,986 | |||||||||||
Teck Resources Ltd., B |
Canada | 3,200 | 97,836 | |||||||||||
|
|
|||||||||||||
1,529,651 | ||||||||||||||
|
|
|||||||||||||
Multiline Retail 0.1% | ||||||||||||||
Dollarama Inc. |
Canada | 2,200 | 126,968 | |||||||||||
|
|
|||||||||||||
Multi-Utilities 0.8% | ||||||||||||||
Consolidated Edison Inc. |
United States | 986 | 84,559 | |||||||||||
Engie SA |
France | 13,731 | 159,294 | |||||||||||
RWE AG |
Germany | 5,001 | 185,142 | |||||||||||
Sempra Energy |
United States | 2,348 | 352,059 | |||||||||||
|
|
|||||||||||||
781,054 | ||||||||||||||
|
|
|||||||||||||
Oil, Gas & Consumable Fuels 3.3% | ||||||||||||||
APA Corp. |
United States | 2,507 | 85,714 | |||||||||||
Canadian Natural Resources Ltd. |
Canada | 800 | 37,437 | |||||||||||
Devon Energy Corp. |
United States | 4,101 | 246,593 | |||||||||||
Diamondback Energy Inc. |
United States | 1,025 | 123,472 | |||||||||||
Eni SpA |
Italy | 19,442 | 207,796 | |||||||||||
EQT Corp. |
United States | 2,488 | 101,386 | |||||||||||
Equinor ASA |
Norway | 7,511 | 246,823 | |||||||||||
Imperial Oil Ltd. |
Canada | 1,800 | 78,351 | |||||||||||
Marathon Oil Corp. |
United States | 4,697 | 106,058 | |||||||||||
Marathon Petroleum Corp. |
United States | 4,214 | 418,577 | |||||||||||
OMV AG |
Austria | 1,012 | 37,049 | |||||||||||
Origin Energy Ltd. |
Australia | 13,561 | 45,077 | |||||||||||
Repsol SA |
Spain | 11,509 | 133,099 | |||||||||||
Shell PLC |
Netherlands | 15,464 | 387,801 | |||||||||||
Suncor Energy Inc. |
Canada | 11,000 | 311,415 | |||||||||||
TotalEnergies SE |
France | 9,891 | 467,771 | |||||||||||
Valero Energy Corp. |
United States | 3,151 | 336,684 | |||||||||||
|
|
|||||||||||||
3,371,103 | ||||||||||||||
|
|
156 |
Semiannual Report |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Systematic Style Premia ETF (continued)
Country | Shares | Value | ||||||||||||
Common Stocks (continued) | ||||||||||||||
Paper & Forest Products 0.0%† | ||||||||||||||
West Fraser Timber Co. Ltd. |
Canada | 500 | $ | 36,363 | ||||||||||
|
|
|||||||||||||
Personal Products 0.2% | ||||||||||||||
Beiersdorf AG |
Germany | 746 | 73,776 | |||||||||||
L’Oreal SA |
France | 454 | 146,883 | |||||||||||
|
|
|||||||||||||
220,659 | ||||||||||||||
|
|
|||||||||||||
Pharmaceuticals 0.9% | ||||||||||||||
Bayer AG |
Germany | 6,576 | 305,456 | |||||||||||
Pfizer Inc. |
United States | 11,503 | 503,371 | |||||||||||
Roche Holding AG, Bearer |
Switzerland | 179 | 70,527 | |||||||||||
|
|
|||||||||||||
879,354 | ||||||||||||||
|
|
|||||||||||||
Professional Services 0.6% | ||||||||||||||
Booz Allen Hamilton Holding Corp. |
United States | 1,029 | 95,028 | |||||||||||
Randstad NV |
Netherlands | 919 | 40,135 | |||||||||||
Robert Half International Inc. |
United States | 852 | 65,178 | |||||||||||
Verisk Analytics Inc. |
United States | 1,224 | 208,729 | |||||||||||
Wolters Kluwer NV |
Netherlands | 2,047 | 200,374 | |||||||||||
|
|
|||||||||||||
609,444 | ||||||||||||||
|
|
|||||||||||||
Real Estate Investment Trusts (REITs) 0.3% | ||||||||||||||
Simon Property Group Inc. |
United States | 2,522 | 226,350 | |||||||||||
Stockland |
Australia | 18,549 | 38,998 | |||||||||||
Vicinity Centres |
Australia | 30,326 | 33,829 | |||||||||||
|
|
|||||||||||||
299,177 | ||||||||||||||
|
|
|||||||||||||
Real Estate Management & Development 0.3% | ||||||||||||||
CK Asset Holdings Ltd. |
Hong Kong | 15,500 | 93,199 | |||||||||||
CK Hutchison Holdings Ltd., A |
United Kingdom | 20,500 | 113,339 | |||||||||||
Sun Hung Kai Properties Ltd. |
Hong Kong | 11,000 | 121,702 | |||||||||||
|
|
|||||||||||||
328,240 | ||||||||||||||
|
|
|||||||||||||
Road & Rail 1.6% | ||||||||||||||
AMERCO |
United States | 76 | 38,701 | |||||||||||
Canadian National Railway Co. |
Canada | 4,500 | 488,563 | |||||||||||
JB Hunt Transport Services Inc. |
United States | 651 | 101,829 | |||||||||||
Kintetsu Group Holdings Co. Ltd. |
Japan | 1,300 | 43,290 | |||||||||||
Knight-Swift Transportation Holdings Inc. |
United States | 1,209 | 59,156 | |||||||||||
Old Dominion Freight Line Inc. |
United States | 730 | 181,602 | |||||||||||
TFI International Inc. |
Canada | 600 | 54,588 | |||||||||||
Union Pacific Corp. |
United States | 3,448 | 671,739 | |||||||||||
|
|
|||||||||||||
1,639,468 | ||||||||||||||
|
|
|||||||||||||
Semiconductors & Semiconductor Equipment 3.5% | ||||||||||||||
Broadcom Inc. |
United States | 1,766 | 784,122 | |||||||||||
KLA Corp. |
United States | 1,134 | 343,182 | |||||||||||
Micron Technology Inc. |
United States | 7,710 | 386,271 | |||||||||||
Monolithic Power Systems Inc. |
United States | 329 | 119,559 | |||||||||||
a |
ON Semiconductor Corp. |
United States | 3,371 | 210,115 | ||||||||||
QUALCOMM Inc. |
United States | 5,218 | 589,530 | |||||||||||
a |
Renesas Electronics Corp. |
Japan | 8,900 | 73,908 | ||||||||||
STMicroelectronics NV |
Switzerland | 5,522 | 174,433 | |||||||||||
Texas Instruments Inc. |
United States | 5,430 | 840,455 | |||||||||||
|
|
|||||||||||||
3,521,575 | ||||||||||||||
|
|
|||||||||||||
Software 3.6% | ||||||||||||||
a |
Cadence Design Systems Inc. |
United States | 2,142 | 350,067 | ||||||||||
a |
Dropbox Inc., A |
United States | 2,242 | 46,454 |
franklintempleton.com |
Semiannual Report |
157 |
FRANKLIN TEMPLETON ETF TRUST
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Systematic Style Premia ETF (continued)
Country | Shares | Value | ||||||||||||
Common Stocks (continued) | ||||||||||||||
Software (continued) | ||||||||||||||
a |
Fair Isaac Corp. |
United States | 198 | $ | 81,578 | |||||||||
a |
Fortinet Inc. |
United States | 5,096 | 250,366 | ||||||||||
Intuit Inc. |
United States | 681 | 263,765 | |||||||||||
Microsoft Corp. |
United States | 6,868 | 1,599,557 | |||||||||||
NortonLifeLock Inc. |
United States | 4,511 | 90,852 | |||||||||||
a |
Palo Alto Networks Inc. |
United States | 3,329 | 545,257 | ||||||||||
a |
Synopsys Inc. |
United States | 1,193 | 364,473 | ||||||||||
Trend Micro Inc. |
Japan | 1,000 | 54,026 | |||||||||||
WiseTech Global Ltd. |
Australia | 1,148 | 38,382 | |||||||||||
|
|
|||||||||||||
3,684,777 | ||||||||||||||
|
|
|||||||||||||
Specialty Retail 2.5% | ||||||||||||||
a |
AutoZone Inc. |
United States | 151 | 323,431 | ||||||||||
Lowe’s Cos Inc. |
United States | 4,389 | 824,298 | |||||||||||
a |
O’Reilly Automotive Inc. |
United States | 507 | 356,599 | ||||||||||
The Home Depot Inc. |
United States | 3,011 | 830,855 | |||||||||||
a |
Ulta Beauty Inc. |
United States | 400 | 160,476 | ||||||||||
|
|
|||||||||||||
2,495,659 | ||||||||||||||
|
|
|||||||||||||
Technology Hardware, Storage & Peripherals 0.3% | ||||||||||||||
Dell Technologies Inc., C |
United States | 2,108 | 72,030 | |||||||||||
HP Inc. |
United States | 8,127 | 202,525 | |||||||||||
|
|
|||||||||||||
274,555 | ||||||||||||||
|
|
|||||||||||||
Textiles, Apparel & Luxury Goods 0.8% | ||||||||||||||
Burberry Group PLC |
United Kingdom | 2,921 | 58,954 | |||||||||||
Cie Financiere Richemont SA |
Switzerland | 2,665 | 255,277 | |||||||||||
Gildan Activewear Inc. |
Canada | 1,400 | 39,787 | |||||||||||
LVMH Moet Hennessy Louis Vuitton SE |
France | 636 | 380,314 | |||||||||||
Pandora AS |
Denmark | 706 | 33,403 | |||||||||||
|
|
|||||||||||||
767,735 | ||||||||||||||
|
|
|||||||||||||
Tobacco 0.4% | ||||||||||||||
British American Tobacco PLC |
United Kingdom | 6,697 | 241,208 | |||||||||||
Imperial Brands PLC |
United Kingdom | 6,869 | 142,239 | |||||||||||
|
|
|||||||||||||
383,447 | ||||||||||||||
|
|
|||||||||||||
Trading Companies & Distributors 1.1% | ||||||||||||||
ITOCHU Corp. |
Japan | 2,900 | 70,143 | |||||||||||
Marubeni Corp. |
Japan | 12,100 | 105,999 | |||||||||||
Mitsubishi Corp. |
Japan | 9,800 | 268,655 | |||||||||||
Mitsui & Co. Ltd. |
Japan | 10,500 | 224,080 | |||||||||||
Sumitomo Corp. |
Japan | 8,600 | 107,095 | |||||||||||
a |
United Rentals Inc. |
United States | 553 | 149,377 | ||||||||||
W.W. Grainger Inc. |
United States | 305 | 149,203 | |||||||||||
|
|
|||||||||||||
1,074,552 | ||||||||||||||
|
|
|||||||||||||
Transportation Infrastructure 0.1% | ||||||||||||||
Atlantia SpA |
Italy | 3,872 | 85,764 | |||||||||||
|
|
|||||||||||||
Water Utilities 0.1% | ||||||||||||||
Essential Utilities Inc. |
United States | 1,918 | 79,367 | |||||||||||
|
|
|||||||||||||
Wireless Telecommunication Services 0.4% | ||||||||||||||
KDDI Corp. |
Japan | 12,500 | 366,420 | |||||||||||
Vodafone Group PLC |
United Kingdom | 54,859 | 61,925 | |||||||||||
|
|
|||||||||||||
428,345 | ||||||||||||||
|
|
|||||||||||||
Total Common Stocks (Cost $54,204,670) |
51,399,711 | |||||||||||||
|
|
158 |
Semiannual Report |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Systematic Style Premia ETF (continued)
Country | Shares | Value | ||||||||||||
Preferred Stock 0.1% | ||||||||||||||
Automobiles 0.1% | ||||||||||||||
Volkswagen AG, 5.98%, pfd |
Germany | 458 | $ | 56,713 | ||||||||||
|
|
|||||||||||||
Total Preferred Stocks (Cost $58,946) |
56,713 | |||||||||||||
|
|
|||||||||||||
Total Investments (Cost $54,263,616) 51.0% |
51,456,424 | |||||||||||||
Other Assets, less Liabilities 49.0% |
49,530,637 | |||||||||||||
|
|
|||||||||||||
Net Assets 100.0% |
$ | 100,987,061 | ||||||||||||
|
|
† Rounds to less than 0.1% of net assets.
a Non-income producing.
b Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from registration only to qualified institutional buyers or in a public offering registered under the Securities Act of 1933. At September 30, 2022, the value of was $117,343, representing 0.1% of net assets.
c Security was purchased pursuant to Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. Such a security cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. At September 30, 2022, the value of was $39,411, representing 0.0% of net assets.
At September 30, 2022, the Fund had the following total return equity swap contracts outstanding. See Note 1(c).
Swaps | ||||||||||||||||||||||||
Description | Financing Rate |
Payment Frequency |
Counterparty |
Maturity Date |
Notional Amount (000)s |
Unrealized (Depreciation) |
||||||||||||||||||
OTC Swap Contracts Short | ||||||||||||||||||||||||
MSFTLSSP |
1-month USD LIBOR | At Maturity | MSCS | 10/22/22 | 40,062 | 4,311,435 |
At September 30, 2022 the Fund had the following forward exchange contracts outstanding. See Note 1(c).
Forward Exchange Contracts | ||||||||||||||||||||||||||||
Currency | Counterpartya | Type | Quantity |
Contract Amount |
Settlement Date |
Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||||||||
OTC Forward Exchange Contracts | ||||||||||||||||||||||||||||
Australian Dollar |
MSCO | Buy | 4,057,707 | $ | 2,744,909 | 12/21/22 | $ | — | $ | (132,448 | ) | |||||||||||||||||
Brazilian Real |
MSCO | Buy | 8,306,650 | 1,568,032 | 12/21/22 | — | (59,150 | ) | ||||||||||||||||||||
Canadian Dollar |
MSCO | Buy | 2,584,179 | 1,964,259 | 12/21/22 | — | (82,929 | ) | ||||||||||||||||||||
Czech Koruna |
MSCO | Buy | 18,474,688 | 746,625 | 12/21/22 | — | (14,677 | ) | ||||||||||||||||||||
Euro |
MSCO | Sell | 3,643,987 | 3,666,481 | 12/21/22 | 74,905 | — | |||||||||||||||||||||
Great British Pound |
MSCO | Buy | 636,774 | 735,636 | 12/21/22 | — | (24,010 | ) | ||||||||||||||||||||
Hungarian Forint |
MSCO | Sell | 375,505,161 | 905,386 | 12/21/22 | 54,642 | — | |||||||||||||||||||||
Israeli Shekel |
MSCO | Sell | 15,259,485 | 4,485,906 | 12/21/22 | 166,677 | — | |||||||||||||||||||||
Japanese Yen |
MSCO | Sell | 152,304,408 | 1,072,817 | 12/21/22 | 11,235 | — | |||||||||||||||||||||
Mexican Peso |
MSCO | Buy | 62,502,769 | 3,077,245 | 12/21/22 | — | (11,898 | ) | ||||||||||||||||||||
New Zealand Dollar |
MSCO | Sell | 7,700,569 | 4,631,738 | 12/21/22 | 273,959 | — | |||||||||||||||||||||
Polish Zloty |
MSCO | Sell | 6,665,500 | 1,396,222 | 12/21/22 | 64,340 | — | |||||||||||||||||||||
South Korean Won |
MSCO | Sell | 2,251,261,469 | 1,618,019 | 12/21/22 | 39,810 | — | |||||||||||||||||||||
Swedish Krona |
MSCO | Sell | 12,941,810 | 1,214,817 | 12/21/22 | 42,876 | — | |||||||||||||||||||||
Swiss Franc |
MSCO | Buy | 2,362,926 | 2,480,161 | 12/21/22 | — | (60,095 | ) | ||||||||||||||||||||
|
|
|||||||||||||||||||||||||||
Total Forward Exchange Contracts |
|
$ | 728,444 | $ | (385,207 | ) | ||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||
Net unrealized appreciation (depreciation) |
|
$ | 343,237 | |||||||||||||||||||||||||
|
|
aMay be comprised of multiple contracts with the same counterparty, currency and settlement date.
franklintempleton.com |
Semiannual Report |
159 |
FRANKLIN TEMPLETON ETF TRUST
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Systematic Style Premia ETF (continued)
At September 30, 2022, the Fund had the following futures contracts outstanding. See Note 1(c).
Futures Contracts | ||||||||||||||||||||
Description | Type | Number of Contracts |
Notional Amount* |
Expiration Date |
Value/Unrealized Appreciation (Depreciation) |
|||||||||||||||
Commodity Contracts | ||||||||||||||||||||
Brent Crude, December |
Long | 9 | $ | 766,260 | 10/31/22 | $ | (49,785 | ) | ||||||||||||
Brent Crude, February |
Long | 1 | 81,990 | 12/29/22 | (6,442 | ) | ||||||||||||||
Cocoa, May |
Long | 12 | 279,360 | 5/15/23 | (10,566 | ) | ||||||||||||||
Coffee ‘C’, May |
Long | 1 | 77,850 | 5/18/23 | (303 | ) | ||||||||||||||
Copper, May |
Long | 2 | 169,075 | 5/26/23 | (9,017 | ) | ||||||||||||||
Corn, December |
Long | 24 | 813,000 | 12/14/22 | 22,880 | |||||||||||||||
Corn, May |
Long | 5 | 171,125 | 5/12/23 | 16,085 | |||||||||||||||
Cotton No. 2, December |
Long | 7 | 298,690 | 12/07/22 | (26,356 | ) | ||||||||||||||
Cotton No. 2, May |
Long | 3 | 123,135 | 5/08/23 | (40,029 | ) | ||||||||||||||
Gasoline Rbob, January |
Long | 1 | 93,937 | 12/30/22 | (4,148 | ) | ||||||||||||||
Gasoline Rbob, November |
Long | 8 | 796,253 | 10/31/22 | (3,232 | ) | ||||||||||||||
Gold 100 Ounce, April |
Long | 2 | 339,640 | 4/26/23 | (12,815 | ) | ||||||||||||||
Lean Hog, April |
Long | 7 | 238,840 | 4/17/23 | (25,880 | ) | ||||||||||||||
Live Cattle, April |
Long | 9 | 555,480 | 4/28/23 | (15,076 | ) | ||||||||||||||
Low Sulphur Gasoil, January |
Long | 1 | 88,725 | 1/12/23 | (877 | ) | ||||||||||||||
Low Sulphur Gasoil, November |
Long | 8 | 753,400 | 11/10/22 | 25,687 | |||||||||||||||
Natural Gas, November |
Long | 4 | 270,640 | 10/27/22 | (69,539 | ) | ||||||||||||||
NY Harbor ULSD, January |
Long | 1 | 129,087 | 12/30/22 | (2,527 | ) | ||||||||||||||
NY Harbor ULSD, November |
Long | 5 | 676,536 | 10/31/22 | 10,127 | |||||||||||||||
Silver, May |
Long | 2 | 192,920 | 5/26/23 | (6,345 | ) | ||||||||||||||
Soybean Meal, March |
Long | 4 | 158,880 | 3/14/23 | 3,638 | |||||||||||||||
Soybean Oil, December |
Long | 22 | 812,592 | 12/14/22 | (96,891 | ) | ||||||||||||||
Soybean Oil, March |
Long | 4 | 144,288 | 3/14/23 | (32,796 | ) | ||||||||||||||
Soybean, March |
Long | 3 | 207,488 | 3/14/23 | (12,996 | ) | ||||||||||||||
Soybean, November |
Long | 11 | 750,613 | 11/14/22 | (9,156 | ) | ||||||||||||||
Sugar No. 11, July |
Long | 16 | 296,397 | 6/30/23 | (10,889 | ) | ||||||||||||||
Wheat, May |
Long | 3 | 140,513 | 5/12/23 | 19,366 | |||||||||||||||
WTI Crude, January |
Long | 1 | 77,750 | 12/20/22 | (6,982 | ) | ||||||||||||||
WTI Crude, November |
Long | 9 | 715,410 | 10/20/22 | (56,751 | ) | ||||||||||||||
Cocoa, December |
Short | 84 | 1,977,360 | 12/14/22 | 13,751 | |||||||||||||||
Coffee ‘C’, December |
Short | 10 | 830,813 | 12/19/22 | (27,855 | ) | ||||||||||||||
Copper, December |
Short | 22 | 1,876,875 | 12/28/22 | 94,022 | |||||||||||||||
Gold 100 Ounce, December |
Short | 11 | 1,839,200 | 12/28/22 | 23,731 | |||||||||||||||
Lean Hog, December |
Short | 36 | 1,097,640 | 12/14/22 | 150,956 | |||||||||||||||
Live Cattle, December |
Short | 11 | 647,020 | 12/30/22 | 16,318 | |||||||||||||||
Platinum, January |
Short | 41 | 1,761,155 | 1/27/23 | 104,541 | |||||||||||||||
Silver, December |
Short | 20 | 1,903,900 | 12/28/22 | 62,777 | |||||||||||||||
Soybean Meal, December |
Short | 12 | 483,600 | 12/14/22 | (16,979 | ) | ||||||||||||||
Sugar No. 11, March |
Short | 100 | 1,980,160 | 2/28/23 | 26,325 | |||||||||||||||
Wheat, December |
Short | 23 | 1,059,725 | 12/14/22 | (161,255 | ) | ||||||||||||||
Interest rate contracts | ||||||||||||||||||||
U.S. Treasury 10 Yr. Note |
Short | 43 | 4,818,687 | 12/20/22 | 112,577 | |||||||||||||||
Index Contracts | ||||||||||||||||||||
Australian 10 Yr. Bond |
Long | 19 | 1,430,701 | 12/15/22 | (22,546 | ) | ||||||||||||||
CAC 40 10 Euro |
Long | 30 | 1,693,863 | 10/21/22 | (137,123 | ) | ||||||||||||||
EURO STOXX 50 Index |
Long | 44 | 1,428,917 | 12/16/22 | (109,642 | ) | ||||||||||||||
Euro-OAT |
Long | 37 | 4,788,959 | 12/08/22 | (216,028 | ) | ||||||||||||||
FTSE/JSE Africa Top40 Index |
Long | 23 | 739,826 | 12/15/22 | (49,116 | ) | ||||||||||||||
FTSE/MIB Index |
Long | 20 | 2,011,123 | 12/16/22 | (180,589 | ) | ||||||||||||||
Nikkei 225 Mini |
Long | 25 | 4,480,293 | 12/08/22 | (275,554 | ) | ||||||||||||||
S&P/TSX 60 Index |
Long | 37 | 6,010,262 | 12/15/22 | (378,374 | ) | ||||||||||||||
SPI 200 Index |
Long | 18 | 1,870,791 | 12/15/22 | (108,484 | ) | ||||||||||||||
Canada 10 Yr. Bond |
Short | 42 | 3,777,723 | 12/19/22 | 10,845 | |||||||||||||||
DAX Index |
Short | 3 | 891,530 | 12/16/22 | 69,758 |
160 |
Semiannual Report |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Systematic Style Premia ETF (continued)
Futures Contracts (continued) | ||||||||||||||||||||
Description | Type | Number of Contracts |
Notional Amount* |
Expiration Date |
Value/Unrealized Appreciation (Depreciation) |
|||||||||||||||
Index Contracts (continued) | ||||||||||||||||||||
Euro-BTP |
Short | 4 | $ | 438,805 | 12/08/22 | $ | 19,862 | |||||||||||||
Euro-Bund |
Short | 21 | 2,849,106 | 12/08/22 | 93,506 | |||||||||||||||
FTSE 100 Index |
Short | 24 | 1,852,477 | 12/16/22 | 111,167 | |||||||||||||||
IBEX 35 Index |
Short | 48 | 3,462,505 | 10/21/22 | 324,600 | |||||||||||||||
Long Gilt, December |
Short | 36 | 3,874,006 | 12/28/22 | 516,754 | |||||||||||||||
Mex Bolsa Index |
Short | 237 | 5,290,436 | 12/16/22 | 286,848 | |||||||||||||||
OMXS30 Index |
Short | 93 | 1,533,589 | 10/21/22 | 73,295 | |||||||||||||||
S&P 500 E-Mini |
Short | 11 | 1,980,825 | 12/16/22 | 202,734 | |||||||||||||||
SGX Nifty 50 |
Short | 153 | 5,228,928 | 10/27/22 | (13,803 | ) | ||||||||||||||
|
|
|||||||||||||||||||
Total Futures Contracts |
|
$ | 205,404 | |||||||||||||||||
|
|
*As of period end.
The following table represents the individual short positions and related values of the equity securities underlying the total return swap with Morgan Stanley Capital Services LLC as of September 30, 2022, expiration date 10/22/22:
Country | Shares | Value | ||||||||||||
Reference Entity – Short 100.00% | ||||||||||||||
Automobiles & Components 5.39% | ||||||||||||||
Aptiv PLC |
United States | (2,150 | ) | $ | (168,152 | ) | ||||||||
Cie Generale des Etablissements Michelin SCA |
France | (5,348 | ) | (121,313 | ) | |||||||||
Continental AG |
Germany | (875 | ) | (39,388 | ) | |||||||||
Denso Corp. |
Japan | (3,500 | ) | (159,253 | ) | |||||||||
Ferrari NV |
Italy | (1,034 | ) | (194,184 | ) | |||||||||
Lear Corp. |
United States | (477 | ) | (57,092 | ) | |||||||||
Lucid Group Inc., A |
United States | (3,108 | ) | (43,419 | ) | |||||||||
Magna International Inc. |
Canada | (900 | ) | (43,498 | ) | |||||||||
Nissan Motor Co. Ltd. |
Japan | (18,900 | ) | (60,090 | ) | |||||||||
Porsche Automobil Holding SE |
Germany | (1,211 | ) | (68,998 | ) | |||||||||
Tesla Inc. |
United States | (1,804 | ) | (478,511 | ) | |||||||||
Toyota Motor Corp. |
Japan | (38,300 | ) | (496,396 | ) | |||||||||
|
|
|||||||||||||
(1,930,294 | ) | |||||||||||||
|
|
|||||||||||||
Banks 2.65% | ||||||||||||||
Danske Bank A/S |
Denmark | (5,191 | ) | (64,864 | ) | |||||||||
First Citizens BancShares Inc. |
United States | (95 | ) | (75,122 | ) | |||||||||
First Republic Bank |
United States | (1,448 | ) | (189,036 | ) | |||||||||
Hang Seng Bank Ltd. |
Hong Kong | (6,200 | ) | (94,146 | ) | |||||||||
Huntington Bancshares Inc. |
United States | (11,451 | ) | (150,810 | ) | |||||||||
Skandinaviska Enskilda Banken AB, A |
Sweden | (11,907 | ) | (114,591 | ) | |||||||||
SVB Financial Group |
United States | (502 | ) | (168,562 | ) | |||||||||
Swedbank AB |
Sweden | (6,766 | ) | (89,533 | ) | |||||||||
|
|
|||||||||||||
(946,664 | ) | |||||||||||||
|
|
|||||||||||||
Capital Goods 12.49% | ||||||||||||||
Airbus SE |
France | (4,769 | ) | (415,290 | ) | |||||||||
Alfa Laval AB |
Sweden | (2,261 | ) | (56,721 | ) | |||||||||
Alstom SA |
France | (2,632 | ) | (43,176 | ) | |||||||||
Ashtead Group PLC |
United Kingdom | (3,606 | ) | (164,477 | ) | |||||||||
Assa Abloy AB, B |
Sweden | (7,941 | ) | (150,054 | ) | |||||||||
Atlas Copco AB, A |
Sweden | (20,324 | ) | (191,931 | ) | |||||||||
CAE Inc. |
Canada | (2,600 | ) | (40,891 | ) | |||||||||
Epiroc AB, A |
Sweden | (5,088 | ) | (73,426 | ) | |||||||||
Epiroc AB, B |
Sweden | (3,007 | ) | (38,206 | ) | |||||||||
Generac Holdings Inc. |
United States | (529 | ) | (94,236 | ) |
franklintempleton.com |
Semiannual Report |
161 |
FRANKLIN TEMPLETON ETF TRUST
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Systematic Style Premia ETF (continued)
Country | Shares | Value | ||||||||||||
Reference Entity – Short (continued) | ||||||||||||||
Capital Goods (continued) | ||||||||||||||
General Electric Co. |
United States | (7,289 | ) | $ | (451,262 | ) | ||||||||
HEICO Corp., A |
United States | (594 | ) | (68,084 | ) | |||||||||
Kone Oyj |
Finland | (2,733 | ) | (106,051 | ) | |||||||||
L3Harris Technologies Inc. |
United States | (1,587 | ) | (329,826 | ) | |||||||||
Melrose Industries PLC |
United Kingdom | (37,591 | ) | (42,886 | ) | |||||||||
MTU Aero Engines AG |
Germany | (427 | ) | (64,524 | ) | |||||||||
Nibe Industrier AB |
Sweden | (12,420 | ) | (112,029 | ) | |||||||||
Plug Power Inc. |
United States | (4,242 | ) | (89,252 | ) | |||||||||
Rockwell Automation Inc. |
United States | (945 | ) | (203,279 | ) | |||||||||
Rolls-Royce Holdings PLC |
United Kingdom | (68,839 | ) | (53,476 | ) | |||||||||
Safran SA |
France | (2,799 | ) | (257,779 | ) | |||||||||
Sandvik AB |
Sweden | (8,823 | ) | (121,284 | ) | |||||||||
Schindler Holding AG |
Switzerland | (332 | ) | (52,165 | ) | |||||||||
Siemens Energy AG |
Germany | (3,475 | ) | (38,758 | ) | |||||||||
SKF AB, B |
Sweden | (2,939 | ) | (39,791 | ) | |||||||||
Smiths Group PLC |
United Kingdom | (3,003 | ) | (50,619 | ) | |||||||||
Stanley Black & Decker Inc. |
United States | (1,205 | ) | (90,628 | ) | |||||||||
The Boeing Co. |
United States | (3,459 | ) | (418,816 | ) | |||||||||
TransDigm Group Inc. |
United States | (419 | ) | (219,900 | ) | |||||||||
Vestas Wind Systems A/S |
Denmark | (8,597 | ) | (160,412 | ) | |||||||||
Vinci SA |
France | (2,817 | ) | (229,522 | ) | |||||||||
|
|
|||||||||||||
(4,468,751 | ) | |||||||||||||
|
|
|||||||||||||
Commercial & Professional Services 0.81% | ||||||||||||||
Equifax Inc. |
United States | (994 | ) | (170,402 | ) | |||||||||
Gfl Environmental Inc. |
Canada | (1,500 | ) | (38,459 | ) | |||||||||
Rentokil Initial PLC |
United Kingdom | (15,463 | ) | (82,423 | ) | |||||||||
|
|
|||||||||||||
(291,284 | ) | |||||||||||||
|
|
|||||||||||||
Consumer Durables & Apparel 0.85% | ||||||||||||||
Adidas AG |
Germany | (1,382 | ) | (160,949 | ) | |||||||||
Newell Brands Inc. |
United States | (3,211 | ) | (44,601 | ) | |||||||||
Persimmon PLC |
United Kingdom | (2,603 | ) | (35,958 | ) | |||||||||
Whirlpool Corp. |
United States | (460 | ) | (62,013 | ) | |||||||||
|
|
|||||||||||||
(303,521 | ) | |||||||||||||
|
|
|||||||||||||
Consumer Services 2.51% | ||||||||||||||
Caesars Entertainment Inc. |
United States | (1,700 | ) | (55,114 | ) | |||||||||
Carnival Corp. |
United States | (7,889 | ) | (55,460 | ) | |||||||||
Darden Restaurants Inc. |
United States | (1,000 | ) | (126,320 | ) | |||||||||
Evolution AB |
Sweden | (1,454 | ) | (116,189 | ) | |||||||||
Flutter Entertainment PLC |
Ireland | (1,336 | ) | (147,896 | ) | |||||||||
Las Vegas Sands Corp. |
United States | (2,771 | ) | (103,968 | ) | |||||||||
MGM Resorts International |
United States | (2,712 | ) | (80,601 | ) | |||||||||
Royal Caribbean Cruises Ltd. |
United States | (1,846 | ) | (69,963 | ) | |||||||||
Sands China Ltd. |
Macau | (19,200 | ) | (48,184 | ) | |||||||||
Whitbread PLC |
United Kingdom | (1,576 | ) | (40,499 | ) | |||||||||
Wynn Resorts Ltd. |
United States | (877 | ) | (55,277 | ) | |||||||||
|
|
|||||||||||||
(899,471 | ) | |||||||||||||
|
|
|||||||||||||
Diversified Financials 5.55% | ||||||||||||||
Annaly Capital Management Inc. |
United States | (3,215 | ) | (55,169 | ) | |||||||||
Apollo Global Management Inc. |
United States | (3,244 | ) | (150,846 | ) | |||||||||
Coinebase Global Inc. |
United States | (975 | ) | (60,392 | ) | |||||||||
Credit Suisse Group AG |
Switzerland | (21,810 | ) | (88,104 | ) | |||||||||
EQT AB |
Sweden | (2,458 | ) | (48,529 | ) | |||||||||
Euronext NV |
Netherlands | (690 | ) | (44,005 | ) | |||||||||
Groupe Bruxelles Lambert SA |
Belgium | (821 | ) | (57,813 | ) |
162 |
Semiannual Report |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Systematic Style Premia ETF (continued)
Country | Shares | Value | ||||||||||||
Reference Entity – Short (continued) | ||||||||||||||
Diversified Financials (continued) | ||||||||||||||
Hong Kong Exchanges & Clearing Ltd. |
Hong Kong | (9,900 | ) | $ | (340,009 | ) | ||||||||
Investor AB, B |
Sweden | (14,932 | ) | (220,102 | ) | |||||||||
Japan Exchange Group Inc. |
Japan | (4,200 | ) | (56,655 | ) | |||||||||
M&G PLC |
United Kingdom | (21,556 | ) | (40,077 | ) | |||||||||
MarketAxess Holdings Inc. |
United States | (312 | ) | (70,075 | ) | |||||||||
S&P Global Inc. |
United States | (1,478 | ) | (451,307 | ) | |||||||||
St James’s Place PLC |
United Kingdom | (4,526 | ) | (52,343 | ) | |||||||||
T Rowe Price Group Inc. |
United States | (1,852 | ) | (198,886 | ) | |||||||||
Tradeweb Markets Inc. |
United States | (880 | ) | (50,758 | ) | |||||||||
|
|
|||||||||||||
(1,985,070 | ) | |||||||||||||
|
|
|||||||||||||
Energy 6.14% | ||||||||||||||
Baker Hughes Co. |
United States | (7,989 | ) | (167,449 | ) | |||||||||
Cameco Corp. |
Canada | (3,300 | ) | (88,573 | ) | |||||||||
Enbridge Inc. |
Canada | (12,900 | ) | (485,188 | ) | |||||||||
Hess Corp. |
United States | (2,212 | ) | (241,086 | ) | |||||||||
Keyera Corp. |
Canada | (1,700 | ) | (35,149 | ) | |||||||||
Kinder Morgan Inc. |
United States | (16,314 | ) | (271,465 | ) | |||||||||
ONEOK Inc. |
United States | (3,575 | ) | (183,183 | ) | |||||||||
Santos Ltd. |
Australia | (26,643 | ) | (121,453 | ) | |||||||||
TC Energy Corp. |
Canada | (8,000 | ) | (328,780 | ) | |||||||||
Williams Cos Inc. |
United States | (9,642 | ) | (276,050 | ) | |||||||||
|
|
|||||||||||||
(2,198,376 | ) | |||||||||||||
|
|
|||||||||||||
Food & Staples Retailing 0.28% | ||||||||||||||
Aeon Co. Ltd. |
Japan | (5,400 | ) | (100,859 | ) | |||||||||
|
|
|||||||||||||
Food, Beverage & Tobacco 1.50% | ||||||||||||||
Danone SA |
France | (5,066 | ) | (241,048 | ) | |||||||||
Hormel Foods Corp. |
United States | (2,441 | ) | (110,919 | ) | |||||||||
McCormick & Co Inc. |
United States | (2,009 | ) | (143,181 | ) | |||||||||
Orkla ASA |
Norway | (5,967 | ) | (43,368 | ) | |||||||||
|
|
|||||||||||||
(538,516 | ) | |||||||||||||
|
|
|||||||||||||
Health Care Equipment & Services 6.01% | ||||||||||||||
Baxter International Inc. |
United States | (4,103 | ) | (220,988 | ) | |||||||||
DaVita Inc. |
United States | (451 | ) | (37,329 | ) | |||||||||
DENTSPLY SIRONA Inc. |
United States | (1,752 | ) | (51,071 | ) | |||||||||
Dexcom Inc. |
United States | (3,167 | ) | (260,011 | ) | |||||||||
Fisher & Paykel Healthcare Corp. Ltd. |
New Zealand | (4,712 | ) | (49,309 | ) | |||||||||
Fresenius Medical Care AG & Co. KGaA |
Germany | (1,620 | ) | (46,071 | ) | |||||||||
Fresenius SE & Co. |
Germany | (3,324 | ) | (71,477 | ) | |||||||||
Insulet Corp. |
United States | (570 | ) | (131,773 | ) | |||||||||
Intuitive Surgical Inc. |
United States | (2,473 | ) | (467,545 | ) | |||||||||
Masimo Corp. |
United States | (430 | ) | (61,241 | ) | |||||||||
Medtronic PLC |
United States | (6,000 | ) | (484,500 | ) | |||||||||
Novocure Ltd. |
United States | (764 | ) | (58,049 | ) | |||||||||
Ramsay Health Care Ltd. |
Australia | (1,686 | ) | (62,092 | ) | |||||||||
Sysmex Corp. |
Japan | (1,300 | ) | (69,767 | ) | |||||||||
Teladoc Health Inc. |
United States | (1,290 | ) | (32,701 | ) | |||||||||
Universal Health Services Inc. |
United States | (533 | ) | (47,000 | ) | |||||||||
|
|
|||||||||||||
(2,150,924 | ) | |||||||||||||
|
|
|||||||||||||
Household & Personal Products 1.78% | ||||||||||||||
Clorox Co. |
United States | (1,008 | ) | (129,417 | ) | |||||||||
Essity AB, B |
Sweden | (4,888 | ) | (97,253 | ) | |||||||||
Henkel AG & Co. |
Germany | (1,430 | ) | (85,483 | ) | |||||||||
Kimberly-Clark Corp. |
United States | (1,892 | ) | (212,926 | ) |
franklintempleton.com |
Semiannual Report |
163 |
FRANKLIN TEMPLETON ETF TRUST
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Systematic Style Premia ETF (continued)
Country | Shares | Value | ||||||||||||
Reference Entity – Short (continued) | ||||||||||||||
Household & Personal Products (continued) | ||||||||||||||
Shiseido Co. Ltd. |
Japan | (3,200 | ) | $ | (111,777 | ) | ||||||||
|
|
|||||||||||||
(636,856 | ) | |||||||||||||
|
|
|||||||||||||
Insurance 3.19% | ||||||||||||||
AIA Group Ltd. |
Hong Kong | (58,600 | ) | (488,588 | ) | |||||||||
Cincinnati Financial Corp. |
United States | (1,223 | ) | (109,544 | ) | |||||||||
Insurance Australia Group Ltd. |
Australia | (20,273 | ) | (59,959 | ) | |||||||||
Lincoln National Corp. |
United States | (1,314 | ) | (57,698 | ) | |||||||||
Markel Corp. |
United States | (112 | ) | (121,433 | ) | |||||||||
Phoenix Group Holdings PLC |
United Kingdom | (6,196 | ) | (36,436 | ) | |||||||||
Prudential PLC |
Hong Kong | (22,619 | ) | (225,681 | ) | |||||||||
T&D Holdings Inc. |
Japan | (4,500 | ) | (42,499 | ) | |||||||||
|
|
|||||||||||||
(1,141,838 | ) | |||||||||||||
|
|
|||||||||||||
Materials 7.92% | ||||||||||||||
Agnico Eagle Mines Ltd. |
Canada | (3,700 | ) | (152,815 | ) | |||||||||
Air Products and Chemicals Inc. |
United States | (1,770 | ) | (411,932 | ) | |||||||||
Akzo Nobel NV |
Netherlands | (1,505 | ) | (85,985 | ) | |||||||||
Antofagasta PLC |
United Kingdom | (3,199 | ) | (39,835 | ) | |||||||||
Ball Corp. |
United States | (2,558 | ) | (123,602 | ) | |||||||||
Chr. Hansen Holding A/S |
Denmark | (893 | ) | (44,098 | ) | |||||||||
Covestro AG |
Germany | (1,556 | ) | (45,029 | ) | |||||||||
Croda International PLC |
United Kingdom | (1,153 | ) | (82,966 | ) | |||||||||
DuPont de Nemours Inc. |
United States | (4,080 | ) | (205,632 | ) | |||||||||
Ecolab Inc. |
United States | (2,076 | ) | (299,816 | ) | |||||||||
Givaudan SA |
Switzerland | (78 | ) | (237,982 | ) | |||||||||
International Flavors & Fragrances Inc. |
United States | (2,039 | ) | (185,202 | ) | |||||||||
Newcrest Mining Ltd. |
Australia | (7,347 | ) | (79,926 | ) | |||||||||
Northern Star Resources Ltd. |
Australia | (9,264 | ) | (46,638 | ) | |||||||||
PPG Industries Inc. |
United States | (1,881 | ) | (208,208 | ) | |||||||||
Svenska Cellulosa AB SCA |
Sweden | (4,810 | ) | (61,547 | ) | |||||||||
The Sherwin-Williams Co. |
United States | (2,001 | ) | (409,705 | ) | |||||||||
Wheaton Precious Metals Corp. |
Canada | (3,600 | ) | (113,865 | ) | |||||||||
|
|
|||||||||||||
(2,834,783 | ) | |||||||||||||
|
|
|||||||||||||
Media & Entertainment 7.30% | ||||||||||||||
Cable One Inc. |
United States | (45 | ) | (38,387 | ) | |||||||||
Charter Communications Inc. Com Usd.001 Cl A |
United States | (960 | ) | (291,216 | ) | |||||||||
IAC Inc. |
United States | (646 | ) | (35,775 | ) | |||||||||
Informa PLC |
United Kingdom | (11,370 | ) | (65,899 | ) | |||||||||
Liberty Broadband Corp. |
United States | (1,065 | ) | (81,174 | ) | |||||||||
Match Group Inc. |
United States | (2,155 | ) | (102,901 | ) | |||||||||
Netflix Inc, |
United States | (2,321 | ) | (546,456 | ) | |||||||||
News Corp., A |
United States | (3,153 | ) | (47,453 | ) | |||||||||
Paramount Global, B |
United States | (4,855 | ) | (92,002 | ) | |||||||||
Pinterest Inc., A |
United States | (4,675 | ) | (108,927 | ) | |||||||||
ROBLOX Corp. |
United States | (2,817 | ) | (100,961 | ) | |||||||||
Roku Inc. |
United States | (974 | ) | (54,934 | ) | |||||||||
Sea Ltd. ADR |
Singapore | (2,800 | ) | (156,940 | ) | |||||||||
Snap Inc. |
United States | (9,046 | ) | (88,832 | ) | |||||||||
Take-Two Interactive Software Inc. |
United States | (1,309 | ) | (142,131 | ) | |||||||||
The Walt Disney Co. |
United States | (4,717 | ) | (444,955 | ) | |||||||||
Warner Bros Discovery Inc. |
United States | (18,466 | ) | (215,314 | ) | |||||||||
|
|
|||||||||||||
(2,614,257 | ) | |||||||||||||
|
|
|||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences 4.04% | ||||||||||||||
BioMarin Pharmaceutical Inc. |
United States | (1,559 | ) | (132,608 | ) | |||||||||
Catalent Inc. |
United States | (1,392 | ) | (100,725 | ) |
164 |
Semiannual Report |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Systematic Style Premia ETF (continued)
Country | Shares | Value | ||||||||||||
Reference Entity – Short (continued) | ||||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences (continued) | ||||||||||||||
Chugai Pharmaceutical Co. Ltd. |
Japan | (5,600 | ) | $ | (140,285 | ) | ||||||||
Eisai Co. Ltd. |
Japan | (2,000 | ) | (107,071 | ) | |||||||||
Elanco Animal Health Inc. |
United States | (3,319 | ) | (41,189 | ) | |||||||||
Exact Sciences Corp. |
United States | (1,406 | ) | (45,681 | ) | |||||||||
Illumina Inc. |
United States | (1,272 | ) | (242,685 | ) | |||||||||
Sartorius Stedim Biotech |
France | (233 | ) | (72,381 | ) | |||||||||
UCB SA |
Belgium | (1,037 | ) | (72,251 | ) | |||||||||
Zoetis Inc. |
United States | (3,300 | ) | (489,357 | ) | |||||||||
|
|
|||||||||||||
(1,444,233 | ) | |||||||||||||
|
|
|||||||||||||
Real Estate 4.30% | ||||||||||||||
Alexandria Real Estate Equities Inc. |
United States | (1,243 | ) | (174,256 | ) | |||||||||
Boston Properties Inc. REIT |
United States | (1,198 | ) | (89,814 | ) | |||||||||
Digital Realty Trust Inc. |
United States | (2,287 | ) | (226,825 | ) | |||||||||
Equinix Inc. |
United States | (736 | ) | (418,666 | ) | |||||||||
ESR Group Ltd. |
China | (17,000 | ) | (42,880 | ) | |||||||||
FirstService Corp. |
Canada | (300 | ) | (35,307 | ) | |||||||||
Healthpeak Properties Inc. |
United States | (4,386 | ) | (100,527 | ) | |||||||||
Nippon Prologis REIT Inc. |
Japan | (17 | ) | (37,172 | ) | |||||||||
SBA Communications Corp. REIT |
United States | (876 | ) | (247,268 | ) | |||||||||
Vonovia SE |
Germany | (5,741 | ) | (124,913 | ) | |||||||||
Zillow Group Inc., C |
United States | (1,352 | ) | (39,492 | ) | |||||||||
|
|
|||||||||||||
(1,537,120 | ) | |||||||||||||
|
|
|||||||||||||
Retailing 3.40% | ||||||||||||||
Burlington Stores Inc. |
United States | (528 | ) | (59,078 | ) | |||||||||
CarMax Inc. |
United States | (1,310 | ) | (86,486 | ) | |||||||||
Delivery Hero SE |
South Korea | (1,314 | ) | (48,839 | ) | |||||||||
Doordash Inc. |
United States | (1,538 | ) | (76,054 | ) | |||||||||
H & M AB, B |
Sweden | (5,715 | ) | (53,280 | ) | |||||||||
Nitori Holdings Co. Ltd. |
Japan | (700 | ) | (58,952 | ) | |||||||||
Prosus NV |
China | (6,277 | ) | (331,876 | ) | |||||||||
Target Corp. |
United States | (3,158 | ) | (468,615 | ) | |||||||||
Zalando SE |
Germany | (1,740 | ) | (34,484 | ) | |||||||||
|
|
|||||||||||||
(1,217,664 | ) | |||||||||||||
|
|
|||||||||||||
Semiconductors & Semiconductor Equipment 5.19% | ||||||||||||||
Advanced Micro Devices Inc. |
United States | (6,487 | ) | (416,076 | ) | |||||||||
ASM International NV |
Netherlands | (395 | ) | (90,452 | ) | |||||||||
Lam Research Corp. |
United States | (1,143 | ) | (418,338 | ) | |||||||||
Lasertec Corp. |
Japan | (700 | ) | (71,067 | ) | |||||||||
Marvell Technology Inc. |
United States | (6,883 | ) | (295,350 | ) | |||||||||
NVIDIA Corp. |
United States | (3,786 | ) | (462,649 | ) | |||||||||
SolarEdge Technologies Inc. |
United States | (448 | ) | (103,694 | ) | |||||||||
|
|
|||||||||||||
(1,857,626 | ) | |||||||||||||
|
|
|||||||||||||
Software & Services 11.69% | ||||||||||||||
Adyen NV |
Netherlands | (189 | ) | (241,033 | ) | |||||||||
Amadeus IT Group SA |
Spain | (3,632 | ) | (170,468 | ) | |||||||||
Avalara Inc. |
United States | (712 | ) | (65,362 | ) | |||||||||
Bill.com Holdings Inc. |
United States | (746 | ) | (98,748 | ) | |||||||||
Cloudflare Inc., A |
United States | (2,037 | ) | (112,666 | ) | |||||||||
Coupa Software Inc. |
United States | (586 | ) | (34,457 | ) | |||||||||
DocuSign Inc. |
United States | (1,595 | ) | (85,285 | ) | |||||||||
Fidelity National Information Services Inc. |
United States | (4,913 | ) | (371,275 | ) | |||||||||
Fiserv Inc. |
United States | (4,905 | ) | (465,239 | ) | |||||||||
Guidewire Software Inc. |
United States | (638 | ) | (39,288 | ) | |||||||||
MongoDB Inc. |
United States | (537 | ) | (106,627 | ) |
franklintempleton.com |
Semiannual Report |
165 |
FRANKLIN TEMPLETON ETF TRUST
CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Systematic Style Premia ETF (continued)
Country | Shares | Value | ||||||||||||
Reference Entity – Short (continued) | ||||||||||||||
Software & Services (continued) | ||||||||||||||
Okta Inc., A |
United States | (1,231 | ) | $ | (70,007 | ) | ||||||||
Palantir Technologies Inc. |
United States | (13,167 | ) | (107,048 | ) | |||||||||
PayPal Holdings Inc. |
United States | (5,622 | ) | (498,671 | ) | |||||||||
Shopify Inc., A |
Canada | (9,300 | ) | (248,262 | ) | |||||||||
Snowflake Inc. |
United States | (1,756 | ) | (298,450 | ) | |||||||||
Splunk Inc. |
United States | (1,224 | ) | (92,045 | ) | |||||||||
Square Inc., A |
United States | (4,190 | ) | (230,408 | ) | |||||||||
Twilio Inc., A |
United States | (1,341 | ) | (92,717 | ) | |||||||||
Unity Software Inc. |
United States | (1,537 | ) | (48,969 | ) | |||||||||
Workday Inc., A |
United States | (1,630 | ) | (254,704 | ) | |||||||||
Worldline SA |
France | (2,025 | ) | (80,701 | ) | |||||||||
Xero Ltd. |
New Zealand | (1,081 | ) | (51,091 | ) | |||||||||
Zendesk Inc. |
United States | (998 | ) | (75,948 | ) | |||||||||
Zoom Video Communications Inc., A |
United States | (1,821 | ) | (134,007 | ) | |||||||||
Zscaler Inc. |
United States | (672 | ) | (111,478 | ) | |||||||||
|
|
|||||||||||||
(4,184,954 | ) | |||||||||||||
|
|
|||||||||||||
Technology Hardware & Equipment 1.56% | ||||||||||||||
Cognex Corp. |
United States | (1,412 | ) | (58,527 | ) | |||||||||
Hexagon AB |
Sweden | (16,057 | ) | (151,491 | ) | |||||||||
Logitech International SA |
Switzerland | (1,411 | ) | (65,873 | ) | |||||||||
NetApp Inc. |
United States | (1,797 | ) | (111,144 | ) | |||||||||
Seagate Technology Holdings PLC |
United States | (1,600 | ) | (87,008 | ) | |||||||||
Western Digital Corp. |
United States | (2,594 | ) | (83,475 | ) | |||||||||
|
|
|||||||||||||
(557,518 | ) | |||||||||||||
|
|
|||||||||||||
Telecommunication Services 1.47% | ||||||||||||||
Cellnex Telecom SA |
Spain | (4,612 | ) | (143,632 | ) | |||||||||
SoftBank Group Corp. |
Japan | (9,700 | ) | (328,370 | ) | |||||||||
Telenor ASA |
Norway | (5,816 | ) | (53,190 | ) | |||||||||
|
|
|||||||||||||
(525,192 | ) | |||||||||||||
|
|
|||||||||||||
Transportation 2.09% | ||||||||||||||
Central Japan Railway Co. |
Japan | (1,100 | ) | (128,699 | ) | |||||||||
East Japan Railway Co. |
Japan | (2,300 | ) | (117,920 | ) | |||||||||
Kuehne + Nagel International AG |
Switzerland | (443 | ) | (90,918 | ) | |||||||||
Lyft Inc., A |
United States | (2,488 | ) | (32,767 | ) | |||||||||
Uber Technologies Inc. |
United States | (11,783 | ) | (312,249 | ) | |||||||||
West Japan Railway Co. |
Japan | (1,700 | ) | (65,066 | ) | |||||||||
|
|
|||||||||||||
(747,619 | ) | |||||||||||||
|
|
|||||||||||||
Utilities 1.89% | ||||||||||||||
AES Corp/The |
United States | (5,393 | ) | (121,882 | ) | |||||||||
CLP Holdings Ltd. |
Hong Kong | (13,000 | ) | (98,288 | ) | |||||||||
Hong Kong & China Gas Co. Ltd. |
Hong Kong | (91,000 | ) | (80,220 | ) | |||||||||
PPL Corp. |
United States | (5,959 | ) | (151,061 | ) | |||||||||
Public Service Enterprise Group Inc. |
United States | (4,015 | ) | (225,763 | ) | |||||||||
|
|
|||||||||||||
(677,214 | ) | |||||||||||||
|
|
|||||||||||||
Total Value of Reference Entity — Morgan Stanley Capital Services LLC |
$ | (35,790,604 | ) | |||||||||||
|
|
See Note 11 regarding other derivative information.
See Abbreviations on page 223.
166 |
Semiannual Report | The accompanying notes are an integral part of these financial statements. |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
Financial Highlights
Franklin U.S. Core Bond ETFa
Six Months Ended September 30, 2022 (unaudited) |
Year Ended March 31, | |||||||||||||||
2022 | 2021 | 2020b | ||||||||||||||
Per share operating performance (for a share outstanding throughout the period) |
||||||||||||||||
Net asset value, beginning of period |
$ | 23.43 | $ | 25.14 | $ | 25.44 | $ | 25.00 | ||||||||
|
|
|||||||||||||||
Income from investment operationsc: | ||||||||||||||||
Net investment incomed |
0.25 | 0.45 | 0.51 | 0.29 | ||||||||||||
Net realized and unrealized gains (losses) |
(2.43 | ) | (1.61 | ) | 0.03 | 0.49 | ||||||||||
|
|
|||||||||||||||
Total from investment operations |
(2.18 | ) | (1.61 | ) | 0.54 | 0.78 | ||||||||||
|
|
|||||||||||||||
Less distributions from: Net investment income |
(0.28 | ) | (0.50 | ) | (0.65 | ) | (0.31 | ) | ||||||||
Net realized gains |
— | (0.05 | ) | (0.19 | ) | (0.03 | ) | |||||||||
|
|
|||||||||||||||
Total Distributions |
(0.28 | ) | (0.55 | ) | (0.84 | ) | (0.34 | ) | ||||||||
|
|
|||||||||||||||
Net asset value, end of period |
$ | 20.97 | $ | 23.43 | $ | 25.14 | $ | 25.44 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total returne |
(9.38)% | (4.72)% | 2.07% | 3.12% | ||||||||||||
Ratios to average net assetsf | ||||||||||||||||
Expenses before waiver and payments by affiliates |
0.15% | 0.16% | 0.17% | 0.19% | ||||||||||||
Expenses net of waiver and payments by affiliates |
0.14% | 0.15% | 0.15% | 0.15% | ||||||||||||
Net investment income |
2.23% | 1.80% | 1.95% | 2.14% | ||||||||||||
Supplemental data | ||||||||||||||||
Net assets, end of period (000’s) |
$1,447,067 | $1,509,961 | $1,460,597 | $853,532 | ||||||||||||
Portfolio turnover rateg |
35.72% | h | 69.88% | h | 90.99% | h | 126.68% | h |
aEffective August 1, 2022, Formerly, Franklin Liberty U.S. Core Bond ETF was renamed Franklin U.S. Core Bond ETF.
bFor the period September 17, 2019 (commencement of operations) to March 31, 2020.
cThe 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 and/or fluctuating fair value of the investments of the Fund.
dBased on average daily shares outstanding.
eTotal 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.
fRatios are annualized for periods less than one year.
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”).
gPortfolio turnover rate excluding cash creations was as follows: | 35.72% | 69.88% | 90.99% | 126.68% |
franklintempleton.com |
The accompanying notes are an integral part of these financial statements. | Semiannual Report |
167 |
FRANKLIN TEMPLETON ETF TRUST
Schedule of Investments, September 30, 2022 (unaudited)
Franklin U.S. Core Bond ETF
Country | Principal Amount* | Value | ||||||||||||
Corporate Bonds & Notes 21.6% | ||||||||||||||
Aerospace & Defense 0.2% | ||||||||||||||
The Boeing Co., Sr. Unsecured note, 3.50%, 3/01/39 |
United States | 5,000,000 | $ | 3,347,253 | ||||||||||
|
|
|||||||||||||
Agriculture 0.7% | ||||||||||||||
Altria Group Inc., 3.40%, 5/06/30 |
United States | 5,000,000 | 4,055,014 | |||||||||||
a |
Imperial Brands Finance PLC, 144A, 3.50%, 7/26/26 |
United Kingdom | 6,000,000 | 5,421,888 | ||||||||||
|
|
|||||||||||||
9,476,902 | ||||||||||||||
|
|
|||||||||||||
Airlines 0.9% | ||||||||||||||
American
Airlines 2016-3 Class A Pass
Through Trust, |
United States | 4,406,313 | 3,435,001 | |||||||||||
a |
Delta
Air Lines Inc./SkyMiles IP Ltd., first lien, 144A, 4.50%, |
United States | 7,700,000 | 7,478,668 | ||||||||||
United
Airlines 2019-2 Class A Pass
Through Trust, Series A, |
United States | 904,484 | 730,036 | |||||||||||
United Airlines 2020-1 Class A Pass Through Trust, Series 20-1, 5.875%, 4/15/29 |
United States | 81,861 | 79,088 | |||||||||||
United Airlines 2020-1 Class B Pass Through Trust, 2020-1 Class B, 4.875%, 7/15/27 |
United States | 1,910,400 | 1,786,798 | |||||||||||
|
|
|||||||||||||
13,509,591 | ||||||||||||||
|
|
|||||||||||||
Banks 6.1% | ||||||||||||||
a |
Banco de Chile, Sr. Unsecured , 144A, 2.99%, 12/09/31 |
Chile | 1,200,000 | 933,437 | ||||||||||
Bank of America Corp., |
||||||||||||||
Sr. Unsecured, 1.922%, 10/24/31 |
United States | 1,500,000 | 1,111,728 | |||||||||||
Sr. Unsecured note, 2.592% to 4/29/30, FRN thereafter, 4/29/31 |
United States | 3,000,000 | 2,382,194 | |||||||||||
Sr. Unsecured note, 3.864% to 7/23/23, FRN thereafter, 7/23/24 |
United States | 5,100,000 | 5,032,292 | |||||||||||
a |
BNP Paribas SA, Sr. Unsecured, 144A, 2.819%, 11/19/25 |
France | 2,200,000 | 2,051,497 | ||||||||||
a |
BPCE
SA, Sr. Unsecured, 144A, 2.045% to 10/19/26, FRN |
France | 3,700,000 | 3,119,787 | ||||||||||
Citigroup Inc., |
||||||||||||||
3.057% to 1/25/32, FRN thereafter, 1/25/33 |
United States | 1,800,000 | 1,419,576 | |||||||||||
Sr. Unsecured, 4.044% to 6/01/23, FRN thereafter, 6/01/24 |
United States | 5,100,000 | 5,061,166 | |||||||||||
sub. bond, 4.45%, 9/29/27 |
United States | 1,500,000 | 1,390,861 | |||||||||||
subordinate, 4.125%, 7/25/28 |
United States | 2,300,000 | 2,078,901 | |||||||||||
Deutsche Bank AG, Sr. Unsecured, 5.371%, 9/09/27 |
Germany | 3,700,000 | 3,575,828 | |||||||||||
Goldman Sachs Group Inc., |
||||||||||||||
3.691%, 6/05/28 |
United States | 2,500,000 | 2,263,629 | |||||||||||
Sr. Unsecured, 1.948%, 10/21/27 |
United States | 5,200,000 | 4,453,416 | |||||||||||
HSBC Holdings PLC, |
||||||||||||||
senior note, 2.013% to 9/22/27, FRN thereafter, 9/22/28 |
United Kingdom | 4,100,000 | 3,282,849 | |||||||||||
senior note, 2.357% to 8/18/30, FRN thereafter, 8/18/31 |
United Kingdom | 1,300,000 | 957,254 | |||||||||||
senior note, 0.976% to 5/24/24, FRN thereafter, 5/24/25 |
United Kingdom | 4,800,000 | 4,413,437 | |||||||||||
JPMorgan Chase & Co., |
||||||||||||||
subordinated, 2.956% to 5/13/30, FRN thereafter, 5/13/31 |
United States | 5,000,000 | 3,967,147 | |||||||||||
senior bond, 2.522% to 4/22/30, FRN thereafter, 4/22/31 |
United States | 2,000,000 | 1,583,595 | |||||||||||
Sr. Unsecured, 1.953% to 2/04/31, FRN thereafter, 2/04/32 |
United States | 2,000,000 | 1,482,240 | |||||||||||
KeyBank NA, 4.15%, 8/08/25 |
United States | 2,500,000 | 2,425,236 | |||||||||||
Mitsubishi UFJ Financial Group Inc., Sr. Unsecured, 5.063%, 9/12/25 |
Japan | 4,500,000 | 4,454,489 | |||||||||||
Morgan Stanley, |
||||||||||||||
3.622% to 4/01/30, FRN thereafter, 4/01/31 |
United States | 4,300,000 | 3,720,584 | |||||||||||
3.95%, 4/23/27 |
United States | 3,600,000 | 3,350,728 | |||||||||||
a |
Nordea Bank Abp, Sr. Unsecured, 144A, 4.75%, 9/22/25 |
Finland | 2,200,000 | 2,165,761 | ||||||||||
Santander UK Group Holdings PLC, 1.673% to 6/14/26, FRN thereafter, 6/14/27 |
United Kingdom | 3,200,000 | 2,663,986 | |||||||||||
a |
Societe Generale SA, Sr. Unsecured, 144A, 1.792%, 6/09/27 |
France | 4,300,000 | 3,584,198 |
168 |
Semiannual Report |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin U.S. Core Bond ETF (continued)
Country | Principal Amount* | Value | ||||||||||||
Corporate Bonds & Notes (continued) | ||||||||||||||
Banks (continued) | ||||||||||||||
Toronto-Dominion Bank, Sr. Unsecured, MTN, 4.693%, 9/15/27 |
Canada | 4,700,000 | $ | 4,548,5 42 | ||||||||||
Truist Bank, sub. Bond, 2.25%, 3/11/30 |
United States | 4,300,000 | 3,376,619 | |||||||||||
Wells
Fargo & Co., |
United States | 7,700,000 | 6,336,552 | |||||||||||
4.54%, 8/15/26 |
United States | 1,600,000 | 1,548,746 | |||||||||||
|
|
|||||||||||||
88,736,275 | ||||||||||||||
|
|
|||||||||||||
Beverages 0.6% | ||||||||||||||
Anheuser-Busch InBev Worldwide Inc., senior bond, 3.50%, 6/01/30 |
United States | 3,900,000 | 3,487,524 | |||||||||||
PepsiCo Inc., Sr. Unsecured, 3.90%, 7/18/32 |
United States | 6,000,000 | 5,554,873 | |||||||||||
|
|
|||||||||||||
9,042,397 | ||||||||||||||
|
|
|||||||||||||
Biotechnology 0.3% | ||||||||||||||
Bio-Rad Laboratories Inc., 3.30%, 3/15/27 |
United States | 500,000 | 454,523 | |||||||||||
Royalty Pharma PLC, 2.20%, 9/02/30 |
United Kingdom | 5,000,000 | 3,816,063 | |||||||||||
|
|
|||||||||||||
4,270,586 | ||||||||||||||
|
|
|||||||||||||
Building Products 0.3% | ||||||||||||||
NVR Inc., Sr. Unsecured, 3.00%, 5/15/30 |
United States | 4,500,000 | 3,680,494 | |||||||||||
|
|
|||||||||||||
Chemicals 0.3% | ||||||||||||||
a |
International
Flavors & Fragrances Inc., Sr. Unsecured, 144A, |
United States | 6,500,000 | 4,997,383 | ||||||||||
|
|
|||||||||||||
Commercial Services & Supplies 0.6% | ||||||||||||||
Boardwalk Pipelines LP, senior note, 4.80%, 5/03/29 |
United States | 3,950,000 | 3,633,757 | |||||||||||
Rockefeller University, Series 2020, Unsecured, 3.75%, 7/01/51 |
United States | 7,000,000 | 5,615,011 | |||||||||||
|
|
|||||||||||||
9,248,768 | ||||||||||||||
|
|
|||||||||||||
Diversified Financial Services 0.4% | ||||||||||||||
AerCap
Ireland Capital DAC / AerCap Global Aviation Trust, |
Ireland | 3,500,000 | 2,544,469 | |||||||||||
Capital One Financial Corp., Sr. Unsecured, 4.985% to 7/24/25, FRN thereafter, 7/24/26 |
United States | 4,000,000 | 3,912,750 | |||||||||||
|
|
|||||||||||||
6,457,219 | ||||||||||||||
|
|
|||||||||||||
Diversified Telecommunication Services 1.0% | ||||||||||||||
America Movil SAB de CV, Sr. Unsecured note, 2.875%, 5/07/30 |
Mexico | 3,800,000 | 3,197,039 | |||||||||||
Orange SA, senior bond, 9.00%, 3/01/31 |
France | 4,300,000 | 5,162,876 | |||||||||||
Verizon Communications Inc., |
||||||||||||||
Sr. Unsecured note, 1.75%, 1/20/31 |
United States | 5,000,000 | 3,757,995 | |||||||||||
Sr. Unsecured note, 2.85%, 9/03/41 |
United States | 3,900,000 | 2,611,278 | |||||||||||
|
|
|||||||||||||
14,729,188 | ||||||||||||||
|
|
|||||||||||||
Electric Utilities 1.9% | ||||||||||||||
Baltimore Gas and Electric Co., senior bond, 3.50%, 8/15/46 |
United States | 1,400,000 | 1,034,660 | |||||||||||
a |
Comision Federal de Electricidad, 144A, 3.348%, 2/09/31 |
Mexico | 3,800,000 | 2,728,362 | ||||||||||
Duke Energy Corp., senior bond, 3.75%, 9/01/46 |
United States | 5,000,000 | 3,554,127 | |||||||||||
a |
EDP Finance BV, senior note, 144A, 1.71%, 1/24/28 |
Netherlands | 4,500,000 | 3,653,591 | ||||||||||
Enel
Finance International NV, |
Netherlands | 2,700,000 | 2,331,759 | |||||||||||
a 144A, 2.25%, 7/12/31 |
Italy | 3,500,000 | 2,434,508 | |||||||||||
Exelon Corp., senior bond, 4.05%, 4/15/30 |
United States | 3,000,000 | 2,722,461 | |||||||||||
Georgia Power Co., senior bond, 4.75%, 9/01/40 |
United States | 1,400,000 | 1,180,564 | |||||||||||
MidAmerican Energy Co., secured bond, 3.65%, 8/01/48 |
United States | 1,100,000 | 835,085 | |||||||||||
a |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara, senior bond, 144A, 4.875%, 7/17/49 |
Indonesia | 750,000 | 523,930 | ||||||||||
The Southern Co., senior bond, 3.70%, 4/30/30 |
United States | 3,000,000 | 2,643,601 | |||||||||||
Virginia Electric and Power Co., senior bond, 3.80%, 9/15/47 |
United States | 5,100,000 | 3,902,223 | |||||||||||
|
|
|||||||||||||
27,544,871 | ||||||||||||||
|
|
franklintempleton.com |
Semiannual Report |
169 |
FRANKLIN TEMPLETON ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin U.S. Core Bond ETF (continued)
Country | Principal Amount* | Value | ||||||||||||
Corporate Bonds & Notes (continued) | ||||||||||||||
Electronic Equipment, Instruments & Components 0.4% | ||||||||||||||
Flex Ltd., senior note, 4.875%, 5/12/30 |
Singapore | 4,300,000 | $ | 3,882,424 | ||||||||||
Teledyne FLIR LLC, Sr. Unsecured note, 2.50%, 8/01/30 |
United States | 3,000,000 | 2,348,551 | |||||||||||
|
|
|||||||||||||
6,230,975 | ||||||||||||||
|
|
|||||||||||||
Energy Equipment & Services 0.5% | ||||||||||||||
Kinder Morgan Inc., 2.00%, 2/15/31 |
United States | 4,100,000 | 3,056,976 | |||||||||||
MPLX LP, Sr. Unsecured, 2.65%, 8/15/30 |
United States | 2,500,000 | 1,962,230 | |||||||||||
a |
Schlumberger Holdings Corp., senior bond, 144A, 3.90%, 5/17/28 |
United States | 1,950,000 | 1,760,895 | ||||||||||
|
|
|||||||||||||
6,780,101 | ||||||||||||||
|
|
|||||||||||||
Entertainment 0.1% | ||||||||||||||
a |
Warnermedia Holdings Inc., 144A, 4.054%, 3/15/29 |
United States | 900,000 | 778,395 | ||||||||||
|
|
|||||||||||||
Food Products 0.4% | ||||||||||||||
Kraft Heinz Foods Co., |
||||||||||||||
senior bond, 3.00%, 6/01/26 |
United States | 4,100,000 | 3,783,957 | |||||||||||
senior bond, 3.75%, 4/01/30 |
United States | 2,000,000 | 1,765,233 | |||||||||||
|
|
|||||||||||||
5,549,190 | ||||||||||||||
|
|
|||||||||||||
Health Care Providers & Services 0.9% | ||||||||||||||
CVS Health Corp., |
||||||||||||||
senior bond, 4.875%, 7/20/35 |
United States | 1,400,000 | 1,268,073 | |||||||||||
senior bond, 4.30%, 3/25/28 |
United States | 1,117,000 | 1,055,474 | |||||||||||
Elevance Health Inc., 5.10%, 1/15/44 |
United States | 2,000,000 | 1,821,333 | |||||||||||
Quest Diagnostics Inc., senior bond, 2.80%, 6/30/31 |
United States | 6,800,000 | 5,491,829 | |||||||||||
STERIS Irish FinCo UnLtd Co., 2.70%, 3/15/31 |
Ireland | 5,000,000 | 3,936,195 | |||||||||||
|
|
|||||||||||||
13,572,904 | ||||||||||||||
|
|
|||||||||||||
Independent Power Producers & Energy Traders 0.3% | ||||||||||||||
a |
Colbun SA, senior note, 144A, 3.95%, 10/11/27 |
Chile | 5,550,000 | 4,988,728 | ||||||||||
|
|
|||||||||||||
Insurance 0.6% | ||||||||||||||
Berkshire Hathaway Finance Corp., 3.85%, 3/15/52 |
United States | 1,200,000 | 921,230 | |||||||||||
a |
Five Corners Funding Trust II, senior note, 144A, 2.85%, 5/15/30 |
United States | 4,000,000 | 3,298,447 | ||||||||||
MetLife Inc., senior bond, 5.875%, 2/06/41 |
United States | 1,100,000 | 1,099,986 | |||||||||||
a |
Metropolitan Life Global Funding I, 144A, 4.30%, 8/25/29 |
United States | 1,400,000 | 1,305,606 | ||||||||||
Reinsurance Group of America Inc., Sr. Unsecured, 3.90%, 5/15/29 |
United States | 2,250,000 | 2,008,203 | |||||||||||
|
|
|||||||||||||
8,633,472 | ||||||||||||||
|
|
|||||||||||||
Internet Software & Services 0.1% | ||||||||||||||
a |
Tencent Holdings Ltd., Sr. Unsecured, 144A, 3.925%, 1/19/38 |
Cayman Islands | 2,000,000 | 1,554,930 | ||||||||||
|
|
|||||||||||||
IT Services 0.6% | ||||||||||||||
Apple Inc., 2.65%, 5/11/50 |
United States | 2,000,000 | 1,322,888 | |||||||||||
Fidelity
National Information Services Inc., Sr. Unsecured note, |
United States | 4,500,000 | 3,470,912 | |||||||||||
Fiserv Inc., senior bond, 2.65%, 6/01/30 |
United States | 4,700,000 | 3,815,208 | |||||||||||
|
|
|||||||||||||
8,609,008 | ||||||||||||||
|
|
|||||||||||||
Media 0.6% | ||||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, |
||||||||||||||
senior bond, 2.80%, 4/01/31 |
United States | 5,000,000 | 3,788,063 | |||||||||||
senior secured note, 3.50%, 3/01/42 |
United States | 1,500,000 | 955,177 | |||||||||||
Comcast Corp., senior bond, 4.25%, 1/15/33 |
United States | 4,000,000 | 3,630,837 | |||||||||||
NBCUniversal Media LLC, senior bond, 4.45%, 1/15/43 |
United States | 1,100,000 | 915,991 | |||||||||||
|
|
|||||||||||||
9,290,068 | ||||||||||||||
|
|
|||||||||||||
Metals & Mining 0.1% | ||||||||||||||
a |
Corp.
Nacional del Cobre de Chile, Sr. Unsecured , 144A, |
Chile | 1,160,000 | 889,563 | ||||||||||
|
|
170 |
Semiannual Report |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin U.S. Core Bond ETF (continued)
Country | Principal Amount* | Value | ||||||||||||
Corporate Bonds & Notes (continued) | ||||||||||||||
Oil, Gas & Consumable Fuels 1.3% | ||||||||||||||
a |
Aker BP ASA, 144A, 3.10%, 7/15/31 |
Netherlands | 4,700,000 | $ | 3,686,732 | |||||||||
Canadian Natural Resources Ltd., senior bond, 3.85%, 6/01/27 |
Canada | 3,000,000 | 2,775,244 | |||||||||||
Cheniere Corpus Christi Holdings LLC, senior secured note, first lien, 5.875%, 3/31/25 |
United States | 2,200,000 | 2,210,824 | |||||||||||
Equinor ASA, senior note, 2.375%, 5/22/30 |
Norway | 3,000,000 | 2,495,571 | |||||||||||
Exxon Mobil Corp., senior bond, 2.61%, 10/15/30 |
United States | 3,000,000 | 2,546,758 | |||||||||||
a |
Pertamina Persero PT, senior bond, 144A, 4.70%, 7/30/49 |
Indonesia | 1,000,000 | 748,987 | ||||||||||
Sabine
Pass Liquefaction LLC, first lien, senior secured bond, |
United States | 4,000,000 | 3,654,571 | |||||||||||
|
|
|||||||||||||
18,118,687 | ||||||||||||||
|
|
|||||||||||||
Packaging & Containers 0.2% | ||||||||||||||
Amcor Flexibles North America Inc., senior note, 2.63%, 6/19/30 |
United States | 3,500,000 | 2,817,441 | |||||||||||
|
|
|||||||||||||
Paper & Forest Products 0.1% | ||||||||||||||
Suzano Austria GmbH, 3.125%, 1/15/32 |
Austria | 1,300,000 | 937,521 | |||||||||||
|
|
|||||||||||||
Pharmaceuticals 0.6% | ||||||||||||||
AbbVie Inc., 4.75%, 3/15/45 |
United States | 1,000,000 | 861,505 | |||||||||||
Bristol-Myers Squibb Co., senior bond, 4.125%, 6/15/39 |
United States | 3,200,000 | 2,805,939 | |||||||||||
Takeda
Pharmaceutical Co. Ltd., |
Japan | 2,600,000 | 2,059,054 | |||||||||||
senior note, 5.00%, 11/26/28 |
Japan | 2,500,000 | 2,423,477 | |||||||||||
|
|
|||||||||||||
8,149,975 | ||||||||||||||
|
|
|||||||||||||
Pipelines 0.2% | ||||||||||||||
Energy Transfer LP, senior note, 3.90%, 5/15/24 |
United States | 2,650,000 | 2,585,571 | |||||||||||
|
|
|||||||||||||
Real Estate Management & Development 0.1% | ||||||||||||||
Simon Property Group LP, Sr. Unsecured, 2.20%, 2/01/31 |
United States | 2,000,000 | 1,530,312 | |||||||||||
|
|
|||||||||||||
Road & Rail 0.3% | ||||||||||||||
Burlington
Northern Santa Fe LLC, |
United States | 1,100,000 | 1,008,292 | |||||||||||
senior bond, 4.15%, 4/01/45 |
United States | 2,300,000 | 1,895,457 | |||||||||||
CSX Corp., senior bond, 4.25%, 11/01/66 |
United States | 1,000,000 | 764,132 | |||||||||||
|
|
|||||||||||||
3,667,881 | ||||||||||||||
|
|
|||||||||||||
Software 0.3% | ||||||||||||||
ServiceNow Inc., senior bond, 1.40%, 9/01/30 |
United States | 6,000,000 | 4,426,353 | |||||||||||
|
|
|||||||||||||
Wireless Telecommunication Services 0.6% | ||||||||||||||
T-Mobile USA Inc., |
United States | 5,000,000 | 4,620,802 | |||||||||||
senior secured bond, 3.875%, 4/15/30 |
United States | 1,000,000 | 887,627 | |||||||||||
Vodafone
Group PLC, |
United Kingdom | 1,000,000 | 788,843 | |||||||||||
senior bond, 6.15%, 2/27/37 |
United Kingdom | 2,300,000 | 2,177,338 | |||||||||||
|
|
|||||||||||||
8,474,610 | ||||||||||||||
|
|
|||||||||||||
Total Corporate Bonds & Notes (Cost $370,905,768) |
312,626,612 | |||||||||||||
|
|
|||||||||||||
U.S. Government & Agency Securities 45.1% | ||||||||||||||
Federal
Home Loan Mortgage Corp., |
United States | 5,125,278 | 4,527,214 | |||||||||||
2.00%, 4/01/52 |
United States | 5,271,984 | 4,283,814 | |||||||||||
2.50%, 4/01/52 |
United States | 13,869,912 | 11,681,828 | |||||||||||
3.50%, 4/01/52 |
United States | 3,288,003 | 2,967,812 | |||||||||||
Federal National Mortgage Association, |
||||||||||||||
2.00%, 4/01/37 |
United States | 5,051,548 | 4,462,202 | |||||||||||
3.50%, 6/01/49 |
United States | 658,734 | 603,120 | |||||||||||
U.S. Treasury Bond, |
||||||||||||||
1.125%, 8/15/40 |
United States | 3,700,000 | 2,294,144 | |||||||||||
1.25%, 5/15/50 |
United States | 21,443,000 | 12,011,849 | |||||||||||
1.375%, 8/15/50 |
United States | 41,500,000 | 24,053,789 | |||||||||||
2.00%, 11/15/41 |
United States | 40,450,000 | 28,976,263 |
franklintempleton.com |
Semiannual Report |
171 |
FRANKLIN TEMPLETON ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin U.S. Core Bond ETF (continued)
Country | Principal Amount* | Value | ||||||||||||
U.S. Government & Agency Securities (continued) | ||||||||||||||
2.00%, 2/15/50 |
United States | 11,100,000 | $ | 7,632,551 | ||||||||||
2.25%, 8/15/46 |
United States | 25,354,000 | 18,279,640 | |||||||||||
2.25%, 8/15/49 |
United States | 2,050,000 | 1,500,344 | |||||||||||
2.75%, 8/15/42 |
United States | 17,450,000 | 14,191,076 | |||||||||||
2.75%, 11/15/42 |
United States | 7,100,000 | 5,758,211 | |||||||||||
3.00%, 11/15/44 |
United States | 12,595,000 | 10,532,569 | |||||||||||
3.00%, 2/15/49 |
United States | 7,293,000 | 6,227,681 | |||||||||||
U.S. Treasury Note, |
||||||||||||||
0.25%, 6/30/25 |
United States | 24,509,000 | 22,002,093 | |||||||||||
0.375%, 11/30/25 |
United States | 91,791,000 | 81,398,179 | |||||||||||
0.375%, 1/31/26 |
United States | 62,772,000 | 55,303,112 | |||||||||||
0.50%, 3/31/25 |
United States | 51,900,000 | 47,356,723 | |||||||||||
0.875%, 6/30/26 |
United States | 24,500,000 | 21,695,898 | |||||||||||
1.25%, 12/31/26 |
United States | 81,600,000 | 72,496,500 | |||||||||||
1.25%, 8/15/31 |
United States | 13,200,000 | 10,670,859 | |||||||||||
1.50%, 10/31/24 |
United States | 5,750,000 | 5,438,467 | |||||||||||
2.125%, 2/29/24 |
United States | 100,665,000 | 97,668,644 | |||||||||||
2.125%, 3/31/24 |
United States | 28,000,000 | 27,117,344 | |||||||||||
2.75%, 8/15/32 |
United States | 21,100,000 | 19,296,609 | |||||||||||
2.875%, 5/15/32 |
United States | 2,600,000 | 2,404,391 | |||||||||||
3.25%, 6/30/27 |
United States | 31,750,000 | 30,605,264 | |||||||||||
|
|
|||||||||||||
Total
U.S. Government & Agency Securities |
653,438,190 | |||||||||||||
|
|
|||||||||||||
Municipal Bonds 3.0% | ||||||||||||||
Alabama 0.3% | ||||||||||||||
Southeast Alabama Gas Supply District, Series 2018B, Monthly, VRDN, 2.568%, 6/01/49 |
United States | 5,000,000 | 4,922,442 | |||||||||||
|
|
|||||||||||||
California 2.3% | ||||||||||||||
California Health Facilities Financing Authority, State of California Personal Income Tax Revenue, 2.934%, 6/01/32 |
United States | 530,000 | 439,392 | |||||||||||
Clovis Unified School District, Refunding, Series 2021B, 3.067%, 8/01/39 |
United States | 12,580,000 | 9,328,568 | |||||||||||
Contra Costa Community College District, Refunding, 2.926%, 8/01/38 |
United States | 4,000,000 | 3,045,226 | |||||||||||
Golden State Tobacco Securitization Corp., Subordinate Bond, Refunding, Series 2021, 3.85%, 6/01/50 |
United States | 7,200,000 | 6,258,060 | |||||||||||
San Bernardino Community College District, |
||||||||||||||
Refunding, 2.686%,8/01/41 |
United States | 6,140,000 | 4,290,595 | |||||||||||
Refunding, 2.856%,8/01/49 |
United States | 3,575,000 | 2,316,227 | |||||||||||
State of California, 4.00%, 3/01/46 |
United States | 2,500,000 | 2,290,457 | |||||||||||
Whittier City School District, Refunding, 3.306%, 8/01/43 |
United States | 7,500,000 | 5,465,951 | |||||||||||
|
|
|||||||||||||
33,434,476 | ||||||||||||||
|
|
|||||||||||||
Ohio 0.1% | ||||||||||||||
Greenville City School District, Refunding, 3.541%, 1/01/51 |
United States | 1,295,000 | 960,208 | |||||||||||
|
|
|||||||||||||
Texas 0.3% | ||||||||||||||
City of Austin, Electric Utility Revenue, Refunding, 6.262%, 11/15/32 |
United States | 940,000 | 997,700 | |||||||||||
Texas Water Development Board, Series 2019A, 4.00%, 10/15/44 |
United States | 3,750,000 | 3,406,721 | |||||||||||
|
|
|||||||||||||
4,404,421 | ||||||||||||||
|
|
|||||||||||||
Total Municipals (Cost $55,791,464) |
43,721,547 | |||||||||||||
|
|
172 |
Semiannual Report |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin U.S. Core Bond ETF (continued)
Country | Principal Amount* | Value | ||||||||||||
Mortgage-Backed Securities 23.9% | ||||||||||||||
Fannie Mae 7.3% | ||||||||||||||
Federal
Home Loan Mortgage Corp., |
United States | 209,608 | $ | 185,169 | ||||||||||
3.50%, 2/1/47 |
United States | 1,549,822 | 1,428,192 | |||||||||||
3.50%, 3/1/48 |
United States | 1,867,528 | 1,707,669 | |||||||||||
4.00%, 11/1/45 |
United States | 2,673,748 | 2,542,788 | |||||||||||
3.50%, 2/1/47 |
United States | 2,876,977 | 2,645,542 | |||||||||||
3.50%, 3/1/48 |
United States | 3,808,688 | 3,482,680 | |||||||||||
3.00%, 6/1/37 |
United States | 4,550,419 | 4,233,184 | |||||||||||
2.00%, 1/1/37 |
United States | 2,250,079 | 1,987,585 | |||||||||||
2.00%, 4/1/37 |
United States | 5,114,230 | 4,517,475 | |||||||||||
2.50%, 4/1/37 |
United States | 5,132,714 | 4,655,261 | |||||||||||
2.00%, 5/1/37 |
United States | 5,167,910 | 4,564,867 | |||||||||||
4.00%, 5/1/50 |
United States | 6,119,003 | 5,783,064 | |||||||||||
4.00%, 6/1/48 |
United States | 5,564,664 | 5,275,528 | |||||||||||
3.00%, 3/1/50 |
United States | 15,472,341 | 13,702,011 | |||||||||||
3.00%, 3/1/50 |
United States | 6,058,381 | 5,358,343 | |||||||||||
2.00%, 6/1/37 |
United States | 7,268,101 | 6,419,956 | |||||||||||
2.00%, 1/1/52 |
United States | 18,791,837 | 15,257,840 | |||||||||||
2.50%, 12/1/51 |
United States | 3,689,402 | 3,109,833 | |||||||||||
2.00%, 12/1/51 |
United States | 5,680,740 | 4,609,755 | |||||||||||
2.00%, 2/1/52 |
United States | 584,323 | 474,429 | |||||||||||
2.50%, 5/1/37 |
United States | 5,633,733 | 5,109,661 | |||||||||||
2.00%, 8/1/52 |
United States | 4,327,168 | 3,513,356 | |||||||||||
4.50%, 8/1/52 |
United States | 5,371,843 | 5,136,979 | |||||||||||
|
|
|||||||||||||
105,701,167 | ||||||||||||||
|
|
|||||||||||||
Freddie Mac 12.1% | ||||||||||||||
Federal
National Mortgage Association, |
United States | 10,035,000 | 8,127,566 | |||||||||||
2.00%, 7/1/51 |
United States | 22,648,062 | 18,456,528 | |||||||||||
2.50%, 7/1/51 |
United States | 7,529,756 | 6,360,240 | |||||||||||
2.50%, 12/1/51 |
United States | 16,645,622 | 14,036,024 | |||||||||||
2.50%, 2/1/52 |
United States | 1,682,169 | 1,417,719 | |||||||||||
5.00%, 10/15/52 |
United States | 4,340,000 | 4,228,810 | |||||||||||
2.50%, 8/1/51 |
United States | 4,704,895 | 3,972,892 | |||||||||||
3.50%, 6/1/52 |
United States | 3,582,018 | 3,232,827 | |||||||||||
4.00%, 6/1/52 |
United States | 2,090,904 | 1,944,398 | |||||||||||
4.50%, 7/1/47 |
United States | 5,676,036 | 5,509,623 | |||||||||||
4.50%, 12/1/48 |
United States | 4,187,706 | 4,092,785 | |||||||||||
4.50%, 5/1/48 |
United States | 2,886,628 | 2,817,579 | |||||||||||
3.50%, 8/1/49 |
United States | 10,866,126 | 9,923,763 | |||||||||||
4.50%, 2/1/50 |
United States | 1,727,742 | 1,669,003 | |||||||||||
3.00%, 9/1/50 |
United States | 5,191,975 | 4,594,307 | |||||||||||
4.00%, 2/1/49 |
United States | 440,172 | 417,195 | |||||||||||
3.00%, 4/1/50 |
United States | 6,407,386 | 5,678,146 | |||||||||||
2.00%, 7/1/36 |
United States | 9,896,355 | 8,742,300 | |||||||||||
2.50%, 7/1/36 |
United States | 6,947,148 | 6,320,686 | |||||||||||
2.00%, 8/1/51 |
United States | 14,896,233 | 12,134,752 | |||||||||||
3.00%, 11/1/51 |
United States | 5,826,000 | 5,105,190 | |||||||||||
2.00%, 5/1/36 |
United States | 11,479,320 | 10,140,836 | |||||||||||
2.00%, 3/1/52 |
United States | 8,311,943 | 6,759,775 | |||||||||||
2.00%, 4/1/37 |
United States | 4,486,427 | 3,962,929 | |||||||||||
2.50%, 4/1/37 |
United States | 653,043 | 593,303 | |||||||||||
2.00%, 5/1/37 |
United States | 5,145,553 | 4,545,119 | |||||||||||
2.00%, 1/1/52 |
United States | 5,663,775 | 4,593,385 | |||||||||||
2.00%, 2/1/52 |
United States | 5,685,116 | 4,619,451 | |||||||||||
2.00%, 2/1/52 |
United States | 5,681,052 | 4,607,324 | |||||||||||
2.00%, 6/1/37 |
United States | 1,569,519 | 1,386,365 | |||||||||||
4.00%, 8/1/52 |
United States | 5,033,508 | 4,677,899 | |||||||||||
|
|
|||||||||||||
174,668,719 | ||||||||||||||
|
|
franklintempleton.com |
Semiannual Report |
173 |
FRANKLIN TEMPLETON ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin U.S. Core Bond ETF (continued)
Country | Principal Amount* | Value | ||||||||||||
Mortgage-Backed Securities (continued) | ||||||||||||||
Ginnie Mae 4.5% | ||||||||||||||
Government National Mortgage Association, |
||||||||||||||
2.00%, 10/15/52 |
United States | 4,892,000 | $ | 4,075,265 | ||||||||||
2.50%, 4/20/52 |
United States | 9,855,836 | 8,488,287 | |||||||||||
2.00%, 4/20/52 |
United States | 25,910,820 | 21,650,953 | |||||||||||
2.00%, 5/20/52 |
United States | 13,984,629 | 11,688,299 | |||||||||||
2.00%, 6/20/52 |
United States | 5,559,593 | 4,647,123 | |||||||||||
2.50%, 6/20/52 |
United States | 15,430,463 | 13,311,422 | |||||||||||
3.00%, 6/20/52 |
United States | 1,528,176 | 1,354,812 | |||||||||||
|
|
|||||||||||||
65,216,161 | ||||||||||||||
|
|
|||||||||||||
Total
Mortgage-Backed Securities |
. | 345,586,047 | ||||||||||||
|
|
|||||||||||||
Foreign Government and Agency Securities 1.6% |
||||||||||||||
Chile 0.1% | ||||||||||||||
Chile Government International Bond, Sr. Unsecured note, 3.500%, 1/25/50 |
Chile | 1,100,000 | 751,306 | |||||||||||
|
|
|||||||||||||
Panama 0.4% | ||||||||||||||
Panama Notas del Tesoro, senior note, 3.750%, 4/17/26 |
Panama | 5,950,000 | 5,662,912 | |||||||||||
|
|
|||||||||||||
Peru 0.3% | ||||||||||||||
Peruvian Government International Bond, senior bond, 2.783%, 1/23/31 |
Peru | 5,850,000 | 4,646,587 | |||||||||||
|
|
|||||||||||||
Romania 0.1% | ||||||||||||||
a |
Romanian
Government International Bond, senior bond, 144A, |
Romania | 2,270,000 | 1,586,685 | ||||||||||
|
|
|||||||||||||
South Korea 0.1% | ||||||||||||||
a |
Korea Electric Power Corp., Sr. Unsecured, 144A, 5.375%, 4/06/26 |
South Korea | 1,600,000 | 1,600,918 | ||||||||||
|
|
|||||||||||||
Supranational 0.6% | ||||||||||||||
a |
African Export-Import Bank, senior bond, 144A, 3.994%, 9/21/29 |
Supranational | 6,100,000 | 5,125,830 | ||||||||||
a |
Banque Ouest Africaine de Developpement, Sr. Unsecured note, 144A, 5.000%, 7/27/27 |
Supranational | 3,800,000 | 3,486,690 | ||||||||||
|
|
|||||||||||||
8,612,520 | ||||||||||||||
|
|
|||||||||||||
Total
Foreign Government and Agency Securities |
22,860,928 | |||||||||||||
|
|
|||||||||||||
Asset-Backed Securities 3.0% | ||||||||||||||
BANK 2021-BNK33, Series 2021-BN33, Class A5, 2.556%, 5/15/64 |
United States | 2,780,000 | 2,274,355 | |||||||||||
BANK 2022-BNK40, Series 2022-BN40, Class A4, 3.507%, 3/15/64 |
United States | 2,800,000 | 2,438,761 | |||||||||||
Benchmark
Mortgage Trust, |
United States | 2,780,000 | 2,267,364 | |||||||||||
Series 2022-B32, Class A5, 3.002%,1/15/55 |
United States | 5,560,000 | 4,652,983 | |||||||||||
a |
BX
2021-LBA3 Mortgage Trust, Series 2021-PAC, Class A,
144A, |
United States | 3,090,000 | 2,951,127 | ||||||||||
BX Commercial Mortgage Trust, |
||||||||||||||
a Series 2019-XL, Class A, 144A, 3.738%,10/15/36 |
United States | 3,792,238 | 3,738,047 | |||||||||||
a Series 2021-VOLT, Class B, 144A, 3.768%,9/15/36 |
United States | 3,190,000 | 2,997,326 | |||||||||||
a Series 2022-LP2, CLass A, 144A, 3.935%,2/15/39 |
United States | 2,988,240 | 2,874,564 | |||||||||||
a |
BX Trust, Series 2022-IND, Class A, 144A, 4.413%, 4/15/37 |
United States | 5,110,000 | 4,972,212 | ||||||||||
a |
DBCG Mortgage Trust, Series 2017-BBG, Class A, 144A, 3.518%, 6/15/34 |
United States | 7,190,000 | 7,009,665 | ||||||||||
Discover
Card Execution Note Trust, Series 2019-A3, Class A, |
United States | 1,610,000 | 1,609,203 |
174 |
Semiannual Report |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin U.S. Core Bond ETF (continued)
Fund (continued)
Country | Principal Amount* | Value | ||||||||||||
Asset-Backed Securities (continued) | ||||||||||||||
a |
New
Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class A1, |
United States | 6,660,000 | $ | 5,646,899 | |||||||||
|
|
|||||||||||||
Total Asset-Backed Securities (Cost $47,139,422) |
43,432,506 | |||||||||||||
|
|
|||||||||||||
Total
Investments before Short Term Investments |
1,421,665,830 | |||||||||||||
|
|
|||||||||||||
Short-Term Investments 2.4% |
||||||||||||||
Money Market Funds 2.4% |
||||||||||||||
b,c |
Institutional Fiduciary Trust Portfolio, 2.45% |
United States | 34,495,264 | 34,495,264 | ||||||||||
|
|
|||||||||||||
Total Short-Term Investments (Cost $34,495,264) |
34,495,264 | |||||||||||||
|
|
|||||||||||||
Total Investments (Cost $1,660,699,628) 100.6% |
1,456,161,094 | |||||||||||||
Other Assets, less Liabilities (0.6)% |
(9,094,322 | ) | ||||||||||||
|
|
|||||||||||||
Net Assets 100.0% |
$ | 1,447,066,772 | ||||||||||||
|
|
*The principal amount is stated in U.S. dollars unless otherwise indicated.
aSecurity was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from registration only to qualified institutional buyers or in a public offering registered under the Securities Act of 1933. At September 30, 2022, the value of was $102,427,013, representing 7.1% of net assets.
bThe rate shown is the annualized seven-day effective yield at period end.
cSee Note 3(d) regarding investments in affiliated management investment companies.
At September 30, 2022, the Fund had the following credit default swap contracts outstanding. See Note 1(c).
Credit Default Swap Contracts | ||||||||||||||||||||||||||||
Description | Periodic Payment Rate Received (Paid) |
Payment Frequency |
Maturity Date |
Notional Amount |
Value | Unamortized Upfront Payments (Receipts) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
Over the counter Swap Contracts Contracts to Sell Protectiona,b |
||||||||||||||||||||||||||||
Long: s25995201 CDS USD R F 1.00000 Mexico Government International Bond |
1 | % | Quarterly | 6/20/26 | $ | 5,200,000 | $ | (99,380 | ) | $ | 14,678 | $ | (114,058 | ) | ||||||||||||||
|
|
|||||||||||||||||||||||||||
$ | (114,058 | ) | ||||||||||||||||||||||||||
|
|
aPerformance triggers for settlement of contract include default, bankruptcy or restructuring for single name swaps, and failure to pay or bankruptcy of the underlying securities for traded swaps.
bThe Fund enters contracts to sell protection to create a long credit position.
At September 30, 2022, the Fund had the following futures contracts outstanding. See Note 1(c).
Futures Contracts | ||||||||||||||||||||
Description | Type | Number of Contracts |
Notional Amount* |
Expiration Date |
Value/Unrealized Appreciation (Depreciation) |
|||||||||||||||
Interest rate contracts | ||||||||||||||||||||
U.S. Treasury 5 Yr. Note |
Long | 80 | $ | 8,600,625 | 12/30/22 | $ | (73,679 | ) |
*As of period end.
See Note 11 regarding other derivative information.
See Abbreviations on page 223.
franklintempleton.com |
The accompanying notes are an integral part of these financial statements. | Semiannual Report |
175 |
FRANKLIN TEMPLETON ETF TRUST
Financial Highlights
Franklin U.S. Low Volatility ETFa
Six Months Ended (unaudited) |
Year Ended March 31, | |||||||||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||||||
Per share operating performance (for a share outstanding throughout the period) |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 49.07 | $ | 43.69 | $ | 30.93 | $ | 33.61 | $ | 30.03 | $ | 26.97 | ||||||||||||
|
|
|||||||||||||||||||||||
Income from investment operationsb: |
||||||||||||||||||||||||
Net investment incomec |
0.41 | 0.70 | 0.67 | 0.64 | 0.52 | 0.45 | ||||||||||||||||||
Net realized and unrealized gains (losses) |
(7.56 | ) | 5.39 | 12.73 | (2.84 | ) | 3.88 | 3.06 | ||||||||||||||||
|
|
|||||||||||||||||||||||
Total from investment operations |
(7.15 | ) | 6.09 | 13.40 | (2.20 | ) | 4.40 | 3.51 | ||||||||||||||||
|
|
|||||||||||||||||||||||
Less distributions from: |
||||||||||||||||||||||||
Net investment income |
(0.39 | ) | (0.71 | ) | (0.64 | ) | (0.48 | ) | (0.47 | ) | (0.45 | ) | ||||||||||||
Net realized gains |
— | — | — | — | (0.35 | ) | — | |||||||||||||||||
|
|
|||||||||||||||||||||||
Total Distributions |
(0.39 | ) | (0.71 | ) | (0.64 | ) | (0.48 | ) | (0.82 | ) | (0.45 | ) | ||||||||||||
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ | 41.53 | $ | 49.07 | $ | 43.69 | $ | 30.93 | $ | 33.61 | $ | 30.03 | ||||||||||||
|
|
|||||||||||||||||||||||
Total returnd |
(14.61)% | 13.98% | 43.52% | (6.74)% | 14.98% | 13.08% | ||||||||||||||||||
Ratios to average net assetse | ||||||||||||||||||||||||
Expenses before waiver and payments by affiliates |
0.29% | 0.33% | 0.37% | 0.57% | 1.12% | 2.11% | ||||||||||||||||||
Expenses net of waiver and payments by affiliates |
0.29% | 0.29% | 0.29% | 0.33% | 0.50% | 0.50% | ||||||||||||||||||
Net investment income |
1.75% | 1.47% | 1.71% | 1.75% | 1.64% | 1.56% | ||||||||||||||||||
Supplemental data | ||||||||||||||||||||||||
Net assets, end of period (000’s) |
$118,364 | $134,935 | $139,822 | $74,223 | $13,443 | $6,005 | ||||||||||||||||||
Portfolio turnover ratef |
13.76% | g | 21.90% | g | 40.54% | g | 32.61% | g | 46.90% | 65.68% |
aEffective August 1, 2022, Formerly, Franklin Liberty U.S. Low Volatility ETF was renamed Franklin U.S. Low Volatility ETF.
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 and/or fluctuating fair 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.
fPortfolio turnover rate includes portfolio transactions that are executed as a result of the Fund offering and redeeming Creation Units solely for cash (“Cash creations”).
gPortfolio turnover rate excluding cash creations was as follows: | 13.76% | 21.90% | 40.54% | 32.61% |
176 |
Semiannual Report | The accompanying notes are an integral part of these financial statements. |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
Schedule of Investments, September 30, 2022 (unaudited)
Franklin U.S. Low Volatility ETF
Shares | Value | |||||||||
Common Stocks 99.0% | ||||||||||
Communication Services 7.0% | ||||||||||
a |
Alphabet Inc., A |
13,024 | $ | 1,245,746 | ||||||
AT&T Inc. |
80,096 | 1,228,673 | ||||||||
Comcast Corp., A |
38,956 | 1,142,580 | ||||||||
a |
Liberty Broadband Corp. |
14,823 | 1,093,937 | |||||||
TELUS Corp. |
61,778 | 1,226,911 | ||||||||
Verizon Communications Inc. |
32,551 | 1,235,961 | ||||||||
a |
Walt Disney Co. |
12,297 | 1,159,976 | |||||||
|
|
|||||||||
8,333,784 | ||||||||||
|
|
|||||||||
Consumer Discretionary 12.0% | ||||||||||
a |
Amazon.com Inc. |
11,109 | 1,255,317 | |||||||
Dollar General Corp. |
5,622 | 1,348,493 | ||||||||
McDonald’s Corp. |
5,372 | 1,239,535 | ||||||||
NIKE Inc., B |
12,880 | 1,070,586 | ||||||||
a |
NVR Inc. |
334 | 1,331,685 | |||||||
a |
O’Reilly Automotive Inc. |
1,987 | 1,397,557 | |||||||
Starbucks Corp. |
14,986 | 1,262,720 | ||||||||
Target Corp. |
8,380 | 1,243,508 | ||||||||
The Home Depot Inc. |
4,924 | 1,358,729 | ||||||||
The TJX Cos Inc. |
21,210 | 1,317,565 | ||||||||
Tractor Supply Co. |
7,155 | 1,329,971 | ||||||||
|
|
|||||||||
14,155,666 | ||||||||||
|
|
|||||||||
Consumer Staples 6.4% | ||||||||||
Coca-Cola Co. |
27,279 | 1,528,170 | ||||||||
Colgate-Palmolive Co. |
21,530 | 1,512,483 | ||||||||
Mondelez International Inc., A |
27,103 | 1,486,057 | ||||||||
PepsiCo Inc. |
9,698 | 1,583,295 | ||||||||
The Procter & Gamble Co. |
11,859 | 1,497,199 | ||||||||
|
|
|||||||||
7,607,204 | ||||||||||
|
|
|||||||||
Energy 4.6% | ||||||||||
Chevron Corp. |
12,467 | 1,791,134 | ||||||||
a |
DTE Midstream LLC |
34,819 | 1,806,758 | |||||||
Exxon Mobil Corp. |
20,988 | 1,832,462 | ||||||||
|
|
|||||||||
5,430,354 | ||||||||||
|
|
|||||||||
Financials 11.2% | ||||||||||
Arthur J Gallagher & Co. |
8,036 | 1,375,924 | ||||||||
BlackRock Inc. |
2,296 | 1,263,443 | ||||||||
Intercontinental Exchange Inc. |
15,117 | 1,365,821 | ||||||||
JPMorgan Chase & Co. |
12,332 | 1,288,694 | ||||||||
MetLife Inc. |
21,990 | 1,336,552 | ||||||||
Nasdaq Inc. |
23,999 | 1,360,263 | ||||||||
S&P Global Inc. |
4,228 | 1,291,020 | ||||||||
The Progressive Corp. |
11,451 | 1,330,721 | ||||||||
The Travelers Companies Inc. |
8,872 | 1,359,190 | ||||||||
US Bancorp |
31,581 | 1,273,346 | ||||||||
|
|
|||||||||
13,244,974 | ||||||||||
|
|
|||||||||
Health Care 14.5% | ||||||||||
Abbott Laboratories |
15,722 | 1,521,261 | ||||||||
AbbVie Inc. |
11,471 | 1,539,523 | ||||||||
Amgen Inc. |
7,092 | 1,598,537 | ||||||||
Becton Dickinson and Co. |
6,498 | 1,447,949 | ||||||||
Bristol-Myers Squibb Co. |
23,314 | 1,657,392 | ||||||||
Danaher Corp. |
5,867 | 1,515,387 | ||||||||
Johnson & Johnson |
9,842 | 1,607,789 |
franklintempleton.com |
Semiannual Report |
177 |
FRANKLIN TEMPLETON ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin U.S. Low Volatility ETF (continued)
Shares | Value | |||||||||
Common Stocks (continued) | ||||||||||
Health Care (continued) | ||||||||||
Medtronic PLC |
18,248 | $ | 1,473,526 | |||||||
Merck & Co. Inc. |
18,888 | 1,626,635 | ||||||||
Quest Diagnostics Inc. |
13,030 | 1,598,651 | ||||||||
UnitedHealth Group Inc. |
3,126 | 1,578,755 | ||||||||
|
|
|||||||||
17,165,405 | ||||||||||
|
|
|||||||||
Industrials 10.0% | ||||||||||
AMETEK Inc. |
9,122 | 1,034,526 | ||||||||
General Dynamics Corp. |
4,803 | 1,019,052 | ||||||||
Honeywell International Inc. |
6,156 | 1,027,867 | ||||||||
Huntington Ingalls Industries Inc. |
4,686 | 1,037,949 | ||||||||
IDEX Corp. |
5,251 | 1,049,412 | ||||||||
Illinois Tool Works Inc. |
5,569 | 1,006,040 | ||||||||
Lockheed Martin Corp. |
2,640 | 1,019,806 | ||||||||
Republic Services Inc. |
7,532 | 1,024,653 | ||||||||
Roper Technologies Inc. |
4,514 | 1,623,415 | ||||||||
Union Pacific Corp. |
5,085 | 990,660 | ||||||||
Verisk Analytics Inc. |
5,968 | 1,017,723 | ||||||||
|
|
|||||||||
11,851,103 | ||||||||||
|
|
|||||||||
Information Technology 24.4% | ||||||||||
Accenture PLC, A |
6,276 | 1,614,815 | ||||||||
Amphenol Corp., A |
23,589 | 1,579,520 | ||||||||
Analog Devices Inc. |
11,536 | 1,607,426 | ||||||||
a |
ANSYS Inc. |
7,149 | 1,584,933 | |||||||
Apple Inc. |
11,172 | 1,543,970 | ||||||||
Automatic Data Processing Inc. |
7,322 | 1,656,163 | ||||||||
a |
Black Knight Inc. |
27,379 | 1,772,242 | |||||||
Cisco Systems Inc. |
39,861 | 1,594,440 | ||||||||
Fidelity National Information Services Inc. |
20,949 | 1,583,116 | ||||||||
International Business Machines Corp. |
13,512 | 1,605,361 | ||||||||
Intuit Inc. |
4,074 | 1,577,942 | ||||||||
a |
Keysight Technologies Inc. |
10,400 | 1,636,544 | |||||||
Mastercard Inc., A |
5,496 | 1,562,733 | ||||||||
Microsoft Corp. |
7,059 | 1,644,041 | ||||||||
Oracle Corp. |
24,989 | 1,526,078 | ||||||||
a |
Synopsys Inc. |
5,439 | 1,661,669 | |||||||
Texas Instruments Inc. |
10,381 | 1,606,771 | ||||||||
Visa Inc., A |
8,937 | 1,587,658 | ||||||||
|
|
|||||||||
28,945,422 | ||||||||||
|
|
|||||||||
Materials 2.7% | ||||||||||
Air Products and Chemicals Inc. |
4,614 | 1,073,816 | ||||||||
Ecolab Inc. |
7,200 | 1,039,824 | ||||||||
Linde PLC |
4,036 | 1,088,065 | ||||||||
|
|
|||||||||
3,201,705 | ||||||||||
|
|
|||||||||
Real Estate 3.2% | ||||||||||
Crown Castle Inc. |
8,371 | 1,210,028 | ||||||||
Equinix Inc. |
2,185 | 1,242,916 | ||||||||
Public Storage |
4,378 | 1,281,922 | ||||||||
|
|
|||||||||
3,734,866 | ||||||||||
|
|
|||||||||
Utilities 3.0% | ||||||||||
American Electric Power Co. Inc. |
10,116 | 874,528 | ||||||||
Dominion Energy Inc. |
12,599 | 870,717 | ||||||||
Duke Energy Corp. |
9,576 | 890,759 |
178 |
Semiannual Report |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin U.S. Low Volatility ETF (continued)
Shares | Value | |||||||||||||
Common Stocks (continued) | ||||||||||||||
Utilities (continued) |
||||||||||||||
NextEra Energy Inc. |
11,778 | $ | 923,513 | |||||||||||
|
|
|||||||||||||
3,559,517 | ||||||||||||||
|
|
|||||||||||||
Total Common Stocks (Cost $119,637,812) |
117,230,000 | |||||||||||||
|
|
|||||||||||||
Total Investments before Short Term Investments (Cost $119,637,812) |
117,230,000 | |||||||||||||
|
|
|||||||||||||
Country | Principal Amount* |
|||||||||||||
Short-Term Investments 0.9% |
||||||||||||||
U.S. Government & Agency Securities 0.9% |
||||||||||||||
b |
Federal Home Loan Bank Discount Notes, 10/03/22 |
United States | $ | 1,065,000 | 1,065,000 | |||||||||
|
|
|||||||||||||
Total Short-Term Investments (Cost $1,064,846) |
1,065,000 | |||||||||||||
|
|
|||||||||||||
Total Investments (Cost $120,702,658) 99.9% |
118,295,000 | |||||||||||||
Other Assets, less Liabilities 0.1% |
69,471 | |||||||||||||
|
|
|||||||||||||
Net Assets 100.0% |
$ | 118,364,471 | ||||||||||||
|
|
*The principal amount is stated in U.S. dollars unless otherwise indicated.
aNon-income producing.
bThe security was issued on a discount basis with no stated coupon rate.
See Abbreviations on page 223.
franklintempleton.com |
The accompanying notes are an integral part of these financial statements. | Semiannual Report |
179 |
FRANKLIN TEMPLETON ETF TRUST
Financial Highlights
Franklin U.S. Treasury Bond ETFa
Six Months Ended September 30, 2022 |
Year Ended March 31, | |||||||||||
2022 | 2021b | |||||||||||
Per share operating performance (for a share outstanding throughout the period) |
||||||||||||
Net asset value, beginning of period |
$ | 22.67 | $ | 23.83 | $ | 25.00 | ||||||
|
|
|
|
|
|
|||||||
Income from investment operationsc: | ||||||||||||
Net investment incomed |
0.15 | 0.18 | 0.11 | |||||||||
Net realized and unrealized gains (losses) |
(1.78 | ) | (0.96 | ) | (0.94 | ) | ||||||
|
|
|
|
|
|
|||||||
Total from investment operations |
(1.63 | ) | (0.78 | ) | (0.83 | ) | ||||||
|
|
|
|
|
|
|||||||
Less distributions from net investment income |
(0.23 | ) | (0.38 | ) | (0.34 | ) | ||||||
|
|
|
|
|
|
|||||||
Net asset value, end of period |
$ | 20.81 | $ | 22.67 | $ | 23.83 | ||||||
|
|
|
|
|
|
|||||||
Total returne |
(7.22)% | (3.35)% | (3.36)% | |||||||||
Ratios to average net assetsf | ||||||||||||
Expenses before waiver and payments by affiliates |
0.09% | 0.28% | 0.50% | |||||||||
Expenses net of waiver and payments by affiliates |
0.08% | 0.09% | 0.09% | |||||||||
Net investment income |
1.39% | 0.77% | 0.54% | |||||||||
Supplemental data | ||||||||||||
Net assets, end of period (000’s) |
$363,055 | $403,543 | $418,199 | |||||||||
Portfolio turnover rateg |
79.34% | h | 13.86% | h | 102.09% | h |
aEffective August 1, 2022, Formerly, Franklin Liberty U.S. Treasury Bond ETF was renamed Franklin U.S. Treasury Bond ETF.
bFor the period June 9, 2020 (commencement of operations) to March 31, 2021.
cThe 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 and/or fluctuating fair value of the investments of the Fund.
dBased on average daily shares outstanding.
eTotal 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.
fRatios are annualized for periods less than one year.
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”).
hPortfolio turnover rate excluding cash creations was as follows: | 79.34% | 13.86% | 102.09% |
180 |
Semiannual Report | The accompanying notes are an integral part of these financial statements. |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
Schedule of Investments, September 30, 2022 (unaudited)
Franklin U.S. Treasury Bond ETF
Country | Principal Amount | Value | ||||||||||||
U.S. Government & Agency Securities 91.7% | ||||||||||||||
U.S. Treasury Bond, |
||||||||||||||
1.375%, 11/15/40 |
United States | 3,795,000 | $ | 2,455,558 | ||||||||||
1.875%, 11/15/51 |
United States | 6,712,000 | 4,441,718 | |||||||||||
2.00%, 8/15/51 |
United States | 26,448,000 | 18,077,621 | |||||||||||
2.375%, 2/15/42 |
United States | 24,716,000 | 18,950,220 | |||||||||||
2.875%, 5/15/49 |
United States | 4,980,000 | 4,154,507 | |||||||||||
3.00%, 5/15/42 |
United States | 17,320,000 | 14,748,386 | |||||||||||
U.S. Treasury Note, |
||||||||||||||
0.25%, 7/31/25 |
United States | 15,300,000 | 13,678,260 | |||||||||||
0.375%, 1/31/26 |
United States | 15,900,000 | 14,008,148 | |||||||||||
0.375%, 9/30/27 |
United States | 11,640,000 | 9,713,489 | |||||||||||
0.50%, 6/30/27 |
United States | 14,175,000 | 12,003,899 | |||||||||||
0.50%, 1/15/28 |
United States | 5,885,537 | 5,464,936 | |||||||||||
0.625%, 12/31/27 |
United States | 8,100,000 | 6,796,090 | |||||||||||
0.625%, 8/15/30 |
United States | 5,450,000 | 4,271,650 | |||||||||||
0.75%, 8/31/26 |
United States | 1,795,000 | 1,574,622 | |||||||||||
0.75%, 1/31/28 |
United States | 10,000,000 | 8,420,703 | |||||||||||
1.125%, 2/29/28 |
United States | 5,367,000 | 4,607,444 | |||||||||||
1.125%, 2/15/31 |
United States | 8,210,000 | 6,650,421 | |||||||||||
1.25%, 8/31/24 |
United States | 2,670,000 | 2,524,089 | |||||||||||
1.25%, 4/30/28 |
United States | 18,200,000 | 15,662,664 | |||||||||||
1.25%, 8/15/31 |
United States | 13,400,000 | 10,832,539 | |||||||||||
1.375%, 12/31/28 |
United States | 16,000,000 | 13,698,125 | |||||||||||
1.375%, 11/15/31 |
United States | 8,130,000 | 6,607,689 | |||||||||||
1.50%, 9/30/24 |
United States | 12,610,000 | 11,956,595 | |||||||||||
1.50%, 11/30/24 |
United States | 14,631,000 | 13,805,149 | |||||||||||
1.625%, 8/15/29 |
United States | 2,600,000 | 2,242,805 | |||||||||||
1.75%, 7/31/24 |
United States | 7,080,000 | 6,767,761 | |||||||||||
1.875%, 7/31/26 |
United States | 6,500,000 | 5,976,191 | |||||||||||
1.875%, 2/15/32 |
United States | 8,500,000 | 7,204,414 | |||||||||||
2.125%, 9/30/24 |
United States | 9,390,000 | 9,013,666 | |||||||||||
2.125%, 11/30/24 |
United States | 12,920,000 | 12,352,731 | |||||||||||
2.25%, 10/31/24 |
United States | 10,600,000 | 10,180,555 | |||||||||||
2.375%, 2/29/24 |
United States | 43,189,000 | 42,055,289 | |||||||||||
2.375%, 5/15/27 |
United States | 11,000,000 | 10,198,203 | |||||||||||
2.875%, 8/15/28 |
United States | 1,764,000 | 1,655,404 | |||||||||||
|
|
|||||||||||||
Total
U.S. Government & Agency Securities |
332,751,541 | |||||||||||||
|
|
|||||||||||||
Total
Investments before Short Term Investments |
332,751,541 | |||||||||||||
|
|
|||||||||||||
Short-Term Investments 0.5% |
||||||||||||||
Money Market Funds 0.5% |
||||||||||||||
United States 0.5% | ||||||||||||||
a,b Institutional Fiduciary Trust Portfolio, 2.45% |
United States | 1,813,760 | 1,813,760 | |||||||||||
|
|
|||||||||||||
Total Short-Term Investments (Cost $1,813,760) |
1,813,760 | |||||||||||||
|
|
|||||||||||||
Total Investments (Cost $357,638,071) 92.2% |
334,565,301 | |||||||||||||
Other Assets, less Liabilities 7.8% |
28,489,405 | |||||||||||||
|
|
|||||||||||||
Net Assets 100.0% |
$ | 363,054,706 | ||||||||||||
|
|
aThe rate shown is the annualized seven-day effective yield at period end.
bSee Note 3(d) regarding investments in affiliated management investment companies.
See Abbreviations on page 223.
franklintempleton.com |
Semiannual Report |
181 |
FRANKLIN TEMPLETON ETF TRUST
Financial Highlights
Franklin Ultra Short Bond ETFa
Six Months Ended September 30, 2022 (unaudited) |
Year Ended March 31, | |||||||||||
2022 | 2021b | |||||||||||
Per share operating performance (for a share outstanding throughout the period) |
||||||||||||
Net asset value, beginning of period |
$ | 24.55 | $ | 24.88 | $ | 25.00 | ||||||
|
|
|||||||||||
Income from investment operationsc: | ||||||||||||
Net investment incomed |
0.15 | 0.14 | 0.10 | |||||||||
Net realized and unrealized gains (losses) |
(0.17 | ) | (0.33 | ) | 0.13 | |||||||
|
|
|||||||||||
Total from investment operations |
(0.02 | ) | (0.19 | ) | 0.23 | |||||||
|
|
|||||||||||
Less distributions from: | ||||||||||||
Net investment income |
(0.14 | ) | (0.14 | ) | (0.33 | ) | ||||||
Net realized gains |
— | — | (0.02 | ) | ||||||||
|
|
|||||||||||
Total Distributions |
(0.14 | ) | (0.14 | ) | (0.35 | ) | ||||||
|
|
|||||||||||
Net asset value, end of period |
$ | 24.39 | $ | 24.55 | $ | 24.88 | ||||||
|
|
|||||||||||
Total returne |
(0.08)% | (0.78)% | 0.91% | |||||||||
Ratios to average net assetsf | ||||||||||||
Expenses before waiver and payments by affiliates |
0.15% | 1.71% | 4.17% | |||||||||
Expenses net of waiver and payments by affiliates |
0.13% | 0.15% | 0.15% | |||||||||
Net investment income |
1.23% | 0.55% | 0.58% | |||||||||
Supplemental data | ||||||||||||
Net assets, end of period (000’s) |
$2,439 | $3,682 | $2,488 | |||||||||
Portfolio turnover rateg |
11.61% | h | 24.71% | h | 10.49% | h |
aEffective August 1, 2022, Formerly, Franklin Liberty Ultra Short Bond ETF was renamed Franklin Ultra Short Bond ETF.
bFor the period July 14, 2020 (commencement of operations) to March 31, 2021.
cThe 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 and/or fluctuating fair value of the investments of the Fund.
dBased on average daily shares outstanding.
eTotal 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.
fRatios are annualized for periods less than one year.
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”).
hPortfolio turnover rate excluding cash creations was as follows: | 11.61% | 24.17% | 10.49% |
182 |
Semiannual Report | The accompanying notes are an integral part of these financial statements. |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
Schedule of Investments, September 30, 2022 (unaudited)
Franklin Ultra Short Bond ETF
Country | Principal Amount | Value | ||||||||||||
Corporate Bonds & Notes 77.8% | ||||||||||||||
Aerospace & Defense 4.1% | ||||||||||||||
Boeing Co., 1.167%, 2/04/23 |
United States | 100,000 | $ | 98,781 | ||||||||||
|
|
|||||||||||||
Auto Manufacturers 8.0% | ||||||||||||||
General Motors Financial Co. Inc., 1.70%, 8/18/23 |
United States | 100,000 | 97,063 | |||||||||||
a |
Hyundai Capital America, 144A, 2.375%, 2/10/23 |
United States | 100,000 | 99,140 | ||||||||||
|
|
|||||||||||||
196,203 | ||||||||||||||
|
|
|||||||||||||
Banks 24.4% | ||||||||||||||
Bank of Montreal, 3.547%, 3/10/23 |
Canada | 50,000 | 49,999 | |||||||||||
Canadian Imperial Bank of Commerce, 3.75%, 3/17/23 |
Canada | 50,000 | 50,000 | |||||||||||
Goldman Sachs Group Inc., |
||||||||||||||
3.708% to 11/23/22, FRN thereafter, 2/23/23 |
United States | 50,000 | 49,984 | |||||||||||
senior unsecured note, 3.23% to 11/17/22, FRN thereafter, 11/17/23 |
United States | 100,000 | 99,752 | |||||||||||
Morgan Stanley, 0.731% to 4/05/23, FRN thereafter, 4/05/24 |
United States | 100,000 | 97,606 | |||||||||||
Sumitomo Mitsui Financial Group Inc., senior note, 3.478% to 10/18/22, FRN thereafter, 1/17/23 |
Japan | 50,000 | 50,031 | |||||||||||
Toronto-Dominion Bank, Sr. Unsecured, MTN, 4.285%, 9/13/24 |
Canada | 100,000 | 98,571 | |||||||||||
Westpac Banking Corp., 3.78% to 5/28/19, FRN thereafter, 2/26/24 |
Australia | 100,000 | 100,277 | |||||||||||
|
|
|||||||||||||
596,220 | ||||||||||||||
|
|
|||||||||||||
Biotechnology 2.0% | ||||||||||||||
Royalty Pharma PLC, 0.75%, 9/02/23 |
United States | 50,000 | 47,904 | |||||||||||
|
|
|||||||||||||
Chemicals 1.1% | ||||||||||||||
LYB International Finance B.V., 4.00%, 7/15/23 |
Netherlands | 28,000 | 27,844 | |||||||||||
|
|
|||||||||||||
Diversified Financial Services 2.0% | ||||||||||||||
Capital One Financial Corp., 2.60%, 5/11/23 |
United States | 50,000 | 49,437 | |||||||||||
|
|
|||||||||||||
Electric Utilities 2.0% | ||||||||||||||
a |
Vistra
Operations Co. LLC, senior secured note, first lien, 144A, |
United States | 50,000 | 47,681 | ||||||||||
|
|
|||||||||||||
Entertainment 2.0% | ||||||||||||||
a |
Warnermedia Holdings Inc., 144A, 3.428%, 3/15/24 |
United States | 50,000 | 48,337 | ||||||||||
|
|
|||||||||||||
Healthcare-Products 3.9% | ||||||||||||||
Thermo Fisher Scientific Inc., 0.797%, 10/18/23 |
United States | 100,000 | 96,257 | |||||||||||
|
|
|||||||||||||
Insurance 3.9% | ||||||||||||||
a |
Brighthouse
Financial Global Funding, secured note, Secured, 144A, |
United States | 100,000 | 95,441 | ||||||||||
|
|
|||||||||||||
Internet 4.1% | ||||||||||||||
eBay Inc., senior note, 3.676%, 1/30/23 |
United States | 100,000 | 100,075 | |||||||||||
|
|
|||||||||||||
Miscellaneous Manufacturing 6.1% | ||||||||||||||
General Electric Co., 4.293% to 9/16/18, FRN thereafter, 3/15/23 |
United States | 50,000 | 49,883 | |||||||||||
Parker-Hannifin Corp., Sr. Unsecured, 3.65%, 6/15/24 |
United States | 100,000 | 97,879 | |||||||||||
|
|
|||||||||||||
147,762 | ||||||||||||||
|
|
|||||||||||||
Oil & Gas Services 2.0% | ||||||||||||||
a |
Schlumberger Finance Canada Ltd., senior note, 144A, 2.65%, 11/20/22 |
Canada | 50,000 | 49,967 | ||||||||||
|
|
|||||||||||||
Pharmaceuticals 2.0% | ||||||||||||||
AbbVie Inc., 3.634%, 11/21/22 |
United States | 50,000 | 49,978 | |||||||||||
|
|
|||||||||||||
Pipelines 4.1% | ||||||||||||||
Energy Transfer LP, 3.60%, 2/01/23 |
United States | 50,000 | 49,797 | |||||||||||
a |
Kinder Morgan Inc., 144A, 5.625%, 11/15/23 |
United States | 50,000 | 50,039 | ||||||||||
|
|
|||||||||||||
99,836 | ||||||||||||||
|
|
|||||||||||||
Retail 2.0% | ||||||||||||||
Walgreens Boots Alliance Inc., Sr. Unsecured, 0.95%, 11/17/23 |
United States | 50,000 | 47,895 | |||||||||||
|
|
franklintempleton.com |
Semiannual Report |
183 |
FRANKLIN TEMPLETON ETF TRUST
SCHEDULE OF INVESTMENTS (UNAUDITED)
Franklin Ultra Short Bond ETF (continued)
Country | Principal Amount | Value | ||||||||||||
Corporate Bonds & Notes (continued) | ||||||||||||||
Transportation 4.1% | ||||||||||||||
a |
Penske
Truck Leasing Co. LP / PTL Finance Corp., senior note, 144A, |
United States | 100,000 | $ | 98,964 | |||||||||
|
|
|||||||||||||
Total Corporate Bonds & Notes (Cost $1,935,909) |
1,898,582 | |||||||||||||
|
|
|||||||||||||
Asset-Backed Securities 8.2% |
||||||||||||||
Citibank Credit Card Issuance Trust, Series 2017-A5, A5, 3.672%, 4/22/26 |
United States | 100,000 | 100,033 | |||||||||||
Discover
Card Execution Note Trust, Series 2017-A5, A5, |
United States | 100,000 | 100,008 | |||||||||||
|
|
|||||||||||||
Total Asset-Backed Securities (Cost $200,922) |
200,041 | |||||||||||||
|
|
|||||||||||||
Total
Investments before Short Term Investments |
2,098,623 | |||||||||||||
|
|
|||||||||||||
Short-Term Investments 13.6% |
||||||||||||||
Money Market Funds 13.6% | ||||||||||||||
United States 13.6% | ||||||||||||||
b,c |
Institutional Fiduciary Trust Portfolio, 2.45% |
United States | 331,066 | 331,066 | ||||||||||
|
|
|||||||||||||
Total Short-Term Investments (Cost $331,066) |
331,066 | |||||||||||||
|
|
|||||||||||||
Total Investments (Cost $2,467,897) 99.6% |
2,429,689 | |||||||||||||
Other Assets, less Liabilities 0.4% |
9,460 | |||||||||||||
|
|
|||||||||||||
Net Assets 100.0% |
$ | 2,439,149 | ||||||||||||
|
|
aSecurity was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from registration only to qualified institutional buyers or in a public offering registered under the Securities Act of 1933. At September 30, 2022, the value of was $489,569, representing 20.1% of net assets.
bThe rate shown is the annualized seven-day effective yield at period end.
cSee Note 3(d) regarding investments in affiliated management investment companies.
See Abbreviations on page 223.
184 |
Semiannual Report | The accompanying notes are an integral part of these financial statements. |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
FINANCIAL STATEMENTS
Statements of Assets and Liabilities
September 30, 2022 (unaudited)
Franklin Disruptive Commerce ETF |
Franklin Exponential Data ETF |
Franklin Genomic Advancements ETF |
Franklin Intelligent Machines ETF |
|||||||||||||
Assets: |
||||||||||||||||
Investments in securities: |
||||||||||||||||
Cost – Unaffiliated issuers |
$ | 11,578,381 | $ | 2,856,409 | $ | 13,919,783 | $ | 7,706,465 | ||||||||
Cost – Non-controlled affiliates (Note 3d) |
— | 2,910 | — | — | ||||||||||||
Value – Unaffiliated issuers |
$ | 8,006,231 | $ | 2,364,367 | $ | 10,280,777 | $ | 6,762,440 | ||||||||
Value – Non-controlled affiliates (Note 3d) |
— | 2,910 | — | — | ||||||||||||
Cash |
181,777 | 778 | 108,586 | 2,202 | ||||||||||||
Foreign currency, at value (cost $1,038) |
— | 1,021 | — | — | ||||||||||||
Receivables: |
||||||||||||||||
Dividends |
2,465 | 164 | 4,152 | 2,728 | ||||||||||||
Other assets |
— | 14 | 13 | 14 | ||||||||||||
|
|
|||||||||||||||
Total assets |
8,190,473 | 2,369,254 | 10,393,528 | 6,767,384 | ||||||||||||
|
|
|||||||||||||||
Liabilities: |
||||||||||||||||
Payables: |
||||||||||||||||
Management fees |
3,654 | 1,020 | 4,525 | 3,008 | ||||||||||||
|
|
|||||||||||||||
Total liabilities |
3,654 | 1,020 | 4,525 | 3,008 | ||||||||||||
|
|
|||||||||||||||
Net assets, at value |
$ | 8,186,819 | $ | 2,368,234 | $ | 10,389,003 | $ | 6,764,376 | ||||||||
|
|
|||||||||||||||
Net assets consist of: |
||||||||||||||||
Paid-in capital |
$ | 22,723,882 | $ | 3,779,731 | $ | 22,092,685 | $ | 8,209,903 | ||||||||
Total distributable earnings (loss) |
(14,537,063 | ) | (1,411,497 | ) | (11,703,682 | ) | (1,445,527 | ) | ||||||||
|
|
|||||||||||||||
Net assets, at value |
$ | 8,186,819 | $ | 2,368,234 | $ | 10,389,003 | $ | 6,764,376 | ||||||||
|
|
|||||||||||||||
Shares outstanding |
400,000 | 150,000 | 350,000 | 200,000 | ||||||||||||
|
|
|||||||||||||||
Net asset value per share |
$ | 20.47 | $ | 15.79 | $ | 29.68 | $ | 33.82 | ||||||||
|
|
franklintempleton.com |
The accompanying notes are an integral part of these financial statements. | Semiannual Report |
185 |
FRANKLIN TEMPLETON ETF TRUST
FINANCIAL STATEMENTS
Statements of Assets and Liabilities (continued)
September 30, 2022 (unaudited)
Franklin Dynamic Municipal Bond ETF |
Franklin High Yield Corporate ETF |
Franklin International Aggregate Bond ETF |
Franklin Municipal Green Bond ETF |
|||||||||||||
Assets: |
||||||||||||||||
Investments in securities: |
||||||||||||||||
Cost – Unaffiliated issuers |
$ | 99,729,625 | $ | 206,380,261 | $ | 199,390,921 | $ | 112,966,243 | ||||||||
Cost – Non-controlled affiliates (Note 3d) |
— | 10,323,509 | 17,182,518 | — | ||||||||||||
Value – Unaffiliated issuers |
$ | 89,691,214 | $ | 174,479,074 | $ | 153,912,242 | $ | 98,178,941 | ||||||||
Value – Non-controlled affiliates (Note 3d) |
— | 10,325,000 | 17,185,000 | — | ||||||||||||
Cash |
1,373,908 | 71,696 | 113,157 | 319,945 | ||||||||||||
Foreign currency, at value (cost $5,973,200) |
— | — | 6,295,073 | — | ||||||||||||
Receivables: |
||||||||||||||||
Dividends and interest |
1,007,494 | 3,061,220 | 919,682 | 1,230,735 | ||||||||||||
Investment securities sold |
— | 34,798,623 | — | — | ||||||||||||
Unrealized appreciation on OTC forward exchange contracts |
— | — | 10,717,565 | — | ||||||||||||
Other assets |
— | 14 | 14 | — | ||||||||||||
|
|
|||||||||||||||
Total assets |
92,072,616 | 222,735,627 | 189,142,733 | 99,729,621 | ||||||||||||
|
|
|||||||||||||||
Liabilities: |
||||||||||||||||
Payables: |
||||||||||||||||
Investment securities purchased |
796,191 | 932,142 | — | — | ||||||||||||
Capital shares redeemed |
2,280,356 | 34,446,976 | — | — | ||||||||||||
Management fees |
15,873 | 75,172 | 39,018 | 21,242 | ||||||||||||
Transfer agent fees |
6,017 | — | — | 6,017 | ||||||||||||
Trustees’ fees and expenses |
— | — | — | 572 | ||||||||||||
Custodian fees |
684 | — | — | 907 | ||||||||||||
Professional fees |
18,766 | — | — | 38,059 | ||||||||||||
Reports to shareholders |
3,699 | — | — | 3,533 | ||||||||||||
Registration and filing fees |
4,812 | — | — | 2,372 | ||||||||||||
Unrealized depreciation on OTC forward exchange contracts |
— | — | 19,172 | — | ||||||||||||
Accrued expenses and other liabilities |
12,346 | — | — | 12,709 | ||||||||||||
|
|
|||||||||||||||
Total liabilities |
3,138,744 | 35,454,290 | 58,190 | 85,411 | ||||||||||||
|
|
|||||||||||||||
Net assets, at value |
$ | 88,933,872 | $ | 187,281,337 | $ | 189,084,543 | $ | 99,644,210 | ||||||||
|
|
|||||||||||||||
Net assets consist of: |
||||||||||||||||
Paid-in capital |
$ | 99,965,676 | $ | 238,796,013 | $ | 212,912,068 | $ | 118,798,722 | ||||||||
Total distributable earnings (loss) |
(11,031,804 | ) | (51,514,676 | ) | (23,827,525 | ) | (19,154,512 | ) | ||||||||
|
|
|||||||||||||||
Net assets, at value |
$ | 88,933,872 | $ | 187,281,337 | $ | 189,084,543 | $ | 99,644,210 | ||||||||
|
|
|||||||||||||||
Shares outstanding |
3,900,000 | 8,700,000 | 8,450,000 | 4,450,000 | ||||||||||||
|
|
|||||||||||||||
Net asset value per share |
$ | 22.80 | $ | 21.53 | $ | 22.38 | $ | 22.39 | ||||||||
|
|
186 |
Semiannual Report | The accompanying notes are an integral part of these financial statements. |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
FINANCIAL STATEMENTS
Statements of Assets and Liabilities (continued)
September 30, 2022 (unaudited)
Franklin Investment Grade Corporate ETF |
Franklin Senior Loan ETF |
Franklin Systematic Style Premia ETF* |
Franklin U.S. Core Bond ETF |
|||||||||||||
Assets: |
||||||||||||||||
Investments in securities: |
||||||||||||||||
Cost – Unaffiliated issuers |
$ | 669,202,692 | $ | 218,078,874 | $ | 54,263,616 | $ | 1,626,204,364 | ||||||||
Cost – Non-controlled affiliates (Note 3d) |
24,426,471 | 16,037,683 | — | 34,495,264 | ||||||||||||
Value – Unaffiliated issuers |
$ | 548,026,737 | $ | 201,079,969 | $ | 51,456,424 | $ | 1,421,665,830 | ||||||||
Value – Non-controlled affiliates (Note 3d) |
24,430,000 | 16,040,000 | — | 34,495,264 | ||||||||||||
Cash |
225,820 | 748,353 | 39,922,717 | 4,479,649 | ||||||||||||
Foreign currency, at value (cost $181,163) |
— | — | 180,439 | — | ||||||||||||
Receivables: |
||||||||||||||||
Dividends and interest |
5,692,385 | 1,352,425 | 124,906 | 8,412,824 | ||||||||||||
Investment securities sold |
— | 1,431,928 | — | 21,471,948 | ||||||||||||
Variation margin on futures contracts |
45,808 | — | — | — | ||||||||||||
Deposits with brokers for: |
||||||||||||||||
Futures contracts |
358,499 | — | 5,090,986 | 120,001 | ||||||||||||
OTC swap contracts premiums paid |
— | — | — | 14,678 | ||||||||||||
Unrealized appreciation on OTC forward exchange contracts |
— | — | 728,444 | — | ||||||||||||
Unrealized appreciation on OTC swap contracts |
— | — | 4,311,435 | — | ||||||||||||
Other assets |
14 | 15 | 14 | 11 | ||||||||||||
|
|
|||||||||||||||
Total assets |
578,779,263 | 220,652,690 | 101,815,365 | 1,490,660,205 | ||||||||||||
|
|
|||||||||||||||
Liabilities: |
||||||||||||||||
Payables: |
||||||||||||||||
Investment securities purchased |
— | 1,944,930 | 4 | 43,193,504 | ||||||||||||
Management fees |
171,796 | 82,544 | 53,036 | 173,753 | ||||||||||||
Transfer agent fees |
— | — | 3,136 | — | ||||||||||||
Custodian fees |
— | — | 482 | — | ||||||||||||
Professional fees |
— | — | 333 | — | ||||||||||||
Variation margin on futures contracts |
— | — | 385,336 | 112,118 | ||||||||||||
Unrealized depreciation on OTC forward exchange contracts |
— | — | 385,207 | — | ||||||||||||
Unrealized depreciation on OTC swap contracts |
— | — | — | 114,058 | ||||||||||||
Accrued expenses and other liabilities |
— | — | 770 | — | ||||||||||||
|
|
|||||||||||||||
Total liabilities |
171,796 | 2,027,474 | 828,304 | 43,593,433 | ||||||||||||
|
|
|||||||||||||||
Net assets, at value |
$ | 578,607,467 | $ | 218,625,216 | $ | 100,987,061 | $ | 1,447,066,772 | ||||||||
|
|
|||||||||||||||
Net assets consist of: |
||||||||||||||||
Paid-in capital |
$ | 777,549,570 | $ | 239,375,597 | $ | 110,452,967 | $ | 1,741,551,896 | ||||||||
Total distributable earnings (loss) |
(198,942,103 | ) | (20,750,381 | ) | (9,465,906 | ) | (294,485,124 | ) | ||||||||
|
|
|||||||||||||||
Net assets, at value |
$ | 578,607,467 | $ | 218,625,216 | $ | 100,987,061 | $ | 1,447,066,772 | ||||||||
|
|
|||||||||||||||
Shares outstanding |
28,350,000 | 9,450,000 | 4,700,000 | 69,000,000 | ||||||||||||
|
|
|||||||||||||||
Net asset value per share |
$ | 20.41 | $ | 23.13 | $ | 21.49 | $ | 20.97 | ||||||||
|
|
*Consolidated financial statements. See Notes 13.
franklintempleton.com |
The accompanying notes are an integral part of these financial statements. | Semiannual Report |
187 |
FRANKLIN TEMPLETON ETF TRUST
FINANCIAL STATEMENTS
Statements of Assets and Liabilities (continued)
September 30, 2022 (unaudited)
Franklin U.S. Low Volatility ETF |
Franklin U.S. Treasury Bond ETF |
Franklin Ultra Short Bond ETF |
||||||||||
Assets: |
||||||||||||
Investments in securities: |
||||||||||||
Cost – Unaffiliated issuers |
$ | 119,637,812 | $ | 355,824,311 | $ | 2,136,831 | ||||||
Cost – Non-controlled affiliates (Note 3d) |
1,064,846 | 1,813,760 | 331,066 | |||||||||
Value – Unaffiliated issuers |
$ | 117,230,000 | $ | 332,751,541 | $ | 2,098,623 | ||||||
Value – Non-controlled affiliates (Note 3d) |
1,065,000 | 1,813,760 | 331,066 | |||||||||
Cash |
14,016 | — | — | |||||||||
Receivables: |
||||||||||||
Capital shares sold |
— | 20,807,270 | — | |||||||||
Dividends and interest |
115,921 | 1,289,294 | 9,673 | |||||||||
Investment securities sold |
2,077,698 | 99,315,444 | — | |||||||||
Other assets |
252 | 14 | 14 | |||||||||
|
|
|||||||||||
Total assets |
120,502,887 | 455,977,323 | 2,439,376 | |||||||||
|
|
|||||||||||
Liabilities: |
||||||||||||
Payables: |
||||||||||||
Investment securities purchased |
— | 92,897,224 | — | |||||||||
Capital shares redeemed |
2,107,774 | — | — | |||||||||
Management fees |
30,642 | 24,815 | 214 | |||||||||
Funds advanced by custodian |
— | 578 | 13 | |||||||||
|
|
|||||||||||
Total liabilities |
2,138,416 | 92,922,617 | 227 | |||||||||
|
|
|||||||||||
Net assets, at value |
$ | 118,364,471 | $ | 363,054,706 | $ | 2,439,149 | ||||||
|
|
|||||||||||
Net assets consist of: |
||||||||||||
Paid-in capital |
$ | 122,090,732 | $ | 436,981,125 | $ | 2,518,804 | ||||||
Total distributable earnings (loss) |
(3,726,261 | ) | (73,926,419 | ) | (79,655 | ) | ||||||
|
|
|||||||||||
Net assets, at value |
$ | 118,364,471 | $ | 363,054,706 | $ | 2,439,149 | ||||||
|
|
|||||||||||
Shares outstanding |
2,850,000 | 17,450,000 | 100,000 | |||||||||
|
|
|||||||||||
Net asset value per share |
$ | 41.53 | $ | 20.81 | $ | 24.39 | ||||||
|
|
188 |
Semiannual Report | The accompanying notes are an integral part of these financial statements. |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
FINANCIAL STATEMENTS
Statements of Operations
for the period ended September 30, 2022 (unaudited)
Franklin Disruptive Commerce ETF |
Franklin Dynamic Municipal Bond ETF |
Franklin Exponential Data ETF |
Franklin Genomic Advancements ETF |
|||||||||||||
Investment income: |
| |||||||||||||||
Dividends: (net of foreign taxes)a |
||||||||||||||||
Unaffiliated issuers |
$ | 34,106 | $ | — | $ | 4,686 | $ | 23,940 | ||||||||
Interest: |
||||||||||||||||
Unaffiliated issuers |
— | 1,322,625 | — | — | ||||||||||||
|
|
|||||||||||||||
Total investment income |
34,106 | 1,322,625 | 4,686 | 23,940 | ||||||||||||
|
|
|||||||||||||||
Expenses: |
| |||||||||||||||
Management fees (Note 3a) |
30,892 | 273,783 | 6,777 | 30,771 | ||||||||||||
Transfer agent fees |
— | 6,017 | — | — | ||||||||||||
Custodian fees |
— | 764 | — | — | ||||||||||||
Reports to shareholders |
— | 2,298 | — | — | ||||||||||||
Registration and filing fees |
— | 5,606 | — | — | ||||||||||||
Professional fees |
— | 16,980 | — | — | ||||||||||||
Trustee fees (Note 3a) |
— | 1,417 | — | — | ||||||||||||
Other |
— | 6,388 | — | — | ||||||||||||
|
|
|||||||||||||||
Total expenses |
30,892 | 313,253 | 6,777 | 30,771 | ||||||||||||
Expenses waived/paid by affiliates (Note 3c) |
— | (181,838 | ) | (76 | ) | — | ||||||||||
|
|
|||||||||||||||
Net expenses |
30,892 | 131,415 | 6,701 | 30,771 | ||||||||||||
|
|
|||||||||||||||
Net investment income |
3,214 | 1,191,210 | (2,015 | ) | (6,831 | ) | ||||||||||
|
|
|||||||||||||||
Realized and unrealized gains (losses): |
||||||||||||||||
Net realized gain (loss) from: |
||||||||||||||||
Investments: |
||||||||||||||||
Unaffiliated issuers |
(3,054,089 | ) | (845,370 | ) | (364,585 | ) | (1,640,199 | ) | ||||||||
In-kind redemptions |
(1,618,133 | ) | — | — | (364,779 | ) | ||||||||||
Foreign currency transactions |
(252 | ) | — | (142 | ) | 289 | ||||||||||
|
|
|||||||||||||||
Net realized gain (loss) |
(4,672,474 | ) | (845,370 | ) | (364,727 | ) | (2,004,689 | ) | ||||||||
|
|
|||||||||||||||
Net change in unrealized appreciation (depreciation) on: |
||||||||||||||||
Investments: |
||||||||||||||||
Unaffiliated issuers |
(1,414,946 | ) | (6,358,197 | ) | (682,123 | ) | (842,577 | ) | ||||||||
Translation of other assets and liabilities denominated in foreign currencies |
(49 | ) | — | (27 | ) | (27 | ) | |||||||||
|
|
|||||||||||||||
Net change in unrealized appreciation (depreciation) |
(1,414,995 | ) | (6,358,197 | ) | (682,150 | ) | (842,604 | ) | ||||||||
|
|
|||||||||||||||
Net realized and unrealized gain (loss) |
(6,087,469 | ) | (7,203,567 | ) | (1,046,877 | ) | (2,847,293 | ) | ||||||||
|
|
|||||||||||||||
Net increase (decrease) in net assets resulting from operations |
$ | (6,084,255 | ) | $ | (6,012,357 | ) | $ | (1,048,892 | ) | $ | (2,854,124 | ) | ||||
|
|
aForeign taxes withheld on dividends |
$ | 50 | $ | — | $ | — | $ | 682 | ||||||||
|
|
franklintempleton.com |
The accompanying notes are an integral part of these financial statements. | Semiannual Report |
189 |
FRANKLIN TEMPLETON ETF TRUST
FINANCIAL STATEMENTS
Statements of Operations (continued)
for the period ended September 30, 2022 (unaudited)
Franklin High Yield Corporate ETF |
Franklin Intelligent Machines ETF |
Franklin International Aggregate Bond ETF |
Franklin Investment Grade Corporate ETF |
|||||||||||||
Investment income: |
||||||||||||||||
Dividends: (net of foreign taxes)a |
||||||||||||||||
Unaffiliated issuers |
$ | — | $ | 20,364 | $ | — | $ | — | ||||||||
Interest: (net of foreign taxes)b |
| |||||||||||||||
Unaffiliated issuers |
7,251,883 | — | 905,474 | 12,844,998 | ||||||||||||
|
|
|||||||||||||||
Total investment income |
7,251,883 | 20,364 | 905,474 | 12,844,998 | ||||||||||||
|
|
|||||||||||||||
Expenses: |
| |||||||||||||||
Management fees (Note 3a) |
517,461 | 21,067 | 243,085 | 1,381,553 | ||||||||||||
|
|
|||||||||||||||
Total expenses |
517,461 | 21,067 | 243,085 | 1,381,553 | ||||||||||||
|
|
|||||||||||||||
Net investment income |
6,734,422 | (703 | ) | 662,389 | 11,463,445 | |||||||||||
|
|
|||||||||||||||
Realized and unrealized gains (losses): |
||||||||||||||||
Net realized gain (loss) from: |
||||||||||||||||
Investments: |
||||||||||||||||
Unaffiliated issuers |
(1,088,010 | ) | (286,239 | ) | (2,392,584 | ) | (16,402,629 | ) | ||||||||
In-kind redemptions |
(17,063,902 | ) | 453,481 | — | (51,941,965 | ) | ||||||||||
Foreign currency transactions |
— | (181 | ) | (2,541,573 | ) | — | ||||||||||
Forward exchange contracts |
— | — | 19,702,306 | — | ||||||||||||
Futures contracts |
— | — | — | 2,070,832 | ||||||||||||
|
|
|||||||||||||||
Net realized gain (loss) |
(18,151,912 | ) | 167,061 | 14,768,149 | (66,273,762 | ) | ||||||||||
|
|
|||||||||||||||
Net change in unrealized appreciation (depreciation) on: |
||||||||||||||||
Investments: |
||||||||||||||||
Unaffiliated issuers |
(15,585,806 | ) | (3,041,948 | ) | (29,822,091 | ) | (49,216,472 | ) | ||||||||
Translation of other assets and liabilities denominated in foreign currencies |
— | (15 | ) | 847,573 | — | |||||||||||
Futures contracts |
— | — | — | 114,485 | ||||||||||||
Forward exchange contracts |
— | — | 5,944,270 | — | ||||||||||||
Change in deferred taxes on unrealized appreciation |
— | — | 1,629 | — | ||||||||||||
|
|
|||||||||||||||
Net change in unrealized appreciation (depreciation) |
(15,585,806 | ) | (3,041,963 | ) | (23,028,619 | ) | (49,101,987 | ) | ||||||||
|
|
|||||||||||||||
Net realized and unrealized gain (loss) |
(33,737,718 | ) | (2,874,902 | ) | (8,260,470 | ) | (115,375,749 | ) | ||||||||
|
|
|||||||||||||||
Net increase (decrease) in net assets resulting from operations |
$ | (27,003,296 | ) | $ | (2,875,605 | ) | $ | (7,598,081 | ) | $ | (103,912,304 | ) | ||||
|
|
aForeign taxes withheld on dividends |
$ | — | $ | 1,395 | $ | — | $ | — | ||||||||
bForeign taxes withheld on interest |
— | — | 209 | (223 | ) | |||||||||||
|
|
190 |
Semiannual Report | The accompanying notes are an integral part of these financial statements. |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
FINANCIAL STATEMENTS
Statements of Operations (continued)
for the period ended September 30, 2022 (unaudited)
Franklin Municipal Green Bond ETF |
Franklin Senior Loan ETF |
Franklin Systematic Style Premia ETF* |
Franklin U.S. Core |
|||||||||||||
Investment income: |
||||||||||||||||
Dividends: (net of foreign taxes)a |
||||||||||||||||
Unaffiliated issuers |
$ | — | $ | 6,494,521 | $ | 664,375 | $ | 163,405 | ||||||||
Interest: |
||||||||||||||||
Unaffiliated issuers |
1,340,667 | 37,261 | — | 17,461,190 | ||||||||||||
|
|
|||||||||||||||
Total investment income |
1,340,667 | 6,531,782 | 664,375 | 17,624,595 | ||||||||||||
|
|
|||||||||||||||
Expenses: |
||||||||||||||||
Management fees (Note 3a) |
328,615 | 547,889 | 276,101 | 1,113,581 | ||||||||||||
Transfer agent fees |
6,017 | — | 3,761 | — | ||||||||||||
Custodian fees |
894 | — | 591 | — | ||||||||||||
Reports to shareholders |
2,407 | — | — | — | ||||||||||||
Registration and filing fees |
4,786 | — | — | — | ||||||||||||
Professional fees |
64,813 | — | — | — | ||||||||||||
Trustee fees (Note 3a) |
2,698 | — | — | — | ||||||||||||
Other |
6,497 | 7,589 | — | — | ||||||||||||
|
|
|||||||||||||||
Total expenses |
416,727 | 555,478 | 280,453 | 1,113,581 | ||||||||||||
Expenses waived/paid by affiliates (Note 3c) |
(257,158 | ) | — | (18,911 | ) | (54,289 | ) | |||||||||
|
|
|||||||||||||||
Net expenses |
159,569 | 555,478 | 261,542 | 1,059,292 | ||||||||||||
|
|
|||||||||||||||
Net investment income |
1,181,098 | 5,976,304 | 402,833 | 16,565,303 | ||||||||||||
|
|
|||||||||||||||
Realized and unrealized gains (losses): |
||||||||||||||||
Net realized gain (loss) from: |
||||||||||||||||
Investments: |
||||||||||||||||
Unaffiliated issuers |
(2,089,130 | ) | (3,124,018 | ) | 1,311,680 | (50,312,155 | ) | |||||||||
Foreign currency transactions |
— | — | (34,293 | ) | — | |||||||||||
Forward exchange contracts |
— | — | 729,632 | — | ||||||||||||
Futures contracts |
— | — | (1,004,814 | ) | 345,524 | |||||||||||
Swap contracts |
— | — | — | 43,134 | ||||||||||||
|
|
|||||||||||||||
Net realized gain (loss) |
(2,089,130 | ) | (3,124,018 | ) | 1,002,205 | (49,923,497 | ) | |||||||||
|
|
|||||||||||||||
Net change in unrealized appreciation (depreciation) on: |
||||||||||||||||
Investments: |
||||||||||||||||
Unaffiliated issuers |
(8,815,611 | ) | (13,753,642 | ) | (6,280,312 | ) | (113,607,188 | ) | ||||||||
Translation of other assets and liabilities denominated in foreign currencies |
— | — | (13,382 | ) | — | |||||||||||
Futures contracts |
— | — | 555,160 | (189,660 | ) | |||||||||||
Swap contracts |
— | — | 4,311,435 | (96,030 | ) | |||||||||||
Forward exchange contracts |
— | — | 69,755 | — | ||||||||||||
|
|
|||||||||||||||
Net change in unrealized appreciation (depreciation) |
(8,815,611 | ) | (13,753,642 | ) | (1,357,344 | ) | (113,892,878 | ) | ||||||||
|
|
|||||||||||||||
Net realized and unrealized gain (loss) |
(10,904,741 | ) | (16,877,660 | ) | (355,139 | ) | (163,816,375 | ) | ||||||||
|
|
|||||||||||||||
Net increase (decrease) in net assets resulting from operations |
$ | (9,723,643 | ) | $ | (10,901,356 | ) | $ | 47,694 | $ | (147,251,072 | ) | |||||
|
|
|||||||||||||||
aForeign taxes withheld on dividends |
$ | — | $ | — | $ | 33,369 | $ | — | ||||||||
|
|
*Consolidated financial statements. See Notes 13.
franklintempleton.com |
The accompanying notes are an integral part of these financial statements. | Semiannual Report |
191 |
FRANKLIN TEMPLETON ETF TRUST
FINANCIAL STATEMENTS
Statements of Operations (continued)
for the period ended September 30, 2022 (unaudited)
Franklin U.S. Low Volatility ETF |
Franklin U.S. Treasury Bond ETF |
Franklin Ultra Short Bond ETF |
||||||||||
Investment income: |
||||||||||||
Dividends: (net of foreign taxes)a |
||||||||||||
Unaffiliated issuers |
$ | 1,316,699 | $ | 34,121 | $ | 1,378 | ||||||
Interest: |
||||||||||||
Unaffiliated issuers |
5,813 | 2,353,932 | 16,905 | |||||||||
Inflation principle adjustments |
— | 285,051 | — | |||||||||
|
|
|||||||||||
Total investment income |
1,322,512 | 2,673,104 | 18,283 | |||||||||
|
|
|||||||||||
Expenses: |
||||||||||||
Management fees (Note 3a) |
187,779 | 163,350 | 2,015 | |||||||||
|
|
|||||||||||
Total expenses |
187,779 | 163,350 | 2,015 | |||||||||
Expenses waived/paid by affiliates (Note 3c) |
— | (15,858 | ) | (282 | ) | |||||||
|
|
|||||||||||
Net expenses |
187,779 | 147,492 | 1,733 | |||||||||
|
|
|||||||||||
Net investment income |
1,134,733 | 2,525,612 | 16,550 | |||||||||
|
|
|||||||||||
Realized and unrealized gains (losses): |
||||||||||||
Net realized gain (loss) from: |
||||||||||||
Investments: |
||||||||||||
Unaffiliated issuers |
(1,234,358 | ) | (37,542,525 | ) | (23,277 | ) | ||||||
In-kind redemptions |
303,201 | — | — | |||||||||
Foreign currency transactions |
(110 | ) | — | — | ||||||||
|
|
|||||||||||
Net realized gain (loss) |
(931,267 | ) | (37,542,525 | ) | (23,277 | ) | ||||||
|
|
|||||||||||
Net change in unrealized appreciation (depreciation) on: |
||||||||||||
Investments: |
||||||||||||
Unaffiliated issuers |
(20,602,411 | ) | 7,435,629 | 3,670 | ||||||||
Translation of other assets and liabilities denominated in foreign currencies |
(938 | ) | — | — | ||||||||
|
|
|||||||||||
Net change in unrealized appreciation (depreciation) |
(20,603,349 | ) | 7,435,629 | 3,670 | ||||||||
|
|
|||||||||||
Net realized and unrealized gain (loss) |
(21,534,616 | ) | (30,106,896 | ) | (19,607 | ) | ||||||
|
|
|||||||||||
Net increase (decrease) in net assets resulting from operations |
$ | (20,399,883 | ) | $ | (27,581,284 | ) | $ | (3,057 | ) | |||
|
|
aForeign taxes withheld on dividends |
$ | 4,585 | $ | — | $ | — | ||||||
|
|
192 |
Semiannual Report | The accompanying notes are an integral part of these financial statements. |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
FINANCIAL STATEMENTS
Statements of Changes in Net Assets
Franklin Disruptive Commerce ETF | Franklin Dynamic Municipal Bond ETF | |||||||||||||||
Six Months Ended September 30, 2022 (unaudited) |
Year Ended March 31, 2022 |
Six Months Ended September 30, 2022 (unaudited) |
Year Ended March 31, 2022 |
|||||||||||||
Increase (decrease) in net assets: |
||||||||||||||||
Operations: |
||||||||||||||||
Net investment income (loss) |
$ | 3,214 | $ | (136,756 | ) | $ | 1,191,210 | $ | 1,338,701 | |||||||
Net realized gain (loss) |
(4,672,474 | ) | (3,530,248 | ) | (845,370 | ) | (4,924 | ) | ||||||||
Net change in unrealized appreciation (depreciation) |
(1,414,995 | ) | (8,910,981 | ) | (6,358,197 | ) | (5,026,347 | ) | ||||||||
|
|
|||||||||||||||
Net increase (decrease) in net assets resulting from operations |
(6,084,255 | ) | (12,577,985 | ) | (6,012,357 | ) | (3,692,570 | ) | ||||||||
|
|
|||||||||||||||
Distributions to shareholders (Note 1g) |
— | (222,554 | ) | (1,181,283 | ) | (1,204,849 | ) | |||||||||
|
|
|||||||||||||||
Capital share transactions: (Note 2) |
(4,312,705 | ) | (10,442,439 | ) | 19,219,091 | 39,693,714 | ||||||||||
|
|
|||||||||||||||
Net increase (decrease) in net assets |
(10,396,960 | ) | (23,242,978 | ) | 12,025,451 | 34,796,295 | ||||||||||
Net assets: |
||||||||||||||||
Beginning of period |
18,583,779 | 41,826,757 | 76,908,421 | 42,112,126 | ||||||||||||
|
|
|||||||||||||||
End of period |
$ | 8,186,819 | $ | 18,583,779 | $ | 88,933,872 | $ | 76,908,421 | ||||||||
|
|
franklintempleton.com |
The accompanying notes are an integral part of these financial statements. | Semiannual Report |
193 |
FRANKLIN TEMPLETON ETF TRUST
FINANCIAL STATEMENTS
Statements of Changes in Net Assets (continued)
Franklin Exponential Data ETF | Franklin Genomic Advancements ETF | |||||||||||||||
Six Months Ended September 30, 2022 (unaudited) |
Year Ended March 31, 2022 |
Six Months Ended September 30, 2022 (unaudited) |
Year Ended March 31, 2022 |
|||||||||||||
Increase (decrease) in net assets: |
||||||||||||||||
Operations: |
||||||||||||||||
Net investment income loss |
$ | (2,015 | ) | $ | (7,332 | ) | $ | (6,831 | ) | $ | (69,697 | ) | ||||
Net realized gain (loss) |
(364,727 | ) | (487,396 | ) | (2,004,689 | ) | (1,268,783 | ) | ||||||||
Net change in unrealized appreciation (depreciation) |
(682,150 | ) | 292,285 | (842,604 | ) | (5,044,128 | ) | |||||||||
|
|
|||||||||||||||
Net increase (decrease) in net assets resulting from operations |
(1,048,892 | ) | (202,443 | ) | (2,854,124 | ) | (6,382,608 | ) | ||||||||
|
|
|||||||||||||||
Distributions to shareholders (Note 1g) |
— | — | — | (64,946 | ) | |||||||||||
|
|
|||||||||||||||
Capital share transactions: (Note 2) |
— | 1,286,009 | (1,555,550 | ) | 6,106,586 | |||||||||||
|
|
|||||||||||||||
Net increase (decrease) in net assets |
(1,048,892 | ) | 1,083,566 | (4,409,674 | ) | (340,968 | ) | |||||||||
Net assets: |
||||||||||||||||
Beginning of period |
3,417,126 | 2,333,560 | 14,798,677 | 15,139,645 | ||||||||||||
|
|
|||||||||||||||
End of period |
$ | 2,368,234 | $ | 3,417,126 | $ | 10,389,003 | $ | 14,798,677 | ||||||||
|
|
194 |
Semiannual Report | The accompanying notes are an integral part of these financial statements. |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
FINANCIAL STATEMENTS
Statements of Changes in Net Assets (continued)
Franklin High Yield Corporate ETF | Franklin Intelligent Machines ETF | |||||||||||||||
Six Months Ended September 30, 2022 (unaudited) |
Year Ended March 31, 2022 |
Six Months Ended September 30, 2022 (unaudited) |
Year Ended March 31, 2022 |
|||||||||||||
Increase (decrease) in net assets: |
||||||||||||||||
Operations: |
||||||||||||||||
Net investment income (loss) |
$ | 6,734,422 | $ | 16,556,505 | $ | (703 | ) | $ | (25,737 | ) | ||||||
Net realized gain (loss) |
(18,151,912 | ) | 371,679 | 167,061 | (667,586 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) |
(15,585,806 | ) | (21,274,898 | ) | (3,041,963 | ) | 1,481,764 | |||||||||
|
|
|||||||||||||||
Net increase (decrease) in net assets resulting from operations |
(27,003,296 | ) | (4,346,714 | ) | (2,875,605 | ) | 788,441 | |||||||||
|
|
|||||||||||||||
Distributions to shareholders (Note 1g) |
(8,385,263 | ) | (17,355,367 | ) | — | (23,504 | ) | |||||||||
|
|
|||||||||||||||
Capital share transactions: (Note 2) |
(111,615,935 | ) | 9,401,694 | (1,933,835 | ) | — | ||||||||||
|
|
|||||||||||||||
Net increase (decrease) in net assets |
(147,004,494 | ) | (12,300,387 | ) | (4,809,440 | ) | 764,937 | |||||||||
Net assets: |
||||||||||||||||
Beginning of period |
334,285,831 | 346,586,218 | 11,573,816 | 10,808,879 | ||||||||||||
|
|
|||||||||||||||
End of period |
$ | 187,281,337 | $ | 334,285,831 | $ | 6,764,376 | $ | 11,573,816 | ||||||||
|
|
franklintempleton.com |
The accompanying notes are an integral part of these financial statements. | Semiannual Report |
195 |
FRANKLIN TEMPLETON ETF TRUST
FINANCIAL STATEMENTS
Statements of Changes in Net Assets (continued)
Franklin International Aggregate Bond ETF |
Franklin Investment Grade Corporate ETF |
|||||||||||||||
Six Months Ended September 30, 2022 (unaudited) |
Year Ended March 31, 2022 |
Six Months Ended September 30, 2022 (unaudited) |
Year Ended March 31, 2022 |
|||||||||||||
Increase (decrease) in net assets: |
| |||||||||||||||
Operations: |
| |||||||||||||||
Net investment income |
$ | 662,389 | $ | 406,482 | $ | 11,463,445 | $ | 23,268,333 | ||||||||
Net realized gain (loss) |
14,768,149 | 10,960,307 | (66,273,762 | ) | 5,999,435 | |||||||||||
Net change in unrealized appreciation (depreciation) |
(23,028,619 | ) | (18,640,042 | ) | (49,101,987 | ) | (69,996,857 | ) | ||||||||
|
|
|||||||||||||||
Net increase (decrease) in net assets resulting from operations |
(7,598,081 | ) | (7,273,253 | ) | (103,912,304 | ) | (40,729,089 | ) | ||||||||
|
|
|||||||||||||||
Distributions to shareholders (Note 1g) |
(3,272,181 | ) | (4,976,496 | ) | (14,728,514 | ) | (28,480,201 | ) | ||||||||
|
|
|||||||||||||||
Capital share transactions: (Note 2) |
5,987,000 | 24,812,593 | (284,353,542 | ) | 32,171,961 | |||||||||||
|
|
|||||||||||||||
Net increase (decrease) in net assets |
(4,883,262 | ) | 12,562,844 | (402,994,360 | ) | (37,037,329 | ) | |||||||||
Net assets: |
| |||||||||||||||
Beginning of period |
193,967,805 | 181,404,961 | 981,601,827 | 1,018,639,156 | ||||||||||||
|
|
|||||||||||||||
End of period |
$ | 189,084,543 | $ | 193,967,805 | $ | 578,607,467 | $ | 981,601,827 | ||||||||
|
|
196 |
Semiannual Report | The accompanying notes are an integral part of these financial statements. |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
FINANCIAL STATEMENTS
Statements of Changes in Net Assets (continued)
Franklin Municipal Green Bond ETF | Franklin Senior Loan ETF | |||||||||||||||
Six Months Ended September 30, 2022 (unaudited) |
Year Ended March 31, 2022 |
Six Months Ended September 30, 2022 (unaudited) |
Year Ended March 31, 2022 |
|||||||||||||
Increase (decrease) in net assets: |
| |||||||||||||||
Operations: |
| |||||||||||||||
Net investment income |
$ | 1,181,098 | $ | 1,675,014 | $ | 5,976,304 | $ | 7,866,054 | ||||||||
Net realized gain (loss) |
(2,089,130 | ) | (413,327 | ) | (3,124,018 | ) | (374,967 | ) | ||||||||
Net change in unrealized appreciation (depreciation) |
(8,815,611 | ) | (7,422,486 | ) | (13,753,642 | ) | (2,789,129 | ) | ||||||||
|
|
|||||||||||||||
Net increase (decrease) in net assets resulting from operations |
(9,723,643 | ) | (6,160,799 | ) | (10,901,356 | ) | 4,701,958 | |||||||||
|
|
|||||||||||||||
Distributions to shareholders (Note 1g) |
(1,396,499 | ) | (2,038,684 | ) | (5,948,855 | ) | (6,696,117 | ) | ||||||||
|
|
|||||||||||||||
Capital share transactions: (Note 2) |
5,825,810 | (13,082,950 | ) | (57,246,816 | ) | 93,615,229 | ||||||||||
|
|
|||||||||||||||
Net increase (decrease) in net assets |
(5,294,332 | ) | (21,282,433 | ) | (74,097,027 | ) | 91,621,070 | |||||||||
Net assets: |
| |||||||||||||||
Beginning of period |
104,938,542 | 126,220,975 | 292,722,243 | 201,101,173 | ||||||||||||
|
|
|||||||||||||||
End of period |
$ | 99,644,210 | $ | 104,938,542 | $ | 218,625,216 | $ | 292,722,243 | ||||||||
|
|
franklintempleton.com |
The accompanying notes are an integral part of these financial statements. | Semiannual Report |
197 |
FRANKLIN TEMPLETON ETF TRUST
FINANCIAL STATEMENTS
Statements of Changes in Net Assets (continued)
Franklin Systematic Style Premia ETF | Franklin U.S. Core Bond ETF | |||||||||||||||
Six Months Ended September 30, 2022 (unaudited) |
Year Ended March 31, 2022 |
Six Months
Ended September 30, 2022 (unaudited) |
Year Ended March 31, 2022 |
|||||||||||||
Increase (decrease) in net assets: |
| |||||||||||||||
Operations: |
| |||||||||||||||
Net investment income |
$ | 402,833 | $ | 375,343 | $ | 16,565,303 | $ | 28,834,509 | ||||||||
Net realized gain (loss) |
1,002,205 | 4,711,707 | (49,923,497 | ) | (24,963,931 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) |
(1,357,344 | ) | 61,304 | (113,892,878 | ) | (78,870,127 | ) | |||||||||
|
|
|||||||||||||||
Net increase (decrease) in net assets resulting from operations |
47,694 | 5,148,354 | (147,251,072 | ) | (74,999,549 | ) | ||||||||||
|
|
|||||||||||||||
Distributions to shareholders (Note 1g) |
— | (697,021 | ) | (18,609,070 | ) | (35,701,883 | ) | |||||||||
|
|
|||||||||||||||
Capital share transactions: (Note 2) |
45,681,053 | 3,879,642 | 102,965,606 | 160,065,825 | ||||||||||||
|
|
|||||||||||||||
Net increase (decrease) in net assets |
45,728,747 | 8,330,975 | (62,894,536 | ) | 49,364,393 | |||||||||||
Net assets: |
| |||||||||||||||
Beginning of period |
55,258,314 | 46,927,339 | 1,509,961,308 | 1,460,596,915 | ||||||||||||
|
|
|||||||||||||||
End of period |
$ | 100,987,061 | $ | 55,258,314 | $ | 1,447,066,772 | $ | 1,509,961,308 | ||||||||
|
|
198 |
Semiannual Report | The accompanying notes are an integral part of these financial statements. |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
FINANCIAL STATEMENTS
Statements of Changes in Net Assets (continued)
Franklin U.S. Low Volatility ETF | Franklin U.S. Treasury Bond ETF | |||||||||||||||
Six Months Ended September 30, 2022 (unaudited) |
Year Ended March 31, 2022 |
Six Months Ended September 30, 2022 (unaudited) |
Year Ended March 31, 2022 |
|||||||||||||
Increase (decrease) in net assets: |
| |||||||||||||||
Operations: |
| |||||||||||||||
Net investment income |
$ | 1,134,733 | $ | 2,051,655 | $ | 2,525,612 | $ | 3,222,981 | ||||||||
Net realized gain (loss) |
(931,267 | ) | 17,449,280 | (37,542,525 | ) | (939,252 | ) | |||||||||
Net change in unrealized appreciation (depreciation) |
(20,603,349 | ) | (1,376,584 | ) | 7,435,629 | (15,335,003 | ) | |||||||||
|
|
|||||||||||||||
Net increase (decrease) in net assets resulting from operations |
(20,399,883 | ) | 18,124,351 | (27,581,284 | ) | (13,051,274 | ) | |||||||||
|
|
|||||||||||||||
Distributions to shareholders (Note 1g) |
(1,109,117 | ) | (2,063,975 | ) | (3,930,756 | ) | (6,661,686 | ) | ||||||||
|
|
|||||||||||||||
Capital share transactions: (Note 2) |
4,938,056 | (20,946,579 | ) | (8,975,971 | ) | 5,056,701 | ||||||||||
|
|
|||||||||||||||
Net increase (decrease) in net assets |
(16,570,944 | ) | (4,886,203 | ) | (40,488,011 | ) | (14,656,259 | ) | ||||||||
Net assets: |
| |||||||||||||||
Beginning of period |
134,935,415 | 139,821,618 | 403,542,717 | 418,198,976 | ||||||||||||
|
|
|||||||||||||||
End of period |
$ | 118,364,471 | $ | 134,935,415 | $ | 363,054,706 | $ | 403,542,717 | ||||||||
|
|
franklintempleton.com |
The accompanying notes are an integral part of these financial statements. | Semiannual Report |
199 |
FRANKLIN TEMPLETON ETF TRUST
FINANCIAL STATEMENTS
Statements of Changes in Net Assets (continued)
Franklin Ultra Short Bond ETF | ||||||||
Six Months Ended September 30, 2022 (unaudited) |
Year Ended March 31, 2022 |
|||||||
Increase (decrease) in net assets: |
||||||||
Operations: |
||||||||
Net investment income |
$ | 16,550 | $ | 17,705 | ||||
Net realized gain (loss) |
(23,277 | ) | 1,348 | |||||
Net change in unrealized appreciation (depreciation) |
3,670 | (51,611 | ) | |||||
|
|
|||||||
Net increase (decrease) in net assets resulting from operations |
(3,057 | ) | (32,558 | ) | ||||
|
|
|||||||
Distributions to shareholders (Note 1g) |
(15,730 | ) | (17,586 | ) | ||||
|
|
|||||||
Capital share transactions: (Note 2) |
(1,224,045 | ) | 1,244,484 | |||||
|
|
|||||||
Net increase (decrease) in net assets |
(1,242,832 | ) | 1,194,340 | |||||
Net assets: |
||||||||
Beginning of period |
3,681,981 | 2,487,641 | ||||||
|
|
|||||||
End of period |
$ | 2,439,149 | $ | 3,681,981 | ||||
|
|
200 |
Semiannual Report | The accompanying notes are an integral part of these financial statements. |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
Notes to Financial Statements (unaudited)
1. Organization and Significant Accounting Policies
Franklin Templeton ETF Trust (Trust) is registered under the Investment Company Act of 1940 (1940 Act) as an open-end management investment company, consisting of forty-five separate funds, fifteen of which are included in this report (Funds) and applies the specialized accounting and reporting guidance in U.S. Generally Accepted Accounting Principles (U.S. GAAP). Each of the Funds are an exchange traded fund (ETF) and are actively managed, thus they are not designed to track an index.
On November 19, 2021 the Franklin Liberty Federal Tax-Free Bond ETF’s Board of Trustees, approved a proposal to change the name of the Fund to Franklin Municipal Green Bond ETF, effective May 3, 2022.
Effective 08/01/2022, the following name changes occurred:
Old name
* |
Franklin Liberty Investment Grade Corporate ETF |
* |
Franklin Liberty U.S. Low Volatility ETF |
* |
Franklin Liberty International Aggregate Bond ETF |
* |
Franklin Liberty Senior Loan ETF |
* |
Franklin Liberty High Yield Corporate ETF |
* |
Franklin Liberty Systematic Style Premia ETF |
* |
Franklin Liberty U.S. Core Bond ETF |
* |
Franklin Liberty Ultra Short Bond ETF |
* |
Franklin Liberty U.S. Treasury Bond ETF |
New name
* |
Franklin Investment Grade Corporate ETF |
* |
Franklin U.S. Low Volatility ETF |
* |
Franklin International Aggregate Bond ETF |
* |
Franklin Senior Loan ETF |
* |
Franklin High Yield Corporate ETF |
* |
Franklin Systematic Style Premia ETF |
* |
Franklin U.S. Core Bond ETF |
* |
Franklin Ultra Short Bond ETF |
* |
Franklin U.S. Treasury Bond ETF |
The following summarizes the Funds’ 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 measurement date. The Fund calculates the net asset value (NAV) per share each business day as of 4 p.m. Eastern time or the regularly scheduled close of the New York Stock Exchange (NYSE), whichever is earlier. Under compliance policies and procedures approved by the Trust’s Board of Trustees (the Board), the Board has designated the Fund’s investment manager as the valuation designee and has responsibility for oversight of valuation. The investment manager is assisted by the Fund’s administrator in performing this responsibility, including leading the cross-functional Valuation Committee (VC).
The Funds may utilize independent pricing services, quotations from securities and financial instrument dealers, and other market sources to determine fair value.
Equity securities and exchange traded funds listed on an exchange or on the NASDAQ National Market System are valued at the last quoted sale price or the official closing price of the day, respectively. Foreign equity securities are valued as of the close of trading on the foreign stock exchange on which the security is primarily traded or as of 4 p.m. Eastern time. The value is then converted into its U.S. dollar equivalent at the foreign exchange rate in effect at 4 p.m. London time on the day that the value of the security is determined. Over-the-counter (OTC) securities are valued within the range of the most recent quoted bid and ask prices. Securities that trade in multiple markets or on multiple exchanges are valued according to the broadest and most representative market. Certain equity securities are valued based upon fundamental characteristics or relationships to similar securities.
Debt securities generally trade in the over-the-counter (OTC) market rather than on a securities exchange. The Funds’ pricing services use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the pricing services may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the pricing services also utilize proprietary valuation models which may consider market characteristics such as benchmark yield curves, credit spreads, estimated default rates, anticipated market interest rate volatility, coupon rates, anticipated timing of principal
franklintempleton.com |
Semiannual Report |
201 |
FRANKLIN TEMPLETON ETF TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. Organization and Significant Accounting Policies (continued)
a. Financial Instrument Valuation (continued)
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. Securities denominated in a foreign currency are converted into their U.S. dollar equivalent at the foreign exchange rate in effect at 4 p.m. Eastern time on the date that the values of the foreign debt securities are determined.
The Funds have procedures to determine the fair value of financial instruments for which market prices are not reliable or readily available. Under these procedures, the Funds primarily employ a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. An income-based valuation approach may also be used in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed.
Trading in securities on foreign securities stock exchanges and OTC markets may be completed before 4 p.m. Eastern time. In addition, trading in certain foreign markets may not take place on every Funds’ business day. Occasionally, events occur between the time at which trading in a foreign security is completed and 4 p.m. Eastern time that might call into question the reliability of the value of a portfolio security held by the Fund. As a result, differences may arise between the value of the Funds’ portfolio securities as determined at the foreign market close and the latest indications of value at 4 p.m. Eastern time. The VC monitors price movements for significant events following the close of trading in foreign stock markets through a series of country specific market proxies (such as baskets of American Depositary Receipts, futures contracts and exchange traded funds). These price movements are measured against established trigger thresholds for each specific market proxy to assist in determining if an event has occurred that may call into question the reliability of the values of the foreign securities held by the Funds. If such an event occurs, the securities may be valued using fair value procedures, which may include the use of independent pricing services.
When the last day of the reporting period is a non-business day, certain foreign markets may be open on those days that the Funds’ NAV is not calculated, which could result in differences between the value of the Funds’ portfolio securities on the last business day and the last calendar day of the reporting period. Any significant security valuation changes due to an open foreign market are adjusted and reflected by the Funds for financial reporting purposes.
b. Foreign Currency Translation
Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the exchange rate of such currencies against U.S. dollars on the date of valuation. The Funds may enter into foreign currency exchange contracts to facilitate transactions denominated in a foreign currency. Purchases and sales of securities, income and expense items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date. Portfolio securities and assets and liabilities denominated in foreign currencies contain risks that those currencies will decline in value relative to the U.S. dollar. Occasionally, events may impact the availability or reliability of foreign exchange rates used to convert the U.S. dollar equivalent value. If such an event occurs, the foreign exchange rate will be valued at fair value using procedures established and approved by the Board.
The Funds do not separately report the effect of changes in foreign exchange rates from changes in market prices on securities held. Such changes are included in net realized and unrealized gain or loss from investments in the Statements of Operations.
Realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions and the difference between the recorded amounts of dividends, interest, and foreign withholding taxes and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in foreign exchange rates on foreign denominated assets and liabilities other than investments in securities held at the end of the reporting period.
c. Derivative Financial Instruments
Certain or all Funds invested in derivative financial instruments in order to manage risk or gain exposure to various
202 | Semiannual Report | franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
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 Statements of Assets and Liabilities. Realized gain and loss and unrealized appreciation and depreciation on these contracts for the period are included in the Statements of Operations.
Derivative counterparty credit risk is managed through a formal evaluation of the creditworthiness of all potential counterparties. Certain or all Funds attempt to reduce their exposure to counterparty credit risk on OTC derivatives, whenever possible, by entering into International Swaps and Derivatives Association (ISDA) master agreements with certain counterparties. These agreements contain various provisions, including but not limited to collateral requirements, events of default, or early termination.
Termination events applicable to the counterparty include certain deteriorations in the credit quality of the counterparty. Termination events applicable to the Funds include failure of the Funds to maintain certain net asset levels and/or limit the decline in net assets over various periods of time. In the event of default or early termination, the ISDA master agreement gives the non-defaulting party the right to net and close-out all transactions traded, whether or not arising under the ISDA agreement, to one net amount payable by one counterparty to the other. Early termination by the counterparty may result in an immediate payment by the Funds of any net liability owed to that counterparty under the ISDA agreement.
The Funds entered into credit default swap contracts primarily to manage and/or gain exposure to credit risk. A credit default swap is an agreement between the Fund and a counterparty whereby the buyer of the contract receives credit protection and the seller of the contract guarantees
the credit worthiness of a referenced debt obligation. These agreements may be privately negotiated in the over-the-counter market (OTC credit default swaps) or may be executed in a multilateral trade facility platform, such as a registered exchange (centrally cleared credit default swaps). The underlying referenced debt obligation may be a single issuer of corporate or sovereign debt, a credit index, a basket of issuers or indices, or a tranche of a credit index or basket of issuers or indices. In the event of a default of the underlying referenced debt obligation, the buyer is entitled to receive the notional amount of the credit default swap contract from the seller in exchange for the referenced debt obligation, a net settlement amount equal to the notional amount of the credit default swap less the recovery value of the referenced debt obligation, or other agreed upon amount. For centrally cleared credit default swaps, required initial margins are pledged by the Fund, and the daily change in fair value is accounted for as a variation margin payable or receivable. Over the term of the contract, the buyer pays the seller a periodic stream of payments, provided that no event of default has occurred. Such periodic payments are accrued daily as an unrealized appreciation or depreciation until the payments are made, at which time they are realized. Upfront payments and receipts are reflected in the Statements of Assets and Liabilities and represent compensating factors between stated terms of the credit default swap agreement and prevailing market conditions (credit spreads and other relevant factors). These upfront payments and receipts are amortized over the term of the contract as a realized gain or loss in the Statements of Operations.
Collateral requirements differ by type of derivative. Collateral terms are contract specific for OTC derivatives. For OTC derivatives traded under an ISDA master agreement, posting of collateral is required by either the Fund or the applicable counterparty if the total net exposure of all OTC derivatives with the applicable counterparty exceeds the minimum transfer amount, which typically ranges from $100,000 to $250,000, and can vary depending on the counterparty and the type of agreement. Generally, collateral is determined at the close of Fund business each day and any additional collateral required due to changes in derivative values may be delivered by the Fund or the counterparty the next business day, or within a few business days. Collateral pledged and/or received by the Fund, if any, is held in segregated accounts with the Fund’s custodian/counterparty broker and can be in the form of cash and/or securities. Unrestricted cash may be invested according to the Funds’ investment objectives. To
franklintempleton.com |
Semiannual Report |
203 |
FRANKLIN TEMPLETON ETF TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. Organization and Significant Accounting Policies (continued)
c. Derivative Financial Instruments (continued)
the extent that the amounts due to the Fund from its counterparties are not subject to collateralization or are not fully collateralized, the Fund bears the risk of loss from counterparty non-performance.
Certain or all Funds entered into exchange traded futures contracts primarily to manage and/or gain exposure to equity price risk. A futures contract is an agreement between the Fund and a counterparty to buy or sell an asset at a specified price on a future date. Required initial margins are pledged by the Fund, and the daily change in fair value is accounted for as a variation margin payable or receivable in the Statements of Assets and Liabilities.
See Note 11 regarding other derivative information.
d. Securities Purchased on a When-Issued and Delayed Delivery Basis
Certain or all Funds purchase securities on a when-issued and delayed delivery 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. Although the Funds will generally purchase these securities with the intention of holding the securities, they may sell the securities before the settlement date.
e. Senior Floating Rate Interests
Certain or all Funds invest in senior secured corporate loans that pay interest at rates which are periodically reset by reference to a base lending rate plus a spread. These base lending rates are generally the prime rate offered by a designated U.S. bank or the London InterBank Offered Rate (LIBOR). Senior secured corporate loans often require prepayment of principal from excess cash flows or at the discretion of the borrower. As a result, actual maturity may be substantially less than the stated maturity. Senior secured corporate loans in which the Funds invest are generally readily marketable, but may be subject to certain restrictions on resale. On July 27, 2017, the United Kingdom Financial Conduct Authority announced its intention to cease sustaining LIBOR after 2021. There remains uncertainty regarding the future utilization of LIBOR and the nature of any replacement rate. As such, the potential effect of a transition away from LIBOR on the Fund or the Fund’s investments that use or may use a floating rate based on LIBOR cannot yet be determined.
f. Income and Deferred Taxes
It is each Fund’s policy to qualify as a regulated investment company under the Internal Revenue Code. Each 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 Funds may be subject to foreign taxation related to income received, capital gains on the sale of securities and certain foreign currency transactions in the foreign jurisdictions in which the Funds invest. Foreign taxes, if any, are recorded based on the tax regulations and rates that exist in the foreign markets in which the Funds invest. When a capital gain tax is determined to apply, certain or all Funds record an estimated deferred tax liability in an amount that would be payable if the securities were disposed of on the valuation date.
Each 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 sustained upon examination by the tax authorities based on its technical merits. As of September 30, 2022, each 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.
g. Security Transactions, Investment Income, Expenses and Distributions
Security transactions are accounted for on trade date. Realized 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. Dividend income and capital gain distributions are recorded on the ex-dividend date except for certain dividends from securities where the dividend rate is not available. In such cases, the dividend is recorded as soon as the information is received by the Funds. Distributions to shareholders are recorded on the ex-dividend date.Distributable earnings are determined according to income tax regulations (tax basis) and may differ from earnings recorded in accordance with U.S. GAAP. These differences may be permanent or temporary. Permanent differences are reclassified among capital accounts to reflect their tax character. These reclassifications
204 | Semiannual Report | franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
have no impact on net assets or the results of operations. Temporary differences are not reclassified, as they may reverse in subsequent periods.
Common expenses incurred by the Trust are allocated among the Funds based on the ratio of net assets of each Fund to the combined net assets of the Trust. Certain Fund specific expenses are allocated directly to the Fund that incurred the expense. These expenses are paid by the Fund or by the investment manager, as applicable, according to the terms of the unified management fee agreement.
h. Insurance
The scheduled payments of interest and principal for each insured municipal security in the Trust are insured by either a new issue insurance policy or a secondary insurance policy. Some municipal securities in the Funds are secured by collateral guaranteed by an agency of the U.S. government. Depending on the type of coverage, premiums for insurance are either added the cost basis of the security or paid by a third party.
Insurance companies typically insure municipal bonds that tend to be of very high quality, with the majority of underlying municipal bonds rated A or better. However, an event
involving an insurer could have an adverse effect on the value of the securities insured by that insurance company. There can be no assurance the insurer will be able to fulfill its obligations under the terms of the policy.
i. 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.
j. Guarantees and Indemnifications
Under the Trust’s organizational documents, its officers and trustees are indemnified by the Trust against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust, on behalf of the Funds, enters into contracts with service providers that contain general indemnification clauses. The Trust’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 Trust expects the risk of loss to be remote.
2. Shares of Beneficial Interest
Shares of the Funds are issued and redeemed at their respective NAV only in aggregations of a specific 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 Funds. Once created, shares of the Funds generally trade in the secondary market in amounts less than one Creation Unit. The market price of the Funds’ shares will be based on the price in the secondary market which may be at, above or below the most recent NAV. Creation Units may be issued and redeemed in exchange for a designated portfolio of securities and/or cash (which may include cash in lieu of certain securities).
Authorized Participants pay a standard transaction fee to the shareholder servicing agent when purchasing or redeeming Creation Units of the Funds 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 Funds.
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.
franklintempleton.com |
Semiannual Report |
205 |
FRANKLIN TEMPLETON ETF TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
At September 30, 2022, there were an unlimited number of shares authorized (without par value). Transactions in the Funds’ shares were as follows:
Franklin Disruptive Commerce ETF | ||||||||||||||||||||
Six Months Ended September 30, 2022 |
Year Ended March 31, 2022 |
|||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||
Shares sold |
— | $ | 5 | — | $ | 157 | ||||||||||||||
Shares redeemed |
(200,000 | ) | (4,312,710 | ) | (250,000 | ) | (10,442,596 | ) | ||||||||||||
|
|
|||||||||||||||||||
Net increase (decrease) |
(200,000 | ) | $ | (4,312,705 | ) | (250,000 | ) | $ | (10,442,439 | ) | ||||||||||
|
|
|||||||||||||||||||
Franklin Dynamic Municipal Bond ETF | ||||||||||||||||||||
Six Months Ended September 30, 2022 |
Year Ended March 31, 2022 |
|||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||
Shares sold |
1,150,000 | $ | 27,512,016 | 1,550,000 | $ | 40,942,801 | ||||||||||||||
Shares redeemed |
(350,000 | ) | (8,292,925 | ) | (50,000 | ) | (1,249,087 | ) | ||||||||||||
|
|
|||||||||||||||||||
Net increase (decrease) |
800,000 | $ | 19,219,091 | 1,500,000 | $ | 39,693,714 | ||||||||||||||
|
|
|||||||||||||||||||
Franklin Exponential Data ETF | ||||||||||||||||||||
Six Months Ended September 30, 2022 |
Year Ended March 31, 2022 |
|||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||
Shares sold |
— | $ | — | 50,000 | $ | 1,286,009 | ||||||||||||||
|
|
|||||||||||||||||||
Net increase (decrease) |
— | $ | — | 50,000 | $ | 1,286,009 | ||||||||||||||
|
|
|||||||||||||||||||
Franklin Genomic Advancements ETF | ||||||||||||||||||||
Six Months Ended September 30, 2022 |
Year Ended March 31, 2022 |
|||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||
Shares sold |
50,000 | $ | 1,681,091 | 400,000 | $ | 22,040,989 | ||||||||||||||
Shares redeemed |
(100,000 | ) | (3,236,641 | ) | (350,000 | ) | (15,934,403 | ) | ||||||||||||
|
|
|||||||||||||||||||
Net increase (decrease) |
(50,000 | ) | $ | (1,555,550 | ) | 50,000 | $ | 6,106,586 | ||||||||||||
|
|
|||||||||||||||||||
Franklin High Yield Corporate ETF | ||||||||||||||||||||
Six Months Ended September 30, 2022 |
Year Ended March 31, 2022 |
|||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||
Shares sold |
3,600,000 | $ | 80,593,087 | 4,500,000 | $ | 117,942,112 | ||||||||||||||
Shares redeemed |
(8,400,000 | ) | (192,209,022 | ) | (4,250,000 | ) | (108,540,418 | ) | ||||||||||||
|
|
|||||||||||||||||||
Net increase (decrease) |
(4,800,000 | ) | $ | (111,615,935 | ) | 250,000 | $ | 9,401,694 | ||||||||||||
|
|
206 | Semiannual Report | franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
Franklin Intelligent Machines ETF | ||||||||||||||||||||
Six Months Ended September 30, 2022 |
Year Ended March 31, 2022 |
|||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||
Shares sold |
— | $ | 9 | — | $ | — | ||||||||||||||
Shares redeemed |
(50,000 | ) | (1,933,844 | ) | — | — | ||||||||||||||
|
|
|||||||||||||||||||
Net increase (decrease) |
(50,000 | ) | $ | (1,933,835 | ) | — | $ | — | ||||||||||||
|
|
|||||||||||||||||||
Franklin International Aggregate Bond ETF | ||||||||||||||||||||
Six Months Ended September 30, 2022 |
Year Ended March 31, 2022 |
|||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||
Shares sold |
750,000 | $ | 17,492,946 | 2,400,000 | $ | 60,490,312 | ||||||||||||||
Shares redeemed |
(500,000 | ) | (11,505,946 | ) | (1,450,000 | ) | (35,677,719 | ) | ||||||||||||
|
|
|||||||||||||||||||
Net increase (decrease) |
250,000 | $ | 5,987,000 | 950,000 | $ | 24,812,593 | ||||||||||||||
|
|
|||||||||||||||||||
Franklin Investment Grade Corporate ETF | ||||||||||||||||||||
Six Months Ended September 30, 2022 |
Year Ended March 31, 2022 |
|||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||
Shares sold |
3,350,000 | $ | 74,295,403 | 4,300,000 | $ | 107,793,585 | ||||||||||||||
Shares redeemed |
(16,400,000 | ) | (358,648,945 | ) | (2,900,000 | ) | (75,621,624 | ) | ||||||||||||
|
|
|||||||||||||||||||
Net increase (decrease) |
(13,050,000 | ) | $ | (284,353,542 | ) | 1,400,000 | $ | 32,171,961 | ||||||||||||
|
|
|||||||||||||||||||
Franklin Municipal Green Bond ETF | ||||||||||||||||||||
Six Months Ended September 30, 2022 |
Year Ended March 31, 2022 |
|||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||
Shares sold |
650,000 | $ | 15,339,997 | 1,200,000 | $ | 32,661,307 | ||||||||||||||
Shares redeemed |
(400,000 | ) | (9,514,187 | ) | (1,700,000 | ) | (45,744,257 | ) | ||||||||||||
|
|
|||||||||||||||||||
Net increase (decrease) |
250,000 | $ | 5,825,810 | (500,000 | ) | $ | (13,082,950 | ) | ||||||||||||
|
|
|||||||||||||||||||
Franklin Senior Loan ETF | ||||||||||||||||||||
Six Months Ended September 30, 2022 |
Year Ended March 31, 2022 |
|||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||
Shares sold |
2,150,000 | $ | 53,128,370 | 5,300,000 | $ | 132,222,340 | ||||||||||||||
Shares redeemed |
(4,550,000 | ) | (110,375,186 | ) | (1,550,000 | ) | (38,607,111 | ) | ||||||||||||
|
|
|||||||||||||||||||
Net increase (decrease) |
(2,400,000 | ) | $ | (57,246,816 | ) | 3,750,000 | $ | 93,615,229 | ||||||||||||
|
|
franklintempleton.com |
Semiannual Report |
207 |
FRANKLIN TEMPLETON ETF TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
2. Shares of Beneficial Interest (continued)
Franklin Systematic Style Premia ETF | ||||||||||||||||||||
Six Months Ended September 30, 2022 |
Year Ended March 31, 2022 |
|||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||
Shares sold |
2,100,000 | $ | 45,681,053 | 300,000 | $ | 6,039,974 | ||||||||||||||
Shares redeemed |
— | — | (100,000 | ) | (2,160,332 | ) | ||||||||||||||
|
|
|||||||||||||||||||
Net increase (decrease) |
2,100,000 | $ | 45,681,053 | 200,000 | $ | 3,879,642 | ||||||||||||||
|
|
|||||||||||||||||||
Franklin U.S. Core Bond ETF | ||||||||||||||||||||
Six Months Ended September 30, 2022 |
Year Ended March 31, 2022 |
|||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||
Shares sold |
9,250,000 | $ | 206,737,666 | 14,950,000 | $ | 373,614,883 | ||||||||||||||
Shares redeemed |
(4,700,000 | ) | (103,772,060 | ) | (8,600,000 | ) | (213,549,058 | ) | ||||||||||||
|
|
|||||||||||||||||||
Net increase (decrease) |
4,550,000 | $ | 102,965,606 | 6,350,000 | $ | 160,065,825 | ||||||||||||||
|
|
|||||||||||||||||||
Franklin U.S. Low Volatility ETF | ||||||||||||||||||||
Six Months Ended September 30, 2022 |
Year Ended March 31, 2022 |
|||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||
Shares sold |
150,000 | $ | 7,045,830 | 850,000 | $ | 39,828,368 | ||||||||||||||
Shares redeemed |
(50,000 | ) | (2,107,774 | ) | (1,300,000 | ) | (60,774,947 | ) | ||||||||||||
|
|
|||||||||||||||||||
Net increase (decrease) |
100,000 | $ | 4,938,056 | (450,000 | ) | $ | (20,946,579 | ) | ||||||||||||
|
|
|||||||||||||||||||
Franklin U.S. Treasury Bond ETF | ||||||||||||||||||||
Six Months Ended September 30, 2022 |
Year Ended March 31, 2022 |
|||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||
Shares sold |
6,100,000 | $ | 131,727,975 | 1,850,000 | $ | 43,376,401 | ||||||||||||||
Shares redeemed |
(6,450,000 | ) | (140,703,946 | ) | (1,600,000 | ) | (38,319,700 | ) | ||||||||||||
|
|
|||||||||||||||||||
Net increase (decrease) |
(350,000 | ) | $ | (8,975,971 | ) | 250,000 | $ | 5,056,701 | ||||||||||||
|
|
|||||||||||||||||||
Franklin Ultra Short Bond ETF | ||||||||||||||||||||
Six Months Ended September 30, 2022 |
Year Ended March 31, 2022 |
|||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||
Shares sold |
— | $ | — | 50,000 | $ | 1,244,484 | ||||||||||||||
Shares redeemed |
(50,000 | ) | (1,224,045 | ) | — | — | ||||||||||||||
|
|
|||||||||||||||||||
Net increase (decrease) |
(50,000 | ) | $ | (1,224,045 | ) | 50,000 | $ | 1,244,484 | ||||||||||||
|
|
208 | Semiannual Report | franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
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 Funds are also officers and/or directors of the following subsidiaries:
Subsidiary | Affiliation | |
Franklin Advisers, Inc. (Advisers) |
Investment manager | |
Franklin Templeton Institutional, LLC (FT Institutional) |
Investment manager | |
Franklin Templeton Investimentos (Brasil) Ltda. (FTI Brasil) |
Investment manager | |
Franklin Templeton Investment Management Limited (FTIML) |
Investment manager | |
Franklin Templeton Investment Trust Management Co., Ltd. (FT Korea) |
Investment manager | |
Franklin Templeton Investments (ME) Limited (FTIME) |
Investment manager | |
Franklin Templeton Investments Corp. (FTIC) |
Investment manager | |
Franklin Advisory Services, LLC (FASL) |
Investment manager | |
Templeton Asset Management Ltd. (TAML) |
Investment manager | |
Franklin Templeton Services, LLC (FT Services) |
Administrative manager | |
Franklin Templeton Distributors, LLC (Distributors) |
Principal underwriter |
a. Management Fees
For the six months ended September 30, 2022, each Fund’s annualized effective investment management fee rate based on average daily net assets was as follows:
Annualized Fee Rate | ||
Franklin Disruptive Commerce ETF |
0.50% | |
Franklin Dynamic Municipal Bond ETF |
0.625% | |
Franklin Exponential Data ETF |
0.50% | |
Franklin Genomic Advancements ETF |
0.50% | |
Franklin High Yield Corporate ETF |
0.40% | |
Franklin Intelligent Machines ETF |
0.50% | |
Franklin International Aggregate Bond ETF |
0.25% | |
Franklin Investment Grade Corporate ETF |
0.35% | |
Franklin Municipal Green Bond ETF |
0.62% | |
Franklin Senior Loan ETF |
0.45% | |
Franklin Systematic Style Premia ETF |
0.65% | |
Franklin U.S. Core Bond ETF |
0.15% | |
Franklin U.S. Low Volatility ETF |
0.29% | |
Franklin U.S. Treasury Bond ETF |
0.09% | |
Franklin Ultra Short Bond ETF |
0.15% |
b. Administrative Fees
Under an agreement with Advisers and FTIML, FT Services provides administrative services to the Funds. The fee is paid by Advisers and FTIML based on the Funds’ average daily net assets, and is not an additional expense of the Funds.
franklintempleton.com |
Semiannual Report |
209 |
FRANKLIN TEMPLETON ETF TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
3. Transactions with Affiliates (continued)
c. Waiver and Expense Reimbursements
For Franklin Systematic Style Premia ETF, the investment manager had contractually agreed to waive the management fee it receives from the Fund in an amount equal to the management fee paid by a Cayman Islandsbased company that is wholly-owned by the Fund (Subsidiary).
For the Franklin Dynamic Municipal Bond ETF, Franklin Municipal Green Bond ETF, Advisers has contractually agreed in advance to waive or limit its fees and to assume as its own expense certain expenses otherwise payable by so that the expenses (including acquired fund fees and expenses) of the Funds do not exceed 0.30%, and 0.30%, respectively, 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 recapture subsequent to the Funds’ fiscal year end.
d. Investments in Affiliated Management Investment Companies
Certain or all Funds invest 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 Funds do not invest for purposes of exercising a controlling influence over the management or policies. Management fees paid by the Funds are waived on assets invested in the affiliated management investment companies, as noted in the Statements 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, 2022, investments in affiliated management investment companies were as follows:
Value at Beginning of Period |
Purchases | Sales | Realized Gain (Loss) |
Net Change in Unrealized Appreciation (Depreciation) |
Value at End of Period |
Number of Period |
Investment Income |
|||||||||||||||||||||||||
Franklin Exponential Data ETF | ||||||||||||||||||||||||||||||||
Non-Controlled Affiliates | Dividend Income | |||||||||||||||||||||||||||||||
Institutional Fiduciary Trust Money Market Portfolio 2.45% |
$ | 591 | $ | 191,393 | $ | (189,074 | ) | $ | — | $ | — | $ | 2,910 | 2,910 | $ | — | ||||||||||||||||
|
|
|||||||||||||||||||||||||||||||
Franklin U.S. Core Bond ETF | ||||||||||||||||||||||||||||||||
Non-Controlled Affiliates | Dividend Income | |||||||||||||||||||||||||||||||
Institutional Fiduciary Trust Money Market Portfolio 2.45% |
$ | 48,548,641 | $ | 379,535,490 | $ | (393,588,867 | ) | $ | — | $ | — | $ | 34,495,264 | 34,495,264 | $ | — | ||||||||||||||||
|
|
|||||||||||||||||||||||||||||||
Franklin U.S. Treasury Bond ETF | ||||||||||||||||||||||||||||||||
Non-Controlled Affiliates | Dividend Income | |||||||||||||||||||||||||||||||
Institutional Fiduciary Trust Money Market Portfolio 2.45% |
$ | 4,633,381 | $ | 96,171,323 | $ | (98,990,944 | ) | $ | — | $ | — | $ | 1,813,760 | 1,813,760 | $ | — | ||||||||||||||||
|
|
|||||||||||||||||||||||||||||||
Franklin Ultra Short Bond ETF | ||||||||||||||||||||||||||||||||
Non-Controlled Affiliates | Dividend Income | |||||||||||||||||||||||||||||||
Institutional Fiduciary Trust Money Market Portfolio 2.45% |
$ | 81,009 | $ | 845,173 | $ | (595,116 | ) | $ | — | $ | — | $ | 331,066 | 331,066 | $ | — | ||||||||||||||||
|
|
210 | Semiannual Report | franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
e. Other Affiliated Transactions
At September 30, 2022, the shares of the funds were owned by the following investment entities:
Funds | Shares | Percentage of Outstanding Sharesa |
||||||
Franklin Disruptive Commerce ETF | ||||||||
Franklin Resources Inc. |
25,000 | 6.3% | ||||||
|
|
|||||||
Franklin Dynamic Municipal Bond ETF | ||||||||
Franklin High Yield Tax-Free Income Fund |
1,605,000 | 41.2% | ||||||
|
|
|||||||
Franklin High Yield Corporate ETF | ||||||||
Franklin Conservative Allocation Fund |
1,212,833 | 13.9% | ||||||
Franklin Moderate Allocation Fund |
1,294,370 | 14.9% | ||||||
Franklin 529 Portfolios |
4,160,446 | 47.8% | ||||||
|
|
|||||||
6,667,649 | 76.6% | |||||||
|
|
|||||||
Franklin Intelligent Machines ETF | ||||||||
Franklin Resources Inc. |
20,000 | 10.0% | ||||||
|
|
|||||||
Franklin International Aggregate Bond ETF | ||||||||
Franklin Conservative Allocation Fund |
908,916 | 10.8% | ||||||
Franklin Moderate Allocation Fund |
885,688 | 10.5% | ||||||
Franklin 529 Portfolios |
5,586,728 | 66.1% | ||||||
|
|
|||||||
7,381,332 | 87.4% | |||||||
|
|
|||||||
Franklin Investment Grade Corporate ETF | ||||||||
Franklin Total Return Fund |
16,060,000 | 56.6% | ||||||
Franklin 529 Portfolios |
4,369,282 | 15.4% | ||||||
|
|
|||||||
20,429,282 | 72.0% | |||||||
|
|
|||||||
Franklin Municipal Green Bond ETF | ||||||||
Franklin Federal Limited-Term Tax-Free Income Fund |
1,550,000 | 34.8% | ||||||
Franklin Federal Intermediate-Term Tax-Free Income Fund |
2,115,000 | 47.5% | ||||||
|
|
|||||||
3,665,000 | 82.3% | |||||||
|
|
|||||||
Franklin Senior Loan ETF | ||||||||
Franklin Total Return Fund |
1,737,400 | 18.4% | ||||||
Franklin Floating Rate Master Trust |
510,877 | 5.4% | ||||||
|
|
|||||||
2,248,277 | 23.8% | |||||||
|
|
|||||||
Franklin Systematic Style Premia ETF | ||||||||
Franklin Conservative Allocation Fund |
486,201 | 10.3% | ||||||
Franklin Moderate Allocation Fund |
788,623 | 16.8% | ||||||
Franklin Growth Allocation Fund |
560,257 | 11.9% | ||||||
Franklin Managed Income Fund |
1,175,000 | 25.0% | ||||||
|
|
|||||||
3,010,081 | 64.0% | |||||||
|
|
|||||||
Franklin U.S. Core Bond ETF | ||||||||
Franklin Conservative Allocation Fund |
9,684,066 | 14.0% | ||||||
Franklin Moderate Allocation Fund |
10,335,391 | 15.0% | ||||||
Franklin 529 Portfolios |
32,866,401 | 47.6% | ||||||
|
|
|||||||
52,885,858 | 76.6% | |||||||
|
|
franklintempleton.com |
Semiannual Report |
211 |
FRANKLIN TEMPLETON ETF TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
3. Transactions with Affiliates (continued)
e. Other Affiliated Transactions (continued)
Funds | Shares | Percentage of Outstanding Sharesa |
||||||
Franklin U.S. Treasury Bond ETF | ||||||||
Franklin Conservative Allocation Fund |
2,529,587 | 14.5% | ||||||
Franklin Moderate Allocation Fund |
2,699,747 | 15.5% | ||||||
Franklin 529 Portfolios |
8,461,533 | 48.5% | ||||||
|
|
|||||||
13,690,867 | 78.5% | |||||||
|
|
|||||||
Franklin Ultra Short Bond ETF | ||||||||
Franklin Resources Inc. |
33,000 | 33.0% | ||||||
|
|
aInvestment activities of significant shareholders could have a material impact on the Funds.
4. Income Taxes
For tax purposes, capital losses may be carried over to offset future capital gains. At March 31, 2022, the capital loss carryforwards were as follows:
Franklin Disruptive Commerce ETF |
Franklin Dynamic Municipal Bond ETF |
Franklin Exponential Data ETF |
Franklin Genomic Advancements ETF |
|||||||||||||
Capital loss carryforwards not subject to expiration: | ||||||||||||||||
Long term |
$ | 129,808 | $ | 77,115 | $ | 99,216 | $ | 339,406 | ||||||||
Short term |
6,001,047 | 165,126 | 404,511 | 5,641,835 | ||||||||||||
|
|
|||||||||||||||
Total capital loss carryforwards |
$ | 6,130,855 | $ | 242,241 | $ | 503,727 | $ | 5,981,241 | ||||||||
|
|
|||||||||||||||
Franklin High Yield Corporate ETF |
Franklin Intelligent Machines ETF |
Franklin International Aggregate Bond ETF |
Franklin Investment Grade Corporate ETF |
|||||||||||||
Capital loss carryforwards not subject to expiration: | ||||||||||||||||
Long term |
$ | — | $ | 44,508 | $ | 661,680 | $ | — | ||||||||
Short term |
— | 623,321 | 621,329 | — | ||||||||||||
|
|
|||||||||||||||
Total capital loss carryforwards |
$ | — | $ | 667,829 | $ | 1,283,009 | $ | — | ||||||||
|
|
|||||||||||||||
Franklin Green |
Franklin Senior Loan ETF |
Franklin Systematic Style Premia ETF |
Franklin U.S. Core Bond ETF |
|||||||||||||
Capital loss carryforwards not subject to expiration: | ||||||||||||||||
Long term |
$ | 477,407 | $ | 1,148,492 | $ | — | $ | 12,324,674 | ||||||||
Short term |
1,277,016 | 792,621 | 12,077,714 | 16,633,065 | ||||||||||||
|
|
|||||||||||||||
Total capital loss carryforwards |
$ | 1,754,423 | $ | 1,941,113 | $ | 12,077,714 | $ | 28,957,739 | ||||||||
|
|
|||||||||||||||
Franklin U.S. Low Volatility ETF |
Franklin U.S. Treasury Bond ETF |
Franklin Ultra Short Bond ETF |
||||||||||||||
Capital loss carryforwards not subject to expiration: | ||||||||||||||||
Long term |
$ | — | $ | 1,016,578 | $ | 2,468 | ||||||||||
Short term |
599,857 | 6,131,158 | 14,153 | |||||||||||||
|
|
|||||||||||||||
Total capital loss carryforwards |
$ | 599,857 | $ | 7,147,736 | $ | 16,621 | ||||||||||
|
|
212 | Semiannual Report | franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
At September 30, 2022, the cost of investments and net unrealized appreciation (depreciation) for income tax purposes were as follows:
Franklin Disruptive Commerce ETF |
Franklin Dynamic Municipal Bond ETF |
Franklin Exponential Data ETF |
Franklin Genomic Advancements ETF |
|||||||||||||
Cost of investments |
$ | 11,578,381 | $ | 99,729,625 | $ | 2,859,319 | $ | 13,919,783 | ||||||||
|
|
|||||||||||||||
Unrealized appreciation |
$ | 8,565 | $ | 19,755 | $ | 89,892 | $ | 79,351 | ||||||||
Unrealized depreciation |
(3,580,715 | ) | (10,058,167 | ) | (581,934 | ) | (3,718,357 | ) | ||||||||
|
|
|||||||||||||||
Net unrealized appreciation (depreciation) . |
$ | (3,572,150 | ) | $ | (10,038,412 | ) | $ | (492,042 | ) | $ | (3,639,006 | ) | ||||
|
|
|||||||||||||||
Franklin High Yield Corporate ETF |
Franklin Intelligent Machines ETF |
Franklin International Aggregate Bond ETF |
Franklin Investment Grade Corporate ETF |
|||||||||||||
Cost of investments |
$ | 216,703,770 | $ | 7,706,465 | $ | 216,573,439 | $ | 693,629,163 | ||||||||
|
|
|||||||||||||||
Unrealized appreciation |
$ | 632,929 | $ | 415,397 | $ | 2,021,399 | $ | 2,530,552 | ||||||||
Unrealized depreciation |
(32,532,624 | ) | (1,359,423 | ) | (47,497,596 | ) | (123,702,978 | ) | ||||||||
|
|
|||||||||||||||
Net unrealized appreciation (depreciation) . |
$ | (31,899,695 | ) | $ | (944,026 | ) | $ | (45,476,197 | ) | $ | (121,172,426 | ) | ||||
|
|
|||||||||||||||
Franklin Municipal Green Bond ETF |
Franklin Senior Loan ETF |
Franklin Systematic Style Premia ETF |
Franklin U.S. Core Bond ETF |
|||||||||||||
Cost of investments |
$ | 112,996,243 | $ | 234,116,557 | $ | 54,263,616 | $ | 1,660,699,628 | ||||||||
|
|
|||||||||||||||
Unrealized appreciation |
$ | 13,057 | $ | 62,406 | $ | 1,531,308 | $ | 6,074,716 | ||||||||
Unrealized depreciation |
(14,800,359 | ) | (17,058,994 | ) | (4,338,500 | ) | (210,613,250 | ) | ||||||||
|
|
|||||||||||||||
Net unrealized appreciation (depreciation) . |
$ | (14,787,302 | ) | $ | (16,996,588 | ) | $ | (2,807,192 | ) | $ | (204,538,534 | ) | ||||
|
|
|||||||||||||||
Franklin U.S. Low Volatility ETF |
Franklin U.S. Treasury Bond ETF |
Franklin Ultra Short Bond ETF |
||||||||||||||
Cost of investments |
$ | 120,702,658 | $ | 357,638,071 | $ | 2,467,897 | ||||||||||
|
|
|||||||||||||||
Unrealized appreciation |
$ | 9,422,925 | $ | 1,219,470 | $ | 88 | ||||||||||
Unrealized depreciation |
(11,830,583 | ) | (24,292,240 | ) | (38,296 | ) | ||||||||||
|
|
|||||||||||||||
Net unrealized appreciation (depreciation) . |
$ | (2,407,658 | ) | $ | (23,072,770 | ) | $ | (38,208 | ) | |||||||
|
|
Differences between income and/or capital gains as determined on a book basis and a tax basis are primarily due to differing treatment of corporate actions, passive foreign investment company shares and wash sales.
franklintempleton.com |
Semiannual Report |
213 |
FRANKLIN TEMPLETON ETF TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
5. Investment Transactions
Purchases and sales of investments (excluding short term securities and in-kind transactions, if any) for the period ended September 30, 2022, were as follows:
Franklin Disruptive Commerce ETF |
Franklin Dynamic Municipal Bond ETF |
Franklin Exponential Data ETF |
Franklin Genomic Advancements ETF |
|||||||||||||
Purchases |
$ | 3,930,546 | $ | 45,532,057 | $ | 509,759 | $ | 3,503,868 | ||||||||
Sales |
$ | 7,982,321 | $ | 22,416,936 | $ | 534,183 | $ | 3,256,236 | ||||||||
Franklin High Yield Corporate ETF |
Franklin Intelligent Machines ETF |
Franklin International Aggregate Bond ETF |
Franklin Investment Grade Corporate ETF |
|||||||||||||
Purchases |
$ | 8,280,832 | $ | 1,653,920 | $ | 25,841,847 | $ | 125,400,928 | ||||||||
Sales |
$ | 15,430,092 | $ | 1,485,913 | $ | 10,776,306 | $ | 111,220,373 | ||||||||
Franklin Municipal Green Bond ETF |
Franklin Senior Loan ETF |
Franklin Systematic Style Premia ETF |
Franklin U.S. Core Bond ETF |
|||||||||||||
Purchases |
$ | 38,285,661 | $ | 2,070,718,180 | $ | 67,728,108 | $ | 596,646,795 | ||||||||
Sales |
$ | 31,802,945 | $ | 2,130,487,215 | $ | 42,180,207 | $ | 515,874,708 | ||||||||
Franklin U.S. Low Volatility ETF |
Franklin U.S. Treasury Bond ETF |
Franklin Ultra Short Bond ETF |
||||||||||||||
Purchases |
$ | 17,567,170 | $ | 284,488,992 | $ | 300,256 | ||||||||||
Sales |
$ | 17,431,148 | $ | 316,245,341 | $ | 1,782,818 |
In-kind transactions associated with creation and redemptions for the period ended September 30, 2022, were as follows:
Franklin Disruptive Commerce ETF |
Franklin Dynamic Municipal Bond ETF |
Franklin Exponential Data ETF |
Franklin Genomic Advancements ETF |
|||||||||||||
Cost of Securities Received |
$ | — | $ | — | $ | — | $ | 1,581,290 | ||||||||
Value of Securities Delivereda |
$ | — | $ | — | $ | — | $ | 3,042,537 |
214 | Semiannual Report | franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
Franklin High Yield Corporate ETF |
Franklin Intelligent Machines ETF |
Franklin International Aggregate Bond ETF |
Franklin Investment Grade Corporate ETF |
|||||||||||||
Cost of Securities Received |
$ | 79,591,847 | $ | — | $ | — | $ | 68,073,099 | ||||||||
Value of Securities Delivereda |
$ | 187,073,192 | $ | 1,816,647 | $ | — | $ | 353,936,089 | ||||||||
Franklin Municipal Green Bond ETF |
Franklin Senior Loan |
Franklin Systematic Style Premia ETF |
Franklin Bond ETF |
|||||||||||||
Cost of Securities Received |
$ | — | $ | — | $ | — | $ | — | ||||||||
Value of Securities Delivereda |
$ | — | $ | — | $ | — | $ | — | ||||||||
Franklin U.S. Low Volatility ETF |
Franklin U.S. Treasury Bond ETF |
Franklin Ultra Short Bond ETF |
||||||||||||||
Cost of Securities Received |
$ | 6,956,287 | $ | — | $ | — | ||||||||||
Value of Securities Delivereda |
$ | 2,077,698 | $ | — | $ | — |
aRealized gains and losses from in-kind redemptions, as shown on the Statement of Operations, are not recognized by the Funds for tax purposes.
6. Global Credit Facility
The Funds, together with other U.S. registered and foreign investment funds (collectively, Borrowers), managed by Franklin Templeton, are borrowers in a joint syndicated senior unsecured credit facility totaling $2.675 billion (Global Credit Facility) which matures on February 3, 2023. This Global Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the ability to meet future unanticipated or unusually large redemption requests.
Under the terms of the Global Credit Facility, the Funds shall, in addition to interest charged on any borrowings made by the Funds and other costs incurred by the Funds, pay its/their share of fees and expenses incurred in connection with the implementation and maintenance of the Global Credit Facility, based upon their relative share of the aggregate net assets of all of the Borrowers, including an annual commitment fee of 0.15% based upon the unused portion of the Global Credit Facility. These fees are reflected in other expenses in the Statement of Operations.
During the reporting period ended September 30, 2022, the Franklin Senior Loan ETF utilized the Facility May 09, 2022 through May 18, 2022 with an average borrowing of $18,125,000; the average interest rate during the period was 1.88% and total interest paid amounted to $7,589.
7. Concentration of Risk
Investing in foreign securities may include certain risks and considerations not typically associated with investing in U.S. securities, such as fluctuating currency values and changing local, regional and global economic, political and social conditions, which may result in greater market volatility. Political and financial uncertainty in many foreign regions may increase market volatility and the economic risk of investing in foreign securities. In addition, certain foreign securities may not be as liquid as U.S. securities.
8. Geopolitical Risk
On February 24, 2022, Russia engaged in military actions in the sovereign territory of Ukraine. The current political and financial uncertainty surrounding Russia and Ukraine may increase market volatility and the economic risk of investing in securities
franklintempleton.com |
Semiannual Report |
215 |
FRANKLIN TEMPLETON ETF TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
8. Geopolitical Risk (continued)
in these countries and may also cause uncertainty for the global economy and broader financial markets. The ultimate fall out and long-term impact form these events are not known. The Fund will continue to assess the impact on valuations and liquidity and will take any potential actions needed in accordance with procedures approved by the Board of Trustees.
9. Novel Coronavirus Pandemic
The global outbreak of the novel coronavirus disease, known as COVID-19, has caused adverse effects on many companies, sectors, nations, regions and the markets in general, and may continue for an unpredictable duration. The effects of this pandemic may materially impact the value and performance of the Funds, their ability to buy and sell fund investments at appropriate valuations and their ability to achieve their investment objectives.
10. Credit Risk and Defaulted Securities
At September 30, 2022, Franklin Dynamic Municipal Bond ETF, Franklin Municipal Green Bond ETF, Franklin High Yield Corporate ETF, Franklin Investment Grade Corporate ETF and Franklin Senior Loan ETF had 37.47%, 5.43%, 91.74%, 3.03% and 93.06%, respectively, of their portfolio invested in high yield securities, senior secured floating rate notes, or other securities rated below investment grade and unrated securities, if any. These securities may be more sensitive to economic conditions causing greater price volatility and are potentially subject to a greater risk of loss due to default than higher rated securities.
The Fund may purchase the pre-default or defaulted debt of distressed companies. Distressed companies are financially troubled and could be or are already involved in financial restructuring or bankruptcy. Risks associated with purchasing these securities include the possibility that the bankruptcy or other restructuring process takes longer than expected, or that distributions in restructuring are less than anticipated, either or both of which may result in unfavorable consequences to the Fund. If it becomes probable that the income on debt securities, including those distressed companies, will not be collected, the Fund discontinues accruing income and recognizes an adjustment for uncollectible interest. At September 30, 2022, Franklin Dynamic Municipal Bond ETF, Franklin High Yield Corporate ETF, and Franklin Senior Loan ETF the aggregate long value of distressed company securities for which interest recognition has been discontinued representing 0.2%, 1.4% and 0.3% of the Fund’s net assets respectively. For information as to specific securities, see the accompanying Schedule of Investments.
11. Other Derivative Information
At September 30, 2022, the Funds’ investments in derivative contracts are reflected in the Statements of Assets and Liabilities as follows:
Asset Derivatives |
Liability Derivatives |
|||||||||||
Statements of Assets and Liabilities Location |
Fair Value | Statements of Assets and Liabilities Location |
Fair Value | |||||||||
Franklin International Aggregate Bond ETF |
||||||||||||
Foreign exchange contracts |
Unrealized appreciation on OTC forward exchange contracts |
$ | 10,717,565 |
Unrealized appreciation on OTC forward exchange contracts |
$ | 19,172 | ||||||
|
|
|
|
|||||||||
Franklin Investment Grade Corporate ETF |
||||||||||||
Interest rate contracts |
Variation margin on futures contracts |
$ | 985,371 |
Variation margin on futures contracts |
$ | — | ||||||
|
|
|
|
|||||||||
Franklin Systematic Style Premia ETF |
||||||||||||
Foreign exchange contracts |
Unrealized appreciation on OTC forward exchange contracts |
$ | 728,444 |
Unrealized appreciation on OTC forward exchange contracts |
$ | 385,207 | ||||||
Index contracts |
Variation margin on futures contracts |
2,412,150 |
Variation margin on futures contracts |
2,206,746 | ||||||||
Equity contracts |
Swap contracts |
4,311,435 |
Swap contracts |
— | ||||||||
|
|
|
|
|||||||||
Totals |
$ | 7,452,029 | $ | 2,591,953 | ||||||||
|
|
|
|
216 | Semiannual Report | franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
Asset Derivatives |
Liability Derivatives |
|||||||||||
Statements of Assets and Liabilities Location |
Fair Value | Statements of Assets and Liabilities Location |
Fair Value | |||||||||
Franklin U.S. Core Bond ETF | ||||||||||||
Interest rate contracts |
Variation margin on futures contracts |
$ | — |
Variation margin on futures contracts |
$ | 73,679 | ||||||
Credit contracts |
— | 114,058 | ||||||||||
|
|
|
|
|||||||||
Totals |
$ | — | $ | 187,737 | ||||||||
|
|
|
|
For the period ended September 30, 2022, the effect of derivative contracts in the Funds’ Statements of Operations was as follows:
Derivative
Contracts Not Accounted for as Hedging Instruments |
Statements
of Operations Locations |
Net Realized Gain (Loss) for the Period |
Statements
of Operations Locations |
Net Change in Unrealized Appreciation (Depreciation) for the Period |
||||||||
Franklin International Aggregate Bond ETF | ||||||||||||
Net realized gain (loss) from: |
Net
change in unrealized |
| ||||||||||
Foreign exchange contracts |
Forward exchange contracts |
$ | 19,702,306 |
Forward exchange contracts |
$ | 5,944,270 | ||||||
|
|
|
|
|||||||||
Franklin Investment Grade Corporate ETF | ||||||||||||
Net realized gain (loss) from: |
|
Net
change in unrealized |
| |||||||||
Interest rate contracts |
Futures contracts |
$ | 2,070,832 |
Futures contracts |
$ | 114,485 | ||||||
|
|
|
|
|||||||||
Franklin Systematic Style Premia ETF | ||||||||||||
Net realized gain (loss) from: |
|
Net
change in unrealized |
| |||||||||
Foreign exchange contracts |
Forward exchange contracts |
$ | 729,632 |
Forward exchange contracts |
$ | 69,755 | ||||||
Equity contracts |
Futures contracts |
(1,004,814 | ) |
Futures contracts |
555,160 | |||||||
Equity contracts |
Swap contracts |
4,026,792 |
Swap contracts |
4,311,435 | ||||||||
|
|
|
|
|||||||||
Totals |
$ | 3,751,610 | $ | 4,936,350 | ||||||||
|
|
|
|
|||||||||
Franklin U.S. Core Bond ETF | ||||||||||||
Net realized gain (loss) from: |
|
Net
change in unrealized |
| |||||||||
Equity contracts |
Futures contracts |
$ | 345,524 |
Futures contracts |
$ | (115,981 | ) | |||||
Interest rate contracts |
Futures contracts |
— |
Futures contracts |
(73,679 | ) | |||||||
Credit contracts |
Swap contracts |
— |
Swap Contracts |
(114,058 | ) | |||||||
Interest rate contracts |
Swap contracts |
43,134 |
Swap contracts |
18,028 | ||||||||
|
|
|
|
|||||||||
Totals |
$ | 388,658 | $ | (285,690 | ) | |||||||
|
|
|
|
franklintempleton.com |
Semiannual Report |
217 |
FRANKLIN TEMPLETON ETF TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
11. Other Derivative Information (continued)
For the period ended September 30, 2022, the average month end notional amount of futures contracts and average month end contract value for forward exchange contracts were as follows:
Franklin International Aggregate Bond ETF |
Franklin Investment Grade Corporate ETF |
Franklin Systematic Style Premia ETF |
||||||||||
Futures contracts |
$ | — | $ | 27,041,642 | $ | 68,490,754 | ||||||
Forward exchange contracts |
$ | 179,051,311 | $ | — | $ | 46,891,554 | ||||||
Franklin U.S. Core Bond ETF |
||||||||||||
Futures contracts |
$ | 18,148,445 |
At September 30, 2022, the Funds’ OTC derivative assets and liabilities are as follows:
Gross and Net Amounts of Assets and Liabilities Presented in the Statements of Assets and Liabilities |
||||||||
Assetsaa | Liabilitiesaa | |||||||
Franklin International Aggregate Bond ETF | ||||||||
Foreign exchange contracts |
$ | 10,717,565 | $ | 19,172 | ||||
|
|
|||||||
Franklin Systematic Style Premia ETF | ||||||||
Equity contracts |
$ | 4,311,435 | $ | — | ||||
Foreign exchange contracts |
$ | 728,444 | $ | 385,207 | ||||
Credit contracts |
$ | — | $ | 114,058 | ||||
|
|
aAbsent an event of default or early termination, OTC derivative assets and liabilities are presented gross and not offset in the Statements of Assets and Liabilities.
At September 30, 2022, the Funds’ OTC derivative assets, which may be offset against the Funds’ OTC derivative liabilities and collateral received from the counterparty, are as follows:
Amounts Not Offset in the Statements of Assets and Liabilities |
||||||||||||||||||||
Gross and Net Amounts of Assets Presented in the Statements of Assets and Liabilities |
Financial Instruments Available for Offset |
Financial Instruments Collateral Received |
Cash Collateral Received |
Net Amount (Not less than zero) |
||||||||||||||||
Franklin International Aggregate Bond ETF |
||||||||||||||||||||
Counterparty | ||||||||||||||||||||
CITI |
$ | 10,717,565 | $ | (19,172 | ) | $ | — | $ | — | $ | 10,698,393 | |||||||||
|
|
|||||||||||||||||||
Franklin Systematic Style Premia ETF |
||||||||||||||||||||
Counterparty | ||||||||||||||||||||
MSCO |
$ | 728,444 | $ | (385,207 | ) | $ | — | $ | — | $ | 343,237 | |||||||||
MSCS |
4,311,435 | — | — | — | 4,311,435 | |||||||||||||||
|
|
|||||||||||||||||||
Total |
$ | 5,039,879 | $ | (385,207 | ) | $ | — | $ | — | $ | 4,654,672 | |||||||||
|
|
218 | Semiannual Report | franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
At September 30, 2022, the Funds’ OTC derivative liabilities, which may be offset against the Funds’ OTC derivative assets and collateral pledged to the counterparty, are as follows:
Amounts Not Offset in the Statements of Assets and Liabilities |
||||||||||||||||||||
Gross and Net Amounts of Liabilities Presented in the Statements of Assets and Liabilities |
Financial Instruments Available for Offset |
Financial Instruments Collateral Pledgeda |
Cash Collateral Pledgeda |
Net Amount (Not less than zero) |
||||||||||||||||
Franklin International Aggregate Bond ETF |
||||||||||||||||||||
Counterparty | ||||||||||||||||||||
CITI |
$ | 19,172 | $ | (19,172 | ) | $ | — | $ | — | $ | — | |||||||||
|
|
|||||||||||||||||||
Franklin Systematic Style Premia ETF |
||||||||||||||||||||
Counterparty | ||||||||||||||||||||
MSCO |
$ | 385,207 | $ | (385,207 | ) | $ | — | $ | — | $ | — | |||||||||
|
|
|||||||||||||||||||
Franklin U.S. Core Bond ETF |
||||||||||||||||||||
Counterparty | ||||||||||||||||||||
BrCd 92449 |
$ | 114,058 | $ | — | $ | — | $ | — | $ | 114,058 | ||||||||||
|
|
aIn some instances, the collateral amounts disclosed in the table above were adjusted due to the requirement to limit collateral amounts to avoid the effect of overcollateral-ization. Actual collateral received and/or pledged may be more than the amounts disclosed herein.
See Note 1(c) regarding derivative financial instruments.
12. Fair Value Measurements
The Funds follow a fair value hierarchy that distinguishes between market data obtained from independent sources (observable inputs) and the Funds’ own market assumptions (unobservable inputs). These inputs are used in determining the value of the Funds’ financial instruments and are summarized in the following fair value hierarchy:
• |
Level 1 – quoted prices in active markets for identical financial instruments |
• |
Level 2 – other significant observable inputs (including quoted prices for similar financial instruments, interest rates, prepayment speed, credit risk, etc.) |
• |
Level 3 – significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of financial instruments) |
The input levels are not necessarily an indication of the risk or liquidity associated with financial instruments at that level.
A summary of inputs used as of September 30, 2022, in valuing the Funds’ assets and liabilities carried at fair value, is as follows:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Franklin Disruptive Commerce ETF | ||||||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: |
||||||||||||||||
Equity Investments |
$ | 8,006,231 | $ | — | $ | — | $ | 8,006,231 | ||||||||
|
|
|||||||||||||||
Franklin Dynamic Municipal Bond ETF | ||||||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: |
||||||||||||||||
Municipal Bonds |
$ | — | $ | 89,691,214 | $ | — | $ | 89,691,214 | ||||||||
|
|
franklintempleton.com |
Semiannual Report |
219 |
FRANKLIN TEMPLETON ETF TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
12. Fair Value Measurements (continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Franklin Exponential Data ETF | ||||||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: |
||||||||||||||||
Equity Investments |
$ | 2,364,367 | $ | — | $ | — | $ | 2,364,367 | ||||||||
Short-Term Investments |
2,910 | — | — | 2,910 | ||||||||||||
|
|
|||||||||||||||
Total Investments in Securities |
$ | 2,367,277 | $ | — | $ | — | $ | 2,367,277 | ||||||||
|
|
|||||||||||||||
Franklin Genomic Advancements ETF | ||||||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: |
||||||||||||||||
Equity Investments |
$ | 10,280,777 | $ | — | $ | — | $ | 10,280,777 | ||||||||
|
|
|||||||||||||||
Franklin High Yield Corporate ETF | ||||||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: |
||||||||||||||||
Corporate Bonds & Notes |
$ | — | $ | 166,611,438 | $ | — | $ | 166,611,438 | ||||||||
Senior Floating Rate Interests |
— | 7,867,636 | — | 7,867,636 | ||||||||||||
Short-Term Investments |
— | 10,325,000 | — | 10,325,000 | ||||||||||||
|
|
|||||||||||||||
Total Investments in Securities |
$ | — | $ | 184,804,074 | $ | — | $ | 184,804,074 | ||||||||
|
|
|||||||||||||||
Franklin Intelligent Machines ETF | ||||||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: |
||||||||||||||||
Equity Investments |
$ | 6,762,440 | $ | — | $ | — | $ | 6,762,440 | ||||||||
|
|
|||||||||||||||
Franklin International Aggregate Bond ETF | ||||||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: |
||||||||||||||||
Foreign Government and Agency Securities |
$ | — | $ | 144,794,934 | $ | — | $ | 144,794,934 | ||||||||
Corporate Bonds & Notes |
— | 9,117,308 | — | 9,117,308 | ||||||||||||
Short-Term Investments |
— | 17,185,000 | — | 17,185,000 | ||||||||||||
|
|
|||||||||||||||
Total Investments in Securities |
$ | — | $ | 171,097,242 | $ | — | $ | 171,097,242 | ||||||||
|
|
|||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Forward Exchange Contracts |
$ | — | $ | 10,717,565 | $— | $ | 10,717,565 | |||||||||
|
|
|||||||||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments: |
||||||||||||||||
Forward Exchange Contracts |
$ | — | $ | 19,172 | $— | $ | 19,172 | |||||||||
|
|
|||||||||||||||
Franklin Investment Grade Corporate ETF | ||||||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: |
||||||||||||||||
Corporate Bonds & Notes |
$ | — | $ | 546,110,859 | $ | — | $ | 546,110,859 | ||||||||
Discount Note |
— | 1,915,878 | — | 1,915,878 | ||||||||||||
Short-Term Investments |
— | 24,430,000 | — | 24,430,000 | ||||||||||||
|
|
|||||||||||||||
Total Investments in Securities |
$ | — | $ | 572,456,737 | $ | — | $ | 572,456,737 | ||||||||
|
|
|||||||||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments: |
||||||||||||||||
Futures Contracts |
$ | 985,371 | $ | — | $— | $ | 985,371 | |||||||||
|
|
220 | Semiannual Report | franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Franklin Municipal Green Bond ETF | ||||||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: |
||||||||||||||||
Municipal Bonds |
$ | — | $ | 98,178,941 | $ | — | $ | 98,178,941 | ||||||||
|
|
|||||||||||||||
Franklin Senior Loan ETF | ||||||||||||||||
Assets: | ||||||||||||||||
Investments in Securities:a |
||||||||||||||||
Corporate Bonds & Notes |
$ | — | $ | 6,584,730 | $— | $ | 6,584,730 | |||||||||
Senior Floating Rate Interests |
— | 192,626,257 | — | 192,626,257 | ||||||||||||
Asset-Backed Securities |
— | 1,868,982 | — | 1,868,982 | ||||||||||||
Short-Term Investments |
— | 16,040,000 | — | 16,040,000 | ||||||||||||
|
|
|||||||||||||||
Total Investments in Securities |
$ | — | $ | 217,119,969 | $ | — | $ | 217,119,969 | ||||||||
|
|
|||||||||||||||
Franklin Systematic Style Premia ETF | ||||||||||||||||
Assets: | ||||||||||||||||
Investments in Securities:a |
||||||||||||||||
Equity Investmentsb |
$ | 51,456,424 | $ | — | $ | — | $ | 51,456,424 | ||||||||
|
|
|||||||||||||||
Other Financial Instruments: |
||||||||||||||||
Forward Exchange Contracts |
$ | — | $ | 728,444 | $ | — | $ | 728,444 | ||||||||
Futures Contracts |
2,299,573 | — | — | 2,299,573 | ||||||||||||
Swap Contracts |
— | 4,311,435 | — | 4,311,435 | ||||||||||||
|
|
|||||||||||||||
Total Other Financial Instruments |
$ | 2,299,573 | $ | 5,039,879 | $ | — | $ | 7,339,452 | ||||||||
|
|
|||||||||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments: |
||||||||||||||||
Forward Exchange Contracts |
$ | — | $ | 385,207 | $ | — | $ | 385,207 | ||||||||
Futures Contracts |
2,094,169 | — | — | 2,094,169 | ||||||||||||
|
|
|||||||||||||||
Total Other Financial Instruments |
$ | 2,094,169 | $ | 385,207 | $ | — | $ | 2,479,376 | ||||||||
|
|
|||||||||||||||
Franklin U.S. Core Bond ETF | ||||||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: |
||||||||||||||||
Corporate Bonds & Notes |
$ | — | $ | 312,626,612 | $ | — | $ | 312,626,612 | ||||||||
Municipal Bonds |
— | 43,721,547 | — | 43,721,547 | ||||||||||||
Mortgage-Backed Securities |
— | 345,586,047 | — | 345,586,047 | ||||||||||||
Foreign Government and Agency Securities |
— | 22,860,928 | — | 22,860,928 | ||||||||||||
Asset-Backed Securities |
— | 43,432,506 | — | 43,432,506 | ||||||||||||
Short-Term Investments |
34,495,264 | 653,438,190 | — | 687,933,454 | ||||||||||||
|
|
|||||||||||||||
Total Investments in Securities |
$ | 34,495,264 | $ | 1,421,665,830 | $ | — | $ | 1,456,161,094 | ||||||||
|
|
|||||||||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments: |
||||||||||||||||
Futures Contracts |
$ | 73,679 | $ | — | $ | — | $ | 73,679 | ||||||||
Credit Default Swap Contracts |
— | (114,058 | ) | — | (114,058 | ) | ||||||||||
|
|
|||||||||||||||
Total Other Financial Instruments |
$ | 73,679 | $ | 114,058 | $ | — | $ | 187,737 | ||||||||
|
|
franklintempleton.com |
Semiannual Report |
221 |
FRANKLIN TEMPLETON ETF TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
12.Fair Value Measurements (continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Franklin U.S. Low Volatility ETF | ||||||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: |
||||||||||||||||
Equity Investments |
$ | 117,230,000 | $ | — | $ | — | $ | 117,230,000 | ||||||||
Short-Term Investments |
— | 1,065,000 | — | 1,065,000 | ||||||||||||
|
|
|||||||||||||||
Total Investments in Securities |
$ | 117,230,000 | $ | 1,065,000 | $ | — | $ | 118,295,000 | ||||||||
|
|
|||||||||||||||
Franklin U.S. Treasury Bond ETF | ||||||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: |
||||||||||||||||
Short-Term Investments |
$ | 1,813,760 | $ | 332,751,541 | $ | — | $ | 334,565,301 | ||||||||
|
|
|||||||||||||||
Franklin Ultra Short Bond ETF | ||||||||||||||||
Assets: | ||||||||||||||||
Investments in Securities: |
||||||||||||||||
Corporate Bonds & Notes |
$ | — | $ | 1,898,582 | $ | — | $ | 1,898,582 | ||||||||
Asset-Backed Securities |
— | 200,041 | — | 200,041 | ||||||||||||
Short-Term Investments |
331,066 | — | — | 331,066 | ||||||||||||
|
|
|||||||||||||||
Total Investments in Securities |
$ | 331,066 | $ | 2,098,623 | $ | — | $ | 2,429,689 | ||||||||
|
|
aFor detailed categories, see the accompanying Schedule of Investments.
bIncludes common and convertible preferred stocks.
13. Investments in FLSP Holdings Corporation
Franklin Systematic Style Premia ETF, (the “Fund”), invests in certain financial instruments and commodities/or commodity-linked derivative investments. The FLSP Holdings Corporation is a Cayman Islands exempted company with limited liability, is a wholly-owned subsidiary of the Fund, and is able to invest in certain financial instruments and/or commodity-linked derivative investments consistent with the investment objective of the Fund. At September 30, 2022, the Franklin Systematic Style Premia ETF investment(s) FLSP Holdings Corporation is reflected in the Fund’s Consolidated Schedule of Investments. At September 30, 2022, the net assets of the FLSP Holdings Corporation were $3,405,362, representing 3.37% of the Fund’s consolidated net assets. The Fund’s investment(s) in the FLSP Holdings Corporation is limited to 25% of consolidated assets.
14. New Accounting Pronouncements
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 provides 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 contact 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.
15. Subsequent Events
The Funds have evaluated subsequent events through the issuance of these Financial Statements and determined that no events have occurred that require disclosure.
222 | Semiannual Report | franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
Selected Portfolio | Currency | Counterparty | ||||||||
ADR | American Depositary Receipt | AUD | Australian Dollar | CITI | CITIBANK | |||||
CAC | Cotation Assistée en Continu | CAD | Canadian Dollar | MSCO | Morgan Stanley | |||||
CLO | Collateralized Loan Obligation | CNY | Chinese Yuan Renminbi | MSCS | Morgan Stanley Capital Services Inc. | |||||
CSCDA | California Statewide Communities | DKK | Danish Krone | |||||||
Development Authority | EUR | Euro | ||||||||
FRN | Floating Rate Note | GBP | United Kingdom Pound | |||||||
LIBOR | London InterBank Offered Rate | JPY | Japanese Yen | |||||||
OAT | Obligation Assumable by the Treasurer | MXN | Mexican Peso | |||||||
REIT | Real Estate Investment Trust | PLN | Polish Zloty | |||||||
SBA | Small Business Administration | SEK | Swedish Krona | |||||||
SOFR | Secured Overnight Financing Rate | USD | United States Dollar | |||||||
TBD | To be determined | |||||||||
ULSD | Ultra-Low Sulfur Diesel |
franklintempleton.com |
Semiannual Report |
223 |
FRANKLIN TEMPLETON ETF TRUST
Liquidity Risk Management Program
FRANKLIN TEMPLETON ETF TRUST
Franklin Disruptive Commerce ETF
Franklin Dynamic Municipal Bond ETF
Franklin Exponential Data ETF
Franklin Genomic Advancements ETF
Franklin High Yield Corporate ETF
Franklin Intelligent Machines ETF
Franklin International Aggregate Bond ETF
Franklin Investment Grade Corporate ETF
Franklin Municipal Green Bond ETF
Franklin Systematic Style Premia ETF
Franklin U.S. Core Bond ETF
Franklin U.S. Treasury Bond ETF
Franklin Ultra Short Bond ETF
(each a Fund)
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 for the Franklin Templeton and Legg Mason Funds is designed to assess and manage 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 primarily 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 Investment 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, including 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 Administrator 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 Franklin Templeton and Legg Mason products and portfolios. The ILC includes representatives from Franklin Templeton’s Risk, Trading, Global Compliance, Legal, Investment Compliance, Investment Operations, Valuation Committee, Product Management and Global Product Strategy.
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 projections; 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 significantly 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 significantly changing the market value of the investment.
At meetings of the Funds’ Board of Trustees held in May 2022, the Program Administrator provided a written report to the Board addressing the adequacy and effectiveness of the program for the year ended December 31, 2021. The Program 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 investors’ interests in the Fund.
224 |
Semiannual Report |
franklintempleton.com |
FRANKLIN TEMPLETON ETF TRUST
SHAREHOLDER INFORMATION
Liquidity Risk Management Program
FRANKLIN TEMPLETON ETF TRUST
In Kind ETF
Franklin U.S. Low Volatility ETF
Each of the Funds 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 manage 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. Each of the Funds is an exchange-traded fund (“ETF”) that is considered an “In-Kind ETF” under the Liquidity Rule, which means that the Fund satisfies requests for redemption through in-kind transfers of portfolio securities, positions, and other assets, except for a de minimis amount of cash, and publishes its portfolio holdings daily. 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) 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 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. As an In-Kind ETF, the Fund is not required to include in the LRMP policies and procedures relating to classification of portfolio holdings into four liquidity categories or establishing a highly liquid investment minimum (“HLIM”).
The Funds’ Board of Trustees approved the appointment of the Director of Liquidity Risk within the Investment Risk Management Group (the “IRMG”) as the Administrator 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, Legal, Investment Compliance, Investment Operations, Valuation Committee, Product Management and Global Product Strategy.
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
projections; and its cash holdings and access to other funding sources including the Funds’ interfund lending facility and line of credit. Because the Funds are ETFs, the ILC also considers, as relevant, (1) the relationship between the Fund’s portfolio liquidity and the way in which, and the prices and spread at which, Fund shares trade, including the efficiency of the arbitrage function and the level of active participation by market participants, including authorized participants and (2) the effect of the composition of baskets on the overall liquidity of the Fund’s portfolio.
At meetings of the Funds’ Board of Trustees held in May 2022, the Program Administrator provided a written report to the Board addressing the adequacy and effectiveness of the program for the year ended December 31, 2021. The Program 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 investors’ interests in the Fund.
Liquidity Risk Management Program
FRANKLIN TEMPLETON ETF TRUST
Franklin Senior Loan ETF
Each of the Funds 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 manage 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 primarily 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 Investment 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
franklintempleton.com |
Semiannual Report |
225 |
FRANKLIN TEMPLETON ETF TRUST
SHAREHOLDER INFORMATION
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, including 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 Funds’ Board of Trustees approved the appointment of the Director of Liquidity Risk within the Investment Risk Management Group (the “IRMG”) as the Administrator 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, Investment Operations, Valuation Committee, Product Management and Global Product Strategy.
In assessing and managing each Fund’s liquidity risk, the ILC considers, as relevant, a variety of factors, including (i) the Fund’s investment strategy and the liquidity of its portfolio investments during both normal and reasonably foreseeable stressed conditions; (ii) its short and long-term cash flow projections; (iii) its cash holdings and access to other funding sources including the Funds’ interfund lending facility and line of credit; (iv) the relationship between the Fund’s portfolio liquidity and the way in which, and the prices and spread at which, Fund shares trade, including the efficiency of the arbitrage function and the level of active participation by market participants, including authorized participants and (v) the effect of the composition of baskets on the overall liquidity of the Fund’s portfolio. 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 significantly changing the investment’s market value.
The Fund primarily holds investments where the time required to settle a sale of the investment may exceed 7 calendar days and are classified as “Less Liquid Investments”. Less liquid Investments are defined as any investment reasonably expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment, but where the sale or disposition is reasonably expected to settle in more than seven calendar days. The Fund established and maintained a HLIM. During the
reporting period, the Fund maintained the necessary level of Highly Liquid Investments and did not experience any HLIM shortfalls.
At meetings of the Funds’ Board of Trustees held in May 2022, the Program Administrator provided a written report to the Board addressing the adequacy and effectiveness of the program for the year ended December 31, 2021. The Program 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 investors’ interests in the Fund.
Proxy Voting Policies and Procedures
The Trust’s investment manager has established Proxy Voting Policies and Procedures (Policies) that the Trust uses to determine how to vote proxies relating to portfolio securities. Shareholders may view the Trust’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 Trust’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 Schedule of Investments
The Trust files a complete schedule of investments with the U.S. Securities and Exchange Commission 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 each Fund and each Fund’s net asset value may be found on each Fund’s website at franklintempleton.com
226 |
Semiannual Report |
franklintempleton.com |
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.
To help ensure we provide you with quality service, all calls to and from our service areas are monitored and/or recorded.
Semiannual Report Franklin Templeton ETF Trust |
||||||
Investment Managers | Distributor | Investor Services | ||||
Franklin Advisers, Inc. Franklin Templeton Investment Management Limited |
Franklin
Distributors, LLC franklintempleton.com |
Transfer Agent State
Street Bank and | ||||
© 2022 Franklin Templeton Investments. All rights reserved. | ETF2 S 11/22 |