FRANKLIN ETF TRUST

Schedule of Investments, June 30, 2023 (unaudited)

Franklin Short Duration U.S. Government ETF

 

 

      Principal
                Amount		                          Value

U.S. Government and Agency Securities 35.4%

        

Dragon 2012 LLC, secured bond, 1.972%, 3/12/24

    $ 7,126          $ 6,998  

Export-Import Bank of the U.S.,

        

senior secured note, 1.90%, 7/12/24

      690,560          675,541  

secured note, 2.628%, 11/12/26

      971,833          927,066  

aKE Export Leasing LLC, 2013-A, secured note, FRN, 5.693%, (3-Month
USD LIBOR + 0.23%), 2/28/25

      311,804          311,553  

MSN 41079 and 41084 Ltd., 1.631%, 12/14/24

      684,668          661,916  

Petroleos Mexicanos, 2.378%, 4/15/25

      280,000          270,342  

Reliance Industries Ltd.,

        

2.512%, 1/15/26

      562,500          538,624  

senior secured note, 2.06%, 1/15/26

      750,000          714,126  

U.S. International Development Finance Corp., 4.01%, 5/15/30

      1,222,500          1,182,956  

U.S. Treasury Note,

        

1.25%, 8/31/24

      4,000,000          3,816,016  

1.75%, 6/30/24

      2,300,000          2,218,439  

2.75%, 5/15/25

      5,000,000          4,803,515  

3.00%, 6/30/24

      23,000,000          22,458,420  

3.125%, 8/15/25

      15,000,000          14,490,527  

4.50%, 11/15/25

      9,000,000          8,954,648  

Ulani MSN 37894, senior bond, 2.184%, 12/20/24

      521,740          506,254  
       

 

 

 

Total U.S. Government and Agency Securities
(Cost $63,869,761)

           62,536,941  
       

 

 

 

Mortgage-Backed Securities 69.9%

        

bFederal Home Loan Mortgage Corp. (FHLMC) Adjustable Rate 35.0%

       

FHLMC, 3.784%, (12-Month USD LIBOR +/- MBS Margin), 3/01/35

      78,305          77,604  

FHLMC, 3.837%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/33

      22,851          23,087  

FHLMC, 3.874%, (12-Month USD LIBOR +/- MBS Margin), 9/01/36

      640          635  

FHLMC, 3.876%, (12-Month USD LIBOR +/- MBS Margin), 12/01/36

      24,356          24,455  

FHLMC, 3.942%, (12-Month USD LIBOR +/- MBS Margin), 1/01/37

      6,336          6,347  

FHLMC, 3.958%, (12-Month USD LIBOR +/- MBS Margin), 1/01/38

      18,267          17,980  

FHLMC, 3.966%, (12-Month USD LIBOR +/- MBS Margin), 4/01/36

      43,663          43,529  

FHLMC, 3.975%, (US 1 Year CMT T-Note +/- MBS Margin), 8/01/33

      15,128          14,800  

FHLMC, 4.004%, (12-Month USD LIBOR +/- MBS Margin), 6/01/37

      33,464          32,985  

FHLMC, 4.01%, (12-Month USD LIBOR +/- MBS Margin), 9/01/36

      3,790          3,742  

FHLMC, 4.054%, (12-Month USD LIBOR +/- MBS Margin), 1/01/37

      1,652          1,623  

FHLMC, 4.073%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/36

      21,810          22,334  

FHLMC, 4.111%, (12-Month USD LIBOR +/- MBS Margin), 8/01/36

      1,155          1,140  

FHLMC, 4.115%, (12-Month USD LIBOR +/- MBS Margin), 1/01/36

      10,833          10,673  

FHLMC, 4.127%, (12-Month USD LIBOR +/- MBS Margin), 3/01/36

      4,731          4,660  

FHLMC, 4.129%, (12-Month USD LIBOR +/- MBS Margin), 1/01/36

      4,331          4,278  

FHLMC, 4.145%, (6-Month USD LIBOR +/- MBS Margin), 1/01/26

      50          49  

FHLMC, 4.154%, (12-Month USD LIBOR +/- MBS Margin), 9/01/36

      25,803          26,249  

FHLMC, 4.174%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/34

      76,254          77,851  

FHLMC, 4.221%, (12-Month USD LIBOR +/- MBS Margin), 9/01/37

      348,930          351,699  

FHLMC, 4.25%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/34

      5,108          5,022  

FHLMC, 4.252%, (12-Month USD LIBOR +/- MBS Margin), 5/01/35

      136,562          137,774  

FHLMC, 4.253%, (12-Month USD LIBOR +/- MBS Margin), 1/01/36

      5,799          5,821  

FHLMC, 4.29%, (12-Month USD LIBOR +/- MBS Margin), 2/01/36

      25,555          25,044  

FHLMC, 4.292%, (12-Month USD LIBOR +/- MBS Margin), 5/01/42

      326,241          328,907  

FHLMC, 4.294%, (12-Month USD LIBOR +/- MBS Margin), 10/01/36

      8,052          7,988  

FHLMC, 4.318%, (12-Month USD LIBOR +/- MBS Margin), 7/01/43

      939,942          948,186  

 

franklintempleton.com

    Quarterly Schedule of Investments | See Notes to the Schedule of Investments.

FRANKLIN ETF TRUST

SCHEDULE OF INVESTMENTS (UNAUDITED)

Franklin Short Duration U.S. Government ETF (continued)

 

 

      Principal
                Amount		                          Value

Mortgage-Backed Securities (continued)

        

bFederal Home Loan Mortgage Corp. (FHLMC) Adjustable Rate (continued)

       

FHLMC, 4.32%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/33

    $ 2,193          $ 2,207  

FHLMC, 4.321%, (US 1 Year CMT T-Note +/- MBS Margin), 10/01/35

      55,011          56,078  

FHLMC, 4.342%, (US 1 Year CMT T-Note +/- MBS Margin), 10/01/33

      10,344          10,441  

FHLMC, 4.344%, (US 1 Year CMT T-Note +/- MBS Margin), 10/01/33

      58,312          59,141  

FHLMC, 4.35%, (US 1 Year CMT T-Note +/- MBS Margin), 11/01/33

      76,860          77,868  

FHLMC, 4.361%, (12-Month USD LIBOR +/- MBS Margin), 3/01/36

      156,549          158,291  

FHLMC, 4.367%, (US 1 Year CMT T-Note +/- MBS Margin), 10/01/38

      49,486          47,961  

FHLMC, 4.37%, (US 1 Year CMT T-Note +/- MBS Margin), 1/01/36

      6,963          7,063  

FHLMC, 4.375%, (US 1 Year CMT T-Note +/- MBS Margin), 4/01/29

      9          9  

FHLMC, 4.375%, (US 1 Year CMT T-Note +/- MBS Margin), 11/01/33

      11,239          11,195  

FHLMC, 4.375%, (US 1 Year CMT T-Note +/- MBS Margin), 11/01/33

      12,068          11,875  

FHLMC, 4.375%, (US 1 Year CMT T-Note +/- MBS Margin), 11/01/34

      21,291          21,591  

FHLMC, 4.375%, (US 1 Year CMT T-Note +/- MBS Margin), 11/01/34

      19,777          20,048  

FHLMC, 4.391%, (12-Month USD LIBOR +/- MBS Margin), 11/01/42

      263,276          264,597  

FHLMC, 4.426%, (12-Month USD LIBOR +/- MBS Margin), 3/01/35

      108,420          106,221  

FHLMC, 4.426%, (12-Month USD LIBOR +/- MBS Margin), 12/01/35

      75,353          74,029  

FHLMC, 4.434%, (US 1 Year CMT T-Note +/- MBS Margin), 11/01/36

      7,715          7,811  

FHLMC, 4.437%, (US 1 Year CMT T-Note +/- MBS Margin), 1/01/35

      5,422          5,468  

FHLMC, 4.445%, (12-Month USD LIBOR +/- MBS Margin), 7/01/35

      4,559          4,506  

FHLMC, 4.481%, (US 1 Year CMT T-Note +/- MBS Margin), 2/01/36

      22,778          22,989  

FHLMC, 4.484%, (US 1 Year CMT T-Note +/- MBS Margin), 2/01/35

      16,433          16,551  

FHLMC, 4.496%, (US 1 Year CMT T-Note +/- MBS Margin), 5/01/36

      681,952          691,938  

FHLMC, 4.506%, (12-Month USD LIBOR +/- MBS Margin), 3/01/35

      25,381          25,520  

FHLMC, 4.534%, (US 1 Year CMT T-Note +/- MBS Margin), 11/01/33

      24,765          24,426  

FHLMC, 4.535%, (US 1 Year CMT T-Note +/- MBS Margin), 1/01/37

      16,768          16,359  

FHLMC, 4.536%, (12-Month USD LIBOR +/- MBS Margin), 9/01/35

      75,665          74,400  

FHLMC, 4.544%, (12-Month USD LIBOR +/- MBS Margin), 1/01/42

      51,535          52,053  

FHLMC, 4.547%, (12-Month USD LIBOR +/- MBS Margin), 8/01/34

      74,349          74,306  

FHLMC, 4.548%, (US 1 Year CMT T-Note +/- MBS Margin), 6/01/37

      52,005          50,475  

FHLMC, 4.553%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/36

      860,773          872,917  

FHLMC, 4.556%, (US 1 Year CMT T-Note +/- MBS Margin), 1/01/38

      377,272          380,651  

FHLMC, 4.568%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/29

      74,947          72,972  

FHLMC, 4.593%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/35

      199,088          201,584  

FHLMC, 4.609%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/37

      24,323          24,355  

FHLMC, 4.618%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/27

      32          32  

FHLMC, 4.66%, (US 1 Year CMT T-Note +/- MBS Margin), 1/01/28

      340          333  

FHLMC, 4.67%, (US 1 Year CMT T-Note +/- MBS Margin), 3/01/35

      7,705          7,824  

FHLMC, 4.693%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/30

      3          3  

FHLMC, 4.706%, (US 1 Year CMT T-Note +/- MBS Margin), 12/01/35

      125,660          128,201  

FHLMC, 4.718%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/29

      14,903          14,606  

FHLMC, 4.813%, (12-Month USD LIBOR +/- MBS Margin), 4/01/34

      3,116          3,024  

FHLMC, 4.88%, (6-Month USD LIBOR +/- MBS Margin), 9/01/30

      531          519  

FHLMC, 4.993%, (US 1 Year CMT T-Note +/- MBS Margin), 10/01/29

      3,015          2,951  

FHLMC, 5.00%, (12-Month USD LIBOR +/- MBS Margin), 9/01/36

      11,069          10,830  

FHLMC, 5.023%, (US 1 Year CMT T-Note +/- MBS Margin), 1/01/29

      1,901          1,857  

FHLMC, 5.03%, (US 1 Year CMT T-Note +/- MBS Margin), 6/01/34

      14,862          14,744  

FHLMC, 5.196%, (12-Month USD LIBOR +/- MBS Margin), 5/01/36

      8,255          8,051  

FHLMC, 5.213%, (12-Month USD LIBOR +/- MBS Margin), 4/01/37

      21,934          21,350  

FHLMC, 5.241%, (SOFR +/- MBS Margin), 12/25/30

      1,421,799          1,382,102  

FHLMC, 5.271%, (SOFR +/- MBS Margin), 4/25/31

      1,201,202          1,171,599  

FHLMC, 5.291%, (SOFR +/- MBS Margin), 1/25/29

      808,236          794,134  

FHLMC, 5.331%, (SOFR +/- MBS Margin), 1/25/29

      2,689,990          2,646,803  

FHLMC, 5.341%, (12-Month USD LIBOR +/- MBS Margin), 5/01/35

      1,843          1,799  

 

franklintempleton.com

    Quarterly Statement of Investments | See Notes to the Statement of Investments.

FRANKLIN ETF TRUST

SCHEDULE OF INVESTMENTS (UNAUDITED)

Franklin Short Duration U.S. Government ETF (continued)

 

 

      Principal
                Amount		                          Value

Mortgage-Backed Securities (continued)

        

bFederal Home Loan Mortgage Corp. (FHLMC) Adjustable Rate (continued)

       

FHLMC, 5.363%, (1-Month USD LIBOR +/- MBS Margin), 12/25/30

    $ 612,283          $ 597,758  

FHLMC, 5.383%, (1-Month USD LIBOR +/- MBS Margin), 2/25/25

      140,636          139,724  

FHLMC, 5.403%, (1-Month USD LIBOR +/- MBS Margin), 3/25/25

      371,328          368,944  

FHLMC, 5.411%, (SOFR +/- MBS Margin), 5/25/29

      2,999,920          2,973,099  

FHLMC, 5.413%, (1-Month USD LIBOR +/- MBS Margin), 3/25/28

      80,137          78,732  

FHLMC, 5.423%, (1-Month USD LIBOR +/- MBS Margin), 5/25/25

      95,376          94,744  

FHLMC, 5.431%, (SOFR +/- MBS Margin), 2/25/32

      1,806,852          1,777,328  

FHLMC, 5.433%, (1-Month USD LIBOR +/- MBS Margin), 1/25/28

      386,666          380,947  

FHLMC, 5.443%, (1-Month USD LIBOR +/- MBS Margin), 12/25/24

      161,910          161,004  

FHLMC, 5.453%, (1-Month USD LIBOR +/- MBS Margin), 12/25/30

      1,101,770          1,077,382  

FHLMC, 5.483%, (1-Month USD LIBOR +/- MBS Margin), 8/25/27

      719,456          711,484  

FHLMC, 5.483%, (1-Month USD LIBOR +/- MBS Margin), 6/25/28

      276,462          272,327  

FHLMC, 5.487%, (12-Month USD LIBOR +/- MBS Margin), 6/01/37

      579          565  

FHLMC, 5.491%, (SOFR +/- MBS Margin), 4/25/32

      2,571,262          2,542,551  

FHLMC, 5.493%, (1-Month USD LIBOR +/- MBS Margin), 11/25/24

      43,289          43,111  

FHLMC, 5.493%, (1-Month USD LIBOR +/- MBS Margin), 7/25/30

      1,555,982          1,527,452  

FHLMC, 5.493%, (1-Month USD LIBOR +/- MBS Margin), 8/25/30

      488,003          478,663  

FHLMC, 5.493%, (1-Month USD LIBOR +/- MBS Margin), 11/25/30

      682,485          667,792  

FHLMC, 5.513%, (1-Month USD LIBOR +/- MBS Margin), 9/25/30

      1,383,060          1,359,387  

FHLMC, 5.521%, (SOFR +/- MBS Margin), 6/25/32

      3,000,000          2,972,368  

FHLMC, 5.523%, (1-Month USD LIBOR +/- MBS Margin), 9/25/24

      165,469          164,800  

FHLMC, 5.523%, (1-Month USD LIBOR +/- MBS Margin), 9/25/30

      773,805          765,361  

FHLMC, 5.533%, (1-Month USD LIBOR +/- MBS Margin), 8/25/24

      2,660          2,655  

FHLMC, 5.533%, (1-Month USD LIBOR +/- MBS Margin), 11/25/27

      136,254          135,172  

FHLMC, 5.543%, (1-Month USD LIBOR +/- MBS Margin), 8/25/24

      60,719          60,595  

FHLMC, 5.543%, (1-Month USD LIBOR +/- MBS Margin), 8/25/30

      1,709,493          1,690,883  

FHLMC, 5.553%, (1-Month USD LIBOR +/- MBS Margin), 8/25/24

      1,051,889          1,050,064  

FHLMC, 5.553%, (1-Month USD LIBOR +/- MBS Margin), 6/25/27

      504,524          501,507  

FHLMC, 5.553%, (1-Month USD LIBOR +/- MBS Margin), 6/25/30

      569,894          563,920  

FHLMC, 5.563%, (1-Month USD LIBOR +/- MBS Margin), 5/25/24

      345,767          345,306  

FHLMC, 5.563%, (1-Month USD LIBOR +/- MBS Margin), 3/25/27

      16,981          16,852  

FHLMC, 5.563%, (1-Month USD LIBOR +/- MBS Margin), 6/25/30

      1,019,058          1,008,457  

FHLMC, 5.581%, (SOFR +/- MBS Margin), 6/25/32

      2,717,006          2,702,594  

FHLMC, 5.593%, (1-Month USD LIBOR +/- MBS Margin), 8/25/25

      116,962          116,652  

FHLMC, 5.593%, (1-Month USD LIBOR +/- MBS Margin), 12/15/39

      56,039          56,025  

FHLMC, 5.633%, (1-Month USD LIBOR +/- MBS Margin), 6/25/26

      504,914          502,615  

FHLMC, 5.633%, (1-Month USD LIBOR +/- MBS Margin), 5/25/29

      1,092,507          1,077,249  

FHLMC, 5.633%, (1-Month USD LIBOR +/- MBS Margin), 6/25/30

      1,823,979          1,806,250  

FHLMC, 5.643%, (1-Month USD LIBOR +/- MBS Margin), 10/15/40

      1,165,532          1,137,225  

FHLMC, 5.663%, (1-Month USD LIBOR +/- MBS Margin), 5/25/30

      1,290,967          1,280,771  

FHLMC, 5.673%, (1-Month USD LIBOR +/- MBS Margin), 4/25/26

      921,320          917,062  

FHLMC, 5.683%, (1-Month USD LIBOR +/- MBS Margin), 2/25/26

      1,497,296          1,493,009  

FHLMC, 5.683%, (1-Month USD LIBOR +/- MBS Margin), 7/25/26

      1,366,527          1,362,409  

FHLMC, 5.693%, (1-Month USD LIBOR +/- MBS Margin), 1/25/26

      533,815          532,248  

FHLMC, 5.693%, (1-Month USD LIBOR +/- MBS Margin), 10/25/26

      1,759,916          1,754,058  

FHLMC, 5.703%, (1-Month USD LIBOR +/- MBS Margin), 12/25/29

      1,616,530          1,595,706  

FHLMC, 5.713%, (1-Month USD LIBOR +/- MBS Margin), 7/25/29

      899,277          891,931  

FHLMC, 5.713%, (1-Month USD LIBOR +/- MBS Margin), 8/25/29

      1,299,293          1,294,485  

FHLMC, 5.713%, (1-Month USD LIBOR +/- MBS Margin), 9/25/29

      614,982          612,058  

FHLMC, 5.723%, (1-Month USD LIBOR +/- MBS Margin), 3/25/29

      1,843,523          1,826,685  

FHLMC, 5.733%, (1-Month USD LIBOR +/- MBS Margin), 12/25/28

      1,345,116          1,340,566  

FHLMC, 5.733%, (1-Month USD LIBOR +/- MBS Margin), 2/25/29

      528,141          525,828  

FHLMC, 5.753%, (1-Month USD LIBOR +/- MBS Margin), 11/25/28

      752,676          750,162  

 

franklintempleton.com

    Quarterly Statement of Investments | See Notes to the Statement of Investments.

FRANKLIN ETF TRUST

SCHEDULE OF INVESTMENTS (UNAUDITED)

Franklin Short Duration U.S. Government ETF (continued)

 

 

      Principal
                Amount		                          Value

Mortgage-Backed Securities (continued)

        

bFederal Home Loan Mortgage Corp. (FHLMC) Adjustable Rate (continued)

       

FHLMC, 5.893%, (1-Month USD LIBOR +/- MBS Margin), 2/25/27

    $ 626,079          $ 627,846  

FHLMC, 5.993%, (1-Month USD LIBOR +/- MBS Margin), 3/25/30

      1,217,780          1,217,648  

FHLMC, 7.247%, (US 1 Year CMT T-Note +/- MBS Margin), 8/01/24

      129          128  
       

 

 

 

          61,915,264  
       

 

 

 

Federal Home Loan Mortgage Corp. (FHLMC) Fixed Rate 5.0%

        

FHLMC, 0.75%, 5/25/44

      1,711,135          1,349,114  

FHLMC, 2.00%, 2/25/50

      949,854          790,216  

FHLMC, 2.995%, 12/25/25

      1,500,000          1,429,530  

FHLMC, 3.062%, 12/25/24

      1,500,000          1,450,553  

FHLMC, 3.458%, 8/25/23

      980,327          976,379  

FHLMC, 3.49%, 1/25/24

      1,858,845          1,839,440  

FHLMC, 3.50%, 6/01/26

      119,714          116,515  

FHLMC, 4.00%, 3/01/49

      857,804          818,950  
       

 

 

 

          8,770,697  
       

 

 

 

bFederal National Mortgage Association (FNMA) Adjustable Rate 8.6%

       

FNMA, 3.426%, (6-Month USD LIBOR +/- MBS Margin), 9/01/33

      529          515  

FNMA, 3.615%, (12-Month USD LIBOR +/- MBS Margin), 10/01/35

      3,036          2,971  

FNMA, 3.622%, (12-Month USD LIBOR +/- MBS Margin), 10/01/34

      17,168          16,795  

FNMA, 3.694%, (6-Month USD LIBOR +/- MBS Margin), 8/01/33

      2,594          2,582  

FNMA, 3.695%, (12-Month USD LIBOR +/- MBS Margin), 1/01/35

      33,990          33,187  

FNMA, 3.749%, (12-Month USD LIBOR +/- MBS Margin), 12/01/33

      839          819  

FNMA, 3.797%, (12-Month USD LIBOR +/- MBS Margin), 2/01/36

      14,873          14,958  

FNMA, 3.843%, (11th District COF +/- MBS Margin), 10/01/27

      59          58  

FNMA, 3.844%, (6-Month USD LIBOR +/- MBS Margin), 4/01/36

      1,491          1,472  

FNMA, 3.845%, (6-Month USD LIBOR +/- MBS Margin), 11/01/33

      257          251  

FNMA, 3.867%, (12-Month USD LIBOR +/- MBS Margin), 12/01/34

      4,157          4,173  

FNMA, 3.87%, (12-Month USD LIBOR +/- MBS Margin), 2/01/35

      27,761          27,076  

FNMA, 3.872%, (6-Month USD LIBOR +/- MBS Margin), 5/01/32

      1,006          981  

FNMA, 3.873%, (12-Month USD LIBOR +/- MBS Margin), 7/01/34

      173          169  

FNMA, 3.886%, (12-Month USD LIBOR +/- MBS Margin), 1/01/35

      17,954          17,948  

FNMA, 3.888%, (12-Month USD LIBOR +/- MBS Margin), 6/01/35

      31,269          30,835  

FNMA, 3.892%, (12-Month USD LIBOR +/- MBS Margin), 1/01/35

      4,974          4,861  

FNMA, 3.90%, (12-Month USD LIBOR +/- MBS Margin), 11/01/34

      3,662          3,653  

FNMA, 3.907%, (12-Month USD LIBOR +/- MBS Margin), 7/01/35

      4,356          4,408  

FNMA, 3.931%, (12-Month USD LIBOR +/- MBS Margin), 12/01/34

      10,007          9,865  

FNMA, 3.932%, (12-Month USD LIBOR +/- MBS Margin), 1/01/35

      13,347          13,372  

FNMA, 3.94%, (12-Month USD LIBOR +/- MBS Margin), 12/01/34

      81,521          80,252  

FNMA, 3.94%, (12-Month USD LIBOR +/- MBS Margin), 12/01/39

      16,199          16,325  

FNMA, 3.952%, (12-Month USD LIBOR +/- MBS Margin), 7/01/35

      4,234          4,152  

FNMA, 3.955%, (6-Month USD LIBOR +/- MBS Margin), 4/01/36

      3,583          3,532  

FNMA, 3.959%, (US 1 Year CMT T-Note +/- MBS Margin), 8/01/29

      222          219  

FNMA, 3.963%, (12-Month USD LIBOR +/- MBS Margin), 2/01/35

      8,308          8,340  

FNMA, 3.97%, (12-Month USD LIBOR +/- MBS Margin), 1/01/33

      10,987          10,739  

FNMA, 3.978%, (12-Month USD LIBOR +/- MBS Margin), 1/01/35

      27,472          27,121  

FNMA, 3.996%, (6-Month USD LIBOR +/- MBS Margin), 11/01/35

      254,254          254,546  

FNMA, 4.00%, (12-Month USD LIBOR +/- MBS Margin), 10/01/33

      17,587          17,215  

FNMA, 4.013%, (12-Month USD LIBOR +/- MBS Margin), 8/01/38

      210,664          213,169  

FNMA, 4.018%, (12-Month USD LIBOR +/- MBS Margin), 12/01/32

      1,231          1,204  

FNMA, 4.026%, (12-Month USD LIBOR +/- MBS Margin), 1/01/37

      19,640          19,200  

 

franklintempleton.com

    Quarterly Statement of Investments | See Notes to the Statement of Investments.

FRANKLIN ETF TRUST

SCHEDULE OF INVESTMENTS (UNAUDITED)

Franklin Short Duration U.S. Government ETF (continued)

 

 

      Principal
                Amount		                          Value

Mortgage-Backed Securities (continued)

        

bFederal National Mortgage Association (FNMA) Adjustable Rate (continued)

       

FNMA, 4.062%, (12-Month USD LIBOR +/- MBS Margin), 1/01/41

    $ 115,531          $ 116,894  

FNMA, 4.063%, (6-Month USD LIBOR +/- MBS Margin), 2/01/35

      9,033          8,800  

FNMA, 4.077%, (12-Month USD LIBOR +/- MBS Margin), 3/01/42

      178,378          180,005  

FNMA, 4.094%, (12-Month USD LIBOR +/- MBS Margin), 9/01/37

      274          270  

FNMA, 4.098%, (12-Month USD LIBOR +/- MBS Margin), 7/01/35

      31,622          31,052  

FNMA, 4.119%, (12-Month USD LIBOR +/- MBS Margin), 8/01/36

      37,254          36,683  

FNMA, 4.121%, (12-Month USD LIBOR +/- MBS Margin), 3/01/36

      9,591          9,472  

FNMA, 4.124%, (US 1 Year CMT T-Note +/- MBS Margin), 12/01/34

      3,436          3,404  

FNMA, 4.127%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/34

      8,224          8,067  

FNMA, 4.128%, (12-Month USD LIBOR +/- MBS Margin), 8/01/44

      1,130,573          1,143,997  

FNMA, 4.17%, (12-Month USD LIBOR +/- MBS Margin), 9/01/35

      78,064          77,158  

FNMA, 4.171%, (US 1 Year CMT T-Note +/- MBS Margin), 12/01/33

      53,722          52,589  

FNMA, 4.188%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/35

      50,701          51,131  

FNMA, 4.19%, (US 1 Year CMT T-Note +/- MBS Margin), 8/01/32

      4,233          4,171  

FNMA, 4.19%, (12-Month USD LIBOR +/- MBS Margin), 4/01/33

      4,921          4,806  

FNMA, 4.194%, (12-Month USD LIBOR +/- MBS Margin), 1/01/38

      52,173          52,656  

FNMA, 4.195%, (12-Month USD LIBOR +/- MBS Margin), 12/01/35

      16,987          17,203  

FNMA, 4.205%, (11th District COF +/- MBS Margin), 8/01/29

      4,304          4,249  

FNMA, 4.215%, (12-Month USD LIBOR +/- MBS Margin), 9/01/37

      85,109          85,864  

FNMA, 4.228%, (6-Month USD LIBOR +/- MBS Margin), 12/01/24

      39          38  

FNMA, 4.23%, (12-Month USD LIBOR +/- MBS Margin), 8/01/35

      2,911          2,858  

FNMA, 4.234%, (12-Month USD LIBOR +/- MBS Margin), 3/01/35

      24,930          24,461  

FNMA, 4.235%, (US 1 Year CMT T-Note +/- MBS Margin), 4/01/40

      27,035          27,229  

FNMA, 4.237%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/35

      16,685          16,452  

FNMA, 4.24%, (12-Month USD LIBOR +/- MBS Margin), 11/01/36

      17,491          17,704  

FNMA, 4.247%, (US 1 Year CMT T-Note +/- MBS Margin), 12/01/37

      19,216          19,486  

FNMA, 4.255%, (12-Month USD LIBOR +/- MBS Margin), 10/01/40

      267,497          272,135  

FNMA, 4.257%, (12-Month USD LIBOR +/- MBS Margin), 7/01/42

      1,065,304          1,083,152  

FNMA, 4.268%, (6-Month USD LIBOR +/- MBS Margin), 11/01/33

      3,974          3,879  

FNMA, 4.272%, (12-Month USD LIBOR +/- MBS Margin), 4/01/40

      165,534          163,395  

FNMA, 4.28%, (US 1 Year CMT T-Note +/- MBS Margin), 1/01/33

      7,508          7,305  

FNMA, 4.28%, (US 1 Year CMT T-Note +/- MBS Margin), 2/01/37

      18,845          18,384  

FNMA, 4.288%, (12-Month USD LIBOR +/- MBS Margin), 3/01/35

      3,098          3,039  

FNMA, 4.29%, (12-Month USD LIBOR +/- MBS Margin), 3/01/35

      1,349          1,318  

FNMA, 4.298%, (US 1 Year CMT T-Note +/- MBS Margin), 11/01/34

      9,164          9,004  

FNMA, 4.312%, (12-Month USD LIBOR +/- MBS Margin), 7/01/36

      25,282          24,785  

FNMA, 4.312%, (12-Month USD LIBOR +/- MBS Margin), 9/01/42

      544,236          552,312  

FNMA, 4.314%, (US 1 Year CMT T-Note +/- MBS Margin), 3/01/25

      133          132  

FNMA, 4.314%, (US 1 Year CMT T-Note +/- MBS Margin), 3/01/38

      3,034          2,998  

FNMA, 4.316%, (11th District COF +/- MBS Margin), 8/01/28

      11,646          11,487  

FNMA, 4.318%, (US 1 Year CMT T-Note +/- MBS Margin), 12/01/34

      34,503          35,046  

FNMA, 4.32%, (6-Month USD LIBOR +/- MBS Margin), 11/01/35

      4,868          4,835  

FNMA, 4.322%, (US 1 Year CMT T-Note +/- MBS Margin), 6/01/32

      201          199  

FNMA, 4.333%, (12-Month USD LIBOR +/- MBS Margin), 11/01/36

      73,914          73,130  

FNMA, 4.339%, (12-Month USD LIBOR +/- MBS Margin), 9/01/37

      268,531          272,521  

FNMA, 4.344%, (US 1 Year CMT T-Note +/- MBS Margin), 2/01/25

      954          947  

FNMA, 4.345%, (12-Month USD LIBOR +/- MBS Margin), 5/01/38

      686,388          696,355  

FNMA, 4.352%, (6-Month USD LIBOR +/- MBS Margin), 6/01/34

      66,672          66,233  

FNMA, 4.355%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/35

      53,156          52,401  

FNMA, 4.359%, (US 1 Year CMT T-Note +/- MBS Margin), 12/01/40

      32,248          32,526  

FNMA, 4.365%, (12-Month USD LIBOR +/- MBS Margin), 5/01/35

      61,761          62,324  

FNMA, 4.368%, (12-Month USD LIBOR +/- MBS Margin), 6/01/35

      6,556          6,518  

FNMA, 4.374%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/39

      29,895          30,380  

 

franklintempleton.com

    Quarterly Statement of Investments | See Notes to the Statement of Investments.

FRANKLIN ETF TRUST

SCHEDULE OF INVESTMENTS (UNAUDITED)

Franklin Short Duration U.S. Government ETF (continued)

 

 

      Principal
                Amount		                          Value

Mortgage-Backed Securities (continued)

        

bFederal National Mortgage Association (FNMA) Adjustable Rate (continued)

       

FNMA, 4.375%, (US 1 Year CMT T-Note +/- MBS Margin), 8/01/28

    $ 105          $ 104  

FNMA, 4.378%, (US 1 Year CMT T-Note +/- MBS Margin), 4/01/34

      25,022          24,681  

FNMA, 4.386%, (12-Month USD LIBOR +/- MBS Margin), 9/01/40

      37,509          38,373  

FNMA, 4.387%, (6-Month USD LIBOR +/- MBS Margin), 11/01/35

      3,222          3,190  

FNMA, 4.387%, (12-Month USD LIBOR +/- MBS Margin), 8/01/37

      47,132          46,085  

FNMA, 4.397%, (US 1 Year CMT T-Note +/- MBS Margin), 10/01/34

      9,897          10,088  

FNMA, 4.402%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/33

      2,277          2,231  

FNMA, 4.405%, (US 1 Year CMT T-Note +/- MBS Margin), 10/01/33

      1,308          1,336  

FNMA, 4.409%, (12-Month USD LIBOR +/- MBS Margin), 11/01/35

      114,213          115,284  

FNMA, 4.417%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/33

      387          382  

FNMA, 4.421%, (6-Month USD LIBOR +/- MBS Margin), 1/01/25

      303          299  

FNMA, 4.424%, (US 1 Year CMT T-Note +/- MBS Margin), 2/01/35

      20,054          19,619  

FNMA, 4.434%, (US 1 Year CMT T-Note +/- MBS Margin), 10/01/34

      39,718          40,446  

FNMA, 4.452%, (US 1 Year CMT T-Note +/- MBS Margin), 9/01/39

      280          273  

FNMA, 4.472%, (US 1 Year CMT T-Note +/- MBS Margin), 12/01/40

      471,085          478,634  

FNMA, 4.487%, (US 1 Year CMT T-Note +/- MBS Margin), 5/01/33

      6,363          6,222  

FNMA, 4.494%, (US 1 Year CMT T-Note +/- MBS Margin), 1/01/32

      4,840          4,803  

FNMA, 4.497%, (12-Month USD LIBOR +/- MBS Margin), 5/01/37

      94,274          93,306  

FNMA, 4.507%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/38

      97,431          95,458  

FNMA, 4.507%, (US 1 Year CMT T-Note +/- MBS Margin), 12/01/40

      159,389          162,084  

FNMA, 4.52%, (6-Month USD LIBOR +/- MBS Margin), 11/01/34

      14,243          13,935  

FNMA, 4.52%, (12-Month USD LIBOR +/- MBS Margin), 8/01/37

      31,038          31,624  

FNMA, 4.54%, (12-Month USD LIBOR +/- MBS Margin), 3/01/34

      56,444          55,571  

FNMA, 4.561%, (US 1 Year CMT T-Note +/- MBS Margin), 8/01/36

      70,153          71,388  

FNMA, 4.563%, (US 1 Year CMT T-Note +/- MBS Margin), 1/01/28

      508          501  

FNMA, 4.598%, (12-Month USD LIBOR +/- MBS Margin), 5/01/35

      17,258          17,361  

FNMA, 4.599%, (US 1 Year CMT T-Note +/- MBS Margin), 7/01/28

      509          499  

FNMA, 4.611%, (US 1 Year CMT T-Note +/- MBS Margin), 5/01/35

      8,127          8,123  

FNMA, 4.738%, (US 1 Year CMT T-Note +/- MBS Margin), 8/01/39

      2,474          2,456  

FNMA, 4.807%, (US 1 Year CMT T-Note +/- MBS Margin), 5/01/36

      15,980          15,720  

FNMA, 4.813%, (12-Month USD LIBOR +/- MBS Margin), 3/01/36

      12,860          13,191  

FNMA, 4.817%, (12-Month USD LIBOR +/- MBS Margin), 10/01/34

      2,724          2,648  

FNMA, 4.829%, (US 1 Year CMT T-Note +/- MBS Margin), 12/01/30

      1,392          1,365  

FNMA, 4.865%, (6-Month USD LIBOR +/- MBS Margin), 12/01/34

      6,828          6,702  

FNMA, 5.079%, (US 1 Year CMT T-Note +/- MBS Margin), 5/01/36

      8,658          8,505  

FNMA, 5.139%, (1 Year CMT +/- MBS Margin), 1/01/31

      14,461          14,161  

FNMA, 5.14%, (12-Month USD LIBOR +/- MBS Margin), 5/01/35

      52,252          53,044  

FNMA, 5.144%, (1 Year CMT +/- MBS Margin), 6/01/40

      24,692          24,839  

FNMA, 5.144%, (1 Year CMT +/- MBS Margin), 11/01/40

      6,289          6,131  

FNMA, 5.348%, (US 1 Year CMT T-Note +/- MBS Margin), 6/01/35

      17,763          17,661  

FNMA, 5.389%, (1 Year CMT +/- MBS Margin), 11/01/35

      14,570          14,143  

FNMA, 5.412%, (12-Month USD LIBOR +/- MBS Margin), 6/01/36

      14,098          14,265  

FNMA, 5.415%, (US 1 Year CMT T-Note +/- MBS Margin), 5/01/33

      19,590          19,863  

FNMA, 5.427%, (1 Year CMT +/- MBS Margin), 11/01/35

      10,486          10,177  

FNMA, 5.50%, (1-Month USD LIBOR +/- MBS Margin), 10/25/58

      1,337,836          1,288,335  

FNMA, 5.55%, (1-Month USD LIBOR +/- MBS Margin), 5/25/40

      419,566          409,831  

FNMA, 5.55%, (1-Month USD LIBOR +/- MBS Margin), 9/25/46

      844,247          826,844  

FNMA, 5.55%, (1-Month USD LIBOR +/- MBS Margin), 10/25/46

      735,952          721,236  

FNMA, 5.553%, (1 Year CMT +/- MBS Margin), 10/01/35

      63,580          62,537  

FNMA, 5.564%, (1 Year CMT +/- MBS Margin), 11/01/35

      10,440          10,171  

FNMA, 5.565%, (1 Year CMT +/- MBS Margin), 11/01/35

      9,792          9,555  

FNMA, 5.60%, (1-Month USD LIBOR +/- MBS Margin), 10/25/41

      1,547,910          1,531,751  

FNMA, 5.60%, (1-Month USD LIBOR +/- MBS Margin), 7/25/49

      1,631,170          1,577,763  

 

franklintempleton.com

    Quarterly Statement of Investments | See Notes to the Statement of Investments.

FRANKLIN ETF TRUST

SCHEDULE OF INVESTMENTS (UNAUDITED)

Franklin Short Duration U.S. Government ETF (continued)

 

 

      Principal
                Amount		                          Value

Mortgage-Backed Securities (continued)

        

bFederal National Mortgage Association (FNMA) Adjustable Rate (continued)

       

FNMA, 5.63%, (6-Month USD LIBOR +/- MBS Margin), 7/01/35

    $ 4,031          $ 4,076  

FNMA, 5.637%, (1 Year CMT +/- MBS Margin), 11/01/35

      90,624          89,405  

FNMA, 5.70%, (1 Year CMT +/- MBS Margin), 11/01/35

      32,906          32,508  

FNMA, 5.714%, (1 Year CMT +/- MBS Margin), 11/01/35

      71,334          70,380  

FNMA, 5.718%, (1 Year CMT +/- MBS Margin), 11/01/35

      16,877          16,680  

FNMA, 5.732%, (1 Year CMT +/- MBS Margin), 11/01/35

      17,293          17,106  

FNMA, 5.768%, (1 Year CMT +/- MBS Margin), 11/01/35

      27,473          27,186  

FNMA, 5.825%, (1 Year CMT +/- MBS Margin), 10/01/35

      186,192          184,651  

FNMA, 5.825%, (6-Month USD LIBOR +/- MBS Margin), 2/01/36

      180,952          182,142  

FNMA, 5.836%, (6-Month USD LIBOR +/- MBS Margin), 3/01/35

      45,802          46,681  

FNMA, 5.894%, (6-Month USD LIBOR +/- MBS Margin), 3/01/34

      3,927          4,004  

FNMA, 5.895%, (6-Month USD LIBOR +/- MBS Margin), 5/01/36

      9,068          9,246  

FNMA, 5.946%, (1 Year CMT +/- MBS Margin), 10/01/36

      26,888          26,892  

FNMA, 5.985%, (6-Month USD LIBOR +/- MBS Margin), 3/01/36

      1,644          1,664  

FNMA, 5.986%, (1 Year CMT +/- MBS Margin), 5/01/36

      30,412          30,467  

FNMA, 6.027%, (1 Year CMT +/- MBS Margin), 9/01/36

      17,567          17,443  

FNMA, 6.117%, (6-Month USD LIBOR +/- MBS Margin), 1/01/35

      1,610          1,630  

FNMA, 6.214%, (6-Month USD LIBOR +/- MBS Margin), 2/01/33

      49,517          50,176  

FNMA, 6.214%, (6-Month USD LIBOR +/- MBS Margin), 11/01/33

      826          825  

FNMA, 6.347%, (6-Month USD LIBOR +/- MBS Margin), 6/01/35

      5,868          5,961  

FNMA, 6.352%, (6-Month USD LIBOR +/- MBS Margin), 4/01/36

      2,317          2,356  

FNMA, 6.385%, (6-Month USD LIBOR +/- MBS Margin), 3/01/28

      954          951  

FNMA, 6.402%, (US 1 Year CMT T-Note +/- MBS Margin), 3/01/33

      19,364          19,286  

FNMA, 6.566%, (6-Month USD LIBOR +/- MBS Margin), 9/01/27

      992          988  

FNMA, 6.925%, (6-Month USD LIBOR +/- MBS Margin), 5/01/33

      5,524          5,528  

FNMA, 6.925%, (6-Month USD LIBOR +/- MBS Margin), 5/01/35

      912          920  
       

 

 

 

          15,184,348  
       

 

 

 

Federal National Mortgage Association (FNMA) Fixed Rate 19.0%

        

FNMA, 0.785%, 7/25/30

      2,705,715          2,420,976  

FNMA, 1.75%, 1/25/43

      1,020,013          865,343  

FNMA, 3.00%, 10/25/45

      1,016,786          943,060  

FNMA, 3.50%, 9/01/25

      13,484          13,182  

FNMA, 3.50%, 10/01/25

      131,423          128,400  

FNMA, 3.50%, 3/01/26

      119,621          116,605  

FNMA, 3.50%, 8/01/26

      25,480          24,753  

FNMA, 3.50%, 8/01/26

      12,226          11,883  

FNMA, 3.50%, 10/01/26

      1,269          1,233  

FNMA, 3.50%, 10/01/26

      802          780  

FNMA, 3.50%, 10/01/26

      3,995          3,882  

FNMA, 3.50%, 1/01/27

      3,042          2,953  

FNMA, 3.50%, 1/01/27

      155,372          151,453  

FNMA, 3.50%, 1/01/27

      6,368          6,187  

FNMA, 3.50%, 4/01/27

      46,366          44,973  

FNMA, 3.50%, 7/01/27

      169,376          165,018  

FNMA, 3.50%, 5/01/31

      46,553          45,266  

cFNMA, 5.00%, 7/15/53

      9,239,000          9,053,498  

FNMA, 5.50%, 3/01/53

      9,722,899          9,681,679  

cFNMA, 5.50%, 7/15/53

      5,957,000          5,928,611  

FNMA, 6.00%, 7/01/53

      1,910,000          1,927,641  

 

franklintempleton.com

    Quarterly Statement of Investments | See Notes to the Statement of Investments.

FRANKLIN ETF TRUST

SCHEDULE OF INVESTMENTS (UNAUDITED)

Franklin Short Duration U.S. Government ETF (continued)

 

 

      Principal
                Amount		                          Value

Mortgage-Backed Securities (continued)

        

Federal National Mortgage Association (FNMA) Fixed Rate (continued)

        

cFNMA, 6.00%, 7/15/53

    $ 2,000,000          $ 2,017,813  
       

 

 

 

          33,555,189  
       

 

 

 

bGovernment National Mortgage Association (GNMA) Adjustable Rate 2.2%

       

GNMA, 5.446%, (1-Month USD LIBOR +/- MBS Margin), 4/20/37

      1,310,246          1,281,574  

GNMA, 5.476%, (1-Month USD LIBOR +/- MBS Margin), 6/20/41

      1,761,748          1,735,522  

GNMA, 5.758%, (1-Month USD LIBOR +/- MBS Margin), 1/16/40

      990,742          977,914  
       

 

 

 

          3,995,010  
       

 

 

 

Government National Mortgage Association (GNMA) Fixed Rate 0.1%

        

GNMA, 2.50%, 9/20/27

      217,842          214,784  
       

 

 

 

Total Mortgage-Backed Securities
(Cost $127,051,521)

           123,635,292  
       

 

 

 

Total Investments before Short Term Investments
(Cost $190,921,282)

           186,172,233  
       

 

 

 

     Shares       

Short Term Investments (Cost $6,815,471) 3.9%

        

Money Market Funds 3.9%

        

d,eInstitutional Fiduciary Trust Money Market Portfolio, 4.70%

      6,815,471          6,815,471  
       

 

 

 

Total Investments (Cost $197,736,753) 109.2%

           192,987,704  

Other Assets, less Liabilities (9.2)%

           (16,219,426 ) 
       

 

 

 

Net Assets 100.0%

         $ 176,768,278  
       

 

 

 

aThe coupon rate shown represents the value inclusive of any caps or floors, if applicable, in effect at period end.

bAdjustable Rate Mortgage-Backed Security (ARM); the rate shown is the effective rate at period end. ARM rates are not based on a published reference rate and spread, but instead pass-through weighted average interest income inclusive of any caps or floors, if applicable, from the underlying mortgage loans pool in which the majority of mortgages pay interest based on the index shown at their designated reset dates plus a spread, less the applicable servicing and guaranty fee (MBS margin).

cSecurity purchased on a to-be-announced (TBA) basis.

dThe rate shown is the annualized seven-day effective yield at period end.

eSee Note 3 regarding investments in affiliated management investment companies.

 

franklintempleton.com

    Quarterly Statement of Investments | See Notes to the Statement of Investments.

FRANKLIN ETF TRUST

SCHEDULE OF INVESTMENTS (UNAUDITED)

Franklin Short Duration U.S. Government ETF (continued)

 

 

At June 30, 2023, the Fund had the following futures contracts outstanding.

Futures Contracts

 

Description    Type      Number of
Contracts		      Notional
Value* 		     Expiration
Date		      Value/Unrealized
Appreciation
(Depreciation)

Interest Rate Contracts

               

U.S. Treasury 2 Yr. Note

      Long        213      $   43,312,219        9/29/23      $ (455,658 )   

U.S. Treasury 5 Yr. Note

      Long        7        749,656        9/29/23        (173 ) 

U.S. Treasury 10 Yr. Note

      Short        84        9,430,312        9/20/23        116,693  

U.S. Treasury 10 Yr. Ultra

      Short        10        1,184,375        9/20/23        3,142  

U.S. Treasury Long Bond

      Short        19        2,411,219        9/20/23        (13,091 ) 
              

 

 

 

Total Futures Contracts

                $ (349,087 ) 
              

 

 

 

*As of period end.

Abbreviations

 

  Selected Portfolio
  CMT    Constant Maturity Treasury Index
  COF    Cost of Funds
  FRN    Floating Rate Note
  LIBOR    London InterBank Offered Rate
  MBS    Mortgage-Backed Security
  SOFR    Secured Overnight Financing Rate
  USD    United States Dollar

 

franklintempleton.com

    Quarterly Statement of Investments | See Notes to the Statement of Investments.

Franklin ETF Trust

Notes to Schedule of Investments (unaudited)

Franklin Short Duration U.S. Government ETF

1. ORGANIZATION

Franklin ETF Trust (Trust) is registered under the Investment Company Act of 1940 (1940 Act) as an open-end management investment company, consisting of one fund, Franklin Short Duration U.S. Government ETF (Fund), and applies the specialized accounting and reporting guidance in U.S. Generally Accepted Accounting Principles (U.S. GAAP). The Fund is an exchange traded fund (ETF) and is actively managed, thus it is not designed to track an index.

2. FINANCIAL INSTRUMENT VALUATION

The Fund’s investments in financial instruments are carried at fair value daily. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Fund calculates the net asset value (NAV) per share as of 4 p.m. Eastern time each day the New York Stock Exchange (NYSE) is open for trading. Under compliance policies and procedures approved by the Fund’s Board of Trustees (the Board), the Fund’s administrator has responsibility for oversight of valuation, including leading the cross-functional Valuation Committee (VC). The Fund may utilize independent pricing services, quotations from securities and financial instrument dealers, and other market sources to determine fair value.

Debt securities generally trade in the over-the-counter market rather than on a securities exchange. The Fund’s pricing services use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the pricing services may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the pricing services also utilize proprietary valuation models which may consider market characteristics such as benchmark yield curves, credit spreads, estimated default rates, anticipated market interest rate volatility, coupon rates, anticipated timing of principal repayments, underlying collateral, and other unique security features in order to estimate the relevant cash flows, which are then discounted to calculate the fair value. Derivative financial instruments listed on an exchange are valued at the official closing price of the day.

Investments in open-end mutual funds are valued at the closing NAV.

Certain derivative financial instruments are centrally cleared or trade in the OTC market. The Funds’ pricing services use various techniques including industry standard option pricing models and proprietary discounted cash flow models to determine the fair value of those instruments. The Funds’ net benefit or obligation under the derivative contract, as measured by the fair value of the contract, is included in net assets.

The Fund has procedures to determine the fair value of financial instruments for which market prices are not reliable or readily available. Under these procedures, the Fund primarily employs a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. An income-based valuation approach may also be used in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed.

3. INVESTMENTS IN AFFILIATED MANAGEMENT INVESTMENT COMPANIES

The Fund invests in one or more affiliated management investment companies for purposes other than exercising a controlling influence over the management or policies. During the period ended June 30, 2023, the Fund held investments in affiliated management investment companies as follows:

 

                                Net Change in             Number of         
     Value at                          Unrealized      Value at      Shares         
     Beginning                   Realized      Appreciation      End of      Held at End      Dividend  
      of Period      Purchases      Sales     Gain (Loss)      (Depreciation)      Period      of Period      Income  

  Non-Controlled Affiliates

                       

  Institutional Fiduciary Trust Money Market Portfolio, 4.70%

      $  8,118,307        $  24,282,447        $  (25,585,283 )      $  -        $  -        $  6,815,471        6,815,471        $  42,046  

4. FAIR VALUE MEASUREMENTS

The Fund follows a fair value hierarchy that distinguishes between market data obtained from independent sources (observable inputs) and the Fund’s own market assumptions (unobservable inputs). These inputs are used in determining the value of the Fund’s financial instruments and are summarized in the following fair value hierarchy:

 

  ●  

Level 1 – quoted prices in active markets for identical financial instruments

 

  ●  

Level 2 – other significant observable inputs (including quoted prices for similar financial instruments, interest rates, prepayment speed, credit risk, etc.)

 

  ●  

Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of financial instruments)

The inputs levels are not necessarily an indication of the risk or liquidity associated with financial instruments at that level.

A summary of inputs used as of June 30, 2023, in valuing the Fund’s assets and liabilities carried at fair value, is as follows:

 

      Level 1        Level 2        Level 3        Total      

  Assets:

                  

  Investments in Securities:

                  

  U.S. Government and Agency Securities

    $ -        $ 62,536,941        $                 -        $ 62,536,941      

  Mortgage-Backed Securities

      -          123,635,292          -          123,635,292      

  Short Term Investments

      6,815,471          -          -          6,815,471      

  Total Investments in Securities

    $         6,815,471        $     186,172,233        $ -        $     192,987,704      

  Other Financial Instruments:

                  

  Futures Contracts

    $ 119,835        $ -        $ -        $ 119,835      

  Liabilities:

                  

  Other Financial Instruments:

                  

  Futures Contracts

    $ 468,922        $ -        $ -        $ 468,922      

 

For additional information on the Fund’s significant accounting policies, please refer to the Fund’s most recent semiannual or annual shareholder report.

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