UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22641
Franklin Alternative Strategies Funds
(Exact name of registrant as specified in charter)
One Franklin Parkway
San Mateo, CA 94403-1906
(Address of principal executive offices) (Zip code)
Alison Baur
One Franklin Parkway
San Mateo, CA 94403-1906
(Name and address of agent for service)
Registrant’s telephone number, including area code: 650-312-2000
Date of fiscal year end: May 31
Date of reporting period: May 31, 2023
Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
(b) Not applicable.
ANNUAL REPORT AND SHAREHOLDER LETTER
K2 ALTERNATIVE STRATEGIES FUND
Formerly, Franklin K2 Alternative Strategies Fund
Franklin Alternative Strategies Funds
May 31, 2023
The Securities and Exchange Commission has adopted new regulations that will result in changes to the design and delivery of annual and semiannual shareholder reports beginning in July 2024.
If you have previously elected to receive shareholder reports electronically, you will continue to do so and need not take any action.
Otherwise, paper copies of the Fund’s shareholder reports will be mailed to you beginning in July 2024. If you would like to receive shareholder reports and other communications from the Fund electronically instead of by mail, you may make that request at any time by contacting your financial intermediary (such as a broker-dealer or bank) or, if you are a direct investor, enrolling at franklintempleton.com.
You may access franklintempleton.com by scanning the code below.
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| Not FDIC Insured | | | | | May Lose Value | | | | | No Bank Guarantee |
SHAREHOLDER LETTER
Dear Fellow Shareholder:
During the 12 months ended May 31, 2023, elevated inflation in most parts of the world impacted the global economy, leading many of the world’s central banks to tighten monetary policy, driving interest rates significantly higher and pressuring economic growth. This tightening eased as the period continued, and investors foresaw an end to the cycle even as growth continued, albeit at a tepid pace. U.S. gross domestic product expanded in the second half of 2022 and the first quarter of 2023 amid rising government spending and private investment. Economic growth in the eurozone was tepid, weighed down by higher interest rates and declining business and consumer confidence. China’s economic growth slowed amid investor concerns about the solvency of several large property developers and COVID-19 lockdowns.
In this environment, global developed market stocks, as measured by the MSCI World Index (USD), posted a +2.61% total return for the period.1 Global emerging market stocks, as measured by the MSCI Emerging Markets Index (USD), posted a -8.07% total return.1 Global government bonds, as measured by the FTSE World Government Bond Index (USD), posted a -5.55% total return.1
We are committed to our long-term perspective and disciplined investment approach as we continue to conduct a rigorous analysis of Fund subadvisors and markets with a strong emphasis on investment risk management.
We believe active, professional investment management serves investors well. We also recognize the important role of financial professionals in today’s markets and encourage investors to continue to seek their advice. Amid changing markets and economic conditions, we are confident investors with a well-diversified portfolio and a patient, long-term outlook should be well positioned for the years ahead.
1. Source: Morningstar.
See www.franklintempletondatasources.com for additional data provider information.
On the following pages, the Fund’s portfolio management team reviews investment decisions that pertain to performance during the past 12 months in light of the economic environment and other factors. Please remember all securities markets fluctuate, as do mutual fund share prices.
We thank you for investing with Franklin Templeton, welcome your questions and comments, and look forward to continuing to serve your investment needs in the future.
Sincerely,
Brooks Ritchey
President and Chief Executive Officer –
Investment Management
Franklin Alternative Strategies Funds
This letter reflects our analysis and opinions as of May 31, 2023, unless otherwise indicated. The information is not a complete analysis of every aspect of any market, country, industry, security or fund. Statements of fact are from sources considered reliable.
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Visit franklintempleton.com for fund updates, to access your account, or to find helpful financial planning tools.
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ANNUAL REPORT
K2 Alternative Strategies Fund
Formerly, Franklin K2 Alternative Strategies Fund
This annual report for K2 Alternative Strategies Fund covers the period ended May 31, 2023. As approved by the Fund’s Board of Trustees, effective January 17, 2023, the Fund’s name changed to K2 Alternative Strategies Fund. Please refer to the Fund’s prospectus for more information. If you have any questions, please contact your financial professional.
Your Fund’s Goal and Main Investments
The Fund seeks capital appreciation with lower volatility relative to the broad equity markets by allocating its assets across multiple non-traditional or alternative strategies, including, but not limited to, some or all of the following strategies: long short equity, relative value, event driven and global macro. The Fund may invest in a wide range of securities and other investments including, but not limited to: equity securities including common stocks, preferred stocks, convertible securities, rights and warrants, private and registered investment vehicles and exchange-traded funds (ETFs); debt securities including bonds, notes, debentures, banker’s acceptances and commercial paper; loans and loan participations; and mortgage-backed or asset-backed securities, including collateralized debt obligations; as well as derivatives, commodities and currencies.
Performance Overview
The Fund’s Class A shares posted a -1.48% cumulative total return for the 12 months under review. For comparison, the Fund’s primary benchmark, the HFRX Global Hedge Fund Index, which is designed to be representative of the overall composition of the hedge fund universe, posted a -1.26% cumulative total return for the same period.1 Also for comparison, the Fund’s secondary benchmark, 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 +3.14% 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 7.
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 developed and emerging market equities, as measured by the MSCI All Country World Index-NR (USD, net of tax withholding when dividends are paid), posted a +0.85% total return for the 12 months ended May 31, 2023.1 While inflation remained elevated in most parts of the world, it showed some signs of slowing in the second half of the period, supporting equities. This inflationary pressure led many of the world’s central banks to tighten monetary policy, driving interest rates significantly higher and pressuring economic growth. However, this tightening eased as the period continued, and investors foresaw an end to the current monetary policy cycle even as growth continued, albeit at a tepid pace. Equity performance varied notably by region, as changing economic conditions had a differential impact depending on local circumstances.
In the U.S., gross domestic product (GDP) expanded in the second half of 2022 and the first quarter of 2023 amid rising government spending and private investment. The labor market remained strong, as hiring continued at a brisk pace and unemployment reached its lowest level in over 50 years. In an effort to control inflation, the U.S. Federal Reserve (Fed) raised the federal funds target rate at each of its eight meetings during the period to end at a range of 5.00%–5.25%, a full 425 basis points higher than at the beginning of the period. Furthermore, the Fed indicated it would continue to reduce its U.S. Treasury and agency debt and mortgage-backed security holdings. Several prominent bank failures late in the period drove increased uncertainty among investors, but government intervention led to swift reorganizations and equities recovered from a brief decline.
1. Source: Morningstar. Hedge Fund Research, Inc. – www.hedgefundresearch.com. The HFRX Global Hedge Fund Index is being used under license from Hedge Fund Research, Inc., which does not endorse or approve of any of the contents of this report. Treasuries, if held to maturity, offer a fixed rate of return and a fixed principal value; their interest payments and principal are guaranteed. Treasuries, if held to maturity, offer a fixed rate of return and a fixed principal value; their interest payments and principal are guaranteed.
The indexes are unmanaged and include reinvestment of any income or distributions. They do 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. Unlike most asset class indexes, HFR Index returns reflect fees and expenses.
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 Consolidated Schedule of Investments (SOI). The Consolidated SOI begins on page 11.
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K2 ALTERNATIVE STRATEGIES FUND
Economic growth in the eurozone was tepid during the period, as higher interest rates and declining business and consumer confidence weighed on the region. The ongoing war in Ukraine disrupted supply chains, weakened the economic outlook and contributed to record high inflation across the eurozone, as energy prices soared in the first half of the period. However, governments spent significant sums to subsidize consumers and find alternative supplies. Consequently, the price of natural gas in Europe declined notably in the period’s second half, providing a tailwind for European stocks. The European Central Bank increased interest rates in July 2022 for the first time in 11 years to curtail growing inflation and further raised rates in six subsequent meetings. In this environment, European developed market equities, as measured by the MSCI Europe Index-NR (USD), posted a +4.68% total return for the 12 months under review.1
Asian developed and emerging market equities, as measured by the MSCI All Country Asia Index-NR (USD), posted a -3.70% total return for the 12-month period.1 Economic activity in Japan fluctuated, rebounding in the first quarter of 2023 after posting zero growth in 2022’s fourth quarter. On an annual basis, China’s economic growth slowed, hindered by investor concerns about the solvency of several large property developers and a period of strict COVID-19 lockdowns.
Global emerging market stocks, as measured by the MSCI Emerging Markets Index-NR (USD), posted a -8.49% total return for the 12 months under review.1 Central bank tightening, the threat of recession and higher financing costs contributed to the downturn. Bank failures in the U.S. drove investor concerns that tightening credit conditions would adversely affect emerging markets. Disappointing economic indicators in China following its lifting of COVID-19 lockdowns further pressured emerging market stocks.
Investment Strategy
The Fund is structured as a multi-manager fund (meaning the Fund’s assets are managed by multiple subadvisors, but we have overall responsibility for the Fund’s investments). We principally allocate assets to multiple subadvisors who are implementing one or more non-traditional or alternative investment strategies, including long short equity, relative value, event driven and global macro. We allocate the Fund’s assets among these strategies utilizing a top-down approach, generating the Fund’s strategy weightings by taking into account market conditions, risk factors, diversification, liquidity, transparency, and availability of various subadvisors and other investment options, among other things. We allocate the Fund’s assets to specific subadvisors utilizing a bottom-up approach, selecting subadvisors and their weighting within the Fund’s portfolio by taking into account their
correlations to various markets and to each other, their risk profiles and their return expectations. 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 indexes (through the use of derivatives or through a position in an ETF). Relative value strategies encompass a wide range of investment techniques that are intended to profit from pricing inefficiencies. Event driven strategies generally invest in securities of companies undergoing significant corporate events. Global macro strategies generally focus on macroeconomic opportunities across numerous markets and investments. In addition, the debt securities in which the Fund may invest may have variable or fixed interest rates, may be of any maturity or credit rating, and may include sovereign debt, high yield (“junk”) bonds and distressed debt securities (securities of companies that are, or are about to be, involved in reorganizations, financial restructurings, or bankruptcy) and securities that are in default. The Fund may engage in active and frequent trading as part of its investment strategies.
The Fund may take long and/or short positions in a wide range of asset classes, including equities, fixed income, commodities and currencies, among others. Long positions benefit from an increase in the price of the underlying instrument or asset class, while short positions benefit from a decrease in that price. The Fund may use derivatives for hedging and non-hedging (investment) purposes, although no subadvisor is required to hedge any of the Fund’s positions or to use derivatives. Such derivative investments may include futures contracts, swaps, options and currency forward contracts. As a result of the Fund’s use of derivatives, the Fund may have economic leverage, which means the sum of the Fund’s investment exposures through its use of
derivatives may significantly exceed the amount of assets invested in the Fund, although these exposures may vary over time. The Fund may engage in active and frequent trading as part of its investment strategies.
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| Strategy Allocation* | |
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| Based on Total Net Assets as of 5/31/23 | |
| | |
| | | Long
Positions | | | Short
Positions | |
Long Short Equity | | | 30.1% | | | | -22.2% | |
Relative Value | | | 48.4% | | | | -31.7% | |
Event Driven | | | 25.0% | | | | -12.5% | |
Global Macro | | | 123.5% | | | | -200.0% | |
Conditional Risk Overlay (CRO) | | | 0.0% | | | | -1.1% | |
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| Total | | | 227.0% | | | | -267.5% | |
*Figures include the effect of gross notional exposure of derivatives.
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K2 ALTERNATIVE STRATEGIES FUND
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| Subadvisors | | | |
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| 5/31/23 | | | |
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| Long Short Equity | | | | |
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ActusRayPartners Limited Chilton Investment Company, Inc. | | | | |
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Electron Capital Partners, LLC | | | | |
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Jennison Associates, LLC | | | | |
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Portland Hill Asset Management Limited | | | | |
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| Relative Value | | | | |
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Apollo Credit Management LLC | | | | |
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DLD Asset Management, LP | | | | |
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Lazard Asset Management, LLC | | | | |
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Loomis Sayles & Company, L.P. | | | | |
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One River Asset Management, LLC | | | | |
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| Event Driven | | | | |
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Bardin Hill Arbitrage IC Management LP | | | | |
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P. Schoenfeld Asset Management L.P. | | | | |
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| Global Macro | | | | |
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BlueBay Asset Management LLP | | | | |
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Graham Capital Management, L.P. | | | | |
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RV Capital Management Private Ltd. | | | | |
Manager’s Discussion
During the 12 months under review, one of the four underlying strategies to which we allocated assets contributed to absolute returns. The long/short equity strategy’s contribution, combined with the even larger contribution from cash positioning, helped drive the portfolio’s positive absolute performance. Gains were partially offset by losses from the global macro strategy, the largest detractor, and from the relative value and event driven strategies, though the latter’s detraction was minimal. From an asset class perspective, cash holdings were the key driver of gains, followed by currency hedges, real estate and equity positioning. In contrast, fixed income positioning weighed the most on absolute returns, with additional detraction from commodities exposure. The allocation percentages for each strategy are listed within the Strategy Allocation table.
In October 2022, the portfolio management team activated the conditional risk overlay strategy (CRO), which is designed to help protect capital and mitigate the downside in periods of volatility. The team aim was to hedge out some beta compared to the Standard & Poor’s® 500 Index (S&P 500®). For the 12-month period under review, the CRO was a detractor, owing to its S&P 500® hedge amid an equity market rally.
In July 2022, the team onboarded and implemented a position in ActusRayPartners within the long/short equity
strategy. ActusRay employs an equity market neutral strategy focused on European small- and mid-cap equities. ActusRay aims to generate meaningful levels of alpha and strong risk-adjusted returns through an investment process it calls discretionary probabilistic investing, combining a quantitative base with a discretionary overlay to handle situations that may be problematic for a pure systematic process. At the end of May 2023, the Fund’s long/short subadvisors were ActusRay, Chilton Investment and Electron Capital Partners. During the 12-month period, the team deallocated from long/short equity subadvisors Jennison Associates, Portland Hill Asset Management and Wellington Management.
Three of the six subadvisors in the long/short equity strategy contributed to absolute returns during the period, led by Electron (top overall) and Jennison. Conversely, subadvisors Wellington and Portland Hill weighed the most on returns within the strategy, with Wellington as the largest overall detractor. Long equity positioning was the key driver of the strategy’s gains, with additional contribution from currency hedges. Electron’s equity positioning in the industrials sector was a major contributor, led by a U.S.-based power conglomerate that advanced amid signs that its business model transformation and breakup strategy is bearing fruit.
The Fund’s global macro subadvisors were BlueBay Asset Management, Emso Asset Management, Graham Capital Management and RV Capital Management. Emso, which was the strategy’s largest detractor for the period under review, was fully deallocated during the first quarter of 2023. Two of four global macro subadvisors—Graham and Emso—weakened Fund performance during the period, ranking among the top overall detractors. Conversely, RV and BlueBay contributed positively. In terms of aggregate asset class exposures, commodity exposure was the largest detractor, followed by equity positioning. Subadvisor Graham was among the largest overall detractors, owing primarily to its commodities exposure.
During the first quarter of 2023, the team implemented a position with DLD Asset Management, LP (DLD) in the relative value strategy. DLD runs a multi-strategy program focusing on a range of relative value strategies seeking to provide diversifying exposure along with a faster and more dynamic ability to re-allocate capital across these strategies based on relative attractiveness of the underlying opportunities. DLD joined Apollo Credit Management, Benefit Street Partners (BSP), Ellington Global Asset Management, Lazard Asset Management, Loomis Sayles & Company and One River Asset Management as the Fund’s relative value subadvisors. During the 12-month period, the team deallocated from BSP and Ellington.
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K2 ALTERNATIVE STRATEGIES FUND
During the period, five of the seven subadvisors detracted from performance, with BSP and Ellington as the weakest performers within the strategy. In contrast, subadvisors Apollo and Lazard were among the top overall contributors. From an asset class perspective, long exposure to fixed income drove the strategy’s detraction, driven primarily by corporate bonds in the communications sector. Commodities exposure also contributed. Losses were partially offset by short equity positioning, especially in consumer discretionary, materials and industrials.
The Fund’s event driven strategy subadvisors were Bardin Hill Arbitrage IC Management and P. Schoenfeld Asset Management (PSAM). PSAM’s detraction was mostly offset by Bardin Hill’s positive contribution, leading to the strategy’s modest overall negative performance. Equity positioning weighed on returns, though losses were partially offset by contributions from the strategy’s other asset classes, led by currency hedges.
During the period, in addition to activating the CRO and adding subadvisors ActusRay and DLD, the team increased exposure to the global macro strategy, largely through subadvisor Graham. The team also marginally increased exposure to the relative value strategy, especially subadvisor Apollo. Exposure to the long/short equity strategy increased over the period, despite the deallocation of three subadvisors, due in part to the strategy’s outperformance. Many of the changes to strategy allocations occurred in a notable restructuring near the end of 2022, when the team increased exposure to the global macro and event driven strategies while substantially reducing exposure to long/short equity.
Thank you for your participation in K2 Alternative Strategies Fund. We look forward to continuing to serve your investment needs.
Brooks Ritchey
Co-Lead Portfolio Manager
Robert Christian
Co-Lead Portfolio Manager
Anthony Zanolla, CFA
Portfolio Manager
The foregoing information reflects our analysis, opinions and portfolio holdings as of May 31, 2023, 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.
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K2 ALTERNATIVE STRATEGIES FUND
Performance Summary as of May 31, 2023
The performance table and graphs do not reflect any taxes that a shareholder would pay on Fund dividends, capital gain distributions, if any, or any realized gains on the sale of Fund shares. Total return reflects reinvestment of the Fund’s dividends and capital gain distributions, if any, and any unrealized gains or losses. Your dividend income will vary depending on dividends or interest paid by securities in the Fund’s portfolio, adjusted for operating expenses of each class. Capital gain distributions are net profits realized from the sale of portfolio securities.
Performance as of 5/31/231
Cumulative total return excludes sales charges. Average annual total return includes maximum sales charges. Sales charges will vary depending on the size of the investment and the class of share purchased. The maximum is 5.50% and the minimum is 0%. Class A: 5.50% maximum initial sales charge; Advisor Class: no sales charges. For other share classes, visit franklintempleton.com.
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| Share Class | | Cumulative
Total Return2 | | | Average Annual
Total Return3 | |
| | |
| A4 | | | | | | | | |
1-Year | | | -1.48% | | | | -6.91% | |
5-Year | | | +4.91% | | | | -0.17% | |
Since Inception (10/11/13) | | | +24.87% | | | | +1.73% | |
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| Advisor | | | | | | | | |
1-Year | | | -1.21% | | | | -1.21% | |
5-Year | | | +6.35% | | | | +1.24% | |
Since Inception (10/11/13) | | | +28.00% | | | | +2.60% | |
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 9 for Performance Summary footnotes.
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K2 ALTERNATIVE STRATEGIES FUND
PERFORMANCE SUMMARY
Total Return Index Comparison for a Hypothetical $10,000 Investment1
Total return represents the change in value of an investment over the periods shown. It includes any applicable maximum sales charge, Fund expenses, account fees and reinvested distributions. The unmanaged indexes include reinvestment of any income or distributions. These differ from the Fund in composition and do not pay management fees or expenses. One cannot invest directly in an index.
Class A (10/11/13–5/31/23)
Advisor Class (10/11/13–5/31/23)
Please see page 9 for Performance Summary footnotes.
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K2 ALTERNATIVE STRATEGIES FUND
PERFORMANCE SUMMARY
Distributions (6/1/22–5/31/23)
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| Share Class | | Net Investment
Income | | | Short-Term
Capital Gain | | | Long-Term
Capital Gain | | | Total | |
| A | | | $0.2112 | | | | — | | | | $0.0932 | | | | $0.3044 | |
| C | | | $0.1083 | | | | — | | | | $0.0932 | | | | $0.2015 | |
| R | | | $0.1034 | | | | — | | | | $0.0932 | | | | $0.1966 | |
| R6 | | | $0.2514 | | | | — | | | | $0.0932 | | | | $0.3446 | |
| Advisor | | | $0.2406 | | | | — | | | | $0.0932 | | | | $0.3338 | |
Total Annual Operating Expenses6
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| | |
| Share Class | | With Fee
Waiver | | | Without Fee
Waiver | |
| A | | | 2.61% | | | | 2.76% | |
| Advisor | | | 2.36% | | | | 2.51% | |
Each class of shares is available to certain eligible investors and has different annual fees and expenses, as described in the prospectus.
All investments involve risks, including possible loss of principal. The market values of securities owned by the Fund will go up or down, sometimes rapidly or unpredictably. The Fund’s performance depends on the manager’s skill in selecting, overseeing and allocating Fund assets to the subadvisors. The Fund is actively managed and could experience losses if the investment manager’s and subadvisors’ judgment about particular investments made for the Fund’s portfolio prove to be incorrect. Some subadvisors may have little or no experience managing the assets of a registered investment company. Foreign investments are subject to greater investment risk such as political, economic, credit and information risks as well as risk of currency fluctuations. 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. Lower-rated or high-yield debt securities involve greater credit risk, including the possibility of default or bankruptcy. Currency management strategies could result in losses to the Fund if currencies do not perform as the investment manager or subadvisor expects. The Fund may make short sales of securities, which involves the risk that losses may exceed the original amount invested. Merger arbitrage investments risk loss if a proposed reorganization in which the Fund invests is renegotiated or terminated. Liquidity risk exists when securities have become more difficult to sell, or are unable to be sold, at the price at which they have been valued. 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.
1. Gross expenses are the Fund’s total annual operating expenses as of the Fund’s prospectus available at the time of publication. Actual fees 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 9/30/23 without Board consent.
2. Cumulative total return represents the change in value of an investment over the periods indicated.
3. Average annual total return represents the average annual change in value of an investment over the periods indicated. Return for less than one year, if any, has not been annualized.
4. Prior to 9/10/18, these shares were offered at a higher initial sales charge of 5.75%, thus actual returns (with sales charges) would have differed. Average annual total returns (with sales charges) have been restated to reflect the current maximum initial sales charge of 5.50%.
5. Source: FactSet. Hedge Fund Research, Inc. – www.hedgefundresearch.com. The HFRX Global Hedge Fund Index is being used under license from Hedge Fund Research, Inc., which does not endorse or approve of any of the contents of this report. The HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedge fund universe. It is composed of all eligible hedge fund strategies, including but not limited to convertible arbitrage, distressed securities, equity hedge, equity market neutral, event driven, macro, merger arbitrage and relative value arbitrage. The strategies are asset weighted based on the distribution of assets in the hedge fund industry. The ICE BofA U.S. 3-Month Treasury Bill Index tracks the performance of short-term U.S. government securities with a remaining term to final maturity of less than three months. Treasuries, if held to maturity, offer a fixed rate of return and a fixed principal value; their interest payments and principal are guaranteed.
6. 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 Consolidated Financial Highlights sections in this report. In periods of market volatility, assets may decline significantly, causing total annual Fund operating expenses to become higher than the figures shown.
See www.franklintempletondatasources.com for additional data provider information.
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K2 ALTERNATIVE STRATEGIES FUND
Your Fund’s Expenses
As a Fund shareholder, you can incur two types of costs: (1) transaction costs, including sales charges (loads) on Fund purchases and redemptions; and (2) ongoing Fund costs, including management fees, distribution and service (12b-1) fees, and other Fund expenses. All mutual 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 mutual 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” for each class of shares. 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 for your class of shares under the headings “Actual” and “Expenses Paid During Period” (if Actual Expenses Paid During Period were $7.50, then 8.6 x $7.50 = $64.50). In this illustration, the actual expenses paid this period are $64.50.
Hypothetical Example for Comparison with Other Funds
Under the heading “Hypothetical” in the table, information is provided about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. This information may not be used to estimate the actual ending account balance or expenses you paid for the period, but it can help you compare ongoing costs of investing in the Fund with those of other funds. To do so, compare this 5% hypothetical example for the class of shares you hold 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) | | | | |
Share Class | | Beginning
Account
Value 12/01/22 | | | Ending
Account
Value 5/31/23 | | | Expenses
Paid During
Period
12/01/22–5/31/231,2 | | | Ending
Account
Value 5/31/23 | | | Expenses
Paid During
Period
12/01/22–5/31/231,2 | | | Net
Annualized
Expense
Ratio2 | |
| A | | $ | 1,000 | | | $ | 999.50 | | | $ | 13.36 | | | $ | 1,011.57 | | | $ | 13.44 | | | | 2.68 | % |
| C | | $ | 1,000 | | | $ | 996.30 | | | $ | 17.12 | | | $ | 1,007.78 | | | $ | 17.22 | | | | 3.44 | % |
| R | | $ | 1,000 | | | $ | 998.80 | | | $ | 14.65 | | | $ | 1,010.27 | | | $ | 14.74 | | | | 2.94 | % |
| R6 | | $ | 1,000 | | | $ | 1,000.40 | | | $ | 11.97 | | | $ | 1,012.96 | | | $ | 12.04 | | | | 2.40 | % |
| Advisor | | $ | 1,000 | | | $ | 1,000.30 | | | $ | 12.17 | | | $ | 1,012.76 | | | $ | 12.24 | | | | 2.44 | % |
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 182/365 to reflect the one-half year period.
2. Reflects expenses after fee waivers and expense reimbursements. Does not include acquired fund fees and expenses.
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| | | | | | |
| 10 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
Consolidated Financial Highlights
K2 Alternative Strategies Fund
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Year Ended May 31, | |
| | | | | |
| | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | |
| | | | | |
| Class A | | | | | | | | | | | | | | | | | | | | |
Per share operating performance
(for a share outstanding throughout the year) | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net asset value, beginning of year | | $ | 11.16 | | | $ | 12.46 | | | $ | 11.19 | | | $ | 11.28 | | | $ | 11.38 | |
| | | | |
| | | | | |
| Income from investment operationsa: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income (loss)b | | | 0.15 | | | | (0.06 | ) | | | (0.08 | ) | | | (0.03 | ) | | | 0.04 | |
| | | | | |
Net realized and unrealized gains (losses) | | | (0.32 | ) | | | (0.68 | ) | | | 1.45 | | | | 0.02 | | | | 0.11 | |
| | | | |
| | | | | |
Total from investment operations | | | (0.17 | ) | | | (0.74 | ) | | | 1.37 | | | | (0.01 | ) | | | 0.15 | |
| | | | |
| | | | | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | (0.21 | ) | | | (0.06 | ) | | | — | | | | (0.07 | ) | | | — | |
| | | | | |
Net realized gains | | | (0.09 | ) | | | (0.50 | ) | | | (0.10 | ) | | | (0.01 | ) | | | (0.25 | ) |
| | | | |
| | | | | |
Total distributions | | | (0.30 | ) | | | (0.56 | ) | | | (0.10 | ) | | | (0.08 | ) | | | (0.25 | ) |
| | | | |
| | | | | |
Net asset value, end of year | | $ | 10.69 | | | $ | 11.16 | | | $ | 12.46 | | | $ | 11.19 | | | $ | 11.28 | |
| | | | |
| | | | | |
Total returnc | | | (1.48)% | | | | (6.25)% | | | | 12.25% | | | | (0.15)% | | | | 1.35% | |
| | | | | |
| Ratios to average net assets | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses before waiver, payments by affiliates and expense reductiond | | | 2.82% | | | | 2.75% | | | | 2.82% | | | | 2.58% | | | | 2.73% | |
| | | | | |
Expenses net of waiver, payments by affiliates and expense reductiond | | | 2.64% | | | | 2.60% | e | | | 2.64% | | | | 2.40% | | | | 2.56% | |
| | | | | |
Expenses incurred in connection with securities sold short | | | 0.45% | | | | 0.40% | | | | 0.44% | | | | 0.20% | | | | 0.36% | |
| | | | | |
Net investment income (loss) | | | 1.31% | | | | (0.49)% | | | | (0.67)% | | | | (0.25)% | | | | 0.36% | |
| | | | | |
| Supplemental data | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net assets, end of year (000’s) | | | $76,464 | | | | $94,580 | | | | $102,138 | | | | $90,205 | | | | $104,452 | |
| | | | | |
Portfolio turnover rate | | | 225.53% | | | | 177.61% | | | | 236.64% | | | | 271.51% | | | | 235.47% | |
aThe amount shown for a share outstanding throughout the period may not correlate with the Consolidated Statement of Operations for the period due to the timing of sales and repurchases of the Fund’s shares in relation to income earned and/or fluctuating fair value of the investments of the Fund.
bBased on average daily shares outstanding.
cTotal return does not reflect sales commissions or contingent deferred sales charges, if applicable.
dIncludes dividend and/or interest expense on securities sold short and security borrowing fees, if any. See below for the ratios of such expenses to average net assets for the periods presented. See Note 1(f).
eBenefit of expense reduction rounds to less than 0.01%.
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | The accompanying notes are an integral part of these consolidated financial statements. | Annual Report | | | | | | | | 11 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED FINANCIAL HIGHLIGHTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Year Ended May 31, | |
| | | | | |
| | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | |
| | | | | |
| Class C | | | | | | | | | | | | | | | | | | | | |
Per share operating performance
(for a share outstanding throughout the year) | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net asset value, beginning of year | | $ | 10.80 | | | $ | 12.11 | | | $ | 10.95 | | | $ | 11.05 | | | $ | 11.25 | |
| | | | |
| | | | | |
| Income from investment operationsa: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income (loss)b | | | 0.06 | | | | (0.15 | ) | | | (0.15 | ) | | | (0.11 | ) | | | (0.05 | ) |
| | | | | |
Net realized and unrealized gains (losses) | | | (0.31 | ) | | | (0.66 | ) | | | 1.41 | | | | 0.02 | | | | 0.10 | |
| | | | |
| | | | | |
Total from investment operations | | | (0.25 | ) | | | (0.81 | ) | | | 1.26 | | | | (0.09 | ) | | | 0.05 | |
| | | | |
| | | | | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | (0.11 | ) | | | — | | | | — | | | | — | | | | — | |
| | | | | |
Net realized gains | | | (0.09 | ) | | | (0.50 | ) | | | (0.10 | ) | | | (0.01 | ) | | | (0.25 | ) |
| | | | |
| | | | | |
Total distributions | | | (0.20 | ) | | | (0.50 | ) | | | (0.10 | ) | | | (0.01 | ) | | | (0.25 | ) |
| | | | |
| | | | | |
Net asset value, end of year | | $ | 10.35 | | | $ | 10.80 | | | $ | 12.11 | | | $ | 10.95 | | | $ | 11.05 | |
| | | | |
| | | | | |
Total returnc | | | (2.12)% | | | | (7.06)% | | | | 11.51% | | | | (0.85)% | | | | 0.56% | |
| | | | | |
| Ratios to average net assets | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses before waiver, payments by affiliates and expense reductiond | | | 3.57% | | | | 3.50% | | | | 3.54% | | | | 3.33% | | | | 3.48% | |
| | | | | |
Expenses net of waiver, payments by affiliates and expense reductiond | | | 3.39% | | | | 3.35% | e | | | 3.36% | | | | 3.15% | | | | 3.31% | |
| | | | | |
Expenses incurred in connection with securities sold short | | | 0.45% | | | | 0.40% | | | | 0.44% | | | | 0.20% | | | | 0.36% | |
| | | | | |
Net investment income (loss) | | | 0.55% | | | | (1.24)% | | | | (1.39)% | | | | (1.00)% | | | | (0.39)% | |
| | | | | |
| Supplemental data | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net assets, end of year (000’s) | | | $15,720 | | | | $24,486 | | | | $31,541 | | | | $36,043 | | | | $44,897 | |
| | | | | |
Portfolio turnover rate | | | 225.53% | | | | 177.61% | | | | 236.64% | | | | 271.51% | | | | 235.47% | |
aThe amount shown for a share outstanding throughout the period may not correlate with the Consolidated Statement of Operations for the period due to the timing of sales and repurchases of the Fund’s shares in relation to income earned and/or fluctuating fair value of the investments of the Fund.
bBased on average daily shares outstanding.
cTotal return does not reflect sales commissions or contingent deferred sales charges, if applicable.
dIncludes dividend and/or interest expense on securities sold short and security borrowing fees, if any. See below for the ratios of such expenses to average net assets for the periods presented. See Note 1(f).
eBenefit of expense reduction rounds to less than 0.01%.
| | | | | | | | | | |
| | | | | | |
| 12 | | | | | | | | Annual Report | The accompanying notes are an integral part of these consolidated financial statements. | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED FINANCIAL HIGHLIGHTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Year Ended May 31, | |
| | | | | |
| | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | |
| | | | | |
| Class R | | | | | | | | | | | | | | | | | | | | |
Per share operating performance
(for a share outstanding throughout the year) | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net asset value, beginning of year | | $ | 11.13 | | | $ | 12.44 | | | $ | 11.20 | | | $ | 11.28 | | | $ | 11.42 | |
| | | | |
| | | | | |
| Income from investment operationsa: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income (loss)b | | | 0.10 | | | | (0.08 | ) | | | (0.11 | ) | | | (0.06 | ) | | | 0.02 | |
| | | | | |
Net realized and unrealized gains (losses) | | | (0.31 | ) | | | (0.68 | ) | | | 1.45 | | | | 0.02 | | | | 0.09 | |
| | | | |
| | | | | |
Total from investment operations | | | (0.21 | ) | | | (0.76 | ) | | | 1.34 | | | | (0.04 | ) | | | 0.11 | |
| | | | |
| | | | | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | (0.10 | ) | | | (0.05 | ) | | | — | | | | (0.03 | ) | | | — | |
| | | | | |
Net realized gains | | | (0.09 | ) | | | (0.50 | ) | | | (0.10 | ) | | | (0.01 | ) | | | (0.25 | ) |
| | | | |
| | | | | |
Total distributions | | | (0.19 | ) | | | (0.55 | ) | | | (0.10 | ) | | | (0.04 | ) | | | (0.25 | ) |
| | | | |
| | | | | |
Net asset value, end of year | | $ | 10.73 | | | $ | 11.13 | | | $ | 12.44 | | | $ | 11.20 | | | $ | 11.28 | |
| | | | |
| | | | | |
Total return | | | (1.65)% | | | | (6.50)% | | | | 11.97% | | | | (0.39)% | | | | 1.08% | |
| | | | | |
| Ratios to average net assets | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses before waiver, payments by affiliates and expense reductionc | | | 3.07% | | | | 3.04% | | | | 3.06% | | | | 2.83% | | | | 2.98% | |
| | | | | |
Expenses net of waiver, payments by affiliates and expense reductionc | | | 2.89% | | | | 2.85% | d | | | 2.88% | | | | 2.65% | | | | 2.81% | |
| | | | | |
Expenses incurred in connection with securities sold short | | | 0.45% | | | | 0.40% | | | | 0.44% | | | | 0.20% | | | | 0.36% | |
| | | | | |
Net investment income (loss) | | | 1.05% | | | | (0.78)% | | | | (0.91)% | | | | (0.50)% | | | | 0.11% | |
| | | | | |
| Supplemental data | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net assets, end of year (000’s) | | | $351 | | | | $811 | | | | $840 | | | | $884 | | | | $844 | |
| | | | | |
Portfolio turnover rate | | | 225.53% | | | | 177.61% | | | | 236.64% | | | | 271.51% | | | | 235.47% | |
aThe amount shown for a share outstanding throughout the period may not correlate with the Consolidated Statement of Operations for the period due to the timing of sales and repurchases of the Fund’s shares in relation to income earned and/or fluctuating fair value of the investments of the Fund.
bBased on average daily shares outstanding.
cIncludes dividend and/or interest expense on securities sold short and security borrowing fees, if any. See below for the ratios of such expenses to average net assets for the periods presented. See Note 1(f).
dBenefit of expense reduction rounds to less than 0.01%.
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | The accompanying notes are an integral part of these consolidated financial statements. | Annual Report | | | | | | | | 13 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED FINANCIAL HIGHLIGHTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Year Ended May 31, | |
| | | | | |
| | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | |
| | | | | |
| Class R6 | | | | | | | | | | | | | | | | | | | | |
Per share operating performance
(for a share outstanding throughout the year) | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net asset value, beginning of year | | $ | 11.27 | | | $ | 12.58 | | | $ | 11.25 | | | $ | 11.34 | | | $ | 11.41 | |
| | | | |
| | | | | |
| Income from investment operationsa: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income (loss)b | | | 0.18 | | | | (0.02 | ) | | | (0.04 | ) | | | 0.01 | | | | 0.08 | |
| | | | | |
Net realized and unrealized gains (losses) | | | (0.33 | ) | | | (0.69 | ) | | | 1.47 | | | | 0.02 | | | | 0.10 | |
| | | | |
| | | | | |
Total from investment operations | | | (0.15 | ) | | | (0.71 | ) | | | 1.43 | | | | 0.03 | | | | 0.18 | |
| | | | |
| | | | | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | (0.25 | ) | | | (0.10 | ) | | | — | | | | (0.11 | ) | | | — | |
| | | | | |
Net realized gains | | | (0.09 | ) | | | (0.50 | ) | | | (0.10 | ) | | | (0.01 | ) | | | (0.25 | ) |
| | | | |
| | | | | |
Total distributions | | | (0.34 | ) | | | (0.60 | ) | | | (0.10 | ) | | | (0.12 | ) | | | (0.25 | ) |
| | | | |
| | | | | |
Net asset value, end of year | | $ | 10.78 | | | $ | 11.27 | | | $ | 12.58 | | | $ | 11.25 | | | $ | 11.34 | |
| | | | |
| | | | | |
Total return | | | (1.20)% | | | | (6.05)% | | | | 12.61% | | | | 0.27% | | | | 1.70% | |
| | | | | |
| Ratios to average net assets | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses before waiver, payments by affiliates and expense reductionc | | | 2.48% | | | | 2.44% | | | | 2.50% | | | | 2.26% | | | | 2.41% | |
| | | | | |
Expenses net of waiver, payments by affiliates and expense reductionc | | | 2.36% | | | | 2.32% | d | | | 2.32% | | | | 2.07% | | | | 2.23% | |
| | | | | |
Expenses incurred in connection with securities sold short | | | 0.45% | | | | 0.40% | | | | 0.44% | | | | 0.20% | | | | 0.36% | |
| | | | | |
Net investment income (loss) | | | 1.64% | | | | (0.18)% | | | | (0.35)% | | | | 0.08% | | | | 0.69% | |
| | | | | |
| Supplemental data | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net assets, end of year (000’s) | | | $44,192 | | | | $47,851 | | | | $27,471 | | | | $15,537 | | | | $42,842 | |
| | | | | |
Portfolio turnover rate | | | 225.53% | | | | 177.61% | | | | 236.64% | | | | 271.51% | | | | 235.47% | |
aThe amount shown for a share outstanding throughout the period may not correlate with the Consolidated Statement of Operations for the period due to the timing of sales and repurchases of the Fund’s shares in relation to income earned and/or fluctuating fair value of the investments of the Fund.
bBased on average daily shares outstanding.
cIncludes dividend and/or interest expense on securities sold short and security borrowing fees, if any. See below for the ratios of such expenses to average net assets for the periods presented. See Note 1(f).
dBenefit of expense reduction rounds to less than 0.01%.
| | | | | | | | | | |
| | | | | | |
| 14 | | | | | | | | Annual Report | The accompanying notes are an integral part of these consolidated financial statements. | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED FINANCIAL HIGHLIGHTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | | | |
| |
| | | Year Ended May 31, | |
| | | | | |
| | | 2023 | | | 2022 | | | 2021 | | | 2020 | | | 2019 | |
| | | | | |
| Advisor Class | | | | | | | | | | | | | | | | | | | | |
Per share operating performance
(for a share outstanding throughout the year) | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net asset value, beginning of year | | $ | 11.24 | | | $ | 12.55 | | | $ | 11.23 | | | $ | 11.33 | | | $ | 11.40 | |
| | | | |
| | | | | |
| Income from investment operationsa: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income (loss)b | | | 0.17 | | | | (0.03 | ) | | | (0.05 | ) | | | — | c | | | 0.07 | |
| | | | | |
Net realized and unrealized gains (losses) | | | (0.32 | ) | | | (0.69 | ) | | | 1.47 | | | | 0.01 | | | | 0.11 | |
| | | | |
| | | | | |
Total from investment operations | | | (0.15 | ) | | | (0.72 | ) | | | 1.42 | | | | 0.01 | | | | 0.18 | |
| | | | |
| | | | | |
| Less distributions from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | (0.24 | ) | | | (0.09 | ) | | | — | | | | (0.10 | ) | | | — | |
| | | | | |
Net realized gains | | | (0.09 | ) | | | (0.50 | ) | | | (0.10 | ) | | | (0.01 | ) | | | (0.25 | ) |
| | | | |
| | | | | |
Total distributions | | | (0.33 | ) | | | (0.59 | ) | | | (0.10 | ) | | | (0.11 | ) | | | (0.25 | ) |
| | | | |
| | | | | |
Net asset value, end of year | | $ | 10.76 | | | $ | 11.24 | | | $ | 12.55 | | | $ | 11.23 | | | $ | 11.33 | |
| | | | |
| | | | | |
Total return | | | (1.21)% | | | | (6.05)% | | | | 12.55% | | | | 0.19% | | | | 1.61% | |
| | | | | |
| Ratios to average net assets | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses before waiver, payments by affiliates and expense reductiond | | | 2.57% | | | | 2.50% | | | | 2.57% | | | | 2.33% | | | | 2.48% | |
| | | | | |
Expenses net of waiver, payments by affiliates and expense reductiond | | | 2.39% | | | | 2.35% | e | | | 2.39% | | | | 2.15% | | | | 2.31% | |
| | | | | |
Expenses incurred in connection with securities sold short | | | 0.45% | | | | 0.40% | | | | 0.44% | | | | 0.20% | | | | 0.36% | |
| | | | | |
Net investment income (loss) | | | 1.55% | | | | (0.24)% | | | | (0.42)% | | | | — | f | | | 0.61% | |
| | | | | |
| Supplemental data | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net assets, end of year (000’s) | | | $710,974 | | | | $1,099,387 | | | | $1,152,105 | | | | $977,094 | | | | $1,046,252 | |
| | | | | |
Portfolio turnover rate | | | 225.53% | | | | 177.61% | | | | 236.64% | | | | 271.51% | | | | 235.47% | |
aThe amount shown for a share outstanding throughout the period may not correlate with the Consolidated Statement of Operations for the period due to the timing of sales and repurchases of the Fund’s shares in relation to income earned and/or fluctuating fair value of the investments of the Fund.
bBased on average daily shares outstanding.
cAmount rounds to less than $0.01.
dIncludes dividend and/or interest expense on securities sold short and security borrowing fees, if any. See below for the ratios of such expenses to average net assets for the periods presented. See Note 1(f).
eBenefit of expense reduction rounds to less than 0.01%.
fAmount rounds to less than 0.01%.
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | The accompanying notes are an integral part of these consolidated financial statements. | Annual Report | | | | | | | | 15 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
Consolidated Schedule of Investments, May 31, 2023
K2 Alternative Strategies Fund
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | Country | | | Shares/
Warrants/ Rights | | | | | | Value | |
| | | Common Stocks and Other Equity Interests 28.9% | | | | | | | | | | |
| | | Aerospace & Defense 0.0%† | |
| | Lockheed Martin Corp. | | | United States | | | | 79 | | | | | | | $ | 35,077 | |
| a | | Mercury Systems Inc. | | | United States | | | | 6,174 | | | | | | | | 250,603 | |
| a | | Satellogic Inc., 1/25/27, wts. | | | United States | | | | 2,058 | | | | | | | | 315 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 285,995 | |
| | | | | | | | | | | | | | | | | | |
| | | Air Freight & Logistics 0.0%† | |
| | United Parcel Service Inc., B | | | United States | | | | 251 | | | | | | | | 41,917 | |
| | | | | | | | | | | | | | | | | | |
| | | Airlines 0.0%† | |
| a | | American Airlines Group Inc. | | | United States | | | | 696 | | | | | | | | 10,287 | |
| | | | | | | | | | | | | | | | | | |
| | | Automobiles 0.3% | |
| a,b | | Fisker Inc. | | | United States | | | | 3,699 | | | | | | | | 23,230 | |
| | General Motors Co. | | | United States | | | | 46,344 | | | | | | | | 1,502,009 | |
| a,b | | Lucid Group Inc. | | | United States | | | | 1,930 | | | | | | | | 14,977 | |
| a | | Xpeng Inc., A, ADR | | | China | | | | 78,608 | | | | | | | | 619,431 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 2,159,647 | |
| | | | | | | | | | | | | | | | | | |
| | | Banks 0.1% | |
| c | | First Horizon Corp. | | | United States | | | | 37,700 | | | | | | | | 388,687 | |
| c | | JPMorgan Chase & Co. | | | United States | | | | 125 | | | | | | | | 16,964 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 405,651 | |
| | | | | | | | | | | | | | | | | | |
| | | Beverages 0.5% | |
| c | | The Coca-Cola Co. | | | United States | | | | 605 | | | | | | | | 36,095 | |
| | Davide Campari-Milano NV | | | Italy | | | | 49,629 | | | | | | | | 649,351 | |
| a,d | | Monster Beverage Corp. | | | United States | | | | 24,952 | | | | | | | | 1,462,686 | |
| d | | PepsiCo Inc. | | | United States | | | | 9,680 | | | | | | | | 1,765,148 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 3,913,280 | |
| | | | | | | | | | | | | | | | | | |
| | | Biotechnology 2.0% | |
| | AbbVie Inc. | | | United States | | | | 326 | | | | | | | | 44,975 | |
| a,b | | Gossamer Bio Inc. | | | United States | | | | 100 | | | | | | | | 134 | |
| a,c | | Horizon Therapeutics PLC | | | United States | | | | 90,713 | | | | | | | | 9,074,022 | |
| a,c | | Iveric Bio Inc. | | | United States | | | | 34,021 | | | | | | | | 1,284,293 | |
| a | | Karyopharm Therapeutics Inc. | | | United States | | | | 1,000 | | | | | | | | 2,260 | |
| a | | Prometheus Biosciences Inc. | | | United States | | | | 5,560 | | | | | | | | 1,104,772 | |
| a,c | | Seagen Inc. | | | United States | | | | 26,205 | | | | | | | | 5,128,318 | |
| a | | Vectivbio Holding AG | | | Switzerland | | | | 21,279 | | | | | | | | 351,103 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 16,989,877 | |
| | | | | | | | | | | | | | | | | | |
| | | Building Products 0.0%† | |
| a | | Pgt Innovations Inc. | | | United States | | | | 6,443 | | | | | | | | 160,237 | |
| | | | | | | | | | | | | | | | | | |
| | | Capital Markets 1.2% | |
| | BlackRock Inc., A | | | United States | | | | 28 | | | | | | | | 18,411 | |
| | Canaccord Genuity Group Inc. | | | Canada | | | | 110,709 | | | | | | | | 778,837 | |
| a | | Focus Financial Partners Inc., A | | | United States | | | | 100,986 | | | | | | | | 5,260,361 | |
| | Greenhill & Co. Inc. | | | United States | | | | 95,918 | | | | | | | | 1,388,893 | |
| d | | Moody’s Corp. | | | United States | | | | 4,812 | | | | | | | | 1,524,826 | |
| c | | Morgan Stanley | | | United States | | | | 13,204 | | | | | | | | 1,079,559 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 10,050,887 | |
| | | | | | | | | | | | | | | | | | |
| | | Chemicals 0.6% | |
| a | | Linde PLC | | | United States | | | | 47 | | | | | | | | 16,622 | |
| | Novozymes A/S, B | | | Denmark | | | | 14,950 | | | | | | | | 722,545 | |
| | The Sherwin-Williams Co. | | | United States | | | | 18,899 | | | | | | | | 4,304,814 | |
| | | | | | | | | | |
| | | | | | |
| 16 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | Country | | | Shares/
Warrants/ Rights | | | | | | Value | |
| | | Common Stocks and Other Equity Interests (continued) | | | | | | | | | | |
| | | Chemicals (continued) | |
| a | | Tronox Holdings PLC, A | | | United States | | | | 26,276 | | | | | | | $ | 279,577 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 5,323,558 | |
| | | | | | | | | | | | | | | | | | |
| | | Commercial Services & Supplies 0.8% | |
| d | | Cintas Corp. | | | United States | | | | 4,892 | | | | | | | | 2,309,709 | |
| a | | Digital Transformation Opportunities Corp., A, 3/31/28, wts. | | | United States | | | | 9,795 | | | | | | | | 730 | |
| | Republic Services Inc., A | | | United States | | | | 30,305 | | | | | | | | 4,292,097 | |
| a | | Shapeways Holdings Inc., 10/31/26, wts. | | | United States | | | | 13,286 | | | | | | | | 227 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 6,602,763 | |
| | | | | | | | | | | | | | | | | | |
| | | Communications Equipment 0.0%† | |
| | Cisco Systems Inc. | | | United States | | | | 248 | | | | | | | | 12,318 | |
| a | | Riverbed Technology Inc. | | | United States | | | | 5,404 | | | | | | | | 270 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 12,588 | |
| | | | | | | | | | | | | | | | | | |
| | | Construction & Engineering 0.9% | |
| a,d | | Mastec Inc. | | | United States | | | | 42,076 | | | | | | | | 4,264,823 | |
| d | | Quanta Services Inc. | | | United States | | | | 20,593 | | | | | | | | 3,656,905 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 7,921,728 | |
| | | | | | | | | | | | | | | | | | |
| | | Construction Materials 0.1% | |
| a | | Cemex SAB de CV, ADR | | | Mexico | | | | 69,344 | | | | | | | | 416,064 | |
| | | | | | | | | | | | | | | | | | |
| | | Consumer Finance 0.1% | |
| a | | NeoGames S.A. | | | Israel | | | | 26,013 | | | | | | | | 709,374 | |
| | | | | | | | | | | | | | | | | | |
| | | Containers & Packaging 0.3% | |
| | Ball Corp. | | | United States | | | | 38,789 | | | | | | | | 1,984,445 | |
| | Crown Holdings Inc. | | | United States | | | | 2,775 | | | | | | | | 211,538 | |
| | Packaging Corp. of America | | | United States | | | | 94 | | | | | | | | 11,659 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 2,207,642 | |
| | | | | | | | | | | | | | | | | | |
| | | Distributors 0.5% | |
| | Pool Corp. | | | United States | | | | 6,485 | | | | | | | | 2,050,751 | |
| a | | Uni-Select Inc. | | | Canada | | | | 55,166 | | | | | | | | 1,899,011 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 3,949,762 | |
| | | | | | | | | | | | | | | | | | |
| | | Diversified Consumer Services 0.1% | |
| a | | Chegg Inc. | | | United States | | | | 172 | | | | | | | | 1,544 | |
| | Invocare Ltd. | | | Australia | | | | 98,716 | | | | | | | | 796,740 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 798,284 | |
| | | | | | | | | | | | | | | | | | |
| | | Diversified Financial Services 1.5% | |
| a | | 7GC & Co. Holdings Inc., A, 12/31/26, wts. | | | United States | | | | 3,244 | | | | | | | | 99 | |
| a | | Accor Acquisition Co. SA, B | | | France | | | | 19,215 | | | | | | | | 200,768 | |
| a | | Accor Acquisition Co. SA, B, 7/08/26, wts. | | | France | | | | 19,332 | | | | | | | | 21 | |
| a | | Accretion Acquisition Corp. | | | United States | | | | 35,312 | | | | | | | | 365,832 | |
| a | | Aequi Acquisition Corp., A | | | United States | | | | 4,844 | | | | | | | | 50,087 | |
| a | | Aequi Acquisition Corp., A, 11/30/27, wts. | | | United States | | | | 490 | | | | | | | | 44 | |
| a | | African Gold Acquisition Corp., A, 3/13/28, wts. | | | United States | | | | 4,750 | | | | | | | | — | |
| a | | Ahren Acquisition Corp., A | | | Cayman Islands | | | | 51,027 | | | | | | | | 538,335 | |
| a | | Apollo Strategic Growth Capital II, A, 12/31/27, wts. | | | United States | | | | 5,405 | | | | | | | | 648 | |
| a | | Ares Acquisition Corp. II | | | United States | | | | 84,363 | | | | | | | | 860,503 | |
| a | | Athena Consumer Acquisition Corp., A, 7/31/28, wts. | | | United States | | | | 13,194 | | | | | | | | 561 | |
| a | | Athena Technology Acquisition Corp. II, A, 10/17/28, wts. | | | United States | | | | 19,317 | | | | | | | | 1,592 | |
| a | | Atlantic Coastal Acquisition Corp., A, 12/31/27, wts. | | | United States | | | | 5,443 | | | | | | | | 333 | |
| a | | Bellevue Life Sciences Acquisition Corp. | | | United States | | | | 22,684 | | | | | | | | 231,830 | |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 17 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | Country | | | Shares/
Warrants/ Rights | | | | | | Value | |
| | | Common Stocks and Other Equity Interests (continued) | | | | | | | | | | |
| | | Diversified Financial Services (continued) | |
| a | | Black Mountain Acquisition Corp., A | | | United States | | | | 2,119 | | | | | | | $ | 22,377 | |
| a | | Blue Whale Acquisition Corp. I, A, 7/09/23, wts. | | | United Arab Emirates | | | | 1,005 | | | | | | | | 65 | |
| a | | C5 Acquisition Corp., A | | | United States | | | | 35,364 | | | | | | | | 375,212 | |
| a | | Capitalworks Emerging Markets Acquisition Corp., A, 4/27/28, wts. | | | United States | | | | 7,737 | | | | | | | | 1,006 | |
| a | | CC Neuberger Principal Holdings III, 12/31/27, wts. | | | United States | | | | 7,027 | | | | | | | | 1,265 | |
| a | | Churchill Capital Corp. VI, A | | | United States | | | | 9,074 | | | | | | | | 93,009 | |
| a | | Churchill Capital Corp. VII, A | | | United States | | | | 37,869 | | | | | | | | 387,779 | |
| a | | Climate Transition Capital Acquisition I BV, A | | | Netherlands | | | | 52,800 | | | | | | | | 570,023 | |
| a | | Climate Transition Capital Acquisition I BV, A, 6/29/26, wts. | | | Netherlands | | | | 17,720 | | | | | | | | 19 | |
| a,d | | Concord Acquisition Corp. II, A | | | United States | | | | 79,080 | | | | | | | | 808,988 | |
| a | | Consilium Acquisition Corp. I Ltd. | | | United States | | | | 12,546 | | | | | | | | 131,482 | |
| a | | Conx Corp., A, 10/30/27, wts. | | | United States | | | | 14,679 | | | | | | | | 2,936 | |
| a,d | | Conyers Park III Acquisition Corp., A | | | United States | | | | 32,395 | | | | | | | | 330,105 | |
| a | | Corner Growth Acquisition Corp., A, 6/17/26, wts. | | | United States | | | | 5,737 | | | | | | | | 516 | |
| a | | Corner Growth Acquisition Corp., A, 12/31/27, wts. | | | United States | | | | 7,606 | | | | | | | | 380 | |
| a | | Crown PropTech Acquisitions, 12/31/27, wts. | | | United States | | | | 12,844 | | | | | | | | 1,284 | |
| a | | DHC Acquisition Corp., A, 12/31/27, wts. | | | United States | | | | 241 | | | | | | | | 17 | |
| a | | EF Hutton Acquisition Corp. I | | | United States | | | | 35,442 | | | | | | | | 366,470 | |
| a | | Elliott Opportunity II Corp., A | | | United States | | | | 56,350 | | | | | | | | 583,223 | |
| a | | Elliott Opportunity II Corp., A, 3/02/26, wts. | | | United States | | | | 9,039 | | | | | | | | 50 | |
| a | | Energy Transition Partners BV | | | Netherlands | | | | 3,372 | | | | | | | | 35,413 | |
| a | | Energy Transition Partners BV, 7/16/26, wts. | | | Netherlands | | | | 1,124 | | | | | | | | 195 | |
| a | | Enterprise 4.0 Technology Acquisition Corp., 9/24/23, wts. | | | United States | | | | 8,203 | | | | | | | | 588 | |
| a | | Fast Acquisition Corp. II, A, 3/16/26, wts. | | | United States | | | | 180 | | | | | | | | 96 | |
| a | | Focus Impact Acquisition Corp., A, 10/28/26, wts. | | | United States | | | | 6,618 | | | | | | | | 299 | |
| a | | Forest Road Acquisition Corp. II, A | | | United States | | | | 32,625 | | | | | | | | 330,002 | |
| a | | Forum Merger IV Corp., A, 12/31/27, wts. | | | United States | | | | 704 | | | | | | | | 85 | |
| a | | Four Leaf Acquisition Corp., A | | | United States | | | | 39,000 | | | | | | | | 400,920 | |
| a | | Four Leaf Acquisition Corp., A, 5/12/28, wts. | | | United States | | | | 39,000 | | | | | | | | 3,896 | |
| a | | FTAC Zeus Acquisition Corp., A | | | United States | | | | 6,342 | | | | | | | | 65,830 | |
| a,d | | Fusion Acquisition Corp. II, A, 12/31/27, wts. | | | United States | | | | 5,297 | | | | | | | | — | |
| a | | Global Partner Acquisition Corp. II, A, 12/31/27, wts. | | | United States | | | | 2,950 | | | | | | | | 148 | |
| a | | GoGreen Investments Corp. | | | United States | | | | 9,490 | | | | | | | | 102,018 | |
| a | | Growth For Good Acquisition Corp., Contingent Value, rts., 6/14/23 | | | United States | | | | 5,118 | | | | | | | | 870 | |
| a | | Hedosophia European Growth, 5/13/27, wts. | | | United Kingdom | | | | 12,932 | | | | | | | | 13 | |
| a | | Inflection Point Acquisition Corp. II | | | United States | | | | 55,916 | | | | | | | | 563,633 | |
| a | | Investcorp Europe Acqusition Corp. I, A, 11/23/28, wts. | | | United States | | | | 9,717 | | | | | | | | 1,749 | |
| a | | Jackson Acquisition Co., A, 12/31/28, wts. | | | United States | | | | 2,966 | | | | | | | | 4 | |
| a | | Jaws Juggernaut Acquisition Corp., A | | | United States | | | | 6,381 | | | | | | | | 65,820 | |
| a | | Jaws Juggernaut Acquisition Corp., A, 2/12/26, wts. | | | United States | | | | 4,284 | | | | | | | | 731 | |
| a | | Jaws Mustang Acquisition Corp., A, 1/30/26, wts. | | | United States | | | | 8,196 | | | | | | | | 410 | |
| a | | Kensington Capital Acquisition Corp. V, A | | | United States | | | | 22,622 | | | | | | | | 237,644 | |
| a | | Khosla Ventures Acquisition Co., A | | | United States | | | | 48,524 | | | | | | | | 498,341 | |
| a | | Landcadia Holdings IV Inc., A, 3/29/28, wts. | | | United States | | | | 1,171 | | | | | | | | 192 | |
| a | | Learn CW Investment Corp., A | | | United States | | | | 19,726 | | | | | | | | 207,123 | |
| a | | Learn CW Investment Corp., A, 12/31/28, wts. | | | United States | | | | 9,863 | | | | | | | | 466 | |
| a | | Live Oak Crestview Climate Acquisition Corp., A, 3/12/26, wts. | | | United States | | | | 452 | | | | | | | | 50 | |
| a | | M3-Brigade Acquisition II Corp., A | | | United States | | | | 30,000 | | | | | | | | 304,800 | |
| a | | M3-Brigade Acquisition II Corp., A, 12/31/27, wts. | | | United States | | | | 7,608 | | | | | | | | 228 | |
| a | | Motive Capital Corp. II, A | | | United States | | | | 17,352 | | | | | | | | 182,370 | |
| a | | Motive Capital Corp. II, A, 5/15/28, wts. | | | United States | | | | 5,384 | | | | | | | | 20 | |
| a | | Murphy Canyon Acquisition Corp., A | | | United States | | | | 32,534 | | | | | | | | 347,788 | |
| a | | Northern Star Investment Corp. II, A, 1/31/28, wts. | | | United States | | | | 3,083 | | | | | | | | 120 | |
| | | | | | | | | | |
| | | | | | |
| 18 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | Country | | | Shares/
Warrants/ Rights | | | | | | Value | |
| | | Common Stocks and Other Equity Interests (continued) | | | | | | | | | | |
| | | Diversified Financial Services (continued) | |
| a | | Oak Woods Acquisition Corp. | | | Canada | | | | 46,800 | | | | | | | $ | 485,784 | |
| a | | Obotech Acquisition SE, A | | | Luxembourg | | | | 4,205 | | | | | | | | 44,498 | |
| a | | Obotech Acquisition SE, A, 4/30/26, wts. | | | Luxembourg | | | | 1,401 | | | | | | | | 2 | |
| a | | Orion Biotech Opportunities Corp., A, 12/31/27, wts. | | | United States | | | | 3,392 | | | | | | | | 4 | |
| a,e | | Pershing Square Tontine Holdings Ltd., A | | | United States | | | | 42,829 | | | | | | | | 8,566 | |
| a | | Pontem Corp., A, 1/05/26, wts. | | | United States | | | | 4,749 | | | | | | | | — | |
| a | | PowerUp Acquisition Corp. | | | United States | | | | 5,871 | | | | | | | | 61,293 | |
| a | | Rigel Resource Acquisition Corp., A | | | United States | | | | 55,603 | | | | | | | | 592,172 | |
| a | | Rigel Resource Acquisition Corp., A, 11/05/26, wts. | | | United States | | | | 4,071 | | | | | | | | 410 | |
| a | | RMG Acquisition Corp. III, A | | | United States | | | | 2,786 | | | | | | | | 28,194 | |
| a | | RMG Acquisition Corp. III, A, 12/31/27, wts. | | | United States | | | | 557 | | | | | | | | 56 | |
| a,d | | Rosecliff Acquisition Corp. I, A, 12/31/27, wts. | | | United States | | | | 19,875 | | | | | | | | 1,391 | |
| a | | Screaming Eagle Acquisition Corp., A | | | United States | | | | 96,744 | | | | | | | | 991,626 | |
| a | | Screaming Eagle Acquisition Corp., A, 12/15/27, wts. | | | United States | | | | 20,384 | | | | | | | | 3,058 | |
| a | | Sculptor Acquisition Corp. I, A | | | United States | | | | 14,028 | | | | | | | | 147,294 | |
| a | | Sculptor Acquisition Corp. I, A, 4/15/28, wts. | | | United States | | | | 7,014 | | | | | | | | 70 | |
| a | | Slam Corp., A, 12/31/27, wts. | | | United States | | | | 7,928 | | | | | | | | 1,435 | |
| a | | Social Capital Suvretta Holdings Corp. II, A | | | United States | | | | 14,142 | | | | | | | | 145,875 | |
| a | | Social Capital Suvretta Holdings Corp. IV, A | | | United States | | | | 27,104 | | | | | | | | 279,442 | |
| a | | Social Leverage Acquisition Corp. I, A | | | United States | | | | 13,866 | | | | | | | | 141,988 | |
| a | | Social Leverage Acquisition Corp. I, A, 2/17/28, wts. | | | United States | | | | 3,466 | | | | | | | | 693 | |
| a | | Sound Point Acquisition Corp I Ltd., A | | | United States | | | | 41,721 | | | | | | | | 444,746 | |
| a | | Southport Acquisition Corp., 5/24/28, wts. | | | United States | | | | 4,946 | | | | | | | | 126 | |
| a | | Spree Acquisition Corp. 1 Ltd., 12/22/28, wts. | | | Israel | | | | 3,069 | | | | | | | | 136 | |
| a | | Sustainable Development Acquisition I Corp., A, 12/31/28, wts. | | | United States | | | | 4,181 | | | | | | | | 95 | |
| a | | Target Global Acquisition I Corp., A, 12/31/27, wts. | | | Israel | | | | 3,516 | | | | | | | | 316 | |
| a | | Teract SA, 11/16/25, wts. | | | France | | | | 3,920 | | | | | | | | 154 | |
| a,d | | Thunder Bridge Capital Partners IV Inc., A | | | United States | | | | 12,385 | | | | | | | | 126,946 | |
| a | | TLG Acquisition One Corp., A | | | United States | | | | 9,876 | | | | | | | | 104,093 | |
| a | | Twelve Seas Investment Co. II, A, 3/02/28, wts. | | | United States | | | | 1,629 | | | | | | | | 82 | |
| a | | Vahanna Tech Edge Acquisition I Corp., A | | | United States | | | | 7,916 | | | | | | | | 83,395 | |
| a | | Vahanna Tech Edge Acquisition I Corp., A, 11/30/28, wts. | | | United States | | | | 3,958 | | | | | | | | 146 | |
| a | | Zimmer Energy Transition Acquisition Corp., A, 6/16/26, wts. | | | United States | | | | 2,381 | | | | | | | | 15 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 12,972,822 | |
| | | | | | | | | | | | | | | | | | |
| | | Diversified REITs 0.1% | |
| | Industrials REIT Ltd. | | | United Kingdom | | | | 478,925 | | | | | | | | 991,939 | |
| | | | | | | | | | | | | | | | | | |
| | | Diversified Telecommunication Services 0.3% | |
| a | | Radius Global Infrastructure Inc., A | | | United States | | | | 184,726 | | | | | | | | 2,733,945 | |
| | | | | | | | | | | | | | | | | | |
| | | Electric Utilities 2.9% | |
| | Constellation Energy Corp. | | | United States | | | | 52,998 | | | | | | | | 4,452,892 | |
| | Duke Energy Corp. | | | United States | | | | 231 | | | | | | | | 20,626 | |
| d | | Edison International | | | United States | | | | 41,274 | | | | | | | | 2,786,821 | |
| a | | Energy Harbor Corp. | | | United States | | | | 93,724 | | | | | | | | 7,246,881 | |
| d | | NextEra Energy Inc. | | | United States | | | | 29,107 | | | | | | | | 2,138,200 | |
| | Origin Energy Ltd. | | | Australia | | | | 327,295 | | | | | | | | 1,773,593 | |
| a,d | | PG&E Corp. | | | United States | | | | 207,678 | | | | | | | | 3,518,065 | |
| d | | PNM Resources Inc. | | | United States | | | | 63,541 | | | | | | | | 2,917,802 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 24,854,880 | |
| | | | | | | | | | | | | | | | | | |
| | | Electrical Equipment 1.0% | |
| a,d | | Array Technologies Inc. | | | United States | | | | 182,470 | | | | | | | | 4,045,360 | |
| c | | Emerson Electric Co. | | | United States | | | | 179 | | | | | | | | 13,905 | |
| a,d | | Enovix Corp. | | | United States | | | | 30,044 | | | | | | | | 398,684 | |
| a,d | | Fluence Energy Inc., A | | | United States | | | | 81,147 | | | | | | | | 2,012,445 | |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 19 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | Country | | | Shares/
Warrants/ Rights | | | | | | Value | |
| | | Common Stocks and Other Equity Interests (continued) | | | | | | | | | | |
| | | Electrical Equipment (continued) | |
| a | | Nextracker Inc., A | | | United States | | | | 18,827 | | | | | | | $ | 720,133 | |
| a | | Sunrun Inc. | | | United States | | | | 55,280 | | | | | | | | 975,139 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 8,165,666 | |
| | | | | | | | | | | | | | | | | | |
| | | Electronic Equipment, Instruments & Components 0.3% | |
| a | | Hollysys Automation Technologies Ltd. | | | China | | | | 70,572 | | | | | | | | 1,112,215 | |
| a | | Movella Holdings Inc., A, 12/31/27, wts. | | | United States | | | | 5,567 | | | | | | | | 806 | |
| | National Instruments Corp. | | | United States | | | | 24,737 | | | | | | | | 1,429,798 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 2,542,819 | |
| | | | | | | | | | | | | | | | | | |
| | | Energy Equipment & Services 0.0%† | |
| a | | Helix Energy Solutions Group Inc. | | | United States | | | | 9,000 | | | | | | | | 56,520 | |
| a | | John Wood Group PLC | | | United Kingdom | | | | 130,863 | | | | | | | | 228,782 | |
| a | | Transocean Ltd., 6/13/26, wts. | | | United States | | | | 6,900 | | | | | | | | 13,869 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 299,171 | |
| | | | | | | | | | | | | | | | | | |
| | | Entertainment 1.2% | |
| a,c,d | | Activision Blizzard Inc. | | | United States | | | | 98,959 | | | | | | | | 7,936,512 | |
| a | | AMC Entertainment Holdings Inc. | | | United States | | | | 201,270 | | | | | | | | 326,057 | |
| a,c | | Manchester United PLC, A | | | United Kingdom | | | | 35,862 | | | | | | | | 692,854 | |
| f | | Rovio Entertainment OYJ, 144A | | | Finland | | | | 36,518 | | | | | | | | 359,114 | |
| | World Wrestling Entertainment Inc., A | | | United States | | | | 9,756 | | | | | | | | 988,478 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 10,303,015 | |
| | | | | | | | | | | | | | | | | | |
| | | Equity Real Estate Investment Trusts (REITs) 0.3% | |
| | American Tower Corp. | | | United States | | | | 159 | | | | | | | | 29,326 | |
| a | | Braemar Hotels & Resorts Inc. | | | United States | | | | 47 | | | | | | | | 192 | |
| | Indus Realty Trust Inc. | | | United States | | | | 42,768 | | | | | | | | 2,856,903 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 2,886,421 | |
| | | | | | | | | | | | | | | | | | |
| | | Financial Services 0.1% | |
| | Home Capital Group Inc., B | | | Canada | | | | 27,150 | | | | | | | | 869,000 | |
| | | | | | | | | | | | | | | | | | |
| | | Food & Staples Retailing 0.9% | |
| | Albertsons Cos. Inc., A | | | United States | | | | 69,496 | | | | | | | | 1,414,939 | |
| d | | Costco Wholesale Corp. | | | United States | | | | 10,200 | | | | | | | | 5,217,912 | |
| | The Kroger Co. | | | United States | | | | 30,274 | | | | | | | | 1,372,320 | |
| c | | Walmart Inc. | | | United States | | | | 186 | | | | | | | | 27,318 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 8,032,489 | |
| | | | | | | | | | | | | | | | | | |
| | | Food Products 0.4% | |
| a | | Benson Hill Inc., 12/24/25, wts. | | | United States | | | | 5,669 | | | | | | | | 775 | |
| | Chocoladefabriken Lindt & Spruengli AG | | | Switzerland | | | | 77 | | | | | | | | 922,722 | |
| | The Hershey Co. | | | United States | | | | 5,303 | | | | | | | | 1,377,189 | |
| | United Malt GRP Ltd. | | | Australia | | | | 334,020 | | | | | | | | 900,171 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 3,200,857 | |
| | | | | | | | | | | | | | | | | | |
| | | Ground Transportation 0.5% | |
| | Canadian Pacific Kansas City Ltd. | | | Canada | | | | 41,070 | | | | | | | | 3,129,534 | |
| a | | US Xpress Enterprises Inc., A | | | United States | | | | 185,152 | | | | | | | | 1,125,724 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 4,255,258 | |
| | | | | | | | | | | | | | | | | | |
| | | Health Care Equipment & Supplies 0.1% | |
| c | | Abbott Laboratories | | | United States | | | | 273 | | | | | | | | 27,846 | |
| a,b | | Cutera Inc. | | | United States | | | | 8,797 | | | | | | | | 147,878 | |
| a | | NuVasive Inc. | | | United States | | | | 24,125 | | | | | | | | 920,610 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 1,096,334 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | |
| 20 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | Country | | | Shares/
Warrants/ Rights | | | | | | Value | |
| | | Common Stocks and Other Equity Interests (continued) | | | | | | | | | | |
| | | Health Care Providers & Services 0.1% | |
| | Elevance Health Inc. | | | United States | | | | 75 | | | | | | | $ | 33,586 | |
| a | | Option Care Health Inc. | | | United States | | | | 17,618 | | | | | | | | 485,376 | |
| | Synlab AG | | | Germany | | | | 50,138 | | | | | | | | 484,044 | |
| | UnitedHealth Group Inc. | | | United States | | | | 70 | | | | | | | | 34,107 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 1,037,113 | |
| | | | | | | | | | | | | | | | | | |
| | | Hotels, Restaurants & Leisure 0.3% | |
| a | | Autogrill SpA | | | Italy | | | | 300,737 | | | | | | | | 2,144,878 | |
| a | | F45 Training Holdings Inc. | | | United States | | | | 120,050 | | | | | | | | 122,451 | |
| a | | HomeToGo SE, 12/31/25, wts. | | | Luxembourg | | | | 716 | | | | | | | | 1 | |
| a | | Light & Wonder Inc. | | | United States | | | | 30 | | | | | | | | 1,749 | |
| a | | Sonder Holdings Inc., 1/31/28, wts. | | | United States | | | | 3,948 | | | | | | | | 112 | |
| c | | Starbucks Corp. | | | United States | | | | 376 | | | | | | | | 36,713 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 2,305,904 | |
| | | | | | | | | | | | | | | | | | |
| | | Household Durables 0.2% | |
| a,d | | Skyline Champion Corp. | | | United States | | | | 20,477 | | | | | | | | 1,190,328 | |
| a | | Sonos Inc. | | | United States | | | | 6,000 | | | | | | | | 87,180 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 1,277,508 | |
| | | | | | | | | | | | | | | | | | |
| | | Household Products 0.1% | |
| c | | The Procter & Gamble Co. | | | United States | | | | 255 | | | | | | | | 36,337 | |
| b,c | | Spectrum Brands Holdings Inc. | | | United States | | | | 12,600 | | | | | | | | 909,846 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 946,183 | |
| | | | | | | | | | | | | | | | | | |
| | | Independent Power & Renewable Electricity Producers 1.1% | |
| | The AES Corp. | | | United States | | | | 221,743 | | | | | | | | 4,377,207 | |
| | Clearway Energy Inc., A | | | United States | | | | 6,506 | | | | | | | | 178,785 | |
| d | | NextEra Energy Partners LP | | | United States | | | | 48,723 | | | | | | | | 2,919,482 | |
| a,d | | Sunnova Energy International Inc. | | | United States | | | | 103,099 | | | | | | | | 1,820,728 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 9,296,202 | |
| | | | | | | | | | | | | | | | | | |
| | | Industrial Conglomerates 0.6% | |
| | General Electric Co. | | | United States | | | | 43,499 | | | | | | | | 4,416,453 | |
| | Hitachi Ltd. | | | Japan | | | | 13,998 | | | | | | | | 805,620 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 5,222,073 | |
| | | | | | | | | | | | | | | | | | |
| | | Insurance 0.6% | |
| a | | Aon PLC, A | | | United States | | | | 8,060 | | | | | | | | 2,484,818 | |
| | Argo Group International Holdings Ltd. | | | United States | | | | 28,256 | | | | | | | | 828,183 | |
| | W.R. Berkley Corp. | | | United States | | | | 26,459 | | | | | | | | 1,473,237 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 4,786,238 | |
| | | | | | | | | | | | | | | | | | |
| | | Interactive Media & Services 0.2% | |
| a | | Alphabet Inc., A | | | United States | | | | 10,610 | | | | | | | | 1,303,651 | |
| a | | Meta Platforms Inc., A | | | United States | | | | 546 | | | | | | | | 144,537 | |
| a | | Wejo Group Ltd., 11/18/26, wts. | | | United States | | | | 3,488 | | | | | | | | 17 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 1,448,205 | |
| | | | | | | | | | | | | | | | | | |
| | | Internet & Direct Marketing Retail 0.0%† | |
| a | | Amazon.com Inc. | | | United States | | | | 853 | | | | | | | | 102,855 | |
| a | | Cazoo Group Ltd., 8/26/26, wts. | | | Cayman Islands | | | | 19,178 | | | | | | | | 134 | |
| a | | Wayfair Inc., A | | | United States | | | | 2,760 | | | | | | | | 111,283 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 214,272 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 21 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | Country | | | Shares/
Warrants/ Rights | | | | | | Value | |
| | | Common Stocks and Other Equity Interests (continued) | | | | | | | | | | |
| | | IT Services 0.7% | |
| | Accenture PLC, A | | | United States | | | | 87 | | | | | | | $ | 26,615 | |
| | Booz Allen Hamilton Holding Corp., A | | | United States | | | | 6,447 | | | | | | | | 648,439 | |
| a | | Core Scientific Inc., 1/19/27, wts. | | | United States | | | | 1,383 | | | | | | | | 113 | |
| | International Business Machines Corp. | | | United States | | | | 9,676 | | | | | | | | 1,244,237 | |
| d | | MasterCard Inc., A | | | United States | | | | 5,328 | | | | | | | | 1,944,826 | |
| a,d | | MoneyGram International Inc. | | | United States | | | | 42,424 | | | | | | | | 466,240 | |
| a,f | | Network International Holdings PLC, 144A | | | United Arab Emirates | | | | 272,910 | | | | | | | | 1,242,521 | |
| a | | VNET Group Inc., ADR | | | China | | | | 28,400 | | | | | | | | 72,988 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 5,645,979 | |
| | | | | | | | | | | | | | | | | | |
| | | Life Sciences Tools & Services 0.9% | |
| a | | Illumina Inc. | | | United States | | | | 5,800 | | | | | | | | 1,140,570 | |
| a | | Mettler-Toledo International Inc. | | | United States | | | | 3,596 | | | | | | | | 4,753,445 | |
| a | | Syneos Health Inc., A | | | United States | | | | 18,542 | | | | | | | | 771,347 | |
| d | | Thermo Fisher Scientific Inc. | | | United States | | | | 2,285 | | | | | | | | 1,161,831 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 7,827,193 | |
| | | | | | | | | | | | | | | | | | |
| | | Machinery 0.1% | |
| | Cummins Inc. | | | United States | | | | 71 | | | | | | | | 14,513 | |
| | Deere & Co. | | | United States | | | | 80 | | | | | | | | 27,678 | |
| | Fanuc Corp. | | | Japan | | | | 22,497 | | | | | | | | 769,484 | |
| a,b | | Nikola Corp. | | | United States | | | | 33,653 | | | | | | | | 21,000 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 832,675 | |
| | | | | | | | | | | | | | | | | | |
| | | Media 0.1% | |
| a | | Altice USA Inc., A | | | United States | | | | 44,144 | | | | | | | | 113,009 | |
| a | | Clear Channel Outdoor Holdings Inc., A | | | United States | | | | 240,159 | | | | | | | | 295,396 | |
| c | | Comcast Corp., A | | | United States | | | | 1,049 | | | | | | | | 41,278 | |
| a | | Dish Network Corp., A | | | United States | | | | 6,021 | | | | | | | | 38,715 | |
| a | | Iheartmedia Inc., A | | | United States | | | | 53,582 | | | | | | | | 126,989 | |
| a | | Innovid Corp., A, 12/31/27, wts. | | | Israel | | | | 69 | | | | | | | | 8 | |
| | Tegna Inc. | | | United States | | | | 26,766 | | | | | | | | 414,605 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 1,030,000 | |
| | | | | | | | | | | | | | | | | | |
| | | Metals & Mining 0.2% | |
| a | | Iamgold Corp. | | | Burkina Faso | | | | 401,596 | | | | | | | | 1,084,309 | |
| | Newcrest Mining Ltd. | | | Australia | | | | 35,803 | | | | | | | | 603,967 | |
| c | | Newmont Corp. | | | United States | | | | 713 | | | | | | | | 28,912 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 1,717,188 | |
| | | | | | | | | | | | | | | | | | |
| | | Multi-Utilities 0.1% | |
| | Algonquin Power & Utilities Corp. | | | Canada | | | | 57,280 | | | | | | | | 482,805 | |
| | Dominion Energy Inc. | | | United States | | | | 15,124 | | | | | | | | 760,435 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 1,243,240 | |
| | | | | | | | | | | | | | | | | | |
| | | Oil, Gas & Consumable Fuels 0.6% | |
| a | | Battalion Oil Corp. | | | United States | | | | 3,790 | | | | | | | | 23,308 | |
| | California Resources Corp. | | | United States | | | | 3,913 | | | | | | | | 146,894 | |
| | Canadian Natural Resources Ltd. | | | Canada | | | | 3,407 | | | | | | | | 183,569 | |
| a | | Denbury Inc. | | | United States | | | | 25,316 | | | | | | | | 2,282,744 | |
| | Devon Energy Corp. | | | United States | | | | 94 | | | | | | | | 4,333 | |
| | Diamondback Energy Inc. | | | United States | | | | 3,525 | | | | | | | | 448,204 | |
| | EOG Resources Inc. | | | United States | | | | 1,227 | | | | | | | | 131,645 | |
| e,g | | Gazprom PJSC | | | Russia | | | | 615,160 | | | | | | | | — | |
| d | | New Fortress Energy Inc., A | | | United States | | | | 14,059 | | | | | | | | 369,330 | |
| | Occidental Petroleum Corp. | | | United States | | | | 16,103 | | | | | | | | 928,499 | |
| | | | | | | | | | |
| | | | | | |
| 22 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | Country | | | Shares/
Warrants/ Rights | | | | | | Value | |
| | | Common Stocks and Other Equity Interests (continued) | | | | | | | | | | |
| | | Oil, Gas & Consumable Fuels (continued) | |
| c | | Pioneer Natural Resources Co. | | | United States | | | | 502 | | | | | | | $ | 100,119 | |
| | Targa Resources Corp. | | | United States | | | | 6,090 | | | | | | | | 414,425 | |
| | The Williams Cos. Inc. | | | United States | | | | 744 | | | | | | | | 21,323 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 5,054,393 | |
| | | | | | | | | | | | | | | | | | |
| | | Personal Products 0.4% | |
| | L’Oreal SA | | | France | | | | 8,679 | | | | | | | | 3,715,884 | |
| | | | | | | | | | | | | | | | | | |
| | | Pharmaceuticals 0.1% | |
| c | | Bristol-Myers Squibb Co. | | | United States | | | | 483 | | | | | | | | 31,125 | |
| | Dechra Pharmaceuticals PLC | | | United Kingdom | | | | 16,053 | | | | | | | | 669,644 | |
| c | | Johnson & Johnson | | | United States | | | | 208 | | | | | | | | 32,252 | |
| | Merck & Co. Inc. | | | United States | | | | 44 | | | | | | | | 4,858 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 737,879 | |
| | | | | | | | | | | | | | | | | | |
| | | Real Estate Management & Development 0.0%† | |
| a,b | | Redfin Corp. | | | United States | | | | 4,100 | | | | | | | | 40,139 | |
| | | | | | | | | | | | | | | | | | |
| | | Road & Rail 0.6% | |
| d | | CSX Corp. | | | United States | | | | 93,849 | | | | | | | | 2,878,349 | |
| d | | Hertz Corp. Escrow | | | United States | | | | 1,982,000 | | | | | | | | 158,560 | |
| d | | Union Pacific Corp. | | | United States | | | | 11,248 | | | | | | | | 2,165,465 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 5,202,374 | |
| | | | | | | | | | | | | | | | | | |
| | | Semiconductors & Semiconductor Equipment 0.2% | |
| | ASML Holding NV, G | | | Netherlands | | | | 647 | | | | | | | | 467,736 | |
| | Broadcom Inc. | | | United States | | | | 61 | | | | | | | | 49,285 | |
| a | | Maxeon Solar Technologies Ltd. | | | United States | | | | 3,477 | | | | | | | | 96,626 | |
| c | | Microchip Technology Inc. | | | United States | | | | 449 | | | | | | | | 33,792 | |
| | Qualcomm Inc. | | | United States | | | | 1,436 | | | | | | | | 162,857 | |
| c | | Silicon Motion Technology Corp., ADR | | | Taiwan | | | | 9,554 | | | | | | | | 585,087 | |
| a | | Tower Semiconductor Ltd. | | | Israel | | | | 10,187 | | | | | | | | 398,719 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 1,794,102 | |
| | | | | | | | | | | | | | | | | | |
| | | Software 2.1% | |
| | Absolute Software Corp. | | | Canada | | | | 128,996 | | | | | | | | 1,446,045 | |
| a | | Cvent Holding Corp., A | | | United States | | | | 170,788 | | | | | | | | 1,449,990 | |
| | Infomedia Ltd. | | | Australia | | | | 497,543 | | | | | | | | 452,693 | |
| | Intuit Inc. | | | United States | | | | 1,480 | | | | | | | | 620,298 | |
| c,d | | Microsoft Corp. | | | United States | | | | 16,072 | | | | | | | | 5,277,884 | |
| a | | Momentive Global Inc. | | | United States | | | | 306,534 | | | | | | | | 2,896,746 | |
| a,d | | Qualtrics International Inc., A | | | United States | | | | 186,510 | | | | | | | | 3,372,101 | |
| | Simcorp A/S | | | Denmark | | | | 6,754 | | | | | | | | 701,340 | |
| | Software AG | | | Germany | | | | 38,805 | | | | | | | | 1,370,755 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 17,587,852 | |
| | | | | | | | | | | | | | | | | | |
| | | Specialized REITs 0.1% | |
| | Life Storage Inc. | | | United States | | | | 5,421 | | | | | | | | 690,581 | |
| | | | | | | | | | | | | | | | | | |
| | | Specialty Retail 0.8% | |
| a | | Autozone Inc. | | | United States | | | | 129 | | | | | | | | 307,902 | |
| a | | Carvana Co., A | | | United States | | | | 1 | | | | | | | | 13 | |
| | Franchise Group Inc. | | | United States | | | | 24,627 | | | | | | | | 716,646 | |
| | The Home Depot Inc. | | | United States | | | | 15,356 | | | | | | | | 4,352,658 | |
| | Murphy USA Inc. | | | United States | | | | 3,548 | | | | | | | | 980,738 | |
| a | | Warby Parker Inc., A | | | United States | | | | 4,848 | | | | | | | | 53,377 | |
| a,f | | Watches of Switzerland Group PLC, 144A | | | United Kingdom | | | | 27,862 | | | | | | | | 233,255 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 6,644,589 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 23 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | Country | | | Shares/
Warrants/ Rights | | | | | | Value | |
| | | Common Stocks and Other Equity Interests (continued) | | | | | | | | | | |
| | | Technology Hardware, Storage & Peripherals 0.0%† | |
| c | | Apple Inc. | | | United States | | | | 759 | | | | | | | $ | 134,533 | |
| | | | | | | | | | | | | | | | | | |
| | | Textiles, Apparel & Luxury Goods 0.3% | |
| | Hermes International | | | France | | | | 948 | | | | | | | | 1,933,754 | |
| | LVMH Moet Hennessy Louis Vuitton SE | | | France | | | | 360 | | | | | | | | 314,758 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 2,248,512 | |
| | | | | | | | | | | | | | | | | | |
| | | Trading Companies & Distributors 1.1% | |
| c | | Fastenal Co. | | | United States | | | | 316 | | | | | | | | 17,017 | |
| d | | Herc Holdings Inc. | | | United States | | | | 14,458 | | | | | | | | 1,466,330 | |
| | ITOCHU Corp. | | | Japan | | | | 5,200 | | | | | | | | 175,542 | |
| | Marubeni Corp. | | | Japan | | | | 9,500 | | | | | | | | 135,387 | |
| | Mitsubishi Corp. | | | Japan | | | | 9,900 | | | | | | | | 395,802 | |
| | Mitsui & Co. Ltd. | | | Japan | | | | 7,600 | | | | | | | | 239,476 | |
| a | | Triton International Ltd. | | | Bermuda | | | | 12,673 | | | | | | | | 1,047,297 | |
| a | | Univar Solutions Inc. | | | United States | | | | 174,803 | | | | | | | | 6,226,482 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 9,703,333 | |
| | | | | | | | | | | | | | | | | | |
| | | Water Utilities 0.1% | |
| | Guangdong Investment Ltd. | | | China | | | | 997,824 | | | | | | | | 850,331 | |
| | | | | | | | | | | | | | | | | | |
| | | Wireless Telecommunication Services 0.1% | |
| d | | Vodafone Group PLC, ADR | | | United Kingdom | | | | 95,899 | | | | | | | | 909,123 | |
| | | | | | | | | | | | | | | | | | |
| | Total Common Stocks and Other Equity Interests
(Cost $207,382,849) | | | | | | | | | | | | | | | 245,307,755 | |
| | | | | | | | | | | | | | | | | | |
| | |
| | | Exchange Traded Funds (Cost $781,727) 0.1% | | | |
| d | | SPDR S&P Regional Banking ETF | | | United States | | | | 17,600 | | | | | | | | 685,872 | |
| | | | | | | | | | | | | | | | | | |
| | |
| | | Convertible Preferred Stocks 0.0%† | | | |
| | | Gas Utilities 0.0%† | |
| | El Paso Energy Capital Trust I, 4.75%, cvt. pfd. | | | United States | | | | 114 | | | | | | | | 5,325 | |
| | | | | | | | | | | | | | | | | | |
| | | Professional Services 0.0%† | |
| | Clarivate PLC, 5.25%, cvt. pfd. | | | United Kingdom | | | | 3,023 | | | | | | | | 107,044 | |
| | | | | | | | | | | | | | | | | | |
| | Total Convertible Preferred Stocks
(Cost $208,605) | | | | | | | | | | | | | | | 112,369 | |
| | | | | | | | | | | | | | | | | | |
| | |
| | | Preferred Stocks 0.0%† | | | |
| | | Banks 0.0%† | |
| | Silvergate Capital Corp., 5.375%, pfd., A | | | United States | | | | 7,119 | | | | | | | | 61,935 | |
| | | | | | | | | | | | | | | | | | |
| | | Communications Equipment 0.0%† | |
| a | | Riverbed Technology Inc., pfd., A | | | United States | | | | 3,699 | | | | | | | | 185 | |
| | | | | | | | | | | | | | | | | | |
| | | Thrifts & Mortgage Finance 0.0%† | |
| | FHLMC, 8.375%, pfd., Z | | | United States | | | | 8,177 | | | | | | | | 11,734 | |
| | FNMA, 8.25%, pfd., S | | | United States | | | | 15,150 | | | | | | | | 23,786 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 35,520 | |
| | | | | | | | | | | | | | | | | | |
| | Total Preferred Stocks (Cost $240,602) | | | | | | | | | | | | | | | 97,640 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | |
| 24 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | Country | | | Principal Amount* | | | Value | |
| | | Convertible Bonds 12.8% | | | |
| | | Aerospace & Defense 0.2% | |
| | Kaman Corp., senior note, 3.25%, 5/01/24 | | | United States | | | | 1,576,000 | | | | | | | $ | 1,486,168 | |
| f | | Virgin Galactic Holdings Inc., senior note, 144A, 2.50%, 2/01/27 | | | United States | | | | 192,000 | | | | | | | | 76,800 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 1,562,968 | |
| | | | | | | | | | | | | | | | | | |
| | | Airlines 0.8% | |
| f | | Air France-KLM, senior note, Reg S, 0.125%, 3/25/26 | | | France | | | | 32,034 | | | | EUR | | | | 594,932 | |
| | American Airlines Group Inc., senior note, 6.50%, 7/01/25 | | | United States | | | | 234,000 | | | | | | | | 271,568 | |
| f | | Cathay Pacific Finance III Ltd., senior note, Reg S, 2.75%, 2/05/26 | | | Hong Kong | | | | 8,000,000 | | | | HKD | | | | 1,003,008 | |
| d | | Copa Holdings SA, senior note, 4.50%, 4/15/25 | | | Panama | | | | 1,519,000 | | | | | | | | 3,190,410 | |
| f | | GOL Equity Finance SA, senior note, 144A, 3.75%, 7/15/24 | | | Brazil | | | | 1,248,000 | | | | | | | | 750,048 | |
| | Jetblue Airways Corp., senior note, 0.50%, 4/01/26 | | | United States | | | | 589,000 | | | | | | | | 461,217 | |
| | Southwest Airlines Co., senior note, 1.25%, 5/01/25 | | | United States | | | | 340,000 | | | | | | | | 361,505 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 6,632,688 | |
| | | | | | | | | | | | | | | | | | |
| | | Automobiles 0.3% | |
| f | | Fisker Inc., senior note, 144A, 2.50%, 9/15/26 | | | United States | | | | 860,000 | | | | | | | | 390,270 | |
| d | | Li Auto Inc., senior note, 0.25%, 5/01/28 | | | China | | | | 526,000 | | | | | | | | 637,512 | |
| d,f | | Lucid Group Inc., senior note, 144A, 1.25%, 12/15/26 | | | United States | | | | 691,000 | | | | | | | | 339,627 | |
| | NIO Inc., senior note, zero cpn., 2/01/26 | | | China | | | | 290,000 | | | | | | | | 266,075 | |
| | Winnebago Industries Inc., senior note, 1.50%, 4/01/25 | | | United States | | | | 576,000 | | | | | | | | 625,248 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 2,258,732 | |
| | | | | | | | | | | | | | | | | | |
| | | Biotechnology 0.7% | |
| | Apellis Pharmaceuticals Inc., senior note, 3.50%, 9/15/26 | | | United States | | | | 392,000 | | | | | | | | 886,116 | |
| f | | Avid SPV LLC, senior note, 144A, 1.25%, 3/15/26 | | | United States | | | | 579,000 | | | | | | | | 581,548 | |
| b | | BioMarin Pharmaceutical Inc., senior sub. note, 1.25%, 5/15/27 | | | United States | | | | 555,000 | | | | | | | | 565,767 | |
| | Bridgebio Pharma Inc., senior note, 2.50%, 3/15/27 | | | United States | | | | 61,000 | | | | | | | | 43,194 | |
| d | | Coherus Biosciences Inc., senior sub. note, 1.50%, 4/15/26 | | | United States | | | | 1,135,000 | | | | | | | | 701,155 | |
| | Dynavax Technologies Corp., senior note, 2.50%, 5/15/26 | | | United States | | | | 1,111,000 | | | | | | | | 1,442,078 | |
| | Exact Sciences Corp., senior note, 0.375%, 3/15/27 | | | United States | | | | 116,000 | | | | | | | | 116,870 | |
| | Insmed Inc., senior note, 0.75%, 6/01/28 | | | United States | | | | 793,000 | | | | | | | | 640,347 | |
| | Ionis Pharmaceuticals Inc., senior note,
0.125%, 12/15/24 | | | United States | | | | 145,000 | | | | | | | | 137,112 | |
| | zero cpn., 4/01/26 | | | United States | | | | 35,000 | | | | | | | | 33,206 | |
| | Karyopharm Therapeutics Inc., senior note, 3.00%, 10/15/25 | | | United States | | | | 139,000 | | | | | | | | 95,189 | |
| f | | Mirum Pharmaceuticals Inc., senior note, 144A, 4.00%, 5/01/29 | | | United States | | | | 102,000 | | | | | | | | 115,923 | |
| f | | Pharming Group NV, senior note, Reg S, 3.00%, 1/21/25 | | | Netherlands | | | | 400,000 | | | | EUR | | | | 405,113 | |
| d | | Travere Therapeutics Inc., senior note, 2.25%, 3/01/29 | | | United States | | | | 490,000 | | | | | | | | 424,769 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 6,188,387 | |
| | | | | | | | | | | | | | | | | | |
| | | Chemicals 0.2% | | | | | | | |
| | Amyris Inc., senior note, 1.50%, 11/15/26 | | | United States | | | | 870,000 | | | | | | | | 200,100 | |
| f | | Danimer Scientific Inc., senior note, 144A, 3.25%, 12/15/26 | | | United States | | | | 551,000 | | | | | | | | 243,129 | |
| | Livent Corp., senior note, 4.125%, 7/15/25 | | | United States | | | | 455,000 | | | | | | | | 1,233,277 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 1,676,506 | |
| | | | | | | | | | | | | | | | | | |
| | | Communications Equipment 0.1% | | | | | | | |
| | Harmonic Inc., senior note, 2.00%, 9/01/24 | | | United States | | | | 428,000 | | | | | | | | 876,330 | |
| | | | | | | | | | | | | | | | | | |
| | | Construction & Engineering 0.0%† | |
| f | | Granite Construction Inc., senior note, 144A, 3.75%, 5/15/28 | | | United States | | | | 246,000 | | | | | | | | 254,201 | |
| | | | | | | | | | | | | | | | | | |
| | | Consumer Finance 0.3% | | | | | | | | | | | | |
| | EZCORP Inc., senior note,
2.875%, 7/01/24 | | | United States | | | | 618,000 | | | | | | | | 640,248 | |
| | f 144A, 3.75%, 12/15/29 | | | United States | | | | 582,000 | | | | | | | | 574,196 | |
| | PRA Group Inc., senior note, 3.50%, 6/01/23 | | | United States | | | | 810,000 | | | | | | | | 807,975 | |
| f | | SoFi Technologies Inc., senior note, 144A, zero cpn., 10/15/26 | | | United States | | | | 365,000 | | | | | | | | 274,480 | |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 25 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | Country | | | Principal Amount* | | | Value | |
| | | Convertible Bonds (continued) | | | |
| | | Consumer Finance (continued) | | | | | | | | | | | | |
| f | | Zip Co. Ltd., senior note, Reg S, zero cpn., 4/23/28 | | | Australia | | | | 800,000 | | | | AUD | | | $ | 137,896 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 2,434,795 | |
| | | | | | | | | | | | | | | | | | |
| | | Consumer Non-Durables 0.1% | | | | | | | |
| | Encore Capital Group Inc., senior note,
3.25%, 10/01/25 | | | United States | | | | 371,000 | | | | | | | | 450,950 | |
| | f 144A, 4.00%, 3/15/29 | | | United States | | | | 643,000 | | | | | | | | 591,882 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 1,042,832 | |
| | | | | | | | | | | | | | | | | | |
| | | Diversified Consumer Services 0.2% | | | | | | | |
| | Chegg Inc., senior note,
0.125%, 3/15/25 | | | United States | | | | 171,000 | | | | | | | | 151,079 | |
| | zero cpn., 9/01/26 | | | United States | | | | 491,000 | | | | | | | | 370,705 | |
| | Marathon Digital Holdings Inc., senior note, 1.00%, 12/01/26 | | | United States | | | | 334,000 | | | | | | | | 159,046 | |
| f | | Nexi SpA, senior note, Reg S, zero cpn., 2/24/28 | | | Italy | | | | 600,000 | | | | EUR | | | | 482,053 | |
| | Sabre GLBL Inc., senior note, 4.00%, 4/15/25 | | | United States | | | | 288,000 | | | | | | | | 221,040 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 1,383,923 | |
| | | | | | | | | | | | | | | | | | |
| | | Diversified Financial Services 0.1% | | | | | | | |
| | Lendingtree Inc., senior note, 0.50%, 7/15/25 | | | United States | | | | 682,000 | | | | | | | | 484,220 | |
| | Upstart Holdings Inc., senior note, 0.25%, 8/15/26 | | | United States | | | | 337,000 | | | | | | | | 224,948 | |
| f | | Wisdomtree Inc., senior note, 144A, 5.75%, 8/15/28 | | | United States | | | | 94,000 | | | | | | | | 96,820 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 805,988 | |
| | | | | | | | | | | | | | | | | | |
| | | Diversified Telecommunication Services 0.1% | | | | | | | |
| f | | Match Group Financeco 2 Inc., senior note, 144A, 0.875%, 6/15/26 | | | United States | | | | 873,000 | | | | | | | | 760,645 | |
| f | | Match Group Financeco 3 Inc., senior bond, 144A, 2.00%, 1/15/30 | | | United States | | | | 352,000 | | | | | | | | 292,829 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 1,053,474 | |
| | | | | | | | | | | | | | | | | | |
| | | Electric Utilities 0.0%† | | | | | | | |
| f | | Alliant Energy Corp., senior note, 144A, 3.875%, 3/15/26 | | | United States | | | | 21,000 | | | | | | | | 21,189 | |
| f | | FirstEnergy Corp., senior note, 144A, 4.00%, 5/01/26 | | | United States | | | | 51,000 | | | | | | | | 51,077 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 72,266 | |
| | | | | | | | | | | | | | | | | | |
| | | Electrical Equipment 0.1% | | | | | | | |
| | Plug Power Inc., senior note, 3.75%, 6/01/25 | | | United States | | | | 734,000 | | | | | | | | 1,261,085 | |
| f | | TPI Composites Inc., senior note, 144A, 5.25%, 3/15/28 | | | United States | | | | 21,000 | | | | | | | | 20,706 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 1,281,791 | |
| | | | | | | | | | | | | | | | | | |
| | | Electronic Equipment, Instruments & Components 0.0%† | | | | | | | |
| | PAR Technology Corp., senior note, 1.50%, 10/15/27 | | | United States | | | | 463,000 | | | | | | | | 371,094 | |
| | Vishay Intertechnology Inc., senior note, 2.25%, 6/15/25 | | | United States | | | | 21,000 | | | | | | | | 21,613 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 392,707 | |
| | | | | | | | | | | | | | | | | | |
| | | Energy Equipment & Services 0.2% | | | | | | | |
| d | | Helix Energy Solutions Group Inc., senior note, 6.75%, 2/15/26 | | | United States | | | | 979,000 | | | | | | | | 1,182,632 | |
| | Transocean Inc., senior note, 4.625%, 9/30/29 | | | United States | | | | 133,000 | | | | | | | | 252,447 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 1,435,079 | |
| | | | | | | | | | | | | | | | | | |
| | | Entertainment 0.3% | | | | | | | |
| | Cinemark Holdings Inc., senior note, 4.50%, 8/15/25 | | | United States | | | | 410,000 | | | | | | | | 551,210 | |
| | Live Nation Entertainment Inc., senior note,
2.00%, 2/15/25 | | | United States | | | | 92,000 | | | | | | | | 93,794 | |
| | b,f 144A, 3.125%, 1/15/29 | | | United States | | | | 122,000 | | | | | | | | 127,612 | |
| d,f | | The Marcus Corp., senior note, 144A, 5.00%, 9/15/25 | | | United States | | | | 473,000 | | | | | | | | 725,345 | |
| d | | Sea Ltd., senior note,
2.375%, 12/01/25 | | | Singapore | | | | 643,000 | | | | | | | | 660,040 | |
| | 0.25%, 9/15/26 | | | Singapore | | | | 816,000 | | | | | | | | 656,880 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 2,814,881 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | |
| 26 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | Country | | | Principal Amount* | | | Value | |
| | | Convertible Bonds (continued) | | | |
| | | Equity Real Estate Investment Trusts (REITs) 0.3% | | | | | | | |
| | Braemar Hotels & Resorts Inc., senior note, 4.50%, 6/01/26 | | | United States | | | | 641,000 | | | | | | | $ | 594,912 | |
| f | | Hat Holdings I LLC / Hat Holdings II LLC, senior note, 144A, zero cpn., 5/01/25 | | | United States | | | | 577,000 | | | | | | | | 541,284 | |
| d | | Pebblebrook Hotel Trust, senior note, 1.75%, 12/15/26 | | | United States | | | | 962,000 | | | | | | | | 817,123 | |
| | Summit Hotel Properties Inc., senior note, 1.50%, 2/15/26 | | | United States | | | | 351,000 | | | | | | | | 302,527 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 2,255,846 | |
| | | | | | | | | | | | | | | | | | |
| | | Financial Services 0.1% | | | | | | | |
| | Block Inc., senior note, 0.125%, 3/01/25 | | | United States | | | | 550,000 | | | | | | | | 510,125 | |
| | | | | | | | | | | | | | | | | | |
| | | Food & Staples Retailing 0.1% | |
| f | | The Chefs’ Warehouse Inc., senior note, 144A, 2.375%, 12/15/28 | | | United States | | | | 606,000 | | | | | | | | 602,059 | |
| | | | | | | | | | | | | | | | | | |
| | | Food Products 0.1% | |
| f | | Freshpet Inc., senior note, 144A, 3.00%, 4/01/28 | | | United States | | | | 469,000 | | | | | | | | 517,190 | |
| f | | Post Holdings Inc., senior note, 144A, 2.50%, 8/15/27 | | | United States | | | | 21,000 | | | | | | | | 21,372 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 538,562 | |
| | | | | | | | | | | | | | | | | | |
| | | Health Care Equipment & Supplies 0.5% | | | | | | | |
| | Alphatec Holdings Inc., senior note, 0.75%, 8/01/26 | | | United States | | | | 183,000 | | | | | | | | 196,158 | |
| f | | CONMED Corp., senior note, 144A, 2.25%, 6/15/27 | | | United States | | | | 243,000 | | | | | | | | 258,309 | |
| | Cutera Inc., senior note,
2.25%, 3/15/26 | | | United States | | | | 176,000 | | | | | | | | 153,349 | |
| | d,f 144A, 2.25%, 6/01/28 | | | United States | | | | 787,000 | | | | | | | | 504,860 | |
| | Envista Holdings Corp., senior note, 2.375%, 6/01/25 | | | United States | | | | 703,000 | | | | | | | | 1,124,378 | |
| | Mesa Laboratories Inc., senior note, 1.375%, 8/15/25 | | | United States | | | | 421,000 | | | | | | | | 371,280 | |
| | NuVasive Inc., senior note,
1.00%, 6/01/23 | | | United States | | | | 655,000 | | | | | | | | 658,181 | |
| | 0.375%, 3/15/25 | | | United States | | | | 305,000 | | | | | | | | 273,585 | |
| d | | Varex Imaging Corp., senior note, 4.00%, 6/01/25 | | | United States | | | | 657,000 | | | | | | | | 803,182 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 4,343,282 | |
| | | | | | | | | | | | | | | | | | |
| | | Health Care Providers & Services 0.2% | | | | | | | |
| | Guardant Health Inc., senior note, zero cpn., 11/15/27 | | | United States | | | | 110,000 | | | | | | | | 77,143 | |
| | Inotiv Inc., senior note, 3.25%, 10/15/27 | | | United States | | | | 587,000 | | | | | | | | 287,630 | |
| | NeoGenomics Inc., senior note, 1.25%, 5/01/25 | | | United States | | | | 410,000 | | | | | | | | 388,731 | |
| | PetIQ Inc., A, senior note, 4.00%, 6/01/26 | | | United States | | | | 641,000 | | | | | | | | 569,529 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 1,323,033 | |
| | | | | | | | | | | | | | | | | | |
| | | Health Care Technology 1.2% | | | | | | | |
| | 8x8 Inc., senior note, 4.00%, 2/01/28 | | | United States | | | | 481,000 | | | | | | | | 412,458 | |
| | Bandwidth Inc., senior note, 0.50%, 4/01/28 | | | United States | | | | 966,000 | | | | | | | | 613,990 | |
| b | | Bilibili Inc., senior note, 0.50%, 12/01/26 | | | China | | | | 15,000 | | | | | | | | 12,502 | |
| | Bill Holdings Inc., senior note, zero cpn., 12/01/25 | | | United States | | | | 916,000 | | | | | | | | 920,580 | |
| | Blackline Inc., senior note,
0.125%, 8/01/24 | | | United States | | | | 338,000 | | | | | | | | 336,712 | |
| | zero cpn., 3/15/26 | | | United States | | | | 749,000 | | | | | | | | 636,182 | |
| | Cerence Inc., senior note, 3.00%, 6/01/25 | | | United States | | | | 577,000 | | | | | | | | 608,480 | |
| | Cloudflare Inc., senior note, zero cpn., 8/15/26 | | | United States | | | | 351,000 | | | | | | | | 303,439 | |
| | Confluent Inc., senior note, zero cpn., 1/15/27 | | | United States | | | | 657,000 | | | | | | | | 533,813 | |
| | Digitalocean Holdings Inc., senior note, zero cpn., 12/01/26 | | | United States | | | | 855,000 | | | | | | | | 670,662 | |
| | Evolent Health Inc., senior note, 1.50%, 10/15/25 | | | United States | | | | 820,000 | | | | | | | | 916,350 | |
| | Five9 Inc., senior note, 0.50%, 6/01/25 | | | United States | | | | 409,000 | | | | | | | | 378,734 | |
| | Health Catalyst Inc., senior note, 2.50%, 4/15/25 | | | United States | | | | 671,000 | | | | | | | | 637,047 | |
| | Hubspot Inc., senior note, 0.375%, 6/01/25 | | | United States | | | | 93,000 | | | | | | | | 173,073 | |
| | Livongo Health Inc., senior note, 0.875%, 6/01/25 | | | United States | | | | 180,000 | | | | | | | | 163,242 | |
| | Model N Inc., senior note, 2.625%, 6/01/25 | | | United States | | | | 60,000 | | | | | | | | 69,605 | |
| | MongoDB Inc., senior note, 0.25%, 1/15/26 | | | United States | | | | 610,000 | | | | | | | | 919,728 | |
| f | | Nextgen Healthcare Inc., senior note, 144A, 3.75%, 11/15/27 | | | United States | | | | 408,000 | | | | | | | | 392,723 | |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 27 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | Country | | | Principal Amount* | | | Value | |
| | | Convertible Bonds (continued) | | | |
| | | Health Care Technology (continued) | | | | | | | |
| | Nutanix Inc., senior note, 0.25%, 10/01/27 | | | United States | | | | 111,000 | | | | | | | $ | 97,125 | |
| | Pagerduty Inc., senior note, 1.25%, 7/01/25 | | | United States | | | | 230,000 | | | | | | | | 234,899 | |
| | Teladoc Health Inc., senior note, 1.25%, 6/01/27 | | | United States | | | | 550,000 | | | | | | | | 439,414 | |
| | Unity Software Inc., senior note, zero cpn., 11/15/26 | | | United States | | | | 1,383,000 | | | | | | | | 1,095,336 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 10,566,094 | |
| | | | | | | | | | | | | | | | | | |
| | | Hotels, Restaurants & Leisure 0.3% | |
| | Carnival Corp., senior note,
5.75%, 10/01/24 | | | United States | | | | 311,000 | | | | | | | | 413,319 | |
| | f 144A, 5.75%, 12/01/27 | | | United States | | | | 306,000 | | | | | | | | 359,550 | |
| | Marriott Vacations Worldwide Corp., senior note,
f 144A, 3.25%, 12/15/27 | | | United States | | | | 467,000 | | | | | | | | 444,351 | |
| | zero cpn., 1/15/26 | | | United States | | | | 292,000 | | | | | | | | 274,188 | |
| | Penn Entertainment Inc., senior note, 2.75%, 5/15/26 | | | United States | | | | 25,000 | | | | | | | | 31,887 | |
| | Royal Caribbean Cruises Ltd., senior note,
2.875%, 11/15/23 | | | United States | | | | 418,000 | | | | | | | | 455,411 | |
| | f 144A, 6.00%, 8/15/25 | | | United States | | | | 184,000 | | | | | | | | 329,636 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 2,308,342 | |
| | | | | | | | | | | | | | | | | | |
| | | Household Durables 0.0%† | |
| | LCI Industries, senior note, 1.125%, 5/15/26 | | | United States | | | | 288,000 | | | | | | | | 261,936 | |
| | | | | | | | | | | | | | | | | | |
| | | Independent Power & Renewable Electricity Producers 0.0%† | |
| f | | Sunnova Energy International Inc., senior note, 144A, 2.625%, 2/15/28 | | | United States | | | | 321,000 | | | | | | | | 257,410 | |
| | | | | | | | | | | | | | | | | | |
| | | Interactive Media & Services 0.2% | |
| | Snap Inc., senior note,
0.25%, 5/01/25 | | | United States | | | | 469,000 | | | | | | | | 442,267 | |
| | 0.75%, 8/01/26 | | | United States | | | | 703,000 | | | | | | | | 627,955 | |
| | zero cpn., 5/01/27 | | | United States | | | | 175,000 | | | | | | | | 127,400 | |
| | 0.125%, 3/01/28 | | | United States | | | | 1,034,000 | | | | | | | | 730,004 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 1,927,626 | |
| | | | | | | | | | | | | | | | | | |
| | | Internet & Direct Marketing Retail 1.3% | |
| | Airbnb Inc., senior note, zero cpn., 3/15/26 | | | United States | | | | 428,000 | | | | | | | | 371,718 | |
| f | | Cornwall Jersey Ltd., senior note, Reg S, 0.75%, 4/16/26 | | | United Kingdom | | | | 300,000 | | | | GBP | | | | 249,101 | |
| f | | Delivery Hero AG, senior note, Reg S,
1.50%, 1/15/28 | | | South Korea | | | | 900,000 | | | | EUR | | | | 653,534 | |
| | A, 1.00%, 4/30/26 | | | South Korea | | | | 600,000 | | | | EUR | | | | 500,140 | |
| f | | Delivery Hero SE, senior note, Reg S,
1.00%, 1/23/27 | | | South Korea | | | | 200,000 | | | | EUR | | | | 158,869 | |
| | 3.25%, 2/21/30 | | | South Korea | | | | 800,000 | | | | EUR | | | | 783,031 | |
| | Etsy Inc., senior note,
0.125%, 10/01/26 | | | United States | | | | 174,000 | | | | | | | | 202,623 | |
| | b 0.25%, 6/15/28 | | | United States | | | | 176,000 | | | | | | | | 134,464 | |
| | Fiverr International Ltd., senior note, zero cpn., 11/01/25 | | | United States | | | | 903,000 | | | | | | | | 766,362 | |
| d | | Fubotv Inc., senior note, 3.25%, 2/15/26 | | | United States | | | | 21,000 | | | | | | | | 10,650 | |
| | Groupon Inc., senior note, 1.125%, 3/15/26 | | | United States | | | | 305,000 | | | | | | | | 108,466 | |
| f | | Just Eat Takeaway.com NV, senior note, Reg S,
1.25%, 4/30/26 | | | United Kingdom | | | | 600,000 | | | | EUR | | | | 532,233 | |
| | B, 0.625%, 2/09/28 | | | United Kingdom | | | | 700,000 | | | | EUR | | | | 492,230 | |
| d | | Magnite Inc., senior note, 0.25%, 3/15/26 | | | United States | | | | 205,000 | | | | | | | | 172,712 | |
| | Mercadolibre Inc., senior note, 2.00%, 8/15/28 | | | Brazil | | | | 189,000 | | | | | | | | 538,634 | |
| | Okta Inc., senior note, 0.125%, 9/01/25 | | | United States | | | | 322,000 | | | | | | | | 297,528 | |
| f | | Porch Group Inc., senior note, 144A, 0.75%, 9/15/26 | | | United States | | | | 1,428,000 | | | | | | | | 578,796 | |
| | Q2 Holdings Inc., senior note,
0.125%, 11/15/25 | | | United States | | | | 489,000 | | | | | | | | 423,278 | |
| | 0.75%, 6/01/26 | | | United States | | | | 647,000 | | | | | | | | 552,409 | |
| | | | | | | | | | |
| | | | | | |
| 28 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | Country | | | Principal Amount* | | | Value | |
| | | Convertible Bonds (continued) | | | |
| | | Internet & Direct Marketing Retail (continued) | |
| | The Realreal Inc., senior note, 1.00%, 3/01/28 | | | United States | | | | 557,000 | | | | | | | $ | 233,940 | |
| | Spotify USA Inc., senior note, zero cpn., 3/15/26 | | | United States | | | | 696,000 | | | | | | | | 596,472 | |
| | Techtarget Inc., senior note, zero cpn., 12/15/26 | | | United States | | | | 452,000 | | | | | | | | 358,643 | |
| | Wayfair Inc., senior note,
1.00%, 8/15/26 | | | United States | | | | 107,000 | | | | | | | | 74,964 | |
| | f 144A, 3.25%, 9/15/27 | | | United States | | | | 856,000 | | | | | | | | 771,256 | |
| | f 144A, 3.50%, 11/15/28 | | | United States | | | | 428,000 | | | | | | | | 465,664 | |
| | Zillow Group Inc., senior note,
0.75%, 9/01/24 | | | United States | | | | 547,000 | | | | | | | | 646,280 | |
| | 1.375%, 9/01/26 | | | United States | | | | 15,000 | | | | | | | | 18,127 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 10,692,124 | |
| | | | | | | | | | | | | | | | | | |
| | | IT Services 0.4% | | | | | | | |
| | 3d Systems Corp., senior note, zero cpn., 11/15/26 | | | United States | | | | 174,000 | | | | | | | | 129,304 | |
| | Mitek Systems Inc., senior note, 0.75%, 2/01/26 | | | United States | | | | 933,000 | | | | | | | | 789,598 | |
| | Rapid7 Inc., senior note, 0.25%, 3/15/27 | | | United States | | | | 106,000 | | | | | | | | 95,930 | |
| f | | Repay Holdings Corp., A, senior note, 144A, zero cpn., 2/01/26 | | | United States | | | | 489,000 | | | | | | | | 394,200 | |
| | Shift4 Payments Inc., senior note,
0.50%, 8/01/27 | | | United States | | | | 58,000 | | | | | | | | 50,315 | |
| | d zero cpn., 12/15/25 | | | United States | | | | 786,000 | | | | | | | | 826,479 | |
| d | | Shopify Inc., senior note, 0.125%, 11/01/25 | | | Canada | | | | 410,000 | | | | | | | | 370,640 | |
| | Zscaler Inc., senior note, 0.125%, 7/01/25 | | | United States | | | | 578,000 | | | | | | | | 651,695 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 3,308,161 | |
| | | | | | | | | | | | | | | | | | |
| | | Leisure Products 0.3% | | | | | | | |
| | NCL Corp. Ltd., senior note,
6.00%, 5/15/24 | | | United States | | | | 291,000 | | | | | | | | 381,210 | |
| | 5.375%, 8/01/25 | | | United States | | | | 357,000 | | | | | | | | 398,055 | |
| | 1.125%, 2/15/27 | | | United States | | | | 726,000 | | | | | | | | 568,531 | |
| | 2.50%, 2/15/27 | | | United States | | | | 727,000 | | | | | | | | 589,597 | |
| | Peloton Interactive Inc., senior note, zero cpn., 2/15/26 | | | United States | | | | 333,000 | | | | | | | | 245,616 | |
| | Topgolf Callaway Brands Corp., senior note, 2.75%, 5/01/26 | | | United States | | | | 581,000 | | | | | | | | 689,937 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 2,872,946 | |
| | | | | | | | | | | | | | | | | | |
| | | Machinery 0.2% | | | | | | | |
| | Bloom Energy Corp., senior note,
2.50%, 8/15/25 | | | United States | | | | 673,000 | | | | | | | | 750,395 | |
| | f 144A, 3.00%, 6/01/28 | | | United States | | | | 278,000 | | | | | | | | 285,117 | |
| f | | Desktop Metal Inc., senior note, 144A, 6.00%, 5/15/27 | | | United States | | | | 461,000 | | | | | | | | 587,544 | |
| | The Greenbrier Cos. Inc., senior note, 2.875%, 4/15/28 | | | United States | | | | 586,000 | | | | | | | | 480,520 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 2,103,576 | |
| | | | | | | | | | | | | | | | | | |
| | | Media 0.5% | | | | | | | |
| | DISH Network Corp.,
senior bond, 3.375%, 8/15/26 | | | United States | | | | 2,114,000 | | | | | | | | 959,333 | |
| | senior note, 2.375%, 3/15/24 | | | United States | | | | 304,000 | | | | | | | | 263,340 | |
| | senior note, zero cpn., 12/15/25 | | | United States | | | | 555,000 | | | | | | | | 256,687 | |
| f | | Liberty Broadband Corp., senior bond, 144A, 3.125%, 3/31/53 | | | United States | | | | 733,000 | | | | | | | | 697,816 | |
| | Liberty Interactive LLC,
senior bond, 4.00%, 11/15/29 | | | United States | | | | 1,179,000 | | | | | | | | 285,908 | |
| | senior note, 3.75%, 2/15/30 | | | United States | | | | 1,969,000 | | | | | | | | 462,715 | |
| f | | Liberty Media Corp., 144A,
d senior bond, 2.75%, 12/01/49 | | | United States | | | | 766,000 | | | | | | | | 700,507 | |
| | senior note, 3.75%, 3/15/28 | | | United States | | | | 214,000 | | | | | | | | 216,568 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 3,842,874 | |
| | | | | | | | | | | | | | | | | | |
| | | Metals & Mining 0.4% | |
| | ATI Inc., senior note, 3.50%, 6/15/25 | | | United States | | | | 437,000 | | | | | | | | 997,970 | |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 29 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | Country | | | Principal Amount* | | | Value | |
| | | Convertible Bonds (continued) | | | |
| | | Metals & Mining (continued) | |
| | Century Aluminum Co., senior note, 2.75%, 5/01/28 | | | United States | | | | 514,000 | | | | | | | $ | 380,863 | |
| d,f | | Ivanhoe Mines Ltd., senior note, 144A, 2.50%, 4/15/26 | | | Canada | | | | 465,000 | | | | | | | | 549,655 | |
| | Lithium Americas Corp., senior note, 1.75%, 1/15/27 | | | Canada | | | | 262,000 | | | | | | | | 204,622 | |
| | U.S. Steel Corp., senior note, 5.00%, 11/01/26 | | | United States | | | | 698,000 | | | | | | | | 1,181,365 | |
| | Xometry Inc., senior note, 1.00%, 2/01/27 | | | United States | | | | 293,000 | | | | | | | | 211,839 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 3,526,314 | |
| | | | | | | | | | | | | | | | | | |
| | | Mortgage Real Estate Investment Trusts (REITs) 0.3% | |
| f | | Arbor Realty Trust Inc., senior note, 144A, 7.50%, 8/01/25 | | | United States | | | | 516,000 | | | | | | | | 499,230 | |
| | PennyMac Corp., senior note,
5.50%, 11/01/24 | | | United States | | | | 234,000 | | | | | | | | 214,987 | |
| | d 5.50%, 3/15/26 | | | United States | | | | 585,000 | | | | | | | | 501,937 | |
| | Redwood Trust Inc., senior note,
4.75%, 8/15/23 | | | United States | | | | 303,000 | | | | | | | | 301,485 | |
| | f 144A, 7.75%, 6/15/27 | | | United States | | | | 522,000 | | | | | | | | 429,998 | |
| | Two Harbors Investment Corp., senior note, 6.25%, 1/15/26 | | | United States | | | | 657,000 | | | | | | | | 552,734 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 2,500,371 | |
| | | | | | | | | | | | | | | | | | |
| | | Oil, Gas & Consumable Fuels 0.1% | |
| | Array Technologies Inc., senior note, 1.00%, 12/01/28 | | | United States | | | | 586,000 | | | | | | | | 660,129 | |
| | Enphase Energy Inc., senior note, zero cpn., 3/01/26 | | | United States | | | | 54,000 | | | | | | | | 52,038 | |
| | Solaredge Technologies Inc., senior note, zero cpn., 9/15/25 | | | United States | | | | 268,000 | | | | | | | | 334,866 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 1,047,033 | |
| | | | | | | | | | | | | | | | | | |
| | | Personal Products 0.1% | |
| b,f | | The Beauty Health Co., senior note, 144A, 1.25%, 10/01/26 | | | United States | | | | 586,000 | | | | | | | | 455,615 | |
| | | | | | | | | | | | | | | | | | |
| | | Pharmaceuticals 0.5% | |
| f | | Avadel Finance Cayman Ltd., senior note, 144A, 6.00%, 4/01/27 | | | United States | | | | 370,000 | | | | | | | | 587,856 | |
| f | | Collegium Pharmaceutical Inc., senior note, 144A, 2.875%, 2/15/29 | | | United States | | | | 635,000 | | | | | | | | 553,275 | |
| f | | Herbalife Nutrition Ltd., senior note, 144A, 4.25%, 6/15/28 | | | United States | | | | 290,000 | | | | | | | | 284,055 | |
| | Innoviva Inc., senior note, 2.125%, 3/15/28 | | | United States | | | | 866,000 | | | | | | | | 714,520 | |
| | Mannkind Corp., senior note, 2.50%, 3/01/26 | | | United States | | | | 643,000 | | | | | | | | 728,197 | |
| b | | Pacira Biosciences Inc., senior note, 0.75%, 8/01/25 | | | United States | | | | 856,000 | | | | | | | | 782,170 | |
| d | | Revance Therapeutics Inc., senior note, 1.75%, 2/15/27 | | | United States | | | | 293,000 | | | | | | | | 347,352 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 3,997,425 | |
| | | | | | | | | | | | | | | | | | |
| | | Professional Services 0.0%† | |
| | Upwork Inc., senior note, 0.25%, 8/15/26 | | | United States | | | | 154,000 | | | | | | | | 124,062 | |
| | | | | | | | | | | | | | | | | | |
| | | Real Estate Management & Development 0.4% | |
| f | | Fastighets AB Balder, senior note, Reg S, 3.50%, 2/23/28 | | | Sweden | | | | 400,000 | | | | EUR | | | | 346,380 | |
| f | | Opendoor Technologies Inc., senior note, 144A, 0.25%, 8/15/26 | | | United States | | | | 1,189,000 | | | | | | | | 743,125 | |
| | Realogy Group LLC / Realogy Co.-Issuer Corp., senior note, 0.25%, 6/15/26 | | | United States | | | | 1,714,000 | | | | | | | | 1,228,724 | |
| | Redfin Corp., senior note,
0.50%, 4/01/27 | | | United States | | | | 973,000 | | | | | | | | 670,786 | |
| | zero cpn., 10/15/25 | | | United States | | | | 226,000 | | | | | | | | 182,495 | |
| f | | Storagevault Canada Inc., senior note, 144A, 5.00%, 3/31/28 | | | Canada | | | | 184,000 | | | | CAD | | | | 132,778 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 3,304,288 | |
| | | | | | | | | | | | | | | | | | |
| | | Road & Rail 0.0%† | |
| | Uber Technologies Inc., senior note, zero cpn., 12/15/25 | | | United States | | | | 317,000 | | | | | | | | 285,919 | |
| | | | | | | | | | | | | | | | | | |
| | | Semiconductors & Semiconductor Equipment 0.4% | |
| f | | ams-OSRAM AG, senior note, Reg S, 2.125%, 11/03/27 | | | Austria | | | | 900,000 | | | | EUR | | | | 641,661 | |
| | Maxeon Solar Technologies Ltd., senior note, 6.50%, 7/15/25 | | | United States | | | | 587,000 | | | | | | | | 955,342 | |
| f | | Semtech Corp., senior note, 144A, 1.625%, 11/01/27 | | | United States | | | | 577,000 | | | | | | | | 501,125 | |
| | Smart Global Holdings Inc., senior note, 2.00%, 2/01/29 | | | United States | | | | 366,000 | | | | | | | | 452,010 | |
| | | | | | | | | | |
| | | | | | |
| 30 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | Country | | | Principal Amount* | | | Value | |
| | | Convertible Bonds (continued) | | | |
| | | Semiconductors & Semiconductor Equipment (continued) | |
| | Veeco Instruments Inc., senior note,
3.50%, 1/15/25 | | | United States | | | | 75,000 | | | | | | | $ | 87,750 | |
| | 3.75%, 6/01/27 | | | United States | | | | 198,000 | | | | | | | | 375,953 | |
| | f 144A, 2.875%, 6/01/29 | | | United States | | | | 82,000 | | | | | | | | 88,724 | |
| | Wolfspeed Inc., senior note,
0.25%, 2/15/28 | | | United States | | | | 101,000 | | | | | | | | 73,124 | |
| | f 144A, 1.875%, 12/01/29 | | | United States | | | | 80,000 | | | | | | | | 58,800 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 3,234,489 | |
| | | | | | | | | | | | | | | | | | |
| | | Software 0.6% | | | | | | | |
| | Bentley Systems Inc., senior note, 0.375%, 7/01/27 | | | United States | | | | 235,000 | | | | | | | | 207,047 | |
| | Datadog Inc., senior note, 0.125%, 6/15/25 | | | United States | | | | 586,000 | | | | | | | | 715,799 | |
| f | | Dye & Durham Ltd., senior note, 144A, 3.75%, 3/01/26 | | | Canada | | | | 1,191,000 | | | | CAD | | | | 680,822 | |
| | Envestnet Inc., senior note, 0.75%, 8/15/25 | | | United States | | | | 427,000 | | | | | | | | 386,168 | |
| | Everbridge Inc., senior note,
0.125%, 12/15/24 | | | United States | | | | 218,000 | | | | | | | | 197,835 | |
| | b zero cpn., 3/15/26 | | | United States | | | | 285,000 | | | | | | | | 237,263 | |
| d | | Guidewire Software Inc., senior note, 1.25%, 3/15/25 | | | United States | | | | 417,000 | | | | | | | | 412,205 | |
| d | | i3 Verticals LLC, senior note, 1.00%, 2/15/25 | | | United States | | | | 577,000 | | | | | | | | 533,364 | |
| | Ringcentral Inc., senior note, zero cpn.,
3/15/26 | | | United States | | | | 458,000 | | | | | | | | 383,117 | |
| | A, 3/01/25 | | | United States | | | | 291,000 | | | | | | | | 267,545 | |
| | Splunk Inc., senior note,
1.125%, 9/15/25 | | | United States | | | | 362,000 | | | | | | | | 355,665 | |
| | 1.125%, 6/15/27 | | | United States | | | | 216,000 | | | | | | | | 186,408 | |
| | Workiva Inc., senior note, 1.125%, 8/15/26 | | | United States | | | | 305,000 | | | | | | | | 417,850 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 4,981,088 | |
| | | | | | | | | | | | | | | | | | |
| | | Specialty Retail 0.4% | | | | | | | |
| b | | Burlington Stores Inc., senior note, 2.25%, 4/15/25 | | | United States | | | | 820,000 | | | | | | | | 829,225 | |
| | The Cheesecake Factory Inc., senior note, 0.375%, 6/15/26 | | | United States | | | | 233,000 | | | | | | | | 193,681 | |
| f | | Guess? Inc., senior note, 144A, 3.75%, 4/15/28 | | | United States | | | | 777,000 | | | | | | | | 764,413 | |
| | National Vision Holdings Inc., senior note, 2.50%, 5/15/25 | | | United States | | | | 1,056,000 | | | | | | | | 1,125,696 | |
| f | | Shift Technologies Inc., senior note, 144A, 4.75%, 5/15/26 | | | United States | | | | 1,014,000 | | | | | | | | 116,610 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 3,029,625 | |
| | | | | | | | | | | | | | | | | | |
| | | Transportation Infrastructure 0.2% | | | | | | | |
| d | | Eagle Bulk Shipping Inc., senior note, 5.00%, 8/01/24 | | | United States | | | | 1,311,000 | | | | | | | | 1,778,109 | |
| | | | | | | | | | | | | | | | | | |
| | Total Convertible Bonds (Cost $119,815,266) | | | | | | | | | | | | | | | 108,145,882 | |
| | | | | | | | | | | | | | | | | | |
| | | Corporate Bonds and Notes 13.4% | | | |
| | | Aerospace & Defense 0.1% | |
| | The Boeing Co., senior bond, 3.375%, 6/15/46 | | | United States | | | | 30,000 | | | | | | | | 20,824 | |
| | Embraer Netherlands Finance BV, senior bond, 5.05%, 6/15/25 | | | Brazil | | | | 80,000 | | | | | | | | 78,315 | |
| | Raytheon Technologies Corp., senior note, 5.00%, 2/27/26 | | | United States | | | | 280,000 | | | | | | | | 282,000 | |
| f | | TransDigm Inc., senior secured note, 144A, 6.75%, 8/15/28 | | | United States | | | | 135,000 | | | | | | | | 135,324 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 516,463 | |
| | | | | | | | | | | | | | | | | | |
| | | Airlines 0.1% | | | | | | | |
| f | | Allegiant Travel Co., senior secured note, 144A, 7.25%, 8/15/27 | | | United States | | | | 214,000 | | | | | | | | 212,636 | |
| | United Airlines Pass-Through Trust, senior note,
2019-2, B, 3.50%, 5/01/28 | | | United States | | | | 268,544 | | | | | | | | 244,826 | |
| | 2020-1, B, 4.875%, 1/15/26 | | | United States | | | | 34,250 | | | | | | | | 32,719 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 490,181 | |
| | | | | | | | | | | | | | | | | | |
| | | Automobiles 0.1% | | | | | | | |
| | Ford Motor Credit Co. LLC, senior note, 6.95%, 3/06/26 | | | United States | | | | 200,000 | | | | | | | | 200,594 | |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 31 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | Country | | | Principal Amount* | | | Value | |
| | | Corporate Bonds and Notes (continued) | | | |
| | | Automobiles (continued) | | | | | | | |
| | General Motors Co., senior bond,
b 5.60%, 10/15/32 | | | United States | | | | 310,000 | | | | | | | $ | 298,821 | |
| | 5.20%, 4/01/45 | | | United States | | | | 30,000 | | | | | | | | 24,987 | |
| | 5.95%, 4/01/49 | | | United States | | | | 90,000 | | | | | | | | 81,868 | |
| | General Motors Financial Co. Inc.,
b,h junior sub. note, A, 5.75% to 9/30/27, FRN thereafter, Perpetual | | | United States | | | | 30,000 | | | | | | | | 24,308 | |
| | b,h junior sub. note, B, 6.50% to 9/30/28, FRN thereafter, Perpetual | | | United States | | | | 75,000 | | | | | | | | 62,784 | |
| | senior note, 6.00%, 1/09/28 | | | United States | | | | 175,000 | | | | | | | | 177,882 | |
| | Toyota Motor Credit Corp., senior bond, 4.70%, 1/12/33 | | | United States | | | | 200,000 | | | | | | | | 200,300 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 1,071,544 | |
| | | | | | | | | | | | | | | | | | |
| | | Banks 1.7% | |
| f,h | | Australia & New Zealand Banking Group Ltd., senior note, Reg S, 6.75%, Perpetual | | | Australia | | | | 200,000 | | | | | | | | 193,778 | |
| f,h | | Axis Bank Ltd., senior note, Reg S, 4.10%, Perpetual | | | India | | | | 200,000 | | | | | | | | 172,500 | |
| | Banco Santander SA, senior note, 5.147%, 8/18/25 | | | Spain | | | | 200,000 | | | | | | | | 197,485 | |
| f | | Bank Gospodarstwa Krajowego, secured bond, 144A, 5.375%, 5/22/33 | | | Poland | | | | 600,000 | | | | | | | | 600,916 | |
| f | | Bank Rakyat Indonesia Persero TBK PT, senior note, Reg S, 4.625%, 7/20/23 | | | Indonesia | | | | 1,600,000 | | | | | | | | 1,597,800 | |
| | Barclays PLC,
junior sub. bond, 3.564% to 9/23/30, FRN thereafter, 9/23/35 | | | United Kingdom | | | | 525,000 | | | | | | | | 415,656 | |
| | h junior sub. note, 4.375% to 3/15/28, FRN thereafter, Perpetual | | | United Kingdom | | | | 210,000 | | | | | | | | 139,356 | |
| f,h | | BNP Paribas SA, junior sub. note, 144A, 6.625%, Perpetual | | | France | | | | 205,000 | | | | | | | | 197,823 | |
| f | | Canara Bank, E, senior note, Reg S, 3.875%, 3/28/24 | | | India | | | | 466,000 | | | | | | | | 458,931 | |
| | Commonwealth Bank of Australia, senior note, 5.316%, 3/13/26 | | | Australia | | | | 805,000 | | | | | | | | 814,864 | |
| f | | Credit Suisse Group AG, 144A,
senior bond, 9.016% to 11/15/32, FRN thereafter, 11/15/33 | | | Switzerland | | | | 285,000 | | | | | | | | 338,745 | |
| | senior note, 2.193% to 6/05/25, FRN thereafter, 6/05/26 | | | Switzerland | | | | 250,000 | | | | | | | | 227,103 | |
| | Deutsche Bank AG, junior sub. bond, 3.729% to 10/14/30, FRN thereafter, 1/14/32 | | | Germany | | | | 400,000 | | | | | | | | 299,987 | |
| d | | First Horizon Corp., senior note, 4.00%, 5/26/25 | | | United States | | | | 297,000 | | | | | | | | 277,147 | |
| f | | Freedom Mortgage Corp., senior note, 144A,
8.125%, 11/15/24 | | | United States | | | | 6,000 | | | | | | | | 5,888 | |
| | 8.25%, 4/15/25 | | | United States | | | | 260,000 | | | | | | | | 248,688 | |
| | 7.625%, 5/01/26 | | | United States | | | | 550,000 | | | | | | | | 481,252 | |
| | 6.625%, 1/15/27 | | | United States | | | | 118,000 | | | | | | | | 98,063 | |
| h | | The Goldman Sachs Group Inc., junior sub. note, Perpetual,
3.65% | | | United States | | | | 209,000 | | | | | | | | 165,632 | |
| | 3.80% | | | United States | | | | 102,000 | | | | | | | | 81,146 | |
| f,h | | HDFC Bank Ltd., senior bond, Reg S, 3.70% to 8/25/26, FRN thereafter, Perpetual | | | India | | | | 200,000 | | | | | | | | 171,933 | |
| | HSBC Holdings PLC,
d junior sub. bond, 4.25%, 3/14/24 | | | United Kingdom | | | | 1,055,000 | | | | | | | | 1,038,459 | |
| | h junior sub. note, 6.375%, Perpetual | | | United Kingdom | | | | 200,000 | | | | | | | | 191,806 | |
| | h junior sub. note, 8.00% to 3/07/28, FRN thereafter, Perpetual | | | United Kingdom | | | | 500,000 | | | | | | | | 496,974 | |
| f,h | | Kasikornbank PCL, E, junior sub. note, Reg S, 4.00% to 2/10/27, FRN thereafter, Perpetual | | | Thailand | | | | 200,000 | | | | | | | | 169,447 | |
| | Keybank NA, senior note, 4.70%, 1/26/26 | | | United States | | | | 810,000 | | | | | | | | 748,028 | |
| f | | Societe Generale SA, 144A,
junior sub. bond, 3.653% to 7/08/30, FRN thereafter, 7/08/35 | | | France | | | | 200,000 | | | | | | | | 158,678 | |
| | senior bond, 6.691% to 1/10/33, FRN thereafter, 1/10/34 | | | France | | | | 200,000 | | | | | | | | 205,220 | |
| f | | Standard Chartered PLC, junior sub. bond, 144A, 3.265% to 11/18/30, FRN thereafter, 2/18/36 | | | United Kingdom | | | | 255,000 | | | | | | | | 203,287 | |
| f | | State Bank of India, E, senior note, Reg S, 4.50%, 9/28/23 | | | India | | | | 2,300,000 | | | | | | | | 2,292,096 | |
| | Sumitomo Mitsui Financial Group Inc., senior note, 5.464%, 1/13/26 | | | Japan | | | | 805,000 | | | | | | | | 808,625 | |
| f,h | | UBS Group AG, senior note, Reg S, 4.875%, Perpetual | | | Switzerland | | | | 207,000 | | | | | | | | 161,067 | |
| | | | | | | | | | |
| | | | | | |
| 32 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | Country | | | Principal Amount* | | | Value | |
| | | Corporate Bonds and Notes (continued) | | | |
| | | Banks (continued) | |
| h | | Westpac Banking Corp., junior sub. note, 5.00% to 9/21/27, FRN thereafter, Perpetual | | | Australia | | | | 200,000 | | | | | | | $ | 165,973 | |
| f | | Woori Bank, junior sub. bond, Reg S, 4.75%, 4/30/24 | | | South Korea | | | | 200,000 | | | | | | | | 197,668 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 14,022,021 | |
| | | | | | | | | | | | | | | | | | |
| | | Beverages 0.0%† | |
| | PepsiCo Inc., senior note, 4.55%, 2/13/26 | | | United States | | | | 405,000 | | | | | | | | 407,362 | |
| | | | | | | | | | | | | | | | | | |
| | | Biotechnology 0.1% | |
| | Amgen Inc., senior note, 5.25%, 3/02/25 | | | United States | | | | 610,000 | | | | | | | | 611,949 | |
| f | | Cidron Aida Finco Sarl, senior secured note, Reg S, 6.25%, 4/01/28 | | | Luxembourg | | | | 101,000 | | | | GBP | | | | 110,510 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 722,459 | |
| | | | | | | | | | | | | | | | | | |
| | | Capital Markets 0.4% | |
| | Ares Capital Corp.,
senior bond, 3.20%, 11/15/31 | | | United States | | | | 105,000 | | | | | | | | 80,232 | |
| | senior note, 2.875%, 6/15/28 | | | United States | | | | 475,000 | | | | | | | | 396,201 | |
| | Barings BDC Inc., senior note, 3.30%, 11/23/26 | | | United States | | | | 125,000 | | | | | | | | 109,534 | |
| | Blackstone Private Credit Fund, senior note,
2.625%, 12/15/26 | | | United States | | | | 298,000 | | | | | | | | 254,343 | |
| | 3.25%, 3/15/27 | | | United States | | | | 289,000 | | | | | | | | 248,698 | |
| | Blackstone Secured Lending Fund, senior note, 2.125%, 2/15/27 | | | United States | | | | 190,000 | | | | | | | | 160,604 | |
| f | | eG Global Finance PLC, senior secured note, Reg S, 6.25%, 10/30/25 | | | United Kingdom | | | | 500,000 | | | | EUR | | | | 516,317 | |
| | FS KKR Capital Corp., senior note, 3.125%, 10/12/28 | | | United States | | | | 130,000 | | | | | | | | 106,181 | |
| f | | Huarong Finance 2017 Co. Ltd., senior bond, Reg S, 5.50%, 4/27/47 | | | China | | | | 200,000 | | | | | | | | 136,133 | |
| f | | Huarong Finance 2019 Co. Ltd., senior bond, Reg S,
E, 4.50%, 5/29/29 | | | China | | | | 800,000 | | | | | | | | 601,679 | |
| | E, 3.875%, 11/13/29 | | | China | | | | 500,000 | | | | | | | | 365,382 | |
| | E, 3.625%, 9/30/30 | | | China | | | | 400,000 | | | | | | | | 289,956 | |
| f | | Huarong Finance II Co. Ltd., EMTN, senior bond, Reg S, 4.875%, 11/22/26 | | | China | | | | 200,000 | | | | | | | | 170,250 | |
| | Oaktree Specialty Lending Corp., senior note, 2.70%, 1/15/27 | | | United States | | | | 45,000 | | | | | | | | 38,658 | |
| | Owl Rock Capital Corp., senior note, 2.875%, 6/11/28 | | | United States | | | | 285,000 | | | | | | | | 232,789 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 3,706,957 | |
| | | | | | | | | | | | | | | | | | |
| | | Chemicals 0.2% | |
| f | | Ashland LLC, senior bond, 144A, 3.375%, 9/01/31 | | | United States | | | | 120,000 | | | | | | | | 96,169 | |
| f | | Braskem Netherlands Finance BV, senior bond, 144A, 4.50%, 1/31/30 | | | Brazil | | | | 200,000 | | | | | | | | 169,023 | |
| f | | Diamond BC BV, senior note, 144A, 4.625%, 10/01/29 | | | United States | | | | 520,000 | | | | | | | | 522,457 | |
| i | | Olympus Water US Holding Corp.,
senior note, 9.625%, 11/15/28 | | | United States | | | | 200,000 | | | | | | | | 214,716 | |
| | f senior secured note, 144A, 9.75%, 11/15/28 | | | United States | | | | 500,000 | | | | | | | | 496,875 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 1,499,240 | |
| | | | | | | | | | | | | | | | | | |
| | | Commercial Services & Supplies 0.0%† | |
| | Verisk Analytics Inc., senior bond, 5.75%, 4/01/33 | | | United States | | | | 65,000 | | | | | | | | 67,516 | |
| | | | | | | | | | | | | | | | | | |
| | | Communications Equipment 0.1% | |
| f | | CommScope Inc., 144A,
senior note, 7.125%, 7/01/28 | | | United States | | | | 240,000 | | | | | | | | 161,659 | |
| | senior secured note, 4.75%, 9/01/29 | | | United States | | | | 60,000 | | | | | | | | 47,333 | |
| f | | CommScope Technologies LLC, senior bond, 144A, 5.00%, 3/15/27 | | | United States | | | | 305,000 | | | | | | | | 205,516 | |
| f | | HTA Group Ltd., senior note, 144A, 7.00%, 12/18/25 | | | Tanzania | | | | 325,000 | | | | | | | | 302,172 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 716,680 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 33 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | Country | | | Principal Amount* | | | Value | |
| | | Corporate Bonds and Notes (continued) | | | |
| | | Construction Materials 0.1% | |
| f | | Cemex SAB de CV, 144A,
senior secured bond, 5.20%, 9/17/30 | | | Mexico | | | | 455,000 | | | | | | | $ | 420,340 | |
| | h junior sub. note, 5.125% to 6/08/26, FRN thereafter, Perpetual | | | Mexico | | | | 410,000 | | | | | | | | 361,292 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 781,632 | |
| | | | | | | | | | | | | | | | | | |
| | | Consumer Finance 0.1% | |
| | Ally Financial Inc.,
senior bond, 8.00%, 11/01/31 | | | United States | | | | 108,000 | | | | | | | | 112,773 | |
| | b,h junior sub. note, C, 4.70% to 5/15/28, FRN thereafter, Perpetual | | | United States | | | | 270,000 | | | | | | | | 176,668 | |
| f | | Muthoot Finance Ltd., senior secured note, Reg S, 4.40%, 9/02/23 | | | India | | | | 487,000 | | | | | | | | 483,226 | |
| f | | Natura Cosmeticos SA, senior note, 144A, 4.125%, 5/03/28 | | | Brazil | | | | 245,000 | | | | | | | | 206,121 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 978,788 | |
| | | | | | | | | | | | | | | | | | |
| | | Diversified Consumer Services 0.1% | |
| f | | Allied Universal Holdco LLC / Allied Universal Finance Corp., senior secured note, 144A, 6.625%, 7/15/26 | | | United States | | | | 217,000 | | | | | | | | 204,050 | |
| f | | Aramark Services Inc., senior note, 144A, 6.375%, 5/01/25 | | | United States | | | | 60,000 | | | | | | | | 59,604 | |
| | Global Payments Inc., senior note,
2.90%, 11/15/31 | | | United States | | | | 15,000 | | | | | | | | 12,257 | |
| | 5.40%, 8/15/32 | | | United States | | | | 10,000 | | | | | | | | 9,749 | |
| f | | GLP China Holdings Ltd., E, senior note, Reg S, 2.95%, 3/29/26 | | | China | | | | 200,000 | | | | | | | | 120,057 | |
| f | | The Hertz Corp., senior note, 144A, 4.625%, 12/01/26 | | | United States | | | | 404,000 | | | | | | | | 360,711 | |
| d,f | | MoneyGram International Inc., senior secured note, 144A, 5.375%, 8/01/26 | | | United States | | | | 514,000 | | | | | | | | 525,740 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 1,292,168 | |
| | | | | | | | | | | | | | | | | | |
| | | Diversified Financial Services 0.8% | |
| | AerCap Ireland Capital DAC / AerCap Global Aviation Trust, senior note, 3.00%, 10/29/28 | | | Ireland | | | | 155,000 | | | | | | | | 134,477 | |
| | American Express Co., senior note, 4.90%, 2/13/26 | | | United States | | | | 235,000 | | | | | | | | 234,882 | |
| f | | Antares Holdings LP, senior note, 144A,
2.75%, 1/15/27 | | | Canada | | | | 250,000 | | | | | | | | 205,036 | |
| | 3.75%, 7/15/27 | | | Canada | | | | 250,000 | | | | | | | | 209,875 | |
| f | | Aviation Capital Group LLC, senior note, 144A, 1.95%, 1/30/26 | | | United States | | | | 25,000 | | | | | | | | 22,344 | |
| f,j | | BOC Aviation Ltd., senior note, Reg S, FRN, 6.259%, (3-Month USD LIBOR + 1.13%), 9/26/23 | | | China | | | | 1,000,000 | | | | | | | | 1,000,100 | |
| f | | Financiera de Desarrollo Territorial SA Findeter, senior bond, 144A, 7.875%, 8/12/24 | | | Colombia | | | | 393,000,000 | | | | COP | | | | 82,097 | |
| f,i | | GGAM Finance Ltd., senior note, 144A, 8.00%, 6/15/28 | | | Ireland | | | | 116,000 | | | | | | | | 114,318 | |
| f | | LD Holdings Group LLC, senior note, 144A, 6.50%, 11/01/25 | | | United States | | | | 244,000 | | | | | | | | 193,907 | |
| | OneMain Finance Corp., senior note, 3.50%, 1/15/27 | | | United States | | | | 175,000 | | | | | | | | 145,914 | |
| f | | Rec Ltd., senior note, Reg S,
5.25%, 11/13/23 | | | India | | | | 1,870,000 | | | | | | | | 1,865,390 | |
| | G, 3.375%, 7/25/24 | | | India | | | | 920,000 | | | | | | | | 895,740 | |
| f | | Rocket Mortgage LLC / Rocket Mortgage Co.-Issuer Inc., 144A,
senior bond, 3.875%, 3/01/31 | | | United States | | | | 5,000 | | | | | | | | 3,943 | |
| | senior bond, 4.00%, 10/15/33 | | | United States | | | | 1,015,000 | | | | | | | | 765,569 | |
| | senior note, 2.875%, 10/15/26 | | | United States | | | | 965,000 | | | | | | | | 844,366 | |
| | senior note, 3.625%, 3/01/29 | | | United States | | | | 40,000 | | | | | | | | 33,050 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 6,751,008 | |
| | | | | | | | | | | | | | | | | | |
| | | Diversified Telecommunication Services 0.4% | |
| f | | Altice France SA, senior secured note, 144A,
5.125%, 7/15/29 | | | France | | | | 101,000 | | | | | | | | 72,010 | |
| | 5.50%, 10/15/29 | | | France | | | | 145,000 | | | | | | | | 105,357 | |
| | | | | | | | | | |
| | | | | | |
| 34 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | Country | | | Principal Amount* | | | Value | |
| | | Corporate Bonds and Notes (continued) | | | |
| | | Diversified Telecommunication Services (continued) | |
| f | | Frontier Communications Holdings LLC, senior secured note, 144A,
5.875%, 10/15/27 | | | United States | | | | 176,000 | | | | | | | $ | 157,030 | |
| | d 5.00%, 5/01/28 | | | United States | | | | 891,000 | | | | | | | | 747,055 | |
| | d 8.75%, 5/15/30 | | | United States | | | | 791,000 | | | | | | | | 740,364 | |
| | 8.625%, 3/15/31 | | | United States | | | | 389,000 | | | | | | | | 359,358 | |
| f | | IHS Holding Ltd., senior note, 144A, 5.625%, 11/29/26 | | | Nigeria | | | | 255,000 | | | | | | | | 218,025 | |
| f | | Kenbourne Invest SA, senior note, 144A, 6.875%, 11/26/24 | | | Chile | | | | 200,000 | | | | | | | | 162,594 | |
| f,k | | Ligado Networks LLC, senior secured note, 144A, PIK, 15.50%, 11/01/23 | | | United States | | | | 1,228,350 | | | | | | | | 414,568 | |
| f | | VMED O2 UK Financing I PLC, Reg S,
senior secured bond, 4.50%, 7/15/31 | | | United Kingdom | | | | 465,000 | | | | GBP | | | | 433,097 | |
| | senior secured note, 4.00%, 1/31/29 | | | United Kingdom | | | | 210,000 | | | | GBP | | | | 205,838 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 3,615,296 | |
| | | | | | | | | | | | | | | | | | |
| | | Electric Utilities 0.4% | |
| d,e | | Bruce Mansfield Escrow, senior bond, zero cpn., 6/01/34 | | | United States | | | | 6,394,000 | | | | | | | | 23,978 | |
| | Edison International,
d junior sub. bond, 8.125%, 6/15/53 | | | United States | | | | 1,088,000 | | | | | | | | 1,115,200 | |
| | h junior sub. note, A, 5.375% to 3/15/26, FRN thereafter, Perpetual | | | United States | | | | 50,000 | | | | | | | | 43,895 | |
| f | | EP Infrastructure AS, senior note, Reg S,
1.659%, 4/26/24 | | | Czech Republic | | | | 147,000 | | | | EUR | | | | 150,649 | |
| | 1.698%, 7/30/26 | | | Czech Republic | | | | 514,000 | | | | EUR | | | | 479,228 | |
| | Nextera Energy Capital Holdings Inc., senior note, 6.051%, 3/01/25 | | | United States | | | | 205,000 | | | | | | | | 207,364 | |
| | Pacific Gas and Electric Co.,
secured bond, 4.95%, 7/01/50 | | | United States | | | | 748,321 | | | | | | | | 583,617 | |
| | senior bond, 4.30%, 3/15/45 | | | United States | | | | 70,000 | | | | | | | | 49,899 | |
| f | | Talen Energy Supply LLC, senior secured note, 144A, 8.625%, 6/01/30 | | | United States | | | | 378,000 | | | | | | | | 385,069 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 3,038,899 | |
| | | | | | | | | | | | | | | | | | |
| | | Energy Equipment & Services 0.4% | |
| f | | Shelf Drilling Holdings Ltd., senior note, 144A, 8.25%, 2/15/25 | | | United Arab Emirates | | | | 1,322,000 | | | | | | | | 1,210,443 | |
| f | | Transocean Inc., 144A,
d senior note, 7.25%, 11/01/25 | | | United States | | | | 1,656,000 | | | | | | | | 1,558,412 | |
| | senior note, 8.00%, 2/01/27 | | | United States | | | | 277,000 | | | | | | | | 246,822 | |
| | senior secured note, 8.75%, 2/15/30 | | | United States | | | | 76,000 | | | | | | | | 76,049 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 3,091,726 | |
| | | | | | | | | | | | | | | | | | |
| | | Entertainment 0.1% | |
| f | | Allwyn Entertainment Financing UK PLC, senior secured note, 144A, 7.875%, 4/30/29 | | | Czech Republic | | | | 309,000 | | | | | | | | 306,951 | |
| | Netflix Inc., senior bond,
4.875%, 4/15/28 | | | United States | | | | 15,000 | | | | | | | | 14,893 | |
| | 5.875%, 11/15/28 | | | United States | | | | 290,000 | | | | | | | | 300,850 | |
| | 6.375%, 5/15/29 | | | United States | | | | 60,000 | | | | | | | | 63,663 | |
| | f 144A, 5.375%, 11/15/29 | | | United States | | | | 30,000 | | | | | | | | 30,237 | |
| | b,f 144A, 4.875%, 6/15/30 | | | United States | | | | 55,000 | | | | | | | | 54,108 | |
| | Warnermedia Holdings Inc., senior note,
4.054%, 3/15/29 | | | United States | | | | 135,000 | | | | | | | | 123,396 | |
| | 4.279%, 3/15/32 | | | United States | | | | 285,000 | | | | | | | | 249,140 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 1,143,238 | |
| | | | | | | | | | | | | | | | | | |
| | | Equity Real Estate Investment Trusts (REITs) 0.3% | |
| | Crown Castle Inc., senior bond, 5.10%, 5/01/33 | | | United States | | | | 260,000 | | | | | | | | 256,125 | |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 35 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | Country | | | Principal Amount* | | | Value | |
| | | Corporate Bonds and Notes (continued) | | | |
| | | Equity Real Estate Investment Trusts (REITs) (continued) | |
| | National Health Investors Inc., senior bond, 3.00%, 2/01/31 | | | United States | | | | 30,000 | | | | | | | $ | 21,965 | |
| | SBA Communications Corp., senior note, 3.875%, 2/15/27 | | | United States | | | | 10,000 | | | | | | | | 9,226 | |
| d,f | | Uniti Group LP / Uniti Group Finance Inc. / CSL Capital LLC, senior secured note, 144A, 10.50%, 2/15/28 | | | United States | | | | 1,268,000 | | | | | | | | 1,231,384 | |
| f | | Vici Properties LP / Vici Note Co. Inc., senior note, 144A,
4.625%, 6/15/25 | | | United States | | | | 100,000 | | | | | | | | 96,606 | |
| | 4.50%, 9/01/26 | | | United States | | | | 570,000 | | | | | | | | 540,799 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 2,156,105 | |
| | | | | | | | | | | | | | | | | | |
| | | Food & Staples Retailing 0.1% | |
| f | | JBS USA Lux SA / JBS USA Food Co. / JBS USA Finance Inc., 144A,
senior bond, 4.375%, 2/02/52 | | | United States | | | | 111,000 | | | | | | | | 74,331 | |
| | senior note, 3.00%, 2/02/29 | | | United States | | | | 35,000 | | | | | | | | 29,542 | |
| f | | Market Bidco Finco PLC, senior note, 144A, 5.50%, 11/04/27 | | | United Kingdom | | | | 1,000,000 | | | | | | | | 981,552 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 1,085,425 | |
| | | | | | | | | | | | | | | | | | |
| | | Food Products 0.0%† | |
| f | | Post Holdings Inc., senior bond, 144A, 5.75%, 3/01/27 | | | United States | | | | 65,000 | | | | | | | | 63,803 | |
| | | | | | | | | | | | | | | | | | |
| | | Gas Utilities 0.0%† | |
| f | | Eustream AS, senior note, Reg S, 1.625%, 6/25/27 | | | Slovak Republic | | | | 356,000 | | | | EUR | | | | 294,143 | |
| | | | | | | | | | | | | | | | | | |
| | | Health Care Providers & Services 0.1% | |
| | Centene Corp., senior note, 2.45%, 7/15/28 | | | United States | | | | 15,000 | | | | | | | | 12,902 | |
| | Elevance Health Inc., senior note, 4.90%, 2/08/26 | | | United States | | | | 405,000 | | | | | | | | 403,036 | |
| f | | Molina Healthcare Inc., senior note, 144A, 4.375%, 6/15/28 | | | United States | | | | 35,000 | | | | | | | | 32,154 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 448,092 | |
| | | | | | | | | | | | | | | | | | |
| | | Health Care Technology 0.1% | |
| d,f | | Cloud Software Group Holdings Inc., senior secured note, 144A, 6.50%, 3/31/29 | | | United States | | | | 953,000 | | | | | | | | 843,726 | |
| f | | Open Text Corp., senior secured note, 144A, 6.90%, 12/01/27 | | | Canada | | | | 90,000 | | | | | | | | 92,101 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 935,827 | |
| | | | | | | | | | | | | | | | | | |
| | | Hotels, Restaurants & Leisure 0.6% | |
| f | | 1011778 BC ULC / New Red Finance Inc., senior secured note, 144A, 4.375%, 1/15/28 | | | Canada | | | | 100,000 | | | | | | | | 91,952 | |
| f | | Carnival Corp., senior note, 144A,
b 7.625%, 3/01/26 | | | United States | | | | 140,000 | | | | | | | | 132,866 | |
| | 5.75%, 3/01/27 | | | United States | | | | 95,000 | | | | | | | | 81,433 | |
| | 6.00%, 5/01/29 | | | United States | | | | 913,000 | | | | | | | | 760,001 | |
| d,f | | Carnival Holdings Bermuda Ltd., senior note, 144A, 10.375%, 5/01/28 | | | United States | | | | 1,270,000 | | | | | | | | 1,375,885 | |
| f | | GENM Capital Labuan Ltd., senior bond, 144A, 3.882%, 4/19/31 | | | Malaysia | | | | 240,000 | | | | | | | | 192,269 | |
| f | | Hilton Grand Vacations Borrower Escrow LLC, 144A,
senior bond, 4.875%, 7/01/31 | | | United States | | | | 20,000 | | | | | | | | 16,993 | |
| | senior note, 5.00%, 6/01/29 | | | United States | | | | 150,000 | | | | | | | | 133,614 | |
| f | | Marriott Ownership Resorts Inc., senior note, 144A, 4.50%, 6/15/29 | | | United States | | | | 35,000 | | | | | | | | 30,034 | |
| f | | Royal Caribbean Cruises Ltd., 144A,
senior note, 4.25%, 7/01/26 | | | United States | | | | 290,000 | | | | | | | | 266,045 | |
| | senior note, 5.50%, 4/01/28 | | | United States | | | | 125,000 | | | | | | | | 114,965 | |
| | senior note, 9.25%, 1/15/29 | | | United States | | | | 379,000 | | | | | | | | 403,349 | |
| | d senior secured note, 8.25%, 1/15/29 | | | United States | | | | 594,000 | | | | | | | | 625,555 | |
| f | | Scientific Games International Inc., senior note, 144A, 7.00%, 5/15/28 | | | United States | | | | 245,000 | | | | | | | | 242,545 | |
| | | | | | | | | | |
| | | | | | |
| 36 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | Country | | | Principal Amount* | | | Value | |
| | | Corporate Bonds and Notes (continued) | | | |
| | | Hotels, Restaurants & Leisure (continued) | |
| | Travel + Leisure Co.,
senior secured bond, 6.00%, 4/01/27 | | | United States | | | | 10,000 | | | | | | | $ | 9,668 | |
| | f senior secured bond, 144A, 4.625%, 3/01/30 | | | United States | | | | 40,000 | | | | | | | | 33,926 | |
| | f senior secured note, 144A, 6.625%, 7/31/26 | | | United States | | | | 270,000 | | | | | | | | 267,801 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 4,778,901 | |
| | | | | | | | | | | | | | | | | | |
| | | Household Durables 0.2% | |
| d,f | | K. Hovnanian Enterprises Inc., senior secured note, 144A,
7.75%, 2/15/26 | | | United States | | | | 698,000 | | | | | | | | 690,469 | |
| | 10.50%, 2/15/26 | | | United States | | | | 850,000 | | | | | | | | 869,057 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 1,559,526 | |
| | | | | | | | | | | | | | | | | | |
| | | Industrial Conglomerates 0.1% | |
| | Icahn Enterprises LP / Icahn Enterprises Finance Corp., senior note,
4.75%, 9/15/24 | | | United States | | | | 130,000 | | | | | | | | 121,789 | |
| | 6.375%, 12/15/25 | | | United States | | | | 678,000 | | | | | | | | 611,523 | |
| | 6.25%, 5/15/26 | | | United States | | | | 105,000 | | | | | | | | 92,130 | |
| | 5.25%, 5/15/27 | | | United States | | | | 380,000 | | | | | | | | 313,587 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 1,139,029 | |
| | | | | | | | | | | | | | | | | | |
| | | Insurance 0.1% | |
| f | | Global Atlantic Finance Co., senior bond, 144A, 4.40%, 10/15/29 | | | United States | | | | 165,000 | | | | | | | | 141,995 | |
| f | | QBE Insurance Group Ltd., junior sub. bond, Reg S, 7.50% to 11/24/23, FRN thereafter, 11/24/43 | | | Australia | | | | 250,000 | | | | | | | | 250,452 | |
| f,h | | Tongyang Life Insurance Co. Ltd., junior sub. note, Reg S, 5.25% to 9/22/25, FRN thereafter, Perpetual | | | South Korea | | | | 400,000 | | | | | | | | 349,500 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 741,947 | |
| | | | | | | | | | | | | | | | | | |
| | | Interactive Media & Services 0.0%† | |
| f | | Tencent Holdings Ltd., senior bond, Reg S, 3.94%, 4/22/61 | | | China | | | | 500,000 | | | | | | | | 356,741 | |
| | | | | | | | | | | | | | | | | | |
| | | Internet & Direct Marketing Retail 0.2% | |
| | Expedia Group Inc., senior note,
3.25%, 2/15/30 | | | United States | | | | 30,000 | | | | | | | | 25,994 | |
| | b 2.95%, 3/15/31 | | | United States | | | | 40,000 | | | | | | | | 33,443 | |
| f | | Prosus NV, Reg S,
senior bond, 1.985%, 7/13/33 | | | China | | | | 300,000 | | | | EUR | | | | 218,213 | |
| | senior bond, 2.778%, 1/19/34 | | | China | | | | 821,000 | | | | EUR | | | | 641,149 | |
| | senior bond, 3.832%, 2/08/51 | | | China | | | | 110,000 | | | | | | | | 64,912 | |
| | senior bond, 4.987%, 1/19/52 | | | China | | | | 100,000 | | | | | | | | 70,207 | |
| | senior note, 1.288%, 7/13/29 | | | China | | | | 204,000 | | | | EUR | | | | 165,263 | |
| f | | Rakuten Group Inc., senior note, 144A, 10.25%, 11/30/24 | | | Japan | | | | 205,000 | | | | | | | | 207,050 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 1,426,231 | |
| | | | | | | | | | | | | | | | | | |
| | | IT Services 0.1% | |
| f | | Hurricane Finance PLC, senior secured note, Reg S, 8.00%, 10/15/25 | | | United Kingdom | | | | 358,000 | | | | GBP | | | | 421,164 | |
| | Leidos Inc., senior bond, 5.75%, 3/15/33 | | | United States | | | | 165,000 | | | | | | | | 163,950 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 585,114 | |
| | | | | | | | | | | | | | | | | | |
| | | Leisure Products 0.0%† | |
| f | | NCL Corp. Ltd., 144A,
senior note, 5.875%, 3/15/26 | | | United States | | | | 240,000 | | | | | | | | 217,979 | |
| | senior secured note, 5.875%, 2/15/27 | | | United States | | | | 185,000 | | | | | | | | 176,367 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 394,346 | |
| | | | | | | | | | | | | | | | | | |
| | | Life Sciences Tools & Services 0.1% | |
| f | | Syneos Health Inc., senior note, 144A, 3.625%, 1/15/29 | | | United States | | | | 748,000 | | | | | | | | 724,371 | |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 37 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | Country | | | Principal Amount* | | | Value | |
| | | Corporate Bonds and Notes (continued) | | | |
| | | Life Sciences Tools & Services (continued) | |
| | Trimble Inc., senior bond, 6.10%, 3/15/33 | | | United States | | | | 190,000 | | | | | | | $ | 192,522 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 916,893 | |
| | | | | | | | | | | | | | | | | | |
| | | Media 1.1% | |
| d,f | | Advantage Sales & Marketing Inc., senior secured note, 144A, 6.50%, 11/15/28 | | | United States | | | | 1,806,000 | | | | | | | | 1,517,690 | |
| f | | CCO Holdings LLC / CCO Holdings Capital Corp., senior bond, 144A,
5.50%, 5/01/26 | | | United States | | | | 40,000 | | | | | | | | 39,218 | |
| | 5.125%, 5/01/27 | | | United States | | | | 1,400,000 | | | | | | | | 1,298,728 | |
| | Charter Communications Operating LLC / Charter Communications Operating Capital, senior secured bond,
2.30%, 2/01/32 | | | United States | | | | 15,000 | | | | | | | | 11,304 | |
| | 4.40%, 4/01/33 | | | United States | | | | 340,000 | | | | | | | | 295,737 | |
| | 4.40%, 12/01/61 | | | United States | | | | 235,000 | | | | | | | | 152,805 | |
| f | | CSC Holdings LLC, 144A,
d senior bond, 5.50%, 4/15/27 | | | United States | | | | 594,000 | | | | | | | | 485,469 | |
| | senior bond, 6.50%, 2/01/29 | | | United States | | | | 545,000 | | | | | | | | 429,764 | |
| | senior bond, 4.125%, 12/01/30 | | | United States | | | | 200,000 | | | | | | | | 139,038 | |
| | senior bond, 4.625%, 12/01/30 | | | United States | | | | 1,700,000 | | | | | | | | 728,329 | |
| | senior bond, 3.375%, 2/15/31 | | | United States | | | | 600,000 | | | | | | | | 410,759 | |
| | d senior note, 11.25%, 5/15/28 | | | United States | | | | 1,416,000 | | | | | | | | 1,343,317 | |
| f | | DIRECTV Holdings LLC / DIRECTV Financing Co. Inc., senior secured note, 144A, 5.875%, 8/15/27 | | | United States | | | | 95,000 | | | | | | | | 83,785 | |
| | DISH DBS Corp.,
senior note, 5.875%, 11/15/24 | | | United States | | | | 392,000 | | | | | | | | 336,238 | |
| | senior note, 5.125%, 6/01/29 | | | United States | | | | 295,000 | | | | | | | | 134,113 | |
| | f senior secured note, 144A, 5.25%, 12/01/26 | | | United States | | | | 1,330,000 | | | | | | | | 1,053,088 | |
| | f senior secured note, 144A, 5.75%, 12/01/28 | | | United States | | | | 280,000 | | | | | | | | 203,616 | |
| | iHeartCommunications Inc., senior secured note,
6.375%, 5/01/26 | | | United States | | | | 85,000 | | | | | | | | 64,639 | |
| | f 144A, 5.25%, 8/15/27 | | | United States | | | | 90,000 | | | | | | | | 63,326 | |
| | b,f 144A, 4.75%, 1/15/28 | | | United States | | | | 310,000 | | | | | | | | 215,383 | |
| f | | Virgin Media Secured Finance PLC, senior secured bond, Reg S, 4.25%, 1/15/30 | | | United Kingdom | | | | 175,000 | | | | GBP | | | | 167,180 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 9,173,526 | |
| | | | | | | | | | | | | | | | | | |
| | | Metals & Mining 0.7% | |
| f | | Abja Investment Co. Pte. Ltd., senior note, Reg S, 4.45%, 7/24/23 | | | India | | | | 1,900,000 | | | | | | | | 1,892,896 | |
| | Arcelormittal SA, senior bond, 6.80%, 11/29/32 | | | Luxembourg | | | | 180,000 | | | | | | | | 185,817 | |
| f | | Arconic Corp., senior secured note, 144A, 6.125%, 2/15/28 | | | United States | | | | 972,000 | | | | | | | | 981,979 | |
| | BHP Billiton Finance USA Ltd., senior note, 4.875%, 2/27/26 | | | Australia | | | | 805,000 | | | | | | | | 808,820 | |
| f | | First Quantum Minerals Ltd., senior note, 144A,
6.875%, 3/01/26 | | | Zambia | | | | 465,000 | | | | | | | | 452,771 | |
| | 6.875%, 10/15/27 | | | Zambia | | | | 375,000 | | | | | | | | 357,600 | |
| f | | FMG Resources August 2006 Pty Ltd., senior note, 144A, 4.50%, 9/15/27 | | | Australia | | | | 130,000 | | | | | | | | 123,237 | |
| | Freeport-McMoRan Inc.,
senior bond, 4.625%, 8/01/30 | | | United States | | | | 15,000 | | | | | | | | 14,058 | |
| | senior note, 4.25%, 3/01/30 | | | United States | | | | 95,000 | | | | | | | | 87,279 | |
| f | | Glencore Funding LLC, senior bond, 144A, 2.85%, 4/27/31 | | | Australia | | | | 335,000 | | | | | | | | 275,679 | |
| f | | Vedanta Resources Finance II PLC, senior note, Reg S, 13.875%, 1/21/24 | | | India | | | | 400,000 | | | | | | | | 364,849 | |
| f | | Volcan Cia Minera SAA, senior note, 144A, 4.375%, 2/11/26 | | | Peru | | | | 30,000 | | | | | | | | 20,283 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 5,565,268 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | |
| 38 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | Country | | | Principal Amount* | | | Value | |
| | | Corporate Bonds and Notes (continued) | | | |
| | | Mortgage Real Estate Investment Trusts (REITs) 0.1% | |
| | Service Properties Trust, senior note,
7.50%, 9/15/25 | | | United States | | | | 650,000 | | | | | | | $ | 638,011 | |
| | 5.50%, 12/15/27 | | | United States | | | | 186,000 | | | | | | | | 161,889 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 799,900 | |
| | | | | | | | | | | | | | | | | | |
| | | Multiline Retail 0.0%† | |
| | Kohl’s Corp., senior bond, 5.55%, 7/17/45 | | | United States | | | | 350,000 | | | | | | | | 197,120 | |
| | | | | | | | | | | | | | | | | | |
| | | Oil, Gas & Consumable Fuels 1.4% | | | | | | | | | | | | |
| f | | Aker BP ASA, senior bond, 144A, 3.75%, 1/15/30 | | | Norway | | | | 265,000 | | | | | | | | 236,612 | |
| f | | Baytex Energy Corp., senior note, 144A, 8.75%, 4/01/27 | | | Canada | | | | 115,000 | | | | | | | | 116,331 | |
| f | | Callon Petroleum Co., senior note, 144A, 8.00%, 8/01/28 | | | United States | | | | 80,000 | | | | | | | | 78,324 | |
| f | | Chord Energy Corp., senior note, 144A, 6.375%, 6/01/26 | | | United States | | | | 80,000 | | | | | | | | 78,883 | |
| f | | Continental Resources Inc., senior bond, 144A,
5.75%, 1/15/31 | | | United States | | | | 620,000 | | | | | | | | 591,121 | |
| | 2.875%, 4/01/32 | | | United States | | | | 475,000 | | | | | | | | 364,982 | |
| f | | Energean Israel Finance Ltd., senior secured note, 144A, Reg S, 5.375%, 3/30/28 | | | Israel | | | | 170,000 | | | | | | | | 152,418 | |
| f | | Enlink Midstream LLC, senior note, 144A, 6.50%, 9/01/30 | | | United States | | | | 15,000 | | | | | | | | 14,923 | |
| | Equities Corp.,
senior bond, 7.00%, 2/01/30 | | | United States | | | | 390,000 | | | | | | | | 404,060 | |
| | senior note, 3.90%, 10/01/27 | | | United States | | | | 50,000 | | | | | | | | 46,505 | |
| | senior note, 5.00%, 1/15/29 | | | United States | | | | 35,000 | | | | | | | | 33,040 | |
| | b,f senior note, 144A, 3.625%, 5/15/31 | | | United States | | | | 135,000 | | | | | | | | 115,246 | |
| f | | Greensaif Pipelines Bidco SARL, senior secured bond, 144A, 6.51%, 2/23/42 | | | Saudi Arabia | | | | 780,000 | | | | | | | | 817,841 | |
| f | | Hess Midstream Operations LP, senior note, 144A, 5.625%, 2/15/26 | | | United States | | | | 25,000 | | | | | | | | 24,554 | |
| f | | Indian Oil Corp. Ltd., senior bond, Reg S, 5.75%, 8/01/23 | | | India | | | | 800,000 | | | | | | | | 799,978 | |
| f | | Leviathan Bond Ltd., senior note, 144A, Reg S, 6.50%, 6/30/27 | | | Israel | | | | 205,000 | | | | | | | | 195,652 | |
| b,f | | Matador Resources Co., senior note, 144A, 6.875%, 4/15/28 | | | United States | | | | 65,000 | | | | | | | | 64,541 | |
| f | | Moss Creek Resources Holdings Inc., senior note, 144A,
7.50%, 1/15/26 | | | United States | | | | 372,000 | | | | | | | | 343,187 | |
| | d 10.50%, 5/15/27 | | | United States | | | | 843,000 | | | | | | | | 815,447 | |
| f | | Northern Oil And Gas Inc., senior note, 144A,
8.125%, 3/01/28 | | | United States | | | | 160,000 | | | | | | | | 155,863 | |
| | 8.75%, 6/15/31 | | | United States | | | | 230,000 | | | | | | | | 225,261 | |
| | Occidental Petroleum Corp.,
senior bond, 8.875%, 7/15/30 | | | United States | | | | 15,000 | | | | | | | | 17,300 | |
| | b senior bond, 6.125%, 1/01/31 | | | United States | | | | 10,000 | | | | | | | | 10,173 | |
| | senior bond, 7.875%, 9/15/31 | | | United States | | | | 15,000 | | | | | | | | 16,615 | |
| | senior note, 5.55%, 3/15/26 | | | United States | | | | 120,000 | | | | | | | | 119,810 | |
| | Ovintiv Inc., senior bond,
8.125%, 9/15/30 | | | United States | | | | 25,000 | | | | | | | | 27,446 | |
| | 7.20%, 11/01/31 | | | United States | | | | 5,000 | | | | | | | | 5,264 | |
| | 7.375%, 11/01/31 | | | United States | | | | 5,000 | | | | | | | | 5,341 | |
| | 6.50%, 8/15/34 | | | United States | | | | 80,000 | | | | | | | | 80,648 | |
| | 6.50%, 2/01/38 | | | United States | | | | 10,000 | | | | | | | | 9,915 | |
| | PDC Energy Inc., senior note, 5.75%, 5/15/26 | | | United States | | | | 110,000 | | | | | | | | 109,764 | |
| | SM Energy Co., senior bond, 6.75%, 9/15/26 | | | United States | | | | 120,000 | | | | | | | | 116,033 | |
| | Southwestern Energy Co., senior bond, 4.75%, 2/01/32 | | | United States | | | | 15,000 | | | | | | | | 12,994 | |
| d | | Talos Production Inc., senior secured note, 12.00%, 1/15/26 | | | United States | | | | 2,194,000 | | | | | | | | 2,312,004 | |
| f | | Tap Rock Resources LLC, senior note, 144A, 7.00%, 10/01/26 | | | United States | | | | 85,000 | | | | | | | | 79,741 | |
| | Targa Resources Corp., senior bond, 6.125%, 3/15/33 | | | United States | | | | 55,000 | | | | | | | | 55,805 | |
| | Targa Resources Partners LP / Targa Resources Partners Finance Corp., senior bond, 4.875%, 2/01/31 | | | United States | | | | 340,000 | | | | | | | | 313,191 | |
| f | | Tms Issuer Sarl, senior secured note, 144A, 5.78%, 8/23/32 | | | Saudi Arabia | | | | 650,000 | | | | | | | | 677,872 | |
| f | | Var Energi ASA, senior note, 144A, 7.50%, 1/15/28 | | | Norway | | | | 200,000 | | | | | | | | 208,756 | |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 39 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | Country | | | Principal Amount* | | | Value | |
| | | Corporate Bonds and Notes (continued) | | | |
| | | Oil, Gas & Consumable Fuels (continued) | | | | | | | | | | | | |
| f | | Venture Global Calcasieu Pass LLC, senior secured bond, 144A,
4.125%, 8/15/31 | | | United States | | | | 80,000 | | | | | | | $ | 69,058 | |
| | 3.875%, 11/01/33 | | | United States | | | | 150,000 | | | | | | | | 123,039 | |
| f | | Venture Global Lng Inc., senior secured note, 144A,
8.125%, 6/01/28 | | | United States | | | | 217,000 | | | | | | | | 218,332 | |
| | 8.375%, 6/01/31 | | | United States | | | | 356,000 | | | | | | | | 358,218 | |
| | Vital Energy Inc., senior note, 9.50%, 1/15/25 | | | United States | | | | 233,000 | | | | | | | | 230,709 | |
| | Western Midstream Operating LP, senior note,
3.35%, 2/01/25 | | | United States | | | | 85,000 | | | | | | | | 81,182 | |
| | 6.15%, 4/01/33 | | | United States | | | | 20,000 | | | | | | | | 19,964 | |
| f | | YPF Sociedad Anonima, senior note, Reg S,
8.75%, 4/04/24 | | | Argentina | | | | 542,800 | | | | | | | | 514,871 | |
| | 8.50%, 3/23/25 | | | Argentina | | | | 796,000 | | | | | | | | 729,932 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 12,198,746 | |
| | | | | | | | | | | | | | | | | | |
| | | Personal Products 0.1% | |
| f | | Kenvue Inc., senior note, 144A, 5.50%, 3/22/25 | | | United States | | | | 805,000 | | | | | | | | 813,124 | |
| | | | | | | | | | | | | | | | | | |
| | | Pharmaceuticals 0.5% | |
| f | | Bausch Health Cos. Inc., 144A, | | | | | | | | | | | | | | | | |
| | senior note, 7.00%, 1/15/28 | | | United States | | | | 70,000 | | | | | | | | 32,346 | |
| | senior note, 5.00%, 1/30/28 | | | United States | | | | 15,000 | | | | | | | | 6,651 | |
| | d senior secured note, 5.50%, 11/01/25 | | | United States | | | | 1,153,000 | | | | | | | | 1,024,581 | |
| | senior secured note, 4.875%, 6/01/28 | | | United States | | | | 360,000 | | | | | | | | 217,440 | |
| | CVS Health Corp., senior note, 5.00%, 2/20/26 | | | United States | | | | 405,000 | | | | | | | | 405,572 | |
| b | | Teva Pharmaceutical Finance Co. LLC, senior bond, 6.15%, 2/01/36 | | | Israel | | | | 10,000 | | | | | | | | 8,977 | |
| | Teva Pharmaceutical Finance Netherlands II BV, senior note,
6.00%, 1/31/25 | | | Israel | | | | 335,000 | | | | EUR | | | | 365,493 | |
| | 7.375%, 9/15/29 | | | Israel | | | | 120,000 | | | | EUR | | | | 129,864 | |
| | 7.875%, 9/15/31 | | | Israel | | | | 100,000 | | | | EUR | | | | 109,475 | |
| | Teva Pharmaceutical Finance Netherlands III BV,
senior bond, 3.15%, 10/01/26 | | | Israel | | | | 1,235,000 | | | | | | | | 1,103,787 | |
| | senior bond, 4.10%, 10/01/46 | | | Israel | | | | 100,000 | | | | | | | | 63,814 | |
| | senior note, 2.80%, 7/21/23 | | | Israel | | | | 325,000 | | | | | | | | 322,798 | |
| | senior note, 7.875%, 9/15/29 | | | Israel | | | | 200,000 | | | | | | | | 205,444 | |
| | senior note, 8.125%, 9/15/31 | | | Israel | | | | 200,000 | | | | | | | | 207,917 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 4,204,159 | |
| | | | | | | | | | | | | | | | | | |
| | | Real Estate Management & Development 0.2% | |
| f | | Agile Group Holdings Ltd., Reg S,
h senior note, 7.875% to 7/31/24, FRN thereafter, Perpetual | | | China | | | | 200,000 | | | | | | | | 26,295 | |
| | senior secured note, 6.05%, 10/13/25 | | | China | | | | 200,000 | | | | | | | | 50,919 | |
| f | | Central China Real Estate Ltd., senior secured note, Reg S,
7.25%, 8/13/24 | | | China | | | | 200,000 | | | | | | | | 29,708 | |
| f | | CFLD Cayman Investment Ltd., senior note, Reg S,
zero cpn., 1/31/31 | | | China | | | | 21,792 | | | | | | | | 872 | |
| | 2.50%, 1/31/31 | | | China | | | | 394,400 | | | | | | | | 36,082 | |
| e,f | | China Aoyuan Group Ltd., senior secured note, Reg S, 5.98%, 8/18/25 | | | China | | | | 200,000 | | | | | | | | 7,992 | |
| f | | China Evergrande Group, senior note, Reg S, 8.75%, 6/28/25 | | | China | | | | 200,000 | | | | | | | | 13,000 | |
| f | | China South City Holdings Ltd., senior secured note, Reg S,
9.00%, 7/20/24 | | | China | | | | 180,000 | | | | | | | | 125,653 | |
| f | | Country Garden Holdings Co. Ltd., senior secured bond, Reg S,
5.625%, 12/15/26 | | | China | | | | 200,000 | | | | | | | | 70,788 | |
| | 3.30%, 1/12/31 | | | China | | | | 977,000 | | | | | | | | 292,755 | |
| k | | Easy Tactic Ltd., senior secured note, PIK, 6.50%, 7/11/27 | | | China | | | | 213,775 | | | | | | | | 20,608 | |
| | Kaisa Group Holdings Ltd.,
senior note, 11.95%, 10/22/22 | | | China | | | | 399,000 | | | | | | | | 30,125 | |
| | f senior secured note, Reg S, 8.50%, 6/30/22 | | | China | | | | 692,000 | | | | | | | | 46,747 | |
| | | | | | | | | | |
| | | | | | |
| 40 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | Country | | | Principal Amount* | | | Value | |
| | | Corporate Bonds and Notes (continued) | | | |
| | | Real Estate Management & Development (continued) | |
| f | | Logan Group Co. Ltd., senior note, Reg S, 5.25%, 10/19/25 | | | China | | | | 200,000 | | | | | | | $ | 22,500 | |
| f | | New Metro Global Ltd., senior note, Reg S, 4.625%, 10/15/25 | | | China | | | | 200,000 | | | | | | | | 90,163 | |
| f,h | | NWD Finance BVI Ltd., senior note, Reg S, 6.15% to 3/16/25,
FRN thereafter, Perpetual | | | Hong Kong | | | | 200,000 | | | | | | | | 179,830 | |
| f | | Perfect Point Ventures Ltd., senior note, Reg S, 5.20%, 9/20/25 | | | Hong Kong | | | | 400,000 | | | | | | | | 351,980 | |
| f | | Sino-Ocean Land Treasure II Ltd., senior bond, Reg S, 5.95%, 2/04/27 | | | China | | | | 200,000 | | | | | | | | 39,254 | |
| f,h | | Sino-Ocean Land Treasure III Ltd., senior note, Reg S, 6.876% to 9/21/27, FRN thereafter, Perpetual | | | China | | | | 330,000 | | | | | | | | 48,318 | |
| f | | Times China Holdings Ltd., senior secured note, Reg S, 5.55%, 6/04/24 | | | China | | | | 200,000 | | | | | | | | 18,220 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 1,501,809 | |
| | | | | | | | | | | | | | | | | | |
| | | Road & Rail 0.2% | |
| f | | Uber Technologies Inc., senior note, 144A,
8.00%, 11/01/26 | | | United States | | | | 990,000 | | | | | | | | 1,010,604 | |
| | 7.50%, 9/15/27 | | | United States | | | | 400,000 | | | | | | | | 410,901 | |
| | 6.25%, 1/15/28 | | | United States | | | | 40,000 | | | | | | | | 39,851 | |
| | 4.50%, 8/15/29 | | | United States | | | | 180,000 | | | | | | | | 164,530 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 1,625,886 | |
| | | | | | | | | | | | | | | | | | |
| | | Semiconductors & Semiconductor Equipment 0.1% | |
| | Broadcom Inc., senior bond,
4.15%, 11/15/30 | | | United States | | | | 210,000 | | | | | | | | 193,357 | |
| | f 144A, 3.137%, 11/15/35 | | | United States | | | | 250,000 | | | | | | | | 190,723 | |
| | Micron Technology Inc.,
senior bond, 5.875%, 9/15/33 | | | United States | | | | 160,000 | | | | | | | | 157,540 | |
| | senior note, 6.75%, 11/01/29 | | | United States | | | | 385,000 | | | | | | | | 402,734 | |
| f | | SK Hynix Inc., senior bond, 144A, 6.50%, 1/17/33 | | | South Korea | | | | 200,000 | | | | | | | | 201,110 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 1,145,464 | |
| | | | | | | | | | | | | | | | | | |
| | | Software 0.0%† | |
| | Oracle Corp., senior bond, 3.95%, 3/25/51 | | | United States | | | | 125,000 | | | | | | | | 91,744 | |
| | VMware Inc., senior bond, 2.20%, 8/15/31 | | | United States | | | | 95,000 | | | | | | | | 74,698 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 166,442 | |
| | | | | | | | | | | | | | | | | | |
| | | Specialty Retail 0.9% | |
| f | | Carvana Co., senior note, 144A,
d 5.625%, 10/01/25 | | | United States | | | | 2,574,000 | | | | | | | | 1,929,728 | |
| | 5.50%, 4/15/27 | | | United States | | | | 355,000 | | | | | | | | 211,743 | |
| | d 5.875%, 10/01/28 | | | United States | | | | 507,000 | | | | | | | | 289,796 | |
| | 4.875%, 9/01/29 | | | United States | | | | 575,000 | | | | | | | | 288,963 | |
| | d 10.25%, 5/01/30 | | | United States | | | | 2,192,000 | | | | | | | | 1,477,449 | |
| f | | China Grand Automotive Services Ltd., E, senior note, Reg S, 9.125%, 1/30/24 | | | China | | | | 333,000 | | | | | | | | 289,710 | |
| f | | Douglas GMBH, senior secured note, Reg S, 6.00%, 4/08/26 | | | Germany | | | | 2,093,000 | | | | EUR | | | | 2,056,834 | |
| f | | Guitar Center Inc., senior secured note, 144A, 8.50%, 1/15/26 | | | United States | | | | 388,000 | | | | | | | | 347,660 | |
| f | | Lithia Motors Inc., senior note, 144A, 3.875%, 6/01/29 | | | United States | | | | 455,000 | | | | | | | | 392,603 | |
| f | | Mitchells & Butlers Finance PLC, B2, senior secured bond, Reg S, 6.013%, 12/15/28 | |
| United
Kingdom |
| | | 251,695 | | | | GBP | | | | 287,497 | |
| | Starbucks Corp., senior note, 4.75%, 2/15/26 | | | United States | | | | 405,000 | | | | | | | | 404,716 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 7,976,699 | |
| | | | | | | | | | | | | | | | | | |
| | | Technology Hardware, Storage & Peripherals 0.2% | |
| | CDW LLC / CDW Finance Corp.,
senior bond, 3.569%, 12/01/31 | | | United States | | | | 35,000 | | | | | | | | 29,284 | |
| | senior note, 4.25%, 4/01/28 | | | United States | | | | 80,000 | | | | | | | | 74,049 | |
| | senior note, 3.276%, 12/01/28 | | | United States | | | | 90,000 | | | | | | | | 78,131 | |
| | senior note, 3.25%, 2/15/29 | | | United States | | | | 230,000 | | | | | | | | 197,530 | |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 41 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | Country | | | Principal Amount* | | | Value | |
| | | Corporate Bonds and Notes (continued) | | | |
| | | Technology Hardware, Storage & Peripherals (continued) | |
| | Hewlett Packard Enterprise Co., senior note, 5.90%, 10/01/24 | | | United States | | | | 525,000 | | | | | | | $ | 526,509 | |
| b,f | | Pitney Bowes Inc., senior note, 144A, 6.875%, 3/15/27 | | | United States | | | | 766,000 | | | | | | | | 585,913 | |
| | Western Digital Corp., senior note,
4.75%, 2/15/26 | | | United States | | | | 75,000 | | | | | | | | 71,530 | |
| | 2.85%, 2/01/29 | | | United States | | | | 150,000 | | | | | | | | 121,198 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 1,684,144 | |
| | | | | | | | | | | | | | | | | | |
| | | Telecommunications 0.2% | |
| d,f | | Level 3 Financing Inc., senior secured note, 144A, 3.40%, 3/01/27 | | | United States | | | | 2,064,000 | | | | | | | | 1,636,415 | |
| | | | | | | | | | | | | | | | | | |
| | | Thrifts & Mortgage Finance 0.0%† | |
| f | | Nationstar Mortgage Holdings Inc., senior bond, 144A, 5.75%, 11/15/31 | | | United States | | | | 60,000 | | | | | | | | 48,781 | |
| | | | | | | | | | | | | | | | | | |
| | | Tobacco 0.2% | |
| d,f | | Vector Group Ltd., senior note, 144A, 10.50%, 11/01/26 | | | United States | | | | 1,566,000 | | | | | | | | 1,568,477 | |
| | | | | | | | | | | | | | | | | | |
| | | Trading Companies & Distributors 0.1% | |
| f,h | | Aircastle Ltd., junior sub. note, 144A, 5.25% to 6/15/26, FRN thereafter, Perpetual | | | United States | | | | 25,000 | | | | | | | | 17,238 | |
| f | | Univar Solutions USA Inc., senior note, 144A, 5.125%, 12/01/27 | | | United States | | | | 518,000 | | | | | | | | 520,868 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 538,106 | |
| | | | | | | | | | | | | | | | | | |
| | | Transportation 0.1% | |
| | Canadian Pacific Railway Co., senior bond,
2.45%, 12/02/31 | | | Canada | | | | 992,000 | | | | | | | | 878,110 | |
| | 3.00%, 12/02/41 | | | Canada | | | | 59,000 | | | | | | | | 48,557 | |
| f | | SMBC Aviation Capital Finance DAC, senior note, 144A, 5.45%, 5/03/28 | | | Ireland | | | | 200,000 | | | | | | | | 199,432 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 1,126,099 | |
| | | | | | | | | | | | | | | | | | |
| | | Transportation Infrastructure 0.1% | |
| b,f | | Rand Parent LLC, senior secured note, 144A, 8.50%, 2/15/30 | | | United States | | | | 205,000 | | | | | | | | 177,453 | |
| | Union Pacific Corp., senior note, 4.75%, 2/21/26 | | | United States | | | | 720,000 | | | | | | | | 723,308 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 900,761 | |
| | | | | | | | | | | | | | | | | | |
| | | Wireless Telecommunication Services 0.0%† | |
| f | | Softbank Group Corp., senior bond, Reg S, 5.25%, 7/06/31 | | | Japan | | | | 200,000 | | | | | | | | 171,650 | |
| | | | | | | | | | | | | | | | | | |
| | Total Corporate Bonds and Notes (Cost $119,540,479) | | | | | | | | | | | | | | | 113,837,877 | |
| | | | | | | | | | | | | | | | | | |
| | | Corporate Bonds and Notes in Reorganization 0.2% | | | |
| | | Banks 0.1% | |
| l | | SVB Financial Group, senior note,
1.80%, 10/28/26 | | | United States | | | | 748,000 | | | | | | | | 520,417 | |
| | 2.10%, 5/15/28 | | | United States | | | | 418,000 | | | | | | | | 286,771 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 807,188 | |
| | | | | | | | | | | | | | | | | | |
| | | Media 0.0%† | |
| b,f,l | | WESCO Aircraft Holdings Inc., senior secured note, 144A, 8.50%, 11/15/24 | | | United States | | | | 644,000 | | | | | | | | 32,200 | |
| | | | | | | | | | | | | | | | | | |
| | | Metals & Mining 0.1% | |
| f,l | | Samarco Mineracao SA, senior bond, Reg S, | | | | | | | | | | | | | | | | |
| | 4.125%, 11/01/22 | | | Brazil | | | | 925,000 | | | | | | | | 516,844 | |
| | 5.75%, 10/24/23 | | | Brazil | | | | 184,000 | | | | | | | | 99,305 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 616,149 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | |
| 42 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | Country | | | Principal Amount* | | | Value | |
| | | Corporate Bonds and Notes in Reorganization (continued) | | | | | | | |
| | | Real Estate Management & Development 0.0%† | |
| f,l | | Kaisa Group Holdings Ltd., senior secured note, Reg S,
11.95%, 11/12/23 | | | China | | | | 200,000 | | | | | | | $ | 14,190 | |
| | 9.375%, 6/30/24 | | | China | | | | 205,000 | | | | | | | | 14,545 | |
| | 11.25%, 4/16/25 | | | China | | | | 1,292,000 | | | | | | | | 91,668 | |
| | 11.70%, 11/11/25 | | | China | | | | 200,000 | | | | | | | | 14,215 | |
| | 11.65%, 6/01/26 | | | China | | | | 200,000 | | | | | | | | 13,004 | |
| f,l | | Ronshine China Holdings Ltd., senior secured note, Reg S, 8.10%, 6/09/23 | | | China | | | | 200,000 | | | | | | | | 11,260 | |
| f,l | | Shimao Group Holdings Ltd., Reg S,
senior bond, 4.60%, 7/13/30 | | | China | | | | 400,000 | | | | | | | | 42,668 | |
| | senior secured note, 4.75%, 7/03/22 | | | China | | | | 200,000 | | | | | | | | 22,871 | |
| f,l | | Sunac China Holdings Ltd., Reg S,
senior note, 6.80%, 10/20/24 | | | China | | | | 300,000 | | | | | | | | 46,859 | |
| | senior secured note, 8.35%, 4/19/23 | | | China | | | | 200,000 | | | | | | | | 31,109 | |
| | senior secured note, 6.65%, 8/03/24 | | | China | | | | 200,000 | | | | | | | | 30,739 | |
| | senior secured note, 6.50%, 1/26/26 | | | China | | | | 200,000 | | | | | | | | 30,739 | |
| f,l | | Yuzhou Group Holdings Co. Ltd., senior secured note, Reg S,
8.375%, 10/30/24 | | | China | | | | 200,000 | | | | | | | | 9,627 | |
| | 7.70%, 2/20/25 | | | China | | | | 200,000 | | | | | | | | 12,160 | |
| | 7.85%, 8/12/26 | | | China | | | | 205,000 | | | | | | | | 7,175 | |
| | 6.35%, 1/13/27 | | | China | | | | 400,000 | | | | | | | | 21,716 | |
| l | | Zhenro Properties Group Ltd., senior note,
8.00%, 3/06/23 | | | China | | | | 981,000 | | | | | | | | 47,554 | |
| | f Reg S, 6.63%, 1/07/26 | | | China | | | | 403,000 | | | | | | | | 18,691 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 480,790 | |
| | | | | | | | | | | | | | | | | | |
| | Total Corporate Bonds and Notes in Reorganization (Cost $5,117,306) | | | | | | | | | | | | | | | 1,936,327 | |
| | | | | | | | | | | | | | | | | | |
| m,n | | Senior Floating Rate Interests 0.8% | |
| | | Communications Equipment 0.0%† | |
| k | | Riverbed Technology Inc., Exit Term Loan, PIK, 7.00% (cash), (1-Month USD LIBOR + 6.00%), 12/08/26 | | | United States | | | | 138,829 | | | | | | | | 37,276 | |
| | | | | | | | | | | | | | | | | | |
| | | Consumer Discretionary Services 0.1% | |
| | IRB Holding Corp., Term Loan B, 8.253%, (1-Month SOFR + 3.10%), 12/15/27 | | | United States | | | | 1,025,211 | | | | | | | | 996,638 | |
| | | | | | | | | | | | | | | | | | |
| | | Diversified Financial Services 0.0%† | |
| | MPH Acquisition Holdings LLC, Term Loan B, 9.726%, (3-Month USD LIBOR + 4.25%), 9/01/28 | | | United States | | | | 133,381 | | | | | | | | 112,707 | |
| | ZF Invest, Term Loan B, 7.05%, (3-Month EURIBOR + 3.93%), 7/12/28 | | | United States | | | | 73,053 | | | | | | | | 73,414 | |
| | Ziggo BV, Term Loan H, 6.102%, (3-Month EURIBOR + 3.00%), 1/31/29 | | | United States | | | | 115,000 | | | | | | | | 116,057 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 302,178 | |
| | | | | | | | | | | | | | | | | | |
| | | Entertainment 0.0%† | |
| | Playtika Holding Corp., Term Loan B, 7.904%, (1-Month USD LIBOR + 2.75%), 3/13/28 | | | United States | | | | 150,431 | | | | | | | | 147,840 | |
| | | | | | | | | | | | | | | | | | |
| | | Equity Real Estate Investment Trusts (REITs) 0.0%† | | | | | | | | | | | | |
| | McCarthy & Stone PLC, Term Loan B, 7.00%, (1-Month USD LIBOR + 7.00%), 12/16/25 | | | United Kingdom | | | | 170,938 | | | | GBP | | | | 196,956 | |
| | | | | | | | | | | | | | | | | | |
| | | Food & Staples Retailing 0.1% | | | | | | | | | | | | |
| | Areas, Term Loan B1, 7.186%, (3-Month EURIBOR + 4.75%), 7/01/26 | | | France | | | | 177,528 | | | | | | | | 174,299 | |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 43 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | Country | | | Principal Amount* | | | Value | |
| m,n | | Senior Floating Rate Interests (continued) | |
| | | Food & Staples Retailing (continued) | | | | | | | | | | | | |
| o | | Upfield Group BV, Term Loan RC, 6.213%, (3-Month EURIBOR + 3.00%), 1/02/25 | | | Netherlands | | | | 459,438 | | | | | | | $ | 443,212 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 617,511 | |
| | | | | | | | | | | | | | | | | | |
| | | Health Care Technology 0.0%† | |
| o | | OpenText Corp., Initial Term Loan, 8.753%, (1-Month SOFR + 3.60%), 1/31/30 | | | United States | | | | 1,771 | | | | | | | | 1,770 | |
| | | | | | | | | | | | | | | | | | |
| | | Hotels, Restaurants & Leisure 0.1% | |
| | Caesars Entertainment, Initial Term Loan, 8.503%, (1-Month SOFR + 2.71%), 1/23/30 | | | United States | | | | 44,000 | | | | | | | | 43,697 | |
| | Carnival Corp., Term Loan B,
8.154%, (1-Month USD LIBOR + 3.00%), 6/30/25 | | | United States | | | | 199,487 | | | | | | | | 198,178 | |
| | 8.404%, (1-Month USD LIBOR + 3.25%), 10/18/28 | | | United States | | | | 154,609 | | | | | | | | 150,421 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 392,296 | |
| | | | | | | | | | | | | | | | | | |
| | | Industrial Services 0.0%† | |
| | Atlas Air Worldwide Holdings Inc., Initial Term Loan, 9.127%, (3-Month SOFR + 4.25%), 2/09/30 | | | United States | | | | 215,000 | | | | | | | | 185,616 | |
| | | | | | | | | | | | | | | | | | |
| | | Insurance 0.0%† | |
| | AmWINS, Initial Term Loan, 8.003%, (1-Month SOFR + 2.16%), 2/19/28 | | | United States | | | | 44,888 | | | | | | | | 44,573 | |
| | | | | | | | | | | | | | | | | | |
| | | Leisure Products 0.0%† | |
| o | | Hercules Achievement Inc., Initial Term Loan, 10.268%, (1-Month SOFR + 5.00%), 12/15/26 | | | United States | | | | 46,786 | | | | | | | | 43,672 | |
| | | | | | | | | | | | | | | | | | |
| | | Media 0.1% | |
| o | | Advantage Sales & Marketing Inc., Term Loan B1, 9.719%, (3-Month USD LIBOR + 4.50%), 10/28/27 | | | United States | | | | 74,044 | | | | | | | | 66,628 | |
| | CSC Holdings LLC, Term Loan B,
o 7.357%, (1-Month USD LIBOR + 2.25%), 7/17/25 | | | United States | | | | 622,706 | | | | | | | | 573,357 | |
| | 9.559%, (1-Month USD LIBOR + 2.25%), 1/18/28 | | | United States | | | | 13,998 | | | | | | | | 12,405 | |
| | MH Sub I LLC, Term Loan B, 9.403%, (1-Month SOFR + 4.25%), 4/20/28 | | | United States | | | | 390,000 | | | | | | | | 370,291 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 1,022,681 | |
| | | | | | | | | | | | | | | | | | |
| | | Oil, Gas & Consumable Fuels 0.1% | |
| o | | Euro Garage Ltd., Term Loan B1, 6.752%, (3-Month EURIBOR + 4.00%), 2/07/25 | | | United States | | | | 354,131 | | | | | | | | 365,492 | |
| | | | | | | | | | | | | | | | | | |
| | | Pharmaceuticals 0.1% | |
| o | | Bausch Health Cos. Inc., Term Loan B, 10.416%, (1-Month SOFR + 5.25%), 2/01/27 | | | United States | | | | 562,992 | | | | | | | | 446,172 | |
| | | | | | | | | | | | | | | | | | |
| | | Road & Rail 0.0%† | |
| o | | Uber Technologies, Initial Term Loan,
7.656%, (3-Month SOFR + 2.75%), 2/27/30 | | | United States | | | | 69,693 | | | | | | | | 69,162 | |
| | 7.87%, (3-Month SOFR + 2.75%), 2/27/30 | | | United States | | | | 30,057 | | | | | | | | 29,827 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 98,989 | |
| | | | | | | | | | | | | | | | | | |
| | | Software 0.1% | |
| | Citrix Systems Inc., Term Loan B, 9.498%, (1-Month SOFR + 4.50%), 3/30/29 | | | United States | | | | 222,265 | | | | | | | | 206,333 | |
| | Polaris Newco LLC, First Lien Dollar Term Loan, 9.159%, (1-Month USD LIBOR + 4.00%), 6/02/28 | | | United States | | | | 1,025,198 | | | | | | | | 921,914 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 1,128,247 | |
| | | | | | | | | | | | | | | | | | |
| | | Specialty Retail 0.1% | |
| o | | Peloton Interactive Inc., Initial Term Loan, 12.263%, (1-Month SOFR + 6.50%), 5/25/27 | | | United States | | | | 409,486 | | | | | | | | 407,441 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | |
| 44 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | Country | | | Principal Amount* | | | Value | |
| m,n | | Senior Floating Rate Interests (continued) | |
| | | Telecommunications 0.0%† | |
| | CenturyLink Inc., Term Loan A, 7.268%, (1-Month USD LIBOR + 2.00%), 1/31/25 | | | United States | | | | 80,258 | | | | | | | $ | 75,192 | |
| | | | | | | | | | | | | | | | | | |
| | Total Senior Floating Rate Interests
(Cost $6,814,028) | | | | | | | | | | | | | | | 6,510,540 | |
| | | | | | | | | | | | | | | | | | |
| | | Foreign Government and Agency Securities 5.2% | | | | | | | | | | |
| f | | Government of Angola, senior bond, Reg S,
8.75%, 4/14/32 | | | Angola | | | | 490,000 | | | | | | | | 412,945 | |
| | 9.375%, 5/08/48 | | | Angola | | | | 1,903,000 | | | | | | | | 1,464,549 | |
| | Government of Argentina, senior bond,
3.875%, 1/09/38 | | | Argentina | | | | 4,149,557 | | | | | | | | 1,203,771 | |
| | 1.50%, 7/09/46 | | | Argentina | | | | 2,672,000 | | | | | | | | 634,813 | |
| | Government of Brazil, senior bond, 6.00%, 10/20/33 | | | Brazil | | | | 1,330,000 | | | | | | | | 1,306,483 | |
| | Government of Chile, senior bond, 6.00%, 4/01/33 | | | Chile | | | | 1,055,000,000 | | | | CLP | | | | 1,372,242 | |
| | Government of Colombia, senior bond,
2.25%, 4/18/29 | | | Colombia | | | | 5,228,297,097 | | | | COP | | | | 1,043,100 | |
| | B, 7.00%, 6/30/32 | | | Colombia | | | | 9,479,900,000 | | | | COP | | | | 1,637,878 | |
| | B, 13.25%, 2/09/33 | | | Colombia | | | | 3,728,800,000 | | | | COP | | | | 937,036 | |
| | 7.50%, 2/02/34 | | | Colombia | | | | 750,000 | | | | | | | | 720,820 | |
| | B, 7.25%, 10/26/50 | | | Colombia | | | | 5,887,400,000 | | | | COP | | | | 870,906 | |
| f | | Government of Costa Rica, senior bond, 144A, 6.55%, 4/03/34 | | | Costa Rica | | | | 450,000 | | | | | | | | 455,287 | |
| f | | Government of Dominican Republic,
senior bond, Reg S, 4.875%, 9/23/32 | | | Dominican Republic | | | | 661,000 | | | | | | | | 556,801 | |
| | senior note, 144A, 7.05%, 2/03/31 | | | Dominican Republic | | | | 864,000 | | | | | | | | 859,403 | |
| | Government of Egypt, senior bond,
7.625%, 5/29/32 | | | Egypt | | | | 2,043,000 | | | | | | | | 1,136,335 | |
| | f Reg S, 7.30%, 9/30/33 | | | Egypt | | | | 665,000 | | | | | | | | 358,210 | |
| f | | Government of El Salvador, senior bond, Reg S, 8.25%, 4/10/32 | | | El Salvador | | | | 2,023,000 | | | | | | | | 1,195,194 | |
| f | | Government of Germany, senior bond, Reg S,
1.70%, 8/15/32 | | | Germany | | | | 547,200 | | | | EUR | | | | 559,287 | |
| | zero cpn., 2/15/32 | | | Germany | | | | 155,660 | | | | EUR | | | | 137,622 | |
| f | | Government of Ghana, senior bond, Reg S, 10.75%, 10/14/30 | | | Ghana | | | | 2,108,000 | | | | | | | | 1,447,616 | |
| | Government of Hungary, senior bond, 6.00%, 11/24/23 | | | Hungary | | | | 69,200,000 | | | | HUF | | | | 192,244 | |
| | Government of Indonesia,
senior bond, 7.125%, 6/15/38 | | | Indonesia | | | | 22,940,000,000 | | | | IDR | | | | 1,608,034 | |
| | senior note, 6.375%, 8/15/28 | | | Indonesia | | | | 2,910,000,000 | | | | IDR | | | | 197,349 | |
| | Government of Italy, senior note, 2.375%, 10/17/24 | | | Italy | | | | 350,000 | | | | | | | | 334,994 | |
| | Government of Mexico, senior bond,
M, 7.75%, 5/29/31 | | | Mexico | | | | 23,890,000p | | | | MXN | | | | 1,268,713 | |
| | M, 7.75%, 11/13/42 | | | Mexico | | | | 21,580,000p | | | | MXN | | | | 1,074,407 | |
| | 6.338%, 5/04/53 | | | Mexico | | | | 1,319,000 | | | | | | | | 1,325,971 | |
| | Government of Nigeria, senior bond,
8.747%, 1/21/31 | | | Nigeria | | | | 338,000 | | | | | | | | 283,835 | |
| | f Reg S, 7.625%, 11/28/47 | | | Nigeria | | | | 1,635,000 | | | | | | | | 1,079,149 | |
| | f Reg S, 7.875%, 2/16/32 | | | Nigeria | | | | 585,000 | | | | | | | | 460,953 | |
| f | | Government of Pakistan, senior bond, Reg S, 8.875%, 4/08/51 | | | Pakistan | | | | 835,000 | | | | | | | | 294,327 | |
| | Government of Peru, senior note,
7.30%, 8/12/33 | | | Peru | | | | 4,530,000 | | | | PEN | | | | 1,230,905 | |
| | f Reg S, 8.20%, 8/12/26 | | | Peru | | | | 2,977,000 | | | | PEN | | | | 863,007 | |
| | Government of Poland, senior bond, 5.50%, 4/04/53 | | | Poland | | | | 886,000 | | | | | | | | 893,088 | |
| | Government of Romania, senior bond,
f 144A, 7.625%, 1/17/53 | | | Romania | | | | 1,596,000 | | | | | | | | 1,696,877 | |
| | 4.25%, 4/28/36 | | | Romania | | | | 2,145,000 | | | | RON | | | | 350,243 | |
| | 7.625%, 1/17/53 | | | Romania | | | | 232,000 | | | | | | | | 246,664 | |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 45 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | Country | | | Principal Amount* | | | Value | |
| | | Foreign Government and Agency Securities (continued) | |
| | Government of South Africa, senior bond,
8.25%, 3/31/32 | | | South Africa | | | | 43,237,419 | | | | ZAR | | | $ | 1,761,401 | |
| | 8.875%, 2/28/35 | | | South Africa | | | | 4,120,000 | | | | ZAR | | | | 163,672 | |
| | 8.50%, 1/31/37 | | | South Africa | | | | 15,191,496 | | | | ZAR | | | | 564,825 | |
| | 7.30%, 4/20/52 | | | South Africa | | | | 2,400,000 | | | | | | | | 1,928,825 | |
| f | | Government of Tunisian Republic, senior note, Reg S, 5.625%, 2/17/24 | | | Tunisia | | | | 1,874,000 | | | | EUR | | | | 1,619,673 | |
| | Government of Turkey, senior bond, 5.75%, 5/11/47 | | | Turkey | | | | 961,000 | | | | | | | | 632,711 | |
| f | | Government of Ukraine, Reg S,
senior bond, 7.75%, 9/01/26 | | | Ukraine | | | | 1,198,000 | | | | | | | | 232,999 | |
| | senior bond, zero cpn., 8/01/41 | | | Ukraine | | | | 9,537,000 | | | | | | | | 2,789,573 | |
| | senior note, 8.994%, 2/01/26 | | | Ukraine | | | | 200,000 | | | | | | | | 40,208 | |
| f | | Government of Zambia, Reg S,
senior bond, 5.375%, 9/20/22 | | | Zambia | | | | 551,000 | | | | | | | | 250,507 | |
| | senior bond, 8.97%, 7/30/27 | | | Zambia | | | | 302,000 | | | | | | | | 148,358 | |
| f | | Provincia de Buenos Aires, senior bond, Reg S, 5.25%, 9/01/37 | | | Argentina | | | | 4,620,775 | | | | | | | | 1,483,970 | |
| | | | | | | | | | | | | | | | | | |
| | Total Foreign Government and Agency Securities (Cost $42,766,999) | | | | | | | | | | | | | | | 43,327,780 | |
| | | | | | | | | | | | | | | | | | |
| | | U.S. Government and Agency Securities 1.8% | | | |
| | U.S. Treasury Bond,
3.875%, 2/15/43 | | | United States | | | | 237,000 | | | | | | | | 232,704 | |
| | 2.875%, 5/15/52 | | | United States | | | | 1,325,700 | | | | | | | | 1,098,156 | |
| | 3.625%, 2/15/53 | | | United States | | | | 1,815,000 | | | | | | | | 1,743,818 | |
| | U.S. Treasury Note,
4.375%, 10/31/24 | | | United States | | | | 1,830,000 | | | | | | | | 1,818,634 | |
| | 4.50%, 11/30/24 | | | United States | | | | 2,415,000 | | | | | | | | 2,405,283 | |
| | 4.25%, 12/31/24 | | | United States | | | | 740,000 | | | | | | | | 734,725 | |
| | 3.875%, 3/31/25 | | | United States | | | | 484,000 | | | | | | | | 478,441 | |
| | 3.875%, 4/30/25 | | | United States | | | | 238,000 | | | | | | | | 235,425 | |
| | 4.25%, 5/31/25 | | | United States | | | | 47,000 | | | | | | | | 46,871 | |
| | 3.625%, 5/15/26 | | | United States | | | | 205,000 | | | | | | | | 202,630 | |
| | 4.125%, 10/31/27 | | | United States | | | | 3,625,000 | | | | | | | | 3,663,091 | |
| | 3.625%, 3/31/28 | | | United States | | | | 763,000 | | | | | | | | 757,248 | |
| | 3.625%, 5/31/28 | | | United States | | | | 313,000 | | | | | | | | 311,239 | |
| | 4.00%, 10/31/29 | | | United States | | | | 57,000 | | | | | | | | 57,810 | |
| | 3.50%, 2/15/33 | | | United States | | | | 801,300 | | | | | | | | 791,910 | |
| | 3.375%, 5/15/33 | | | United States | | | | 677,000 | | | | | | | | 662,561 | |
| | | | | | | | | | | | | | | | | | |
| | Total U.S. Government and Agency Securities (Cost $15,211,580) | | | | | | | | | | | | | | | 15,240,546 | |
| | | | | | | | | | | | | | | | | | |
| | | Asset-Backed Securities and Commercial
Mortgage-Backed Securities 1.8% | | | | | | | | | | | | |
| | | Diversified Financial Services 1.1% | |
| f | | AASET Trust, 144A,
2021-1A, A, 2.95%, 11/16/41 | | | United States | | | | 194,434 | | | | | | | | 175,515 | |
| | 2021-2A, A, 2.798%, 1/15/47 | | | United States | | | | 232,738 | | | | | | | | 199,610 | |
| | 2022-1A, A, 6.00%, 5/16/47 | | | United States | | | | 457,987 | | | | | | | | 446,401 | |
| f | | Accelerated Assets LLC, 2018-1, B, 144A, 4.51%, 12/02/33 | | | United States | | | | 28,239 | | | | | | | | 27,110 | |
| f | | ACHV ABS Trust, 2023-1PL, D, 144A, 8.47%, 3/18/30 | | | United States | | | | 100,000 | | | | | | | | 100,920 | |
| f | | Adams Outdoor Advertising LP, 2018-1, A, 144A, 4.81%, 11/15/48 | | | United States | | | | 160,929 | | | | | | | | 153,069 | |
| f | | Affirm Asset Securitization Trust, 2023-A, C, 144A, 8.12%, 1/18/28 | | | United States | | | | 100,000 | | | | | | | | 99,222 | |
| f,n | | AGL CLO 3 Ltd., 2020-3A, C, 144A, FRN, 7.41%, (3-Month USD LIBOR + 2.15%), 1/15/33 | | | United States | | | | 285,000 | | | | | | | | 275,141 | |
| f | | AIM Aviation Finance Ltd., 2015-1A, B1, 144A, 7.072%, 2/15/40 | | | United States | | | | 170,624 | | | | | | | | 34,728 | |
| f | | Applebee’s Funding LLC / Ihop Funding LLC, 2023-1A, A2, 144A, 7.824%, 3/05/53 | | | United States | | | | 140,000 | | | | | | | | 140,456 | |
| | | | | | | | | | |
| | | | | | |
| 46 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | Country | | | Principal Amount* | | | Value | |
| | | Asset-Backed Securities and Commercial
Mortgage-Backed Securities (continued) | | | | | | | | | | | | |
| | | Diversified Financial Services (continued) | |
| f | | Avis Budget Rental Car Funding AESOP LLC, 144A,
2020-2A, C, 4.25%, 2/20/27 | | | United States | | | | 100,000 | | | | | | | $ | 93,602 | |
| | 2023-4A, C, 7.24%, 6/20/29 | | | United States | | | | 100,000 | | | | | | | | 99,586 | |
| f,q | | Binom Securitization Trust, 2022-RPL1, M1, 144A, FRN, 3.00%, 2/25/61 | | | United States | | | | 160,000 | | | | | | | | 119,159 | |
| f | | Blackbird Capital Aircraft Lease Securitization Ltd., 2016-1A, A, 144A, 4.213%, 12/16/41 | | | United States | | | | 161,135 | | | | | | | | 148,030 | |
| | Carmax Auto Owner Trust, 2023-1, D, 6.27%, 11/15/29 | | | United States | | | | 120,000 | | | | | | | | 119,383 | |
| f,n | | Connecticut Avenue Securities Trust, 2021-R01, 1B1, 144A, FRN, 8.073%, (SOFR + 3.10%), 10/25/41 | | | United States | | | | 100,000 | | | | | | | | 98,010 | |
| f | | CoreVest American Finance Trust, 2019-2, B, 144A, 3.424%, 6/15/52 | | | United States | | | | 100,000 | | | | | | | | 90,534 | |
| f | | Credit Acceptance Auto Loan Trust, 2023-1A, C, 144A, 7.71%, 7/15/33 | | | United States | | | | 250,000 | | | | | | | | 254,565 | |
| f | | Diamond Resorts Owner Trust, 2019-1A, B, 144A, 3.53%, 2/20/32 | | | United States | | | | 17,879 | | | | | | | | 17,049 | |
| f | | DT Auto Owner Trust, 144A,
2023-1A, D, 6.44%, 11/15/28 | | | United States | | | | 100,000 | | | | | | | | 99,809 | |
| | 2023-2A, D, 6.62%, 2/15/29 | | | United States | | | | 110,000 | | | | | | | | 109,891 | |
| f | | Education Funding Trust, 2020-A, A, 144A, 2.79%, 7/25/41 | | | United States | | | | 63,629 | | | | | | | | 58,719 | |
| f | | EWC Master Issuer LLC, 2022-1A, A2, 144A, 5.50%, 3/15/52 | | | United States | | | | 307,675 | | | | | | | | 287,908 | |
| | Exeter Automobile Receivables Trust,
f 2020-2A, D, 144A, 4.73%, 4/15/26 | | | United States | | | | 90,000 | | | | | | | | 89,230 | |
| | 2023-2A, D, 6.32%, 8/15/29 | | | United States | | | | 100,000 | | | | | | | | 99,587 | |
| f | | Firstkey Homes Trust, 2020-SFR2, E, 144A, 2.668%, 10/19/37 | | | United States | | | | 100,000 | | | | | | | | 91,345 | |
| f | | Flagship Credit Auto Trust, 2019-4, D, 144A, 3.12%, 1/15/26 | | | United States | | | | 90,000 | | | | | | | | 86,977 | |
| f | | Hertz Vehicle Financing III LLC, 2022-3A, D, 144A, 6.31%, 3/25/25 | | | United States | | | | 250,000 | | | | | | | | 245,081 | |
| f | | Horizon Aircraft Finance I Ltd., 2018-1, A, 144A, 4.458%, 12/15/38 | | | United States | | | | 195,205 | | | | | | | | 170,316 | |
| f | | Horizon Aircraft Finance III Ltd., 2019-2, A, 144A, 3.425%, 11/15/39 | | | United States | | | | 222,449 | | | | | | | | 178,514 | |
| f | | Kestrel Aircraft Funding Ltd., 2018-1A, A, 144A, 4.25%, 12/15/38 | | | United States | | | | 193,198 | | | | | | | | 166,141 | |
| f | | Maps Trust, 2021-1A, A, 144A, 2.521%, 6/15/46 | | | United States | | | | 272,768 | | | | | | | | 238,525 | |
| f | | Mercury Financial Credit Card Master Trust, 2023-1A, B, 144A, 9.59%, 9/20/27 | | | United States | | | | 100,000 | | | | | | | | 97,734 | |
| f | | Merlin Aviation Holdings DAC, 2016-1, A, 144A, 4.50%, 12/15/32 | | | United States | | | | 218,353 | | | | | | | | 191,915 | |
| f,q | | Mill City Mortgage Loan Trust, 2021-NMR1, M3, 144A, FRN, 2.50%, 11/25/60 | | | United States | | | | 100,000 | | | | | | | | 81,105 | |
| f | | MVW Owner Trust, 144A,
2019-1A, C, 3.33%, 11/20/36 | | | United States | | | | 30,542 | | | | | | | | 28,733 | |
| | 2023-1A, C, 6.54%, 10/20/40 | | | United States | | | | 98,277 | | | | | | | | 97,517 | |
| f,n | | Neuberger Berman Loan Advisers CLO Ltd., 2018-27A, E, 144A, FRN, 10.46%, (3-Month USD LIBOR + 5.20%), 1/15/30 | | | United States | | | | 350,000 | | | | | | | | 304,683 | |
| f,n | | OCP CLO Ltd., 2021-21A, D, 144A, FRN, 8.20%, (3-Month USD LIBOR + 2.95%), 7/20/34 | | | United States | | | | 330,000 | | | | | | | | 301,674 | |
| f,n | | OHA Credit Funding 4 Ltd., 2021-4A, ER, 144A, FRN, 11.673%, (3-Month USD LIBOR + 6.40%), 10/22/36 | | | United States | | | | 310,000 | | | | | | | | 287,897 | |
| f | | OneMain Financial Issuance Trust, 2020-2A, C, 144A, 2.76%, 9/14/35 | | | United States | | | | 100,000 | | | | | | | | 87,953 | |
| f,n | | Post CLO Ltd., 2023-1A, A, 144A, FRN, 6.829%, (3-Month SOFR + 1.95%), 4/20/36 | | | United States | | | | 250,000 | | | | | | | | 250,155 | |
| f | | Prestige Auto Receivables Trust, 144A,
2019-1A, E, 3.90%, 5/15/26 | | | United States | | | | 100,000 | | | | | | | | 98,706 | |
| | 2020-1A, E, 3.67%, 2/15/28 | | | United States | | | | 100,000 | | | | | | | | 97,223 | |
| f | | Progress Residential Trust, 144A,
2020-SFR3, D, 1.896%, 10/17/27 | | | United States | | | | 325,000 | | | | | | | | 292,581 | |
| | 2021-SFR4, F, 3.407%, 5/17/38 | | | United States | | | | 230,000 | | | | | | | | 199,983 | |
| | 2021-SFR7, F, 3.834%, 8/17/40 | | | United States | | | | 260,000 | | | | | | | | 208,371 | |
| | 2023-SFR1, C, 4.65%, 3/17/40 | | | United States | | | | 120,000 | | | | | | | | 113,287 | |
| | 2023-SFR1, D, 4.65%, 3/17/40 | | | United States | | | | 120,000 | | | | | | | | 109,395 | |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 47 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | Country | | | Principal Amount* | | | Value | |
| | | Asset-Backed Securities and Commercial
Mortgage-Backed Securities (continued) | | | | | | | | | | | | |
| | | Diversified Financial Services (continued) | |
| f | | SCF Equipment Leasing LLC, 2021-1A, E, 144A, 3.56%, 8/20/32 | | | United States | | | | 100,000 | | | | | | | $ | 91,876 | |
| f | | Sierra Timeshare Receivables Funding LLC, 2021-1A, C, 144A, 1.79%, 11/20/37 | | | United States | | | | 87,123 | | | | | | | | 80,128 | |
| n | | SLM Private Credit Student Loan Trust, 2003-B, A3, FRN, 2.806%, (28-Day T-Bill + 1.00%), 3/15/33 | | | United States | | | | 100,000 | | | | | | | | 98,017 | |
| f | | Stack Infrastructure Issuer LLC, 2019-1A, A2, 144A, 4.54%, 2/25/44 | | | United States | | | | 87,891 | | | | | | | | 86,334 | |
| f,n | | Starwood Retail Property Trust, 2014-STAR, E, 144A, FRN, 9.508%, (1-Month USD LIBOR + 4.40%), 11/15/27 | | | United States | | | | 200,000 | | | | | | | | 875 | |
| f | | Sunnova Helios X Issuer LLC, 2022-C, C, 144A, 6.00%, 11/22/49 | | | United States | | | | 110,803 | | | | | | | | 93,978 | |
| f | | Sunnova Helios XI Issuer LLC, 2023-A, B, 144A, 5.60%, 5/20/50 | | | United States | | | | 100,000 | | | | | | | | 94,290 | |
| f,q | | Towd Point Mortgage Trust, 2018-5, M1, 144A, FRN, 3.25%, 7/25/58 | | | United States | | | | 100,000 | | | | | | | | 81,174 | |
| f | | VCAT LLC, 144A,
2021-NPL1, A1, 2.289%, 12/26/50 | | | United States | | | | 33,933 | | | | | | | | 32,505 | |
| | 2021-NPL5, A1, 1.868%, 8/25/51 | | | United States | | | | 69,930 | | | | | | | | 63,765 | |
| | 2021-NPL6, A1, 1.917%, 9/25/51 | | | United States | | | | 76,046 | | | | | | | | 70,122 | |
| f | | VOLT XCII LLC, 2021-NPL1, A1, 144A, 1.893%, 2/27/51 | | | United States | | | | 77,817 | | | | | | | | 71,139 | |
| f | | VOLT XCIV LLC, 144A,
2021-NPL3, A1, 2.24%, 2/27/51 | | | United States | | | | 200,481 | | | | | | | | 186,804 | |
| | 2021-NPL3, A2, 4.949%, 2/27/51 | | | United States | | | | 215,000 | | | | | | | | 194,758 | |
| f | | Wave Trust, 2017-1A, A, 144A, 3.844%, 11/15/42 | | | United States | | | | 136,812 | | | | | | | | 108,083 | |
| f | | Westlake Automobile Receivables Trust, 144A,
2023-1A, D, 6.79%, 11/15/28 | | | United States | | | | 100,000 | | | | | | | | 100,501 | |
| | 2023-2A, D, 7.01%, 11/15/28 | | | United States | | | | 280,000 | | | | | | | | 283,062 | |
| f | | Willis Engine Structured Trust IV, 2018-A, B, 144A, 5.438%, 9/15/43 | | | United States | | | | 189,756 | | | | | | | | 146,363 | |
| f | | Willis Engine Structured Trust VI, 144A,
2021-A, A, 3.104%, 5/15/46 | | | United States | | | | 255,045 | | | | | | | | 203,812 | |
| | 2021-A, B, 5.438%, 5/15/46 | | | United States | | | | 352,426 | | | | | | | | 245,861 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 9,796,492 | |
| | | | | | | | | | | | | | | �� | | | |
| | | Mortgage Real Estate Investment Trusts (REITs) 0.7% | | | | | | | | | | | | |
| f | | 510 Asset Backed Trust, 2021-NPL1, A1, 144A, 2.24%, 6/25/61 | | | United States | | | | 90,574 | | | | | | | | 84,199 | |
| n | | American Home Mortgage Investment Trust, 2006-1, 11A1, FRN, 5.418%, (1-Month USD LIBOR + 0.28%), 3/25/46 | | | United States | | | | 113,927 | | | | | | | | 98,383 | |
| | Banc of America Alternative Loan Trust, 2003-8, 1CB1, 5.50%, 10/25/33 | | | United States | | | | 2,600 | | | | | | | | 2,517 | |
| | Banc of America Funding Trust, 2007-4, 5A1, 5.50%, 11/25/34 | | | United States | | | | 23,194 | | | | | | | | 20,799 | |
| q | | Banc of America Mortgage Trust, 2005-A, 2A1, FRN, 3.883%, 2/25/35 | | | United States | | | | 1,762 | | | | | | | | 1,705 | |
| q | | Bear Stearns ALT-A Trust, 2006-3, 21A1, FRN, 3.829%, 5/25/36 | | | United States | | | | 986,339 | | | | | | | | 767,766 | |
| f,n | | BPR Trust, 2021-NRD, F, 144A, FRN, 11.927%, (SOFR + 6.87%), 12/15/38 | | | United States | | | | 140,000 | | | | | | | | 124,638 | |
| q | | CHL Mortgage Pass-Through Trust, 2006-HYB4, 3B, FRN, 4.037%, 6/20/36 | | | United States | | | | 1,378,000 | | | | | | | | 1,045,002 | |
| f | | CIM Trust, 2021-NR2, A1, 144A, 2.568%, 7/25/59 | | | United States | | | | 106,976 | | | | | | | | 102,563 | |
| f,q | | Citigroup Commercial Mortgage Trust, 2014-GC21, D, 144A, FRN, 4.941%, 5/10/47 | | | United States | | | | 330,000 | | | | | | | | 223,649 | |
| f,q | | Citigroup Mortgage Loan Trust, 2009-10, 6A2, 144A, FRN, 4.011%, 9/25/34 | | | United States | | | | 17,912 | | | | | | | | 17,782 | |
| | Countrywide Alternative Loan Trust,
2003-22CB, 1A1, 5.75%, 12/25/33 | | | United States | | | | 21,499 | | | | | | | | 21,359 | |
| | 2004-16CB, 1A1, 5.50%, 7/25/34 | | | United States | | | | 10,362 | | | | | | | | 10,006 | |
| | 2004-16CB, 3A1, 5.50%, 8/25/34 | | | United States | | | | 9,570 | | | | | | | | 9,271 | |
| | 2004-J10, 2CB1, 6.00%, 9/25/34 | | | United States | | | | 26,435 | | | | | | | | 25,733 | |
| | 2005-J1, 2A1, 5.50%, 2/25/25 | | | United States | | | | 796 | | | | | | | | 774 | |
| q | | Countrywide Home Loans Mortgage Pass-Through Trust, 2004-HYB4, 2A1, FRN, 4.151%, 9/20/34 | | | United States | | | | 32,255 | | | | | | | | 29,264 | |
| | | | | | | | | | |
| | | | | | |
| 48 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | Country | | | Principal Amount* | | | Value | |
| | | Asset-Backed Securities and Commercial
Mortgage-Backed Securities (continued) | | | | | | | | | | | | |
| | | Mortgage Real Estate Investment Trusts (REITs) (continued) | | | | | | | | | | | | |
| | Credit Suisse First Boston Mortgage Securities Corp., 2003-27, 4A4, 5.75%, 11/25/33 | | | United States | | | | 10,693 | | | | | | | $ | 10,402 | |
| f | | CSMC OA LLC, 2014-USA, E, 144A, 4.373%, 9/15/37 | | | United States | | | | 400,000 | | | | | | | | 213,597 | |
| f | | CSMC Trust, 144A,
q 2020-RPL3, A1, FRN, 2.691%, 3/25/60 | | | United States | | | | 83,671 | | | | | | | | 81,865 | |
| | 2021-RPL1, A2, 3.937%, 9/27/60 | | | United States | | | | 155,000 | | | | | | | | 141,459 | |
| n | | DSLA Mortgage Loan Trust, 2005-AR5, 2A1A, FRN, 5.462%, (1-Month USD LIBOR + 0.66%), 9/19/45 | | | United States | | | | 27,317 | | | | | | | | 16,414 | |
| f,n | | Extended Stay America Trust, 144A, FRN,
2021-E, B, 6.488%, (1-Month USD LIBOR + 1.38%), 7/15/38 | | | United States | | | | 118,800 | | | | | | | | 115,785 | |
| | 2021-E, F, 8.808%, (1-Month USD LIBOR + 3.70%), 7/15/38 | | | United States | | | | 97,377 | | | | | | | | 92,814 | |
| f | | GS Mortgage Securities Corp. Trust, 144A,
2012-BWTR, A, 2.954%, 11/05/34 | | | United States | | | | 135,000 | | | | | | | | 91,376 | |
| | q 2013-PEMB, A, FRN, 3.55%, 3/05/33 | | | United States | | | | 135,000 | | | | | | | | 118,632 | |
| q | | GS Mortgage Securities Trust, FRN,
f 2011-GC5, C, 144A, 5.153%, 8/10/44 | | | United States | | | | 100,000 | | | | | | | | 71,526 | |
| | f 2011-GC5, D, 144A, 5.153%, 8/10/44 | | | United States | | | | 195,000 | | | | | | | | 63,738 | |
| | 2014-GC18, B, 4.885%, 1/10/47 | | | United States | | | | 100,000 | | | | | | | | 83,228 | |
| | GSR Mortgage Loan Trust,
2005-4F, 6A1, 6.50%, 2/25/35 | | | United States | | | | 6,755 | | | | | | | | 6,390 | |
| | q 2005-AR6, 4A5, FRN, 4.159%, 9/25/35 | | | United States | | | | 19,492 | | | | | | | | 18,143 | |
| n | | Harborview Mortgage Loan Trust, 2004-11, 2A2A, FRN, 5.772%, (1-Month USD LIBOR + 0.64%), 1/19/35 | | | United States | | | | 53,799 | | | | | | | | 45,011 | |
| | IndyMac INDX Mortgage Loan Trust, FRN,
n 2004-AR7, A5, 6.358%, (1-Month USD LIBOR + 1.22%), 9/25/34 | | | United States | | | | 29,326 | | | | | | | | 25,970 | |
| | q 2005-AR11, A3, 3.46%, 8/25/35 | | | United States | | | | 32,216 | | | | | | | | 25,991 | |
| | JPMorgan Mortgage Trust,
2004-S1, 2A1, 6.00%, 9/25/34 | | | United States | | | | 45,641 | | | | | | | | 44,646 | |
| | q 2007-A1, 4A2, FRN, 3.938%, 7/25/35 | | | United States | | | | 630 | | | | | | | | 622 | |
| n | | Lehman XS Trust, 2006-2N, 1A1, FRN, 5.658%, (1-Month USD LIBOR + 0.52%), 2/25/46 | | | United States | | | | 23,965 | | | | | | | | 21,230 | |
| | MASTR Alternative Loan Trust,
2004-2, 8A4, 5.50%, 3/25/34 | | | United States | | | | 96,018 | | | | | | | | 87,739 | |
| | 2004-8, 2A1, 6.00%, 9/25/34 | | | United States | | | | 19,928 | | | | | | | | 19,271 | |
| f,n | | Med Trust, 144A, FRN, | | | | | | | | | | | | | | | | |
| | 2021-MDLN, C, 6.908%, (1-Month USD LIBOR + 1.80%), 11/15/38 | | | United States | | | | 124,403 | | | | | | | | 119,830 | |
| | 2021-MDLN, D, 7.108%, (1-Month USD LIBOR + 2.00%), 11/15/38 | | | United States | | | | 99,522 | | | | | | | | 95,264 | |
| q | | Merrill Lynch Mortgage Investors MLCC, 2006-2, 2A, FRN, 4.568%, 5/25/36 | | | United States | | | | 957 | | | | | | | | 938 | |
| q | | Morgan Stanley Bank of America Merrill Lynch Trust, 2013-C11, B, FRN, 4.351%, 8/15/46 | | | United States | | | | 200,000 | | | | | | | | 136,986 | |
| f,q | | Morgan Stanley Capital I Trust, 2011-C2, E, 144A, FRN, 5.211%, 6/15/44 | | | United States | | | | 150,000 | | | | | | | | 108,852 | |
| f,q | | MSBAM Commercial Mortgage Securities Trust, 2012-CKSV, C, 144A, FRN, 4.28%, 10/15/30 | | | United States | | | | 340,000 | | | | | | | | 233,927 | |
| f,q | | PRPM LLC, 2021-2, A2, 144A, FRN, 3.77%, 3/25/26 | | | United States | | | | 130,000 | | | | | | | | 116,548 | |
| q | | RFMSI Trust, 2005-SA1, 1A1, FRN, 4.415%, 3/25/35 | | | United States | | | | 73,391 | | | | | | | | 41,685 | |
| n | | Structured ARM Loan Trust, 2005-14, A1, FRN, 5.448%, (1-Month USD LIBOR + 0.31%), 7/25/35 | | | United States | | | | 146,870 | | | | | | | | 95,086 | |
| f | | Toorak Mortgage Corp. Ltd., 2021-1, A1, 144A, 2.24%, 6/25/24 | | | United States | | | | 190,000 | | | | | | | | 183,405 | |
| | Wells Fargo Commercial Mortgage Trust,
q 2013-LC12, B, FRN, 4.254%, 7/15/46 | | | United States | | | | 190,000 | | | | | | | | 144,551 | |
| | 2014-LC16, C, 4.458%, 8/15/50
| | | United States | | | | 215,000 | | | | | | | | 97,831 | |
| | q 2016-C36, B, FRN, 3.671%, 11/15/59
| | | United States | | | | 100,000 | | | | | | | | 84,156 | |
| | q 2016-C36, C, FRN, 4.12%, 11/15/59
| | | United States | | | | 100,000 | | | | | | | | 73,848 | |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 49 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | Country | | | Principal Amount* | | | Value | |
| | | Asset-Backed Securities and Commercial
Mortgage-Backed Securities (continued) | | | | | | | | | | | | |
| | | Mortgage Real Estate Investment Trusts (REITs) (continued) | | | | | | | | | | | | |
| q | | WFRBS Commercial Mortgage Trust, FRN,
e,f 2011-C3, D, 144A, 5.855%, 3/15/44 | | | United States | | | | 65,459 | | | | | | | $ | 13,583 | |
| | f 2011-C4, E, 144A, 4.846%, 6/15/44 | | | United States | | | | 120,000 | | | | | | | | 84,487 | |
| | 2014-C24, B, 4.204%, 11/15/47 | | | United States | | | | 100,000 | | | | | | | | 91,981 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 5,704,217 | |
| | | | | | | | | | | | | | | | | | |
| | Total Asset-Backed Securities and Commercial Mortgage-Backed Securities (Cost $16,844,462) | | | | | | | | | | | | | | | 15,500,709 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | Number of
Contracts | | | Notional Amount# | | | | |
| | | Options Purchased 0.6% | | | |
| | | Calls – Exchange-Traded 0.1% | | | |
| | Activision Blizzard Inc., June Strike Price $85.00, Expires 6/16/23 | | | 32 | | | | 256,640 | | | | | | | | 1,280 | |
| | Activision Blizzard Inc., June Strike Price $85.00, Expires 6/23/23 | | | 86 | | | | 689,720 | | | | | | | | 4,988 | |
| | Activision Blizzard Inc., November Strike Price $90.00, Expires 11/17/23 | | | 129 | | | | 1,034,580 | | | | | | | | 40,893 | |
| | Amyris Inc., June Strike Price $3.00, Expires 6/16/23 | | | 75 | | | | 6,327 | | | | | | | | 750 | |
| | Amyris Inc., January Strike Price $3.00, Expires 1/19/24 | | | 15 | | | | 1,265 | | | | | | | | 150 | |
| | Anywhere Real Estate Inc., September Strike Price $7.50, Expires 9/15/23 | | | 41 | | | | 24,887 | | | | | | | | 1,435 | |
| | Anywhere Real Estate Inc., December Strike Price $7.50, Expires 12/15/23 | | | 21 | | | | 12,747 | | | | | | | | 1,260 | |
| | Bioxcel Therapeutics Inc., July Strike Price $25.00, Expires 7/21/23 | | | 66 | | | | 118,404 | | | | | | | | 6,270 | |
| | CBOE Volatility Index, June Strike Price $21.00, Expires 6/21/23 | | | 66 | | | | 118,404 | | | | | | | | 7,128 | |
| | CBOE Volatility Index, June Strike Price $22.00, Expires 6/21/23 | | | 56 | | | | 100,464 | | | | | | | | 5,152 | |
| | CBOE Volatility Index, June Strike Price $23.00, Expires 6/21/23 | | | 51 | | | | 91,494 | | | | | | | | 4,080 | |
| | CBOE Volatility Index, June Strike Price $24.00, Expires 6/21/23 | | | 301 | | | | 539,994 | | | | | | | | 21,672 | |
| | CBOE Volatility Index, July Strike Price $22.00, Expires 7/19/23 | | | 54 | | | | 96,876 | | | | | | | | 10,584 | |
| | CBOE Volatility Index, July Strike Price $23.00, Expires 7/19/23 | | | 57 | | | | 102,258 | | | | | | | | 9,918 | |
| | CBOE Volatility Index, July Strike Price $24.00, Expires 7/19/23 | | | 51 | | | | 91,494 | | | | | | | | 8,058 | |
| | CBOE Volatility Index, July Strike Price $25.00, Expires 7/19/23 | | | 168 | | | | 1,205,568 | | | | | | | | 24,024 | |
| | CBOE Volatility Index, August Strike Price $23.00, Expires 8/16/23 | | | 50 | | | | 89,700 | | | | | | | | 12,200 | |
| | Ebix Inc., June Strike Price $20.00, Expires 6/16/23 | | | 133 | | | | 264,936 | | | | | | | | 20,615 | |
| | Ebix Inc., September Strike Price $20.00, Expires 9/15/23 | | | 594 | | | | 1,183,248 | | | | | | | | 273,240 | |
| | E-mini S&P 500, June Strike Price $5,100.00, Expires 6/16/23 | | | 2 | | | | 419,050 | | | | | | | | 5 | |
| | Esperion Therapeutics Inc., September Strike Price $2.50, Expires 9/15/23 | | | 1,127 | | | | 153,272 | | | | | | | | 28,175 | |
| | Horizon Therapeutics PLC, June Strike Price $115.00, Expires 6/16/23 | | | 102 | | | | 1,020,306 | | | | | | | | 102 | |
| | Horizon Therapeutics PLC, August Strike Price $110.00, Expires 8/18/23 | | | 119 | | | | 1,190,357 | | | | | | | | 14,875 | |
| | iShares 20+ Year Treasury Bond ETF, July Strike Price $115.00, Expires 7/21/23 | | | 204 | | | | 2,100,996 | | | | | | | | 5,100 | |
| | iShares 20+ Year Treasury Bond ETF, July Strike Price $120.00, Expires 7/21/23 | | | 309 | | | | 3,182,391 | | | | | | | | 4,017 | |
| | Light & Wonder Inc., July Strike Price $65.00, Expires 7/21/23
| | | 311 | | | | 1,812,819 | | | | | | | | 29,545 | |
| | Manchester United PLC, June Strike Price $25.00, Expires 6/16/23
| | | 204 | | | | 394,128 | | | | | | | | 19,380 | |
| | Microchip Technology Inc., January Strike Price $97.50, Expires 1/19/24 | | | 3 | | | | 22,578 | | | | | | | | 697 | |
| | NextDecade Corp., July Strike Price $7.50, Expires 7/21/23 | | | 314 | | | | 174,270 | | | | | | | | 15,700 | |
| | Penn Entertainment Inc., August Strike Price $30.00, Expires 8/18/23 | | | 15 | | | | 37,560 | | | | | | | | 1,080 | |
| e | | Porch Group Inc., June Strike Price $5.00, Expires 6/16/23
| | | 45 | | | | 6,345 | | | | | | | | — | |
| | Rapid7 Inc., June Strike Price $55.00, Expires 6/16/23
| | | 9 | | | | 42,948 | | | | | | | | 900 | |
| | RingCentral Inc., June Strike Price $50.00, Expires 6/16/23
| | | 4 | | | | 13,880 | | | | | | | | 16 | |
| | | | | | | | | | |
| | | | | | |
| 50 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | Number of
Contracts | | | Notional Amount# | | | Value | |
| | | Options Purchased (continued) | | | |
| | | Calls – Exchange-Traded (continued) | | | |
| | Silicon Motion Technology Corp., September Strike Price $70.00, Expires 9/15/23 | | | 280 | | | | 6,858,880 | | | | | | | $ | 204,400 | |
| | Sonos Inc., June Strike Price $15.00, Expires 6/02/23 | | | 192 | | | | 278,976 | | | | | | | | 960 | |
| | SoundThinking Inc., June Strike Price $30.00, Expires 6/16/23 | | | 105 | | | | 267,645 | | | | | | | | 2,100 | |
| | SoundThinking Inc., July Strike Price $30.00, Expires 7/21/23 | | | 420 | | | | 1,070,580 | | | | | | | | 44,100 | |
| | SPDR S&P Regional Banking ETF, June Strike Price $40.00, Expires 6/16/23 | | | 72 | | | | 280,584 | | | | | | | | 6,480 | |
| | SPDR S&P Regional Banking ETF, September Strike Price $45.00, Expires 9/15/23 | | | 30 | | | | 116,910 | | | | | | | | 3,240 | |
| | Teck Resources Ltd., October Strike Price $45.00, Expires 10/20/23 | | | 113 | | | | 441,491 | | | | | | | | 23,278 | |
| | Twilio Inc., June Strike Price $75.00, Expires 6/16/23 | | | 41 | | | | 285,442 | | | | | | | | 7,052 | |
| | Upwork Inc., October Strike Price $12.50, Expires 10/20/23 | | | 20 | | | | 16,400 | | | | | | | | 500 | |
| | Vodafone Group PLC, July Strike Price $13.00, Expires 7/21/23 | | | 109 | | | | 103,332 | | | | | | | | 10,791 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 876,190 | |
| | | | | | | | | | | | | | | | | | |
| | | Calls – Over-the-Counter 0.0%† | | | |
| | Taiwan Stock Exchange Weighted Index, Counterparty BNPP, June Strike Price 16,050.00 TWD, Expires 6/19/23 | | | 4,028 | | | | 66,780,051 | | | | | | | | 71,987 | |
| | Taiwan Stock Exchange Weighted Index, Counterparty MSCS, June Strike Price 16,410.00 TWD, Expires 6/30/23 | | | 1,905 | | | | 31,582,919 | | | | | | | | 18,599 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 90,586 | |
| | | | | | | | | | | | | | | | | | |
| | | Currency Options 0.0%† | | | |
| | EUR/USD, Counterparty JPHQ, July Strike Price $1.15, Expires 7/19/23 | | | 1 | | | | 100,650 | | | | EUR | | | | 576 | |
| | JPY/KRW, Counterparty JPHQ, August Strike Price 10.75 KRW, Expires 8/11/23 | | | 1 | | | | 4,000,000 | | | | JPY | | | | 916 | |
| | USD/KRW, Counterparty JPHQ, June Strike Price 1,340.00 KRW, Expires 6/21/23 | | | 1 | | | | 2,000,000 | | | | | | | | 8,113 | |
| | USD/TWD, Counterparty JPHQ, September Strike Price 32.00 TWD, Expires 9/20/23 | | | 1 | | | | 179,400 | | | | | | | | 13,110 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 22,715 | |
| | | | | | | | | | | | | | | | | | |
| | | Puts – Exchange-Traded 0.5% | | | |
| | 1 Year SOFR, September Strike Price $95.00, Expires 9/15/23 | | | 60 | | | | 14,472,750 | | | | | | | | 5,250 | |
| | 1 Year SOFR, September Strike Price $96.50, Expires 9/15/23 | | | 30 | | | | 7,236,375 | | | | | | | | 32,438 | |
| | 3 Month EURIBOR, December Strike Price 96.50 EUR, Expires 12/18/23 | | | 60 | | | | 14,444,250 | | | | | | | | 68,944 | |
| | 3 Month SOFR, July Strike Price $95.00, Expires 7/14/23 | | | 45 | | | | 10,668,375 | | | | | | | | 34,031 | |
| | 3 Month SOFR, December Strike Price $93.50, Expires 12/15/23 | | | 240 | | | | 57,093,000 | | | | | | | | 16,500 | |
| | 3 Month SOFR, December Strike Price $94.75, Expires 12/15/23 | | | 1 | | | | 237,888 | | | | | | | | 594 | |
| | 3 Month SOFR, December Strike Price $95.00, Expires 12/15/23 | | | 120 | | | | 28,546,500 | | | | | | | | 108,750 | |
| | 3 Month SOFR, December Strike Price $95.38, Expires 12/15/23 | | | 212 | | | | 50,432,150 | | | | | | | | 320,650 | |
| | Activision Blizzard Inc., July Strike Price $70.00, Expires 7/21/23 | | | 309 | | | | 2,478,180 | | | | | | | | 19,467 | |
| | Activision Blizzard Inc., July Strike Price $75.00, Expires 7/21/23 | | | 265 | | | | 2,125,300 | | | | | | | | 40,015 | |
| | Activision Blizzard Inc., August Strike Price $75.00, Expires 8/18/23 | | | 363 | | | | 2,911,260 | | | | | | | | 86,757 | |
| | AMC Entertainment Holdings Inc., July Strike Price $3.00, Expires 7/21/23 | | | 970 | | | | 1,746,000 | | | | | | | | 32,010 | |
| | AMC Entertainment Holdings Inc., August Strike Price $3.00, Expires 8/18/23 | | | 199 | | | | 89,550 | | | | | | | | 12,537 | |
| | Amyris Inc., June Strike Price $1.00, Expires 6/16/23 | | | 189 | | | | 15,944 | | | | | | | | 4,347 | |
| | Amyris Inc., January Strike Price $1.00, Expires 1/19/24 | | | 810 | | | | 68,332 | | | | | | | | 40,500 | |
| | Amyris Inc., January Strike Price $1.50, Expires 1/19/24 | | | 197 | | | | 16,619 | | | | | | | | 18,715 | |
| | Amyris Inc., April Strike Price $1.00, Expires 4/19/24
| | | 224 | | | | 18,897 | | | | | | | | 13,440 | |
| | Barclays PLC, January Strike Price $3.00, Expires 1/19/24
| | | 81 | | | | 60,912 | | | | | | | | 810 | |
| | Barclays PLC, January Strike Price $5.00, Expires 1/19/24
| | | 128 | | | | 96,256 | | | | | | | | 3,200 | |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 51 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | Number of
Contracts | | | Notional Amount# | | | Value | |
| | | Options Purchased (continued) | | | |
| | | Puts – Exchange-Traded (continued) | | | |
| | BioMarin Pharmaceutical Inc., October Strike Price $85.00, Expires 10/20/23 | | | 3 | | | | 26,082 | | | | | | | $ | 2,145 | |
| | BioMarin Pharmaceutical Inc., June Strike Price $85.00, Expires 6/21/24 | | | 10 | | | | 86,940 | | | | | | | | 10,800 | |
| | Carnival Corp., January Strike Price $5.00, Expires 1/19/24 | | | 721 | | | | 809,683 | | | | | | | | 15,141 | |
| | CBOE Volatility Index, June Strike Price $21.00, Expires 6/21/23 | | | 124 | | | | 222,456 | | | | | | | | 39,060 | |
| | CBOE Volatility Index, June Strike Price $22.00, Expires 6/21/23 | | | 111 | | | | 199,134 | | | | | | | | 44,511 | |
| | CBOE Volatility Index, June Strike Price $23.00, Expires 6/21/23 | | | 96 | | | | 172,224 | | | | | | | | 47,040 | |
| | CBOE Volatility Index, July Strike Price $22.00, Expires 7/19/23 | | | 107 | | | | 191,958 | | | | | | | | 38,520 | |
| | Cinemark Holdings Inc., September Strike Price $5.00, Expires 9/15/23 | | | 504 | | | | 806,904 | | | | | | | | 5,040 | |
| | Cinemark Holdings Inc., January Strike Price $5.00, Expires 1/19/24 | | | 417 | | | | 667,617 | | | | | | | | 5,212 | |
| | DISH Network Corp., January Strike Price $5.00, Expires 1/17/25 | | | 32 | | | | 20,576 | | | | | | | | 6,464 | |
| | DISH Network Corp., December Strike Price $5.00, Expires 12/19/25 | | | 128 | | | | 82,304 | | | | | | | | 35,584 | |
| | DISH Network Corp., December Strike Price $7.50, Expires 12/19/25 | | | 65 | | | | 41,795 | | | | | | | | 28,275 | |
| | E-mini S&P 500, June Strike Price $3,000.00, Expires 6/16/23 | | | 4 | | | | 838,100 | | | | | | | | 120 | |
| | E-mini S&P 500, June Strike Price $4,100.00, Expires 6/16/23 | | | 3 | | | | 628,575 | | | | | | | | 3,600 | |
| | E-mini S&P 500, June Strike Price $4,150.00, Expires 6/16/23 | | | 8 | | | | 1,676,200 | | | | | | | | 14,200 | |
| | E-mini S&P 500, August Strike Price $2,450.00, Expires 8/31/23 | | | 12 | | | | 2,539,350 | | | | | | | | 2,010 | |
| | E-mini S&P 500, August Strike Price $3,750.00, Expires 8/31/23 | | | 6 | | | | 1,269,675 | | | | | | | | 10,650 | |
| | E-mini S&P 500, September Strike Price $2,800.00, Expires 9/15/23 | | | 18 | | | | 3,809,025 | | | | | | | | 6,750 | |
| | E-mini S&P 500, September Strike Price $3,950.00, Expires 9/15/23 | | | 9 | | | | 1,904,513 | | | | | | | | 30,600 | |
| | E-mini S&P 500, September Strike Price $2,750.00, Expires 9/29/23 | | | 24 | | | | 5,128,500 | | | | | | | | 9,900 | |
| | E-mini S&P 500, September Strike Price $4,050.00, Expires 9/29/23 | | | 12 | | | | 2,564,250 | | | | | | | | 53,850 | |
| | E-mini S&P 500, October Strike Price $2,725.00, Expires 10/20/23 | | | 24 | | | | 5,128,500 | | | | | | | | 12,600 | |
| | E-mini S&P 500, October Strike Price $4,050.00, Expires 10/20/23 | | | 12 | | | | 2,564,250 | | | | | | | | 59,550 | |
| | E-mini S&P 500, October Strike Price $2,800.00, Expires 10/31/23 | | | 8 | | | | 1,709,500 | | | | | | | | 5,000 | |
| | E-mini S&P 500, October Strike Price $4,050.00, Expires 10/31/23 | | | 4 | | | | 854,750 | | | | | | | | 21,800 | |
| | Encore Capital Group Inc., June Strike Price $35.00, Expires 6/16/23 | | | 6 | | | | 25,842 | | | | | | | | 120 | |
| | Encore Capital Group Inc., June Strike Price $40.00, Expires 6/16/23 | | | 28 | | | | 120,596 | | | | | | | | 1,120 | |
| | Envestnet Inc., December Strike Price $40.00, Expires 12/15/23 | | | 8 | | | | 41,864 | | | | | | | | 2,000 | |
| | Etsy Inc., January Strike Price $80.00, Expires 1/19/24 | | | 2 | | | | 16,210 | | | | | | | | 2,350 | |
| | EURO STOXX Banks Index, August Strike Price 95.00 EUR, Expires 8/18/23 | | | 90 | | | | 442,800 | | | | | | | | 15,392 | |
| | First Horizon Corp., June Strike Price $10.00, Expires 6/16/23 | | | 368 | | | | 379,408 | | | | | | | | 14,720 | |
| | First Horizon Corp., June Strike Price $17.00, Expires 6/16/23 | | | 9 | | | | 9,279 | | | | | | | | 6,075 | |
| | Fluor Corp., January Strike Price $20.00, Expires 1/19/24 | | | 107 | | | | 284,192 | | | | | | | | 10,700 | |
| | The GEO Group Inc., June Strike Price $12.00, Expires 6/16/23 | | | 99 | | | | 190,179 | | | | | | | | 990 | |
| | The GEO Group Inc., September Strike Price $11.00, Expires 9/15/23 | | | 48 | | | | 92,208 | | | | | | | | 600 | |
| | The GEO Group Inc., January Strike Price $3.00, Expires 1/19/24 | | | 8 | | | | 5,968 | | | | | | | | 80 | |
| | The GEO Group Inc., January Strike Price $5.00, Expires 1/19/24 | | | 489 | | | | 364,794 | | | | | | | | 19,560 | |
| | Groupon Inc., September Strike Price $4.00, Expires 9/15/23 | | | 15 | | | | 8,100 | | | | | | | | 1,125 | |
| | Groupon Inc., October Strike Price $4.00, Expires 10/20/23 | | | 7 | | | | 3,780 | | | | | | | | 630 | |
| | Horizon Therapeutics PLC, August Strike Price $100.00, Expires 8/18/23 | | | 213 | | | | 2,130,639 | | | | | | | | 66,030 | |
| | Horizon Therapeutics PLC, November Strike Price $95.00, Expires 11/17/23 | | | 42 | | | | 420,126 | | | | | | | | 39,144 | |
| | Horizon Therapeutics PLC, November Strike Price $100.00, Expires 11/17/23 | | | 100 | | | | 1,000,300 | | | | | | | | 107,000 | |
| | Horizon Therapeutics PLC, January Strike Price $80.00, Expires 1/19/24 | | | 319 | | | | 3,190,957 | | | | | | | | 177,045 | |
| | Horizon Therapeutics PLC, January Strike Price $90.00, Expires 1/19/24 | | | 256 | | | | 2,560,768 | | | | | | | | 193,280 | |
| | Icahn Enterprises LP, June Strike Price $20.00, Expires 6/16/23 | | | 62 | | | | 139,934 | | | | | | | | 8,370 | |
| | Illumina Inc., September Strike Price $195.00, Expires 9/15/23 | | | 58 | | | | 1,140,570 | | | | | | | | 93,090 | |
| | IMAX Corp., June Strike Price $11.00, Expires 6/16/23 | | | 50 | | | | 86,700 | | | | | | | | 750 | |
| | IMAX Corp., January Strike Price $10.00, Expires 1/19/24 | | | 38 | | | | 65,892 | | | | | | | | 1,615 | |
| | | | | | | | | | |
| | | | | | |
| 52 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | Number of
Contracts | | | Notional Amount# | | | Value | |
| | | Options Purchased (continued) | | | |
| | | Puts – Exchange-Traded (continued) | | | |
| | Industrial Select Sector SPDR Fund, June Strike Price $94.00, Expires 6/16/23 | | | 202 | | | | 1,956,370 | | | | | | | $ | 12,322 | |
| | Integra LifeSciences Holdings Corp., December Strike Price $25.00, Expires 12/15/23 | | | 8 | | | | 30,360 | | | | | | | | 400 | |
| | Invesco QQQ Trust Series 1, June Strike Price $295.00, Expires 6/16/23
| | | 66 | | | | 2,296,734 | | | | | | | | 1,056 | |
| | Invesco QQQ Trust Series 1, July Strike Price $320.00, Expires 7/21/23
| | | 115 | | | | 4,001,885 | | | | | | | | 33,120 | |
| | IVERIC bio Inc., September Strike Price $29.00, Expires 9/15/23
| | | 4 | | | | 15,100 | | | | | | | | 400 | |
| | Live Nation Entertainment Inc., June Strike Price $45.00, Expires 6/16/23 | | | 18 | | | | 143,892 | | | | | | | | 180 | |
| | Live Nation Entertainment Inc., October Strike Price $55.00, Expires 10/20/23 | | | 3 | | | | 23,982 | | | | | | | | 187 | |
| | Lumentum Holdings Inc., June Strike Price $35.00, Expires 6/16/23 | | | 8 | | | | 42,320 | | | | | | | | 40 | |
| | Lumentum Holdings Inc., January Strike Price $32.50, Expires 1/19/24 | | | 8 | | | | 42,320 | | | | | | | | 1,060 | |
| | Microchip Technology Inc., January Strike Price $57.50, Expires 1/19/24 | | | 16 | | | | 120,416 | | | | | | | | 4,000 | |
| | Microchip Technology Inc., January Strike Price $62.50, Expires 1/19/24 | | | 16 | | | | 120,416 | | | | | | | | 5,760 | |
| | Nexstar Media Group Inc., August Strike Price $160.00, Expires 8/18/23 | | | 7 | | | | 105,644 | | | | | | | | 9,520 | |
| | NextEra Energy Partners LP, October Strike Price $45.00, Expires 10/20/23 | | | 18 | | | | 107,856 | | | | | | | | 1,935 | |
| | Nikkei 225 Index, June Strike Price 29,500.00 JPY, Expires 6/09/23 | | | 6 | | | | 185,327,280 | | | | | | | | 1,766 | |
| | NuVasive Inc., June Strike Price $22.50, Expires 6/16/23 | | | 6 | | | | 22,896 | | | | | | | | 600 | |
| | NVIDIA Corp., December Strike Price $225.00, Expires 12/15/23 | | | 90 | | | | 3,405,060 | | | | | | | | 44,100 | |
| | Parsons Corp., September Strike Price $25.00, Expires 9/15/23 | | | 4 | | | | 17,876 | | | | | | | | 70 | |
| | PG&E Corp., June Strike Price $10.00, Expires 6/16/23 | | | 8 | | | | 13,552 | | | | | | | | 32 | |
| | Prometheus Biosciences Inc., August Strike Price $145.00, Expires 8/18/23 | | | 22 | | | | 437,140 | | | | | | | | 220 | |
| | Royal Caribbean Cruises Ltd., January Strike Price $30.00, Expires 1/19/24 | | | 168 | | | | 1,360,296 | | | | | | | | 6,804 | |
| | Russell 2000 Index, September Strike Price $1,650.00, Expires 9/29/23 | | | 34 | | | | 5,948,810 | | | | | | | | 168,300 | |
| | S&P 500 Index, July Strike Price $4,100.00, Expires 7/21/23 | | | 6 | | | | 2,507,898 | | | | | | | | 33,504 | |
| | S&P 500 Index, September Strike Price $2,750.00, Expires 9/15/23 | | | 8 | | | | 3,343,864 | | | | | | | | 5,720 | |
| | S&P 500 Index, September Strike Price $3,890.00, Expires 9/15/23 | | | 4 | | | | 1,671,932 | | | | | | | | 24,196 | |
| | S&P 500 Index, September Strike Price $3,950.00, Expires 9/29/23 | | | 8 | | | | 3,343,864 | | | | | | | | 64,640 | |
| | S&P 500 Index, October Strike Price $2,700.00, Expires 10/31/23 | | | 8 | | | | 3,343,864 | | | | | | | | 8,680 | |
| | S&P 500 Index, October Strike Price $3,950.00, Expires 10/31/23 | | | 4 | | | | 1,671,932 | | | | | | | | 36,536 | |
| | Seagen Inc., June Strike Price $190.00, Expires 6/21/24 | | | 141 | | | | 2,759,370 | | | | | | | | 191,760 | |
| | Silicon Motion Technology Corp., September Strike Price $60.00, Expires 9/15/23 | | | 54 | | | | 330,696 | | | | | | | | 45,360 | |
| | Sonos Inc., June Strike Price $14.00, Expires 6/02/23 | | | 153 | | | | 222,309 | | | | | | | | 1,530 | |
| | The Southern Co., January Strike Price $55.00, Expires 1/19/24 | | | 2 | | | | 13,950 | | | | | | | | 185 | |
| | Southwest Airlines Co., January Strike Price $22.50, Expires 1/19/24 | | | 80 | | | | 238,960 | | | | | | | | 7,280 | |
| | Southwest Airlines Co., January Strike Price $27.50, Expires 1/19/24 | | | 16 | | | | 47,792 | | | | | | | | 3,368 | |
| | SPDR S&P 500 ETF Trust, June Strike Price $416.00, Expires 6/02/23 | | | 90 | | | | 3,760,650 | | | | | | | | 12,150 | |
| | SPDR S&P 500 ETF Trust, June Strike Price $385.00, Expires 6/16/23 | | | 122 | | | | 5,097,770 | | | | | | | | 7,442 | |
| | SPDR S&P 500 ETF Trust, July Strike Price $398.00, Expires 7/21/23 | | | 75 | | | | 3,133,875 | | | | | | | | 29,025 | |
| | SPDR S&P 500 ETF Trust, August Strike Price $395.00, Expires 8/18/23 | | | 88 | | | | 3,677,080 | | | | | | | | 47,520 | |
| | SPDR S&P 500 ETF Trust, September Strike Price $385.00, Expires 9/15/23 | | | 207 | | | | 8,649,495 | | | | | | | | 113,229 | |
| | SPDR S&P Regional Banking ETF, June Strike Price $54.00, Expires 6/16/23 | | | 176 | | | | 685,872 | | | | | | | | 264,880 | |
| | Spectrum Brands Holdings Inc., July Strike Price $65.00, Expires 7/21/23 | | | 132 | | | | 953,172 | | | | | | | | 14,520 | |
| | STOXX Europe 600 Index, August Strike Price 450.00 EUR, Expires 8/18/23 | | | 34 | | | | 767,992 | | | | | | | | 18,353 | |
| | Transocean Ltd., January Strike Price $1.50, Expires 1/19/24 | | | 892 | | | | 510,224 | | | | | | | | 3,568 | |
| | Transocean Ltd., January Strike Price $2.50, Expires 1/19/24 | | | 174 | | | | 99,528 | | | | | | | | 1,914 | |
| | Tyler Technologies Inc., June Strike Price $280.00, Expires 6/16/23 | | | 3 | | | | 119,088 | | | | | | | | 750 | |
| | U.S. Treasury 2 Year Note, August Strike Price $102.13, Expires 8/25/23 | | | 50 | | | | 10,291,406 | | | | | | | | 30,469 | |
| | U.S. Treasury 5 Year Note, June Strike Price $108.00, Expires 6/23/23 | | | 160 | | | | 17,452,500 | | | | | | | | 51,250 | |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 53 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | Number of
Contracts | | | Notional Amount# | | | Value | |
| | | Options Purchased (continued) | | | |
| | | Puts – Exchange-Traded (continued) | | | |
| | United States Steel Corp., January Strike Price $15.00, Expires 1/19/24
| | | 48 | | | | 100,416 | | | | | | | $ | 4,272 | |
| | Veradigm Inc., September Strike Price $10.00, Expires 9/15/23
| | | 108 | | | | 127,224 | | | | | | | | 5,400 | |
| | VNET Group Inc., June Strike Price $4.00, Expires 6/16/23
| | | 284 | | | | 72,988 | | | | | | | | 40,470 | |
| | Vodafone Group PLC, July Strike Price 0.80 GBP, Expires 7/21/23 | | | 188 | | | | 177,491 | | | | | | | | 19,294 | |
| | Vodafone Group PLC, August Strike Price 0.80 GBP, Expires 8/18/23 | | | 1,999 | | | | 1,887,256 | | | | | | | | 217,582 | |
| | Vodafone Group PLC, September Strike Price 0.80 GBP, Expires 9/15/23 | | | 2,617 | | | | 2,470,710 | | | | | | | | 301,126 | |
| | Wayfair Inc., August Strike Price $25.00, Expires 8/18/23 | | | 18 | | | | 72,576 | | | | | | | | 1,710 | |
| | Wayfair Inc., January Strike Price $15.00, Expires 1/19/24 | | | 112 | | | | 451,584 | | | | | | | | 10,304 | |
| | Wayfair Inc., January Strike Price $17.50, Expires 1/19/24 | | | 16 | | | | 64,512 | | | | | | | | 2,096 | |
| | World Wrestling Entertainment Inc., July Strike Price $85.00, Expires 7/21/23 | | | 166 | | | | 6,727,648 | | | | | | | | 12,866 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 4,053,984 | |
| | | | | | | | | | | | | | | | | | |
| | | Puts – Over-the-Counter 0.0%† | | | |
| | 3M Co., Counterparty GSCO, January Strike Price $75.00, Expires 1/19/24 | | | 150 | | | | 1,399,650 | | | | | | | | 49,500 | |
| | 3M Co., Counterparty GSCO, January Strike Price $85.00, Expires 1/19/24 | | | 112 | | | | 1,045,072 | | | | | | | | 66,080 | |
| | DJ EURO STOXX 50 Index, Counterparty GSCO, June Strike Price 4,200.00 EUR, Expires 6/16/23 | | | 18 | | | | 759,247 | | | | | | | | 10,255 | |
| | Taiwan Stock Exchange Weighted Index, Counterparty BNPP, June Strike Price 16,050.00 TWD, Expires 6/19/23 | | | 4,028 | | | | 66,780,051 | | | | | | | | 8,642 | |
| | Taiwan Stock Exchange Weighted Index, Counterparty MSCS, June Strike Price 16,410.00 TWD, Expires 6/30/23 | | | 1,905 | | | | 31,582,919 | | | | | | | | 15,809 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | 150,286 | |
| | | | | | | | | | | | | | | | | | |
| | | Currency Options 0.0%† | | | |
| | USD/JPY, Counterparty JPHQ, July Strike Price 115.00 JPY, Expires 7/17/23 | | | 1 | | | | 305,000 | | | | | | | | 507 | |
| | USD/JPY, Counterparty JPHQ, August Strike Price 115.00 JPY, Expires 8/17/23 | | | 1 | | | | 183,000 | | | | | | | | 2,705 | |
| | USD/JPY, Counterparty MSCS, August Strike Price 125.00 JPY, Expires 8/29/23 | | | 1 | | | | 3,312,000 | | | | | | | | 7,611 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | 10,823 | |
| | | | | | | | | | | | | | | | | | |
| | Total Options Purchased (Cost $6,017,339) | | | | | | | | | | | | | | | 5,204,584 | |
| | | | | | | | | | | | | | | | | | |
| | Total Investments before Short Term Investments
(Cost $540,741,242) | | | | | | | | | | | | | | | 555,907,881 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | Country | | | Shares | | | | | | | |
| | | Short Term Investments 24.3% | | | | | | | | | | | | |
| | | Money Market Funds 23.2% | | | |
| r,s | | Dreyfus Government Cash Management, Institutional, 4.99% | | | United States | | | | 83,607,212 | | | | | | | | 83,607,212 | |
| r | | Fidelity Investments Money Market Government Portfolio, Institutional, 4.98% | | | United States | | | | 112,901,199 | | | | | | | | 112,901,199 | |
| | | | | | | | | | | | | | | | | | |
| | Total Money Market Funds (Cost $196,508,411) | | | | | | | | | | | | | | | 196,508,411 | |
| | | | | | | | | | | | | | | | | | |
| t | | Investments from Cash Collateral Received for Loaned
Securities (Cost $3,348,000) 0.4% | | | |
| | | Money Market Funds 0.4% | | | | | | | | | | | | |
| r,u | | Institutional Fiduciary Trust Money Market Portfolio, 4.62% | | | United States | | | | 3,348,000 | | | | | | | | 3,348,000 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | |
| 54 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | Country | | | Principal Amount* | | | Value | |
| | | Short Term Investments (continued) | | | | | | | | | | | | |
| | | U.S. Government and Agency Securities 0.7% | |
| v | | U.S. Treasury Bill, | | | | | | | | | | | | | | | | |
| | 7/27/23 | | | United States | | | | 200,000 | | | | | | | $ | 198,390 | |
| | 8/01/23 | | | United States | | | | 500,000 | | | | | | | | 495,688 | |
| | 8/03/23 | | | United States | | | | 1,000,000 | | | | | | | | 991,016 | |
| | 8/08/23 | | | United States | | | | 1,500,000 | | | | | | | | 1,485,943 | |
| | 8/15/23 | | | United States | | | | 3,000,000 | | | | | | | | 2,968,155 | |
| | | | | | | | | | | | | | | | | | |
| | Total U.S. Government and Agency Securities
(Cost $6,140,429) | | | | | | | | | | | | | | | 6,139,192 | |
| | | | | | | | | | | | | | | | | | |
| | Total Investments (Cost $746,738,082) 89.9% | | | | | | | | | | | | | | | 761,903,484 | |
| | Options Written (0.2)% | | | | | | | | | | | | | | | (1,855,264 | ) |
| | Securities Sold Short (15.3)% | | | | | | | | | | | | | | | (129,970,737 | ) |
| | Other Assets, less Liabilities 25.6% | | | | | | | | | | | | | | | 217,623,551 | |
| | | | | | | | | | | | | | | | | | |
| | Net Assets 100.0% | | | | | | | | | | | | | | $ | 847,701,034 | |
| | | | | | | | | | | | | | | | | | |
| | | |
| | | Number of
Contracts | | | Notional Amount# | | | | |
| w | | Options Written (0.2)% | | | |
| | | Calls – Exchange-Traded (0.0)%† | | | |
| | Abbott Laboratories, June Strike Price $115.00, Expires 6/16/23 | | | 1 | | | | 10,200 | | | | | | | | (2 | ) |
| | Activision Blizzard Inc., November Strike Price $95.00, Expires 11/17/23 | | | 129 | | | | 1,034,580 | | | | | | | | (23,478 | ) |
| | Apple Inc., June Strike Price $180.00, Expires 6/16/23 | | | 1 | | | | 17,725 | | | | | | | | (268 | ) |
| | Bristol-Myers Squibb Co., June Strike Price $70.00, Expires 6/16/23 | | | 2 | | | | 12,888 | | | | | | | | (6 | ) |
| | CBOE Volatility Index, June Strike Price $34.00, Expires 6/21/23 | | | 301 | | | | 539,994 | | | | | | | | (6,321 | ) |
| | CBOE Volatility Index, July Strike Price $35.00, Expires 7/19/23 | | | 120 | | | | 215,280 | | | | | | | | (7,920 | ) |
| | The Coca-Cola Co., June Strike Price $65.00, Expires 6/16/23 | | | 3 | | | | 17,898 | | | | | | | | (9 | ) |
| | Comcast Corp., June Strike Price $42.50, Expires 6/16/23 | | | 9 | | | | 35,415 | | | | | | | | (63 | ) |
| | Ebix Inc., September Strike Price $30.00, Expires 9/15/23 | | | 590 | | | | 1,175,280 | | | | | | | | (126,850 | ) |
| | Emerson Electric Co., June Strike Price $87.50, Expires 6/16/23 | | | 1 | | | | 7,768 | | | | | | | | (25 | ) |
| | E-mini S&P 500, August Strike Price $3,450.00, Expires 8/31/23 | | | 12 | | | | 2,539,350 | | | | | | | | (10,650 | ) |
| | Fastenal Co., June Strike Price $57.50, Expires 6/16/23 | | | 2 | | | | 10,770 | | | | | | | | (20 | ) |
| | First Horizon Corp., June Strike Price $13.00, Expires 6/16/23 | | | 4 | | | | 4,124 | | | | | | | | (16 | ) |
| | The GEO Group Inc., January Strike Price $30.00, Expires 1/19/24 | | | 32 | | | | 61,472 | | | | | | | | (960 | ) |
| | Horizon Therapeutics PLC, August Strike Price $115.00, Expires 8/18/23 | | | 383 | | | | 3,831,149 | | | | | | | | (13,405 | ) |
| | IVERIC bio Inc., September Strike Price $40.00, Expires 9/15/23 | | | 77 | | | | 290,675 | | | | | | | | (2,695 | ) |
| | Johnson & Johnson, June Strike Price $165.00, Expires 6/16/23 | | | 1 | | | | 15,506 | | | | | | | | (10 | ) |
| | JPMorgan Chase & Co., June Strike Price $145.00, Expires 6/16/23 | | | 1 | | | | 13,571 | | | | | | | | (18 | ) |
| | Lumentum Holdings Inc., September Strike Price $65.00, Expires 9/15/23 | | | 42 | | | | 222,180 | | | | | | | | (6,930 | ) |
| | Manchester United PLC, June Strike Price $30.00, Expires 6/16/23 | | | 204 | | | | 394,128 | | | | | | | | (7,140 | ) |
| | Microchip Technology Inc., June Strike Price $85.00, Expires 6/16/23 | | | 3 | | | | 22,578 | | | | | | | | (75 | ) |
| | Microsoft Corp., June Strike Price $320.00, Expires 6/16/23 | | | 1 | | | | 32,839 | | | | | | | | (1,265 | ) |
| | Morgan Stanley, June Strike Price $90.00, Expires 6/16/23 | | | 2 | | | | 16,352 | | | | | | | | (24 | ) |
| | Newmont Corp., June Strike Price $55.00, Expires 6/16/23 | | | 5 | | | | 20,275 | | | | | | | | (15 | ) |
| | Pioneer Natural Resources Co., June Strike Price $230.00, Expires 6/16/23 | | | 1 | | | | 19,944 | | | | | | | | (38 | ) |
| | The Procter & Gamble Co., June Strike Price $160.00, Expires 6/16/23 | | | 1 | | | | 14,250 | | | | | | | | (3 | ) |
| | Seagen Inc., June Strike Price $230.00, Expires 6/21/24 | | | 141 | | | | 2,759,370 | | | | | | | | (21,855 | ) |
| | Silicon Motion Technology Corp., September Strike Price $80.00, Expires 9/15/23 | | | 280 | | | | 6,858,880 | | | | | | | | (128,800 | ) |
| | Spectrum Brands Holdings Inc., July Strike Price $75.00, Expires 7/21/23 | | | 75 | | | | 541,575 | | | | | | | | (16,875 | ) |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 55 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | Number of
Contracts | | | Notional Amount# | | | Value | |
| w | | Options Written (continued) | | | |
| | | Calls – Exchange-Traded† (continued) | | | |
| | Spectrum Brands Holdings Inc., July Strike Price $80.00, Expires 7/21/23 | | | 55 | | | | 397,155 | | | | | | | $ | (5,225 | ) |
| | Starbucks Corp., June Strike Price $110.00, Expires 6/16/23 | | | 2 | | | | 19,528 | | | | | | | | (10 | ) |
| | Teck Resources Ltd., October Strike Price $55.00, Expires 10/20/23 | | | 75 | | | | 293,025 | | | | | | | | (4,350 | ) |
| | Twilio Inc., June Strike Price $95.00, Expires 6/16/23 | | | 41 | | | | 285,442 | | | | | | | | (369 | ) |
| | Walmart Inc., June Strike Price $155.00, Expires 6/16/23 | | | 1 | | | | 14,687 | | | | | | | | (12 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (385,702 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Calls – Over-the-Counter (0.0)%† | | | |
| | | Currency Options (0.0)%† | | | | | | | | | | | | |
| | JPY/KRW, Counterparty JPHQ, August Strike Price 11.25 KRW, Expires 8/11/23 | | | 1 | | | | 4,000,000 | | | | JPY | | | | (334 | ) |
| | USD/KRW, Counterparty JPHQ, June Strike Price 1,375.00 KRW, Expires 6/21/23 | | | 1 | | | | 3,000,000 | | | | | | | | (2,359 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (2,693 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Puts – Exchange-Traded (0.2)% | | | |
| | 1 Year SOFR, September Strike Price $95.50, Expires 9/15/23 | | | 90 | | | | 21,709,125 | | | | | | | | (20,813 | ) |
| | 1 Year SOFR, December Strike Price $96.00, Expires 12/15/23 | | | 72 | | | | 17,415,900 | | | | | | | | (41,850 | ) |
| | 3 Month EURIBOR, December Strike Price 96.00 EUR, Expires 12/18/23 | | | 120 | | | | 28,888,500 | | | | | | | | (53,712 | ) |
| | 3 Month SOFR, December Strike Price $94.00, Expires 12/15/23 | | | 360 | | | | 85,639,500 | | | | | | | | (54,000 | ) |
| | 3 Month SOFR, December Strike Price $94.25, Expires 12/15/23 | | | 1 | | | | 237,888 | | | | | | | | (237 | ) |
| | 3 Month SOFR, December Strike Price $94.88, Expires 12/15/23 | | | 212 | | | | 50,432,150 | | | | | | | | (156,350 | ) |
| | Activision Blizzard Inc., August Strike Price $65.00, Expires 8/18/23 | | | 363 | | | | 2,911,260 | | | | | | | | (25,047 | ) |
| | DJ EURO STOXX 50 Index, June Strike Price 3,900.00 EUR, Expires 6/16/23 | | | 5 | | | | 210,902 | | | | | | | | (476 | ) |
| | DJ EURO STOXX 50 Index, June Strike Price 4,000.00 EUR, Expires 6/16/23 | | | 6 | | | | 253,082 | | | | | | | | (956 | ) |
| | E-mini S&P 500, June Strike Price $3,200.00, Expires 6/16/23 | | | 2 | | | | 419,050 | | | | | | | | (95 | ) |
| | E-mini S&P 500, June Strike Price $3,600.00, Expires 6/16/23 | | | 2 | | | | 419,050 | | | | | | | | (225 | ) |
| | E-mini S&P 500, June Strike Price $4,000.00, Expires 6/16/23 | | | 12 | | | | 2,514,300 | | | | | | | | (6,900 | ) |
| | E-mini S&P 500, September Strike Price $3,700.00, Expires 9/15/23 | | | 18 | | | | 3,809,025 | | | | | | | | (33,975 | ) |
| | E-mini S&P 500, September Strike Price $3,750.00, Expires 9/29/23 | | | 24 | | | | 5,128,500 | | | | | | | | (56,100 | ) |
| | E-mini S&P 500, October Strike Price $3,750.00, Expires 10/20/23 | | | 24 | | | | 5,128,500 | | | | | | | | (66,000 | ) |
| | E-mini S&P 500, October Strike Price $3,800.00, Expires 10/31/23 | | | 8 | | | | 1,709,500 | | | | | | | | (26,800 | ) |
| | EURO STOXX Banks Index, June Strike Price 85.00 EUR, Expires 6/16/23 | | | 94 | | | | 462,480 | | | | | | | | (754 | ) |
| | EURO STOXX Banks Index, August Strike Price 85.00 EUR, Expires 8/18/23 | | | 90 | | | | 442,800 | | | | | | | | (5,532 | ) |
| | First Horizon Corp., June Strike Price $13.00, Expires 6/16/23 | | | 9 | | | | 9,279 | | | | | | | | (2,610 | ) |
| | Horizon Therapeutics PLC, June Strike Price $85.00, Expires 6/16/23 | | | 313 | | | | 3,130,939 | | | | | | | | (3,130 | ) |
| | Horizon Therapeutics PLC, August Strike Price $80.00, Expires 8/18/23 | | | 241 | | | | 2,410,723 | | | | | | | | (8,435 | ) |
| | Horizon Therapeutics PLC, November Strike Price $80.00, Expires 11/17/23 | | | 100 | | | | 1,000,300 | | | | | | | | (52,000 | ) |
| | Horizon Therapeutics PLC, November Strike Price $85.00, Expires 11/17/23 | | | 42 | | | | 420,126 | | | | | | | | (28,392 | ) |
| | Horizon Therapeutics PLC, January Strike Price $60.00, Expires 1/19/24 | | | 319 | | | | 3,190,957 | | | | | | | | (67,787 | ) |
| | Horizon Therapeutics PLC, January Strike Price $70.00, Expires 1/19/24 | | | 256 | | | | 2,560,768 | | | | | | | | (78,080 | ) |
| | Industrial Select Sector SPDR Fund, June Strike Price $85.00, Expires 6/16/23 | | | 202 | | | | 1,956,370 | | | | | | | | (1,010 | ) |
| | Industrial Select Sector SPDR Fund, September Strike Price $63.00, Expires 9/15/23 | | | 1,291 | | | | 8,382,463 | | | | | | | | (196,232 | ) |
| | Invesco QQQ Trust Series 1, June Strike Price $265.00, Expires 6/16/23 | | | 66 | | | | 2,296,734 | | | | | | | | (396 | ) |
| | Russell 2000 Index, September Strike Price $1,400.00, Expires 9/29/23 | | | 44 | | | | 7,698,460 | | | | | | | | (61,160 | ) |
| | S&P 500 Index, June Strike Price $3,700.00, Expires 6/30/23 | | | 19 | | | | 7,941,677 | | | | | | | | (11,856 | ) |
| | S&P 500 Index, July Strike Price $3,700.00, Expires 7/21/23 | | | 15 | | | | 6,269,745 | | | | | | | | (19,560 | ) |
| | | | | | | | | | |
| | | | | | |
| 56 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | Number of
Contracts | | | Notional Amount# | | | Value | |
| w | | Options Written (continued) | | | | | | | | | | | | |
| | | Puts – Exchange-Traded (continued) | | | |
| | S&P 500 Index, September Strike Price $3,650.00, Expires 9/15/23 | | | 8 | | | | 3,343,864 | | | | | | | $ | (27,520 | ) |
| | S&P 500 Index, October Strike Price $3,690.00, Expires 10/31/23 | | | 8 | | | | 3,343,864 | | | | | | | | (44,136 | ) |
| | Seagen Inc., June Strike Price $140.00, Expires 6/21/24 | | | 141 | | | | 2,759,370 | | | | | | | | (66,975 | ) |
| | Silicon Motion Technology Corp., September Strike Price $40.00, Expires 9/15/23 | | | 54 | | | | 330,696 | | | | | | | | (3,780 | ) |
| | Silicon Motion Technology Corp., September Strike Price $50.00, Expires 9/15/23 | | | 54 | | | | 330,696 | | | | | | | | (20,520 | ) |
| | Silicon Motion Technology Corp., September Strike Price $60.00, Expires 9/15/23 | | | 52 | | | | 318,448 | | | | | | | | (43,680 | ) |
| | SPDR S&P 500 ETF Trust, August Strike Price $360.00, Expires 8/18/23 | | | 88 | | | | 3,677,080 | | | | | | | | (17,952 | ) |
| | SPDR S&P Regional Banking ETF, September Strike Price $35.00, Expires 9/15/23 | | | 30 | | | | 116,910 | | | | | | | | (5,580 | ) |
| | Spectrum Brands Holdings Inc., July Strike Price $50.00, Expires 7/21/23 | | | 132 | | | | 953,172 | | | | | | | | (3,960 | ) |
| | Teck Resources Ltd., October Strike Price $36.00, Expires 10/20/23 | | | 113 | | | | 441,491 | | | | | | | | (30,397 | ) |
| | U.S. Treasury 5 Year Note, June Strike Price $107.00, Expires 6/23/23 | | | 320 | | | | 34,905,000 | | | | | | | | (42,500 | ) |
| | Vodafone Group PLC, July Strike Price $10.00, Expires 7/21/23 | | | 109 | | | | 103,332 | | | | | | | | (327 | ) |
| | Vodafone Group PLC, August Strike Price 0.70 GBP, Expires 8/18/23 | | | 1,999 | | | | 1,887,256 | | | | | | | | (68,383 | ) |
| | World Wrestling Entertainment Inc., July Strike Price $75.00, Expires 7/21/23 | | | 149 | | | | 6,038,672 | | | | | | | | (7,822 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (1,464,002 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Puts – Over-the-Counter (0.0)%† | | | |
| | DJ EURO STOXX 50 Index, Counterparty GSCO, June Strike Price 4,000.00 EUR, Expires 6/16/23 | | | 18 | | | | 759,247 | | | | | | | | (2,867 | ) |
| | | | | | | | | | | | | | | | | | |
| | Total Options Written
(Premiums Received $2,097,524) | | | | | | | | | | | | | | | (1,855,264 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | Country | | | Shares | | | | | | | |
| x | | Securities Sold Short (15.3)% | | | |
| | Common Stocks (6.4)% | | | | |
| | | Aerospace & Defense (0.0)%† | |
| | Virgin Galactic Holdings Inc. | | | United States | | | | 13,543 | | | | | | | | (46,859 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Airlines (0.4)% | | | | | | | | | | | | |
| | American Airlines Group Inc. | | | United States | | | | 10,277 | | | | | | | | (151,894 | ) |
| | Cathay Pacific Airways Ltd. | | | Hong Kong | | | | 572,700 | | | | | | | | (522,297 | ) |
| | Copa Holdings SA, A | | | Panama | | | | 28,677 | | | | | | | | (3,012,805 | ) |
| | Jetblue Airways Corp. | | | United States | | | | 2,478 | | | | | | | | (16,925 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (3,703,921 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Auto Components (0.0)%† | |
| | LCI Industries | | | United States | | | | 743 | | | | | | | | (80,274 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Automobiles (0.3)% | |
| | Fisker Inc. | | | United States | | | | 5,613 | | | | | | | | (35,249 | ) |
| | Ford Motor Co. | | | United States | | | | 80,043 | | | | | | | | (960,516 | ) |
| | Li Auto Inc., ADR | | | China | | | | 14,017 | | | | | | | | (407,194 | ) |
| | Lucid Group Inc. | | | United States | | | | 5,426 | | | | | | | | (42,106 | ) |
| | NIO Inc., ADR | | | China | | | | 59,117 | | | | | | | | (445,151 | ) |
| | Winnebago Industries Inc. | | | United States | | | | 5,708 | | | | | | | | (317,593 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (2,207,809 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Biotechnology (0.4)% | |
| | Apellis Pharmaceuticals Inc. | | | United States | | | | 9,254 | | | | | | | | (794,456 | ) |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 57 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | Country | | | Shares | | | | | | Value | |
| x | | Securities Sold Short (continued) | | | |
| | | Common Stocks (continued) | | | |
| | | Biotechnology (continued) | |
| | Avid Bioservices Inc. | | | United States | | | | 17,169 | | | | | | | $ | (265,261 | ) |
| | Bridgebio Pharma Inc. | | | United States | | | | 1,012 | | | | | | | | (13,884 | ) |
| | Coherus Biosciences Inc. | | | United States | | | | 22,733 | | | | | | | | (92,978 | ) |
| | Dynavax Technologies Corp. | | | United States | | | | 81,933 | | | | | | | | (936,494 | ) |
| | Exact Sciences Corp. | | | United States | | | | 730 | | | | | | | | (59,553 | ) |
| | Gossamer Bio Inc. | | | United States | | | | 100 | | | | | | | | (134 | ) |
| | Insmed Inc. | | | United States | | | | 17,375 | | | | | | | | (330,646 | ) |
| | Karyopharm Therapeutics Inc. | | | United States | | | | 4,941 | | | | | | | | (11,167 | ) |
| | Mannkind Corp. | | | United States | | | | 85,781 | | | | | | | | (398,024 | ) |
| | Mirum Pharmaceuticals Inc. | | | United States | | | | 2,551 | | | | | | | | (66,913 | ) |
| | Pharming Group NV | | | Netherlands | | | | 62,392 | | | | | | | | (76,052 | ) |
| | Travere Therapeutics Inc. | | | United States | | | | 11,281 | | | | | | | | (201,817 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (3,247,379 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Capital Markets (0.5)% | |
| | Ares Capital Corp. | | | United States | | | | 36,202 | | | | | | | | (678,426 | ) |
| | Owl Rock Capital Corp. | | | United States | | | | 243,488 | | | | | | | | (3,270,044 | ) |
| | Wisdomtree Inc. | | | United States | | | | 6,344 | | | | | | | | (43,139 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (3,991,609 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Chemicals (0.2)% | |
| | Danimer Scientific Inc. | | | United States | | | | 20,662 | | | | | | | | (59,713 | ) |
| | Livent Corp. | | | United States | | | | 50,890 | | | | | | | | (1,173,014 | ) |
| | The Sherwin-Williams Co. | | | United States | | | | 2,365 | | | | | | | | (538,700 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (1,771,427 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Communications Equipment (0.1)% | |
| | Harmonic Inc. | | | United States | | | | 47,900 | | | | | | | | (843,519 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Construction & Engineering (0.0)%† | |
| | Granite Construction Inc. | | | United States | | | | 3,243 | | | | | | | | (117,364 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Consumer Finance (0.2)% | |
| | Encore Capital Group Inc. | | | United States | | | | 14,102 | | | | | | | | (607,373 | ) |
| | EZCORP Inc., A | | | United States | | | | 70,866 | | | | | | | | (591,023 | ) |
| | SoFi Technologies Inc. | | | United States | | | | 6,750 | | | | | | | | (46,845 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (1,245,241 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Diversified Telecommunication Services (0.0)%† | |
| | Bandwidth Inc., A | | | United States | | | | 1,669 | | | | | | | | (19,861 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Electric Utilities (0.0)%† | |
| | Alliant Energy Corp. | | | United States | | | | 1 | | | | | | | | (51 | ) |
| | FirstEnergy Corp. | | | United States | | | | 279 | | | | | | | | (10,432 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (10,483 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Electrical Equipment (0.3)% | | | | | | | | | | | | |
| | Array Technologies Inc. | | | United States | | | | 21,525 | | | | | | | | (477,209 | ) |
| | Bloom Energy Corp., A | | | United States | | | | 34,298 | | | | | | | | (470,568 | ) |
| | Plug Power Inc. | | | United States | | | | 160,115 | | | | | | | | (1,332,157 | ) |
| | TPI Composites Inc. | | | United States | | | | 1,124 | | | | | | | | (11,982 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (2,291,916 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Electronic Equipment, Instruments & Components (0.0)%† | |
| | PAR Technology Corp. | | | United States | | | | 3,403 | | | | | | | | (117,642 | ) |
| | Vishay Intertechnology Inc. | | | United States | | | | 199 | | | | | | | | (5,130 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (122,772 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | |
| 58 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | Country | | | Shares | | | | | | Value | |
| x | | Securities Sold Short (continued) | | | |
| | | Common Stocks (continued) | | | |
| | | Energy Equipment & Services (0.1)% | |
| | Helix Energy Solutions Group Inc. | | | United States | | | | 107,308 | | | | | | | $ | (673,894 | ) |
| | Transocean Ltd. | | | United States | | | | 36,063 | | | | | | | | (206,281 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (880,175 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Entertainment (0.2)% | |
| | Cinemark Holdings Inc. | | | United States | | | | 22,679 | | | | | | | | (363,091 | ) |
| | Live Nation Entertainment Inc. | | | United States | | | | 1,149 | | | | | | | | (91,851 | ) |
| | The Marcus Corp. | | | United States | | | | 38,896 | | | | | | | | (594,331 | ) |
| | Sea Ltd., ADR | | | Singapore | | | | 3,800 | | | | | | | | (218,158 | ) |
| | Spotify Technology SA | | | United States | | | | 169 | | | | | | | | (25,164 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (1,292,595 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Equity Real Estate Investment Trusts (REITs) (0.1)% | | | | | | | | | | | | |
| | Braemar Hotels & Resorts Inc. | | | United States | | | | 61,966 | | | | | | | | (253,441 | ) |
| | Pebblebrook Hotel Trust | | | United States | | | | 18,721 | | | | | | | | (253,857 | ) |
| | Public Storage | | | United States | | | | 2,270 | | | | | | | | (643,091 | ) |
| | Summit Hotel Properties Inc. | | | United States | | | | 13,572 | | | | | | | | (88,896 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (1,239,285 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Financial Services (0.0)%† | |
| | Block Inc., A | | | United States | | | | 1,358 | | | | | | | | (82,010 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Food & Staples Retailing (0.0)%† | |
| | The Chefs’ Warehouse Inc. | | | United States | | | | 9,990 | | | | | | | | (310,789 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Food Products (0.0)%† | |
| | Freshpet Inc. | | | United States | | | | 5,354 | | | | | | | | (319,955 | ) |
| | Post Holdings Inc. | | | United States | | | | 122 | | | | | | | | (10,365 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (330,320 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Gas Utilities (0.0)%† | |
| | Brookfield Infrastructure Corp., A | | | Canada | | | | 3,041 | | | | | | | | (140,190 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Health Care Equipment & Supplies (0.4)% | |
| | Alphatec Holdings Inc. | | | United States | | | | 7,213 | | | | | | �� | | (109,349 | ) |
| | CONMED Corp. | | | United States | | | | 1,130 | | | | | | | | (137,069 | ) |
| | Cutera Inc. | | | United States | | | | 21,172 | | | | | | | | (355,901 | ) |
| | Envista Holdings Corp. | | | United States | | | | 29,811 | | | | | | | | (950,673 | ) |
| | Globus Medical Inc., A | | | United States | | | | 16,573 | | | | | | | | (897,096 | ) |
| | Mesa Laboratories Inc. | | | United States | | | | 501 | | | | | | | | (64,875 | ) |
| | Varex Imaging Corp. | | | United States | | | | 24,038 | | | | | | | | (529,798 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (3,044,761 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Health Care Providers & Services (0.0)%† | |
| | NeoGenomics Inc. | | | United States | | | | 4,183 | | | | | | | | (71,864 | ) |
| | PetIQ Inc., A | | | United States | | | | 10,036 | | | | | | | | (127,758 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (199,622 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Health Care Technology (0.1)% | |
| | Evolent Health Inc., A | | | United States | | | | 16,076 | | | | | | | | (468,455 | ) |
| | Health Catalyst Inc. | | | United States | | | | 4,024 | | | | | | | | (45,310 | ) |
| | Nextgen Healthcare Inc. | | | United States | | | | 8,354 | | | | | | | | (130,072 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (643,837 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Hotels, Restaurants & Leisure (0.2)% | |
| | Airbnb Inc., A | | | United States | | | | 174 | | | | | | | | (19,100 | ) |
| | Carnival Corp. | | | United States | | | | 43,752 | | | | | | | | (491,335 | ) |
| | The Cheesecake Factory Inc. | | | United States | | | | 533 | | | | | | | | (16,699 | ) |
| | Marriott Vacations Worldwide Corp. | | | United States | | | | 2,119 | | | | | | | | (261,103 | ) |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 59 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | Country | | | Shares | | | | | | Value | |
| x | | Securities Sold Short (continued) | | | |
| | | Common Stocks (continued) | | | |
| | | Hotels, Restaurants & Leisure (continued) | |
| | Norwegian Cruise Line Holdings Ltd. | | | United States | | | | 46,856 | | | | | | | $ | (695,811 | ) |
| | Royal Caribbean Cruises Ltd. | | | United States | | | | 5,976 | | | | | | | | (483,877 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (1,967,925 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Independent Power & Renewable Electricity Producers (0.1)% | |
| | Sunnova Energy International Inc. | | | United States | | | | 7,252 | | | | | | | | (128,070 | ) |
| | Vistra Corp. | | | United States | | | | 17,916 | | | | | | | | (429,447 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (557,517 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Interactive Media & Services (0.1)% | |
| | Match Group Inc. | | | United States | | | | 3,944 | | | | | | | | (136,068 | ) |
| | Snap Inc., A | | | United States | | | | 26,920 | | | | | | | | (274,584 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (410,652 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Internet & Direct Marketing Retail (0.2)% | |
| f | | Delivery Hero SE, 144A | | | South Korea | | | | 10,340 | | | | | | | | (388,322 | ) |
| | Etsy Inc. | | | United States | | | | 1,766 | | | | | | | | (143,134 | ) |
| | Groupon Inc., A | | | United States | | | | 2,674 | | | | | | | | (14,440 | ) |
| f | | Just Eat Takeaway.com NV, 144A | | | United Kingdom | | | | 613 | | | | | | | | (9,271 | ) |
| | MercadoLibre Inc. | | | Brazil | | | | 411 | | | | | | | | (509,229 | ) |
| | Wayfair Inc., A | | | United States | | | | 18,398 | | | | | | | | (741,807 | ) |
| | Xometry Inc., A | | | United States | | | | 2,815 | | | | | | | | (51,515 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (1,857,718 | ) |
| | | | | | | | | | | | | | | | | | |
| | | IT Services (0.2)% | |
| | Cloudflare Inc., A | | | United States | | | | 508 | | | | | | | | (35,133 | ) |
| | Digitalocean Holdings Inc. | | | United States | | | | 902 | | | | | | | | (35,313 | ) |
| | i3 Verticals Inc., A | | | United States | | | | 4,433 | | | | | | | | (101,294 | ) |
| | MongoDB Inc., A | | | United States | | | | 2,353 | | | | | | | | (691,288 | ) |
| | Okta Inc., A | | | United States | | | | 332 | | | | | | | | (30,179 | ) |
| | Repay Holdings Corp., A | | | United States | | | | 2,565 | | | | | | | | (16,237 | ) |
| | Sabre Corp. | | | United States | | | | 13,089 | | | | | | | | (40,576 | ) |
| | Shift4 Payments Inc., A | | | United States | | | | 6,498 | | | | | | | | (407,555 | ) |
| | Shopify Inc., A | | | Canada | | | | 765 | | | | | | | | (43,750 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (1,401,325 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Leisure Products (0.0)%† | |
| | Topgolf Callaway Brands Corp. | | | United States | | | | 22,996 | | | | | | | | (392,542 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Life Sciences Tools & Services (0.0)%† | |
| | Inotiv Inc. | | | United States | | | | 6,369 | | | | | | | | (38,723 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Machinery (0.1)% | |
| | 3d Systems Corp. | | | United States | | | | 1,366 | | | | | | | | (11,201 | ) |
| | Caterpillar Inc. | | | United States | | | | 1,023 | | | | | | | | (210,483 | ) |
| | Desktop Metal Inc., A | | | United States | | | | 230,035 | | | | | | | | (427,865 | ) |
| | The Greenbrier Cos. Inc. | | | United States | | | | 4,212 | | | | | | | | (114,440 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (763,989 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Marine (0.2)% | |
| | Eagle Bulk Shipping Inc. | | | United States | | | | 34,289 | | | | | | | | (1,346,872 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Media (0.0)%† | |
| | Charter Communications Inc., A | | | United States | | | | 389 | | | | | | | | (126,872 | ) |
| | Dish Network Corp., A | | | United States | | | | 1,864 | | | | | | | | (11,986 | ) |
| | Liberty SiriusXM Group, A | | | United States | | | | 3,095 | | | | | | | | (86,598 | ) |
| | Magnite Inc. | | | United States | | | | 850 | | | | | | | | (10,098 | ) |
| | Techtarget Inc. | | | United States | | | | 813 | | | | | | | | (28,244 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (263,798 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | |
| 60 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | Country | | | Shares | | | | | | Value | |
| x | | Securities Sold Short (continued) | | | |
| | | Common Stocks (continued) | | | |
| | | Metals & Mining (0.4)% | |
| | Arconic Corp. | | | United States | | | | 10,893 | | | | | | | $ | (314,917 | ) |
| | ATI Inc. | | | United States | | | | 27,148 | | | | | | | | (938,778 | ) |
| | Century Aluminum Co. | | | United States | | | | 20,192 | | | | | | | | (158,305 | ) |
| | Ivanhoe Mines Ltd., A | | | Canada | | | | 47,311 | | | | | | | | (346,425 | ) |
| | Lithium Americas Corp. | | | Canada | | | | 2,429 | | | | | | | | (49,041 | ) |
| | Newmont Corp. | | | United States | | | | 12,173 | | | | | | | | (493,615 | ) |
| | United States Steel Corp. | | | United States | | | | 44,814 | | | | | | | | (937,509 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (3,238,590 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Mortgage Real Estate Investment Trusts (REITs) (0.0)%† | |
| | Arbor Realty Trust Inc. | | | United States | | | | 10,631 | | | | | | | | (134,057 | ) |
| | Hannon Armstrong Sustainable Infrastructure Capital Inc. | | | United States | | | | 1,684 | | | | | | | | (39,624 | ) |
| | PennyMac Mortgage Investment Trust | | | United States | | | | 4,659 | | | | | | | | (54,231 | ) |
| | Redwood Trust Inc. | | | United States | | | | 17,411 | | | | | | | | (103,073 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (330,985 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Oil, Gas & Consumable Fuels (0.1)% | |
| | ENI SpA | | | Italy | | | | 63,723 | | | | | | | | (847,947 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Personal Products (0.0)%† | |
| | The Beauty Health Co. | | | United States | | | | 4,953 | | | | | | | | (39,822 | ) |
| | Herbalife Nutrition Ltd. | | | United States | | | | 12,538 | | | | | | | | (148,450 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (188,272 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Pharmaceuticals (0.1)% | |
| | Avadel Pharmaceuticals PLC, ADR | | | United States | | | | 32,174 | | | | | | | | (445,610 | ) |
| | Collegium Pharmaceutical Inc. | | | United States | | | | 12,168 | | | | | | | | (268,548 | ) |
| | Innoviva Inc. | | | United States | | | | 11,056 | | | | | | | | (149,145 | ) |
| | Pacira Biosciences Inc. | | | United States | | | | 3,876 | | | | | | | | (147,404 | ) |
| | Revance Therapeutics Inc. | | | United States | | | | 6,918 | | | | | | | | (211,414 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (1,222,121 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Real Estate Management & Development (0.1)% | |
| | Anywhere Real Estate Inc. | | | United States | | | | 11,498 | | | | | | | | (69,793 | ) |
| | Fastighets AB Balder, B | | | Sweden | | | | 40,333 | | | | | | | | (136,137 | ) |
| | Redfin Corp. | | | United States | | | | 6,533 | | | | | | | | (63,958 | ) |
| | Storagevault Canada Inc. | | | Canada | | | | 12,568 | | | | | | | | (55,642 | ) |
| | Zillow Group Inc., C | | | United States | | | | 7,559 | | | | | | | | (344,766 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (670,296 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Road & Rail (0.1)% | |
| | Old Dominion Freight Line Inc. | | | United States | | | | 1,315 | | | | | | | | (408,229 | ) |
| | Uber Technologies Inc. | | | United States | | | | 237 | | | | | | | | (8,989 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (417,218 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Semiconductors & Semiconductor Equipment (0.4)% | |
| | ams-OSRAM AG | | | Austria | | | | 8,827 | | | | | | | | (65,043 | ) |
| | Enphase Energy Inc. | | | United States | | | | 3,020 | | | | | | | | (525,118 | ) |
| | First Solar Inc. | | | United States | | | | 4,135 | | | | | | | | (839,240 | ) |
| | Maxeon Solar Technologies Ltd. | | | United States | | | | 26,057 | | | | | | | | (724,124 | ) |
| | Semtech Corp. | | | United States | | | | 9,189 | | | | | | | | (199,769 | ) |
| | SMART Global Holdings Inc. | | | United States | | | | 14,305 | | | | | | | | (323,007 | ) |
| | SolarEdge Technologies Inc. | | | United States | | | | 1,513 | | | | | | | | (430,947 | ) |
| | Veeco Instruments Inc. | | | United States | | | | 16,995 | | | | | | | | (414,848 | ) |
| | Wolfspeed Inc. | | | United States | | | | 382 | | | | | | | | (18,351 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (3,540,447 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
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| franklintempleton.com | | Annual Report | | | | | | | | 61 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | Country | | | Shares | | | | | | Value | |
| x | | Securities Sold Short (continued) | | | |
| | | Common Stocks (continued) | | | |
| | | Software (0.4)% | |
| | 8x8 Inc. | | | United States | | | | 50,695 | | | | | | | $ | (206,836 | ) |
| | Bentley Systems Inc., B | | | United States | | | | 1,331 | | | | | | | | (64,926 | ) |
| | Bill Holdings Inc. | | | United States | | | | 3,100 | | | | | | | | (321,098 | ) |
| | Black Knight Inc. | | | United States | | | | 10,078 | | | | | | | | (582,307 | ) |
| | Blackline Inc. | | | United States | | | | 1,622 | | | | | | | | (84,458 | ) |
| | Cerence Inc. | | | United States | | | | 7,979 | | | | | | | | (227,561 | ) |
| | Confluent Inc., A | | | United States | | | | 1,997 | | | | | | | | (63,385 | ) |
| | Datadog Inc., A | | | United States | | | | 4,196 | | | | | | | | (398,242 | ) |
| | Dye & Durham Ltd. | | | Canada | | | | 3,182 | | | | | | | | (35,840 | ) |
| | Envestnet Inc. | | | United States | | | | 323 | | | | | | | | (16,903 | ) |
| | Five9 Inc. | | | United States | | | | 565 | | | | | | | | (37,352 | ) |
| | Guidewire Software Inc. | | | United States | | | | 1,294 | | | | | | | | (107,376 | ) |
| | HubSpot Inc. | | | United States | | | | 306 | | | | | | | | (158,505 | ) |
| | Marathon Digital Holdings Inc. | | | United States | | | | 2,150 | | | | | | | | (21,048 | ) |
| | Mitek Systems Inc. | | | United States | | | | 17,850 | | | | | | | | (185,997 | ) |
| | Model N Inc. | | | United States | | | | 1,175 | | | | | | | | (37,506 | ) |
| | Nutanix Inc., A | | | United States | | | | 433 | | | | | | | | (12,825 | ) |
| | Pagerduty Inc. | | | United States | | | | 3,077 | | | | | | | | (83,725 | ) |
| | Porch Group Inc. | | | United States | | | | 950 | | | | | | | | (1,340 | ) |
| | Q2 Holdings Inc. | | | United States | | | | 2,044 | | | | | | | | (59,521 | ) |
| | Rapid7 Inc. | | | United States | | | | 193 | | | | | | | | (9,210 | ) |
| | Splunk Inc. | | | United States | | | | 628 | | | | | | | | (62,354 | ) |
| | Unity Software Inc. | | | United States | | | | 483 | | | | | | | | (14,355 | ) |
| | Workiva Inc., A | | | United States | | | | 3,001 | | | | | | | | (290,677 | ) |
| | Zscaler Inc. | | | United States | | | | 2,419 | | | | | | | | (327,726 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (3,411,073 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Specialized REITs (0.1)% | |
| | Extra Space Storage Inc. | | | United States | | | | 4,851 | | | | | | | | (699,854 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Specialty Retail (0.2)% | |
| | Burlington Stores Inc. | | | United States | | | | 1,519 | | | | | | | | (228,549 | ) |
| | Guess? Inc. | | | United States | | | | 19,919 | | | | | | | | (382,644 | ) |
| | The Home Depot Inc. | | | United States | | | | 1,465 | | | | | | | | (415,254 | ) |
| | National Vision Holdings Inc. | | | United States | | | | 20,542 | | | | | | | | (518,685 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (1,545,132 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Trading Companies & Distributors (0.0)%† | |
| | United Rentals Inc. | | | United States | | | | 992 | | | | | | | | (331,120 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Water Utilities (0.1)% | |
| | American Water Works Co. Inc. | | | United States | | | | 7,590 | | | | | | | | (1,096,375 | ) |
| | | | | | | | | | | | | | | | | | |
| | Total Common Stocks (Proceeds $65,057,935) | | | | | | | | | | | | | | | (54,404,509 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Exchange Traded Funds (6.9)% | | | |
| | ARK Innovation ETF | | | United States | | | | 11,669 | | | | | | | | (472,478 | ) |
| | Consumer Staples Select Sector SPDR ETF | | | United States | | | | 6,854 | | | | | | | | (498,080 | ) |
| | Industrial Select Sector SPDR Fund | | | United States | | | | 58,472 | | | | | | | | (5,663,013 | ) |
| | Invesco QQQ Series 1 ETF | | | United States | | | | 2,221 | | | | | | | | (772,886 | ) |
| | Invesco Solar ETF | | | United States | | | | 22,462 | | | | | | | | (1,571,891 | ) |
| | iShares iBoxx High Yield Corporate Bond ETF | | | United States | | | | 54,968 | | | | | | | | (4,073,679 | ) |
| | iShares Russell 1000 ETF | | | United States | | | | 179,767 | | | | | | | | (41,177,429 | ) |
| | SPDR Bloomberg High Yield Bond ETF | | | United States | | | | 27,581 | | | | | | | | (2,505,458 | ) |
| | SPDR S&P Oil & Gas Exploration & Production ETF | | | United States | | | | 7,021 | | | | | | | | (829,110 | ) |
| | Utilities Select Sector SPDR Fund | | | United States | | | | 16,508 | | | | | | | | (1,071,864 | ) |
| | | | | | | | | | | | | | | | | | |
| | Total Exchange Traded Funds (Proceeds $62,192,898) | | | | | | | | | | | | | | | (58,635,888 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | |
| 62 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | Country | | | Principal Amount* | | | Value | |
| x | | Securities Sold Short (continued) | | | |
| | | Convertible Bonds (Proceeds $172,332) (0.0)%† | | | |
| | | Internet & Direct Marketing Retail (0.0)%† | |
| | Wayfair Inc., A, senior note, 0.625%, 10/01/25 | | | United States | | | | 214,000 | | | | | | | $ | (176,550 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Corporate Bonds and Notes (1.7)% | | | |
| | | Auto Manufacturers (0.1)% | |
| f | | Nissan Motor Co. Ltd., 144A,
senior bond, 4.81%, 9/17/30 | | | Japan | | | | 89,000 | | | | | | | | (75,677 | ) |
| | senior note, 4.345%, 9/17/27 | | | Japan | | | | 371,000 | | | | | | | | (331,752 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (407,429 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Automobiles (0.0)%† | |
| f,j | | Rivian Holdings LLC/Rivian LLC/Rivian Automotive LLC, senior secured note, 144A, FRN, 10.931%, (6-Month USD LIBOR + 5.63%), 10/15/26 | | | United States | | | | 299,000 | | | | | | | | (293,222 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Banks (0.2)% | |
| | First Horizon Bank, junior sub. bond, 5.75%, 5/01/30 | | | United States | | | | 330,000 | | | | | | | | (280,497 | ) |
| f,h | | Industrial & Commercial Bank of China Ltd., junior sub. note, Reg S, 3.20% to 9/24/26, FRN thereafter, Perpetual | | | China | | | | 761,000 | | | | | | | | (711,059 | ) |
| | Truist Financial Corp., senior note, 5.90%, 10/28/26 | | | United States | | | | 294,000 | | | | | | | | (291,833 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (1,283,389 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Commercial Services & Supplies (0.1)% | |
| | United Rentals North America Inc., senior bond, 4.875%, 1/15/28 | | | United States | | | | 879,000 | | | | | | | | (839,381 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Communications Equipment (0.0)%† | |
| f | | Equipmentshare.Com Inc., senior secured note, 144A, 9.00%, 5/15/28 | | | United States | | | | 222,000 | | | | | | | | (203,962 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Construction & Engineering (0.1)% | |
| | Fluor Corp., senior bond, 4.25%, 9/15/28 | | | United States | | | | 419,000 | | | | | | | | (385,480 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Construction Materials (0.1)% | |
| f | | Camelot Return Merger Sub Inc., senior secured note, 144A, 8.75%, 8/01/28 | | | United States | | | | 653,000 | | | | | | | | (616,199 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Consumer Finance (0.1)% | |
| | Ally Financial Inc., junior sub. bond, 5.75%, 11/20/25 | | | United States | | | | 436,000 | | | | | | | | (423,817 | ) |
| | OneMain Finance Corp., senior note, 7.125%, 3/15/26 | | | United States | | | | 39,000 | | | | | | | | (37,335 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (461,152 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Diversified Financial Services (0.1)% | |
| f | | Kronos Acquisition Holdings Inc. / KIK Custom Products Inc., senior note, 144A, 7.00%, 12/31/27 | | | Canada | | | | 664,000 | | | | | | | | (570,704 | ) |
| f | | MPH Acquisition Holdings LLC, senior note, 144A, 5.75%, 11/01/28 | | | United States | | | | 362,000 | | | | | | | | (259,185 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (829,889 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Diversified Telecommunication Services (0.0)%† | |
| | Hughes Satellite Systems Corp., senior note, 6.625%, 8/01/26 | | | United States | | | | 87,000 | | | | | | | | (80,469 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Food Products (0.0)%† | |
| | B&G Foods Inc., senior note, 5.25%, 4/01/25 | | | United States | | | | 370,000 | | | | | | | | (349,184 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Health Care Providers & Services (0.1)% | |
| f | | RP Escrow Issuer LLC, senior secured note, 144A, 5.25%, 12/15/25 | | | United States | | | | 439,000 | | | | | | | | (293,574 | ) |
| | Tenet Healthcare Corp.,
senior note, 6.125%, 10/01/28 | | | United States | | | | 475,000 | | | | | | | | (450,661 | ) |
| | senior secured note, 6.25%, 2/01/27 | | | United States | | | | 406,000 | | | | | | | | (400,299 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (1,144,534 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Health Care Technology (0.0)%† | |
| f | | Cloud Software Group Holdings Inc., senior secured note, 144A, 9.00%, 9/30/29 | | | United States | | | | 368,000 | | | | | | | | (313,148 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 63 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | | Country | | | Principal Amount* | | | Value | |
| x | | Securities Sold Short (continued) | | | |
| | | Corporate Bonds and Notes (continued) | | | |
| | | Household Products (0.0)%† | |
| f | | Spectrum Brands Inc., senior bond, 144A, 3.875%, 3/15/31 | | | United States | | | | 182,000 | | | | | | | $ | (148,960 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Independent Power & Renewable Electricity Producers (0.0)%† | |
| | NRG Energy Inc., senior note, 5.75%, 1/15/28 | | | United States | | | | 196,000 | | | | | | | | (186,633 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Industrial Conglomerates (0.2)% | |
| | 3M Co.,
senior bond, 2.25%, 9/19/26 | | | United States | | | | 195,000 | | | | | | | | (179,691 | ) |
| | senior bond, 2.875%, 10/15/27 | | | United States | | | | 736,000 | | | | | | | | (678,452 | ) |
| | senior bond, 3.625%, 9/14/28 | | | United States | | | | 233,000 | | | | | | | | (219,616 | ) |
| | senior bond, 3.05%, 4/15/30 | | | United States | | | | 52,000 | | | | | | | | (46,277 | ) |
| | senior bond, 3.25%, 8/26/49 | | | United States | | | | 386,000 | | | | | | | | (262,944 | ) |
| | senior bond, 3.70%, 4/15/50 | | | United States | | | | 191,000 | | | | | | | | (144,195 | ) |
| | senior note, 2.65%, 4/15/25 | | | United States | | | | 563,000 | | | | | | | | (539,500 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (2,070,675 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Insurance (0.1)% | |
| | MetLife Inc., senior bond,
6.50%, 12/15/32 | | | United States | | | | 596,000 | | | | | | | | (659,001 | ) |
| | 6.375%, 6/15/34 | | | United States | | | | 295,000 | | | | | | | | (324,591 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (983,592 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Media (0.1)% | |
| | Grupo Televisa Sab, senior bond, 6.125%, 1/31/46 | | | Mexico | | | | 471,000 | | | | | | | | (471,700 | ) |
| | iHeartCommunications Inc., senior note, 8.375%, 5/01/27 | | | United States | | | | 260,482 | | | | | | | | (147,279 | ) |
| f | | Scripps Escrow Inc., senior note, 144A, 5.875%, 7/15/27 | | | United States | | | | 137,000 | | | | | | | | (105,657 | ) |
| f | | Sinclair Television Group Inc., senior bond, 144A, 5.50%, 3/01/30 | | | United States | | | | 165,000 | | | | | | | | (95,871 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (820,507 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Oil, Gas & Consumable Fuels (0.1)% | |
| | Southwestern Energy Co., senior bond, 4.75%, 2/01/32 | | | United States | | | | 340,000 | | | | | | | | (294,522 | ) |
| f | | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp., senior bond, 144A, 6.00%, 12/31/30 | | | United States | | | | 626,000 | | | | | | | | (544,617 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (839,139 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Pharmaceuticals (0.1)% | |
| f | | Organon & Co. / Organon Foreign Debt Co.-Issuer BV, senior bond, 144A, 5.125%, 4/30/31 | | | United States | | | | 192,000 | | | | | | | | (163,156 | ) |
| f | | Owens & Minor Inc., senior note, 144A, 6.625%, 4/01/30 | | | United States | | | | 266,000 | | | | | | | | (240,065 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (403,221 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Semiconductors & Semiconductor Equipment (0.1)% | |
| | Intel Corp., senior bond, 4.75%, 3/25/50 | | | United States | | | | 515,000 | | | | | | | | (453,055 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Telecommunications (0.1)% | |
| f | | Rogers Communications Inc., senior bond, 144A,
3.80%, 3/15/32 | | | Canada | | | | 184,000 | | | | | | | | (162,690 | ) |
| | 4.55%, 3/15/52 | | | Canada | | | | 184,000 | | | | | | | | (146,265 | ) |
| | Verizon Communications Inc., senior bond, 3.55%, 3/22/51 | | | United States | | | | 1,104,000 | | | | | | | | (803,971 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | (1,112,926 | ) |
| | | | | | | | | | | | | | | | | | |
| | Total Corporate Bonds and Notes (Proceeds $14,684,211) | | | | | | | | | | | | | | | (14,226,146 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Foreign Government and Agency Securities (0.3)% | | | | | | | | | | |
| f | | Government of Italy, senior bond, Reg S,
0.95%, 6/01/32 | | | Italy | | | | 467,000 | | | | EUR | | | | (387,411 | ) |
| | 2.50%, 12/01/32 | | | Italy | | | | 833,000 | | | | EUR | | | | (786,863 | ) |
| | Government of Turkey, senior bond, 7.375%, 2/05/25 | | | Turkey | | | | 922,000 | | | | | | | | (895,270 | ) |
| | | | | | | | | | | | | | | | | | |
| | Total Foreign Government and Agency Securities
(Proceeds $2,126,557) | | | | | | | | | | | | | | | (2,069,544 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | |
| 64 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | Country | | | Principal Amount* | | | Value | |
| x | | Securities Sold Short (continued) | | | |
| m,n | | Senior Floating Rate Interests (Proceeds $262,719) (0.0)%† | | | | |
| | | Professional Services (0.0)%† | |
| | CoreLogic Inc., Term Loan B, 4.00%, (1-Month USD LIBOR + 3.50%), 6/02/28 | | | United States | | | | 294,776 | | | | | | | $ | (264,581 | ) |
| | | | | | | | | | | | | | | | | | |
| | | U.S. Government and Agency Securities
(Proceeds $195,956) (0.0)%† | | | | | | | | | | | | |
| | U.S. Treasury Note, 3.50%, 4/30/28 | | | United States | | | | 196,000 | | | | | | | | (193,519 | ) |
| | | | | | | | | | | | | | | | | | |
| | Total Securities Sold Short
(Proceeds $144,692,608) | | | | | | | | | | | | | | $ | (129,970,737 | ) |
| | | | | | | | | | | | | | | | | | |
†Rounds to less than 0.1% of net assets.
*The principal amount is stated in U.S. dollars unless otherwise indicated.
#Notional amount is the number of contracts multiplied by contract size, and may be multiplied by the underlying price. May include currency units, bushels, shares, pounds, barrels or other units. Currency units are stated in U.S. dollars unless otherwise indicated.
aNon-income producing.
bA portion or all of the security is on loan at May 31, 2023. See Note 1(g).
cA portion or all of the security is held in connection with written option contracts open at period end.
dA portion or all of the security has been segregated as collateral for securities sold short, open swap contracts, open forward exchange contracts, open futures contracts and/or open written option contracts. At May 31, 2023, the aggregate value of these securities and/or cash pledged amounted to $114,601,971, representing 13.5% of net assets.
eFair valued using significant unobservable inputs. See Note 13 regarding fair value measurements.
fSecurity was purchased pursuant to Rule 144A or Regulation S under the Securities Act of 1933. 144A securities may be sold in transactions exempt from registration only to qualified institutional buyers or in public offering registered under the Securities Act of 1933. Regulation S securities cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. At May 31, 2023, the net value of these securities was $138,399,976, representing 16.3% of net assets.
gSee Note 9 regarding investments in Russian securities.
hPerpetual security with no stated maturity date.
iA portion or all of the security purchased on a delayed delivery basis. See Note 1(c).
jThe coupon rate shown represents the rate at period end.
kIncome may be received in additional securities and/or cash.
lSee Note 7 regarding defaulted securities.
mSee Note 1(i) regarding senior floating rate interests.
nThe coupon rate shown represents the rate inclusive of any caps or floors, if applicable, in effect at period end.
oSee Note 10 regarding unfunded loan commitments.
pPrincipal amount is stated in 100 Mexican Peso Units.
qAdjustable rate security with an interest rate that is not based on a published reference index and spread. The rate is based on the structure of the agreement and current market conditions. The coupon rate shown represents the rate at period end.
rThe rate shown is the annualized seven-day effective yield at period end.
sA portion or all of the security is owned by K2 Holdings Investment Corp., a wholly-owned subsidiary of the Fund. See Note 1(h).
tSee Note 1(g) regarding securities on loan.
uSee Note 3(f) regarding investments in affiliated management investment companies.
vThe security was issued on a discount basis with no stated coupon rate.
wSee Note 1(d) regarding written options.
xSee Note 1(f) regarding securities sold short.
At May 31, 2023, the Fund had the following futures contracts outstanding. See Note 1(d).
| | | | | | | | | | | | | | | | | | | | |
| Futures Contracts | | | | | | | | | | | | | | | |
| | | | | |
| Description | | Type | | | Number of
Contracts | | | Notional
Amount* | | | Expiration
Date | | | Value/Unrealized
Appreciation
(Depreciation) | |
| Commodity Contractsa | | | | | | | | | | | | | | | |
Aluminum | | | Long | | | | 33 | | | $ | 1,850,062 | | | | 6/19/23 | | | $ | (28,711 | ) |
Aluminum | | | Short | | | | 33 | | | | 1,850,063 | | | | 6/19/23 | | | | 144,837 | |
Aluminum | | | Long | | | | 1 | | | | 56,362 | | | | 9/18/23 | | | | (290 | ) |
Aluminum | | | Short | | | | 35 | | | | 1,972,670 | | | | 9/18/23 | | | | 45,713 | |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 65 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | | | |
| Futures Contracts (continued) | | | | | | | | | | | | | | | |
| | | | | |
| Description | | Type | | | Number of
Contracts | | | Notional
Amount* | | | Expiration
Date | | | Value/Unrealized
Appreciation
(Depreciation) | |
| Commodity Contractsa (continued) | | | | | | | | | | | | | | | |
Brent Crude Oil | | | Short | | | | 10 | | | $ | 726,000 | | | | 6/30/23 | | | $ | 28,894 | |
Cocoa | | | Long | | | | 52 | | | | 1,550,336 | | | | 7/14/23 | | | | 63,104 | |
Cocoa | | | Long | | | | 2 | | | | 57,670 | | | | 9/14/23 | | | | (3 | ) |
Coffee | | | Long | | | | 18 | | | | 1,205,887 | | | | 7/19/23 | | | | (87,030 | ) |
Copper | | | Long | | | | 16 | | | | 3,232,000 | | | | 6/19/23 | | | | (340,644 | ) |
Copper | | | Short | | | | 16 | | | | 3,232,000 | | | | 6/19/23 | | | | 277,866 | |
Copper | | | Short | | | | 5 | | | | 454,625 | | | | 7/27/23 | | | | 10,421 | |
Copper | | | Long | | | | 3 | | | | 606,900 | | | | 9/18/23 | | | | (22,511 | ) |
Copper | | | Short | | | | 16 | | | | 3,236,800 | | | | 9/18/23 | | | | 31,931 | |
Corn | | | Short | | | | 53 | | | | 1,574,100 | | | | 7/14/23 | | | | 31,735 | |
Cotton | | | Short | | | | 21 | | | | 876,540 | | | | 7/07/23 | | | | (7,467 | ) |
Gasoline | | | Long | | | | 17 | | | | 1,744,873 | | | | 6/30/23 | | | | (50,732 | ) |
Gasoline | | | Short | | | | 4 | | | | 410,558 | | | | 6/30/23 | | | | (4,553 | ) |
Gold 100 Oz | | | Long | | | | 32 | | | | 6,342,720 | | | | 8/29/23 | | | | (3,535 | ) |
Hard Red Winter Wheat | | | Short | | | | 14 | | | | 553,350 | | | | 7/14/23 | | | | 6,935 | |
Lean Hogs | | | Short | | | | 23 | | | | 766,590 | | | | 7/17/23 | | | | 23,992 | |
Live Cattle | | | Long | | | | 40 | | | | 2,682,800 | | | | 8/31/23 | | | | 111,271 | |
Low Sulphur Gas Oil | | | Short | | | | 26 | | | | 1,707,550 | | | | 7/12/23 | | | | 78,832 | |
Natural Gas | | | Short | | | | 65 | | | | 1,472,900 | | | | 6/28/23 | | | | 188,898 | |
Nickel | | | Long | | | | 2 | | | | 245,676 | | | | 6/19/23 | | | | (40,041 | ) |
Nickel | | | Short | | | | 2 | | | | 245,676 | | | | 6/19/23 | | | | 39,669 | |
Nickel | | | Short | | | | 3 | | | | 371,466 | | | | 9/18/23 | | | | 32,938 | |
NY Harbor | | | Short | | | | 18 | | | | 1,701,680 | | | | 6/30/23 | | | | 91,058 | |
Silver | | | Long | | | | 41 | | | | 4,835,335 | | | | 7/27/23 | | | | (331,752 | ) |
Soybean Meal | | | Long | | | | 24 | | | | 944,160 | | | | 7/14/23 | | | | (143,658 | ) |
Soybean Oil | | | Short | | | | 21 | | | | 582,120 | | | | 7/14/23 | | | | 98,064 | |
Soybeans | | | Long | | | | 2 | | | | 129,975 | | | | 7/14/23 | | | | (12,468 | ) |
Soybeans | | | Short | | | | 10 | | | | 649,875 | | | | 7/14/23 | | | | 39,742 | |
Sugar | | | Long | | | | 81 | | | | 2,273,443 | | | | 6/30/23 | | | | 196,429 | |
Wheat | | | Short | | | | 72 | | | | 2,139,300 | | | | 7/14/23 | | | | 327,930 | |
WTI Crude Oil | | | Short | | | | 9 | | | | 612,810 | | | | 6/20/23 | | | | 26,870 | |
WTI Crude Oil | | | Short | | | | 9 | | | | 613,260 | | | | 8/22/23 | | | | 32,049 | |
Zinc | | | Long | | | | 35 | | | | 1,959,782 | | | | 6/19/23 | | | | (462,790 | ) |
Zinc | | | Short | | | | 35 | | | | 1,959,782 | | | | 6/19/23 | | | | 592,241 | |
Zinc | | | Short | | | | 24 | | | | 1,350,300 | | | | 9/18/23 | | | | 217,013 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 1,202,247 | |
| | | | | | | | | | | | | | | | | | | | |
| Currency Contracts | | | | | | | | | | | | | | | |
Australian Dollar Index | | | Short | | | | 28 | | | | 1,819,300 | | | | 6/16/23 | | | | 47,804 | |
Brazilian Real Index | | | Long | | | | 79 | | | | 1,548,005 | | | | 6/30/23 | | | | (20,210 | ) |
British Pound Index | | | Long | | | | 30 | | | | 2,330,250 | | | | 6/16/23 | | | | (13,492 | ) |
Canadian Dollar Index | | | Short | | | | 30 | | | | 2,210,850 | | | | 6/20/23 | | | | 9,533 | |
Euro Index | | | Long | | | | 13 | | | | 1,736,394 | | | | 6/16/23 | | | | (57,281 | ) |
Indian Rupee Index | | | Long | | | | 26 | | | | 627,796 | | | | 6/27/23 | | | | 423 | |
Japanese Yen Index | | | Short | | | | 12 | | | | 1,080,000 | | | | 6/16/23 | | | | 14,895 | |
Mexican Peso Index | | | Long | | | | 74 | | | | 2,084,580 | | | | 6/16/23 | | | | 80,403 | |
South African Rand Index | | | Short | | | | 62 | | | | 1,567,825 | | | | 6/16/23 | | | | 120,538 | |
Swiss Franc Index | | | Long | | | | 18 | | | | 2,474,437 | | | | 6/16/23 | | | | (62,723 | ) |
U.S. Dollar Indexa | | | Long | | | | 15 | | | | 1,563,675 | | | | 6/16/23 | | | | 6,811 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 126,701 | |
| | | | | | | | | | | | | | | | | | | | |
| Equity Contracts | | | | | | | | | | | | | | | |
CAC 40 10 Euro Indexa | | | Long | | | | 45 | | | | 3,414,897 | | | | 6/16/23 | | | | (126,826 | ) |
CBOE Volatility Index | | | Long | | | | 7 | | | | 132,056 | | | | 6/21/23 | | | | (5,076 | ) |
CBOE Volatility Index | | | Long | | | | 10 | | | | 204,460 | | | | 7/19/23 | | | | (19,071 | ) |
CBOE Volatility Index | | | Long | | | | 3 | | | | 63,901 | | | | 8/16/23 | | | | (658 | ) |
| | | | | | | | | | |
| | | | | | |
| 66 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | | | |
| Futures Contracts (continued) | | | | | | | | | | | | | | | |
| | | | | |
| Description | | Type | | | Number of
Contracts | | | Notional
Amount* | | | Expiration
Date | | | Value/Unrealized
Appreciation
(Depreciation) | |
| Equity Contracts (continued) | | | | | | | | | | | | | | | |
CBOE Volatility Index | | | Long | | | | 8 | | | $ | 177,605 | | | | 9/20/23 | | | $ | (16,060 | ) |
CBOE Volatility Index | | | Long | | | | 12 | | | | 272,140 | | | | 10/18/23 | | | | (18,447 | ) |
CBOE Volatility Index | | | Long | | | | 4 | | | | 91,986 | | | | 11/15/23 | | | | (1,976 | ) |
DAX Indexa | | | Long | | | | 19 | | | | 7,953,557 | | | | 6/16/23 | | | | (79,800 | ) |
DJ EURO STOXX 50 Indexa | | | Long | | | | 193 | | | | 8,699,580 | | | | 6/16/23 | | | | (116,099 | ) |
DJIA Mini E-CBOT Indexa | | | Short | | | | 25 | | | | 4,122,375 | | | | 6/16/23 | | | | 7,343 | |
E-Mini Russell 2000a | | | Short | | | | 61 | | | | 5,342,990 | | | | 6/16/23 | | | | 84,332 | |
FTSE 100 Indexa | | | Long | | | | 99 | | | | 9,177,220 | | | | 6/16/23 | | | | (361,840 | ) |
FTSE China A50 Index | | | Short | | | | 75 | | | | 919,575 | | | | 6/29/23 | | | | 17,252 | |
FTSE Taiwan Index | | | Long | | | | 31 | | | | 1,761,110 | | | | 6/29/23 | | | | 35,466 | |
FTSE/JSE Top 40 Index | | | Long | | | | 11 | | | | 391,674 | | | | 6/15/23 | | | | (17,283 | ) |
Hang Seng China Enterprises Index | | | Long | | | | 4 | | | | 156,849 | | | | 6/29/23 | | | | (6,490 | ) |
Hang Seng Indexa | | | Short | | | | 24 | | | | 2,789,112 | | | | 6/29/23 | | | | 68,281 | |
Hang Seng Tech Index | | | Long | | | | 13 | | | | 302,984 | | | | 6/29/23 | | | | (8,306 | ) |
KOSPI 200 Index | | | Long | | | | 21 | | | | 1,340,930 | | | | 6/08/23 | | | | 17,087 | |
MSCI Emerging Markets Index | | | Short | | | | 7 | | | | 334,880 | | | | 6/16/23 | | | | 6,560 | |
NASDAQ 100 E-Mini Indexa | | | Long | | | | 8 | | | | 2,288,080 | | | | 6/16/23 | | | | 140,139 | |
NASDAQ 100 E-Mini Index | | | Short | | | | 4 | | | | 1,144,040 | | | | 6/16/23 | | | | (104,361 | ) |
Nikkei 225 Indexa | | | Long | | | | 37 | | | | 8,192,715 | | | | 6/08/23 | | | | 378,702 | |
OMX Stockholm 30 Index | | | Long | | | | 54 | | | | 1,114,281 | | | | 6/16/23 | | | | (2,649 | ) |
S&P 500 E-Mini Indexa | | | Long | | | | 22 | | | | 4,609,550 | | | | 6/16/23 | | | | 42,020 | |
S&P 500 E-Mini Index | | | Short | | | | 49 | | | | 10,266,725 | | | | 6/16/23 | | | | (538,106 | ) |
S&P/TSX 60 Index | | | Long | | | | 4 | | | | 693,392 | | | | 6/15/23 | | | | (40,224 | ) |
SGX Nifty 50 | | | Long | | | | 29 | | | | 1,082,512 | | | | 6/29/23 | | | | 13,358 | |
SGX Nifty 50 | | | Short | | | | 10 | | | | 373,280 | | | | 6/29/23 | | | | (7,506 | ) |
SPI 200 Index | | | Long | | | | 5 | | | | 577,275 | | | | 6/15/23 | | | | (15,518 | ) |
TOPIX Indexa | | | Long | | | | 55 | | | | 8,392,607 | | | | 6/08/23 | | | | 149,519 | |
VSTOXX | | | Long | | | | 9 | | | | 18,471 | | | | 6/21/23 | | | | (470 | ) |
VSTOXX | | | Long | | | | 9 | | | | 19,048 | | | | 7/19/23 | | | | (136 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (526,843 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Interest Rate Contracts | | | | | | | | | | | | | | | |
3 Month EURIBOR | | | Short | | | | 29 | | | | 7,472,873 | | | | 6/19/23 | | | | 12,459 | |
3 Month EURIBOR | | | Long | | | | 17 | | | | 4,370,655 | | | | 9/18/23 | | | | (14,701 | ) |
3 Month EURIBOR | | | Short | | | | 19 | | | | 4,889,166 | | | | 12/18/23 | | | | (199 | ) |
3 Month EURIBORa | | | Short | | | | 196 | | | | 50,671,296 | | | | 6/17/24 | | | | (25,728 | ) |
3 Month SOFR | | | Long | | | | 14 | | | | 3,330,425 | | | | 3/19/24 | | | | 3,820 | |
3 Month SOFRa | | | Short | | | | 100 | | | | 24,023,750 | | | | 9/17/24 | | | | 70,653 | |
3 Month SOFR | | | Short | | | | 19 | | | | 4,595,863 | | | | 3/18/25 | | | | 20,827 | |
3 Month SONIA | | | Long | | | | 20 | | | | 5,886,374 | | | | 3/19/24 | | | | 7,535 | |
3 Month SONIAa | | | Short | | | | 30 | | | | 8,861,748 | | | | 9/17/24 | | | | 88,108 | |
30 Day Federal Funds | | | Short | | | | 30 | | | | 11,853,448 | | | | 7/31/23 | | | | (2,053 | ) |
ASX 90 Day Bank Accepted Bill | | | Short | | | | 41 | | | | 26,398,976 | | | | 9/07/23 | | | | 598 | |
Australian 3 Yr. Bond | | | Long | | | | 33 | | | | 2,306,288 | | | | 6/15/23 | | | | (29,666 | ) |
Australian 10 Yr. Bonda | | | Long | | | | 70 | | | | 5,459,808 | | | | 6/15/23 | | | | (105,447 | ) |
Canadian 10 Yr. Bond | | | Long | | | | 3 | | | | 273,304 | | | | 9/20/23 | | | | 106 | |
Canadian 10 Yr. Bonda | | | Short | | | | 15 | | | | 1,366,519 | | | | 9/20/23 | | | | (7,246 | ) |
Euro-BOBLa | | | Short | | | | 20 | | | | 2,525,599 | | | | 6/08/23 | | | | (31,456 | ) |
Euro-BTP | | | Long | | | | 3 | | | | 371,849 | | | | 6/08/23 | | | | 3,277 | |
Euro-Bunda | | | Short | | | | 32 | | | | 4,653,567 | | | | 6/08/23 | | | | (53,669 | ) |
Euro-Buxl | | | Short | | | | 6 | | | | 889,539 | | | | 6/08/23 | | | | 12,019 | |
Euro-OAT | | | Short | | | | 13 | | | | 1,813,946 | | | | 6/08/23 | | | | (8,167 | ) |
Euro-SCHATZa | | | Short | | | | 242 | | | | 27,321,147 | | | | 6/08/23 | | | | (57,361 | ) |
Japanese 10 Yr. Bond | | | Long | | | | 5 | | | | 5,332,855 | | | | 6/13/23 | | | | 3,243 | |
Japanese 10 Yr. Bond | | | Short | | | | 10 | | | | 10,665,710 | | | | 6/13/23 | | | | (195,792 | ) |
Korean 3 Yr. Bond | | | Long | | | | 276 | | | | 21,709,851 | | | | 6/20/23 | | | | (51,946 | ) |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 67 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | | | |
| Futures Contracts (continued) | | | | | | | | | | | | | | | |
| | | | | |
| Description | | Type | | | Number of
Contracts | | | Notional
Amount* | | | Expiration
Date | | | Value/Unrealized
Appreciation
(Depreciation) | |
| Interest Rate Contracts (continued) | | | | | | | | | | | | | | | |
Korean 10 Yr. Bond | | | Long | | | | 79 | | | $ | 6,688,438 | | | | 6/20/23 | | | $ | (52,648 | ) |
Long Gilta | | | Short | | | | 49 | | | | 5,899,697 | | | | 9/27/23 | | | | (71,174 | ) |
U.S. Treasury 2 Yr. Note | | | Long | | | | 83 | | | | 17,083,734 | | | | 9/29/23 | | | | 24,998 | |
U.S. Treasury 2 Yr. Notea | | | Short | | | | 118 | | | | 24,287,719 | | | | 9/29/23 | | | | (20,652 | ) |
U.S. Treasury 5 Yr. Note | | | Long | | | | 102 | | | | 11,125,969 | | | | 9/29/23 | | | | 45,064 | |
U.S. Treasury 5 Yr. Notea | | | Short | | | | 93 | | | | 10,144,265 | | | | 9/29/23 | | | | (39,806 | ) |
U.S. Treasury 10 Yr. Notea | | | Short | | | | 39 | | | | 4,464,281 | | | | 9/20/23 | | | | (26,363 | ) |
U.S. Treasury 10 Yr. Ultra | | | Long | | | | 25 | | | | 3,011,328 | | | | 9/20/23 | | | | 14,602 | |
U.S. Treasury 10 Yr. Ultra | | | Short | | | | 33 | | | | 3,974,954 | | | | 9/20/23 | | | | (39,457 | ) |
U.S. Treasury Long Bonda | | | Short | | | | 14 | | | | 1,796,813 | | | | 9/20/23 | | | | (27,226 | ) |
U.S. Treasury Ultra Bond | | | Short | | | | 17 | | | | 2,326,875 | | | | 9/20/23 | | | | (41,504 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (594,952 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Futures Contracts | | | $ | 207,153 | |
| | | | | | | | | | | | | | | | | | | | |
*As of period end.
aA portion or all of the contracts are owned by K2 Holdings Investment Corp., a wholly-owned subsidiary of the Fund. See Note 1(h).
At May 31, 2023, the Fund had the following forward exchange contracts outstanding. See Note 1(d).
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Forward Exchange Contracts | | | | | | | |
| | | | | | | | |
| Currency | | Counterpartya | | | Type | | | Quantity | | | Contract
Amount* | | | | | | Settlement
Date | | | Unrealized
Appreciation | | | Unrealized
Depreciation | |
| OTC Forward Exchange Contracts | | | | | | | | | | | | | | | | |
Chinese Yuan | | | BNPP | | | | Buy | | | | 18,000,000 | | | | 2,629,286 | | | | | | | | 6/05/23 | | | $ | — | | | $ | (99,076 | ) |
Chinese Yuan | | | BOFA | | | | Sell | | | | 40,000,000 | | | | 5,824,536 | | | | | | | | 6/05/23 | | | | 201,847 | | | | — | |
Chinese Yuan | | | HSBC | | | | Buy | | | | 11,000,000 | | | | 1,603,886 | | | | | | | | 6/05/23 | | | | — | | | | (57,647 | ) |
Chinese Yuan | | | JPHQ | | | | Buy | | | | 51,000,000 | | | | 7,451,008 | | | | | | | | 6/05/23 | | | | — | | | | (282,081 | ) |
Chinese Yuan | | | JPHQ | | | | Sell | | | | 40,000,000 | | | | 5,830,108 | | | | | | | | 6/05/23 | | | | 207,420 | | | | — | |
Euro | | | JPHQ | | | | Sell | | | | 220,000 | | | | 236,023 | | | | | | | | 6/05/23 | | | | 794 | | | | — | |
Singapore Dollar | | | BNPP | | | | Sell | | | | 2,400,000 | | | | 1,774,960 | | | | | | | | 6/05/23 | | | | — | | | | (105 | ) |
Singapore Dollar | | | JPHQ | | | | Buy | | | | 2,400,000 | | | | 1,780,389 | | | | | | | | 6/05/23 | | | | — | | | | (5,324 | ) |
Taiwan Dollar | | | CITI | | | | Buy | | | | 12,322,000 | | | | 400,000 | | | | | | | | 6/05/23 | | | | 1,236 | | | | — | |
Taiwan Dollar | | | JPHQ | | | | Sell | | | | 6,139,580 | | | | 200,000 | | | | | | | | 6/05/23 | | | | 80 | | | | — | |
Taiwan Dollar | | | MSCO | | | | Sell | | | | 6,139,600 | | | | 200,000 | | | | | | | | 6/05/23 | | | | 79 | | | | — | |
Hong Kong Dollar | | | JPHQ | | | | Buy | | | | 24,646,293 | | | | 3,150,000 | | | | | | | | 6/12/23 | | | | — | | | | (1,548 | ) |
Hong Kong Dollar | | | JPHQ | | | | Sell | | | | 24,665,448 | | | | 3,150,000 | | | | | | | | 6/12/23 | | | | — | | | | (899 | ) |
Singapore Dollar | | | BNPP | | | | Buy | | | | 10,800,000 | | | | 8,023,426 | | | | | | | | 6/12/23 | | | | 120 | | | | (33,796 | ) |
Singapore Dollar | | | HSBC | | | | Buy | | | | 6,600,000 | | | | 4,876,452 | | | | | | | | 6/12/23 | | | | 6,173 | | | | — | |
Singapore Dollar | | | JPHQ | | | | Buy | | | | 4,800,000 | | | | 3,570,184 | | | | | | | | 6/12/23 | | | | — | | | | (19,184 | ) |
Taiwan Dollar | | | CITI | | | | Buy | | | | 3,695,412 | | | | 120,000 | | | | | | | | 6/12/23 | | | | 427 | | | | — | |
Taiwan Dollar | | | JPHQ | | | | Buy | | | | 2,463,264 | | | | 80,000 | | | | | | | | 6/12/23 | | | | 274 | | | | — | |
Taiwan Dollar | | | MSCO | | | | Sell | | | | 6,120,360 | | | | 200,000 | | | | | | | | 6/12/23 | | | | 548 | | | | — | |
Chinese Yuan | | | MSCO | | | | Buy | | | | 17,854,417 | | | | 2,597,289 | | | | | | | | 6/15/23 | | | | — | | | | (79,920 | ) |
Chinese Yuan | | | MSCO | | | | Sell | | | | 35,304,762 | | | | 5,132,214 | | | | | | | | 6/15/23 | | | | 154,449 | | | | — | |
South Korean Won | | | BZWS | | | | Sell | | | | 171,285,880 | | | | 129,860 | | | | | | | | 6/15/23 | | | | 697 | | | | — | |
South Korean Won | | | CITI | | | | Sell | | | | 187,844,240 | | | | 142,405 | | | | | | | | 6/15/23 | | | | 755 | | | | — | |
South Korean Won | | | GSCO | | | | Buy | | | | 93,922,120 | | | | 71,243 | | | | | | | | 6/15/23 | | | | — | | | | (418 | ) |
South Korean Won | | | JPHQ | | | | Buy | | | | 265,208,000 | | | | 200,000 | | | | | | | | 6/15/23 | | | | — | | | | (12 | ) |
British Pound | | | MSCO | | | | Sell | | | | 715,000 | | | | 887,421 | | | | | | | | 6/16/23 | | | | — | | | | (2,319 | ) |
Singapore Dollar | | | BNPP | | | | Buy | | | | 3,377,906 | | | | 2,500,000 | | | | | | | | 6/16/23 | | | | — | | | | (703 | ) |
Singapore Dollar | | | BOFA | | | | Buy | | | | 3,377,875 | | | | 2,500,000 | | | | | | | | 6/16/23 | | | | — | | | | (726 | ) |
Australian Dollar | | | BZWS | | | | Buy | | | | 7,035,000 | | | | 4,745,285 | | | | | | | | 6/20/23 | | | | — | | | | (165,794 | ) |
Australian Dollar | | | BZWS | | | | Sell | | | | 12,577,000 | | | | 8,400,495 | | | | | | | | 6/20/23 | | | | 213,401 | | | | (6 | ) |
British Pound | | | BZWS | | | | Buy | | | | 1,352,000 | | | | 1,685,208 | | | | | | | | 6/20/23 | | | | 2,991 | | | | (5,627 | ) |
| | | | | | | | | | |
| | | | | | |
| 68 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Forward Exchange Contracts (continued) | | | | | | | |
| | | | | | | | |
| Currency | | Counterpartya | | | Type | | | Quantity | | | Contract
Amount* | | | | | | Settlement
Date | | | Unrealized
Appreciation | | | Unrealized
Depreciation | |
| OTC Forward Exchange Contracts (continued) | | | | | | | | | | | | | | | | |
British Pound | | | BZWS | | | | Sell | | | | 4,181,000 | | | | 5,201,303 | | | | | | | | 6/20/23 | | | $ | 10,987 | | | $ | (12,953 | ) |
Canadian Dollar | | | BZWS | | | | Buy | | | | 8,210,000 | | | | 6,099,748 | | | | | | | | 6/20/23 | | | | 377 | | | | (48,909 | ) |
Canadian Dollar | | | BZWS | | | | Sell | | | | 13,107,000 | | | | 9,637,727 | | | | | | | | 6/20/23 | | | | 41,707 | | | | (64,555 | ) |
Danish Krone | | | BZWS | | | | Buy | | | | 1,131,000 | | | | 166,946 | | | | | | | | 6/20/23 | | | | — | | | | (4,370 | ) |
Danish Krone | | | BZWS | | | | Sell | | | | 11,442,000 | | | | 1,664,488 | | | | | | | | 6/20/23 | | | | 23,861 | | | | (4,095 | ) |
Euro | | | BZWS | | | | Buy | | | | 5,342,000 | | | | 5,784,342 | | | | | | | | 6/20/23 | | | | 814 | | | | (68,244 | ) |
Euro | | | BZWS | | | | Sell | | | | 7,430,000 | | | | 8,013,445 | | | | | | | | 6/20/23 | | | | 77,244 | | | | (15,251 | ) |
Mexican Peso | | | BZWS | | | | Buy | | | | 4,603,000 | | | | 252,493 | | | | | | | | 6/20/23 | | | | 6,578 | | | | — | |
Mexican Peso | | | BZWS | | | | Sell | | | | 4,603,000 | | | | 239,434 | | | | | | | | 6/20/23 | | | | — | | | | (19,637 | ) |
New Zealand Dollar | | | BZWS | | | | Buy | | | | 1,958,000 | | | | 1,184,277 | | | | | | | | 6/20/23 | | | | — | | | | (5,080 | ) |
New Zealand Dollar | | | BZWS | | | | Sell | | | | 1,958,000 | | | | 1,212,895 | | | | | | | | 6/20/23 | | | | 33,698 | | | | — | |
Swiss Franc | | | BZWS | | | | Buy | | | | 335,000 | | | | 372,861 | | | | | | | | 6/20/23 | | | | 553 | | | | (4,696 | ) |
Swiss Franc | | | BZWS | | | | Sell | | | | 2,389,000 | | | | 2,638,400 | | | | | | | | 6/20/23 | | | | 11,465 | | | | (2,508 | ) |
Singapore Dollar | | | BNPP | | | | Sell | | | | 89,735 | | | | 100,000 | | | | AUD | | | | 6/21/23 | | | | 717 | | | | (2,025 | ) |
Singapore Dollar | | | CITI | | | | Sell | | | | 89,461 | | | | 100,000 | | | | AUD | | | | 6/21/23 | | | | — | | | | (1,105 | ) |
Norwegian Krone | | | CITI | | | | Sell | | | | 1,046,808 | | | | 150,000 | | | | AUD | | | | 6/21/23 | | | | 5,982 | | | | (2,740 | ) |
New Zealand Dollar | | | GSCO | | | | Sell | | | | 171,629 | | | | 160,000 | | | | AUD | | | | 6/21/23 | | | | 3,860 | | | | (3,065 | ) |
Australian Dollar | | | GSCO | | | | Buy | | | | 99,600 | | | | 66,853 | | | | | | | | 6/21/23 | | | | — | | | | (2,015 | ) |
Australian Dollar | | | GSCO | | | | Sell | | | | 237,656 | | | | 160,140 | | | | | | | | 6/21/23 | | | | 5,430 | | | | — | |
Norwegian Krone | | | HSBC | | | | Sell | | | | 700,290 | | | | 100,000 | | | | AUD | | | | 6/21/23 | | | | 3,773 | | | | (1,830 | ) |
Singapore Dollar | | | HSBC | | | | Sell | | | | 266,112 | | | | 300,000 | | | | AUD | | | | 6/21/24 | | | | 1,071 | | | | (2,706 | ) |
Australian Dollar | | | HSBC | | | | Buy | | | | 100,000 | | | | 67,746 | | | | | | | | 6/21/24 | | | | — | | | | (2,648 | ) |
Norwegian Krone | | | JPHQ | | | | Sell | | | | 2,087,151 | | | | 300,000 | | | | AUD | | | | 6/21/23 | | | | 13,004 | | | | (5,937 | ) |
New Zealand Dollar | | | JPHQ | | | | Sell | | | | 646,859 | | | | 600,000 | | | | AUD | | | | 6/21/23 | | | | 9,949 | | | | (8,926 | ) |
Australian Dollar | | | JPHQ | | | | Buy | | | | 329,104 | | | | 221,116 | | | | | | | | 6/21/23 | | | | — | | | | (6,874 | ) |
Australian Dollar | | | JPHQ | | | | Sell | | | | 495,618 | | | | 331,289 | | | | | | | | 6/21/23 | | | | 8,649 | | | | — | |
British Pound | | | BNYM | | | | Buy | | | | 882,737 | | | | 1,100,340 | | | | | | | | 6/21/23 | | | | 2,661 | | | | (4,409 | ) |
British Pound | | | BNYM | | | | Sell | | | | 882,737 | | | | 1,075,084 | | | | | | | | 6/21/23 | | | | — | | | | (23,509 | ) |
British Pound | | | JPHQ | | | | Buy | | | | 294,168 | | | | 359,439 | | | | | | | | 6/21/23 | | | | 6,663 | | | | — | |
British Pound | | | JPHQ | | | | Sell | | | | 41,727 | | | | 50,000 | | | | | | | | 6/21/23 | | | | — | | | | (1,931 | ) |
Chinese Yuan | | | CITI | | | | Buy | | | | 7,200,000 | | | | 1,016,188 | | | | | | | | 6/21/23 | | | | — | | | | (2,641 | ) |
Chinese Yuan | | | GSCO | | | | Buy | | | | 12,000,000 | | | | 1,751,825 | | | | | | | | 6/21/23 | | | | — | | | | (62,580 | ) |
Chinese Yuan | | | HSBC | | | | Buy | | | | 10,554 | | | | 1,498 | | | | | | | | 6/21/23 | | | | — | | | | (12 | ) |
Euro | | | JPHQ | | | | Sell | | | | 50,000 | | | | 381,152 | | | | CNY | | | | 6/21/23 | | | | 1,661 | | | | (1,519 | ) |
Chinese Yuan | | | JPHQ | | | | Buy | | | | 27,196,535 | | | | 3,964,130 | | | | | | | | 6/21/23 | | | | — | | | | (135,663 | ) |
Chinese Yuan | | | JPHQ | | | | Sell | | | | 3,211,348 | | | | 463,000 | | | | | | | | 6/21/23 | | | | 10,937 | | | | — | |
Euro | | | BNYM | | | | Buy | | | | 423,439 | | | | 460,372 | | | | | | | | 6/21/23 | | | | — | | | | (7,188 | ) |
Euro | | | BNYM | | | | Sell | | | | 6,628,725 | | | | 7,165,785 | | | | | | | | 6/21/23 | | | | 71,417 | | | | — | |
Euro | | | BOFA | | | | Buy | | | | 100,000 | | | | 109,523 | | | | | | | | 6/21/23 | | | | — | | | | (2,498 | ) |
Euro | | | BZWS | | | | Buy | | | | 46,786 | | | | 51,359 | | | | | | | | 6/21/23 | | | | — | | | | (1,287 | ) |
Chinese Yuan | | | HSBC | | | | Sell | | | | 378,173 | | | | 50,000 | | | | EUR | | | | 6/21/23 | | | | 2,214 | | | | (1,938 | ) |
Japanese Yen | | | HSBC | | | | Sell | | | | 7,409,692 | | | | 50,000 | | | | EUR | | | | 6/21/23 | | | | 1,871 | | | | (1,720 | ) |
Euro | | | HSBC | | | | Sell | | | | 100,000 | | | | 110,819 | | | | | | | | 6/21/23 | | | | 3,794 | | | | — | |
Singapore Dollar | | | JPHQ | | | | Sell | | | | 644,952 | | | | 440,000 | | | | EUR | | | | 6/21/23 | | | | 7,066 | | | | (13,438 | ) |
Japanese Yen | | | JPHQ | | | | Sell | | | | 14,869,430 | | | | 100,000 | | | | EUR | | | | 6/21/23 | | | | 1,189 | | | | (1,247 | ) |
Euro | | | JPHQ | | | | Buy | | | | 645,952 | | | | 702,999 | | | | | | | | 6/21/23 | | | | — | | | | (11,671 | ) |
Euro | | | JPHQ | | | | Sell | | | | 2,358,306 | | | | 2,558,941 | | | | | | | | 6/21/23 | | | | 35,472 | | | | (502 | ) |
Euro | | | MSCO | | | | Buy | | | | 50,000 | | | | 55,305 | | | | | | | | 6/21/23 | | | | — | | | | (1,793 | ) |
Hong Kong Dollar | | | BNPP | | | | Buy | | | | 7,824,020 | | | | 1,000,000 | | | | | | | | 6/21/23 | | | | — | | | | (289 | ) |
Hong Kong Dollar | | | BOFA | | | | Sell | | | | 10,931,200 | | | | 1,400,000 | | | | | | | | 6/21/23 | | | | 3,270 | | | | — | |
Hong Kong Dollar | | | BZWS | | | | Buy | | | | 16,422,420 | | | | 2,100,000 | | | | | | | | 6/21/23 | | | | — | | | | (1,632 | ) |
Hong Kong Dollar | | | CITI | | | | Sell | | | | 2,335,500 | | | | 300,000 | | | | | | | | 6/21/23 | | | | 1,582 | | | | — | |
Hong Kong Dollar | | | GSCO | | | | Buy | | | | 16,480,739 | | | | 2,103,560 | | | | | | | | 6/21/23 | | | | 2,260 | | | | — | |
Hong Kong Dollar | | | HSBC | | | | Sell | | | | 32,857,096 | | | | 4,205,590 | | | | | | | | 6/21/23 | | | | 7,288 | | | | — | |
Hong Kong Dollar | | | JPHQ | | | | Buy | | | | 72,637,747 | | | | 9,280,000 | | | | | | | | 6/21/23 | | | | 4,518 | | | | (3,259 | ) |
Hong Kong Dollar | | | JPHQ | | | | Sell | | | | 68,788,688 | | | | 8,805,710 | | | | | | | | 6/21/23 | | | | 16,264 | | | | — | |
Indian Rupee | | | BNPP | | | | Buy | | | | 16,686,220 | | | | 200,000 | | | | | | | | 6/21/23 | | | | 1,541 | | | | — | |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 69 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Forward Exchange Contracts (continued) | | | | | | | |
| | | | | | | | |
| Currency | | Counterpartya | | | Type | | | Quantity | | | Contract
Amount* | | | | | | Settlement
Date | | | Unrealized
Appreciation | | | Unrealized
Depreciation | |
| OTC Forward Exchange Contracts (continued) | | | | | | | | | | | | | | | | |
Indian Rupee | | | BOFA | | | | Buy | | | | 16,683,000 | | | | 200,000 | | | | | | | | 6/21/23 | | | $ | 1,502 | | | $ | — | |
Indian Rupee | | | CITI | | | | Buy | | | | 843,929,040 | | | | 10,120,000 | | | | | | | | 6/21/23 | | | | 73,225 | | | | — | |
Indian Rupee | | | CITI | | | | Sell | | | | 992,347,559 | | | | 12,026,000 | | | | | | | | 6/21/23 | | | | 40,132 | | | | — | |
Indian Rupee | | | HSBC | | | | Buy | | | | 21,676,694 | | | | 260,000 | | | | | | | | 6/21/23 | | | | 1,817 | | | | — | |
Indian Rupee | | | HSBC | | | | Sell | | | | 29,861,201 | | | | 360,151 | | | | | | | | 6/21/23 | | | | — | | | | (521 | ) |
Indian Rupee | | | JPHQ | | | | Buy | | | | 48,048,672 | | | | 580,000 | | | | | | | | 6/21/23 | | | | 1,694 | | | | (1,347 | ) |
Indian Rupee | | | MSCO | | | | Buy | | | | 85,560,288 | | | | 1,026,000 | | | | | | | | 6/21/23 | | | | 7,423 | | | | — | |
Indian Rupee | | | MSCO | | | | Sell | | | | 10,517,104 | | | | 127,415 | | | | | | | | 6/21/23 | | | | 386 | | | | — | |
Indonesian Rupiah | | | BNPP | | | | Buy | | | | 21,529,734,000 | | | | 1,400,000 | | | | | | | | 6/21/23 | | | | 37,615 | | | | (1,668 | ) |
Indonesian Rupiah | | | BNPP | | | | Sell | | | | 24,775,536,000 | | | | 1,600,000 | | | | | | | | 6/21/23 | | | | — | | | | (52,429 | ) |
Indonesian Rupiah | | | BZWS | | | | Buy | | | | 7,852,500,000 | | | | 500,000 | | | | | | | | 6/21/23 | | | | 23,730 | | | | — | |
Indonesian Rupiah | | | CITI | | | | Buy | | | | 7,853,000,000 | | | | 500,000 | | | | | | | | 6/21/23 | | | | 23,764 | | | | — | |
Indonesian Rupiah | | | HSBC | | | | Sell | | | | 1,676,158,000 | | | | 107,481 | | | | | | | | 6/21/23 | | | | — | | | | (4,312 | ) |
Indonesian Rupiah | | | JPHQ | | | | Buy | | | | 15,944,375,600 | | | | 1,034,305 | | | | | | | | 6/21/23 | | | | 29,124 | | | | (2 | ) |
Indonesian Rupiah | | | JPHQ | | | | Sell | | | | 26,721,291,600 | | | | 1,734,000 | | | | | | | | 6/21/23 | | | | 2,110 | | | | (50,313 | ) |
Japanese Yen | | | BNYM | | | | Sell | | | | 111,279,177 | | | | 847,003 | | | | | | | | 6/21/23 | | | | 45,623 | | | | — | |
Japanese Yen | | | CITI | | | | Buy | | | | 26,654,950 | | | | 200,000 | | | | | | | | 6/21/23 | | | | — | | | | (8,044 | ) |
Japanese Yen | | | CITI | | | | Sell | | | | 107,123,557 | | | | 788,848 | | | | | | | | 6/21/23 | | | | 17,395 | | | | — | |
Euro | | | GSCO | | | | Sell | | | | 50,000 | | | | 7,453,280 | | | | JPY | | | | 6/21/23 | | | | 2,121 | | | | (1,958 | ) |
Japanese Yen | | | GSCO | | | | Sell | | | | 26,448,140 | | | | 200,000 | | | | | | | | 6/21/23 | | | | 9,533 | | | | — | |
Japanese Yen | | | HSBC | | | | Sell | | | | 7,859,263 | | | | 60,000 | | | | | | | | 6/21/23 | | | | 3,401 | | | | — | |
South Korean Won | | | JPHQ | | | | Sell | | | | 531,037,900 | | | | 54,000,000 | | | | JPY | | | | 6/21/23 | | | | 4,252 | | | | (15,950 | ) |
Euro | | | JPHQ | | | | Sell | | | | 200,000 | | | | 29,651,882 | | | | JPY | | | | 6/21/23 | | | | 4,707 | | | | (5,219 | ) |
Japanese Yen | | | JPHQ | | | | Buy | | | | 407,509,725 | | | | 3,089,287 | | | | | | | | 6/21/23 | | | | — | | | | (154,593 | ) |
Japanese Yen | | | JPHQ | | | | Sell | | | | 301,000,270 | | | | 2,287,541 | | | | | | | | 6/21/23 | | | | 119,879 | | | | — | |
New Zealand Dollar | | | GSCO | | | | Sell | | | | 200,000 | | | | 121,916 | | | | | | | | 6/21/23 | | | | 1,467 | | | | — | |
New Zealand Dollar | | | HSBC | | | | Buy | | | | 100,528 | | | | 62,391 | | | | | | | | 6/21/23 | | | | — | | | | (1,849 | ) |
New Zealand Dollar | | | HSBC | | | | Sell | | | | 108,768 | | | | 67,506 | | | | | | | | 6/21/23 | | | | 2,002 | | | | — | |
Australian Dollar | | | JPHQ | | | | Sell | | | | 340,000 | | | | 368,352 | | | | NZD | | | | 6/21/23 | | | | 7,324 | | | | (6,820 | ) |
New Zealand Dollar | | | JPHQ | | | | Buy | | | | 608,711 | | | | 377,643 | | | | | | | | | | | | — | | | | (11,051 | ) |
New Zealand Dollar | | | JPHQ | | | | Sell | | | | 200,000 | | | | 121,929 | | | | | | | | 6/21/23 | | | | 1,480 | | | | — | |
Australian Dollar | | | MSCO | | | | Sell | | | | 420,000 | | | | 450,762 | | | | NZD | | | | 6/21/23 | | | | — | | | | (1,945 | ) |
Norwegian Krone | | | BOFA | | | | Sell | | | | 1,056,016 | | | | 100,000 | | | | | | | | 6/21/23 | | | | 4,765 | | | | — | |
Norwegian Krone | | | BZWS | | | | Buy | | | | 552,309 | | | | 50,000 | | | | | | | | 6/21/23 | | | | — | | | | (191 | ) |
Norwegian Krone | | | BZWS | | | | Sell | | | | 1,057,450 | | | | 100,000 | | | | | | | | 6/21/23 | | | | 4,635 | | | | — | |
Australian Dollar | | | GSCO | | | | Sell | | | | 250,000 | | | | 1,760,489 | | | | NOK | | | | 6/21/23 | | | | 5,776 | | | | (9,754 | ) |
Australian Dollar | | | HSBC | | | | Sell | | | | 100,000 | | | | 715,161 | | | | NOK | | | | 6/21/23 | | | | 1,687 | | | | (2,289 | ) |
Australian Dollar | | | JPHQ | | | | Sell | | | | 250,000 | | | | 1,755,544 | | | | NOK | | | | 6/21/23 | | | | 4,965 | | | | (9,388 | ) |
Norwegian Krone | | | JPHQ | | | | Buy | | | | 4,670,260 | | | | 440,000 | | | | | | | | 6/21/23 | | | | — | | | | (18,819 | ) |
Norwegian Krone | | | JPHQ | | | | Sell | | | | 27,487 | | | | 2,521 | | | | | | | | 6/21/23 | | | | 42 | | | | — | |
Australian Dollar | | | MSCO | | | | Sell | | | | 100,000 | | | | 699,216 | | | | NOK | | | | 6/21/23 | | | | 3,081 | | | | (5,121 | ) |
Philippine Peso | | | CITI | | | | Sell | | | | 7,459,152 | | | | 134,000 | | | | | | | | 6/21/23 | | | | 1,276 | | | | — | |
Philippine Peso | | | JPHQ | | | | Buy | | | | 36,506,622 | | | | 660,981 | | | | | | | | 6/21/23 | | | | 167 | | | | (11,571 | ) |
Philippine Peso | | | JPHQ | | | | Sell | | | | 28,992,600 | | | | 520,000 | | | | | | | | 6/21/23 | | | | 4,123 | | | | — | |
Australian Dollar | | | BNPP | | | | Sell | | | | 100,000 | | | | 89,629 | | | | SGD | | | | 6/21/23 | | | | 1,498 | | | | (268 | ) |
Singapore Dollar | | | BOFA | | | | Buy | | | | 264,230 | | | | 200,000 | | | | | | | | 6/21/23 | | | | — | | | | (4,463 | ) |
Australian Dollar | | | CITI | | | | Sell | | | | 300,000 | | | | 268,671 | | | | SGD | | | | 6/21/23 | | | | 5,678 | | | | (2,151 | ) |
Euro | | | CITI | | | | Sell | | | | 290,000 | | | | 423,271 | | | | SGD | | | | 6/21/23 | | | | 5,517 | | | | (2,658 | ) |
Singapore Dollar | | | CITI | | | | Buy | | | | 679,072 | | | | 505,219 | | | | | | | | 6/21/23 | | | | — | | | | (2,690 | ) |
Singapore Dollar | | | CITI | | | | Sell | | | | 2,021,354 | | | | 1,525,400 | | | | | | | | 6/21/23 | | | | 29,548 | | | | — | |
Singapore Dollar | | | GSCO | | | | Buy | | | | 397,008 | | | | 300,000 | | | | | | | | 6/21/23 | | | | — | | | | (6,204 | ) |
Singapore Dollar | | | HSBC | | | | Buy | | | | 1,187,503 | | | | 895,688 | | | | | | | | 6/21/23 | | | | — | | | | (16,905 | ) |
Singapore Dollar | | | HSBC | | | | Sell | | | | 480,245 | | | | 359,653 | | | | | | | | 6/21/23 | | | | 4,260 | | | | — | |
Euro | | | JPHQ | | | | Sell | | | | 150,000 | | | | 219,947 | | | | SGD | | | | 6/21/23 | | | | 4,579 | | | | (2,350 | ) |
Singapore Dollar | | | JPHQ | | | | Buy | | | | 2,441,329 | | | | 1,823,219 | | | | | | | | 6/21/23 | | | | — | | | | (16,575 | ) |
Singapore Dollar | | | JPHQ | | | | Sell | | | | 1,747,261 | | | | 1,310,776 | | | | | | | | 6/21/23 | | | | 17,758 | | | | — | |
South Korean Won | | | BNPP | | | | Buy | | | | 1,753,915,500 | | | | 1,350,000 | | | | | | | | 6/21/23 | | | | — | | | | (26,963 | ) |
| | | | | | | | | | |
| | | | | | |
| 70 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Forward Exchange Contracts (continued) | | | | | | | |
| | | | | | | | |
| Currency | | Counterpartya | | | Type | | | Quantity | | | Contract
Amount* | | | | | | Settlement
Date | | | Unrealized
Appreciation | | | Unrealized
Depreciation | |
| OTC Forward Exchange Contracts (continued) | | | | | | | | | | | | | | | | |
South Korean Won | | | BNPP | | | | Sell | | | | 132,991,000 | | | | 100,000 | | | | | | | | 6/21/23 | | | $ | — | | | $ | (320 | ) |
South Korean Won | | | BOFA | | | | Buy | | | | 396,212,000 | | | | 300,000 | | | | | | | | 6/21/23 | | | | 402 | | | | (1,526 | ) |
South Korean Won | | | BOFA | | | | Sell | | | | 250,161,600 | | | | 190,000 | | | | | | | | 6/21/23 | | | | 1,295 | | | | — | |
South Korean Won | | | BZWS | | | | Buy | | | | 5,200,466,000 | | | | 4,000,000 | | | | | | | | 6/21/23 | | | | 4,633 | | | | (81,749 | ) |
South Korean Won | | | CITI | | | | Buy | | | | 1,970,495,653 | | | | 1,511,395 | | | | | | | | 6/21/23 | | | | — | | | | (24,985 | ) |
South Korean Won | | | CITI | | | | Sell | | | | 14,566,002,590 | | | | 11,285,179 | | | | | | | | 6/21/23 | | | | 297,562 | | | | — | |
South Korean Won | | | GSCO | | | | Buy | | | | 61,031,850 | | | | 47,000 | | | | | | | | 6/21/23 | | | | — | | | | (962 | ) |
South Korean Won | | | HSBC | | | | Buy | | | | 195,232,720 | | | | 150,602 | | | | | | | | 6/21/23 | | | | — | | | | (3,332 | ) |
Japanese Yen | | | JPHQ | | | | Sell | | | | 22,000,000 | | | | 220,132,000 | | | | KRW | | | | 6/21/23 | | | | 9,122 | | | | (1,503 | ) |
South Korean Won | | | JPHQ | | | | Buy | | | | 6,723,371,884 | | | | 5,120,000 | | | | | | | | 6/21/23 | | | | 7,286 | | | | (55,625 | ) |
South Korean Won | | | JPHQ | | | | Sell | | | | 904,972,700 | | | | 690,000 | | | | | | | | 6/21/23 | | | | 8,418 | | | | (1,068 | ) |
South Korean Won | | | MSCO | | | | Buy | | | | 412,107 | | | | 312 | | | | | | | | 6/21/23 | | | | — | | | | (1 | ) |
South Korean Won | | | MSCO | | | | Sell | | | | 185,121,020 | | | | 140,000 | | | | | | | | 6/21/23 | | | | 357 | | | | — | |
Swiss Franc | | | BNYM | | | | Sell | | | | 750,665 | | | | 832,841 | | | | | | | | 6/21/23 | | | | 6,526 | | | | — | |
Swiss Franc | | | JPHQ | | | | Buy | | | | 922,000 | | | | 1,023,756 | | | | | | | | 6/21/23 | | | | — | | | | (8,838 | ) |
Swiss Franc | | | JPHQ | | | | Sell | | | | 922,000 | | | | 1,038,761 | | | | | | | | 6/21/23 | | | | 23,843 | | | | — | |
Taiwan Dollar | | | BNPP | | | | Sell | | | | 7,331,760 | | | | 240,000 | | | | | | | | 6/21/23 | | | | 827 | | | | — | |
Taiwan Dollar | | | BOFA | | | | Buy | | | | 815,856 | | | | 27,000 | | | | | | | | 6/21/23 | | | | — | | | | (386 | ) |
Taiwan Dollar | | | HSBC | | | | Sell | | | | 5,329,286 | | | | 177,000 | | | | | | | | 6/21/23 | | | | 3,150 | | | | — | |
Taiwan Dollar | | | JPHQ | | | | Buy | | | | 16,744,474 | | | | 550,319 | | | | | | | | 6/21/23 | | | | 199 | | | | (4,288 | ) |
Taiwan Dollar | | | JPHQ | | | | Sell | | | | 14,999,664 | | | | 492,240 | | | | | | | | 6/21/23 | | | | 3,106 | | | | (177 | ) |
Taiwan Dollar | | | MSCO | | | | Buy | | | | 10,134,598 | | | | 330,000 | | | | | | | | 6/21/23 | | | | 606 | | | | — | |
Thai Baht | | | GSCO | | | | Buy | | | | 944,972 | | | | 28,000 | | | | | | | | 6/21/23 | | | | — | | | | (787 | ) |
Thai Baht | | | HSBC | | | | Buy | | | | 3,385,710 | | | | 100,000 | | | | | | | | 6/21/23 | | | | — | | | | (2,498 | ) |
Thai Baht | | | JPHQ | | | | Buy | | | | 3,418,201 | | | | 100,786 | | | | | | | | 6/21/23 | | | | — | | | | (2,349 | ) |
Thai Baht | | | JPHQ | | | | Sell | | | | 7,691,383 | | | | 228,000 | | | | | | | | 6/21/23 | | | | 6,504 | | | | — | |
South Korean Won | | | GSCO | | | | Sell | | | | 400,167,300 | | | | 300,000 | | | | | | | | 6/22/23 | | | | — | | | | (1,877 | ) |
South Korean Won | | | JPHQ | | | | Buy | | | | 398,515,800 | | | | 300,000 | | | | | | | | 6/22/23 | | | | 631 | | | | — | |
Australian Dollarb | | | MSCO | | | | Buy | | | | 9,226,000 | | | | 6,144,430 | | | | | | | | 6/23/23 | | | | 147 | | | | (138,138 | ) |
Australian Dollarb | | | MSCO | | | | Sell | | | | 18,552,000 | | | | 12,410,597 | | | | | | | | 6/23/23 | | | | 332,619 | | | | — | |
British Poundb | | | MSCO | | | | Buy | | | | 10,855,000 | | | | 13,397,865 | | | | | | | | 6/23/23 | | | | 122,421 | | | | (10,314 | ) |
British Poundb | | | MSCO | | | | Sell | | | | 7,087,000 | | | | 8,649,815 | | | | | | | | 6/23/23 | | | | 24,186 | | | | (194,746 | ) |
Canadian Dollarb | | | MSCO | | | | Buy | | | | 9,227,000 | | | | 6,749,947 | | | | | | | | 6/23/23 | | | | 52,281 | | | | (864 | ) |
Canadian Dollarb | | | MSCO | | | | Sell | | | | 25,743,000 | | | | 18,937,597 | | | | | | | | 6/23/23 | | | | 43,551 | | | | (81,517 | ) |
Eurob | | | MSCO | | | | Buy | | | | 9,640,000 | | | | 10,495,381 | | | | | | | | 6/23/23 | | | | 9,629 | | | | (186,604 | ) |
Eurob | | | MSCO | | | | Sell | | | | 11,036,000 | | | | 12,058,149 | | | | | | | | 6/23/23 | | | | 247,331 | | | | (1,831 | ) |
Japanese Yenb | | | MSCO | | | | Buy | | | | 479,552,000 | | | | 3,567,117 | | | | | | | | 6/23/23 | | | | 6,824 | | | | (119,335 | ) |
Japanese Yenb | | | MSCO | | | | Sell | | | | 1,381,621,000 | | | | 10,320,986 | | | | | | | | 6/23/23 | | | | 372,883 | | | | (4,850 | ) |
Mexican Pesob | | | MSCO | | | | Buy | | | | 115,317,700 | | | | 6,270,357 | | | | | | | | 6/23/23 | | | | 215,873 | | | | (118 | ) |
Mexican Pesob | | | MSCO | | | | Sell | | | | 40,650,700 | | | | 2,124,585 | | | | | | | | 6/23/23 | | | | — | | | | (161,838 | ) |
New Zealand Dollarb | | | MSCO | | | | Buy | | | | 8,914,000 | | | | 5,555,354 | | | | | | | | 6/23/23 | | | | — | | | | (187,007 | ) |
New Zealand Dollarb | | | MSCO | | | | Sell | | | | 11,164,000 | | | | 6,884,958 | | | | | | | | 6/23/23 | | | | 161,685 | | | | (108 | ) |
South Korean Won | | | GSCO | | | | Sell | | | | 528,733,200 | | | | 400,000 | | | | | | | | 6/23/23 | | | | 1,114 | | | | — | |
South Korean Won | | | HSBC | | | | Buy | | | | 528,944,000 | | | | 400,000 | | | | | | | | 6/23/23 | | | | — | | | | (955 | ) |
South Korean Won | | | JPHQ | | | | Buy | | | | 400,050,000 | | | | 300,000 | | | | | | | | 6/23/23 | | | | 1,805 | | | | — | |
South Korean Won | | | JPHQ | | | | Sell | | | | 398,498,430 | | | | 300,000 | | | | | | | | 6/23/23 | | | | — | | | | (635 | ) |
Swiss Francb | | | MSCO | | | | Buy | | | | 6,697,000 | | | | 7,411,924 | | | | | | | | 6/23/23 | | | | 19,632 | | | | (57,867 | ) |
Swiss Francb | | | MSCO | | | | Sell | | | | 7,960,000 | | | | 8,648,745 | | | | | | | | 6/23/23 | | | | 30,638 | | | | (146,197 | ) |
Australian Dollar | | | BNYM | | | | Sell | | | | 180,000 | | | | 119,921 | | | | | | | | 6/29/23 | | | | 2,708 | | | | — | |
Canadian Dollar | | | BNYM | | | | Sell | | | | 1,109,000 | | | | 807,956 | | | | | | | | 6/29/23 | | | | — | | | | (9,640 | ) |
Euro | | | BNYM | | | | Sell | | | | 2,942,000 | | | | 3,199,975 | | | | | | | | 6/29/23 | | | | 49,803 | | | | — | |
Hong Kong Dollar | | | BNYM | | | | Sell | | | | 9,897,000 | | | | 1,266,087 | | | | | | | | 6/29/23 | | | | 1,245 | | | | — | |
Indian Rupee | | | BNPP | | | | Buy | | | | 57,398,250 | | | | 700,000 | | | | | | | | 6/29/23 | | | | — | | | | (6,922 | ) |
Indian Rupee | | | JPHQ | | | | Sell | | | | 57,855,000 | | | | 700,000 | | | | | | | | 6/29/23 | | | | 1,407 | | | | — | |
Indian Rupee | | | MSCO | | | | Buy | | | | 456,750 | | | | 5,507 | | | | | | | | 6/29/23 | | | | 8 | | | | — | |
Canadian Dollar | | | BNYM | | | | Sell | | | | 6,135,000 | | | | 4,522,495 | | | | | | | | 6/30/23 | | | | — | | | | (580 | ) |
Euro | | | BNYM | | | | Sell | | | | 665,000 | | | | 724,298 | | | | | | | | 6/30/23 | | | | 12,201 | | | | — | |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 71 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Forward Exchange Contracts (continued) | | | | | | | |
| | | | | | | | |
| Currency | | Counterpartya | | | Type | | | Quantity | | | Contract
Amount* | | | | | | Settlement
Date | | | Unrealized
Appreciation | | | Unrealized
Depreciation | |
| OTC Forward Exchange Contracts (continued) | | | | | | | | | | | | | | | | |
Singapore Dollar | | | BOFA | | | | Buy | | | | 2,200,000 | | | | 1,663,818 | | | | | | | | 7/10/23 | | | $ | — | | | $ | (34,574 | ) |
Singapore Dollar | | | BOFA | | | | Sell | | | | 3,247,920 | | | | 2,400,000 | | | | | | | | 7/10/23 | | | | — | | | | (5,297 | ) |
Singapore Dollar | | | BZWS | | | | Sell | | | | 3,233,016 | | | | 2,400,000 | | | | | | | | 7/10/23 | | | | 5,741 | | | | — | |
Singapore Dollar | | | CITI | | | | Buy | | | | 2,022,599 | | | | 1,500,000 | | | | | | | | 7/10/23 | | | | — | | | | (2,133 | ) |
Singapore Dollar | | | GSCO | | | | Buy | | | | 1,668,284 | | | | 1,236,984 | | | | | | | | 7/10/23 | | | | — | | | | (1,511 | ) |
Singapore Dollar | | | GSCO | | | | Sell | | | �� | 6,495,096 | | | | 4,800,000 | | | | | | | | 7/10/23 | | | | — | | | | (10,042 | ) |
Singapore Dollar | | | HSBC | | | | Buy | | | | 200,000 | | | | 151,194 | | | | | | | | 7/10/23 | | | | — | | | | (3,081 | ) |
Singapore Dollar | | | HSBC | | | | Sell | | | | 3,414,890 | | | | 2,523,466 | | | | | | | | 7/10/23 | | | | — | | | | (5,482 | ) |
Singapore Dollar | | | JPHQ | | | | Buy | | | | 14,028,272 | | | | 10,544,941 | | | | | | | | 7/10/23 | | | | 20 | | | | (156,108 | ) |
Singapore Dollar | | | JPHQ | | | | Sell | | | | 3,728,232 | | | | 2,755,446 | | | | | | | | 7/10/23 | | | | — | | | | (5,553 | ) |
Colombian Peso | | | JPHQ | | | | Sell | | | | 424,857,000 | | | | 90,607 | | | | | | | | 7/11/23 | | | | — | | | | (3,847 | ) |
Chinese Yuan | | | BNPP | | | | Sell | | | | 2,012,527 | | | | 285,845 | | | | | | | | 7/17/23 | | | | 1,874 | | | | — | |
Chinese Yuan | | | GSCO | | | | Buy | | | | 1,260,453 | | | | 180,000 | | | | | | | | 7/17/23 | | | | — | | | | (2,148 | ) |
Chinese Yuan | | | JPHQ | | | | Buy | | | | 2,764,600 | | | | 400,000 | | | | | | | | 7/17/23 | | | | — | | | | (9,910 | ) |
Chinese Yuan | | | JPHQ | | | | Sell | | | | 2,012,527 | | | | 285,844 | | | | | | | | 7/17/23 | | | | 1,873 | | | | — | |
Chinese Yuan | | | BNPP | | | | Buy | | | | 12,000,000 | | | | 1,756,093 | | | | | | | | 7/18/23 | | | | — | | | | (62,717 | ) |
Chinese Yuan | | | CITI | | | | Buy | | | | 9,600,000 | | | | 1,357,946 | | | | | | | | 7/18/23 | | | | — | | | | (3,246 | ) |
Chinese Yuan | | | JPHQ | | | | Buy | | | | 36,000,000 | | | | 5,268,681 | | | | | | | | 7/18/23 | | | | — | | | | (188,553 | ) |
Colombian Peso | | | BNPP | | | | Buy | | | | 159,750,077 | | | | 34,150 | | | | | | | | 7/19/23 | | | | 1,296 | | | | — | |
Colombian Peso | | | CITI | | | | Sell | | | | 17,460,365,436 | | | | 3,736,676 | | | | | | | | 7/19/23 | | | | — | | | | (137,517 | ) |
Colombian Peso | | | GSCO | | | | Sell | | | | 4,173,660,755 | | | | 904,959 | | | | | | | | 7/19/23 | | | | — | | | | (21,114 | ) |
Colombian Peso | | | JPHQ | | | | Buy | | | | 662,081,426 | | | | 146,452 | | | | | | | | 7/19/23 | | | | 454 | | | | — | |
Japanese Yen | | | BOFA | | | | Buy | | | | 51,229,022 | | | | 404,000 | | | | | | | | 7/19/23 | | | | — | | | | (33,450 | ) |
Japanese Yen | | | JPHQ | | | | Buy | | | | 12,523,792 | | | | 100,330 | | | | | | | | 7/19/23 | | | | — | | | | (9,743 | ) |
Japanese Yen | | | JPHQ | | | | Sell | | | | 63,707,282 | | | | 504,330 | | | | | | | | 7/19/23 | | | | 43,522 | | | | — | |
Chilean Peso | | | JPHQ | | | | Buy | | | | 1,226,142,000 | | | | 1,530,000 | | | | | | | | 7/20/23 | | | | — | | | | (26,765 | ) |
Chilean Peso | | | JPHQ | | | | Sell | | | | 3,356,983,003 | | | | 4,150,844 | | | | | | | | 7/20/23 | | | | 35,375 | | | | (152 | ) |
Czech Koruna | | | BNPP | | | | Sell | | | | 28,529,088 | | | | 1,206,306 | | | | EUR | | | | 7/20/23 | | | | 42,305 | | | | (31,875 | ) |
Euro | | | BZWS | | | | Buy | | | | 159,114 | | | | 175,100 | | | | | | | | 7/20/23 | | | | — | | | | (4,529 | ) |
Euro | | | BZWS | | | | Sell | | | | 2,790,955 | | | | 3,030,000 | | | | | | | | 7/20/23 | | | | 38,086 | | | | — | |
Euro | | | CITI | | | | Sell | | | | 2,376,412 | | | | 2,570,000 | | | | | | | | 7/20/23 | | | | 22,477 | | | | — | |
Hungarian Forint | | | JPHQ | | | | Sell | | | | 28,756,785 | | | | 73,713 | | | | EUR | | | | 7/20/23 | | | | — | | | | (2,776 | ) |
Euro | | | JPHQ | | | | Buy | | | | 4,969,601 | | | | 5,452,909 | | | | | | | | 7/20/23 | | | | — | | | | (125,479 | ) |
Euro | | | JPHQ | | | | Sell | | | | 1,100,928 | | | | 1,208,820 | | | | | | | | 7/20/23 | | | | 28,621 | | | | — | |
Swedish Krona | | | MSCO | | | | Sell | | | | 15,421,608 | | | | 1,340,000 | | | | EUR | | | | 7/20/23 | | | | 20,292 | | | | (8,815 | ) |
Euro | | | MSCO | | | | Sell | | | | 125,000 | | | | 137,877 | | | | | | | | 7/20/23 | | | | 3,877 | | | | — | |
Indian Rupee | | | MSCO | | | | Buy | | | | 200,609,679 | | | | 2,430,012 | | | | | | | | 7/20/23 | | | | — | | | | (9,607 | ) |
Indonesian Rupiah | | | BNPP | | | | Buy | | | | 22,281,671,866 | | | | 1,483,378 | | | | | | | | 7/20/23 | | | | 2,275 | | | | — | |
Indonesian Rupiah | | | BZWS | | | | Sell | | | | 18,246,241,897 | | | | 1,218,912 | | | | | | | | 7/20/23 | | | | 2,325 | | | | — | |
Indonesian Rupiah | | | JPHQ | | | | Sell | | | | 6,446,353,914 | | | | 433,106 | | | | | | | | 7/20/23 | | | | 3,289 | | | | — | |
Japanese Yen | | | BZWS | | | | Sell | | | | 195,058,350 | | | | 1,450,000 | | | | | | | | 7/20/23 | | | | 38,884 | | | | — | |
Japanese Yen | | | JPHQ | | | | Buy | | | | 690,776,761 | | | | 5,293,388 | | | | | | | | 7/20/23 | | | | — | | | | (296,081 | ) |
Malaysian Ringgit | | | HSBC | | | | Buy | | | | 6,553,544 | | | | 1,497,953 | | | | | | | | 7/20/23 | | | | — | | | | (72,741 | ) |
Malaysian Ringgit | | | HSBC | | | | Sell | | | | 6,592,014 | | | | 1,430,000 | | | | | | | | 7/20/23 | | | | — | | | | (3,578 | ) |
Mexican Peso | | | BZWS | | | | Sell | | | | 65,460,892 | | | | 3,570,000 | | | | | | | | 7/20/23 | | | | — | | | | (92,120 | ) |
Mexican Peso | | | JPHQ | | | | Buy | | | | 32,112,654 | | | | 1,716,793 | | | | | | | | 7/20/23 | | | | 79,706 | | | | — | |
New Israeli Shekel | | | CITI | | | | Buy | | | | 5,292,337 | | | | 1,477,887 | | | | | | | | 7/20/23 | | | | — | | | | (56,100 | ) |
New Israeli Shekel | | | GSCO | | | | Buy | | | | 3,574,844 | | | | 980,000 | | | | | | | | 7/20/23 | | | | — | | | | (19,618 | ) |
Peruvian Nuevo Sol | | | BZWS | | | | Sell | | | | 3,586,985 | | | | 945,151 | | | | | | | | 7/20/23 | | | | — | | | | (27,970 | ) |
Philippine Peso | | | BZWS | | | | Buy | | | | 67,618,430 | | | | 1,210,000 | | | | | | | | 7/20/23 | | | | — | | | | (7,916 | ) |
Philippine Peso | | | CITI | | | | Buy | | | | 5,682,269 | | | | 101,029 | | | | | | | | 7/20/23 | | | | — | | | | (13 | ) |
Philippine Peso | | | HSBC | | | | Buy | | | | 16,158,245 | | | | 288,386 | | | | | | | | 7/20/23 | | | | — | | | | (1,133 | ) |
Philippine Peso | | | JPHQ | | | | Buy | | | | 41,021,396 | | | | 730,584 | | | | | | | | 7/20/23 | | | | 423 | | | | (1,751 | ) |
Philippine Peso | | | JPHQ | | | | Sell | | | | 130,540,494 | | | | 2,396,976 | | | | | | | | 7/20/23 | | | | 76,297 | | | | — | |
Polish Zloty | | | CITI | | | | Sell | | | | 2,071,115 | | | | 478,591 | | | | | | | | 7/20/23 | | | | — | | | | (9,077 | ) |
Euro | | | JPHQ | | | | Sell | | | | 263,427 | | | | 1,248,708 | | | | PLN | | | | 7/20/23 | | | | 11,629 | | | | — | |
| | | | | | | | | | |
| | | | | | |
| 72 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Forward Exchange Contracts (continued) | | | | | | | |
| | | | | | | | |
| Currency | | Counterpartya | | | Type | | | Quantity | | | Contract
Amount* | | | | | | Settlement
Date | | | Unrealized
Appreciation | | | Unrealized
Depreciation | |
| OTC Forward Exchange Contracts (continued) | | | | | | | | | | | | | | | | |
Romanian Leu | | | JPHQ | | | | Sell | | | | 2,149,628 | | | | 473,350 | | | | | | | | 7/20/23 | | | $ | 11,238 | | | $ | — | |
Singapore Dollar | | | BNPP | | | | Buy | | | | 9,749,062 | | | | 7,400,000 | | | | | | | | 7/20/23 | | | | — | | | | (177,187 | ) |
Singapore Dollar | | | GSCO | | | | Sell | | | | 3,018,670 | | | | 2,237,072 | | | | | | | | 7/20/23 | | | | 629 | | | | (7 | ) |
Singapore Dollar | | | HSBC | | | | Buy | | | | 1,844,836 | | | | 1,400,000 | | | | | | | | 7/20/23 | | | | — | | | | (33,212 | ) |
Singapore Dollar | | | HSBC | | | | Sell | | | | 3,237,010 | | | | 2,400,000 | | | | | | | | 7/20/23 | | | | 1,788 | | | | — | |
Singapore Dollar | | | JPHQ | | | | Buy | | | | 4,070,487 | | | | 3,082,267 | | | | | | | | 7/20/23 | | | | 25 | | | | (66,580 | ) |
Singapore Dollar | | | JPHQ | | | | Sell | | | | 8,348,737 | | | | 6,197,046 | | | | | | | | 7/20/23 | | | | 11,729 | | | | (33 | ) |
Singapore Dollar | | | MSCO | | | | Buy | | | | 260,000 | | | | 195,459 | | | | | | | | 7/20/23 | | | | — | | | | (2,832 | ) |
Singapore Dollar | | | MSCO | | | | Sell | | | | 1,672,593 | | | | 1,240,000 | | | | | | | | 7/20/23 | | | | 1,228 | | | | (406 | ) |
South African Rand | | | BZWS | | | | Sell | | | | 43,987,160 | | | | 2,380,000 | | | | | | | | 7/20/23 | | | | 160,430 | | | | — | |
South African Rand | | | GSCO | | | | Buy | | | | 42,733,230 | | | | 2,260,000 | | | | | | | | 7/20/23 | | | | — | | | | (103,703 | ) |
South African Rand | | | GSCO | | | | Sell | | | | 68,593,558 | | | | 3,580,000 | | | | | | | | 7/20/23 | | | | 118,804 | | | | — | |
South African Rand | | | JPHQ | | | | Sell | | | | 6,769,100 | | | | 370,863 | | | | | | | | 7/20/23 | | | | 29,298 | | | | — | |
South African Rand | | | MSCO | | | | Buy | | | | 30,467,520 | | | | 1,600,000 | | | | | | | | 7/20/23 | | | | — | | | | (62,624 | ) |
South Korean Won | | | JPHQ | | | | Sell | | | | 139,642,500 | | | | 106,926 | | | | | | | | 7/20/23 | | | | 1,416 | | | | — | |
Euro | | | BZWS | | | | Sell | | | | 1,324,726 | | | | 15,071,800 | | | | SEK | | | | 7/20/23 | | | | 33,785 | | | | (61,212 | ) |
Taiwan Dollar | | | BNPP | | | | Buy | | | | 11,913,320 | | | | 400,000 | | | | | | | | 7/20/23 | | | | — | | | | (10,091 | ) |
Taiwan Dollar | | | CITI | | | | Sell | | | | 12,272,400 | | | | 400,000 | | | | | | | | 7/20/23 | | | | — | | | | (1,661 | ) |
Taiwan Dollar | | | JPHQ | | | | Buy | | | | 17,976,800 | | | | 598,000 | | | | | | | | 7/20/23 | | | | 298 | | | | (9,938 | ) |
Thai Baht | | | BZWS | | | | Buy | | | | 29,931,556 | | | | 887,247 | | | | | | | | 7/20/23 | | | | — | | | | (22,734 | ) |
Thai Baht | | | CITI | | | | Buy | | | | 23,997,917 | | | | 712,369 | | | | | | | | 7/20/23 | | | | — | | | | (19,237 | ) |
Thai Baht | | | CITI | | | | Sell | | | | 82,534,100 | | | | 2,420,000 | | | | | | | | 7/20/23 | | | | 36,167 | | | | — | |
Thai Baht | | | JPHQ | | | | Buy | | | | 28,797,500 | | | | 853,511 | | | | | | | | 7/20/23 | | | | — | | | | (21,753 | ) |
Euro | | | BOFA | | | | Sell | | | | 300,000 | | | | 323,385 | | | | | | | | 7/21/23 | | | | 1,766 | | | | — | |
Euro | | | JPHQ | | | | Buy | | | | 100,000 | | | | 111,082 | | | | | | | | 7/21/23 | | | | — | | | | (3,876 | ) |
Kazakhstan Tenge | | | JPHQ | | | | Buy | | | | 224,880,000 | | | | 480,000 | | | | | | | | 7/25/23 | | | | 15,584 | | | | — | |
Euro | | | BZWS | | | | Sell | | | | 115,000 | | | | 128,117 | | | | | | | | 7/31/23 | | | | 4,761 | | | | — | |
Euro | | | JPHQ | | | | Sell | | | | 370,000 | | | | 412,150 | | | | | | | | 7/31/23 | | | | 15,266 | | | | — | |
Indian Rupee | | | BZWS | | | | Buy | | | | 16,552,400 | | | | 200,000 | | | | | | | | 8/01/23 | | | | — | | | | (386 | ) |
Indian Rupee | | | HSBC | | | | Sell | | | | 842,248 | | | | 10,200 | | | | | | | | 8/01/23 | | | | 43 | | | | — | |
Brazilian Real | | | JPHQ | | | | Buy | | | | 7,611,995 | | | | 1,493,720 | | | | | | | | 8/02/23 | | | | — | | | | (10,341 | ) |
South Korean Won | | | MSCO | | | | Buy | | | | 511,530,743 | | | | 386,242 | | | | | | | | 8/10/23 | | | | 787 | | | | — | |
South Korean Won | | | MSCO | | | | Sell | | | | 2,095,913,814 | | | | 1,593,894 | | | | | | | | 8/10/23 | | | | 8,105 | | | | — | |
Hong Kong Dollar | | | JPHQ | | | | Buy | | | | 24,627,648 | | | | 3,150,000 | | | | | | | | 8/14/23 | | | | 1,411 | | | | — | |
Hong Kong Dollar | | | JPHQ | | | | Sell | | | | 24,605,028 | | | | 3,150,000 | | | | | | | | 8/14/23 | | | | 1,484 | | | | — | |
South Korean Won | | | JPHQ | | | | Sell | | | | 35,226,000 | | | | 3,600,000 | | | | JPY | | | | 8/16/23 | | | | 903 | | | | (1,403 | ) |
Philippine Peso | | | BZWS | | | | Sell | | | | 27,718,500 | | | | 500,000 | | | | | | | | 8/16/23 | | | | 7,615 | | | | — | |
Philippine Peso | | | CITI | | | | Buy | | | | 28,225,000 | | | | 500,000 | | | | | | | | 8/16/23 | | | | 1,382 | | | | — | |
Philippine Peso | | | JPHQ | | | | Buy | | | | 55,947,750 | | | | 1,000,000 | | | | | | | | 8/16/23 | | | | 1,373 | | | | (7,531 | ) |
Philippine Peso | | | JPHQ | | | | Sell | | | | 56,454,250 | | | | 1,018,052 | | | | | | | | 8/16/23 | | | | 15,212 | | | | — | |
Japanese Yen | | | JPHQ | | | | Sell | | | | 3,600,000 | | | | 35,215,200 | | | | KRW | | | | 8/16/23 | | | | 1,816 | | | | (1,324 | ) |
Singapore Dollar | | | CITI | | | | Sell | | | | 1,324,700 | | | | 1,000,000 | | | | | | | | 8/17/23 | | | | 17,410 | | | | — | |
Singapore Dollar | | | JPHQ | | | | Buy | | | | 3,975,690 | | | | 3,010,267 | | | | | | | | 8/17/23 | | | | — | | | | (61,319 | ) |
Singapore Dollar | | | JPHQ | | | | Sell | | | | 2,650,990 | | | | 2,000,000 | | | | | | | | 8/17/23 | | | | 33,641 | | | | — | |
Euro | | | JPHQ | | | | Sell | | | | 180,000 | | | | 196,581 | | | | | | | | 8/18/23 | | | | 3,288 | | | | — | |
Chinese Yuan | | | BNPP | | | | Buy | | | | 13,705,291 | | | | 2,040,000 | | | | | | | | 8/21/23 | | | | — | | | | (100,424 | ) |
Chinese Yuan | | | BNPP | | | | Sell | | | | 9,474,234 | | | | 1,400,000 | | | | | | | | 8/21/23 | | | | 59,204 | | | | — | |
Chinese Yuan | | | BOFA | | | | Sell | | | | 7,400,000 | | | | 1,103,819 | | | | | | | | 8/21/23 | | | | 56,569 | | | | — | |
Chinese Yuan | | | BZWS | | | | Buy | | | | 9,334,500 | | | | 1,400,000 | | | | | | | | 8/21/23 | | | | — | | | | (78,980 | ) |
Chinese Yuan | | | CITI | | | | Buy | | | | 817,040 | | | | 116,359 | | | | | | | | 8/21/23 | | | | — | | | | (731 | ) |
Chinese Yuan | | | CITI | | | | Sell | | | | 9,019,630 | | | | 1,300,000 | | | | | | | | 8/21/23 | | | | 23,540 | | | | — | |
Chinese Yuan | | | GSCO | | | | Sell | | | | 7,177,730 | | | | 1,060,000 | | | | | | | | 8/21/23 | | | | 44,206 | | | | — | |
Chinese Yuan | | | HSBC | | | | Buy | | | | 9,366,329 | | | | 1,400,000 | | | | | | | | 8/21/23 | | | | — | | | | (74,475 | ) |
Chinese Yuan | | | JPHQ | | | | Buy | | | | 30,757,793 | | | | 4,562,013 | | | | | | | | 8/21/23 | | | | 2,584 | | | | (211,748 | ) |
Chinese Yuan | | | JPHQ | | | | Sell | | | | 30,909,360 | | | | 4,504,110 | | | | | | | | 8/21/23 | | | | 129,811 | | | | — | |
Singapore Dollar | | | CITI | | | | Sell | | | | 1,331,250 | | | | 1,000,000 | | | | | | | | 8/21/23 | | | | 12,385 | | | | — | |
Singapore Dollar | | | JPHQ | | | | Sell | | | | 1,331,285 | | | | 1,000,000 | | | | | | | | 8/21/23 | | | | 12,359 | | | | — | |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 73 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Forward Exchange Contracts (continued) | | | | | | | |
| | | | | | | | |
| Currency | | Counterpartya | | | Type | | | Quantity | | | Contract
Amount* | | | | | | Settlement
Date | | | Unrealized
Appreciation | | | Unrealized
Depreciation | |
| OTC Forward Exchange Contracts (continued) | | | | | | | | | | | | | | | | |
Singapore Dollar | | | MSCO | | | | Sell | | | | 1,331,700 | | | | 1,000,000 | | | | | | | | 8/21/23 | | | $ | 12,051 | | | $ | — | |
British Pound | | | MSCO | | | | Buy | | | | 200,000 | | | | 247,417 | | | | | | | | 8/31/23 | | | | 1,769 | | | | — | |
British Pound | | | MSCO | | | | Sell | | | | 900,000 | | | | 1,123,050 | | | | | | | | 8/31/23 | | | | 2,276 | | | | (565 | ) |
Danish Krone | | | MSCO | | | | Sell | | | | 300,000 | | | | 43,888 | | | | | | | | 8/31/23 | | | | 551 | | | | — | |
Euro | | | MSCO | | | | Sell | | | | 1,850,000 | | | | 2,011,882 | | | | | | | | 8/31/23 | | | | 23,717 | | | | — | |
Polish Zloty | | | MSCO | | | | Buy | | | | 200,000 | | | | 47,586 | | | | | | | | 8/31/23 | | | | — | | | | (600 | ) |
Singapore Dollar | | | JPHQ | | | | Sell | | | | 1,335,000 | | | | 1,000,000 | | | | | | | | 8/31/23 | | | | 9,171 | | | | — | |
Singapore Dollar | | | MSCO | | | | Sell | | | | 1,336,000 | | | | 1,000,000 | | | | | | | | 8/31/23 | | | | 8,429 | | | | — | |
Swedish Krona | | | MSCO | | | | Buy | | | | 800,000 | | | | 76,778 | | | | | | | | 8/31/23 | | | | — | | | | (2,678 | ) |
Swiss Franc | | | MSCO | | | | Buy | | | | 100,000 | | | | 112,519 | | | | | | | | 8/31/23 | | | | — | | | | (1,524 | ) |
Indian Rupee | | | CITI | | | | Buy | | | | 829,518,000 | | | | 10,000,000 | | | | | | | | 9/20/23 | | | | — | | | | (18,649 | ) |
Indian Rupee | | | CITI | | | | Sell | | | | 720,783,100 | | | | 8,600,000 | | | | | | | | 9/20/23 | | | | — | | | | (72,976 | ) |
Indian Rupee | | | GSCO | | | | Sell | | | | 8,376,600 | | | | 100,000 | | | | | | | | 9/20/23 | | | | — | | | | (793 | ) |
Indian Rupee | | | HSBC | | | | Buy | | | | 8,609,740 | | | | 103,786 | | | | | | | | 9/20/23 | | | | — | | | | (187 | ) |
Indian Rupee | | | HSBC | | | | Sell | | | | 25,146,690 | | | | 300,000 | | | | | | | | 9/20/23 | | | | — | | | | (2,583 | ) |
Indian Rupee | | | JPHQ | | | | Buy | | | | 8,370,750 | | | | 100,000 | | | | | | | | 9/20/23 | | | | 723 | | | | — | |
Indian Rupee | | | JPHQ | | | | Sell | | | | 8,377,100 | | | | 100,000 | | | | | | | | 9/20/23 | | | | — | | | | (799 | ) |
Indian Rupee | | | MSCO | | | | Sell | | | | 83,815,000 | | | | 1,000,000 | | | | | | | | 9/20/23 | | | | — | | | | (8,522 | ) |
Philippine Peso | | | CITI | | | | Sell | | | | 32,274,950 | | | | 575,106 | | | | | | | | 9/20/23 | | | | 2,240 | | | | — | |
Philippine Peso | | | JPHQ | | | | Buy | | | | 115,854,950 | | | | 2,018,607 | | | | | | | | 9/20/23 | | | | 37,827 | | | | (60 | ) |
Philippine Peso | | | JPHQ | | | | Sell | | | | 83,580,000 | | | | 1,500,000 | | | | | | | | 9/20/23 | | | | 16,491 | | | | — | |
Taiwan Dollar | | | BOFA | | | | Buy | | | | 2,949,220 | | | | 100,000 | | | | | | | | 9/22/23 | | | | — | | | | (2,714 | ) |
Taiwan Dollar | | | CITI | | | | Sell | | | | 3,657,192 | | | | 120,000 | | | | | | | | 9/22/23 | | | | — | | | | (640 | ) |
Taiwan Dollar | | | JPHQ | | | | Buy | | | | 12,549,100 | | | | 420,000 | | | | | | | | 9/22/23 | | | | — | | | | (6,042 | ) |
Taiwan Dollar | | | JPHQ | | | | Sell | | | | 12,162,000 | | | | 400,000 | | | | | | | | 9/22/23 | | | | — | | | | (1,189 | ) |
Singapore Dollar | | | BNPP | | | | Buy | | | | 1,200,000 | | | | 908,069 | | | | | | | | 9/25/23 | | | | — | | | | (16,351 | ) |
Singapore Dollar | | | BNPP | | | | Sell | | | | 1,263,468 | | | | 902,624 | | | | | | | | 9/25/23 | | | | 3,291 | | | | (39,549 | ) |
Singapore Dollar | | | BOFA | | | | Buy | | | | 2,400,000 | | | | 1,758,950 | | | | | | | | 9/25/23 | | | | 24,486 | | | | — | |
Singapore Dollar | | | BOFA | | | | Sell | | | | 5,212,801 | | | | 3,704,007 | | | | | | | | 9/25/23 | | | | — | | | | (169,619 | ) |
Singapore Dollar | | | CITI | | | | Buy | | | | 2,400,000 | | | | 1,759,274 | | | | | | | | 9/25/23 | | | | 24,162 | | | | — | |
Singapore Dollar | | | GSCO | | | | Buy | | | | 2,800,000 | | | | 2,080,798 | | | | | | | | 9/25/23 | | | | 15,670 | | | | (15,792 | ) |
Singapore Dollar | | | GSCO | | | | Sell | | | | 1,800,000 | | | | 1,276,970 | | | | | | | | 9/25/23 | | | | — | | | | (60,608 | ) |
Singapore Dollar | | | HSBC | | | | Buy | | | | 2,400,000 | | | | 1,787,320 | | | | | | | | 9/25/23 | | | | 12,436 | | | | (16,320 | ) |
Singapore Dollar | | | HSBC | | | | Sell | | | | 840,564 | | | | 600,000 | | | | | | | | 9/25/23 | | | | — | | | | (24,622 | ) |
Singapore Dollar | | | JPHQ | | | | Buy | | | | 8,160,000 | | | | 6,039,590 | | | | | | | | 9/25/23 | | | | 56,113 | | | | (32,019 | ) |
Singapore Dollar | | | JPHQ | | | | Sell | | | | 4,801,840 | | | | 3,408,005 | | | | | | | | 9/25/23 | | | | — | | | | (160,235 | ) |
Singapore Dollar | | | MSCO | | | | Sell | | | | 5,441,328 | | | | 3,871,969 | | | | | | | | 9/25/23 | | | | — | | | | (171,475 | ) |
Romanian Leu | | | JPHQ | | | | Sell | | | | 7,256,277 | | | | 1,440,000 | | | | EUR | | | | 9/29/23 | | | | 19,741 | | | | (27,270 | ) |
Indian Rupee | | | GSCO | | | | Buy | | | | 42,700,000 | | | | 500,000 | | | | | | | | 10/16/23 | | | | 13,231 | | | | — | |
Indian Rupee | | | JPHQ | | | | Sell | | | | 42,700,000 | | | | 503,085 | | | | | | | | 10/16/23 | | | | — | | | | (10,146 | ) |
Indian Rupee | | | BNPP | | | | Sell | | | | 57,800,750 | | | | 700,000 | | | | | | | | 10/30/23 | | | | 5,679 | | | | — | |
Indian Rupee | | | HSBC | | | | Sell | | | | 474,250 | | | | 5,685 | | | | | | | | 10/30/23 | | | | — | | | | (12 | ) |
Indian Rupee | | | JPHQ | | | | Buy | | | | 58,275,000 | | | | 700,000 | | | | | | | | 10/30/23 | | | | 18 | | | | — | |
Turkish Lira | | | BZWS | | | | Buy | | | | 6,793,927 | | | | 266,481 | | | | | | | | 12/11/23 | | | | — | | | | (26,487 | ) |
Turkish Lira | | | GSCO | | | | Sell | | | | 10,076,008 | | | | 440,963 | | | | | | | | 12/11/23 | | | | 85,030 | | | | — | |
Turkish Lira | | | JPHQ | | | | Buy | | | | 3,282,081 | | | | 143,500 | | | | | | | | 12/11/23 | | | | — | | | | (27,561 | ) |
Hong Kong Dollar | | | BOFA | | | | Buy | | | | 27,974,707 | | | | 3,600,000 | | | | | | | | 12/15/23 | | | | — | | | | (10,206 | ) |
Hong Kong Dollar | | | BZWS | | | | Sell | | | | 73,231,762 | | | | 9,400,000 | | | | | | | | 12/15/23 | | | | 2,694 | | | | — | |
Hong Kong Dollar | | | CITI | | | | Buy | | | | 11,653,650 | | | | 1,500,000 | | | | | | | | 12/15/23 | | | | — | | | | (4,571 | ) |
Hong Kong Dollar | | | GSCO | | | | Buy | | | | 8,545,240 | | | | 1,100,000 | | | | | | | | 12/15/23 | | | | — | | | | (3,451 | ) |
Hong Kong Dollar | | | HSBC | | | | Buy | | | | 28,751,661 | | | | 3,700,000 | | | | | | | | 12/15/23 | | | | — | | | | (10,506 | ) |
Hong Kong Dollar | | | JPHQ | | | | Buy | | | | 27,979,045 | | | | 3,600,000 | | | | | | | | 12/15/23 | | | | — | | | | (9,650 | ) |
Hong Kong Dollar | | | JPHQ | | | | Sell | | | | 31,944,215 | | | | 4,100,000 | | | | | | | | 12/15/23 | | | | 828 | | | | — | |
Hong Kong Dollar | | | BNPP | | | | Sell | | | | 4,661,772 | | | | 600,000 | | | | | | | | 12/20/23 | | | | 1,733 | | | | — | |
Hong Kong Dollar | | | JPHQ | | | | Buy | | | | 9,351,507 | | | | 1,200,000 | | | | | | | | 12/20/23 | | | | 123 | | | | — | |
Hong Kong Dollar | | | JPHQ | | | | Sell | | | | 4,675,738 | | | | 600,000 | | | | | | | | 12/20/23 | | | | — | | | | (59 | ) |
Chinese Yuan | | | BNPP | | | | Buy | | | | 3,411,173 | | | | 500,000 | | | | | | | | 12/21/23 | | | | — | | | | (12,230 | ) |
| | | | | | | | | | |
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| 74 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Forward Exchange Contracts (continued) | | | | | | | |
| | | | | | | | |
| Currency | | Counterpartya | | | Type | | | Quantity | | | Contract
Amount* | | | | | | Settlement
Date | | | Unrealized
Appreciation | | | Unrealized
Depreciation | |
| OTC Forward Exchange Contracts (continued) | | | | | | | | | | | | | | | | |
Chinese Yuan | | | BNPP | | | | Sell | | | | 20,611,080 | | | | 3,000,000 | | | | | | | | 12/21/23 | | | $ | 52,785 | | | $ | — | |
Chinese Yuan | | | CITI | | | | Buy | | | | 20,445,000 | | | | 3,000,000 | | | | | | | | 12/21/23 | | | | — | | | | (76,533 | ) |
Chinese Yuan | | | HSBC | | | | Buy | | | | 6,804,785 | | | | 1,000,000 | | | | | | | | 12/21/23 | | | | — | | | | (26,972 | ) |
Chinese Yuan | | | JPHQ | | | | Buy | | | | 10,214,340 | | | | 1,500,000 | | | | | | | | 12/21/23 | | | | — | | | | (39,433 | ) |
Chinese Yuan | | | JPHQ | | | | Sell | | | | 20,622,720 | | | | 3,000,000 | | | | | | | | 12/21/23 | | | | 51,120 | | | | — | |
Hong Kong Dollar | | | HSBC | | | | Sell | | | | 20,810,278 | | | | 2,668,750 | | | | | | | | 12/22/23 | | | | — | | | | (2,029 | ) |
Hong Kong Dollar | | | JPHQ | | | | Buy | | | | 9,338,140 | | | | 1,200,000 | | | | | | | | 12/22/23 | | | | 56 | | | | (1,605 | ) |
Hong Kong Dollar | | | JPHQ | | | | Sell | | | | 9,351,063 | | | | 1,200,000 | | | | | | | | 12/22/23 | | | | — | | | | (110 | ) |
Singapore Dollar | | | BNPP | | | | Buy | | | | 2,367,792 | | | | 1,800,000 | | | | | | | | 1/10/24 | | | | — | | | | (31,875 | ) |
Singapore Dollar | | | BOFA | | | | Sell | | | | 2,633,600 | | | | 2,000,000 | | | | | | | | 1/10/24 | | | | 33,385 | | | | — | |
Singapore Dollar | | | GSCO | | | | Sell | | | | 2,632,600 | | | | 2,000,000 | | | | | | | | 1/10/24 | | | | 34,132 | | | | — | |
Singapore Dollar | | | JPHQ | | | | Buy | | | | 5,556,024 | | | | 4,200,000 | | | | | | | | 1/10/24 | | | | — | | | | (51,094 | ) |
Singapore Dollar | | | JPHQ | | | | Sell | | | | 2,632,800 | | | | 2,000,000 | | | | | | | | 1/10/24 | | | | 33,983 | | | | — | |
Singapore Dollar | | | BNPP | | | | Sell | | | | 9,693,652 | | | | 7,400,000 | | | | | | | | 1/22/24 | | | | 157,762 | | | | — | |
Singapore Dollar | | | GSCO | | | | Buy | | | | 2,675,236 | | | | 2,000,000 | | | | | | | | 1/22/24 | | | | — | | | | (1,301 | ) |
Singapore Dollar | | | HSBC | | | | Buy | | | | 3,208,690 | | | | 2,400,000 | | | | | | | | 1/22/24 | | | | — | | | | (2,751 | ) |
Singapore Dollar | | | HSBC | | | | Sell | | | | 1,834,476 | | | | 1,400,000 | | | | | | | | 1/22/24 | | | | 29,442 | | | | — | |
Singapore Dollar | | | JPHQ | | | | Buy | | | | 7,956,209 | | | | 5,960,000 | | | | | | | | 1/22/24 | | | | — | | | | (15,827 | ) |
Singapore Dollar | | | JPHQ | | | | Sell | | | | 3,669,851 | | | | 2,800,000 | | | | | | | | 1/22/24 | | | | 58,213 | | | | — | |
Singapore Dollar | | | MSCO | | | | Buy | | | | 1,657,235 | | | | 1,240,000 | | | | | | | | 1/22/24 | | | | — | | | | (1,861 | ) |
Chinese Yuan | | | BNPP | | | | Buy | | | | 2,012,527 | | | | 290,440 | | | | | | | | 2/07/24 | | | | — | | | | (1,577 | ) |
Chinese Yuan | | | CITI | | | | Sell | | | | 817,040 | | | | 117,890 | | | | | | | | 2/07/24 | | | | 618 | | | | — | |
Chinese Yuan | | | JPHQ | | | | Buy | | | | 2,012,527 | | | | 290,436 | | | | | | | | 2/07/24 | | | | — | | | | (1,573 | ) |
Chinese Yuan | | | JPHQ | | | | Sell | | | | 3,208,013 | | | | 480,000 | | | | | | | | 2/07/24 | | | | 19,546 | | | | — | |
Chinese Yuan | | | BNPP | | | | Sell | | | | 18,000,000 | | | | 2,668,770 | | | | | | | | 3/04/24 | | | | 80,097 | | | | — | |
Chinese Yuan | | | BOFA | | | | Buy | | | | 40,000,000 | | | | 5,937,361 | | | | | | | | 3/04/24 | | | | — | | | | (184,755 | ) |
Chinese Yuan | | | HSBC | | | | Sell | | | | 11,000,000 | | | | 1,631,722 | | | | | | | | 3/04/24 | | | | 49,755 | | | | — | |
Chinese Yuan | | | JPHQ | | | | Buy | | | | 40,000,000 | | | | 5,943,592 | | | | | | | | 3/04/24 | | | | — | | | | (190,986 | ) |
Chinese Yuan | | | JPHQ | | | | Sell | | | | 51,000,000 | | | | 7,566,197 | | | | | | | | 3/04/24 | | | | 231,623 | | | | — | |
Singapore Dollar | | | BNPP | | | | Sell | | | | 4,500,000 | | | | 3,388,238 | | | | | | | | 3/13/24 | | | | 19,136 | | | | — | |
Singapore Dollar | | | GSCO | | | | Sell | | | | 1,500,000 | | | | 1,132,931 | | | | | | | | 3/13/24 | | | | 9,897 | | | | — | |
Singapore Dollar | | | HSBC | | | | Sell | | | | 6,000,000 | | | | 4,532,201 | | | | | | | | 3/13/24 | | | | 40,065 | | | | — | |
Singapore Dollar | | | MSCO | | | | Sell | | | | 1,500,000 | | | | 1,132,375 | | | | | | | | 3/13/24 | | | | 9,341 | | | | — | |
Chinese Yuan | | | BNPP | | | | Sell | | | | 3,401,173 | | | | 500,000 | | | | | | | | 3/15/24 | | | | 10,485 | | | | — | |
Chinese Yuan | | | BZWS | | | | Buy | | | | 6,620,910 | | | | 1,000,000 | | | | | | | | 3/15/24 | | | | — | | | | (47,083 | ) |
Chinese Yuan | | | HSBC | | | | Sell | | | | 6,782,785 | | | | 1,000,000 | | | | | | | | 3/15/24 | | | | 23,785 | | | | — | |
Chinese Yuan | | | JPHQ | | | | Buy | | | | 13,235,600 | | | | 2,000,000 | | | | | | | | 3/15/24 | | | | — | | | | (95,060 | ) |
Chinese Yuan | | | JPHQ | | | | Sell | | | | 10,183,340 | | | | 1,500,000 | | | | | | | | 3/15/24 | | | | 34,359 | | | | — | |
Indian Rupee | | | BNPP | | | | Buy | | | | 42,179,250 | | | | 500,000 | | | | | | | | 3/15/24 | | | | 3,279 | | | | — | |
Indian Rupee | | | GSCO | | | | Buy | | | | 41,927,500 | | | | 500,000 | | | | | | | | 3/15/24 | | | | 275 | | | | — | |
Indian Rupee | | | JPHQ | | | | Buy | | | | 42,215,000 | | | | 500,000 | | | | | | | | 3/15/24 | | | | 3,705 | | | | — | |
Indian Rupee | | | JPHQ | | | | Sell | | | | 84,060,000 | | | | 1,000,000 | | | | | | | | 3/15/24 | | | | — | | | | (2,995 | ) |
Indian Rupee | | | MSCO | | | | Sell | | | | 42,155,000 | | | | 500,000 | | | | | | | | 3/15/24 | | | | — | | | | (2,989 | ) |
South Korean Won | | | BNPP | | | | Buy | | | | 1,815,285,000 | | | | 1,500,000 | | | | | | | | 3/15/24 | | | | — | | | | (107,255 | ) |
South Korean Won | | | BNPP | | | | Sell | | | | 1,807,969,240 | | | | 1,400,000 | | | | | | | | 3/15/24 | | | | 12,868 | | | | — | |
South Korean Won | | | BZWS | | | | Sell | | | | 1,912,755,000 | | | | 1,500,000 | | | | | | | | 3/15/24 | | | | 32,473 | | | | — | |
South Korean Won | | | CITI | | | | Buy | | | | 15,268,499,260 | | | | 12,497,211 | | | | | | | | 3/15/24 | | | | — | | | | (782,729 | ) |
South Korean Won | | | CITI | | | | Sell | | | | 12,639,530,000 | | | | 9,900,000 | | | | | | | | 3/15/24 | | | | 202,548 | | | | — | |
South Korean Won | | | GSCO | | | | Sell | | | | 93,922,120 | | | | 72,461 | | | | | | | | 3/15/24 | | | | 401 | | | | — | |
South Korean Won | | | JPHQ | | | | Buy | | | | 5,338,805,000 | | | | 4,400,000 | | | | | | | | 3/15/24 | | | | — | | | | (303,898 | ) |
South Korean Won | | | JPHQ | | | | Sell | | | | 5,968,412,900 | | | | 4,600,000 | | | | | | | | 3/15/24 | | | | 20,843 | | | | — | |
Singapore Dollar | | | BNPP | | | | Sell | | | | 4,200,000 | | | | 3,167,094 | | | | | | | | 3/20/24 | | | | 21,688 | | | | — | |
Singapore Dollar | | | HSBC | | | | Sell | | | | 2,250,000 | | | | 1,687,846 | | | | | | | | 3/20/24 | | | | 2,808 | | | | — | |
Singapore Dollar | | | JPHQ | | | | Sell | | | | 2,250,000 | | | | 1,687,669 | | | | | | | | 3/20/24 | | | | 2,631 | | | | — | |
Chinese Yuan | | | CITI | | | | Sell | | | | 7,200,000 | | | | 1,039,261 | | | | | | | | 3/21/24 | | | | 2,565 | | | | — | |
Chinese Yuan | | | GSCO | | | | Sell | | | | 12,000,000 | | | | 1,775,805 | | | | | | | | 3/21/24 | | | | 47,978 | | | | — | |
Chinese Yuan | | | JPHQ | | | | Sell | | | | 24,000,000 | | | | 3,548,575 | | | | | | | | 3/21/24 | | | | 92,921 | | | | — | |
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| franklintempleton.com | | Annual Report | | | | | | | | 75 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Forward Exchange Contracts (continued) | | | | | | | |
| | | | | | | | |
| Currency | | Counterpartya | | | Type | | | Quantity | | | Contract
Amount* | | | | | | Settlement
Date | | | Unrealized
Appreciation | | | Unrealized
Depreciation | |
| OTC Forward Exchange Contracts (continued) | | | | | | | | | | | | | | | | |
Hong Kong Dollar | | | BZWS | | | | Sell | | | | 16,325,820 | | | | 2,100,000 | | | | | | | | 3/21/24 | | | $ | 1,265 | | | $ | — | |
Hong Kong Dollar | | | GSCO | | | �� | Sell | | | | 16,347,030 | | | | 2,100,000 | | | | | | | | 3/21/24 | | | | — | | | | (1,462 | ) |
Hong Kong Dollar | | | HSBC | | | | Buy | | | | 32,601,895 | | | | 4,200,000 | | | | | | | | 3/21/24 | | | | — | | | | (8,924 | ) |
Hong Kong Dollar | | | JPHQ | | | | Buy | | | | 64,254,132 | | | | 8,280,000 | | | | | | | | 3/21/24 | | | | — | | | | (19,930 | ) |
Hong Kong Dollar | | | JPHQ | | | | Sell | | | | 64,413,452 | | | | 8,280,000 | | | | | | | | 3/21/24 | | | | 2,209 | | | | (2,761 | ) |
Chinese Yuan | | | BNPP | | | | Sell | | | | 12,000,000 | | | | 1,786,631 | | | | | | | | 4/18/24 | | | | 55,436 | | | | — | |
Chinese Yuan | | | CITI | | | | Sell | | | | 9,600,000 | | | | 1,388,728 | | | | | | | | 4/18/24 | | | | 3,772 | | | | — | |
Chinese Yuan | | | JPHQ | | | | Sell | | | | 36,000,000 | | | | 5,360,496 | | | | | | | | 4/18/24 | | | | 166,911 | | | | — | |
Hong Kong Dollar | | | JPHQ | | | | Sell | | | | 41,966,820 | | | | 5,400,000 | | | | | | | | 5/30/24 | | | | — | | | | (1,567 | ) |
South Korean Won | | | BNPP | | | | Sell | | | | 1,532,640,000 | | | | 1,200,000 | | | | | | | | 6/21/24 | | | | 19,184 | | | | — | |
South Korean Won | | | BZWS | | | | Buy | | | | 171,285,880 | | | | 132,836 | | | | | | | | 6/21/24 | | | | — | | | | (870 | ) |
South Korean Won | | | BZWS | | | | Sell | | | | 5,090,765,880 | | | | 4,000,000 | | | | | | | | 6/21/24 | | | | 82,677 | | | | (4,835 | ) |
South Korean Won | | | CITI | | | | Buy | | | | 13,136,320,000 | | | | 10,400,000 | | | | | | | | 6/21/24 | | | | — | | | | (279,178 | ) |
South Korean Won | | | CITI | | | | Sell | | | | 1,532,760,000 | | | | 1,200,000 | | | | | | | | 6/21/24 | | | | 19,092 | | | | — | |
South Korean Won | | | JPHQ | | | | Sell | | | | 5,151,440,000 | | | | 4,000,000 | | | | | | | | 6/21/24 | | | | 37,598 | | | | (6,503 | ) |
Indian Rupee | | | BZWS | | | | Sell | | | | 16,941,400 | | | | 200,000 | | | | | | | | 8/01/24 | | | | — | | | | (1,200 | ) |
Philippine Peso | | | CITI | | | | Buy | | | | 32,274,950 | | | | 569,957 | | | | | | | | 9/20/24 | | | | — | | | | (382 | ) |
Philippine Peso | | | JPHQ | | | | Buy | | | | 84,355,050 | | | | 1,500,000 | | | | | | | | 9/20/24 | | | | — | | | | (11,338 | ) |
Philippine Peso | | | JPHQ | | | | Sell | | | | 116,630,000 | | | | 2,000,000 | | | | | | | | 9/20/24 | | | | — | | | | (58,237 | ) |
Euro | | | JPHQ | | | | Sell | | | | 2,900,000 | | | | 3,396,074 | | | | | | | | 3/31/25 | | | | 215,278 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Forward Exchange Contracts | | | $ | 7,628,648 | | | $ | (9,263,406 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net unrealized appreciation (depreciation) | | | | | | | $ | (1,634,758 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
*In U.S. dollars unless otherwise indicated.
aMay be comprised of multiple contracts with the same counterparty, currency and settlement date.
bA portion or all of the contracts are owned by K2 Holdings Investment Corp., a wholly-owned subsidiary of the Fund. See Note 1(h).
At May 31, 2023, the Fund had the following credit default swap contracts outstanding. See Note 1(d).
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Credit Default Swap Contracts | |
| | | | | | | | | | |
| Description | | Annual
Payment
Rate
Received
(Paid) | | | Payment
Frequency | | | | | | Maturity
Date | | | Notional
Amounta | | | | | | Value | | | Upfront
Payments
(Receipts) | | | Unrealized
Appreciation
(Depreciation) | | | Ratingb | |
| Centrally Cleared Swap Contracts | | | | | | | | | | | | | | | | | | | | | | | | | |
| Contracts to Buy Protectionc | | | | | | | | | | | | | | | | | | | | | | | | | |
| Single Name | | | | | | | | | | | | | | | | | | | |
Government of Egypt | | | (1.00)% | | | | Quarterly | | | | | | | | 6/20/26 | | | | 365,000 | | | | | | | $ | 138,928 | | | $ | 137,787 | | | $ | 1,141 | | | | | |
Government of Indonesia | | | (1.00)% | | | | Quarterly | | | | | | | | 6/20/28 | | | | 500,000 | | | | | | | | (2,370 | ) | | | (1,139 | ) | | | (1,231 | ) | | | | |
Transocean Inc. | | | (1.00)% | | | | Quarterly | | | | | | | | 12/20/27 | | | | 293,000 | | | | | | | | 65,703 | | | | 91,315 | | | | (25,612 | ) | | | | |
| Traded Index | | | | | | | | | | | | | | | | | | | |
CDX.NA.HY.40 | | | (5.00)% | | | | Quarterly | | | | | | | | 6/20/28 | | | | 3,921,000 | | | | | | | | (41,824 | ) | | | (3,137 | ) | | | (38,687 | ) | | | | |
CDX.NA.HY.40 | | | (5.00)% | | | | Quarterly | | | | | | | | 6/20/28 | | | | 2,449,000 | | | | | | | | (26,123 | ) | | | (735 | ) | | | (25,388 | ) | | | | |
CDX.NA.HY.CDSI | | | (1.00)% | | | | Quarterly | | | | | | | | 6/20/28 | | | | 1,200,000 | | | | | | | | (13,463 | ) | | | (12,201 | ) | | | (1,262 | ) | | | | |
CDX.NA.HY.CDSI | | | (5.00)% | | | | Quarterly | | | | | | | | 6/20/28 | | | | 400,000 | | | | | | | | (4,267 | ) | | | (404 | ) | | | (3,863 | ) | | | | |
| Contracts to Sell Protectionc,d | | | | | | | | | | | | | | | | | | | | | | | | | |
| Traded Index | | | | | | | | | | | | | | | | | | | |
CDX.NA.HY.40 | | | 5.00% | | | | Quarterly | | | | | | | | 6/20/28 | | | | 1,520,000 | | | | | | | | 16,213 | | | | (1,216 | ) | | | 17,429 | | |
| Non-Investment
Grade |
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Centrally Cleared Swap Contracts | | | | | | | | | | | | | | | | | | | $ | 132,797 | | | $ | 210,270 | | | $ | (77,473 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | | | | | |
| 76 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Credit Default Swap Contracts (continued) |
| | | | | | | | | | |
| Description | | Annual
Payment
Rate
Received
(Paid) | | | Payment
Frequency | | | Counterparty | | | Maturity
Date | | | Notional
Amounta | | | | | | Value | | | Upfront
Payments
(Receipts) | | | Unrealized
Appreciation
(Depreciation) | | | Ratingb |
| OTC Swap Contracts | | | | | | | | | | | | | | | | | | | | | | | | |
| Contracts to Buy Protectionc | | | | | | | | | | | | | | | | | | | | | | | | |
| Single Name | | | | | | | | | | | | | | | | | | | | | | | | |
Air France-KLM | | | (5.00)% | | | | Quarterly | | | | CITI | | | | 12/20/27 | | | | 27,000 | | | | EUR | | | $ | (958 | ) | | $ | 2,613 | | | $ | (3,571 | ) | | |
Air France-KLM | | | (5.00)% | | | | Quarterly | | | | CITI | | | | 12/20/27 | | | | 38,000 | | | | EUR | | | | (1,348 | ) | | | 3,597 | | | | (4,945 | ) | | |
Air France-KLM | | | (5.00)% | | | | Quarterly | | | | CITI | | | | 12/20/27 | | | | 70,000 | | | | EUR | | | | (2,483 | ) | | | 4,804 | | | | (7,287 | ) | | |
Air France-KLM | | | (5.00)% | | | | Quarterly | | | | CITI | | | | 12/20/27 | | | | 80,000 | | | | EUR | | | | (18,428 | ) | | | 7,190 | | | | (25,618 | ) | | |
Air France-KLM | | | (5.00)% | | | | Quarterly | | | | CITI | | | | 12/20/27 | | | | 132,000 | | | | EUR | | | | (4,683 | ) | | | 9,541 | | | | (14,224 | ) | | |
Air France-KLM | | | (5.00)% | | | | Quarterly | | | | JPHQ | | | | 6/20/24 | | | | 200,000 | | | | EUR | | | | (9,581 | ) | | | 2,700 | | | | (12,281 | ) | | |
Air France-KLM | | | (5.00)% | | | | Quarterly | | | | MSCO | | | | 6/20/24 | | | | 100,000 | | | | EUR | | | | (4,790 | ) | | | 1,723 | | | | (6,513 | ) | | |
American Airlines Inc. | | | (5.00)% | | | | Quarterly | | | | BZWS | | | | 12/20/23 | | | | 27,000 | | | | | | | | (651 | ) | | | 327 | | | | (978 | ) | | |
American Airlines Inc. | | | (5.00)% | | | | Quarterly | | | | BZWS | | | | 12/20/23 | | | | 111,000 | | | | | | | | (2,675 | ) | | | 1,576 | | | | (4,251 | ) | | |
American Airlines Inc. | | | (5.00)% | | | | Quarterly | | | | BZWS | | | | 6/20/24 | | | | 143,000 | | | | | | | | (829 | ) | | | 3,146 | | | | (3,975 | ) | | |
American Airlines Inc. | | | (5.00)% | | | | Quarterly | | | | BZWS | | | | 6/20/24 | | | | 286,000 | | | | | | | | (1,659 | ) | | | 12,627 | | | | (14,286 | ) | | |
American Airlines Inc. | | | (5.00)% | | | | Quarterly | | | | BZWS | | | | 6/20/24 | | | | 178,000 | | | | | | | | (1,032 | ) | | | 13,396 | | | | (14,428 | ) | | |
American Airlines Inc. | | | (5.00)% | | | | Quarterly | | | | BZWS | | | | 12/20/24 | | | | 18,000 | | | | | | | | 179 | | | | 556 | | | | (377 | ) | | |
American Airlines Inc. | | | (5.00)% | | | | Quarterly | | | | BZWS | | | | 12/20/24 | | | | 127,000 | | | | | | | | 1,263 | | | | 5,981 | | | | (4,718 | ) | | |
American Airlines Inc. | | | (5.00)% | | | | Quarterly | | | | BZWS | | | | 12/20/24 | | | | 78,000 | | | | | | | | 776 | | | | 8,225 | | | | (7,449 | ) | | |
American Airlines Inc. | | | (5.00)% | | | | Quarterly | | | | BZWS | | | | 6/20/25 | | | | 72,000 | | | | | | | | 1,744 | | | | 7,124 | | | | (5,380 | ) | | |
American Airlines Inc. | | | (5.00)% | | | | Quarterly | | | | BZWS | | | | 6/20/25 | | | | 288,000 | | | | | | | | 6,977 | | | | 27,048 | | | | (20,071 | ) | | |
American Airlines Inc. | | | (5.00)% | | | | Quarterly | | | | BZWS | | | | 12/20/27 | | | | 144,000 | | | | | | | | 13,457 | | | | 17,892 | | | | (4,435 | ) | | |
American Airlines Inc. | | | (5.00)% | | | | Quarterly | | | | GSCO | | | | 12/20/23 | | | | 216,000 | | | | | | | | (5,205 | ) | | | 2,025 | | | | (7,230 | ) | | |
American Airlines Inc. | | | (5.00)% | | | | Quarterly | | | | GSCO | | | | 12/20/23 | | | | 66,000 | | | | | | | | (1,590 | ) | | | 2,154 | | | | (3,744 | ) | | |
American Airlines Inc. | | | (5.00)% | | | | Quarterly | | | | GSCO | | | | 12/20/23 | | | | 155,000 | | | | | | | | (3,735 | ) | | | 3,705 | | | | (7,440 | ) | | |
American Airlines Inc. | | | (5.00)% | | | | Quarterly | | | | GSCO | | | | 12/20/23 | | | | 483,000 | | | | | | | | (11,639 | ) | | | 4,016 | | | | (15,655 | ) | | |
American Airlines Inc. | | | (5.00)% | | | | Quarterly | | | | GSCO | | | | 6/20/24 | | | | 41,000 | | | | | | | | (238 | ) | | | 2,267 | | | | (2,505 | ) | | |
American Airlines Inc. | | | (5.00)% | | | | Quarterly | | | | GSCO | | | | 6/20/24 | | | | 189,000 | | | | | | | | (1,096 | ) | | | 11,472 | | | | (12,568 | ) | | |
American Airlines Inc. | | | (5.00)% | | | | Quarterly | | | | GSCO | | | | 12/20/24 | | | | 70,000 | | | | | | | | 696 | | | | 7,750 | | | | (7,054 | ) | | |
American Airlines Inc. | | | (5.00)% | | | | Quarterly | | | | GSCO | | | | 12/20/24 | | | | 339,000 | | | | | | | | 3,371 | | | | 20,732 | | | | (17,361 | ) | | |
American Axle & Manufacturing Inc. | | | (5.00)% | | | | Quarterly | | | | MSCO | | | | 6/20/27 | | | | 134,000 | | | | | | | | (3,745 | ) | | | (1,932 | ) | | | (1,813 | ) | | |
American Axle & Manufacturing Inc. | | | (5.00)% | | | | Quarterly | | | | MSCO | | | | 6/20/27 | | | | 62,000 | | | | | | | | (1,733 | ) | | | 577 | | | | (2,310 | ) | | |
Assicurazioni Generali S.p.A. | | | (1.00)% | | | | Quarterly | | | | BNPP | | | | 6/20/28 | | | | 144,000 | | | | EUR | | | | 3,730 | | | | 6,895 | | | | (3,165 | ) | | |
Bank of China | | | (1.00)% | | | | Quarterly | | | | GSCO | | | | 6/20/28 | | | | 216,000 | | | | | | | | (1,867 | ) | | | (193 | ) | | | (1,674 | ) | | |
Bank of China | | | (1.00)% | | | | Quarterly | | | | GSCO | | | | 6/20/28 | | | | 145,000 | | | | | | | | (1,254 | ) | | | — | | | | (1,254 | ) | | |
Bank of China | | | (1.00)% | | | | Quarterly | | | | GSCO | | | | 6/20/28 | | | | 362,000 | | | | | | | | (3,130 | ) | | | 160 | | | | (3,290 | ) | | |
Bank of China | | | (1.00)% | | | | Quarterly | | | | JPHQ | | | | 6/20/26 | | | | 144,000 | | | | | | | | (2,110 | ) | | | (1,145 | ) | | | (965 | ) | | |
Bank of China | | | (1.00)% | | | | Quarterly | | | | JPHQ | | | | 6/20/26 | | | | 144,000 | | | | | | | | (2,110 | ) | | | (1,105 | ) | | | (1,005 | ) | | |
Bank of China | | | (1.00)% | | | | Quarterly | | | | JPHQ | | | | 6/20/28 | | | | 145,000 | | | | | | | | (1,254 | ) | | | 446 | | | | (1,700 | ) | | |
Bank of China | | | (1.00)% | | | | Quarterly | | | | JPHQ | | | | 6/20/28 | | | | 217,000 | | | | | | | | (1,876 | ) | | | 858 | | | | (2,734 | ) | | |
BMW AG | | | (1.00)% | | | | Quarterly | | | | MSCS | | | | 6/20/28 | | | | 579,000 | | | | EUR | | | | (9,340 | ) | | | (6,854 | ) | | | (2,486 | ) | | |
Boparan Finance PLC | | | (5.00)% | | | | Quarterly | | | | JPHQ | | | | 6/20/24 | | | | 72,000 | | | | EUR | | | | 13,928 | | | | 12,896 | | | | 1,032 | | | |
Carnival Corp. | | | (1.00)% | | | | Quarterly | | | | BZWS | | | | 6/20/27 | | | | 66,000 | | | | | | | | 12,428 | | | | 18,507 | | | | (6,079 | ) | | |
Carnival Corp. | | | (1.00)% | | | | Quarterly | | | | BZWS | | | | 6/20/27 | | | | 132,000 | | | | | | | | 24,857 | | | | 34,654 | | | | (9,797 | ) | | |
Carnival Corp. | | | (1.00)% | | | | Quarterly | | | | BZWS | | | | 6/20/27 | | | | 238,000 | | | | | | | | 44,817 | | | | 66,547 | | | | (21,730 | ) | | |
Carnival Corp. | | | (1.00)% | | | | Quarterly | | | | BZWS | | | | 6/20/27 | | | | 462,000 | | | | | | | | 86,998 | | | | 105,264 | | | | (18,266 | ) | | |
Ceconomy AG | | | (1.00)% | | | | Quarterly | | | | MSCO | | | | 6/20/23 | | | | 12,000 | | | | EUR | | | | 23 | | | | 3 | | | | 20 | | | |
Ceconomy AG | | | (1.00)% | | | | Quarterly | | | | MSCO | | | | 12/20/23 | | | | 28,000 | | | | EUR | | | | 309 | | | | 1,294 | | | | (985 | ) | | |
Ceconomy AG | | | (1.00)% | | | | Quarterly | | | | MSCO | | | | 12/20/23 | | | | 26,000 | | | | EUR | | | | 287 | | | | 1,456 | | | | (1,169 | ) | | |
Ceconomy AG | | | (1.00)% | | | | Quarterly | | | | MSCO | | | | 12/20/23 | | | | 26,000 | | | | EUR | | | | 287 | | | | 1,562 | | | | (1,275 | ) | | |
Ceconomy AG | | | (1.00)% | | | | Quarterly | | | | MSCO | | | | 12/20/23 | | | | 26,000 | | | | EUR | | | | 287 | | | | 1,584 | | | | (1,297 | ) | | |
Ceconomy AG | | | (1.00)% | | | | Quarterly | | | | MSCO | | | | 12/20/23 | | | | 52,000 | | | | EUR | | | | 573 | | | | 2,935 | | | | (2,362 | ) | | |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 77 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Credit Default Swap Contracts (continued) |
| | | | | | | | | | |
| Description | | Annual
Payment
Rate
Received
(Paid) | | | Payment
Frequency | | | Counterparty | | | Maturity
Date | | | Notional
Amounta | | | | | | Value | | | Upfront
Payments
(Receipts) | | | Unrealized
Appreciation
(Depreciation) | | | Ratingb |
| OTC Swap Contracts (continued) | | | | | | | | | | | | | | | | | | | | | | | | |
| Contracts to Buy Protectionc (continued) | | | | | | | | | | | | | | | | | | | | | | | | |
| Single Name (continued) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ceconomy AG | | | (1.00)% | | | | Quarterly | | | | MSCO | | | | 6/20/24 | | | | 75,000 | | | | EUR | | | $ | 4,514 | | | $ | 6,745 | | | $ | (2,231 | ) | | |
China Construction | | | (1.00)% | | | | Quarterly | | | | GSCO | | | | 6/20/28 | | | | 217,000 | | | | | | | | (1,868 | ) | | | (388 | ) | | | (1,480 | ) | | |
China Construction | | | (1.00)% | | | | Quarterly | | | | JPHQ | | | | 6/20/26 | | | | 216,000 | | | | | | | | (3,117 | ) | | | (1,656 | ) | | | (1,461 | ) | | |
China Construction | | | (1.00)% | | | | Quarterly | | | | JPHQ | | | | 6/20/26 | | | | 216,000 | | | | | | | | (3,117 | ) | | | (1,655 | ) | | | (1,462 | ) | | |
China Construction | | | (1.00)% | | | | Quarterly | | | | JPHQ | | | | 6/20/28 | | | | 289,000 | | | | | | | | (2,488 | ) | | | (129 | ) | | | (2,359 | ) | | |
China Construction | | | (1.00)% | | | | Quarterly | | | | JPHQ | | | | 6/20/28 | | | | 145,000 | | | | | | | | (1,248 | ) | | | (65 | ) | | | (1,183 | ) | | |
Continental AG | | | (1.00)% | | | | Quarterly | | | | JPHQ | | | | 6/20/28 | | | | 146,000 | | | | EUR | | | | 2,335 | | | | 2,321 | | | | 14 | | | |
Continental AG | | | (1.00)% | | | | Quarterly | | | | MSCS | | | | 6/20/28 | | | | 146,000 | | | | EUR | | | | 2,335 | | | | 2,505 | | | | (170 | ) | | |
Daimler Truck Holding AG | | | (1.00)% | | | | Quarterly | | | | BOFA | | | | 6/20/28 | | | | 292,000 | | | | EUR | | | | (4,047 | ) | | | (4,695 | ) | | | 648 | | | |
Daimler Truck Holding AG | | | (1.00)% | | | | Quarterly | | | | JPHQ | | | | 6/20/28 | | | | 292,000 | | | | EUR | | | | (4,047 | ) | | | (3,559 | ) | | | (488 | ) | | |
Daimler Truck Holding AG | | | (1.00)% | | | | Quarterly | | | | JPHQ | | | | 6/20/28 | | | | 146,000 | | | | EUR | | | | (2,024 | ) | | | (2,385 | ) | | | 361 | | | |
Daimler Truck Holding AG | | | (1.00)% | | | | Quarterly | | | | MSCS | | | | 6/20/28 | | | | 146,000 | | | | EUR | | | | (2,024 | ) | | | (2,244 | ) | | | 220 | | | |
Ford Motor Co. | | | (5.00)% | | | | Quarterly | | | | CITI | | | | 6/20/28 | | | | 438,000 | | | | | | | | (37,490 | ) | | | (29,264 | ) | | | (8,226 | ) | | |
Ford Motor Co. | | | (5.00)% | | | | Quarterly | | | | CITI | | | | 6/20/28 | | | | 190,000 | | | | | | | | (17,258 | ) | | | (14,081 | ) | | | (3,177 | ) | | |
Ford Motor Co. | | | (5.00)% | | | | Quarterly | | | | CITI | | | | 6/20/28 | | | | 102,000 | | | | | | | | (7,479 | ) | | | (7,479 | ) | | | — | | | |
Government of Argentina | | | (5.00)% | | | | Quarterly | | | | BZWS | | | | 12/20/26 | | | | 696,000 | | | | | | | | 482,392 | | | | 274,333 | | | | 208,059 | | | |
Government of Argentina | | | (5.00)% | | | | Quarterly | | | | CITI | | | | 12/20/26 | | | | 195,000 | | | | | | | | 135,153 | | | | 122,925 | | | | 12,228 | | | |
Government of Argentina | | | (5.00)% | | | | Quarterly | | | | GSCO | | | | 12/20/26 | | | | 253,000 | | | | | | | | 175,352 | | | | 98,131 | | | | 77,221 | | | |
Government of Argentina | | | (5.00)% | | | | Quarterly | | | | GSCO | | | | 12/20/26 | | | | 842,000 | | | | | | | | 583,583 | | | | 326,280 | | | | 257,303 | | | |
Government of Argentina | | | (5.00)% | | | | Quarterly | | | | GSCO | | | | 12/20/27 | | | | 1,120,000 | | | | | | | | 799,593 | | | | 626,269 | | | | 173,324 | | | |
Government of Argentina | | | (5.00)% | | | | Quarterly | | | | JPHQ | | | | 12/20/26 | | | | 253,000 | | | | | | | | 175,352 | | | | 98,039 | | | | 77,313 | | | |
Government of Egypt | | | (1.00)% | | | | Quarterly | | | | BZWS | | | | 6/20/24 | | | | 314,000 | | | | | | | | 45,373 | | | | 20,542 | | | | 24,831 | | | |
Government of Egypt | | | (1.00)% | | | | Quarterly | | | | BZWS | | | | 6/20/24 | | | | 610,000 | | | | | | | | 88,146 | | | | 64,291 | | | | 23,855 | | | |
Government of Egypt | | | (1.00)% | | | | Quarterly | | | | BZWS | | | | 12/20/24 | | | | 713,000 | | | | | | | | 161,790 | | | | 65,689 | | | | 96,101 | | | |
Government of Egypt | | | (1.00)% | | | | Quarterly | | | | BZWS | | | | 6/20/26 | | | | 306,000 | | | | | | | | 115,851 | | | | 113,730 | | | | 2,121 | | | |
Government of Egypt | | | (1.00)% | | | | Quarterly | | | | CITI | | | | 12/20/25 | | | | 680,000 | | | | | | | | 231,190 | | | | 162,357 | | | | 68,833 | | | |
Government of Egypt | | | (1.00)% | | | | Quarterly | | | | CITI | | | | 12/20/27 | | | | 680,000 | | | | | | | | 302,473 | | | | 223,448 | | | | 79,025 | | | |
Government of Italy | | | (1.00)% | | | | Quarterly | | | | BOFA | | | | 6/20/24 | | | | 132,000 | | | | | | | | (1,246 | ) | | | 655 | | | | (1,901 | ) | | |
Government of Italy | | | (1.00)% | | | | Quarterly | | | | JPHQ | | | | 6/20/24 | | | | 218,000 | | | | | | | | (2,058 | ) | | | 504 | | | | (2,562 | ) | | |
Government of Japan | | | (1.00)% | | | | Quarterly | | | | BZWS | | | | 6/20/28 | | | | 2,099,000 | | | | | | | | (82,389 | ) | | | (69,909 | ) | | | (12,480 | ) | | |
Government of Japan | | | (1.00)% | | | | Quarterly | | | | GSCO | | | | 6/20/28 | | | | 1,158,000 | | | | | | | | (45,453 | ) | | | (38,568 | ) | | | (6,885 | ) | | |
Government of South Africa | | | (1.00)% | | | | Quarterly | | | | BNPP | | | | 6/20/28 | | | | 3,000,000 | | | | | | | | 269,097 | | | | 289,369 | | | | (20,272 | ) | | |
Government of South Africa | | | (1.00)% | | | | Quarterly | | | | BZWS | | | | 12/20/24 | | | | 1,220,000 | | | | | | | | 13,994 | | | | 17,232 | | | | (3,238 | ) | | |
Government of South Africa | | | (1.00)% | | | | Quarterly | | | | GSCO | | | | 6/20/24 | | | | 1,220,000 | | | | | | | | 5,222 | | | | 10,005 | | | | (4,783 | ) | | |
Groupe Casino | | | (5.00)% | | | | Quarterly | | | | CITI | | | | 6/20/23 | | | | 72,000 | | | | EUR | | | | 7,312 | | | | 5,879 | | | | 1,433 | | | |
Groupe Casino | | | (5.00)% | | | | Quarterly | | | | GSCO | | | | 6/20/23 | | | | 15,000 | | | | EUR | | | | 1,523 | | | | 897 | | | | 626 | | | |
Groupe Casino | | | (5.00)% | | | | Quarterly | | | | GSCO | | | | 6/20/23 | | | | 29,000 | | | | EUR | | | | 2,945 | | | | 1,889 | | | | 1,056 | | | |
Groupe Casino | | | (5.00)% | | | | Quarterly | | | | GSCO | | | | 6/20/23 | | | | 29,000 | | | | EUR | | | | 2,945 | | | | 2,313 | | | | 632 | | | |
HSBC Holdings PLC | | | (1.00)% | | | | Quarterly | | | | JPHQ | | | | 6/20/28 | | | | 144,000 | | | | EUR | | | | 1,426 | | | | 2,268 | | | | (842 | ) | | |
HSBC Holdings PLC | | | (1.00)% | | | | Quarterly | | | | JPHQ | | | | 6/20/28 | | | | 288,000 | | | | EUR | | | | 2,852 | | | | 5,655 | | | | (2,803 | ) | | |
Iceland Bondco | | | (5.00)% | | | | Quarterly | | | | GSCO | | | | 6/20/25 | | | | 36,000 | | | | EUR | | | | 1,738 | | | | 4,159 | | | | (2,421 | ) | | |
Iceland Bondco | | | (5.00)% | | | | Quarterly | | | | JPHQ | | | | 6/20/25 | | | | 24,000 | | | | EUR | | | | 1,159 | | | | 687 | | | | 472 | | | |
Industrial and Commercial Bank of China | | | (1.00)% | | | | Quarterly | | | | GSCO | | | | 6/20/28 | | | | 580,000 | | | | | | | | (5,004 | ) | | | (647 | ) | | | (4,357 | ) | | |
| | | | | | | | | | |
| | | | | | |
| 78 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Credit Default Swap Contracts (continued) |
| | | | | | | | | | |
| Description | | Annual
Payment
Rate
Received
(Paid) | | | Payment
Frequency | | | Counterparty | | | Maturity
Date | | | Notional
Amounta | | | | | | Value | | | Upfront
Payments
(Receipts) | | | Unrealized
Appreciation
(Depreciation) | | | Ratingb |
| OTC Swap Contracts (continued) | | | | | | | | | | | | | | | | | | | | | | | | |
| Contracts to Buy Protectionc (continued) | | | | | | | | | | | | | | | | | | | | | | | | |
| Single Name (continued) | | | | | | | | | | | | | | | |
Industrial and Commercial Bank of China | | | (1.00)% | | | | Quarterly | | | | GSCO | | | | 6/20/28 | | | | 218,000 | | | | EUR | | | $ | (1,881 | ) | | $ | (390 | ) | | $ | (1,491 | ) | | |
Industrial and Commercial Bank of China | | | (1.00)% | | | | Quarterly | | | | GSCO | | | | 6/20/28 | | | | 145,000 | | | | | | | | (1,251 | ) | | | — | | | | (1,251 | ) | | |
Industrial and Commercial Bank of China | | | (1.00)% | | | | Quarterly | | | | JPHQ | | | | 6/20/26 | | | | 144,000 | | | | | | | | (2,120 | ) | | | (1,063 | ) | | | (1,057 | ) | | |
Industrial and Commercial Bank of China | | | (1.00)% | | | | Quarterly | | | | JPHQ | | | | 6/20/28 | | | | 145,000 | | | | | | | | (1,251 | ) | | | 637 | | | | (1,888 | ) | | |
Intesa Sanpaolo S.p.A. | | | (1.00)% | | | | Quarterly | | | | MSCS | | | | 6/20/28 | | | | 73,000 | | | | EUR | | | | 4,895 | | | | 5,274 | | | | (379 | ) | | |
Intesa Sanpaolo S.p.A. | | | (1.00)% | | | | Quarterly | | | | MSCS | | | | 6/20/28 | | | | 73,000 | | | | EUR | | | | 4,895 | | | | 5,294 | | | | (399 | ) | | |
Intesa Sanpaolo S.p.A. | | | (1.00)% | | | | Quarterly | | | | MSCS | | | | 6/20/28 | | | | 146,000 | | | | EUR | | | | 9,790 | | | | 10,588 | | | | (798 | ) | | |
JFE Holdings Inc. | | | (1.00)% | | | | Quarterly | | | | GSCO | | | | 6/20/28 | | | | 187,961,000 | | | | JPY | | | | (39,868 | ) | | | (17,840 | ) | | | (22,028 | ) | | |
Kawasaki Heavy Industries Ltd. | | | (1.00)% | | | | Quarterly | | | | BZWS | | | | 6/20/28 | | | | 166,681,000 | | | | JPY | | | | (38,838 | ) | | | (20,307 | ) | | | (18,531 | ) | | |
Kobe Steel Ltd. | | | (1.00)% | | | | Quarterly | | | | GSCO | | | | 6/20/28 | | | | 181,198,000 | | | | JPY | | | | (8,853 | ) | | | 39,847 | | | | (48,700 | ) | | |
Kohl’s Corp. | | | (1.00)% | | | | Quarterly | | | | JPHQ | | | | 12/20/24 | | | | 171,000 | | | | | | | | 4,773 | | | | 4,909 | | | | (136 | ) | | |
Lanxess AG | | | (1.00)% | | | | Quarterly | | | | GSCO | | | | 6/20/28 | | | | 868,000 | | | | EUR | | | | 25,355 | | | | 20,873 | | | | 4,482 | | | |
Lloyds Bank | | | (1.00)% | | | | Quarterly | | | | CITI | | | | 6/20/28 | | | | 290,000 | | | | EUR | | | | 5,463 | | | | 7,969 | | | | (2,506 | ) | | |
Marubeni Corp. | | | (1.00)% | | | | Quarterly | | | | BZWS | | | | 6/20/28 | | | | 70,000,000 | | | | JPY | | | | (16,925 | ) | | | (17,676 | ) | | | 751 | | | |
MetLife Inc. | | | (1.00)% | | | | Quarterly | | | | BNPP | | | | 6/20/28 | | | | 313,000 | | | | | | | | 1,679 | | | | 3,460 | | | | (1,781 | ) | | |
MetLife Inc. | | | (1.00)% | | | | Quarterly | | | | BZWS | | | | 6/20/28 | | | | 336,000 | | | | | | | | 1,802 | | | | 3,715 | | | | (1,913 | ) | | |
MetLife Inc. | | | (1.00)% | | | | Quarterly | | | | BZWS | | | | 6/20/28 | | | | 438,000 | | | | | | | | 2,349 | | | | 10,551 | | | | (8,202 | ) | | |
Mitsui OSK Lines | | | (1.00)% | | | | Quarterly | | | | CITI | | | | 6/20/28 | | | | 57,834,000 | | | | JPY | | | | (5,426 | ) | | | (653 | ) | | | (4,773 | ) | | |
Mitsui OSK Lines | | | (1.00)% | | | | Quarterly | | | | GSCO | | | | 6/20/28 | | | | 137,356,000 | | | | JPY | | | | (12,887 | ) | | | (2,586 | ) | | | (10,301 | ) | | |
Next PLC | | | (1.00)% | | | | Quarterly | | | | CITI | | | | 6/20/28 | | | | 540,000 | | | | EUR | | | | 8,351 | | | | 15,769 | | | | (7,418 | ) | | |
Nippon Paper Industries Co. Ltd. | | | (1.00)% | | | | Quarterly | | | | CITI | | | | 6/20/25 | | | | 14,608,000 | | | | JPY | | | | (198 | ) | | | 2,149 | | | | (2,347 | ) | | |
Nippon Paper Industries Co. Ltd. | | | (1.00)% | | | | Quarterly | | | | CITI | | | | 6/20/25 | | | | 18,990,000 | | | | JPY | | | | (258 | ) | | | 3,565 | | | | (3,823 | ) | | |
Nippon Paper Industries Co. Ltd. | | | (1.00)% | | | | Quarterly | | | | CITI | | | | 6/20/28 | | | | 14,477,000 | | | | JPY | | | | 4,397 | | | | 11,789 | | | | (7,392 | ) | | |
Nippon Paper Industries Co. Ltd. | | | (1.00)% | | | | Quarterly | | | | JPHQ | | | | 6/20/24 | | | | 14,491,000 | | | | JPY | | | | (664 | ) | | | 972 | | | | (1,636 | ) | | |
Nippon Paper Industries Co. Ltd. | | | (1.00)% | | | | Quarterly | | | | JPHQ | | | | 12/20/24 | | | | 7,245,000 | | | | JPY | | | | (214 | ) | | | 999 | | | | (1,213 | ) | | |
Nippon Paper Industries Co. Ltd. | | | (1.00)% | | | | Quarterly | | | | JPHQ | | | | 6/20/28 | | | | 47,050,000 | | | | JPY | | | | 14,289 | | | | 39,755 | | | | (25,466 | ) | | |
Nippon Steel Corp. | | | (1.00)% | | | | Quarterly | | | | GSCO | | | | 6/20/28 | | | | 202,942,000 | | | | JPY | | | | (45,913 | ) | | | (19,241 | ) | | | (26,672 | ) | | |
Rakuten Group Inc. | | | (1.00)% | | | | Quarterly | | | | BZWS | | | | 12/20/23 | | | | 43,477,000 | | | | JPY | | | | 1,927 | | | | 2,185 | | | | (258 | ) | | |
Rakuten Group Inc. | | | (1.00)% | | | | Quarterly | | | | BZWS | | | | 6/20/24 | | | | 43,477,000 | | | | JPY | | | | 5,589 | | | | 7,804 | | | | (2,215 | ) | | |
Rakuten Group Inc. | | | (1.00)% | | | | Quarterly | | | | BZWS | | | | 12/20/24 | | | | 12,659,000 | | | | JPY | | | | 3,979 | | | | 1,486 | | | | 2,493 | | | |
Rakuten Group Inc. | | | (1.00)% | | | | Quarterly | | | | JPHQ | | | | 12/20/23 | | | | 14,492,000 | | | | JPY | | | | 642 | | | | 942 | | | | (300 | ) | | |
Rakuten Group Inc. | | | (1.00)% | | | | Quarterly | | | | JPHQ | | | | 6/20/24 | | | | 7,246,000 | | | | JPY | | | | 931 | | | | 1,572 | | | | (641 | ) | | |
Rakuten Group Inc. | | | (1.00)% | | | | Quarterly | | | | JPHQ | | | | 12/20/24 | | | | 14,292,000 | | | | JPY | | | | 4,492 | | | | 2,764 | | | | 1,728 | | | |
Saint-Gobain S.A. | | | (1.00)% | | | | Quarterly | | | | CITI | | | | 6/20/28 | | | | 853,000 | | | | EUR | | | | (10,576 | ) | | | — | | | | (10,576 | ) | | |
SES S.A. | | | (1.00)% | | | | Quarterly | | | | JPHQ | | | | 6/20/28 | | | | 173,000 | | | | EUR | | | | 5,164 | | | | 9,483 | | | | (4,319 | ) | | |
SES S.A. | | | (1.00)% | | | | Quarterly | | | | JPHQ | | | | 6/20/28 | | | | 190,000 | | | | EUR | | | | 5,672 | | | | 10,524 | | | | (4,852 | ) | | |
SES S.A. | | | (1.00)% | | | | Quarterly | | | | JPHQ | | | | 6/20/28 | | | | 190,000 | | | | EUR | | | | 5,672 | | | | 10,586 | | | | (4,914 | ) | | |
SES S.A. | | | (1.00)% | | | | Quarterly | | | | JPHQ | | | | 6/20/28 | | | | 253,000 | | | | EUR | | | | 7,553 | | | | 13,978 | | | | (6,425 | ) | | |
SES S.A. | | | (1.00)% | | | | Quarterly | | | | MSCS | | | | 6/20/28 | | | | 114,000 | | | | EUR | | | | 3,403 | | | | 6,669 | | | | (3,266 | ) | | |
SES S.A. | | | (1.00)% | | | | Quarterly | | | | MSCS | | | | 6/20/28 | | | | 133,000 | | | | EUR | | | | 3,970 | | | | 7,485 | | | | (3,515 | ) | | |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 79 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Credit Default Swap Contracts (continued) | |
| | | | | | | | | | |
| Description | | Annual
Payment
Rate
Received
(Paid) | | | Payment
Frequency | | | Counterparty | | | Maturity
Date | | | Notional
Amounta | | | | | | Value | | | Upfront
Payments
(Receipts) | | | Unrealized
Appreciation
(Depreciation) | | | Ratingb | |
| OTC Swap Contracts (continued) | | | | | | | | | | | | | | | | | | | |
| Contracts to Buy Protectionc (continued) | | | | | | | | | | | | | | | | | | | |
| Single Name (continued) | | | | | | | | | | | | | | | | | | | |
Simon Property Group LP | | | (1.00)% | | | | Quarterly | | | | BZWS | | | | 6/20/28 | | | | 688,000 | | | | EUR | | | $ | 744 | | | $ | 10,604 | | | $ | (9,860 | ) | | | | |
Societe Generale SA | | | (1.00)% | | | | Quarterly | | | | BZWS | | | | 12/20/23 | | | | 700,000 | | | | EUR | | | | (3,428 | ) | | | 1,800 | | | | (5,228 | ) | | | | |
Softbank Group Corp. | | | (1.00)% | | | | Quarterly | | | | BZWS | | | | 6/20/28 | | | | 18,000,000 | | | | JPY | | | | 8,906 | | | | 13,580 | | | | (4,674 | ) | | | | |
Softbank Group Corp. | | | (1.00)% | | | | Quarterly | | | | BZWS | | | | 6/20/28 | | | | 29,008,000 | | | | JPY | | | | 14,352 | | | | 19,440 | | | | (5,088 | ) | | | | |
Softbank Group Corp. | | | (1.00)% | | | | Quarterly | | | | GSCO | | | | 6/20/28 | | | | 62,367,000 | | | | JPY | | | | 30,857 | | | | 40,232 | | | | (9,375 | ) | | | | |
Softbank Group Corp. | | | (1.00)% | | | | Quarterly | | | | JPHQ | | | | 6/20/28 | | | | 24,000,000 | | | | JPY | | | | 11,874 | | | | 14,004 | | | | (2,130 | ) | | | | |
Stellantis NV | | | (5.00)% | | | | Quarterly | | | | BZWS | | | | 6/20/28 | | | | 434,000 | | | | EUR | | | | (71,360 | ) | | | (71,819 | ) | | | 459 | | | | | |
Stellantis NV | | | (5.00)% | | | | Quarterly | | | | MSCS | | | | 6/20/28 | | | | 145,000 | | | | EUR | | | | (23,842 | ) | | | (24,556 | ) | | | 714 | | | | | |
Stena AB | | | (5.00)% | | | | Quarterly | | | | BZWS | | | | 6/20/24 | | | | 71,000 | | | | EUR | | | | (3,152 | ) | | | (1,133 | ) | | | (2,019 | ) | | | | |
Stena AB | | | (5.00)% | | | | Quarterly | | | | GSCO | | | | 6/20/24 | | | | 15,000 | | | | EUR | | | | (666 | ) | | | 83 | | | | (749 | ) | | | | |
Stena AB | | | (5.00)% | | | | Quarterly | | | | GSCO | | | | 6/20/24 | | | | 22,000 | | | | EUR | | | | (977 | ) | | | 121 | | | | (1,098 | ) | | | | |
Stena AB | | | (5.00)% | | | | Quarterly | | | | GSCO | | | | 12/20/24 | | | | 273,000 | | | | EUR | | | | (14,203 | ) | | | (8,815 | ) | | | (5,388 | ) | | | | |
Stena AB | | | (5.00)% | | | | Quarterly | | | | GSCO | | | | 6/20/27 | | | | 14,000 | | | | EUR | | | | (652 | ) | | | (24 | ) | | | (628 | ) | | | | |
Stena AB | | | (5.00)% | | | | Quarterly | | | | JPHQ | | | | 6/20/27 | | | | 29,000 | | | | EUR | | | | (1,350 | ) | | | 248 | | | | (1,598 | ) | | | | |
Stena AB | | | (5.00)% | | | | Quarterly | | | | JPHQ | | | | 6/20/27 | | | | 29,000 | | | | EUR | | | | (1,350 | ) | | | 297 | | | | (1,647 | ) | | | | |
Stena AB | | | (5.00)% | | | | Quarterly | | | | JPHQ | | | | 6/20/27 | | | | 28,000 | | | | EUR | | | | (1,304 | ) | | | 557 | | | | (1,861 | ) | | | | |
Stena AB | | | (5.00)% | | | | Quarterly | | | | JPHQ | | | | 6/20/27 | | | | 142,000 | | | | EUR | | | | (6,612 | ) | | | 749 | | | | (7,361 | ) | | | | |
Stena AB | | | (5.00)% | | | | Quarterly | | | | JPHQ | | | | 6/20/27 | | | | 157,000 | | | | EUR | | | | (7,311 | ) | | | 1,073 | | | | (8,384 | ) | | | | |
Stena AB | | | (5.00)% | | | | Quarterly | | | | JPHQ | | | | 6/20/27 | | | | 71,000 | | | | EUR | | | | (3,306 | ) | | | 3,960 | | | | (7,266 | ) | | | | |
TDC A/S | | | (1.00)% | | | | Quarterly | | | | BNPP | | | | 6/20/27 | | | | 212,000 | | | | EUR | | | | (2,105 | ) | | | 9,810 | | | | (11,915 | ) | | | | |
Telecom Italia | | | (1.00)% | | | | Quarterly | | | | GSCO | | | | 6/20/28 | | | | 43,000 | | | | EUR | | | | 5,551 | | | | 4,595 | | | | 956 | | | | | |
Telecom Italia | | | (1.00)% | | | | Quarterly | | | | GSCO | | | | 6/20/28 | | | | 43,000 | | | | EUR | | | | 5,551 | | | | 4,634 | | | | 917 | | | | | |
Telecom Italia | | | (1.00)% | | | | Quarterly | | | | GSCO | | | | 6/20/28 | | | | 72,000 | | | | EUR | | | | 9,295 | | | | 7,759 | | | | 1,536 | | | | | |
U.S. Steel Corp. | | | (5.00)% | | | | Quarterly | | | | BZWS | | | | 6/20/28 | | | | 261,000 | | | | | | | | (8,809 | ) | | | (5,073 | ) | | | (3,736 | ) | | | | |
U.S. Steel Corp. | | | (5.00)% | | | | Quarterly | | | | GSCO | | | | 6/20/28 | | | | 62,000 | | | | | | | | (2,093 | ) | | | (1,813 | ) | | | (280 | ) | | | | |
U.S. Steel Corp. | | | (5.00)% | | | | Quarterly | | | | MSCS | | | | 6/20/28 | | | | 314,000 | | | | | | | | (10,598 | ) | | | (6,103 | ) | | | (4,495 | ) | | | | |
Unibail-Rodamco-Westfield | | | (1.00)% | | | | Quarterly | | | | JPHQ | | | | 6/20/28 | | | | 724,000 | | | | EUR | | | | 52,625 | | | | 44,361 | | | | 8,264 | | | | | |
UniCredit SpA | | | (1.00)% | | | | Quarterly | | | | JPHQ | | | | 6/20/28 | | | | 369,000 | | | | EUR | | | | 22,850 | | | | 31,750 | | | | (8,900 | ) | | | | |
Volkswagen AG | | | (1.00)% | | | | Quarterly | | | | BNPP | | | | 6/20/28 | | | | 73,000 | | | | EUR | | | | 1,043 | | | | 1,157 | | | | (114 | ) | | | | |
Volkswagen AG | | | (1.00)% | | | | Quarterly | | | | BNPP | | | | 6/20/28 | | | | 290,000 | | | | EUR | | | | 4,145 | | | | 5,009 | | | | (864 | ) | | | | |
| Traded Index | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
CDX.NA.HY.40 | | | (5.00)% | | | | Quarterly | | | | JPHQ | | | | 6/20/28 | | | | 1,682,000 | | | | | | | | (34,995 | ) | | | (21,866 | ) | | | (13,129 | ) | | | | |
iTraxx Crossover | | | (5.00)% | | | | Quarterly | | | | JPHQ | | | | 6/20/28 | | | | 400,000 | | | | EUR | | | | (15,630 | ) | | | (11,654 | ) | | | (3,976 | ) | | | | |
| Contracts to Sell Protectionc,d | | | | | | | | | | | | | | | | | | | | | | |
| Single Name | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Calpine Corp. | | | 5.00% | | | | Quarterly | | | | JPHQ | | | | 12/20/27 | | | | 12,000 | | | | | | | | 539 | | | | (104 | ) | | | 643 | | | | BB- | |
Calpine Corp. | | | 5.00% | | | | Quarterly | | | | JPHQ | | | | 12/20/27 | | | | 240,000 | | | | | | | | 10,786 | | | | 820 | | | | 9,966 | | | | BB- | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total OTC Swap Contracts | | | | | | | | | | | $ | 3,424,520 | | | $ | 3,048,509 | | | $ | 376,011 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Credit Default Swap Contracts | | | | | | | | | | | $ | 3,557,317 | | | $ | 3,258,779 | | | $ | 298,538 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
aIn U.S. dollars unless otherwise indicated. For contracts to sell protection, the notional amount is equal to the maximum potential amount of the future payments and no recourse provisions have been entered into in association with the contracts.
bBased on Standard and Poor’s (S&P) Rating for single name swaps and internal ratings for index swaps. Internal ratings based on mapping into equivalent ratings from external vendors.
cPerformance 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 index swaps.
dThe Fund enters contracts to sell protection to create a long credit position.
| | | | | | | | | | |
| | | | | | |
| 80 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
At May 31, 2023, the Fund had the following interest rate swap contracts outstanding. See Note 1(d).
| | | | | | | | | | | | | | | | |
| Interest Rate Swap Contracts | | | | | | | | | | | | |
| | | | |
| Description | | Payment
Frequency | | | Maturity
Date | | | Notional
Amount* | | | Value/Unrealized
Appreciation
(Depreciation) | |
| Centrally Cleared Swap Contracts | | | | | | | | | | | | |
Receive Fixed 1.82%
Pay Floating rate China 7-Day Repo | | | Quarterly | | | | 6/15/23 | | | | 60,000,000 | CNY | | $ | (8,882 | ) |
Receive Fixed 1.91%
Pay Floating rate China 7-Day Repo | | | Quarterly | | | | 6/15/23 | | | | 29,000,000 | CNY | | | 614 | |
Receive Fixed 1.91%
Pay Floating rate China 7-Day Repo | | | Quarterly | | | | 6/15/23 | | | | 46,000,000 | CNY | | | 1,352 | |
Receive Fixed 1.96%
Pay Floating CNRR007 Index | | | Quarterly | | | | 6/15/23 | | | | 54,000,000 | CNY | | | (5,330 | ) |
Receive Fixed 2.06%
Pay Floating rate China 7-Day Repo | | | Quarterly | | | | 6/15/23 | | | | 29,200,000 | CNY | | | (1,075 | ) |
Receive Fixed 2.06%
Pay Floating rate China 7-Day Repo | | | Quarterly | | | | 6/15/23 | | | | 46,000,000 | CNY | | | (866 | ) |
Receive Fixed 2.11%
Pay Floating rate China 7-Day Repo | | | Quarterly | | | | 6/15/23 | | | | 50,000,000 | CNY | | | (2,221 | ) |
Receive Fixed 2.19%
Pay Floating CNRR007 Index | | | Quarterly | | | | 6/15/23 | | | | 88,000,000 | CNY | | | (1,566 | ) |
Receive Fixed 2.20%
Pay Floating rate China 7-Day Repo | | | Quarterly | | | | 6/15/23 | | | | 31,000,000 | CNY | | | (359 | ) |
Receive Floating rate China 7-Day Repo
Pay Fixed rate 2.19% | | | Quarterly | | | | 6/15/23 | | | | 38,220,000 | CNY | | | 11,620 | |
Receive Fixed 2.15%
Pay Floating rate China 7-Day Repo | | | Quarterly | | | | 6/21/23 | | | | 48,000,000 | CNY | | | (1,870 | ) |
Receive Fixed 3.11%
Pay Floating rate Euro STR | | | Annually | | | | 6/21/23 | | | | 40,000,000 | EUR | | | (2,586 | ) |
Receive Floating rate Euro STR
Pay Fixed rate 3.14% | | | Annually | | | | 6/21/23 | | | | 40,000,000 | EUR | | | 917 | |
Receive Floating AONIA
Pay Fixed rate 3.86% | | | Annually | | | | 7/05/23 | | | | 147,690,000 | AUD | | | 3,244 | |
Receive Floating AONIA
Pay Fixed rate 3.87% | | | Annually | | | | 7/05/23 | | | | 200,000,000 | AUD | | | 3,548 | |
Receive Floating AONIA
Pay Fixed rate 3.91% | | | Annually | | | | 8/02/23 | | | | 294,000,000 | AUD | | | 14,197 | |
Receive Fixed 3.71%
Pay Floating 3-Month-KDR | | | Quarterly | | | | 9/15/23 | | | | 7,873,140,000 | KRW | | | (698 | ) |
Receive Federal Funds Rate
Pay Fixed rate 5.00% | | | Annually | | | | 9/20/23 | | | | 20,250,000 | | | | 9,103 | |
Receive Federal Funds Rate
Pay Fixed rate 5.04% | | | Annually | | | | 9/20/23 | | | | 20,250,000 | | | | 7,956 | |
Receive Federal Funds Rate
Pay Fixed rate 5.06% | | | Annually | | | | 9/20/23 | | | | 20,250,000 | | | | 7,336 | |
Receive Fixed 4.16%
Pay Floating 3-Month-KDR | | | Quarterly | | | | 10/26/23 | | | | 8,210,000,000 | KRW | | | 12,098 | |
Receive Floating 3-Month-KDR
Pay Fixed rate 3.84% | | | Quarterly | | | | 10/26/23 | | | | 8,210,000,000 | KRW | | | (4,459 | ) |
Receive Fixed 2.96%
Pay Floating rate 3-Month-BKBM | | | Quarterly | | | | 12/21/23 | | | | 10,802,700 | NZD | | | 36,610 | |
Receive Fixed 3.88%
Pay Floating 3-Month-KDR | | | Quarterly | | | | 12/21/23 | | | | 5,980,000,000 | KRW | | | 1,685 | |
Receive Fixed 3.76%
Pay Floating rate Overnight SIBCSORA | | | Semi-Annually | | | | 2/15/24 | | | | 8,274,800 | SGD | | | 8,226 | |
Receive Fixed 3.94%
Pay Floating rate Overnight SIBCSORA | | | Semi-Annually | | | | 3/13/24 | | | | 2,900,000 | SGD | | | 8,428 | |
Receive Floating rate Overnight SOFR
Pay Fixed rate 5.60% | | | Annually | | | | 3/13/24 | | | | 2,080,000 | | | | (8,868 | ) |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 81 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | |
| Interest Rate Swap Contracts (continued) | | | | | | | | | | | | |
| | | | |
| Description | | Payment
Frequency | | | Maturity
Date | | | Notional
Amount* | | | Value/Unrealized
Appreciation
(Depreciation) | |
| Centrally Cleared Swap Contracts (continued) | | | | | | | | | | | | |
Receive Fixed 2.31%
Pay Floating rate China 7-Day Repo | | | Quarterly | | | | 3/15/24 | | | | 14,200,000 | CNY | | $ | 4,721 | |
Receive Fixed 3.65%
Pay Floating rate Overnight SIBCSORA | | | Semi-Annually | | | | 3/15/24 | | | | 2,800,000 | SGD | | | 2,280 | |
Receive Fixed 3.66%
Pay Floating rate Overnight SIBCSORA | | | Semi-Annually | | | | 3/15/24 | | | | 3,000,000 | SGD | | | 2,660 | |
Receive Fixed 5.90%
Pay Floating MIBOR | | | Annually | | | | 3/15/24 | | | | 117,000,000 | INR | | | — | |
Receive Fixed 6.58%
Pay Floating MIBOR | | | Annually | | | | 3/15/24 | | | | 19,500,000 | INR | | | — | |
Receive Fixed 6.93%
Pay Floating MIBOR | | | Annually | | | | 3/15/24 | | | | 271,800,000 | INR | | | 5,332 | |
Receive Fixed 6.93%
Pay Floating MIBOR | | | Annually | | | | 3/15/24 | | | | 265,760,000 | INR | | | 5,183 | |
Receive Fixed 6.96%
Pay Floating MIBOR | | | Annually | | | | 3/15/24 | | | | 264,250,000 | INR | | | 5,795 | |
Receive Fixed 7.08%
Pay Floating MIBOR | | | Annually | | | | 3/15/24 | | | | 528,500,000 | INR | | | 16,076 | |
Receive Fixed 7.36%
Pay Floating MIBOR | | | Annually | | | | 3/15/24 | | | | 624,000,000 | INR | | | 47,758 | |
Receive Floating MIBOR
Pay Fixed rate 6.58% | | | Annually | | | | 3/15/24 | | | | 364,000,000 | INR | | | 3,976 | |
Receive Floating rate Overnight SOFR
Pay Fixed rate 4.97% | | | Annually | | | | 3/15/24 | | | | 4,120,000 | | | | 7,803 | |
Receive Fixed 3.43%
Pay Floating rate Overnight SIBCSORA | | | Semi-Annually | | | | 3/17/24 | | | | 4,200,000 | SGD | | | (3,126 | ) |
Receive Floating rate Overnight SOFR
Pay Fixed rate 4.69% | | | Annually | | | | 3/17/24 | | | | 3,060,000 | | | | 14,036 | |
Receive Fixed 3.18%
Pay Floating rate Overnight SIBCSORA | | | Semi-Annually | | | | 3/20/24 | | | | 4,140,000 | SGD | | | (10,485 | ) |
Receive Floating rate Overnight SOFR
Pay Fixed rate 4.38% | | | Annually | | | | 3/20/24 | | | | 3,084,000 | | | | 23,478 | |
Receive Fixed 2.30%
Pay Floating rate China 7-Day Repo | | | Quarterly | | | | 3/21/24 | | | | 7,200,000 | CNY | | | (4 | ) |
Receive Fixed 2.36%
Pay Floating rate China 7-Day Repo | | | Quarterly | | | | 3/21/24 | | | | 36,000,000 | CNY | | | 12,157 | |
Receive Floating rate Overnight SOFR
Pay Fixed rate 4.19% | | | Annually | | | | 3/21/24 | | | | 5,250,000 | | | | 37,029 | |
Receive Floating rate Overnight SOFR
Pay Fixed rate 5.04% | | | Annually | | | | 3/21/24 | | | | 1,050,000 | | | | (325 | ) |
Receive Fixed 3.12%
Pay Floating rate Overnight SIBCSORA | | | Semi-Annually | | | | 3/22/24 | | | | 4,110,000 | SGD | | | (12,048 | ) |
Receive Floating rate Overnight SOFR
Pay Fixed rate 4.13% | | | Annually | | | | 3/22/24 | | | | 3,075,000 | | | | 30,917 | |
Receive Fixed 5.50%
Pay Floating MIBOR | | | Semi-Annually | | | | 4/11/24 | | | | 142,800,000 | INR | | | 7,785 | |
Receive Floating MIBOR
Pay Fixed rate 6.51% | | | Semi-Annually | | | | 4/11/24 | | | | 391,680,000 | INR | | | 677 | |
Receive Fixed 2.00%
Pay Floating rate China 7-Day Repo | | | Quarterly | | | | 4/18/24 | | | | 48,000,000 | CNY | | | — | |
Receive Floating rate Overnight SOFR
Pay Fixed rate 4.79% | | | Annually | | | | 4/18/24 | | | | 6,960,000 | | | | 15,119 | |
Receive Floating rate Overnight SOFR
Pay Fixed rate 5.12% | | | Annually | | | | 4/18/24 | | | | 1,392,000 | | | | (590 | ) |
Receive Fixed 6.69%
Pay Floating MIBOR | | | Annually | | | | 6/21/24 | | | | 804,000,000 | INR | | | 14,090 | |
| | | | | | | | | | |
| | | | | | |
| 82 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | |
| Interest Rate Swap Contracts (continued) | | | | | | | | | | | | |
| | | | |
| Description | | Payment
Frequency | | | Maturity
Date | | | Notional
Amount* | | | Value/Unrealized
Appreciation
(Depreciation) | |
| Centrally Cleared Swap Contracts (continued) | | | | | | | | | | | | |
Receive Fixed 6.70%
Pay Floating MIBOR | | | Annually | | | | 6/21/24 | | | | 393,000,000 | INR | | $ | 6,975 | |
Receive Fixed 6.71%
Pay Floating MIBOR | | | Annually | | | | 6/21/24 | | | | 810,000,000 | INR | | | 15,652 | |
Receive Floating 3-Month-KDR
Pay Fixed rate 3.51% | | | Quarterly | | | | 8/25/24 | | | | 9,452,000,000 | KRW | | | 3,531 | |
Receive Floating 3-Month-KDR
Pay Fixed rate 3.82% | | | Quarterly | | | | 9/20/24 | | | | 8,808,800,000 | KRW | | | (9,957 | ) |
Receive Fixed 9.47%
Pay Floating Banxico Mexico 1 Month Rate | | | Monthly | | | | 10/22/24 | | | | 82,400,000 | MXN | | | (65,150 | ) |
Receive Fixed 7.74%
Pay Floating rate 3-Month-JIBAR | | | Quarterly | | | | 10/25/24 | | | | 49,768,689 | ZAR | | | 38,223 | |
Receive Fixed 2.91%
Pay Floating rate Overnight SIBCSORA | | | Semi-Annually | | | | 12/20/24 | | | | 7,650,000 | SGD | | | (15,210 | ) |
Receive Fixed 3.32%
Pay Floating rate Overnight SIBCSORA | | | Semi-Annually | | | | 12/20/24 | | | | 4,236,000 | SGD | | | 3,934 | |
Receive Fixed 3.79%
Pay Floating rate Overnight SIBCSORA | | | Semi-Annually | | | | 12/20/24 | | | | 8,607,000 | SGD | | | 25,985 | |
Receive Fixed 3.85%
Pay Floating rate Overnight SIBCSORA | | | Semi-Annually | | | | 12/20/24 | | | | 4,348,800 | SGD | | | 14,300 | |
Receive Floating rate Overnight SOFR
Pay Fixed rate 3.78% | | | Annually | | | | 12/20/24 | | | | 3,507,500 | | | | 457 | |
Receive Floating rate Overnight SOFR
Pay Fixed rate 3.97% | | | Annually | | | | 12/20/24 | | | | 3,294,000 | | | | 4,211 | |
Receive Fixed 8.44%
Pay Floating BRLCDI | | | Annually | | | | 1/02/25 | | | | 12,000,000 | BRL | | | (193,568 | ) |
Receive Fixed 2.69%
Pay Floating rate China 7-Day Repo | | | Quarterly | | | | 3/20/25 | | | | 14,200,000 | CNY | | | 9,063 | |
Receive Fixed 2.29%
Pay Floating rate China 7-Day Repo | | | Quarterly | | | | 6/19/25 | | | | 33,300,000 | CNY | | | — | |
Receive Floating rate Overnight SOFR
Pay Fixed rate 3.39% | | | Annually | | | | 6/20/25 | | | | 3,291,800 | | | | 683 | |
Receive Fixed 3.59%
Pay Floating 3-Month-KLIBOR | | | Quarterly | | | | 6/21/25 | | | | 4,600,000 | MYR | | | 2,414 | |
Receive Floating 3-Month-KLIBOR
Pay Fixed rate 3.57% | | | Quarterly | | | | 6/21/25 | | | | 3,220,000 | MYR | | | 1,394 | |
Receive Floating MIBOR
Pay Fixed rate 6.29% | | | Semi-Annually | | | | 6/21/25 | | | | 284,100,000 | INR | | | (7,366 | ) |
Receive Floating MIBOR
Pay Fixed rate 6.29% | | | Semi-Annually | | | | 6/21/25 | | | | 489,000,000 | INR | | | (12,463 | ) |
Receive Floating MIBOR
Pay Fixed rate 6.30% | | | Semi-Annually | | | | 6/21/25 | | | | 405,000,000 | INR | | | (11,310 | ) |
Receive Floating rate Overnight SOFR
Pay Fixed rate 4.04% | | | Annually | | | | 6/30/25 | | | | 12,748,000 | | | | 9,179 | |
Receive Fixed 3.48%
Pay Floating rate 3-Month-HIBOR | | | Quarterly | | | | 7/20/25 | | | | 18,439,143 | HKD | | | 28,348 | |
Receive Fixed 3.51%
Pay Floating rate 3-Month-HIBOR | | | Quarterly | | | | 7/20/25 | | | | 8,112,513 | HKD | | | 11,840 | |
Receive Fixed 3.53%
Pay Floating rate 3-Month-HIBOR | | | Quarterly | | | | 7/20/25 | | | | 20,585,501 | HKD | | | 29,143 | |
Receive Fixed 3.73%
Pay Floating rate Overnight SOFR | | | Annually | | | | 7/20/25 | | | | 2,538,945 | | | | (19,815 | ) |
Receive Fixed 3.77%
Pay Floating rate Overnight SOFR | | | Annually | | | | 7/20/25 | | | | 2,638,018 | | | | (18,618 | ) |
Receive Fixed 3.78%
Pay Floating rate Overnight SOFR | | | Annually | | | | 7/20/25 | | | | 1,033,037 | | | | (7,037 | ) |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 83 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | |
| Interest Rate Swap Contracts (continued) | | | | | | | | | | | | |
| | | | |
| Description | | Payment
Frequency | | | Maturity
Date | | | Notional
Amount* | | | Value/Unrealized
Appreciation
(Depreciation) | |
| Centrally Cleared Swap Contracts (continued) | | | | | | | | | | | | |
Receive Fixed 5.91%
Pay Floating rate 6-Month-CZEONIA | | | Annually | | | | 7/20/25 | | | | 222,789,596 | CZK | | $ | 39,116 | |
Receive Fixed 6.30%
Pay Floating rate 3-Month-JIBAR | | | Quarterly | | | | 7/31/25 | | | | 53,795,745 | ZAR | | | (132,748 | ) |
Receive Fixed 2.53%
Pay Floating rate China 7-Day Repo | | | Quarterly | | | | 9/20/25 | | | | 26,850,000 | CNY | | | 22,559 | |
Receive Floating rate Overnight SIBCSORA
Pay Fixed rate 3.22% | | | Semi-Annually | | | | 9/20/25 | | | | 4,260,000 | SGD | | | (8,357 | ) |
Receive Floating rate THOR
Pay Fixed rate 2.10% | | | Quarterly | | | | 9/20/25 | | | | 312,900,000 | THB | | | 6,157 | |
Receive Fixed 7.57%
Pay Floating rate 3-Month-JIBAR | | | Quarterly | | | | 11/04/25 | | | | 39,000,000 | ZAR | | | (50,540 | ) |
Receive Floating rate Overnight SOFR
Pay Fixed rate 2.95% | | | Annually | | | | 12/18/25 | | | | 3,385,500 | | | | 123 | |
Receive Fixed 1.31%
Pay Floating 3-Month-KDR | | | Quarterly | | | | 12/20/25 | | | | 1,440,000,000 | KRW | | | 2,838 | |
Receive Fixed 1.35%
Pay Floating 3-Month-KDR | | | Quarterly | | | | 12/20/25 | | | | 1,410,000,000 | KRW | | | 2,787 | |
Receive Fixed 3.31%
Pay Floating 3-Month-KDR | | | Quarterly | | | | 12/20/25 | | | | 15,136,000,000 | KRW | | | (3,752 | ) |
Receive Floating 3-Month-KDR
Pay Fixed rate 4.14% | | | Quarterly | | | | 12/20/25 | | | | 9,564,000,000 | KRW | | | (112,445 | ) |
Receive Fixed 4.06%
Pay Floating 3-Month-KDR | | | Quarterly | | | | 6/11/26 | | | | 1,287,000,000 | KRW | | | 15,737 | |
Receive Floating 3-Month-KDR
Pay Fixed rate 1.79% | | | Quarterly | | | | 6/11/26 | | | | 1,122,000,000 | KRW | | | (2,366 | ) |
Receive Floating 3-Month-KDR
Pay Fixed rate 3.25% | | | Quarterly | | | | 6/11/26 | | | | 3,520,000,000 | KRW | | | (2,617 | ) |
Receive Floating 3-Month-BBSW
Pay Fixed rate 3.45% | | | Quarterly | | | | 6/18/26 | | | | 5,100,000 | AUD | | | 74 | |
Receive Floating 3-Month-BBSW
Pay Fixed rate 3.55% | | | Quarterly | | | | 6/18/26 | | | | 10,200,000 | AUD | | | (6,887 | ) |
Receive Fixed 3.36%
Pay Floating 3-Month-KDR | | | Quarterly | | | | 6/21/26 | | | | 1,840,000,000 | KRW | | | (388 | ) |
Receive Fixed 4.02%
Pay Floating 3-Month-KDR | | | Quarterly | | | | 9/27/26 | | | | 1,830,000,000 | KRW | | | 16,089 | |
Receive Fixed 2.73%
Pay Floating rate Overnight SOFR | | | Annually | | | | 12/18/26 | | | | 2,760,000 | | | | (14,527 | ) |
Receive Fixed 3.10%
Pay Floating rate Overnight SOFR | | | Annually | | | | 12/18/26 | | | | 552,000 | | | | 1,161 | |
Receive Fixed 11.07%
Pay Floating BRLCDI | | | Annually | | | | 1/04/27 | | | | 9,430,255 | BRL | | | (7,158 | ) |
Receive Fixed 12.72%
Pay Floating BRLCDI | | | Annually | | | | 1/04/27 | | | | 10,721,816 | BRL | | | 85,430 | |
Receive Fixed 13.29%
Pay Floating BRLCDI | | | Annually | | | | 1/04/27 | | | | 2,980,054 | BRL | | | 52,921 | |
Receive Fixed 13.41%
Pay Floating BRLCDI | | | Annually | | | | 1/04/27 | | | | 5,875,629 | BRL | | | 110,158 | |
Receive Fixed 13.47%
Pay Floating BRLCDI | | | Annually | | | | 1/04/27 | | | | 4,395,970 | BRL | | | 84,881 | |
Receive Fixed 13.51%
Pay Floating BRLCDI | | | Annually | | | | 1/04/27 | | | | 8,748,347 | BRL | | | 171,493 | |
Receive Fixed 8.78%
Pay Floating Banxico Mexico 1 Month Rate | | | Monthly | | | | 10/19/27 | | | | 72,800,000 | MXN | | | (23,111 | ) |
Receive Fixed 3.89%
Pay Floating 3-Month-KDR | | | Quarterly | | | | 12/17/27 | | | | 9,677,500,000 | KRW | | | 98,006 | |
| | | | | | | | | | |
| | | | | | |
| 84 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | |
| Interest Rate Swap Contracts (continued) | | | | | | | | | | | | |
| | | | |
| Description | | Payment
Frequency | | | Maturity
Date | | | Notional
Amount* | | | Value/Unrealized
Appreciation
(Depreciation) | |
| Centrally Cleared Swap Contracts (continued) | | | | | | | | | | | | |
Receive Floating 3-Month-KDR
Pay Fixed rate 1.33% | | | Quarterly | | | | 12/17/27 | | | | 1,428,000,000 | KRW | | $ | (2,955 | ) |
Receive Floating 3-Month-KDR
Pay Fixed rate 1.37% | | | Quarterly | | | | 12/17/27 | | | | 1,428,000,000 | KRW | | | (2,958 | ) |
Receive Floating 3-Month-KDR
Pay Fixed rate 3.04% | | | Quarterly | | | | 12/17/27 | | | | 15,452,400,000 | KRW | | | 22,815 | |
Receive Floating 3-Month-KDR
Pay Fixed rate 3.28% | | | Quarterly | | | | 12/17/27 | | | | 2,222,720,000 | KRW | | | (4,270 | ) |
Receive Floating 3-Month-KDR
Pay Fixed rate 3.32% | | | Quarterly | | | | 12/17/27 | | | | 2,265,000,000 | KRW | | | (5,254 | ) |
Receive Fixed 3.04%
Pay Floating 3-Month-KDR | | | Quarterly | | | | 6/21/28 | | | | 3,480,000,000 | KRW | | | (30,247 | ) |
Receive Fixed 3.46%
Pay Floating rate Overnight SIBCSORA | | | Semi-Annually | | | | 6/21/28 | | | | 906,000 | SGD | | | 11,809 | |
Receive Fixed 3.54%
Pay Floating rate Overnight SIBCSORA | | | Semi-Annually | | | | 6/21/28 | | | | 906,000 | SGD | | | 13,390 | |
Receive Floating 3-Month-KLIBOR
Pay Fixed rate 3.58% | | | Quarterly | | | | 6/21/28 | | | | 7,680,000 | MYR | | | 6,785 | |
Receive Floating 3-Month-KLIBOR
Pay Fixed rate 3.62% | | | Quarterly | | | | 6/21/28 | | | | 1,344,000 | MYR | | | (1,837 | ) |
Receive Floating 3-Month-KLIBOR
Pay Fixed rate 3.67% | | | Quarterly | | | | 6/21/28 | | | | 1,920,000 | MYR | | | (3,491 | ) |
Floating rate 6-Month-CZEONIA
Pay Fixed rate 4.79% | | | Annually | | | | 7/20/28 | | | | 24,042,607 | CZK | | | 9,450 | |
Floating rate 6-Month-CZEONIA
Pay Fixed rate 4.85% | | | Annually | | | | 7/20/28 | | | | 2,871,608 | CZK | | | 1,504 | |
Receive Fixed 3.01%
Pay Floating 3-Month-KDR | | | Quarterly | | | | 7/20/28 | | | | 3,103,190,226 | KRW | | | (29,110 | ) |
Receive Fixed 4.79%
Pay Floating rate 6-Month-CZEONIA | | | Annually | | | | 7/20/28 | | | | 25,004,311 | CZK | | | 9,918 | |
Receive Fixed 2.55%
Pay Floating rate China 7-Day Repo | | | Quarterly | | | | 9/20/28 | | | | 14,100,000 | CNY | | | 2,568 | |
Receive Fixed 3.05%
Pay Floating rate Overnight SIBCSORA | | | Semi-Annually | | | | 9/20/28 | | | | 3,570,000 | SGD | | | 20,120 | |
Receive Floating 3-Month-KLIBOR
Pay Fixed rate 3.49% | | | Quarterly | | | | 9/20/28 | | | | 5,400,000 | MYR | | | (913 | ) |
Receive Floating MIBOR
Pay Fixed rate 6.01% | | | Annually | | | | 9/20/28 | | | | 458,760,000 | INR | | | (3,737 | ) |
Receive Floating rate China 7-Day Repo
Pay Fixed rate 2.81% | | | Quarterly | | | | 9/20/28 | | | | 11,250,000 | CNY | | | (17,912 | ) |
Receive Floating rate THOR
Pay Fixed rate 2.30% | | | Quarterly | | | | 9/20/28 | | | | 258,600,000 | THB | | | (43,127 | ) |
Receive Floating 3-Month-KDR
Pay Fixed rate 3.81% | | | Quarterly | | | | 9/28/28 | | | | 1,860,500,000 | KRW | | | (11,966 | ) |
Receive Fixed 3.80%
Pay Floating 3-Month-KDR | | | Quarterly | | | | 12/16/28 | | | | 3,046,000,000 | KRW | | | 25,354 | |
Receive Fixed 3.85%
Pay Floating 3-Month-KDR | | | Quarterly | | | | 12/16/28 | | | | 2,537,600,000 | KRW | | | 22,919 | |
Receive Floating 3-Month-KDR
Pay Fixed rate 2.91% | | | Quarterly | | | | 12/16/28 | | | | 5,583,600,000 | KRW | | | 19,184 | |
Receive Fixed 8.47%
Pay Floating Banxico Mexico 1 Month Rate | | | Monthly | | | | 10/12/32 | | | | 37,000,000 | MXN | | | 17,823 | |
Receive Fixed 8.72%
Pay Floating Banxico Mexico 1 Month Rate | | | Monthly | | | | 10/12/32 | | | | 21,700,000 | MXN | | | 30,694 | |
Receive Floating rate Overnight SIBCSORA
Pay Fixed rate 2.72% | | | Semi-Annually | | | | 12/15/32 | | | | 1,067,500 | SGD | | | 2,284 | |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 85 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | |
| Interest Rate Swap Contracts (continued) | | | | | | | | | | | | |
| | | | |
| Description | | Payment
Frequency | | | Maturity
Date | | | Notional
Amount* | | | Value/Unrealized
Appreciation
(Depreciation) | |
| Centrally Cleared Swap Contracts (continued) | | | | | | | | | | | | |
Receive Floating rate Overnight SIBCSORA
Pay Fixed rate 2.84% | | | Semi-Annually | | | | 12/15/32 | | | | 1,067,500 | SGD | | $ | (239 | ) |
Receive Fixed 4.27%
Pay Floating rate 3-Month-BKBM | | | Semi-Annually | | | | 5/26/33 | | | | 684,000 | NZD | | | 1,418 | |
Receive Fixed 3.33%
Pay Floating rate Overnight SOFR | | | Annually | | | | 6/21/33 | | | | 5,160,000 | | | | 26,740 | |
Receive Fixed rate 4.18%
Pay Floating 6-Month-BBSW | | | Semi-Annually | | | | 6/21/33 | | | | 1,710,000 | AUD | | | (9,527 | ) |
Receive Fixed rate 4.36%
Pay Floating 6-Month-BBSW | | | Semi-Annually | | | | 6/21/33 | | | | 1,200,000 | AUD | | | (1,461 | ) |
Receive Fixed rate 4.40%
Pay Floating 6-Month-BBSW | | | Semi-Annually | | | | 6/21/33 | | | | 2,190,000 | AUD | | | (9,390 | ) |
Receive Fixed rate 4.40%
Pay Floating 6-Month-BBSW | | | Semi-Annually | | | | 6/21/33 | | | | 2,219,200 | AUD | | | (342 | ) |
Receive Fixed rate 4.44%
Pay Floating 6-Month-BBSW | | | Semi-Annually | | | | 6/21/33 | | | | 820,000 | AUD | | | 696 | |
Receive Fixed rate 4.51%
Pay Floating 6-Month-BBSW | | | Semi-Annually | | | | 6/21/33 | | | | 814,800 | AUD | | | 2,037 | |
Receive Floating 3-Month-KDR
Pay Fixed rate 3.06% | | | Quarterly | | | | 6/21/33 | | | | 1,800,000,000 | KRW | | | 22,338 | |
Receive Floating 6-Month-BBSW
Pay Fixed rate 4.52% | | | Semi-Annually | | | | 6/21/33 | | | | 3,750,000 | AUD | | | (10,519 | ) |
Receive Floating 6-Month-BBSW
Pay Fixed rate 4.53% | | | Semi-Annually | | | | 6/21/33 | | | | 3,630,000 | AUD | | | (10,405 | ) |
Receive Floating Overnight MUTSCALM
Pay Fixed rate 0.87% | | | Annually | | | | 6/21/33 | | | | 70,600,000 | JPY | | | (11,151 | ) |
Receive Floating Overnight MUTSCALM
Pay Fixed rate 0.87% | | | Annually | | | | 6/21/33 | | | | 42,000,000 | JPY | | | (6,575 | ) |
Receive Floating Overnight MUTSCALM
Pay Fixed rate 0.89% | | | Annually | | | | 6/21/33 | | | | 66,800,000 | JPY | | | (11,630 | ) |
Receive Floating Overnight MUTSCALM
Pay Fixed rate 0.89% | | | Annually | | | | 6/21/33 | | | | 70,800,000 | JPY | | | (12,177 | ) |
Receive Floating Overnight MUTSCALM
Pay Fixed rate 0.92% | | | Annually | | | | 6/21/33 | | | | 68,600,000 | JPY | | | (13,387 | ) |
Receive Floating Overnight MUTSCALM
Pay Fixed rate 0.92% | | | Annually | | | | 6/21/33 | | | | 42,000,000 | JPY | | | (8,285 | ) |
Receive Fixed 8.17%
Pay Floating Banxico Mexico 1 Month Rate | | | Monthly | | | | 7/07/33 | | | | 26,200,000 | MXN | | | (10,332 | ) |
Receive Fixed 8.37%
Pay Floating Overnight COLIBOR | | | Quarterly | | | | 7/19/33 | | | | 3,272,380,144 | COP | | | 9,373 | |
Receive Fixed 4.54%
Pay Floating rate 6-Month-CZEONIA | | | Semi-Annually | | | | 7/20/33 | | | | 52,000,000 | CZK | | | (48,169 | ) |
Receive Floating Overnight MUTSCALM
Pay Fixed rate 0.61% | | | Annually | | | | 9/20/33 | | | | 245,344,000 | JPY | | | 10,392 | |
Receive Floating rate Overnight SIBCSORA
Pay Fixed rate 3.03% | | | Semi-Annually | | | | 9/20/33 | | | | 960,000 | SGD | | | (9,472 | ) |
Receive Floating rate THOR
Pay Fixed rate 2.70% | | | Quarterly | | | | 9/20/33 | | | | 68,520,000 | THB | | | 31,205 | |
Receive Floating rate Overnight SOFR
Pay Fixed rate 2.96% | | | Annually | | | | 12/18/34 | | | | 660,000 | | | | 10,195 | |
Receive Floating rate Overnight SOFR
Pay Fixed rate 3.27% | | | Annually | | | | 12/18/34 | | | | 132,000 | | | | (1,323 | ) |
Receive Fixed 3.26%
Pay Floating rate Overnight SOFR | | | Annually | | | | 6/15/43 | | | | 726,000 | | | | (2,662 | ) |
Receive Fixed 3.28%
Pay Floating rate Overnight SOFR | | | Annually | | | | 6/15/43 | | | | 720,000 | | | | (1,593 | ) |
| | | | | | | | | | |
| | | | | | |
| 86 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | |
| Interest Rate Swap Contracts (continued) | | | | | | | | | | | | |
| | | | |
| Description | | Payment
Frequency | | | Maturity
Date | | | Notional
Amount* | | | Value/Unrealized
Appreciation
(Depreciation) | |
| Centrally Cleared Swap Contracts (continued) | | | | | | | | | | | | |
Receive Fixed 3.31%
Pay Floating rate Overnight SOFR | | | Annually | | | | 6/15/43 | | | | 1,080,000 | THB | | $ | (558 | ) |
Receive Fixed 3.41%
Pay Floating rate Overnight SOFR | | | Annually | | | | 6/15/43 | | | | 505,200 | | | | 2,891 | |
Receive Floating rate Overnight SIBCSORA
Pay Fixed rate 2.54% | | | Semi-Annually | | | | 6/15/43 | | | | 750,000 | SGD | | | 3,116 | |
Receive Floating rate Overnight SIBCSORA
Pay Fixed rate 2.57% | | | Semi-Annually | | | | 6/15/43 | | | | 750,000 | SGD | | | 2,030 | |
Receive Floating rate Overnight SIBCSORA
Pay Fixed rate 2.64% | | | Semi-Annually | | | | 6/15/43 | | | | 1,140,000 | SGD | | | (770 | ) |
Receive Floating rate Overnight SIBCSORA
Pay Fixed rate 2.76% | | | Semi-Annually | | | | 6/15/43 | | | | 528,000 | SGD | | | (3,416 | ) |
| | | | | | | | | | | | | | | | |
Total Interest Rate Swap Contracts | | | | | | | | | | | | | | $ | 505,808 | |
| | | | | | | | | | | | | | | | |
*In U.S. dollars unless otherwise indicated.
At May 31, 2023, the Fund had the following total return swap contracts outstanding. See Note 1(d).
| | | | | | | | | | | | | | | | | | | | | | |
| Total Return Swap Contracts | | | | |
| | | | | | |
| Underlying Instrument | | Financing Rate | | Payment
Frequency | | | Counterparty | | | Maturity
Date | | | Notional
Value* | | | Value/Unrealized
Appreciation
(Depreciation) | |
| OTC Swap Contracts | | | | | | | | | | | | | | | | | |
| Equity Contracts – Longa | | | | | | | | | | | | | | | |
1+1 AG | | 1-Month EURIBOR + 0.25% | | | Monthly | | | | JPHQ | | | | 1/30/24 | | | | 186,637 | EUR | | $ | (32,513 | ) |
3i Group PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 253,046 | GBP | | | 119,781 | |
4imprint Group PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 6/03/24 | | | | 22,302 | GBP | | | 40 | |
7C Solarparken AG | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 11/06/23 | | | | 85,476 | EUR | | | (7,761 | ) |
A.P. Moller – Maersk | | 1-Week CIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 717,998 | DKK | | | (22,413 | ) |
A1 Telekom Austria AG | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 252,095 | EUR | | | 20,680 | |
AcadeMedia AB | | 1-Week STIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 1,829,438 | SEK | | | (11,581 | ) |
Acciona SA | | 1-Day EONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 180,631 | EUR | | | (29,421 | ) |
Activision Blizzard Inc. | | 1-Day FEDEF + 0.30% | | | Monthly | | | | BOFA | | | | 1/26/24 | | | | 433,080 | | | | (1,798 | ) |
AddLife AB | | 1-Week STIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 8/02/23 | | | | 1,828,386 | SEK | | | 60,534 | |
ADvTECH Ltd. | | 1-Day SABOR + 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 1,527,653 | ZAR | | | 2,024 | |
Aedas Homes SA | | 1-Day EONIA + 0.35% | | | Monthly | | | | MSCS | | | | 4/01/24 | | | | 61,391 | EUR | | | 648 | |
African Rainbow Minerals Ltd. | | 1-Day SABOR + 0.70% | | | Monthly | | | | MSCS | | | | 8/30/23 | | | | 1,144,154 | ZAR | | | (8,053 | ) |
Ageas | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 5/01/24 | | | | 137,219 | EUR | | | (5,471 | ) |
AIB Group PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 38,287 | GBP | | | 13,083 | |
Air France-KLM | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 10/02/23 | | | | 334,925 | EUR | | | 50,707 | |
Airtel Africa PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 143,423 | GBP | | | (2,046 | ) |
Aker Solutions ASA | | 1-Week NIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 3,685,507 | NOK | | | (15,890 | ) |
Albertsons Cos. Inc. | | 1-Day FEDEF + 0.30% | | | Monthly | | | | BOFA | | | | 1/30/24 | | | | 202,786 | | | | (899 | ) |
Amadeus Fire AG | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 1/31/24 | | | | 125,873 | EUR | | | (8,614 | ) |
Ambea AB | | 1-Week STIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 2,526,299 | SEK | | | (4,227 | ) |
AMC Entertainment Holdings Inc. | | 1-Day FEDEF + 0.30% | | | Monthly | | | | BOFA | | | | 1/30/24 | | | | 32,076 | | | | (134 | ) |
Amyris | | 1-Day FEDEF + 0.70% | | | Monthly | | | | BOFA | | | | 2/01/24 | | | | 223,893 | | | | 19,865 | |
Anadolu Efes | | 1-Day FEDEF + 1.25% | | | Monthly | | | | MSCS | | | | 1/22/24 | | | | 63,208 | SEK | | | (9,882 | ) |
Anadolu Grubu | | 1-Day FEDEF + 0.30% | | | Monthly | | | | MSCS | | | | 11/27/23 | | | | 169,427 | | | | (22,393 | ) |
Andritz AG | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/14/23 | | | | 293,612 | EUR | | | (29,990 | ) |
AO World PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 11/30/23 | | | | 151,442 | GBP | | | (8,921 | ) |
Arcelormittal SA | | Euro STR + 0.25% | | | Monthly | | | | JPHQ | | | | 2/28/24 | | | | 259,562 | EUR | | | (50,801 | ) |
Arctic | | 1-Day FEDEF + 0.30% | | | Monthly | | | | MSCS | | | | 11/27/23 | | | | 74,981 | | | | 7,572 | |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 87 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | | | | | |
| Total Return Swap Contracts (continued) | | | | |
| | | | | | |
| Underlying Instrument | | Financing Rate | | Payment
Frequency | | | Counterparty | | | Maturity
Date | | | Notional
Value* | | | Value/Unrealized
Appreciation
(Depreciation) | |
| OTC Swap Contracts (continued) | | | | | | | | | | | | | | | | | |
| Equity Contracts – Longa (continued) | | | | | | | | | | | | | | | |
Arise AB | | 1-Day SABOR + 0.70% | | | Monthly | | | | SEBA | | | | 8/03/23 | | | | 1,398,640 | SEK | | $ | (17,534 | ) |
Ariston Holding NV | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 11/29/23 | | | | 46,391 | EUR | | | 2,115 | |
Arjo AB | | 1-Week STIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 3,724,889 | SEK | | | (22,237 | ) |
Arkema SA | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 5/08/24 | | | | 172,250 | EUR | | | (11,770 | ) |
ARYZTA | | 1-Day SARON + 0.35% | | | Monthly | | | | JPHQ | | | | 4/26/24 | | | | 238,325 | CHF | | | (21,094 | ) |
ASBIS Kypros Ltd. | | 1-Day FEDEF + 0.30% | | | Monthly | | | | MSCS | | | | 7/12/23 | | | | 96,239 | | | | 17,951 | |
Ascencio | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 52,120 | EUR | | | (2,500 | ) |
Ascom Holding AG | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 99,972 | CHF | | | 7,459 | |
ASML Holding NV | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 168,341 | EUR | | | 43,094 | |
ASR Nederland NV | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 48,621 | EUR | | | (286 | ) |
Asseco Poland SA | | 1-Day FEDEF + 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 271,185 | | | | 39,817 | |
Astral Foods Ltd. | | 1-Day SABOR + 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 4,663,270 | ZAR | | | (42,413 | ) |
Atea ASA | | 1-Week NIBOR + 0.275% | | | Monthly | | | | SEBA | | | | 3/18/24 | | | | 1,362,725 | NOK | | | 22,194 | |
Atos | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 3/25/24 | | | | 161,253 | EUR | | | 19,693 | |
Atoss Software AG | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 8/01/23 | | | | 73,884 | EUR | | | 14,283 | |
Attendo AB | | 1-Week STIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 1/08/24 | | | | 1,904,978 | SEK | | | 13,481 | |
Audax Renovables SA | | 1-Day EONIA + 0.35% | | | Monthly | | | | MSCS | | | | 4/24/24 | | | | 105,275 | EUR | | | 599 | |
Austevoll Seafood ASA | | 1-Week NIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/12/23 | | | | 803,259 | NOK | | | (1,723 | ) |
Awilco LNG ASA | | 1-Week NIBOR + 0.275% | | | Monthly | | | | SEBA | | | | 4/29/24 | | | | 420,067 | NOK | | | (527 | ) |
Axa SA | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 193,671 | EUR | | | 22,241 | |
Azimut Holding SpA | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 79,252 | EUR | | | (15,700 | ) |
B2Holding ASA | | 1-Week NIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 1,446,684 | NOK | | | (787 | ) |
Balfour Beatty | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 9/18/23 | | | | 267,437 | GBP | | | 28,218 | |
Banca de Sabadell SA | | 1-Day EONIA + 0.35% | | | Monthly | | | | MSCS | | | | 10/10/23 | | | | 126,261 | EUR | | | (12,482 | ) |
Banca Ifis SpA | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 380,472 | EUR | | | 6,339 | |
Banco Bilbao Vizcaya Argentaria SA | | 1-Day EONIA + 0.35% | | | Monthly | | | | MSCS | | | | 9/29/23 | | | | 209,569 | EUR | | | 5,514 | |
Bank Handlowy w Warszawie SA | | 1-Day FEDEF + 0.30% | | | Monthly | | | | MSCS | | | | 7/14/23 | | | | 81,773 | | | | 19,358 | |
Bank of Georgia Group PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/31/23 | | | | 219,573 | GBP | | | 130,345 | |
Barclays PLC | | 1-Day SONIA + 0.44% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 159,124 | GBP | | | 531 | |
Barclays PLC | | 1-Day FEDEF + 0.70% | | | Monthly | | | | BOFA | | | | 5/03/24 | | | | 1,428,463 | | | | 27,551 | |
Barco | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 10/09/23 | | | | 280,657 | EUR | | | 192 | |
Basilea Pharmaceutica AG | | Euro STR + 6.75% | | | Monthly | | | | JPHQ | | | | 5/08/24 | | | | 223,599 | CHF | | | (482 | ) |
Bayerische Motoren Werke AG | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/03/23 | | | | 246,998 | EUR | | | (3,460 | ) |
BE Group AB | | 1-Week STIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 1,519,547 | SEK | | | (25,355 | ) |
BE Semiconductor Industries NV | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 104,048 | EUR | | | 142 | |
Bell Food Group AG | | 1-Day SARON + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 223,850 | CHF | | | 8,010 | |
Bellway PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 4/04/24 | | | | 144,117 | GBP | | | (2,257 | ) |
Beneteau | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 246,173 | EUR | | | 62,172 | |
Betsson AB | | 1-Week STIBOR + 0.275% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 4,806,263 | SEK | | | 29,749 | |
BIC | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 4/17/24 | | | | 173,882 | EUR | | | (4,051 | ) |
Bidvest Group Ltd. | | 1-Day SABOR + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 4,858,492 | ZAR | | | (8,028 | ) |
Bilfinger SE | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 12/06/23 | | | | 198,140 | EUR | | | (1,066 | ) |
Bilia AB | | 1-Week STIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 1,913,436 | SEK | | | (31,936 | ) |
BioGaia AB | | 1-Week STIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 1,889,818 | SEK | | | 19,366 | |
BioMarin Pharmaceutical Inc. | | SOFR + 0.35% | | | Monthly | | | | GSCO | | | | 2/23/24 | | | | 243,258 | | | | (1,165 | ) |
Biotage AB | | 1-Week STIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 2,669,837 | SEK | | | 16,401 | |
Bloomin’ Brands Inc. | | SOFR + 3.50% | | | Monthly | | | | GSCO | | | | 5/03/24 | | | | 3,104,100 | | | | 24,338 | |
Bloomsbury Publishing PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 97,986 | GBP | | | (4,423 | ) |
BNP Paribas SA | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 190,309 | EUR | | | 13,815 | |
Bogdanka SA | | 1-Day FEDEF + 0.30% | | | Monthly | | | | MSCS | | | | 8/18/23 | | | | 136,923 | | | | 16,737 | |
Bonheur ASA | | 1-Week NIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 8/28/23 | | | | 512,973 | NOK | | | 10,683 | |
BPER Banca SpA | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 9/25/23 | | | | 238,684 | EUR | | | 27,256 | |
Bravida Holding AB | | 1-Week STIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 11/01/23 | | | | 3,545,769 | SEK | | | (28,711 | ) |
Breedon Group PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 135,962 | GBP | | | 5,630 | |
| | | | | | | | | | |
| | | | | | |
| 88 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | | | | | |
| Total Return Swap Contracts (continued) | | | | |
| | | | | | |
| Underlying Instrument | | Financing Rate | | Payment
Frequency | | | Counterparty | | | Maturity
Date | | | Notional
Value* | | | Value/Unrealized
Appreciation
(Depreciation) | |
| OTC Swap Contracts (continued) | | | | | | | | | | | | | | | | | |
| Equity Contracts – Longa (continued) | | | | | | | | | | | | | | | |
Brunel International NV | | 1-Week STIBOR + 0.28% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 103,078 | EUR | | $ | 8,469 | |
Burberry Group PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 170,031 | GBP | | | (30,300 | ) |
Burckhardt | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 204,423 | CHF | | | 10,906 | |
Cairn Homes PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 85,074 | GBP | | | 660 | |
Cairo Communication SpA | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 103,988 | EUR | | | (5,630 | ) |
CapMan OYJ | | Euro STR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 73,262 | EUR | | | (6,112 | ) |
Card Factory PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 115,522 | GBP | | | 21,513 | |
Cargotec OYJ | | Euro STR + 0.28% | | | Monthly | | | | SEBA | | | | 8/23/23 | | | | 412,421 | EUR | | | 43,714 | |
Carlsberg Group | | 1-Week CIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 9/12/23 | | | | 2,396,339 | DKK | | | (8,766 | ) |
Carnival Corp. | | SOFR + 3.50% | | | Monthly | | | | GSCO | | | | 3/29/24 | | | | 970,803 | | | | (13,668 | ) |
Catena Media PLC | | 1-Week STIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 1,911,882 | SEK | | | (56,133 | ) |
Cementir Holding NV | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 122,536 | EUR | | | 8,763 | |
Central Asia Metals PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 9/25/23 | | | | 111,777 | GBP | | | (25,925 | ) |
CentralNic Group PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 211,800 | GBP | | | (26,760 | ) |
Centrica PLC ORD | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 367,688 | GBP | | | 99,358 | |
Cerillion | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 11/29/23 | | | | 59,470 | GBP | | | 11,239 | |
Chart Industries Inc. | | 1-Day FEDEF + 0.70% | | | Monthly | | | | BOFA | | | | 3/27/24 | | | | 1,688,318 | | | | (2,614 | ) |
Chemometec | | 1-Week CIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 11/15/23 | | | | 1,467,688 | DKK | | | 50,427 | |
Chemring Group PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 8/22/23 | | | | 177,878 | GBP | | | (26,958 | ) |
China Jushi Co. Ltd. | | 1-Day FEDEF + 0.30% | | | Monthly | | | | MSCS | | | | 9/28/23 | | | | 735,362 | | | | (64,201 | ) |
Cinemark Holdings Inc. | | SOFR + 3.50% | | | Monthly | | | | GSCO | | | | 5/04/24 | | | | 1,197,852 | | | | (19,525 | ) |
Citycon OYJ | | Euro STR + 0.28% | | | Monthly | | | | SEBA | | | | 8/23/23 | | | | 155,077 | EUR | | | (6,756 | ) |
Clariant International AG | | 1-Day SARON + 0.35% | | | Monthly | | | | JPHQ | | | | 5/30/24 | | | | 97,032 | CHF | | | (1,703 | ) |
Clarkson PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 5/06/24 | | | | 189,449 | GBP | | | (12,790 | ) |
Clas Ohlson AB | | 1-Week STIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 4,046,028 | SEK | | | (10,754 | ) |
CLIQ Digital AG | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 176,977 | EUR | | | (7,762 | ) |
Cloetta AB | | 1-Week STIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 3,316,466 | SEK | | | (32,374 | ) |
CNX Resources Corp. | | 1-Day FEDEF + 0.70% | | | Monthly | | | | BOFA | | | | 5/31/24 | | | | 200,096 | | | | 754 | |
Coca-Cola Europacific Partners PLC | | 1-Day SONIA + 0.30% | | | Monthly | | | | JPHQ | | | | 10/11/23 | | | | 203,161 | EUR | | | 21,725 | |
COFACE | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 7/14/23 | | | | 339,473 | EUR | | | 44,325 | |
Coltene Holding AG | | 1-Day SARON + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 40,297 | CHF | | | (3,726 | ) |
Commerzbank AG | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 12/18/23 | | | | 195,149 | EUR | | | (6,720 | ) |
Compagnie des Alpes | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 164,038 | EUR | | | (1,599 | ) |
Construcciones y Auxiliar de Ferrocarriles | | 1-Day EONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 231,781 | EUR | | | 22,855 | |
Coor Service Management Holding AB | | 1-Week STIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 3,339,856 | SEK | | | (68,467 | ) |
Crest Nicholson Holdings PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 106,559 | GBP | | | 2,476 | |
CRH PLC ORD | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 124,909 | GBP | | | 25,953 | |
CRH PLC ORD | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 5/24/24 | | | | 342,616 | EUR | | | (7,719 | ) |
CropEnergies AG | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 10/18/23 | | | | 227,307 | EUR | | | (65,630 | ) |
CVS Group PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 10/30/23 | | | | 192,277 | GBP | | | 20,274 | |
Dampskibsselskabet Norden A/S | | 1-Week CIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 741,379 | DKK | | | (18,168 | ) |
Danieli & C Officine Meccaniche SpA | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 293,630 | EUR | | | 2,230 | |
Darktrace PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 12/04/23 | | | | 151,855 | GBP | | | 13,553 | |
DCP Midstream Partners LP | | 1-Day FEDEF + 1.00% | | | Monthly | | | | MSCO | | | | 9/21/23 | | | | 3,179,554 | | | | (46,274 | ) |
Dechra Pharmaceuticals PLC | | 1-Day SONIA + 0.65% | | | Monthly | | | | MSCS | | | | 4/24/24 | | | | 427,051 | GBP | | | (8,128 | ) |
Dedicare AB | | 1-Week STIBOR + 0.275% | | | Monthly | | | | SEBA | | | | 5/27/24 | | | | 241,764 | SEK | | | (1,389 | ) |
Derichebourg SA | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 317,388 | EUR | | | (36,370 | ) |
Dermapharm Holding SE | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 3/18/24 | | | | 20,674 | EUR | | | 2,762 | |
Deutsche Bank AG | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 341,928 | EUR | | | (10,211 | ) |
Deutsche Lufthansa AG | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 9/06/23 | | | | 241,487 | EUR | | | 16,204 | |
DISH Network Corp. | | 1-Day FEDEF + 0.70% | | | Monthly | | | | BOFA | | | | 2/24/24 | | | | 88,555 | | | | 3,068 | |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 89 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | | | | | |
| Total Return Swap Contracts (continued) | | | | |
| | | | | | |
| Underlying Instrument | | Financing Rate | | Payment
Frequency | | | Counterparty | | | Maturity
Date | | | Notional
Value* | | | Value/Unrealized
Appreciation
(Depreciation) | |
| OTC Swap Contracts (continued) | | | | | | | | | | | | | | | | | |
| Equity Contracts – Longa (continued) | | | | | | | | | | | | | | | |
DNO ASA | | 1-Week NIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/14/23 | | | | 3,636,919 | NOK | | $ | (42,173 | ) |
Dogus Otomotiv | | 1-Day FEDEF + 1.25% | | | Monthly | | | | MSCS | | | | 1/22/24 | | | | 12,941 | | | | 970 | |
Drax Group PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 302,104 | GBP | | | (56,508 | ) |
DS Smith PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 3/25/24 | | | | 303,898 | GBP | | | (13,514 | ) |
Duerr AG | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 2/15/24 | | | | 511,749 | EUR | | | (107,351 | ) |
Dufry AG | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 8/16/23 | | | | 209,493 | CHF | | | 10,738 | |
Dunelm Group PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 4/03/24 | | | | 287,771 | GBP | | | (11,946 | ) |
E.ON SE | | 1-Day EONIA + 0.40% | | | Monthly | | | | MSCS | | | | 1/25/24 | | | | 869,430 | EUR | | | (59,108 | ) |
Econocom Group SE | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 44,099 | EUR | | | (1,339 | ) |
Edenred | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 10/02/23 | | | | 200,545 | EUR | | | 35,580 | |
EFG International AG | | 1-Day SARON + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 278,647 | CHF | | | 4,813 | |
Eiffage SA | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 149,463 | EUR | | | 12,919 | |
Electrolux Professional AB | | 1-Week STIBOR + 0.275% | | | Monthly | | | | SEBA | | | | 5/08/24 | | | | 1,420,799 | SEK | | | (10,698 | ) |
Elekta AB | | 1-Week STIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 8/03/23 | | | | 3,070,556 | SEK | | | (25,922 | ) |
Elis SA | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 2/26/24 | | | | 72,090 | EUR | | | (4,583 | ) |
Elkem ASA | | 1-Week NIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/13/23 | | | | 5,960,073 | NOK | | | (120,161 | ) |
Elmos Semiconductor SE | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/18/23 | | | | 236,957 | EUR | | | (8,000 | ) |
Emis Group PLC | | 1-Day SONIA + 0.65% | | | Monthly | | | | MSCS | | | | 3/22/24 | | | | 469,426 | GBP | | | (155,337 | ) |
Enad Global 7 AB | | 1-Week STIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 11/27/23 | | | | 1,695,154 | SEK | | | 3,821 | |
Encore Capital Group Inc. | | 1-Day FEDEF + 0.70% | | | Monthly | | | | BOFA | | | | 3/02/24 | | | | 632,476 | | | | (2,378 | ) |
Enea AB | | 1-Day FEDEF + 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 288,579 | | | | (46,606 | ) |
Energy Transfer LP | | 1-Month LIBOR + 0.50% | | | Monthly | | | | CITI | | | | 10/18/23 | | | | 90,194 | | | | 3,742 | |
Energy Transfer LP | | 1-Month LIBOR + 0.90% | | | Monthly | | | | GSCO | | | | 1/26/24 | | | | 43,753 | | | | (1,951 | ) |
Energy Transfer LP | | 1-Month LIBOR + 0.90% | | | Monthly | | | | GSCO | | | | 2/14/24 | | | | 173,089 | | | | (6,048 | ) |
Engie SA | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 8/30/23 | | | | 264,160 | EUR | | | 2,481 | |
Engie SA | | 1-Day EONIA + 0.40% | | | Monthly | | | | MSCO | | | | 9/25/23 | | | | 2,633,354 | EUR | | | (144,891 | ) |
EnQuest PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 11/27/23 | | | | 186,240 | GBP | | | (58,065 | ) |
Entain PLC | | 1-Day SONIA + 0.65% | | | Monthly | | | | MSCO | | | | 2/08/24 | | | | 477,072 | GBP | | | (30,384 | ) |
Envestnet Inc. | | SOFR + 3.50% | | | Monthly | | | | GSCO | | | | 5/03/24 | | | | 747,372 | | | | 1,948 | |
Equinor ASA | | 1-Week NIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 3,220,450 | NOK | | | (17,406 | ) |
Eramet | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 11/27/23 | | | | 241,654 | EUR | | | (39,557 | ) |
Ercros SA | | 1-Day EONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 143,677 | EUR | | | (23,954 | ) |
Ergomed PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 140,493 | GBP | | | 963 | |
Ericsson | | 1-Week STIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 2,705,715 | SEK | | | (8,410 | ) |
Etsy Inc. | | 1-Day FEDEF + 0.70% | | | Monthly | | | | BOFA | | | | 2/24/24 | | | | 23,829 | | | | — | |
Etsy Inc. | | 1-Day FEDEF + 0.70% | | | Monthly | | | | BOFA | | | | 2/24/24 | | | | 567,939 | | | | (268 | ) |
Eurobio Scientific SA | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 62,449 | EUR | | | (10,679 | ) |
Eurocommercial Properties NV | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 386,333 | EUR | | | (16,854 | ) |
Europris ASA | | 1-Week NIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 1,387,399 | NOK | | | (2,891 | ) |
EVN AG | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 3/18/24 | | | | 92,886 | EUR | | | (68 | ) |
EVS Broadcast Equipment SA | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 43,613 | EUR | | | 270 | |
Exor NV | | Euro STR | | | Monthly | | | | JPHQ | | | | 2/28/24 | | | | 252,710 | EUR | | | 586 | |
Fagron NV | | Euro STR | | | Monthly | | | | JPHQ | | | | 8/18/23 | | | | 282,641 | EUR | | | 14,043 | |
FirstEnergy Corp. | | 1-Day FEDEF + 0.20% | | | Monthly | | | | BOFA | | | | 5/04/24 | | | | 1,405,269 | | | | 1,993 | |
Flow Traders | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 4/26/24 | | | | 167,027 | EUR | | | (9,914 | ) |
Focus Financial Partners | | 1-Day FEDEF + 0.30% | | | Monthly | | | | BOFA | | | | 2/05/24 | | | | 437,556 | | | | (1,875 | ) |
Forbo Holding AG | | 1-Day SARON + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 126,430 | CHF | | | (2,457 | ) |
ForFarmers | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 83,442 | EUR | | | (8,554 | ) |
ForgeRock Inc. | | 1-Day FEDEF + 0.30% | | | Monthly | | | | BOFA | | | | 1/29/24 | | | | 338,184 | | | | (1,452 | ) |
Fortnox AB | | 1-Week STIBOR + 0.275% | | | Monthly | | | | SEBA | | | | 4/26/24 | | | | 785,235 | SEK | | | 813 | |
Foxtons Group PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 9/18/23 | | | | 61,916 | GBP | | | 7,484 | |
FTI Consulting | | SOFR + 3.50% | | | Monthly | | | | GSCO | | | | 8/01/23 | | | | 2,389,609 | | | | (11,466 | ) |
Fuchs Petrolub SE | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 4/25/24 | | | | 120,773 | EUR | | | (4,684 | ) |
Fugro NV | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 5/27/24 | | | | 100,640 | EUR | | | (5,039 | ) |
Galenica AG | | 1-Day SARON + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 73,492 | CHF | | | (5,783 | ) |
| | | | | | | | | | |
| | | | | | |
| 90 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | | | | | |
| Total Return Swap Contracts (continued) | | | | |
| | | | | | |
| Underlying Instrument | | Financing Rate | | Payment
Frequency | | | Counterparty | | | Maturity
Date | | | Notional
Value* | | | Value/Unrealized
Appreciation
(Depreciation) | |
| OTC Swap Contracts (continued) | | | | | | | | | | | | | | | | | |
| Equity Contracts – Longa (continued) | | | | | | | | | | | | | | | |
Galliford Try Holdings PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 62,145 | GBP | | $ | 3,343 | |
Gaslog Partners | | 1-Day FEDEF + 0.30% | | | Monthly | | | | BOFA | | | | 1/31/24 | | | | 61,693 | | | | (263 | ) |
b,cGazprom PJSC ADR | | 1-Day FEDEF | | | Monthly | | | | MSCS | | | | 1/31/24 | | | | — | | | | — | |
Genmab A/S | | 1-Week CIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 1,295,482 | DKK | | | 4,715 | |
GEO Corrections Holdings Inc. | | 1-Day FEDEF + 0.70% | | | Monthly | | | | BOFA | | | | 2/01/24 | | | | 1,290,909 | | | | 18,629 | |
Georg Fischer AG | | 1-Day SARON + 0.35% | | | Monthly | | | | JPHQ | | | | 3/25/24 | | | | 336,786 | CHF | | | (41,455 | ) |
Gerresheimer AG | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 83,211 | EUR | | | 12,938 | |
Gestamp Automocion SA | | 1-Day EONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 316,218 | EUR | | | 14,497 | |
GFT Technologies SE | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 179,515 | EUR | | | (814 | ) |
Glanbia PLC | | 1-Day EONIA + 0.35% | | | Monthly | | | | MSCS | | | | 10/27/23 | | | | 2,207 | EUR | | | (65 | ) |
Glencore PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 3/07/24 | | | | 72,482 | GBP | | | (12,907 | ) |
Greencore Group PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 9/12/23 | | | | 188,581 | GBP | | | 13,747 | |
Greenhill & Co. Inc. | | 1-Day FEDEF + 0.30% | | | Monthly | | | | BOFA | | | | 5/30/24 | | | | 67,766 | | | | (11 | ) |
Grieg Seafood ASA | | 1-Week NIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 2,303,069 | NOK | | | 16,574 | |
Groupe Renault | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 10/03/23 | | | | 191,048 | EUR | | | (13,915 | ) |
Grupa Azoty SA | | 1-Day FEDEF + 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 146,137 | | | | (32,738 | ) |
Grupo Catalana Occidente | | 1-Day EONIA + 0.35% | | | Monthly | | | | MSCS | | | | 11/10/23 | | | | 191,218 | EUR | | | (4,576 | ) |
GSK PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 157,810 | GBP | | | (6,846 | ) |
Guerbet | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 58,628 | EUR | | | (7,927 | ) |
Guess? Inc. | | SOFR + 3.50% | | | Monthly | | | | GSCO | | | | 4/25/24 | | | | 839,046 | | | | (9,129 | ) |
Gulf Keystone Petroleum Ltd. | | 1-Day SONIA + 0.25% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 146,841 | GBP | | | (54,161 | ) |
H&T Group PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 5/27/24 | | | | 4,225 | GBP | | | (64 | ) |
H. Lundbeck A/S | | 1-Week CIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 11/27/23 | | | | 1,687,505 | DKK | | | 30,079 | |
H+H International A/S | | 1-Week CIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 674,536 | DKK | | | (9,983 | ) |
Harbour Energy | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 10/27/23 | | | | 156,306 | GBP | | | (58,955 | ) |
HAT Holdings I LLC | | SOFR + 3.50% | | | Monthly | | | | GSCO | | | | 3/21/24 | | | | 715,124 | | | | 47,186 | |
HeidelbergCement AG | | 1-Month EURIBOR + 0.40% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 221,870 | EUR | | | 43,039 | |
Heijmans NV | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 271,189 | EUR | | | (17,117 | ) |
HEXPOL AB | | 1-Week STIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 8/03/23 | | | | 1,121,167 | SEK | | | (11,426 | ) |
Hochtief AG | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 3/18/24 | | | | 134,085 | EUR | | | 13,852 | |
Hoegh Autoliners AS | | 1-Week NIBOR + 0.275% | | | Monthly | | | | SEBA | | | | 4/26/24 | | | | 1,375,682 | NOK | | | (11,348 | ) |
Holcim Ltd. | | 1-Day SARON + 0.35% | | | Monthly | | | | JPHQ | | | | 5/09/24 | | | | 99,580 | CHF | | | (5,211 | ) |
Hollywood Bowl Group PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 98,611 | GBP | | | 26,712 | |
HORNBACH Holding AG & Co. KGaA | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 319,187 | EUR | | | (44,386 | ) |
Huber + Suhner AG | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 215,295 | CHF | | | (32,263 | ) |
Hugo Boss AG | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 133,261 | EUR | | | 9,588 | |
hVIVO PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 5/27/24 | | | | 15,225 | GBP | | | (616 | ) |
IMAX | | 1-Day FEDEF + 0.70% | | | Monthly | | | | JPHQ | | | | 2/08/24 | | | | 102,491 | CHF | | | (9,307 | ) |
Implenia AG | | 1-Day SARON + 0.35% | | | Monthly | | | | JPHQ | | | | 5/09/24 | | | | 152,666 | CHF | | | 12,647 | |
Inchcape PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 9/28/23 | | | | 161,355 | GBP | | | (11,137 | ) |
Indivior PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 229,615 | GBP | | | (16,501 | ) |
Indra Sistemas SA | | 1-Day EONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 250,304 | EUR | | | 15,426 | |
Industria de Diseno Textil Inditex SA | | 1-Day EONIA + 0.35% | | | Monthly | | | | MSCS | | | | 8/22/23 | | | | 194,979 | EUR | | | 7,031 | |
Infineon Technologies AG | | 1-Day SARON + 0.35% | | | Monthly | | | | JPHQ | | | | 5/30/24 | | | | 152,955 | EUR | | | 102 | |
Infrastrutture Wireless Italiane SpA | | 1-Day EONIA + 0.65% | | | Monthly | | | | MSCS | | | | 4/26/24 | | | | 828,676 | EUR | | | 4,994 | |
ING Groep NV | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 4/22/24 | | | | 232,958 | EUR | | | (1,933 | ) |
Innovatec SpA | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 149,443 | EUR | | | (41,905 | ) |
Integra Corp. | | 1-Day FEDEF + 0.20% | | | Monthly | | | | BOFA | | | | 2/16/24 | | | | 444,343 | | | | (724 | ) |
Intercos Group | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 5/03/24 | | | | 123,084 | EUR | | | (616 | ) |
International Consolidated Airlines Group SA | | 1-Day SONIA + 0.30% | | | Monthly | | | | MSCS | | | | 5/27/24 | | | | 197,118 | GBP | | | (4,150 | ) |
Intesa Sanpaolo SpA | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 4/22/24 | | | | 206,113 | EUR | | | (27,383 | ) |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 91 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | | | | | |
| Total Return Swap Contracts (continued) | | | | |
| | | | | | |
| Underlying Instrument | | Financing Rate | | Payment
Frequency | | | Counterparty | | | Maturity
Date | | | Notional
Value* | | | Value/Unrealized
Appreciation
(Depreciation) | |
| OTC Swap Contracts (continued) | | | | | | | | | | | | | | | | | |
| Equity Contracts – Longa (continued) | | | | | | | | | | | | | | | |
Inwido AB | | 1-Week STIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 4,390,285 | SEK | | $ | (54,679 | ) |
Ion Beam Applications SA | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 58,475 | EUR | | | 1,220 | |
Ionis Pharmaceuticals Inc. | | 1-Day FEDEF + 0.70% | | | Monthly | | | | BOFA | | | | 5/03/24 | | | | 712,885 | | | | (1,794 | ) |
IP Group PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 175,433 | GBP | | | (12,181 | ) |
Ipsos Group SA | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 107,486 | EUR | | | (9,246 | ) |
ISS A/S | | 1-Week CIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 11/27/23 | | | | 1,602,490 | DKK | | | (7,126 | ) |
Iveco | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 11/28/23 | | | | 302,320 | EUR | | | (6,154 | ) |
Iveric Bio Inc. | | 1-Day FEDEF + 0.30% | | | Monthly | | | | BOFA | | | | 5/03/24 | | | | 235,560 | | | | (986 | ) |
IWG PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 4/03/24 | | | | 97,335 | GBP | | | (14,510 | ) |
J D Wetherspoon PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 5/10/24 | | | | 60,171 | GBP | | | (3,178 | ) |
Jacquet Metals SA | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 27,068 | EUR | | | 5,217 | |
Jet2 PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/18/23 | | | | 348,952 | GBP | | | 41,356 | |
Julius Baer | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 327,522 | CHF | | | (9,353 | ) |
Just Group PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 11/27/23 | | | | 377,096 | GBP | | | (424 | ) |
Jyske Bank A/S | | 1-Week CIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 11/27/23 | | | | 1,703,383 | DKK | | | (4,405 | ) |
Kap Industrial Holdings Ltd. | | 1-Day SABOR + 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 3,525,376 | ZAR | | | (75,410 | ) |
Keller Group PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 112,230 | GBP | | | (12,172 | ) |
Kemira OYJ | | 1-Week ESTR + 0.275% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 227,848 | EUR | | | (27,473 | ) |
Kenmare Resources PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 85,138 | GBP | | | 554 | |
Kesko Corp. | | Euro STR + 0.28% | | | Monthly | | | | SEBA | | | | 7/14/23 | | | | 182,310 | EUR | | | (17,859 | ) |
Klepierre SA | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 8/08/23 | | | | 148,034 | EUR | | | (3,453 | ) |
Koc Holding AS | | 1-Day FEDEF + 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 292,778 | | | | 23,531 | |
Koenig & Bauer AG | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 43,189 | EUR | | | 7,398 | |
Konecranes OYJ | | Euro STR + 0.28% | | | Monthly | | | | SEBA | | | | 11/22/23 | | | | 177,693 | EUR | | | (4,959 | ) |
Kongsberg Gruppen ASA | | 1-Week NIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 1,760,293 | NOK | | | (8,038 | ) |
Koninklijke Ahold Delhaize NV | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 330,024 | EUR | | | (12,097 | ) |
Koninklijke BAM Groep NV | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 8/14/23 | | | | 133,049 | EUR | | | (10,259 | ) |
Koninklijke KPN NV | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 10/11/23 | | | | 186,217 | EUR | | | 4,930 | |
Krones AG | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 471,267 | EUR | | | (2,856 | ) |
Kuehne + Nagel AG | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 8/11/23 | | | | 49,525 | CHF | | | 4,201 | |
Laboratorios Farmaceuticos Rovi SA | | 1-Day EONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/14/23 | | | | 92,658 | EUR | | | (242 | ) |
Lancashire Holdings Ltd. | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 2/19/24 | | | | 240,256 | GBP | | | 12,490 | |
Lar Espana Real Estate SOCIMI SA | | 1-Day EONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 71,951 | EUR | | | 677 | |
Lastminute.com Group | | 1-Day SARON + 0.35% | | | Monthly | | | | JPHQ | | | | 11/27/23 | | | | 38,906 | CHF | | | 7,545 | |
Legal & General Group PLC | | 1-Day SONIA + 0.30% | | | Monthly | | | | MSCS | | | | 2/19/24 | | | | 157,716 | GBP | | | (10,253 | ) |
Leonardo SpA | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 100,057 | EUR | | | (11,472 | ) |
Leonteq AG | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/14/23 | | | | 267,348 | CHF | | | (4,959 | ) |
Liberty Media Corp. | | SOFR + 3.50% | | | Monthly | | | | GSCO | | | | 5/03/24 | | | | 1,168,094 | | | | (6,890 | ) |
Lindab International AB | | 1-Week STIBOR + 0.275% | | | Monthly | | | | SEBA | | | | 5/08/24 | | | | 920,171 | SEK | | | (2,739 | ) |
Liontrust Asset Management PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 6/03/24 | | | | 13,092 | GBP | | | 46 | |
LiveChat Software SA | | 1-Day FEDEF + 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 183,618 | | | | (17,432 | ) |
Livent Corp. | | 1-Day FEDEF + 0.70% | | | Monthly | | | | BOFA | | | | 2/05/24 | | | | 2,121,136 | | | | (4,887 | ) |
Logista | | 1-Day EONIA + 0.35% | | | Monthly | | | | MSCS | | | | 9/14/23 | | | | 200,428 | EUR | | | 16,394 | |
Lookers PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 73,983 | GBP | | | 2,916 | |
Loomis AB | | 1-Week STIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/14/23 | | | | 5,521,307 | SEK | | | (70,735 | ) |
Lumentum Holdings | | 1-Day FEDEF + 0.70% | | | Monthly | | | | BOFA | | | | 2/08/24 | | | | 1,087,121 | | | | (1,166 | ) |
M.P. Evans Group PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 48,402 | GBP | | | (2,252 | ) |
Magellan Midstream Partners | | 1-Day FEDEF + 0.30% | | | Monthly | | | | BOFA | | | | 5/18/24 | | | | 187,855 | | | | (374 | ) |
Maire Tecnimont SpA | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 8/14/23 | | | | 502,152 | EUR | | | (48,592 | ) |
Maisons du Monde France SAS | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 131,563 | EUR | | | 197 | |
Majorel Group Luxembourg SA | | 1-Day EONIA + 0.65% | | | Monthly | | | | MSCS | | | | 5/24/24 | | | | 383,812 | EUR | | | 2,511 | |
Man Group PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/14/23 | | | | 260,483 | GBP | | | (17,479 | ) |
| | | | | | | | | | |
| | | | | | |
| 92 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | | | | | |
| Total Return Swap Contracts (continued) | | | | |
| | | | | | |
| Underlying Instrument | | Financing Rate | | Payment
Frequency | | | Counterparty | | | Maturity
Date | | | Notional
Value* | | | Value/Unrealized
Appreciation
(Depreciation) | |
| OTC Swap Contracts (continued) | | | | | | | | | | | | | | | | | |
| Equity Contracts – Longa (continued) | | | | | | | | | | | | | | | |
Manitou BF SA | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 13,171 | EUR | | $ | (229 | ) |
Marks & Spencer Group PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 199,536 | GBP | | | 27,765 | |
MAS PLC | | 1-Day SABOR + 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 4,215,696 | ZAR | | | 19,300 | |
Matas A/S | | 1-Week CIBOR + 0.275% | | | Monthly | | | | SEBA | | | | 11/10/23 | | | | 1,612,596 | DKK | | | (16,781 | ) |
Maurel & Prom | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 5/16/24 | | | | 122,390 | EUR | | | 2,357 | |
Mavi Giyim Sanayi Ve Ticaret AS | | 1-Day FEDEF + 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 117,303 | | | | 726 | |
Media and Games Invest SE | | 1-Week STIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 756,844 | SEK | | | (7,665 | ) |
Meier Tobler Group AG | | 1-Day SARON + 0.35% | | | Monthly | | | | JPHQ | | | | 5/09/24 | | | | 62,760 | CHF | | | (6,654 | ) |
Melexis NV | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 8/18/23 | | | | 208,430 | EUR | | | (1,293 | ) |
Mensch und Maschine Software SE | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 105,708 | EUR | | | 5,391 | |
Mercedes-Benz Group AG | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 211,029 | EUR | | | 15,771 | |
Mercialys SA | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 158,689 | EUR | | | (25,574 | ) |
Merck KGaA | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/14/23 | | | | 275,290 | EUR | | | (20,532 | ) |
MERLIN Properties SOCIMI SA | | 1-Day EONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 137,426 | EUR | | | (14,751 | ) |
Mersen | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 177,341 | EUR | | | 11,592 | |
MFE | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 11/27/23 | | | | 281,824 | EUR | | | (4,425 | ) |
Middleby Corp. | | 1-Day FEDEF + 0.70% | | | Monthly | | | | BOFA | | | | 3/17/24 | | | | 509,238 | | | | (1,505 | ) |
Midea Group Co. Ltd. | | 1-Day FEDEF + 0.55% | | | Monthly | | | | MSCS | | | | 3/11/24 | | | | 750,400 | | | | (85,897 | ) |
Migros Ticaret | | 1-Day FEDEF + 0.30% | | | Monthly | | | | MSCS | | | | 9/08/23 | | | | 92,763 | | | | (4,041 | ) |
Mitie Group PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 297,840 | GBP | | | 64,069 | |
Modern Times Group MTG AB | | 1-Week STIBOR + 0.275% | | | Monthly | | | | SEBA | | | | 5/08/24 | | | | 2,267,569 | SEK | | | (28,410 | ) |
Moneysupermarket.com | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 2/27/24 | | | | 218,174 | GBP | | | 8,888 | |
Morgan Advanced Materials | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 117,100 | GBP | | | 6,003 | |
Morgan Sindall Group PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 246,619 | GBP | | | 2,230 | |
Motus Holdings Ltd. | | 1-Day SABOR + 0.34% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 2,655,514 | ZAR | | | (21,482 | ) |
MPC Container Ships ASA | | 1-Week NIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 1,330,331 | NOK | | | 17,505 | |
MTN Group Ltd. | | 1-Day SABOR + 0.32% | | | Monthly | | | | MSCS | | | | 7/13/23 | | | | 7,039,197 | ZAR | | | (22,722 | ) |
MTU Aero Engines AG | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 8/01/23 | | | | 101,476 | EUR | | | 8,606 | |
Muenchener Rueckversicherungs Gesellschaft AG | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 210,947 | EUR | | | 7,800 | |
Mycronic AB | | 1-Week STIBOR + 0.275% | | | Monthly | | | | SEBA | | | | 3/08/24 | | | | 2,685,711 | SEK | | | 6,026 | |
Natera Inc. | | SOFR + 3.50% | | | Monthly | | | | GSCO | | | | 5/03/24 | | | | 577,592 | | | | (14,047 | ) |
National Express Group PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 8/25/23 | | | | 247,306 | GBP | | | (79,668 | ) |
National Grid PLC | | 1-Day SONIA + 0.40% | | | Monthly | | | | MSCS | | | | 1/23/24 | | | | 1,052,515 | GBP | | | (63,912 | ) |
National Instruments | | 1-Day FEDEF + 0.30% | | | Monthly | | | | BOFA | | | | 2/23/24 | | | | 315,588 | | | | (1,129 | ) |
NatWest Group PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 126,315 | GBP | | | 2,877 | |
NCAB Group AB | | 1-Week STIBOR + 0.275% | | | Monthly | | | | SEBA | | | | 4/04/24 | | | | 2,033,630 | SEK | | | 39,965 | |
NCC AB | | 1-Week STIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 2,534,312 | SEK | | | 278 | |
Neinor Homes SA | | 1-Day EONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 136,360 | EUR | | | (26,598 | ) |
NEPI Rockcastle NV | | 1-Day SABOR + 0.70% | | | Monthly | | | | MSCS | | | | 11/17/23 | | | | 5,458,454 | ZAR | | | 15,956 | |
Netcare Ltd. | | 1-Day SABOR + 0.70% | | | Monthly | | | | MSCS | | | | 10/02/23 | | | | 4,295,154 | ZAR | | | (14,719 | ) |
Network International Holdings PLC | | 1-Day SONIA + 0.65% | | | Monthly | | | | MSCS | | | | 4/24/24 | | | | 457,537 | GBP | | | 6,116 | |
New Work SE | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 96,034 | EUR | | | (17,801 | ) |
Newriver Reit PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 170,389 | GBP | | | (19,394 | ) |
Nexans | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 271,761 | EUR | | | (33,076 | ) |
Next Fifteen Communications Group PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 189,185 | GBP | | | (42,432 | ) |
NextEra Energy Partners LP | | 1-Day FEDEF + 0.70% | | | Monthly | | | | BOFA | | | | 3/28/24 | | | | 689,738 | | | | 127 | |
Nilfisk Holding A/S | | 1-Week CIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/12/23 | | | | 468,595 | DKK | | | (4,017 | ) |
NKT A/S | | 1-Week CIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 11/27/23 | | | | 675,740 | DKK | | | 21,696 | |
NN Group NV | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/14/23 | | | | 215,412 | EUR | | | (35,253 | ) |
Nokia Corp. | | Euro STR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 388,837 | EUR | | | (50,217 | ) |
Nordea Bank ABP | | 1-Week STIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 2,247,591 | SEK | | | (13,729 | ) |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 93 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | | | | | |
| Total Return Swap Contracts (continued) | | | | |
| | | | | | |
| Underlying Instrument | | Financing Rate | | Payment
Frequency | | | Counterparty | | | Maturity
Date | | | Notional
Value* | | | Value/Unrealized
Appreciation
(Depreciation) | |
| OTC Swap Contracts (continued) | | | | | | | | | | | | | | | | | |
| Equity Contracts – Longa (continued) | | | | | | | | | | | | | | | |
Norsk Hydro ASA | | 1-Week NIBOR + 0.275% | | | Monthly | | | | SEBA | | | | 4/08/24 | | | | 1,493,138 | NOK | | $ | (20,148 | ) |
Norske Skog ASA | | 1-Week NIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 2,065,319 | NOK | | | (51,796 | ) |
Northern Oil And Gas Inc. | | SOFR + 0.35% | | | Monthly | | | | GSCO | | | | 3/16/24 | | | | 724,324 | | | | (3,289 | ) |
Novartis AG | | 1-Day SARON + 0.35% | | | Monthly | | | | JPHQ | | | | 4/22/24 | | | | 229,284 | CHF | | | (6,566 | ) |
Novo Nordisk AS | | 1-Week CIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 2,437,369 | DKK | | | 12,596 | |
Novozymes A/S | | 1-Week CIBOR + 0.65% | | | Monthly | | | | MSCS | | | | 3/25/24 | | | | 2,908,980 | DKK | | | (15,225 | ) |
NSI NV | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 11/27/23 | | | | 88,119 | EUR | | | (16,749 | ) |
NuVasive Inc. | | SOFR + 3.50% | | | Monthly | | | | GSCO | | | | 5/02/24 | | | | 1,046,584 | | | | (10,106 | ) |
OC Oerlikon | | 1-Day SARON + 0.35% | | | Monthly | | | | JPHQ | | | | 10/19/23 | | | | 162,979 | CHF | | | (31,861 | ) |
OCI NV | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/12/23 | | | | 214,968 | EUR | | | (84,204 | ) |
ODAS Elektrik Uretim ve Sanayi Ticaret AS | | 1-Day FEDEF + 0.30% | | | Monthly | | | | MSCS | | | | 8/24/23 | | | | 116,155 | | | | (13,718 | ) |
Okea ASA | | 1-Week NIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 3,015,092 | NOK | | | 2,678 | |
On The Beach Group PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 276,026 | GBP | | | (86,235 | ) |
Option Care Health | | 1-Day FEDEF + 0.30% | | | Monthly | | | | BOFA | | | | 5/15/24 | | | | 42,978 | | | | (102 | ) |
Orange Polska SA | | 1-Day FEDEF + 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 31,005 | | | | (884 | ) |
Oriola Corp. | | Euro STR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 51,229 | EUR | | | (2,830 | ) |
ORIOR AG | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 130,314 | CHF | | | 4,311 | |
ORSERO | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 50,748 | EUR | | | (4,839 | ) |
OSB Group | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 9/12/23 | | | | 35,260 | GBP | | | 1,283 | |
Osram Licht AG | | 1-Day SARON + 0.35% | | | Monthly | | | | JPHQ | | | | 11/27/23 | | | | 243,083 | CHF | | | 1,203 | |
Outokumpu OYJ | | Euro STR + 0.28% | | | Monthly | | | | SEBA | | | | 7/25/23 | | | | 228,458 | EUR | | | (3,563 | ) |
OVS SpA | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/26/23 | | | | 392,067 | EUR | | | (3,870 | ) |
OZAK GMYO | | 1-Day FEDEF + 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 230,864 | | | | (34,205 | ) |
Pagegroup PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 160,642 | GBP | | | 1,130 | |
Palo Alto Networks Inc. | | 1-Day FEDEF + 0.70% | | | Monthly | | | | BOFA | | | | 7/01/23 | | | | 3,210,502 | | | | (8,844 | ) |
Pan African Resources PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 93,102 | GBP | | | (30,892 | ) |
Pandox AB | | 1-Week STIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 11/01/23 | | | | 3,974,824 | SEK | | | (47,823 | ) |
Paradox Interactive AB | | 1-Week STIBOR + 0.275% | | | Monthly | | | | SEBA | | | | 5/06/24 | | | | 1,435,265 | SEK | | | 7,540 | |
Paragon Banking Group PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 2/01/24 | | | | 278,211 | GBP | | | (43,872 | ) |
Parsons Corp. | | 1-Day FEDEF + 0.70% | | | Monthly | | | | BOFA | | | | 2/09/24 | | | | 1,260,296 | | | | 4,036 | |
Patrick Industries Inc. | | SOFR + 3.50% | | | Monthly | | | | GSCO | | | | 4/03/24 | | | | 855,462 | | | | (4,859 | ) |
Patrizia | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 11/27/23 | | | | 115,244 | EUR | | | (21,379 | ) |
Per Aarsleff Holding A/S | | 1-Week CIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 1,603,069 | DKK | | | 19,279 | |
Peugeot Invest SA | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 151,317 | EUR | | | 5,204 | |
PG&E Corp. | | 1-Day FEDEF + 0.70% | | | Monthly | | | | BOFA | | | | 5/03/24 | | | | 469,969 | | | | 2,952 | |
PGE Polska Grupa Energetyczna SA | | 1-Day FEDEF + 0.30% | | | Monthly | | | | MSCS | | | | 7/14/23 | | | | 171,902 | | | | 18,424 | |
Piaggio & C. SpA | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 4/22/24 | | | | 207,706 | EUR | | | (12,382 | ) |
Playtech PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 5/10/24 | | | | 297,544 | GBP | | | (10,445 | ) |
PNM Resources Inc. | | 1-Day FEDEF + 0.30% | | | Monthly | | | | BOFA | | | | 3/30/24 | | | | 344,400 | | | | (1,549 | ) |
PORR AG | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 129,309 | EUR | | | 10,906 | |
Post Holdings Inc. | | SOFR + 0.35% | | | Monthly | | | | GSCO | | | | 3/02/24 | | | | 1,246,815 | | | | (14,710 | ) |
Poste Italiane SpA | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 54,187 | EUR | | | 2,149 | |
PPC Ltd. | | 1-Day SABOR + 0.32% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 1,287,109 | ZAR | | | (12,176 | ) |
Premier Foods PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 139,251 | GBP | | | 15,023 | |
Progress Software Corp. | | 1-Day FEDEF + 0.70% | | | Monthly | | | | BOFA | | | | 2/05/24 | | | | 786,949 | | | | 3,392 | |
Prysmian SpA | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 8/22/23 | | | | 142,587 | EUR | | | 1,135 | |
Puuilo PLC | | 1-Week ESTR + 0.275% | | | Monthly | | | | SEBA | | | | 4/22/24 | | | | 100,681 | EUR | | | 2,392 | |
PZU SA | | 1-Day FEDEF + 1.25% | | | Monthly | | | | MSCS | | | | 3/04/24 | | | | 170,611 | | | | 8,691 | |
QIAGEN NV | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 177,562 | EUR | | | (6,687 | ) |
Quadient | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 11/27/23 | | | | 77,947 | EUR | | | 5,679 | |
Qualtrics International Inc. | | OBFR + 0.40% | | | Monthly | | | | BZWS | | | | 5/30/24 | | | | 62,596 | | | | 69 | |
Rana Gruber ASA | | 1-Week NIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 676,698 | NOK | | | (5,676 | ) |
Randstad NV | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 259,513 | EUR | | | (37,413 | ) |
| | | | | | | | | | |
| | | | | | |
| 94 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | | | | | |
| Total Return Swap Contracts (continued) | | | | |
| | | | | | |
| Underlying Instrument | | Financing Rate | | Payment
Frequency | | | Counterparty | | | Maturity
Date | | | Notional
Value* | | | Value/Unrealized
Appreciation
(Depreciation) | |
| OTC Swap Contracts (continued) | | | | | | | | | | | | | | | | | |
| Equity Contracts – Longa (continued) | | | | | | | | | | | | | | | |
Redefine Properties Ltd. | | 1-Day SABOR + 0.31% | | | Monthly | | | | MSCS | | | | 7/12/23 | | | | 3,958,433 | ZAR | | $ | (36,103 | ) |
Renew Holdings PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 137,582 | GBP | | | 137 | |
Renewi PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 87,707 | GBP | | | (11,186 | ) |
Repsol SA | | 1-Day EONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/12/23 | | | | 153,426 | EUR | | | (1,263 | ) |
Resilient REIT | | 1-Day SABOR + 0.70% | | | Monthly | | | | MSCS | | | | 11/28/23 | | | | 2,126,781 | ZAR | | | (22,997 | ) |
Retail Estates NV | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 187,735 | EUR | | | 19,729 | |
Rexel | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 7/13/23 | | | | 325,962 | EUR | | | 16,526 | |
Richemont | | 1-Day SARON + 0.35% | | | Monthly | | | | JPHQ | | | | 7/31/23 | | | | 168,047 | CHF | | | 40,439 | |
Rightmove PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 169,436 | GBP | | | (17,682 | ) |
Roche | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 431,392 | CHF | | | (46,776 | ) |
Rockwool A/S | | 1-Week CIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 1,549,970 | DKK | | | 3,776 | |
Royal Caribbean Group | | SOFR + 3.50% | | | Monthly | | | | GSCO | | | | 3/08/24 | | | | 2,891,430 | | | | (35,425 | ) |
RWE AG | | 1-Day EONIA + 0.40% | | | Monthly | | | | MSCS | | | | 1/25/24 | | | | 654,452 | EUR | | | (55,865 | ) |
SA Corporate Real Estate Ltd. | | 1-Day SABOR + 0.34% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 1,280,752 | ZAR | | | (8,776 | ) |
Saab AB | | 1-Week STIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 1,250,303 | SEK | | | (4,965 | ) |
Saint-Gobain S.A. | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 193,750 | EUR | | | 32,685 | |
Sanlorenzo | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 8/25/23 | | | | 316,841 | EUR | | | (10,968 | ) |
Sappi Ltd. | | 1-Day SABOR + 0.70% | | | Monthly | | | | MSCS | | | | 11/27/23 | | | | 5,104,358 | ZAR | | | (28,812 | ) |
Sarepta Therapeutics Inc. | | 1-Day FEDEF + 0.70% | | | Monthly | | | | BOFA | | | | 4/20/24 | | | | 762,598 | | | | 845 | |
Sartorius AG | | 1-Day EONIA + 0.30% | | | Monthly | | | | JPHQ | | | | 7/19/23 | | | | 193,899 | EUR | | | (42,718 | ) |
Sasol Ltd. | | 1-Day SABOR + 0.33% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 5,269,998 | ZAR | | | (68,243 | ) |
SAVILLS PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 340,205 | GBP | | | (34,367 | ) |
Scandi Standard AB | | 1-Week STIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 1,678,309 | SEK | | | (949 | ) |
Schindler | | 1-Day SARON + 0.35% | | | Monthly | | | | JPHQ | | | | 11/29/23 | | | | 175,016 | CHF | | | 1,623 | |
SciPlay Corp. | | 1-Day FEDEF + 0.30% | | | Monthly | | | | BOFA | | | | 5/19/24 | | | | 60,497 | | | | (92 | ) |
Scout24 SE | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 12/06/23 | | | | 233,983 | EUR | | | 33,356 | |
Sectra AB | | 1-Week STIBOR + 0.275% | | | Monthly | | | | SEBA | | | | 5/06/24 | | | | 1,747,475 | SEK | | | 8,869 | |
Serica Energy PLC | | SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 6/03/24 | | | | 21,991 | GBP | | | 160 | |
SESA | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 126,348 | EUR | | | (6,451 | ) |
SHELL PLC | | 1-Day SONIA + 0.40% | | | Monthly | | | | MSCS | | | | 5/03/24 | | | | 1,211,306 | GBP | | | (122,422 | ) |
Siegfried | | 1-Day SARON + 0.35% | | | Monthly | | | | JPHQ | | | | 11/09/23 | | | | 177,260 | CHF | | | 16,791 | |
Siemens Energy AG | | Euro STR + 0.35% | | | Monthly | | | | MSCS | | | | 3/01/24 | | | | 4,859,371 | EUR | | | 176,140 | |
Signify NV | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 235,460 | EUR | | | (37,778 | ) |
SII | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 127,787 | EUR | | | 12,764 | |
Silicon Motion Technology Corp. | | 1-Day FEDEF + 0.30% | | | Monthly | | | | BOFA | | | | 1/29/24 | | | | 330,696 | | | | (1,431 | ) |
Sinoma Science | | 1-Day FEDEF + 0.30% | | | Monthly | | | | MSCS | | | | 2/05/24 | | | | 283,170 | | | | (23,454 | ) |
SIPEF | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/13/23 | | | | 55,135 | EUR | | | (759 | ) |
SK Innovation Co. Ltd. | | 1-Day FEDEF + 0.30% | | | Monthly | | | | MSCS | | | | 3/15/24 | | | | 1,523,472 | | | | 127,386 | |
SKF AB | | 1-Week STIBOR + 0.275% | | | Monthly | | | | SEBA | | | | 3/25/24 | | | | 3,534,920 | SEK | | | (40,864 | ) |
SMCP SA | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 160,135 | EUR | | | 26,078 | |
Snam SpA | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 10/13/23 | | | | 132,135 | EUR | | | 2,029 | |
Societe Generale SA | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 201,487 | EUR | | | 16,437 | |
Sodexo | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 5/16/24 | | | | 136,350 | EUR | | | (468 | ) |
Solar A/S | | 1-Week CIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/13/23 | | | | 937,536 | DKK | | | (12,052 | ) |
Solvay | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 10/09/23 | | | | 335,588 | EUR | | | (16,477 | ) |
Sopra Steria Group SA | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 308,030 | EUR | | | 28,981 | |
Southern Co. (The) | | 1-Day FEDEF + 0.70% | | | Monthly | | | | BOFA | | | | 2/28/24 | | | | 462,200 | | | | (656 | ) |
Southwest Airlines Co. | | SOFR + 0.35% | | | Monthly | | | | GSCO | | | | 3/16/24 | | | | 285,587 | | | | (1,230 | ) |
Spar Nord Bank A/S | | 1-Week CIBOR + 0.275% | | | Monthly | | | | SEBA | | | | 4/22/24 | | | | 1,396,019 | DKK | | | (19,426 | ) |
Speedy Hire PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 124,901 | GBP | | | (33,498 | ) |
SSAB AB | | 1-Week STIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 1,655,739 | SEK | | | (8,346 | ) |
SSE PLC | | 1-Day SONIA + 0.40% | | | Monthly | | | | MSCS | | | | 9/26/23 | | | | 971,424 | GBP | | | (10,530 | ) |
SSP Group PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 12/04/23 | | | | 150,130 | GBP | | | 21,000 | |
Stabilus SE | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 3/20/24 | | | | 294,767 | EUR | | | (24,815 | ) |
Standard Chartered PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 177,882 | GBP | | | 8,976 | |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 95 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | | | | | |
| Total Return Swap Contracts (continued) | | | | |
| | | | | | |
| Underlying Instrument | | Financing Rate | | Payment
Frequency | | | Counterparty | | | Maturity
Date | | | Notional
Value* | | | Value/Unrealized
Appreciation
(Depreciation) | |
| OTC Swap Contracts (continued) | | | | | | | | | | | | | | | | | |
| Equity Contracts – Longa (continued) | | | | | | | | | | | | | | | |
STEF | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 59,627 | EUR | | $ | 5,242 | |
Stellantis NV | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/12/23 | | | | 383,241 | EUR | | | (24,196 | ) |
SThree PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/12/23 | | | | 213,884 | GBP | | | (5,334 | ) |
STMicroelectronic NV | | Euro STR | | | Monthly | | | | JPHQ | | | | 2/28/24 | | | | 182,493 | EUR | | | (7,050 | ) |
Stockmann PLC | | Euro STR + 0.28% | | | Monthly | | | | SEBA | | | | 7/12/23 | | | | 53,458 | EUR | | | (2,326 | ) |
Stolt-Nielsen Ltd. | | 1-Week NIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 1,291,166 | NOK | | | (15,776 | ) |
Storskogen Group AB | | 1-Week STIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 11/27/23 | | | | 1,224,383 | SEK | | | 42,102 | |
STRABAG SE | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/12/23 | | | | 242,979 | EUR | | | (7,031 | ) |
Sulzer Ltd. | | 1-Day SARON + 0.35% | | | Monthly | | | | JPHQ | | | | 11/10/23 | | | | 313,104 | CHF | | | (20,816 | ) |
Sun International Hotels Ltd. | | 1-Day SABOR + 0.70% | | | Monthly | | | | MSCS | | | | 5/20/24 | | | | 1,262,399 | ZAR | | | (1,678 | ) |
SUSE SA | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 1/31/24 | | | | 173,085 | EUR | | | (38,529 | ) |
SUSS MicroTec SE | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 192,812 | EUR | | | 68,499 | |
Swatch Group Ltd. | | 1-Day SARON + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 147,831 | CHF | | | (5,513 | ) |
Sweco AB | | 1-Week STIBOR + 0.275% | | | Monthly | | | | SEBA | | | | 4/25/24 | | | | 1,907,236 | SEK | | | (11,205 | ) |
Swedish Orphan Biovitrum AB | | 1-Week STIBOR + 0.65% | | | Monthly | | | | SEBA | | | | 7/13/23 | | | | 3,934,453 | SEK | | | (50,273 | ) |
Swiss Life Holding AG | | 1-Day SARON + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 249,158 | CHF | | | (5,715 | ) |
Swiss Re AG | | 1-Day SARON | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 126,968 | CHF | | | 2,452 | |
Sydbank A/S | | 1-Week CIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 1,601,716 | DKK | | | (20,317 | ) |
Sylvania Platinum Ltd. | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 130,919 | GBP | | | (11,201 | ) |
Talanx AG | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 275,700 | EUR | | | 64,241 | |
Tauron Polska Energia SA | | 1-Day FEDEF + 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 191,136 | | | | 13,643 | |
TBC Bank Group PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 103,267 | GBP | | | 58,925 | |
TeamViewer AG | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 8/01/23 | | | | 279,793 | EUR | | | 30,854 | |
Tecan Group AG | | 1-Day SARON + 0.35% | | | Monthly | | | | JPHQ | | | | 5/09/24 | | | | 240,587 | CHF | | | (19,165 | ) |
Technip Energies NV | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 8/07/23 | | | | 147,015 | EUR | | | 31,248 | |
Tegna Inc. | | 1-Day FEDEF + 0.30% | | | Monthly | | | | BOFA | | | | 1/29/24 | | | | 101,940 | | | | (488 | ) |
Telecom Plus PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 9/06/23 | | | | 259,931 | GBP | | | (59,440 | ) |
Telephone & Data Systems Inc. | | 1-Day FEDEF + 0.30% | | | Monthly | | | | BOFA | | | | 2/10/24 | | | | 112,224 | | | | (722 | ) |
Ten Square Games | | 1-Day FEDEF + 1.25% | | | Monthly | | | | MSCS | | | | 1/05/24 | | | | 142,847 | | | | (41,842 | ) |
Terveystalo PLC | | Euro STR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 112,000 | EUR | | | (1,190 | ) |
Tesco PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 5/03/24 | | | | 130,323 | GBP | | | (7,695 | ) |
Tessenderlo Group | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 150,864 | EUR | | | (8,238 | ) |
TF1 Group | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 7/12/23 | | | | 383,614 | EUR | | | (50,941 | ) |
Tharisa PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 47,396 | GBP | | | (5,743 | ) |
Thungela Resources Ltd. | | 1-Day SABOR + 0.70% | | | Monthly | | | | MSCS | | | | 8/23/23 | | | | 3,205,023 | ZAR | | | (86,237 | ) |
ThyssenKrupp AG | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 11/27/23 | | | | 154,240 | EUR | | | (8,436 | ) |
Tiger Brands Ltd. | | 1-Day SABOR + 0.70% | | | Monthly | | | | MSCS | | | | 1/25/24 | | | | 6,447,256 | ZAR | | | (88,577 | ) |
TotalEnergies SE | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 12/18/23 | | | | 180,493 | EUR | | | (16,703 | ) |
Tower Semiconductor Ltd. | | 1-Day FEDEF + 0.30% | | | Monthly | | | | BOFA | | | | 5/16/24 | | | | 197,266 | | | | (297 | ) |
Trainline PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 49,644 | GBP | | | (492 | ) |
Transocean Ltd. | | 1-Day FEDEF + 0.70% | | | Monthly | | | | BOFA | | | | 2/10/24 | | | | 1,684,604 | | | | 53,599 | |
Transtema Group AB | | 1-Week STIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 935,738 | SEK | | | (25,075 | ) |
TUI AG | | 1-Day EONIA + 0.65% | | | Monthly | | | | MSCS | | | | 5/24/24 | | | | 373,631 | EUR | | | (17,043 | ) |
Turk Traktor | | 1-Day FEDEF + 1.25% | | | Monthly | | | | MSCS | | | | 5/30/24 | | | | 83,494 | | | | 2,803 | |
Turkiye Hava Yollari | | 1-Day FEDEF + 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 120,376 | | | | (2,871 | ) |
U.S. Steel | | SOFR + 0.35% | | | Monthly | | | | GSCO | | | | 2/23/24 | | | | 3,043,802 | | | | (27,599 | ) |
u-blox AG | | 1-Day SARON + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 300,410 | CHF | | | 9,207 | |
UBS Group AG | | 1-Day SARON + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 227,701 | CHF | | | (15,304 | ) |
Under Armour Inc. | | 1-Day FEDEF + 0.30% | | | Monthly | | | | BOFA | | | | 3/15/24 | | | | 86,520 | CHF | | | (367 | ) |
Unipol Gruppo SpA | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/14/23 | | | | 157,397 | EUR | | | (9,149 | ) |
Universal Music Group NV | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 10/12/23 | | | | 248,407 | EUR | | | (30,035 | ) |
Vail Resorts Inc. | | SOFR + 3.50% | | | Monthly | | | | GSCO | | | | 5/03/24 | | | | 171,213 | | | | (685 | ) |
Valiant | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/12/23 | | | | 252,090 | CHF | | | (28,225 | ) |
Var Energi ASA | | 1-Week NIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 10/23/23 | | | | 3,040,815 | NOK | | | (12,194 | ) |
Varex Imaging Corp. | | 1-Day FEDEF + 0.70% | | | Monthly | | | | BOFA | | | | 4/21/24 | | | | 1,460,771 | | | | 1,123 | |
| | | | | | | | | | |
| | | | | | |
| 96 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | | | | | |
| Total Return Swap Contracts (continued) | | | | |
| | | | | | |
| Underlying Instrument | | Financing Rate | | Payment
Frequency | | | Counterparty | | | Maturity
Date | | | Notional
Value* | | | Value/Unrealized
Appreciation
(Depreciation) | |
| OTC Swap Contracts (continued) | | | | | | | | | | | | | | | | | |
| Equity Contracts – Longa (continued) | | | | | | | | | | | | | | | |
Veidekke | | 1-Week NIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 8/24/23 | | | | 1,473,061 | NOK | | $ | (11,792 | ) |
Veolia Environnement SA | | 1-Day EONIA + 0.40% | | | Monthly | | | | MSCS | | | | 6/03/24 | | | | 193,640 | EUR | | | (890 | ) |
Veradigm Inc. | | 1-Day FEDEF + 0.70% | | | Monthly | | | | BOFA | | | | 2/08/24 | | | | 868,187 | | | | (168 | ) |
Verallia | | 1-Day EONIA + 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 194,290 | EUR | | | 39,466 | |
Verbund AG | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 8/23/23 | | | | 170,632 | EUR | | | (23,563 | ) |
Vertu Motors PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 142,063 | GBP | | | 13,000 | |
Vesuvius PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 4/26/24 | | | | 149,259 | GBP | | | 6,207 | |
VIB Vermoegen AG | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/12/23 | | | | 65,340 | EUR | | | (10,748 | ) |
Virgin Money PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 160,995 | GBP | | | 14,416 | |
Vitesco Technologies | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 9/04/23 | | | | 271,561 | EUR | | | (718 | ) |
Vitrolife AB | | 1-Week STIBOR + 0.275% | | | Monthly | | | | SEBA | | | | 3/08/24 | | | | 1,828,343 | SEK | | | 729 | |
Vodafone Group PLC | | 1-Day SONIA + 0.65% | | | Monthly | | | | MSCO | | | | 2/08/24 | | | | 1,853,842 | GBP | | | (876,246 | ) |
Voestalpine AG | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 12/18/23 | | | | 68,230 | EUR | | | 2,676 | |
Volkswagen AG | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 270,599 | EUR | | | (38,402 | ) |
Votum | | 1-Day FEDEF + 1.25% | | | Monthly | | | | MSCS | | | | 5/15/24 | | | | 34,299 | | | | (1,206 | ) |
Vukile Property Fund Ltd. | | 1-Day SABOR + 0.70% | | | Monthly | | | | MSCS | | | | 8/24/23 | | | | 4,194,168 | ZAR | | | (12,435 | ) |
VZ Holding AG | | 1-Day SARON + 0.35% | | | Monthly | | | | JPHQ | | | | 7/31/23 | | | | 68,218 | CHF | | | (2,616 | ) |
Warehouses De Pauw SA | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 5/16/24 | | | | 297,870 | EUR | | | (274,067 | ) |
Watkin Jones PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 358,022 | GBP | | | (251,969 | ) |
Wayfair Inc. | | SOFR + 3.50% | | | Monthly | | | | GSCO | | | | 3/17/24 | | | | 456,276 | | | | 474 | |
Wayfair Inc. | | 1-Day FEDEF + 0.70% | | | Monthly | | | | BOFA | | | | 5/11/24 | | | | 323,573 | | | | 2,827 | |
Wereldhave NV | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 136,757 | EUR | | | 2,003 | |
Wickes Group PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 264,457 | GBP | | | (53,179 | ) |
Wienerberger AG | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 10/09/23 | | | | 238,241 | EUR | | | 1,678 | |
Wihlborgs Fastigheter AB | | 1-Week STIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 1,133,503 | SEK | | | (3,566 | ) |
Winnebago Industries Inc. | | 1-Day FEDEF + 0.70% | | | Monthly | | | | BOFA | | | | 5/03/24 | | | | 470,111 | | | | (143 | ) |
Wolfspeed Inc. | | SOFR + 0.35% | | | Monthly | | | | GSCO | | | | 3/01/24 | | | | 183,396 | | | | (748 | ) |
Wolters Kluwer NV | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 4/17/24 | | | | 227,689 | EUR | | | (23,017 | ) |
Woolworths Holdings Ltd. | | 1-Day SABOR + 0.70% | | | Monthly | | | | MSCS | | | | 5/20/24 | | | | 3,712,180 | ZAR | | | (5,213 | ) |
WPP PLC | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 66,368 | GBP | | | (1,533 | ) |
Wuestenrot & Wuerttembergische AG | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 75,105 | EUR | | | (845 | ) |
Wyrtsily Corp. | | EONIA + 0.275% | | | Monthly | | | | SEBA | | | | 3/04/24 | | | | 198,553 | EUR | | | (23,590 | ) |
XTB | | 1-Day FEDEF + 1.25% | | | Monthly | | | | MSCS | | | | 12/15/23 | | | | 205,017 | | | | 31,900 | |
Yara International ASA | | 1-Week NIBOR + 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 2,349,220 | NOK | | | (18,083 | ) |
YouGov | | 1-Day SONIA + 0.35% | | | Monthly | | | | MSCS | | | | 10/27/23 | | | | 185,148 | GBP | | | 31,913 | |
Zalando SE | | Euro STR | | | Monthly | | | | JPHQ | | | | 3/01/24 | | | | 187,469 | EUR | | | (52,540 | ) |
Zehnder | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 336,945 | CHF | | | 68,744 | |
Ziff Davis | | 1-Day FEDEF + 0.70% | | | Monthly | | | | BOFA | | | | 3/08/24 | | | | 687,084 | | | | 1,092 | |
Zumtobel Group AG | | Euro STR + 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 36,298 | EUR | | | 2,833 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | (4,295,180 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| Equity Contracts – Shortd | | | | | | | | | | | | | | | |
AAK AB | | 1-Week STIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 3,006,362 | SEK | | | (41,031 | ) |
AB Dynamics PLC | | 1-Day SONIA - 1.25% | | | Monthly | | | | MSCS | | | | 7/18/23 | | | | 80,671 | GBP | | | (49,056 | ) |
abrdn European Logistics Income PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 131,146 | GBP | | | 26,602 | |
Acciones Fomento De Construcciones | | 1-Day EONIA - 1.75% | | | Monthly | | | | MSCS | | | | 1/12/24 | | | | 22,167 | EUR | | | 209 | |
Accor SA | | 1-Day EONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 184,164 | EUR | | | (30,660 | ) |
ACEA | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 10/13/23 | | | | 143,492 | EUR | | | (3,999 | ) |
Ackermans & van Haaren | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 3/18/24 | | | | 149,601 | EUR | | | (1,867 | ) |
adesso SE | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 121,755 | EUR | | | 6,603 | |
Adidas AG | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 8/21/23 | | | | 283,060 | EUR | | | 12,906 | |
Admiral Group PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 305,901 | GBP | | | (64,704 | ) |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 97 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | | | | | |
| Total Return Swap Contracts (continued) | | | | |
| | | | | | |
| Underlying Instrument | | Financing Rate | | Payment
Frequency | | | Counterparty | | | Maturity
Date | | | Notional
Value* | | | Value/Unrealized
Appreciation
(Depreciation) | |
| OTC Swap Contracts (continued) | | | | | | | | | | | | | | | | | |
| Equity Contracts – Shortd (continued) | | | | | | | | | | | | | | | |
Adva Optical Networking SE | | Euro STR - 7.30% | | | Monthly | | | | JPHQ | | | | 1/30/24 | | | | 120,573 | EUR | | $ | 9,608 | |
Adyen | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 5/22/24 | | | | 102,275 | EUR | | | (3,286 | ) |
AECI Ltd. | | 1-Day SABOR - 0.50% | | | Monthly | | | | MSCS | | | | 9/20/23 | | | | 2,803,194 | ZAR | | | 8,787 | |
Agfa-Gevaert NV | | Euro STR | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 45,564 | EUR | | | 2,508 | |
Agilyx | | 1-Week NIBOR - 4.25% | | | Monthly | | | | SEBA | | | | 8/07/23 | | | | 487,950 | NOK | | | 2,605 | |
Aker BP ASA | | 1-Week NIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 2,263,329 | NOK | | | 22,387 | |
Aker Carbon Capture ASA | | 1-Week NIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 7/14/23 | | | | 1,374,344 | NOK | | | 6,983 | |
Aker Horizons | | 1-Week NIBOR - 4.25% | | | Monthly | | | | SEBA | | | | 11/22/23 | | | | 364,746 | NOK | | | 6,040 | |
AkzoNobel NV | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 8/28/23 | | | | 261,268 | EUR | | | (8,288 | ) |
Alcadon Group AB | | 1-Week STIBOR - 6.00% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 90,990 | SEK | | | 2,631 | |
ALD | | 1-Day EONIA - 0.30% | | | Monthly | | | | MSCS | | | | 5/15/24 | | | | 100,289 | EUR | | | (497 | ) |
Alfen NV | | Euro STR - 0.80% | | | Monthly | | | | JPHQ | | | | 3/07/24 | | | | 220,703 | EUR | | | 16,722 | |
Alimak Group AB | | 1-Week STIBOR - 0.442% | | | Monthly | | | | SEBA | | | | 4/25/24 | | | | 324,529 | SEK | | | 494 | |
ALK-Abello A/S | | 1-Week CIBOR - 0.275% | | | Monthly | | | | SEBA | | | | 5/31/24 | | | | 373,805 | DKK | | | (264 | ) |
Allegro | | 1-Day FEDEF - 2.13% | | | Monthly | | | | MSCS | | | | 7/12/23 | | | | 219,483 | | | | (55,352 | ) |
Allfunds Group PLC | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 164,767 | EUR | | | (10,562 | ) |
Allreal Holding AG | | 1-Day SARON - 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 214,405 | CHF | | | (2,469 | ) |
Alm. Brand A/S | | 1-Week CIBOR - 0.75% | | | Monthly | | | | SEBA | | | | 7/26/23 | | | | 2,493,902 | DKK | | | 32,329 | |
Almirall SA | | 1-Day EONIA - 0.35% | | | Monthly | | | | MSCS | | | | 10/11/23 | | | | 149,784 | EUR | | | 9,845 | |
Alpha FX Group PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 137,225 | GBP | | | (42,311 | ) |
Alphawave IP Group PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 3/22/24 | | | | 134,423 | GBP | | | (9,905 | ) |
Alstom SA | | 1-Day EONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/13/23 | | | | 192,584 | EUR | | | (16,088 | ) |
Aluflexpack AG | | Euro STR - 0.85% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 35,973 | CHF | | | 2,435 | |
Ambu A/S | | 1-Week CIBOR - 1.50% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 1,119,696 | DKK | | | (13,391 | ) |
Amplifon | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 11/27/23 | | | | 91,478 | EUR | | | (8,897 | ) |
Amyris | | 1-Day FEDEF - 10.67% | | | Monthly | | | | BOFA | | | | 2/01/24 | | | | 41,816 | | | | (39 | ) |
AngloGold Ashanti Ltd. | | 1-Day SABOR - 0.50% | | | Monthly | | | | MSCS | | | | 10/06/23 | | | | 4,599,755 | ZAR | | | (105,010 | ) |
Anheuser-Busch InBev SA/NV | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/13/23 | | | | 82,686 | EUR | | | 12,706 | |
Anima Holding SpA | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 4/18/24 | | | | 62,558 | EUR | | | 9,962 | |
Anora Group PLC | | Euro STR - 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 43,498 | EUR | | | 4,887 | |
Antares Vision | | Euro STR - 2.65% | | | Monthly | | | | JPHQ | | | | 8/07/23 | | | | 24,461 | EUR | | | 3,139 | |
Antin Infrastructure Partners | | 1-Day EONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 145,048 | EUR | | | 31,146 | |
Antofagasta PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 2/15/24 | | | | 194,171 | GBP | | | 44,529 | |
Arbonia AG | | 1-Day SARON - 0.35% | | | Monthly | | | | JPHQ | | | | 11/08/23 | | | | 258,738 | CHF | | | 35,420 | |
Arcadis | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 4/04/24 | | | | 175,141 | EUR | | | (3,587 | ) |
Arcelik | | 1-Day FEDEF - 5.00% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 133,760 | | | | (31,373 | ) |
Arconic Corp. | | 1-Day FEDEF - 0.35% | | | Monthly | | | | MSCS | | | | 5/27/24 | | | | 21,710 | | | | (12 | ) |
Argan SA | | 1-Day EONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 46,785 | EUR | | | 1,859 | |
Ascential PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 121,209 | GBP | | | (7,507 | ) |
Ascopiave SpA | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 53,421 | EUR | | | 1,806 | |
Aselsan AS | | 1-Day FEDEF - 7.50% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 93,090 | | | | (76,561 | ) |
Ashmore Group PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 8/18/23 | | | | 139,888 | GBP | | | (200 | ) |
ASOS PLC | | 1-Day SONIA - 0.88% | | | Monthly | | | | MSCS | | | | 9/29/23 | | | | 53,334 | GBP | | | 24,689 | |
Atresmedia Corporacion de Medios de Comunicacion SA | | 1-Day EONIA - 0.35% | | | Monthly | | | | MSCS | | | | 4/24/24 | | | | 95,312 | EUR | | | 3,668 | |
AUTO1 Group SE | | Euro STR - 0.75% | | | Monthly | | | | JPHQ | | | | 7/14/23 | | | | 307,947 | EUR | | | (15,521 | ) |
Avi Ltd. | | 1-Day SABOR - 0.50% | | | Monthly | | | | MSCS | | | | 5/20/24 | | | | 3,645,684 | ZAR | | | 5,098 | |
Bachem AG | | Euro STR - 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 208,348 | CHF | | | (31,804 | ) |
Bank of America MLEIAPRE Index | | EONIA - 0.30% | | | Monthly | | | | BOFA | | | | 3/21/24 | | | | 197,871 | EUR | | | (28,921 | ) |
Banque Cantonale Vaudoise | | Euro STR - 0.35% | | | Monthly | | | | JPHQ | | | | 7/12/23 | | | | 268,847 | CHF | | | (4,005 | ) |
Basic-Fit | | Euro STR - 1.75% | | | Monthly | | | | JPHQ | | | | 7/14/23 | | | | 68,312 | EUR | | | (14,283 | ) |
BAWAG Group AG | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 10/23/23 | | | | 54,975 | EUR | | | 4,389 | |
BayWa AG | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 213,889 | EUR | | | 29,514 | |
Befesa SA | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 376,688 | EUR | | | 39,719 | |
| | | | | | | | | | |
| | | | | | |
| 98 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | | | | | |
| Total Return Swap Contracts (continued) | | | | |
| | | | | | |
| Underlying Instrument | | Financing Rate | | Payment
Frequency | | | Counterparty | | | Maturity
Date | | | Notional
Value* | | | Value/Unrealized
Appreciation
(Depreciation) | |
| OTC Swap Contracts (continued) | | | | | | | | | | | | | | | | | |
| Equity Contracts – Shortd (continued) | | | | | | | | | | | | | | | |
Beijer Alma AB | | 1-Week STIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 1/24/24 | | | | 801,288 | SEK | | $ | (10,750 | ) |
Beijer Ref AB | | 1-Week STIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 2,276,011 | SEK | | | 17,239 | |
Belimo Holding AG | | Euro STR - 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 303,525 | CHF | | | 750 | |
Berkeley Group Holdings PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 8/17/23 | | | | 216,783 | GBP | | | 3,532 | |
BioMarin Pharmaceutical Inc. | | SOFR - 0.35% | | | Monthly | | | | GSCO | | | | 2/23/24 | | | | 773,901 | | | | 5,377 | |
Bloomin’ Brands Inc. | | SOFR - 3.50% | | | Monthly | | | | GSCO | | | | 5/03/24 | | | | 3,059,640 | | | | 10,889 | |
Bollore SE | | 1-Day EONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 212,174 | EUR | | | (37,565 | ) |
Bonava AB | | 1-Week STIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 1/24/24 | | | | 679,593 | SEK | | | 6,914 | |
Borussia Dortmund | | Euro STR - 0.95% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 83,269 | EUR | | | (6,748 | ) |
Bossard AG | | 1-Day SARON - 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 297,189 | CHF | | | (4,916 | ) |
Bouygues Telecom | | 1-Day EONIA - 0.30% | | | Monthly | | | | MSCS | | | | 8/09/23 | | | | 156,404 | EUR | | | 7,438 | |
Bufab AB | | 1-Week STIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 599,034 | SEK | | | (17,847 | ) |
Burkhalter | | 1-Day SARON - 0.35% | | | Monthly | | | | JPHQ | | | | 9/20/23 | | | | 111,977 | CHF | | | (13,367 | ) |
BW Energy Ltd. | | 1-Week NIBOR - 0.45% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 1,071,633 | NOK | | | 613 | |
Byggmax Group AB | | 1-Week STIBOR - 1.737% | | | Monthly | | | | SEBA | | | | 5/09/24 | | | | 622,763 | SEK | | | 468 | |
Bystronic AG | | Euro STR - 0.35% | | | Monthly | | | | JPHQ | | | | 8/03/23 | | | | 160,274 | CHF | | | 7,478 | |
CA Immobilien Anlagen AG | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 319,265 | EUR | | | 40,282 | |
Cadeler AS | | 1-Week NIBOR - 6.50% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 2,207,404 | NOK | | | (32,326 | ) |
Campari | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/31/23 | | | | 180,786 | EUR | | | (37,443 | ) |
Camurus AB | | 1-Week STIBOR - 0.75% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 1,051,662 | SEK | | | (25,177 | ) |
Cancom SE | | 1-Month EURIBOR - 0.25% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 375,767 | EUR | | | 37,141 | |
Capitec Bank Holdings Ltd. | | 1-Day SABOR - 0.50% | | | Monthly | | | | MSCS | | | | 7/14/23 | | | | 8,627,337 | ZAR | | | 114,903 | |
Capricorn Energy PLC | | 1-Day SONIA - 3.324% | | | Monthly | | | | MSCS | | | | 12/21/23 | | | | 371,540 | GBP | | | 269,128 | |
Carel Industries | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 9/21/23 | | | | 80,969 | EUR | | | (11,495 | ) |
Carnival Corp. | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 241,377 | GBP | | | (32,803 | ) |
Carnival Corp. | | SOFR - 3.50% | | | Monthly | | | | GSCO | | | | 3/29/24 | | | | 609,183 | | | | 1,785 | |
CCC SA | | 1-Day FEDEF - 12.75% | | | Monthly | | | | MSCS | | | | 8/02/23 | | | | 52,648 | | | | (9,669 | ) |
CD Projekt SA | | 1-Day FEDEF - 1.25% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 164,753 | | | | (27,541 | ) |
Ceres Power Holdings PLC | | 1-Day SONIA - 1.38% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 131,634 | GBP | | | 32,673 | |
CGG SA | | 1-Day EONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 233,066 | EUR | | | 21,981 | |
Chart Industries Inc. | | 1-Day FEDEF - 0.70% | | | Monthly | | | | BOFA | | | | 3/27/24 | | | | 1,516,684 | | | | 7,383 | |
Chesnara PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 12/25/23 | | | | 79,846 | GBP | | | 3,144 | |
Chr. Hansen A/S | | 1-Week CIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 1,209,508 | DKK | | | 2,274 | |
Chr. Hansen A/S | | 1-Week CIBOR - 0.30% | | | Monthly | | | | BZWS | | | | 3/18/24 | | | | 5,150,640 | DKK | | | 33,792 | |
Chr. Hansen A/S | | 1-Week CIBOR - 0.50% | | | Monthly | | | | MSCS | | | | 3/25/24 | | | | 2,784,005 | DKK | | | 4,158 | |
Cinemark Holdings Inc. | | SOFR - 3.50% | | | Monthly | | | | GSCO | | | | 5/04/24 | | | | 780,808 | | | | 2,805 | |
Clicks Group Ltd. | | 1-Day SABOR - 1.25% | | | Monthly | | | | MSCS | | | | 10/06/23 | | | | 3,475,517 | ZAR | | | 25,508 | |
Close Brothers Group PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 8/31/23 | | | | 281,939 | GBP | | | 13,607 | |
Cloudberry Clean Energy ASA | | 1-Week NIBOR - 1.00% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 441,454 | NOK | | | (5,801 | ) |
CNH Industrial | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 3/22/24 | | | | 144,608 | EUR | | | 15,458 | |
CNX Resources Corp. | | 1-Day FEDEF - 0.20% | | | Monthly | | | | BOFA | | | | 5/31/24 | | | | 142,712 | | | | — | |
Coats Group PLC | | SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 6/03/24 | | | | 22,151 | GBP | | | 18 | |
Cofinimmo | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 10/13/23 | | | | 160,922 | EUR | | | 14,608 | |
Coloplast A/S | | 1-Week CIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 1,291,753 | DKK | | | 2,636 | |
Colruyt SA | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 320,602 | EUR | | | (77,637 | ) |
Corbion NV | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/12/23 | | | | 183,624 | EUR | | | 19,742 | |
Corporacion Financiera Alba SA | | 1-Day EONIA - 0.75% | | | Monthly | | | | MSCS | | | | 3/13/24 | | | | 123,020 | EUR | | | (125 | ) |
COSMO Pharmaceuticals NV | | 1-Day SARON - 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 99,176 | CHF | | | 16,673 | |
Covestro AG | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 11/06/23 | | | | 102,012 | EUR | | | 2,085 | |
Credem | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 156,659 | EUR | | | 5,219 | |
Credit Agricole SA | | 1-Day EONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 163,249 | EUR | | | (39,223 | ) |
CTP NV | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 228,387 | EUR | | | (17,024 | ) |
Curro Holdings | | 1-Day SABOR - 1.50% | | | Monthly | | | | MSCS | | | | 1/08/24 | | | | 1,880,214 | ZAR | | | 7,705 | |
Currys PLC | | 1-Day SABOR - 0.875% | | | Monthly | | | | MSCS | | | | 4/08/24 | | | | 144,310 | GBP | | | 17,229 | |
Cyfrowy Polsat SA | | 1-Day FEDEF - 0.50% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 272,370 | | | | 21,939 | |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 99 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | | | | | |
| Total Return Swap Contracts (continued) | | | | |
| | | | | | |
| Underlying Instrument | | Financing Rate | | Payment
Frequency | | | Counterparty | | | Maturity
Date | | | Notional
Value* | | | Value/Unrealized
Appreciation
(Depreciation) | |
| OTC Swap Contracts (continued) | | | | | | | | | | | | | | | | | |
| Equity Contracts – Shortd (continued) | | | | | | | | | | | | | | | |
Daetwyler | | Euro STR - 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 260,787 | CHF | | $ | (60,069 | ) |
Danone SA | | 1-Day EONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 201,120 | EUR | | | (2,548 | ) |
De La Rue PLC | | 1-Day SONIA - 0.66% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 43,534 | GBP | | | 21,135 | |
Deliveroo PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 100,798 | GBP | | | (21,832 | ) |
Delivery Hero SE | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 187,994 | EUR | | | 796 | |
De’Longhi SpA | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/25/23 | | | | 89,607 | EUR | | | 14,984 | |
DEME Group NV | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 3/18/24 | | | | 144,949 | EUR | | | (4,343 | ) |
Deutsche Wohnen SE | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 308,051 | EUR | | | 16,644 | |
Diageo PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 11/27/23 | | | | 321,540 | GBP | | | 26,047 | |
DiaSorin | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 4/25/24 | | | | 248,663 | EUR | | | 3,880 | |
DIC Asset AG | | Euro STR - 0.75% | | | Monthly | | | | JPHQ | | | | 2/09/24 | | | | 181,218 | EUR | | | 53,442 | |
D’Ieteren SA | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/14/23 | | | | 266,919 | EUR | | | 10,519 | |
Digital Value SpA | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 11/27/23 | | | | 78,913 | EUR | | | 9,127 | |
Dino Polska SA | | 1-Day FEDEF - 0.50% | | | Monthly | | | | MSCS | | | | 7/14/23 | | | | 228,664 | | | | (53,910 | ) |
Dis-Chem Pharmacies | | 1-Day SABOR - 0.50% | | | Monthly | | | | MSCS | | | | 12/25/23 | | | | 4,714,305 | ZAR | | | 51,291 | |
Discovery Ltd. | | 1-Day SABOR - 0.50% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 7,069,181 | ZAR | | | (223 | ) |
DISH Network Corp. | | 1-Day FEDEF - 0.20% | | | Monthly | | | | BOFA | | | | 2/24/24 | | | | 12,429 | | | | (438 | ) |
Diversey Holdings Ltd. | | 1-Day FEDEF - 0.35% | | | Monthly | | | | BOFA | | | | 4/26/24 | | | | 46,659 | | | | (1,330 | ) |
Diversey Holdings Ltd. | | 1-Day FEDEF - 0.88% | | | Monthly | | | | MSCS | | | | 4/26/24 | | | | 232,391 | | | | (3,149 | ) |
Dometic Group AB | | 1-Week STIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 3,149,740 | SEK | | | (18,192 | ) |
Dottikon ES Holding AG | | 1-Day SARON - 1.40% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 203,213 | CHF | | | (3,463 | ) |
Dr. Martens PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 4/24/24 | | | | 311,817 | GBP | | | 20,975 | |
DRDGOLD Ltd. | | 1-Day SABOR - 1.00% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 298,919 | ZAR | | | (19,961 | ) |
DSV A/S | | 1-Week CIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 7/14/23 | | | | 445,132 | DKK | | | (2,542 | ) |
DT Capital Ltd. | | 1-Month HIBOR - 0.30% | | | Monthly | | | | JPHQ | | | | 1/30/24 | | | | 254,102 | EUR | | | 40,369 | |
Dufry AG | | 1-Day SARON - 0.35% | | | Monthly | | | | BZWS | | | | 11/17/23 | | | | 1,395,338 | CHF | | | 18,763 | |
Ebro Foods SA | | 1-Day EONIA - 0.35% | | | Monthly | | | | MSCS | | | | 7/13/23 | | | | 77,790 | EUR | | | (6,053 | ) |
Eckert & Ziegler AG | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 8/21/23 | | | | 124,991 | EUR | | | 8,594 | |
Ecopro BM | | 1-Day FEDEF - 7.75% | | | Monthly | | | | MSCS | | | | 5/13/24 | | | | 108,980 | | | | (10,093 | ) |
Ecopro BM | | 1-Day FEDEF - 10.875% | | | Monthly | | | | MSCS | | | | 5/13/24 | | | | 163,627 | | | | (20,227 | ) |
Edreams Odigeo SA | | 1-Day EONIA - 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 116,799 | EUR | | | (506 | ) |
Elia Group | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 5/16/24 | | | | 129,306 | EUR | | | 6,552 | |
Elior Group SA | | 1-Day EONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/14/23 | | | | 60,211 | EUR | | | 5,266 | |
Emmi | | 1-Day SARON - 0.35% | | | Monthly | | | | JPHQ | | | | 9/04/23 | | | | 254,480 | CHF | | | (24,509 | ) |
Ems-Chemie AG | | 1-Day SARON - 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 135,959 | CHF | | | 5,349 | |
ENAV SpA | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 9/21/23 | | | | 116,423 | EUR | | | 1,757 | |
Encore Capital Group Inc. | | 1-Day FEDEF - 0.20% | | | Monthly | | | | BOFA | | | | 3/02/24 | | | | 339,047 | | | | — | |
ENEL SpA | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 130,032 | EUR | | | (15,859 | ) |
Energean PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 186,851 | GBP | | | 27,043 | |
EnergieKontor AG | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 3/07/24 | | | | 23,853 | EUR | | | (2,503 | ) |
Envestnet Inc. | | SOFR - 3.50% | | | Monthly | | | | GSCO | | | | 5/03/24 | | | | 134,593 | | | | 556 | |
Epiroc AB | | 1-Week STIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 11/27/23 | | | | 2,206,378 | SEK | | | 11,323 | |
EQT AB | | 1-Week STIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 3,799,717 | SEK | | | 274 | |
Eregli Demir ve Celik Fabrikalari TAS | | 1-Day FEDEF - 5.00% | | | Monthly | | | | MSCS | | | | 7/14/23 | | | | 100,949 | | | | (4,958 | ) |
Erste Group Bank AG | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 10/12/23 | | | | 150,225 | EUR | | | 1,399 | |
Esker SA | | 1-Day EONIA - 0.30% | | | Monthly | | | | MSCS | | | | 5/20/24 | | | | 47,778 | EUR | | | (2,504 | ) |
Esprinet | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 11/27/23 | | | | 191,450 | EUR | | | 47,579 | |
Etsy Inc. | | 1-Day FEDEF - 0.20% | | | Monthly | | | | BOFA | | | | 2/24/24 | | | | 359,052 | | | | (36 | ) |
Etsy Inc. | | SOFR - 3.50% | | | Monthly | | | | GSCO | | | | 5/19/24 | | | | 124,901 | | | | (267 | ) |
Eurazeo SE | | 1-Day EONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 229,864 | EUR | | | 2,315 | |
EuroAPI | | 1-Day EONIA - 0.30% | | | Monthly | | | | MSCS | | | | 12/22/23 | | | | 159,817 | EUR | | | 10,370 | |
Euronav NV | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 12/22/23 | | | | 101,787 | EUR | | | 5,787 | |
Euronext | | 1-Day EONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 304,469 | EUR | | | 31,504 | |
Eurotech | | Euro STR - 10.60% | | | Monthly | | | | JPHQ | | | | 8/04/23 | | | | 87,866 | EUR | | | 4,181 | |
| | | | | | | | | | |
| | | | | | |
| 100 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | | | | | |
| Total Return Swap Contracts (continued) | | | | |
| | | | | | |
| Underlying Instrument | | Financing Rate | | Payment
Frequency | | | Counterparty | | | Maturity
Date | | | Notional
Value* | | | Value/Unrealized
Appreciation
(Depreciation) | |
| OTC Swap Contracts (continued) | | | | | | | | | | | | | | | | | |
| Equity Contracts – Shortd (continued) | | | | | | | | | | | | | | | |
Faes Farma SA | | 1-Day EONIA - 0.35% | | | Monthly | | | | MSCS | | | | 5/27/24 | | | | 44,078 | EUR | | $ | 911 | |
Faurecia SE | | 1-Day EONIA - 0.30% | | | Monthly | | | | MSCS | | | | 8/09/23 | | | | 216,776 | EUR | | | (30,919 | ) |
Ferrari SpA | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 141,670 | EUR | | | (29,108 | ) |
Ferrovial SA | | 1-Day EONIA - 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 435,163 | EUR | | | (59,160 | ) |
Fevertree Drinks PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/25/23 | | | | 267,552 | GBP | | | (101,356 | ) |
Fielmann AG | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 208,533 | EUR | | | (66,831 | ) |
FinecoBank SpA | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 240,912 | EUR | | | 33,212 | |
FirstEnergy Corp. | | 1-Day FEDEF - 0.20% | | | Monthly | | | | BOFA | | | | 5/02/24 | | | | 259,150 | | | | — | |
Fiskars Group OYJ | | Euro STR - 0.45% | | | Monthly | | | | SEBA | | | | 8/23/23 | | | | 23,074 | EUR | | | 2,016 | |
flatexDEGIRO AG | | 1-Month EURIBOR - 0.70% | | | Monthly | | | | JPHQ | | | | 12/06/23 | | | | 226,952 | EUR | | | (19,046 | ) |
Flex LNG Ltd. | | 1-Week NIBOR - 3.50% | | | Monthly | | | | SEBA | | | | 4/04/24 | | | | 998,718 | NOK | | | 3,469 | |
Fluidra SA | | 1-Day EONIA - 0.35% | | | Monthly | | | | MSCS | | | | 9/29/23 | | | | 388,916 | EUR | | | (33,144 | ) |
Flutter Entertainment PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 8/31/23 | | | | 237,171 | GBP | | | (96,736 | ) |
Fnac Darty SA | | 1-Day EONIA - 0.30% | | | Monthly | | | | MSCS | | | | 1/29/24 | | | | 43,911 | EUR | | | (302 | ) |
ForgeRock Inc. | | 1-Day FEDEF - 0.35% | | | Monthly | | | | MSCS | | | | 3/25/24 | | | | 120,514 | | | | 916 | |
Formycon AG | | Euro STR - 23.00% | | | Monthly | | | | JPHQ | | | | 3/29/24 | | | | 59,727 | EUR | | | (8,648 | ) |
Fortress REIT Ltd. | | 1-Day SABOR - 0.56% | | | Monthly | | | | MSCS | | | | 7/12/23 | | | | 7,116,797 | ZAR | | | (47,553 | ) |
Fortum Corp. | | 1-Week STIBOR - 0.275% | | | Monthly | | | | SEBA | | | | 3/04/24 | | | | 50,072 | EUR | | | (13,283 | ) |
Foschini Group Ltd. (The) | | 1-Day SABOR - 0.50% | | | Monthly | | | | MSCS | | | | 8/30/23 | | | | 3,478,473 | ZAR | | | 30,108 | |
Francaise Energie | | 1-Day EONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 91,940 | EUR | | | 6,669 | |
Fraport AG | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 253,799 | EUR | | | (5,271 | ) |
Fresnillo PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 226,710 | GBP | | | 36,847 | |
Friedrich Vorwerk Group SE | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 165,959 | EUR | | | 18,300 | |
FTI Consulting | | SOFR - 3.50% | | | Monthly | | | | GSCO | | | | 5/03/24 | | | | 2,373,814 | | | | 7,892 | |
Galapagos NV | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 1/09/24 | | | | 142,216 | EUR | | | (17,374 | ) |
Gaztransport et Technigaz SA | | 1-Day EONIA - 0.30% | | | Monthly | | | | MSCS | | | | 8/09/23 | | | | 160,120 | EUR | | | 4,784 | |
GB Group PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 5/23/24 | | | | 142,486 | GBP | | | (1,382 | ) |
Geberit AG | | 1-Day SARON - 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 190,216 | CHF | | | 4,454 | |
Generali Group | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 10/13/23 | | | | 146,279 | EUR | | | 196 | |
Genuit Group PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 213,346 | GBP | | | (7,872 | ) |
GEO Group Inc. (The) | | 1-Day FEDEF - 0.20% | | | Monthly | | | | BOFA | | | | 2/01/24 | | | | 667,260 | | | | 2,613 | |
Getinge AB | | 1-Week STIBOR -0.275% | | | Monthly | | | | SEBA | | | | 5/09/24 | | | | 838,929 | SEK | | | 424 | |
Getlink SE | | 1-Day EONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 354,567 | EUR | | | 12,576 | |
GIMV NV | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 12/15/23 | | | | 175,771 | EUR | | | 2,897 | |
Givaudan SA | | 1-Day SARON - 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 208,754 | CHF | | | 2,294 | |
Gjensidige Forsikring ASA | | 1-Week NIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 2,756,414 | NOK | | | (10,810 | ) |
GPW | | 1-Day FEDEF - 1.125% | | | Monthly | | | | MSCS | | | | 12/22/23 | | | | 68,378 | | | | (5,181 | ) |
Grainger PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 196,308 | GBP | | | 4,960 | |
Grand City Properties | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 1/30/24 | | | | 153,491 | EUR | | | 14,679 | |
Granges AB | | 1-Week STIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 784,753 | SEK | | | (5,650 | ) |
Great Portland Estates PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 409,403 | GBP | | | 49,123 | |
Greatland Gold PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 216,398 | GBP | | | 6,686 | |
Grenergy Renovables SA | | 1-Day EONIA - 1.75% | | | Monthly | | | | MSCS | | | | 12/01/23 | | | | 174,091 | EUR | | | 26,601 | |
Groupe SEB | | 1-Day EONIA - 0.30% | | | Monthly | | | | MSCS | | | | 8/30/23 | | | | 159,911 | EUR | | | (8 | ) |
Groupe Bruxelles Lambert NV | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/12/23 | | | | 258,274 | EUR | | | 18,904 | |
Gruppo MutuiOnline SpA | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 104,189 | EUR | | | (14,326 | ) |
Guess? Inc. | | SOFR - 3.50% | | | Monthly | | | | GSCO | | | | 3/09/24 | | | | 428,172 | | | | 1,238 | |
Gurit | | Euro STR - 1.20% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 116,681 | CHF | | | 6,660 | |
GVS | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/13/23 | | | | 266,106 | EUR | | | (39,684 | ) |
Gym Group PLC (The) | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 125,329 | GBP | | | 23,108 | |
Haleon PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 3/13/24 | | | | 196,096 | GBP | | | 11,917 | |
Halfords Group PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 10/11/23 | | | | 241,379 | GBP | | | (35,730 | ) |
Halma PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 10/27/23 | | | | 98,873 | GBP | | | (12,033 | ) |
Hannon Armstrong Sustainable Infrastructure Capital Inc. | | SOFR - 3.50% | | | Monthly | | | | GSCO | | | | 3/21/24 | | | | 25,224 | | | | 104 | |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 101 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | | | | | |
| Total Return Swap Contracts (continued) | | | | |
| | | | | | |
| Underlying Instrument | | Financing Rate | | Payment
Frequency | | | Counterparty | | | Maturity
Date | | | Notional
Value* | | | Value/Unrealized
Appreciation
(Depreciation) | |
| OTC Swap Contracts (continued) | | | | | | | | | | | | | | | | | |
| Equity Contracts – Shortd (continued) | | | | | | | | | | | | | | | |
Hansa Biopharma AB | | 1-Week STIBOR - 1.00% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 338,312 | SEK | | $ | 2,457 | |
HAT Holdings I LLC | | SOFR - 3.50% | | | Monthly | | | | GSCO | | | | 3/21/24 | | | | 657,294 | | | | (4,202 | ) |
Heidelberger Druckmaschinen AG | | Euro STR - 0.35% | | | Monthly | | | | JPHQ | | | | 5/13/24 | | | | 97,325 | EUR | | | 4,450 | |
Hektas | | 1-Day FEDEF - 15.00% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 5,591 | | | | (134,573 | ) |
Helios Towers PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 182,982 | GBP | | | 46,807 | |
HELLA GmbH & Co. KGaA | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 167,733 | EUR | | | 2,000 | |
Henry Boot PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 30,032 | GBP | | | 3,143 | |
Hera | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 11/27/23 | | | | 189,259 | EUR | | | (16,971 | ) |
Herbalife Nutrition Ltd. | | 1-Day FEDEF - 0.20% | | | Monthly | | | | BOFA | | | | 2/16/24 | | | | 79,278 | | | | — | |
Hexagon AB | | 1-Week STIBOR - 0.275% | | | Monthly | | | | SEBA | | | | 4/01/24 | | | | 2,051,472 | SEK | | | (13,296 | ) |
Hexagon Composites ASA | | 1-Week NIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 1,587,866 | NOK | | | 26,142 | |
Hexagon Purus ASA | | 1-Week NIBOR - 3.00% | | | Monthly | | | | SEBA | | | | 8/28/23 | | | | 601,131 | NOK | | | 1,470 | |
HIAG Immobilien Holding AG | | 1-Day SARON - 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 59,202 | CHF | | | 1,987 | |
Hill & Smith Holdings PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 8/17/23 | | | | 177,447 | GBP | | | (54,670 | ) |
Hiscox Ltd. ORD | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 146,969 | GBP | | | (26,486 | ) |
Horizonte Minerals PLC | | 1-Day SONIA - 11.00% | | | Monthly | | | | MSCS | | | | 8/10/23 | | | | 25,103 | GBP | | | (4,164 | ) |
Hufvudstaden AB | | 1-Week STIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 7/12/23 | | | | 654,495 | SEK | | | 1,320 | |
Huhtamaki OYJ | | Euro STR - 0.28% | | | Monthly | | | | SEBA | | | | 7/13/23 | | | | 151,304 | EUR | | | 11,742 | |
Hunting PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 3/13/24 | | | | 44,309 | GBP | | | 5,049 | |
Husqvarna AB | | 1-Week STIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 11/01/23 | | | | 2,476,460 | SEK | | | 16,741 | |
Hypoport SE | | 1-Day SABOR - 0.75% | | | Monthly | | | | JPHQ | | | | 9/27/23 | | | | 330,148 | EUR | | | (65,158 | ) |
ID Logistics Group | | 1-Day EONIA - 0.30% | | | Monthly | | | | MSCS | | | | 5/22/24 | | | | 67,966 | EUR | | | 2,929 | |
Illimity Bank SpA | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 40,927 | EUR | | | 582 | |
Industrie De Nora | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 3/07/24 | | | | 125,602 | EUR | | | (9,793 | ) |
INFICON | | 1-Day SARON - 0.35% | | | Monthly | | | | JPHQ | | | | 4/22/24 | | | | 146,176 | CHF | | | (20,214 | ) |
Infrastrutture Wireless Italiane SpA | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 223,534 | EUR | | | (35,569 | ) |
Inmobiliaria Colonial SOCIMI SA | | 1-Day EONIA - 0.35% | | | Monthly | | | | MSCS | | | | 4/22/24 | | | | 300,680 | EUR | | | 10,761 | |
InPost SA | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 290,043 | EUR | | | (103,191 | ) |
IntegraFin Holdings PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 170,724 | GBP | | | 2,751 | |
Interparfums SA | | 1-Day EONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 92,890 | EUR | | | (11,687 | ) |
Interroll Group | | 1-Day SARON - 0.35% | | | Monthly | | | | JPHQ | | | | 10/26/23 | | | | 198,381 | CHF | | | (31,514 | ) |
Intertek Group PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 8/31/23 | | | | 257,349 | GBP | | | (13,435 | ) |
Intervest Offices & Warehouses | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 5/01/24 | | | | 87,160 | EUR | | | 9,812 | |
Investor AB | | 1-Week STIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 7/14/23 | | | | 4,254,168 | SEK | | | (36,215 | ) |
Ionis Pharmaceuticals Inc. | | 1-Day FEDEF - 0.20% | | | Monthly | | | | BOFA | | | | 5/03/24 | | | | 100,369 | | | | 325 | |
Italian Wine Brands SpA | | Euro STR - 1.30% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 33,593 | EUR | | | 1,760 | |
Italtile Ltd. | | 1-Day SABOR - 0.63% | | | Monthly | | | | MSCS | | | | 8/08/23 | | | | 573,489 | ZAR | | | 1,896 | |
James Halstead PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 52,775 | GBP | | | (2,883 | ) |
JM AB | | 1-Week STIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 3,204,409 | SEK | | | 73,542 | |
JSE Ltd. | | 1-Day SABOR - 0.50% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 2,178,999 | ZAR | | | 5,946 | |
JTC PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 303,424 | GBP | | | (6,484 | ) |
Juventus FC SpA | | Euro STR - 3.20% | | | Monthly | | | | JPHQ | | | | 9/01/23 | | | | 39,026 | EUR | | | (821 | ) |
Kambi Group PLC | | 1-Week STIBOR - 0.75% | | | Monthly | | | | SEBA | | | | 10/11/23 | | | | 2,751,925 | SEK | | | (24,460 | ) |
Kardex | | Euro STR - 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 22,507 | CHF | | | (2,808 | ) |
Karnov Group AB | | 1-Week STIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 1,185,727 | SEK | | | 4,862 | |
KBC Groep NV | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 112,230 | EUR | | | (671 | ) |
Kempower OYJ | | Euro STR - 3.75% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 72,865 | EUR | | | (27,636 | ) |
Kerry Group PLC | | 1-Day EONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 160,631 | EUR | | | 6,541 | |
Kety SA | | 1-Day FEDEF - 1.00% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 192,977 | | | | (21,632 | ) |
KGHM Polska Miedz SA | | 1-Day FEDEF - 0.50% | | | Monthly | | | | MSCS | | | | 8/18/23 | | | | 98,030 | | | | 15,864 | |
Kingspan Group PLC | | 1-Day EONIA - 0.30% | | | Monthly | | | | MSCS | | | | 12/07/23 | | | | 112,362 | EUR | | | (13,548 | ) |
Kinnevik AB | | 1-Week STIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 3,498,009 | SEK | | | 10,228 | |
Knorr-Bremse AG | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 102,949 | EUR | | | (3,877 | ) |
| | | | | | | | | | |
| | | | | | |
| 102 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | | | | | |
| Total Return Swap Contracts (continued) | | | | |
| | | | | | |
| Underlying Instrument | | Financing Rate | | Payment
Frequency | | | Counterparty | | | Maturity
Date | | | Notional
Value* | | | Value/Unrealized
Appreciation
(Depreciation) | |
| OTC Swap Contracts (continued) | | | | | | | | | | | | | | | | | |
| Equity Contracts – Shortd (continued) | | | | | | | | | | | | | | | |
Knowit AB | | 1-Week STIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 1,321,023 | SEK | | $ | 5,186 | |
Komax | | 1-Day SARON - 0.35% | | | Monthly | | | | JPHQ | | | | 7/25/23 | | | | 48,322 | CHF | | | 755 | |
Kone OYJ | | Euro STR - 0.28% | | | Monthly | | | | SEBA | | | | 7/28/23 | | | | 88,361 | EUR | | | 597 | |
Koninklijke Philips NV | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 166,888 | EUR | | | (42,567 | ) |
L F ORD | | 1-Day FEDEF - 4.00% | | | Monthly | | | | MSCO | | | | 7/14/23 | | | | 93,174 | | | | (9,846 | ) |
Landis+Gyr Group AG | | 1-Day SARON - 0.35% | | | Monthly | | | | JPHQ | | | | 1/23/24 | | | | 275,106 | CHF | | | (46,620 | ) |
Lanxess AG | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 298,865 | EUR | | | 26,502 | |
LEG Immobilien AG | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 8/21/23 | | | | 285,925 | EUR | | | 62,047 | |
Lenzing AG | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/14/23 | | | | 208,269 | EUR | | | 46,323 | |
Life Healthcare Group Holdings Ltd. | | 1-Day SABOR - 0.50% | | | Monthly | | | | MSCS | | | | 1/29/24 | | | | 3,883,078 | ZAR | | | (8,250 | ) |
Linea Directa Aseguradora SA | | 1-Day EONIA - 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 262,831 | EUR | | | 36,595 | |
LISI | | 1-Day EONIA - 0.42% | | | Monthly | | | | MSCS | | | | 2/19/24 | | | | 57,180 | EUR | | | (311 | ) |
Live Nation Entertainment Inc. | | SOFR - 3.50% | | | Monthly | | | | GSCO | | | | 5/03/24 | | | | 457,097 | | | | 1,342 | |
Livent Corp. | | 1-Day FEDEF - 0.20% | | | Monthly | | | | BOFA | | | | 2/05/24 | | | | 2,048,246 | | | | 7,114 | |
Logitech International SA | | 1-Day SARON - 0.35% | | | Monthly | | | | JPHQ | | | | 3/28/24 | | | | 180,703 | CHF | | | (28,430 | ) |
London Stock Exchange Group PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 288,784 | GBP | | | (32,757 | ) |
L’Oreal SA | | 1-Day EONIA - 0.30% | | | Monthly | | | | MSCS | | | | 8/09/23 | | | | 104,382 | EUR | | | (6,483 | ) |
Lotus Bakeries NV | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 289,957 | EUR | | | 4,802 | |
LPP SA | | 1-Day FEDEF - 0.50% | | | Monthly | | | | MSCS | | | | 3/18/24 | | | | 123,124 | | | | (38,230 | ) |
Lumentum Holdings | | 1-Day FEDEF - 0.20% | | | Monthly | | | | BOFA | | | | 2/08/24 | | | | 313,327 | | | | 820 | |
Luzerner Kantonalbank AG | | 1-Day SARON - 0.35% | | | Monthly | | | | JPHQ | | | | 12/22/23 | | | | 94,178 | CHF | | | 14,040 | |
M&G PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 3/22/24 | | | | 247,391 | GBP | | | (14,730 | ) |
Magnora ASA | | 1-Week NIBOR - 7.00% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 561,348 | NOK | | | (12,975 | ) |
Marel | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 17,069 | EUR | | | 1,986 | |
Marlowe PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 9/01/23 | | | | 230,508 | GBP | | | 10,465 | |
Marshalls PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 5/27/24 | | | | 104,935 | GBP | | | (1,162 | ) |
mBank SA | | 1-Day FEDEF - 0.50% | | | Monthly | | | | MSCS | | | | 7/14/23 | | | | 330,096 | | | | (152,910 | ) |
Medacta Group SA | | Euro STR - 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 169,254 | CHF | | | (25,004 | ) |
Medartis AG | | 1-Day SARON - 0.85% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 50,037 | CHF | | | 4,984 | |
Medicover AB | | 1-Week STIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 9/08/23 | | | | 933,892 | SEK | | | 2,910 | |
Melia Hotels International | | 1-Day EONIA - 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 98,441 | EUR | | | (795 | ) |
Meyer Burger AG | | 1-Day SARON - 0.95% | | | Monthly | | | | JPHQ | | | | 7/14/23 | | | | 327,904 | CHF | | | (93,373 | ) |
Michelin | | 1-Day EONIA - 0.30% | | | Monthly | | | | MSCS | | | | 12/11/23 | | | | 138,361 | EUR | | | 7,387 | |
Microsoft Corp. | | 1-Day FEDEF - 0.20% | | | Monthly | | | | BOFA | | | | 5/03/24 | | | | 1,421,600 | | | | 4,823 | |
Middleby Corp. | | 1-Day FEDEF - 0.20% | | | Monthly | | | | BOFA | | | | 3/17/24 | | | | 314,160 | | | | 1,817 | |
Millennium | | 1-Day FEDEF - 0.50% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 221,006 | | | | (42,427 | ) |
Mips AB | | 1-Week STIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 9/20/23 | | | | 4,930,337 | SEK | | | (37,739 | ) |
Mobimo Holdings AG | | 1-Day SARON - 0.35% | | | Monthly | | | | JPHQ | | | | 1/23/24 | | | | 155,407 | CHF | | | 760 | |
MoneyGram International Inc. | | 1-Day FEDEF - 0.35% | | | Monthly | | | | MSCO | | | | 2/06/24 | | | | 310,905 | | | | (26,907 | ) |
Montana | | Euro STR - 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 24,927 | CHF | | | 4,345 | |
Morgan Stanley MSHDGIN1 Index | | 1-Day EONIA - 0.45% | | | Monthly | | | | MSCS | | | | 5/06/24 | | | | 357,510 | EUR | | | 6,099 | |
Morgan Stanley MSHEOPCH Index | | 1-Day FEDEF - 0.40% | | | Monthly | | | | MSCS | | | | 5/23/24 | | | | 270,384 | | | | 8,680 | |
Morgan Stanley MSPSATVI Index | | 1-Day FEDEF - 0.35% | | | Monthly | | | | MSCS | | | | 5/31/24 | | | | 139,058 | | | | (1,418 | ) |
Morgan Stanley MSPSENT3 Index | | 1-Day SONIA - 0.45% | | | Monthly | | | | MSCS | | | | 4/12/24 | | | | 355,572 | GBP | | | (730 | ) |
Morgan Stanley MSPSGDXJ Index | | 1-Day FEDEF - 2.05% | | | Monthly | | | | MSCO | | | | 6/19/23 | | | | 773,886 | | | | (27,263 | ) |
Mr Price Group Ltd. | | 1-Day SABOR - 0.50% | | | Monthly | | | | MSCS | | | | 8/30/23 | | | | 4,565,703 | ZAR | | | 56,576 | |
MultiChoice Group Ltd. | | 1-Day SABOR - 0.50% | | | Monthly | | | | MSCS | | | | 5/20/24 | | | | 2,010,694 | ZAR | | | 4,863 | |
Musti Group PLC | | Euro STR - 0.28% | | | Monthly | | | | SEBA | | | | 7/12/23 | | | | 130,593 | EUR | | | (23,451 | ) |
Natera Inc. | | SOFR - 3.50% | | | Monthly | | | | GSCO | | | | 5/03/24 | | | | 330,382 | | | | 1,256 | |
National Grid PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 173,405 | GBP | | | (3,515 | ) |
Nel ASA | | 1-Week NIBOR - 7.00% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 896,063 | NOK | | | 2,612 | |
Neoen | | 1-Day EONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 175,704 | EUR | | | 17,978 | |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 103 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | | | | | |
| Total Return Swap Contracts (continued) | | | | |
| | | | | | |
| Underlying Instrument | | Financing Rate | | Payment
Frequency | | | Counterparty | | | Maturity
Date | | | Notional
Value* | | | Value/Unrealized
Appreciation
(Depreciation) | |
| OTC Swap Contracts (continued) | | | | | | | | | | | | | | | | | |
| Equity Contracts – Shortd (continued) | | | | | | | | | | | | | | | |
Neste Corp. | | Euro STR - 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 222,746 | EUR | | $ | 47,876 | |
Nestle SA | | 1-Day SARON - 0.35% | | | Monthly | | | | JPHQ | | | | 11/27/23 | | | | 285,174 | CHF | | | 10,031 | |
Nexi SpA | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 10/13/23 | | | | 199,944 | EUR | | | 24,632 | |
NextEra Energy Partners LP | | 1-Day FEDEF - 0.20% | | | Monthly | | | | BOFA | | | | 3/28/24 | | | | 223,082 | | | | 781 | |
Nokian Tyres PLC | | Euro STR - 0.28% | | | Monthly | | | | SEBA | | | | 8/23/23 | | | | 271,666 | EUR | | | 15,794 | |
Nolato AB | | 1-Week STIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 9/26/23 | | | | 1,932,085 | SEK | | | (2,978 | ) |
Nordex SE | | Euro STR - 0.95% | | | Monthly | | | | JPHQ | | | | 8/21/23 | | | | 249,547 | EUR | | | 7,656 | |
Nordic Semiconductor ASA | | 1-Week STIBOR -0.275% | | | Monthly | | | | SEBA | | | | 4/04/24 | | | | 2,307,359 | NOK | | | (8,731 | ) |
Northern Oil And Gas Inc. | | SOFR - 0.35% | | | Monthly | | | | GSCO | | | | 3/16/24 | | | | 329,339 | | | | 1,306 | |
Northern Oil And Gas Inc. | | SOFR - 0.35% | | | Monthly | | | | GSCO | | | | 3/16/24 | | | | 284,844 | | | | (580 | ) |
Novozymes A/S | | 1-Week CIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 937,350 | DKK | | | 6,938 | |
NuVasive Inc. | | SOFR - 3.50% | | | Monthly | | | | GSCO | | | | 5/02/24 | | | | 118,334 | | | | 474 | |
NX Filtration NV | | Euro STR - 2.65% | | | Monthly | | | | JPHQ | | | | 8/07/23 | | | | 39,903 | EUR | | | 1,017 | |
Obrascon Huarte Lain SA | | 1-Day EONIA - 0.35% | | | Monthly | | | | MSCS | | | | 9/01/23 | | | | 154,864 | EUR | | | 21,286 | |
Ocado Group PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 217,722 | GBP | | | 90,494 | |
Oesterreichische Post AG | | Euro STR - 3.80% | | | Monthly | | | | JPHQ | | | | 8/23/23 | | | | 183,079 | EUR | | | (4,910 | ) |
Oneok Inc. | | 1-Day FEDEF - 0.20% | | | Monthly | | | | BOFA | | | | 5/18/24 | | | | 117,909 | | | | 209 | |
Ontex Group NV | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 5/16/24 | | | | 155,724 | EUR | | | 10,825 | |
Orange | | 1-Day EONIA - 0.30% | | | Monthly | | | | MSCS | | | | 11/27/23 | | | | 79,857 | EUR | | | (7,641 | ) |
Orsted A/S | | 1-Week CIBOR - 0.275% | | | Monthly | | | | SEBA | | | | 5/24/24 | | | | 819,596 | DKK | | | 3,940 | |
Oxford BioMedica PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 9/26/23 | | | | 128,428 | GBP | | | (27,606 | ) |
Oxford Nanopore Technologies PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 5/13/24 | | | | 123,338 | GBP | | | (17,143 | ) |
Palfinger AG | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/12/23 | | | | 136,678 | EUR | | | (11,042 | ) |
Palo Alto Networks Inc. | | 1-Day FEDEF - 0.20% | | | Monthly | | | | BOFA | | | | 2/02/24 | | | | 2,770,229 | | | | 9,310 | |
Parsons Corp. | | 1-Day FEDEF - 0.20% | | | Monthly | | | | BOFA | | | | 2/09/24 | | | | 803,347 | | | | 3,036 | |
Patrick Industries Inc. | | SOFR - 3.50% | | | Monthly | | | | GSCO | | | | 4/03/24 | | | | 351,976 | | | | 9,862 | |
Patrick Industries Inc. | | SOFR - 3.50% | | | Monthly | | | | GSCO | | | | 4/03/24 | | | | 352,682 | | | | 1,384 | |
Peab AB | | 1-Week STIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 2/22/24 | | | | 1,750,216 | SEK | | | 20,889 | |
Pennon Group PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 162,089 | GBP | | | 18,000 | |
Pepco | | 1-Day FEDEF - 5.25% | | | Monthly | | | | MSCS | | | | 4/12/24 | | | | 110,895 | | | | 1,593 | |
Pernod Ricard | | 1-Day EONIA - 0.30% | | | Monthly | | | | MSCS | | | | 11/27/23 | | | | 160,966 | EUR | | | (115 | ) |
Persimmon PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 8/18/23 | | | | 253,914 | GBP | | | 25,493 | |
Petrofac Ltd. | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 9/01/23 | | | | 165,203 | GBP | | | 30,981 | |
Pfeiffer Vacuum | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 3/07/24 | | | | 189,304 | EUR | | | 3,871 | |
PG&E Corp. | | 1-Day FEDEF - 0.20% | | | Monthly | | | | BOFA | | | | 5/03/24 | | | | 449,926 | | | | — | |
Pharmanutra SpA | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 1/10/24 | | | | 30,432 | EUR | | | (14 | ) |
Phoenix Group Holdings PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 280,871 | GBP | | | 15,265 | |
Picton Property Income Ltd. | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 8/24/23 | | | | 133,890 | GBP | | | 10,570 | |
PNE AG | | Euro STR - 0.70% | | | Monthly | | | | JPHQ | | | | 7/13/23 | | | | 232,813 | EUR | | | 26,770 | |
Polar Capital Holdings PLC | | 1-Day SONIA - 0.77% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 120,814 | GBP | | | (18,891 | ) |
Polypeptide | | 1-Day SARON - 0.35% | | | Monthly | | | | JPHQ | | | | 9/18/23 | | | | 179,635 | CHF | | | 531 | |
Post Holdings Inc. | | SOFR - 0.35% | | | Monthly | | | | GSCO | | | | 3/02/24 | | | | 516,047 | | | | 2,011 | |
Post Holdings Inc. | | SOFR - 0.35% | | | Monthly | | | | GSCO | | | | 3/02/24 | | | | 560,532 | | | | 4,464 | |
PostNL | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 374,217 | EUR | | | 35,990 | |
PowerCell Sweden AB | | 1-Week STIBOR - 1.00% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 416,145 | SEK | | | 9,210 | |
Progress Software Corp. | | 1-Day FEDEF - 0.20% | | | Monthly | | | | BOFA | | | | 2/05/24 | | | | 469,080 | | | | 1,663 | |
PRS REIT PLC (The) | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 172,805 | GBP | | | 1,060 | |
Prudential PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/14/23 | | | | 234,697 | GBP | | | (5,944 | ) |
PSG Konsult Ltd. | | 1-Day SABOR - 0.875% | | | Monthly | | | | MSCS | | | | 5/20/24 | | | | 1,141,712 | ZAR | | | 1,069 | |
PZ Cussons PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 156,697 | GBP | | | 10,487 | |
Rathbones Group PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 8/31/23 | | | | 309,451 | GBP | | | (25,528 | ) |
Ratos AB | | 1-Week STIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 2,235,793 | SEK | | | 7,408 | |
Re:NewCell AB | | 1-Week STIBOR - 1.75% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 813,502 | SEK | | | 795 | |
Reckitt Benckiser Group PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 299,190 | GBP | | | (9,249 | ) |
| | | | | | | | | | |
| | | | | | |
| 104 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | | | | | |
| Total Return Swap Contracts (continued) | | | | |
| | | | | | |
| Underlying Instrument | | Financing Rate | | Payment
Frequency | | | Counterparty | | | Maturity
Date | | | Notional
Value* | | | Value/Unrealized
Appreciation
(Depreciation) | |
| OTC Swap Contracts (continued) | | | | | | | | | | | | | | | | | |
| Equity Contracts – Shortd (continued) | | | | | | | | | | | | | | | |
Recticel | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 11/21/23 | | | | 196,798 | EUR | | $ | 45,382 | |
Reinet Investments S.C.A | | 1-Day SABOR - 0.50% | | | Monthly | | | | MSCS | | | | 5/20/24 | | | | 3,907,373 | ZAR | | | 11,204 | |
RELX PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 99,576 | GBP | | | (5,747 | ) |
Remy Cointreau | | 1-Day EONIA - 0.30% | | | Monthly | | | | MSCS | | | | 12/11/23 | | | | 355,822 | EUR | | | 47,651 | |
Renishaw PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 2/13/24 | | | | 206,088 | GBP | | | (14,202 | ) |
Rentokil Initial PLC | | 1-Day FEDEF - 0.65% | | | Monthly | | | | MSCS | | | | 11/27/23 | | | | 266,070 | GBP | | | (48,660 | ) |
Restaurant Group PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 4/19/24 | | | | 112,217 | GBP | | | (17,422 | ) |
Restore PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/18/23 | | | | 100,087 | GBP | | | 39,382 | |
Rieter | | Euro STR - 0.35% | | | Monthly | | | | JPHQ | | | | 7/24/23 | | | | 173,487 | CHF | | | 11,722 | |
Ringkjoebing Landbobank A/S | | 1-Week CIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 1,949,726 | DKK | | | 14,171 | |
Robertet | | 1-Day EONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 21,235 | EUR | | | 955 | |
Rotork PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 87,125 | GBP | | | (24,426 | ) |
Royal Bafokeng Platinum Ltd. | | 1-Day SABOR - 0.50% | | | Monthly | | | | MSCS | | | | 5/20/24 | | | | 1,881,122 | ZAR | | | 1,282 | |
Royal Caribbean Group | | SOFR - 3.50% | | | Monthly | | | | GSCO | | | | 3/08/24 | | | | 2,249,428 | | | | 6,575 | |
Royal Unibrew | | 1-Week CIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 11/27/23 | | | | 3,316,022 | DKK | | | (2,780 | ) |
RTL Group | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 1/30/24 | | | | 230,895 | EUR | | | 49,552 | |
Sabre Insurance Group PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 106,547 | GBP | | | (40,468 | ) |
Sacyr SA | | 1-Day EONIA - 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 362,834 | EUR | | | (56,723 | ) |
Safilo Group SpA | | Euro STR - 2.15% | | | Monthly | | | | JPHQ | | | | 5/24/24 | | | | 84,318 | EUR | | | 4,713 | |
Saga PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 177,044 | GBP | | | 43,873 | |
Saipem SpA | | 1-Month EURIBOR -6.65% | | | Monthly | | | | JPHQ | | | | 2/26/24 | | | | 198,183 | EUR | | | 35,924 | |
Salcef Group SpA | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 227,701 | EUR | | | (54,884 | ) |
Salmon Evolution ASA | | 1-Week NIBOR - 8.50% | | | Monthly | | | | SEBA | | | | 7/12/23 | | | | 1,432,382 | NOK | | | 12,812 | |
Salvatore Ferragamo SpA | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 45,791 | EUR | | | 6,139 | |
Sampo PLC | | Euro STR - 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 255,314 | EUR | | | 6,804 | |
Sanlam Ltd. | | 1-Day SABOR - 0.50% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 2,068,336 | ZAR | | | 5,758 | |
Sanoma Corp. | | Euro STR - 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 87,809 | EUR | | | 11,143 | |
Santam Ltd. | | 1-Day SABOR - 0.50% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 2,427,026 | ZAR | | | 576 | |
Santander Bank Polska SA | | 1-Day FEDEF - 0.50% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 159,096 | | | | (70,639 | ) |
Sarepta Therapeutics Inc. | | 1-Day FEDEF - 0.20% | | | Monthly | | | | BOFA | | | | 4/20/24 | | | | 633,450 | | | | 1,340 | |
SBM Offshore NV | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 280,644 | EUR | | | 29,593 | |
Scatec ASA | | 1-Week NIBOR - 0.275% | | | Monthly | | | | SEBA | | | | 4/26/24 | | | | 1,959,559 | NOK | | | (16,641 | ) |
Schoeller-Bleckmann Oilfield Equipment AG | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/13/23 | | | | 130,839 | EUR | | | 22,677 | |
Schouw & Co. A/S | | 1-Week CIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 529,584 | DKK | | | 2,221 | |
Schweiter Technologies AG | | 1-Day SARON - 0.35% | | | Monthly | | | | JPHQ | | | | 5/06/24 | | | | 187,445 | CHF | | | 14,802 | |
Sdiptech AB | | 1-Week STIBOR - 1.00% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 1,497,865 | SEK | | | (15,332 | ) |
secunet Security Networks AG | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 153,105 | EUR | | | 2,322 | |
Seeing Machines Ltd. | | 1-Day SONIA - 5.75% | | | Monthly | | | | MSCS | | | | 8/04/23 | | | | 50,757 | GBP | | | (1,182 | ) |
Segro PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 72,840 | GBP | | | 12,668 | |
Sensirion AG | | 1-Day SARON - 0.35% | | | Monthly | | | | JPHQ | | | | 4/22/24 | | | | 256,024 | CHF | | | 7,371 | |
SES-imagotag | | 1-Day EONIA - 0.30% | | | Monthly | | | | MSCS | | | | 5/22/24 | | | | 122,290 | EUR | | | (5,516 | ) |
Severn Trent PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 11/27/23 | | | | 140,147 | GBP | | | 5,351 | |
SFC Energy AG | | Euro STR - 7.00% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 23,581 | EUR | | | (5,085 | ) |
Siemens Healthineers AG | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 8/21/23 | | | | 180,985 | EUR | | | 768 | |
SIG Group AG | | Euro STR - 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 353,303 | CHF | | | (54,883 | ) |
Sika | | 1-Day SARON - 0.35% | | | Monthly | | | | JPHQ | | | | 11/08/23 | | | | 129,891 | CHF | | | 833 | |
Siltronic AG | | Euro STR - 1.05% | | | Monthly | | | | JPHQ | | | | 5/13/24 | | | | 102,783 | EUR | | | (34,591 | ) |
Sixt SE | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 4/17/24 | | | | 278,200 | EUR | | | 26,859 | |
SKAN AG | | Euro STR - 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 96,700 | CHF | | | (33,359 | ) |
Smart Metering Systems PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/12/23 | | | | 312,878 | GBP | | | 26,386 | |
Solaria Energia y Medio Ambiente SA | | 1-Day EONIA - 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 157,620 | EUR | | | 45,483 | |
SolGold PLC | | 1-Day SONIA - 0.56% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 149,102 | GBP | | | 31,235 | |
Southern Co. (The) | | 1-Day FEDEF - 0.20% | | | Monthly | | | | BOFA | | | | 2/24/24 | | | | 113,623 | | | | — | |
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 105 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | | | | | |
| Total Return Swap Contracts (continued) | | | | |
| | | | | | |
| Underlying Instrument | | Financing Rate | | Payment
Frequency | | | Counterparty | | | Maturity
Date | | | Notional
Value* | | | Value/Unrealized
Appreciation
(Depreciation) | |
| OTC Swap Contracts (continued) | | | | | | | | | | | | | | | | | |
| Equity Contracts – Shortd (continued) | | | | | | | | | | | | | | | |
Southwest Airlines Co. | | SOFR - 0.75% | | | Monthly | | | | GSCO | | | | 3/16/24 | | | | 595,796 | GBP | | $ | 2,408 | |
SpareBank 1 Nord-Norge | | 1-Week NIBOR - 1.50% | | | Monthly | | | | SEBA | | | | 9/20/23 | | | | 517,307 | NOK | | | 390 | |
SpareBank 1 Nord-Norge | | 1-Week NIBOR - 1.50% | | | Monthly | | | | SEBA | | | | 10/23/23 | | | | 2,951,812 | NOK | | | (18,203 | ) |
Spectris PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 8/17/23 | | | | 108,594 | GBP | | | (42,226 | ) |
Spinnova OYJ | | Euro STR - 10.50% | | | Monthly | | | | SEBA | | | | 8/08/23 | | | | 19,548 | EUR | | | 1,809 | |
St Galler Kantonalbank AG | | 1-Day SARON - 0.35% | | | Monthly | | | | JPHQ | | | | 11/06/23 | | | | 113,929 | CHF | | | 2,306 | |
Steico SE | | Euro STR - 0.95% | | | Monthly | | | | JPHQ | | | | 2/09/24 | | | | 82,763 | EUR | | | 10,822 | |
STOXX Europe 600 Utilities Index | | 1-Day EONIA - 0.45% | | | Monthly | | | | MSCS | | | | 9/13/23 | | | | 2,467,156 | EUR | | | 116,819 | |
STOXX Europe 600 Utilities Index | | 1-Day EONIA - 0.45% | | | Monthly | | | | MSCS | | | | 3/25/24 | | | | 3,525,379 | EUR | | | 45,364 | |
STRATEC SE | | Euro STR - 0.35% | | | Monthly | | | | JPHQ | | | | 4/19/24 | | | | 107,620 | EUR | | | 9,997 | |
Straumann Group | | 1-Day SARON - 0.35% | | | Monthly | | | | JPHQ | | | | 10/18/23 | | | | 226,836 | CHF | | | (39,779 | ) |
Strix Group PLC | | 1-Day SONIA - 2.00% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 54,709 | GBP | | | 16,266 | |
Supermarket Income REIT | | 1-Day SONIA - 0.28% | | | Monthly | | | | MSCS | | | | 9/15/23 | | | | 157,406 | GBP | | | 32,155 | |
Svenska Cellulosa AB | | 1-Week STIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 4,039,801 | SEK | | | (26,715 | ) |
Swedencare AB | | 1-Week STIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 7/13/23 | | | | 813,750 | SEK | | | (55,876 | ) |
Swiss Prime Site | | 1-Day SARON - 0.35% | | | Monthly | | | | JPHQ | | | | 5/01/24 | | | | 195,194 | CHF | | | 8,432 | |
Sword Group SE | | 1-Day EONIA - 4.00% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 15,472 | EUR | | | 458 | |
Symrise AG | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 9/27/23 | | | | 162,065 | EUR | | | 4,502 | |
Synthomer PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 3/22/24 | | | | 195,703 | GBP | | | 59,626 | |
TAG Immobilien AG | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 8/16/23 | | | | 254,519 | EUR | | | (12,993 | ) |
Talenom OYJ | | Euro STR - 2.50% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 25,003 | EUR | | | 1,060 | |
Talgo SA | | 1-Day EONIA - 0.35% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 173,332 | EUR | | | 412 | |
Tamburi | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 254,480 | EUR | | | (39,012 | ) |
Tate & Lyle PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 261,171 | GBP | | | 1,033 | |
Technogym SpA | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 196,991 | EUR | | | (22,113 | ) |
Tele2 AB | | 1-Week STIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 11/27/23 | | | | 2,840,886 | SEK | | | 9,214 | |
Telecom Italia | | Euro STR - 0.75% | | | Monthly | | | | JPHQ | | | | 7/14/23 | | | | 254,346 | EUR | | | 26,546 | |
Telia Company AB | | 1-Week STIBOR - 0.275% | | | Monthly | | | | SEBA | | | | 5/06/24 | | | | 3,291,508 | SEK | | | 18,774 | |
Telkom SA SOC | | 1-Day SABOR - 0.50% | | | Monthly | | | | MSCS | | | | 10/16/23 | | | | 2,080,149 | ZAR | | | (9,071 | ) |
Tenaris SA | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 91,238 | EUR | | | 18,229 | |
Thermador Groupe SA | | 1-Day EONIA - 2.25% | | | Monthly | | | | MSCS | | | | 8/16/23 | | | | 51,751 | EUR | | | (7,061 | ) |
Thule Group AB | | 1-Week STIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 3,818,461 | SEK | | | (59,395 | ) |
TI Fluid Systems PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 4/19/24 | | | | 147,051 | GBP | | | (26,100 | ) |
Tinexta SpA | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 298,658 | EUR | | | 57,366 | |
Tomra Systems ASA | | 1-Week NIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 1/08/24 | | | | 1,222,943 | NOK | | | (6,179 | ) |
Topdanmark A/S | | 1-Week CIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 7/26/23 | | | | 2,180,903 | DKK | | | 5,975 | |
Transaction Capital Ltd. | | 1-Day SABOR - 0.50% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 1,875,412 | ZAR | | | 55,026 | |
Transocean Ltd. | | 1-Day FEDEF - 0.20% | | | Monthly | | | | BOFA | | | | 2/01/24 | | | | 1,466,230 | | | | 5,912 | |
Traton SE | | Euro STR - 0.80% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 101,657 | EUR | | | (17,422 | ) |
Treatt PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 194,100 | GBP | | | (3,175 | ) |
Trelleborg AB | | 1-Week STIBOR - 0.275% | | | Monthly | | | | SEBA | | | | 5/08/24 | | | | 817,855 | SEK | | | (3,405 | ) |
Tritax EuroBox PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 64,879 | GBP | | | 14,947 | |
Trustpilot Group PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 92,278 | GBP | | | (6,267 | ) |
Tryg A/S | | 1-Week CIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 7/13/23 | | | | 2,694,906 | DKK | | | (26,360 | ) |
Tubacex SA | | 1-Day EONIA - 1.63% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 25,465 | EUR | | | (6,049 | ) |
TUI LN Hedge | | 1-Day EONIA - 0.65% | | | Monthly | | | | MSCS | | | | 5/27/24 | | | | 273,520 | EUR | | | 215 | |
Turkiye Sinai Kalkinma Bankasi AS | | 1-Day FEDEF - 2.00% | | | Monthly | | | | MSCS | | | | 1/23/24 | | | | 49,373 | | | | 10,489 | |
Tyler Technologies Inc. | | SOFR - 0.35% | | | Monthly | | | | GSCO | | | | 3/01/24 | | | | 451,252 | EUR | | | 2,631 | |
U.S. Cellular | | 1-Day FEDEF - 0.20% | | | Monthly | | | | BOFA | | | | 2/10/24 | | | | 150,150 | | | | — | |
U.S. Steel Corp. | | SOFR - 0.35% | | | Monthly | | | | GSCO | | | | 2/23/24 | | | | 2,387,181 | | | | 9,635 | |
Ubisoft Entertainment SA | | 1-Day EONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 201,787 | EUR | | | (15,821 | ) |
UCB | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 11/21/23 | | | | 71,766 | EUR | | | 1,064 | |
Under Armour Inc. | | 1-Day FEDEF - 0.20% | | | Monthly | | | | BOFA | | | | 3/15/24 | | | | 78,960 | | | | — | |
Unilever | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 10/16/23 | | | | 196,841 | GBP | | | 662 | |
UnipolSai | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 11/27/23 | | | | 232,506 | EUR | | | 17,371 | |
| | | | | | | | | | |
| | | | | | |
| 106 | | | | | | | | Annual Report | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED SCHEDULE OF INVESTMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | | | | | | | | | | | |
| Total Return Swap Contracts (continued) | | | | |
| | | | | | |
| Underlying Instrument | | Financing Rate | | Payment
Frequency | | | Counterparty | | | Maturity
Date | | | Notional
Value* | | | Value/Unrealized
Appreciation
(Depreciation) | |
| OTC Swap Contracts (continued) | | | | | | | | | | | | | | | | | |
| Equity Contracts – Shortd (continued) | | | | | | | | | | | | | | | |
UNIQA Insurance Group AG | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 3/18/24 | | | | 196,335 | EUR | | $ | (6,368 | ) |
United Utilities | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 11/27/23 | | | | 98,940 | GBP | | | 5,464 | |
UPM Kymmene Corp. | | Euro STR - 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 265,987 | EUR | | | 22,455 | |
Urban Logistics REIT PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 203,182 | GBP | | | 13,746 | |
Vail Resorts Inc. | | SOFR - 3.50% | | | Monthly | | | | GSCO | | | | 5/03/24 | | | | 439,898 | | | | 3,952 | |
Vallourec | | 1-Day EONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 135,246 | EUR | | | 15,205 | |
Valneva SE | | 1-Day EONIA - 4.50% | | | Monthly | | | | MSCS | | | | 5/16/24 | | | | 114,633 | EUR | | | 10,443 | |
Varex Imaging Corp. | | 1-Day FEDEF - 0.20% | | | Monthly | | | | BOFA | | | | 4/21/24 | | | | 854,579 | | | | 2,346 | |
VAT Group AG | | 1-Day SARON - 0.35% | | | Monthly | | | | JPHQ | | | | 4/22/24 | | | | 150,525 | CHF | | | (36,985 | ) |
Veradigm Inc. | | 1-Day FEDEF - 0.20% | | | Monthly | | | | BOFA | | | | 2/08/24 | | | | 505,268 | | | | 2,036 | |
Vestas Wind Systems A/S | | 1-Week CIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 7/12/23 | | | | 2,086,863 | DKK | | | (5,829 | ) |
Vestel | | 1-Day FEDEF - 7.63% | | | Monthly | | | | MSCS | | | | 9/08/23 | | | | 88,881 | | | | (15,871 | ) |
VGP NV | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 313,112 | EUR | | | (37,401 | ) |
Viaplay Group AB | | 1-Week STIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 4,978,789 | SEK | | | 101,232 | |
Vicat SA | | 1-Day EONIA - 0.30% | | | Monthly | | | | MSCS | | | | 8/08/23 | | | | 102,063 | EUR | | | 7,370 | |
Victrex PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 62,824 | GBP | | | 4,549 | |
Vidrala SA | | 1-Day EONIA - 0.35% | | | Monthly | | | | MSCS | | | | 9/29/23 | | | | 146,723 | EUR | | | (10,864 | ) |
Vienna Insurance Group AG | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 12/18/23 | | | | 35,183 | EUR | | | (5,570 | ) |
Virbac | | 1-Day EONIA - 0.30% | | | Monthly | | | | MSCS | | | | 4/01/24 | | | | 166,214 | EUR | | | 2,326 | |
Vistry Group PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 6/03/24 | | | | 21,272 | GBP | | | 145 | |
Vitec Software Group AB | | 1-Week STIBOR - 0.275% | | | Monthly | | | | SEBA | | | | 5/22/24 | | | | 1,509,205 | SEK | | | (2,413 | ) |
Volex PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 9/01/23 | | | | 86,014 | GBP | | | (6,102 | ) |
Voltalia SA | | 1-Day EONIA - 0.30% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 164,347 | EUR | | | (3,942 | ) |
Waga Energy SA | | 1-Day EONIA - 0.75% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 39,746 | EUR | | | 4,203 | |
Wallenstam AB Series B | | 1-Week STIBOR - 0.275% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 1,102,692 | SEK | | | 11,491 | |
Warehouse REIT PLC | | 1-Day SONIA - 1.38% | | | Monthly | | | | MSCS | | | | 7/17/23 | | | | 159,888 | GBP | | | 29,050 | |
Wayfair Inc. | | 1-Day FEDEF - 0.66% | | | Monthly | | | | BOFA | | | | 3/17/24 | | | | 222,204 | | | | 505 | |
Wayfair Inc. | | SOFR - 3.50% | | | Monthly | | | | GSCO | | | | 3/17/24 | | | | 247,766 | | | | 699 | |
Wayfair Inc. | | SOFR - 0.35% | | | Monthly | | | | CITI | | | | 5/13/24 | | | | 101,126 | | | | (9,905 | ) |
Wendel Group | | 1-Day EONIA - 0.30% | | | Monthly | | | | MSCS | | | | 5/27/24 | | | | 141,647 | EUR | | | 1,802 | |
Westwing Group SE | | Euro STR - 2.55% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 26,033 | EUR | | | (6,426 | ) |
Whitbread PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 4/12/24 | | | | 124,357 | GBP | | | (14,162 | ) |
Wiit SpA | | Euro STR - 0.70% | | | Monthly | | | | JPHQ | | | | 7/31/23 | | | | 35,586 | EUR | | | 370 | |
Winnebago Industries Inc. | | 1-Day FEDEF - 0.20% | | | Monthly | | | | BOFA | | | | 5/03/24 | | | | 228,792 | | | | (2,131 | ) |
WithSecure Corp. | | 1-Week ESTR - 0.275% | | | Monthly | | | | SEBA | | | | 4/22/24 | | | | 45,767 | EUR | | | 3,550 | |
Wizz Air Holdings PLC | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 12/19/23 | | | | 231,290 | GBP | | | (32,939 | ) |
Xior Student Housing | | Euro STR - 0.30% | | | Monthly | | | | JPHQ | | | | 5/16/24 | | | | 165,334 | EUR | | | 132,615 | |
XP Power Ltd. | | 1-Day SONIA - 0.30% | | | Monthly | | | | MSCS | | | | 8/31/23 | | | | 188,414 | GBP | | | (23,245 | ) |
Xvivo Perfusion AB | | 1-Week STIBOR - 0.28% | | | Monthly | | | | SEBA | | | | 7/17/23 | | | | 799,741 | SEK | | | (12,580 | ) |
Ypsomed Holding AG | | 1-Day SARON - 0.35% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 151,717 | CHF | | | (56,265 | ) |
Ziff Davis | | 1-Day FEDEF - 0.20% | | | Monthly | | | | BOFA | | | | 3/08/24 | | | | 185,563 | | | | 845 | |
Ziff Davis | | SOFR | | | Monthly | | | | GSCO | | | | 3/16/24 | | | | 278,099 | | | | 5,840 | |
Zur Rose Group AG | | 1-Day SARON - 2.10% | | | Monthly | | | | JPHQ | | | | 7/17/23 | | | | 183,687 | CHF | | | 42,691 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | (71,520 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Total - Total Return Swap Contracts | | | | | | | $ | (4,366,700 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
*In U.S. dollars unless otherwise indicated.
aThe Fund receives the total return on the underlying instrument and pays a variable financing rate.
bFair valued using significant unobservable inputs. See Note 13 regarding fair value investments.
cSee Note 9 regarding investments in Russian securities. Notional value rounds to less than 1.
dThe Fund receives the variable financing rate and pays the total return on the underlying instrument.
See Note 11 regarding other derivative information.
See Abbreviations on page 130.
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | Annual Report | | | | | | | | 107 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED FINANCIAL STATEMENTS
Consolidated Statement of Assets and Liabilities
May 31, 2023
K2 Alternative Strategies Fund
| | | | |
| |
Assets: | | | | |
Investments in securities: | | | | |
Cost – Unaffiliated issuers | | $ | 743,390,082 | |
Cost – Non-controlled affiliates (Note 3f) | | | 3,348,000 | |
| | | | |
Value – Unaffiliated issuers† | | $ | 758,555,484 | |
Value – Non-controlled affiliates (Note 3f) | | | 3,348,000 | |
Cash | | | 15,325,716 | |
Restricted cash for OTC derivatives (Note 1e) | | | 2,270,000 | |
Foreign currency, at value (cost $15,604,171) | | | 15,573,922 | |
Receivables: | | | | |
Investment securities sold | | | 16,771,355 | |
Capital shares sold | | | 273,296 | |
Dividends and interest | | | 6,629,097 | |
Deposits with brokers for: | | | | |
Exchange traded options written | | | 49,152 | |
Securities sold short | | | 125,692,061 | |
OTC derivative contracts | | | 60,881,908 | |
Futures contracts | | | 13,546,359 | |
Centrally cleared swap contracts | | | 1,082,623 | |
Due from brokers | | | 3,017,813 | |
Variation margin on centrally cleared swap contracts | | | 5,965 | |
OTC swap contracts (upfront payments $4,102,629) | | | 3,469,178 | |
Unrealized appreciation on OTC forward exchange contracts | | | 7,628,648 | |
Unrealized appreciation on OTC swap contracts | | | 9,367,550 | |
Other assets | | | 8,739 | |
| | | | |
Total assets | | | 1,043,496,866 | |
| | | | |
Liabilities: | | | | |
Payables: | | | | |
Investment securities purchased | | | 11,212,324 | |
Capital shares redeemed | | | 827,999 | |
Management fees | | | 1,186,586 | |
Distribution fees | | | 30,186 | |
Trustees’ fees and expenses | | | 5,121 | |
Transfer agent fees | | | 275,989 | |
Deposits from brokers for: | | | | |
OTC derivative contracts | | | 2,270,000 | |
Due to brokers | | | 20,819,400 | |
Variation margin on futures contracts | | | 548,415 | |
OTC swap contracts (upfront receipts $440,184) | | | 420,669 | |
Options written, at value (premiums received $2,097,524) | | | 1,855,264 | |
Securities sold short, at value (proceeds $144,692,608) | | | 129,970,737 | |
Payable upon return of securities loaned (Note 1g) | | | 3,348,000 | |
Unrealized depreciation on OTC forward exchange contracts | | | 9,263,406 | |
Unrealized depreciation on OTC swap contracts | | | 13,358,239 | |
Unrealized depreciation on unfunded loan commitments (Note 10) | | | 28,363 | |
Accrued expenses and other liabilities | | | 375,134 | |
| | | | |
Total liabilities | | | 195,795,832 | |
| | | | |
Net assets, at value | | $ | 847,701,034 | |
| | | | |
Net assets consist of: | | | | |
Paid-in capital | | $ | 874,866,817 | |
Total distributable earnings (loss) | | | (27,165,783 | ) |
| | | | |
Net assets, at value | | $ | 847,701,034 | |
| | | | |
†Includes securities loaned | | $ | 5,172,057 | |
| | | | | | | | | | |
| | | | | | |
| 108 | | | | | | | | Annual Report | The accompanying notes are an integral part of these consolidated financial statements. | | franklintempleton.com |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED FINANCIAL STATEMENTS
Consolidated Statement of Assets and Liabilities (continued)
May 31, 2023
K2 Alternative Strategies Fund
| | | | |
| |
| Class A: | | | | |
Net assets, at value | | $ | 76,464,483 | |
| | | | |
Shares outstanding | | | 7,155,116 | |
| | | | |
Net asset value per sharea | | $ | 10.69 | |
| | | | |
Maximum offering price per share (net asset value per share ÷ 94.50%) | | $ | 11.31 | |
| | | | |
| |
| Class C: | | | | |
Net assets, at value | | $ | 15,719,518 | |
| | | | |
Shares outstanding | | | 1,518,311 | |
| | | | |
Net asset value and maximum offering price per sharea | | $ | 10.35 | |
| | | | |
| |
| Class R: | | | | |
Net assets, at value | | $ | 350,737 | |
| | | | |
Shares outstanding | | | 32,677 | |
| | | | |
Net asset value and maximum offering price per share | | $ | 10.73 | |
| | | | |
| |
| Class R6: | | | | |
Net assets, at value | | $ | 44,192,470 | |
| | | | |
Shares outstanding | | | 4,099,507 | |
| | | | |
Net asset value and maximum offering price per share | | $ | 10.78 | |
| | | | |
| |
| Advisor Class: | | | | |
Net assets, at value | | $ | 710,973,826 | |
| | | | |
Shares outstanding | | | 66,051,372 | |
| | | | |
Net asset value and maximum offering price per share | | $ | 10.76 | |
| | | | |
aRedemption price is equal to net asset value less contingent deferred sales charges, if applicable.
| | | | | | | | | | |
| | | | | | |
| franklintempleton.com | | The accompanying notes are an integral part of these consolidated financial statements. | Annual Report | | | | | | | | 109 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED FINANCIAL STATEMENTS
Consolidated Statement of Operations
for the year ended May 31, 2023
K2 Alternative Strategies Fund
| | | | |
| |
Investment income: | | | | |
Dividends: (net of foreign taxes)* | | | | |
Unaffiliated issuers | | $ | 11,390,041 | |
Interest: (net of foreign taxes)~ | | | | |
Unaffiliated issuers | | | 29,515,961 | |
Income from securities loaned: | | | | |
Unaffiliated entities (net of fees and rebates) | | | 29,945 | |
Non-controlled affiliates (Note 3f) | | | 111,756 | |
| | | | |
Total investment income | | | 41,047,703 | |
| | | | |
Expenses: | | | | |
Management fees (Note 3a) | | | 19,725,739 | |
Distribution fees: (Note 3c) | | | | |
Class A | | | 214,350 | |
Class C | | | 202,390 | |
Class R | | | 2,194 | |
Transfer agent fees: (Note 3e) | | | | |
Class A | | | 91,924 | |
Class C | | | 23,173 | |
Class R | | | 498 | |
Class R6 | | | 13,471 | |
Advisor Class | | | 1,010,324 | |
Custodian fees (Note 4) . | | | 366,266 | |
Reports to shareholders fees | | | 143,767 | |
Registration and filing fees | | | 131,778 | |
Professional fees | | | 417,815 | |
Trustees’ fees and expenses | | | 357,864 | |
Dividends and interest on securities sold short | | | 4,636,839 | |
Other | | | 158,705 | |
| | | | |
Total expenses | | | 27,497,097 | |
| | | | |
Expense reductions (Note 4) | | | (356,990 | ) |
Expenses waived/paid by affiliates (Note 3f and 3g) | | | (1,833,589 | ) |
| | | | |
Net expenses | | | 25,306,518 | |
| | | | |
Net investment income | | | 15,741,185 | |
| | | | |
Realized and unrealized gains (losses): | | | | |
Net realized gain (loss) from: | | | | |
Investments: | | | | |
Unaffiliated issuers | | | (45,751,515 | ) |
Written options | | | 2,346,434 | |
Foreign currency transactions | | | (2,440,945 | ) |
Forward exchange contracts | | | 10,928,206 | |
Futures contracts | | | (5,612,129 | ) |
Securities sold short | | | 29,066,070 | |
Swap contracts | | | (89,876 | ) |
| | | | |
Net realized gain (loss) | | | (11,553,755 | ) |
| | | | |
Net change in unrealized appreciation (depreciation) on: | | | | |
Investments: | | | | |
Unaffiliated issuers | | | 3,515,265 | |
Written options | | | 131,135 | |
Translation of other assets and liabilities denominated in foreign currencies | | | (429,837 | ) |
Forward exchange contracts | | | (3,529,820 | ) |
Futures contracts | | | (33,301 | ) |
Securities sold short | | | (14,454,029 | ) |
Swap contracts | | | (5,933,245 | ) |
| | | | |
Net change in unrealized appreciation (depreciation) | | | (20,733,832 | ) |
| | | | |
Net realized and unrealized gain (loss) | | | (32,287,587 | ) |
| | | | |
Net increase (decrease) in net assets resulting from operations | | $ | (16,546,402 | ) |
| | | | |
* Foreign taxes withheld on dividends | | $ | 113,113 | |
~ Foreign taxes withheld on interest | | $ | 21,470 | |
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FRANKLIN ALTERNATIVE STRATEGIES FUNDS
CONSOLIDATED FINANCIAL STATEMENTS
Consolidated Statements of Changes in Net Assets
K2 Alternative Strategies Fund
| | | | | | | | |
| | | Year Ended May 31, | |
| | |
| | | 2023 | | | 2022 | |
Increase (decrease) in net assets: | | | | | | | | |
Operations: | | | | | | | | |
Net investment income (loss) | | $ | 15,741,185 | | | $ | (3,815,892 | ) |
Net realized gain (loss) | | | (11,553,755 | ) | | | 41,368,472 | |
Net change in unrealized appreciation (depreciation) | | | (20,733,832 | ) | | | (123,367,201 | ) |
| | | | |
Net increase (decrease) in net assets resulting from operations | | | (16,546,402 | ) | | | (85,814,621 | ) |
| | | | |
Distributions to shareholders: | | | | | | | | |
Class A | | | (2,298,782 | ) | | | (4,718,508 | ) |
Class C | | | (366,579 | ) | | | (1,181,591 | ) |
Class R | | | (6,760 | ) | | | (56,639 | ) |
Class R6 | | | (1,623,691 | ) | | | (2,581,950 | ) |
Advisor Class | | | (25,006,493 | ) | | | (58,285,888 | ) |
| | | | |
Total distributions to shareholders | | | (29,302,305 | ) | | | (66,824,576 | ) |
| | | | |
Capital share transactions: (Note 2) | | | | | | | | |
Class A | | | (14,390,545 | ) | | | 3,686,486 | |
Class C | | | (7,897,223 | ) | | | (3,895,079 | ) |
Class R | | | (443,340 | ) | | | 115,566 | |
Class R6 | | | (1,408,481 | ) | | | 26,424,523 | |
Advisor Class | | | (349,425,448 | ) | | | 79,327,812 | |
| | | | |
Total capital share transactions | | | (373,565,037 | ) | | | 105,659,308 | |
| | | | |
Net increase (decrease) in net assets | | | (419,413,744 | ) | | | (46,979,889 | ) |
Net assets: | | | | | | | | |
Beginning of year | | | 1,267,114,778 | | | | 1,314,094,667 | |
| | | | |
End of year | | $ | 847,701,034 | | | $ | 1,267,114,778 | |
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FRANKLIN ALTERNATIVE STRATEGIES FUNDS
Notes to Consolidated Financial Statements
K2 Alternative Strategies Fund
1. Organization and Significant Accounting Policies
Franklin Alternative Strategies Funds (Trust) is registered under the Investment Company Act of 1940 (1940 Act) as an open-end management investment company, consisting of one fund, K2 Alternative Strategies Fund (Fund). The Fund follows the accounting and reporting guidance in Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (ASC 946) and applies the specialized accounting and reporting guidance in U.S. Generally Accepted Accounting Principles (U.S. GAAP), including, but not limited to, ASC 946. The Fund offers five classes of shares: Class A, Class C, Class R, Class R6 and Advisor Class. Class C shares automatically convert to Class A shares on a monthly basis, after they have been held for 8 years. Each class of shares may differ by its initial sales load, contingent deferred sales charges, voting rights on matters affecting a single class, its exchange privilege and fees due to differing arrangements for distribution and transfer agent fees.
Effective January 17, 2023, Franklin K2 Alternative Strategies Fund was renamed K2 Alternative Strategies Fund.
The following summarizes the Fund’s significant accounting policies.
a. Financial Instrument Valuation
The Fund’s investments in financial instruments are carried at fair value daily. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the 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 Fund may utilize independent pricing services, quotations from securities and financial instrument dealers, and other market sources to determine fair value.
Equity securities, exchange traded funds and derivative financial instruments 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. Eastern 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 OTC market rather than on a securities exchange. The Fund’s pricing services use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the pricing services may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the pricing services also utilize proprietary valuation models which may consider market characteristics such as benchmark yield curves, credit spreads, estimated default rates, anticipated market interest rate volatility, coupon rates, anticipated timing of principal repayments, underlying collateral, and other unique security features in order to estimate the relevant cash flows, which are then discounted to calculate the fair value. 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.
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 Fund’s 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 Fund’s net benefit or obligation under the derivative contract, as measured by the fair value of the contract, is included in net assets.
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FRANKLIN ALTERNATIVE STRATEGIES FUNDS
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
K2 Alternative Strategies Fund (continued)
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, 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 Fund’s business day. Events can 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 Fund’s portfolio securities as determined at the foreign market close and the latest indications of value at 4 p.m. Eastern time. In order to minimize the potential for these differences, an independent pricing service may be used to adjust the value of the Fund’s portfolio securities to the latest indications of fair value at 4 p.m. Eastern time. At May 31, 2023, certain securities may have been fair valued using these procedures, in which case the securities were categorized as Level 2 within the fair value hierarchy (referred to as “market level fair value”). See the Fair Value Measurements note for more information.
When the last day of the reporting period is a non-business day, certain foreign markets may be open on those days that the Fund’s NAV is not calculated, which could result in differences between the value of the Fund’s 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 Fund 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 Fund 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 Fund does 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 Consolidated Statement 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. Securities Purchased on a Delayed Delivery Basis
The Fund purchases securities on a 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 Fund will generally purchase these securities with the intention of holding the securities, it may sell the securities before the settlement date. Sufficient assets have been segregated for these securities.
d. Derivative Financial Instruments
The Fund invested in derivative financial instruments in order to manage risk or gain exposure to various other investments or markets. Derivatives are financial contracts based on an
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| franklintempleton.com | | Annual Report | | | | | | | | 113 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
K2 Alternative Strategies Fund (continued)
1. Organization and Significant Accounting Policies (continued)
d. Derivative Financial Instruments (continued)
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 Consolidated Statement of Assets and Liabilities. Realized gain and loss and unrealized appreciation and depreciation on these contracts for the period are included in the Consolidated Statement of Operations.
Derivative counterparty credit risk is managed through a formal evaluation of the creditworthiness of all potential counterparties. The Fund attempts to reduce its 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 Fund include failure of the Fund 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. However, absent an event of default or early termination, OTC derivative assets and liabilities are presented gross and not offset in the Consolidated Statement of Assets and Liabilities. Early termination by the counterparty may result in an immediate payment by the Fund of any net liability owed to that counterparty under the ISDA agreement.
Collateral requirements differ by type of derivative. Collateral or initial margin requirements are set by the broker or exchange clearing house for exchange traded and centrally cleared derivatives. Initial margin deposited is held at the exchange and can be in the form of cash and/or securities. 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 for OTC derivatives, 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 Fund’s investment objectives. To 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.
The Fund entered into exchange traded futures contracts primarily to manage and/or gain exposure to commodity price, interest rate, equity price and foreign exchange rate risk. A futures contract is an agreement between the Fund and a counterparty to buy or sell an asset at a specified price on a future date. Required initial margins are pledged by the Fund, and the daily change in fair value is accounted for as a variation margin payable or receivable in the Consolidated Statement of Assets and Liabilities.
The Fund entered into OTC forward exchange contracts primarily to manage and/or gain exposure to certain foreign currencies. A forward exchange contract is an agreement between the Fund and a counterparty to buy or sell a foreign currency at a specific exchange rate on a future date.
The Fund 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
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FRANKLIN ALTERNATIVE STRATEGIES FUNDS
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
K2 Alternative Strategies Fund (continued)
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 in the Consolidated Statement of Assets and Liabilities. 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 Consolidated Statement 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 Consolidated Statement of Operations.
The Fund entered into OTC cross-currency swap contracts primarily to manage and/or gain exposure to certain foreign currencies. A cross-currency swap is an agreement between the Fund and a counterparty to exchange cash flows (determined using either a fixed or floating rate) based on the notional amounts of two different currencies. The notional amounts are typically determined based on the spot exchange rates at the opening of the contract. Cross-currency swaps may require the exchange of notional amounts at the opening and/or closing of the contract. Over the term of the contract, contractually required payments to be paid and to be received are accrued daily and recorded as unrealized appreciation or depreciation until the payments are made, at which time they are realized. Any upfront payments and receipts are reflected in the Consolidated Statement of Assets and Liabilities and represent compensating factors between stated terms of the cross-currency swap contract and prevailing market conditions (interest rate 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 Consolidated Statement of Operations, if any. At May 31, 2023, the Fund had no cross-currency swap contracts.
The Fund entered into interest rate swap contracts primarily to manage and/or gain exposure to interest rate risk. An interest rate swap is an agreement between the Fund and a counterparty to exchange cash flows based on the difference between two interest rates, applied to a notional amount. These agreements may be privately negotiated in the over-the-counter market (OTC interest rate swaps) or may be executed on a registered exchange (centrally cleared interest rate swaps). For centrally cleared interest rate 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 in the Consolidated Statement of Assets and Liabilities. Over the term of the contract, contractually required payments to be paid and to be received are accrued daily and recorded as unrealized appreciation or depreciation until the payments are made, at which time they are realized.
The Fund entered into OTC total return swap contracts primarily to manage and/or gain exposure to equity price risk of an underlying instrument such as a stock, bond, index or basket of securities or indices. A total return swap is an agreement between the Fund and a counterparty to exchange a return linked to an underlying instrument for a floating or fixed rate payment, both based upon a notional amount. Over the term of the contract, contractually required payments to be paid or received are accrued daily and recorded as unrealized appreciation or depreciation until the payments are made, at which time they are recognized as realized gain or loss.
The Fund purchased or wrote exchange traded and/or OTC option contracts primarily to manage and/or gain exposure to equity price, interest rate and foreign exchange rate risk. An option is a contract entitling the holder to purchase or sell a specific amount of shares or units of an asset or notional amount of a swap (swaption), at a specified price. When an option is purchased or written, an amount equal to the premium paid or received is recorded as an asset or liability, respectively. Upon exercise of an option, the acquisition cost or sales proceeds of the underlying investment is adjusted by any premium received or paid. Upon expiration of an option, any premium received or paid is recorded as a realized gain or loss. Upon closing an option other than through expiration or exercise, the difference between the premium received or paid and the cost to close the position is recorded as a realized gain or loss.
See Notes 6 and 11 regarding investment transactions and other derivative information, respectively.
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FRANKLIN ALTERNATIVE STRATEGIES FUNDS
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
K2 Alternative Strategies Fund (continued)
1. Organization and Significant Accounting Policies (continued)
e. Restricted Cash
At May 31, 2023, the Fund held restricted cash in connection with investments in certain derivative securities. Restricted cash is held in a segregated account with the Fund’s custodian and/or counterparty broker and is reflected in the Consolidated Statement of Assets and Liabilities.
f. Securities Sold Short
The Fund is engaged in selling securities short, which obligates the Fund to replace a borrowed security with the same security at current fair value. The Fund incurs a loss if the price of the security increases between the date of the short sale and the date on which the Fund replaces the borrowed security. The Fund realizes a gain if the price of the security declines between those dates. Gains are limited to the price at which the Fund sold the security short, while losses are potentially unlimited in size.
The Fund is required to establish a margin account with the broker lending the security sold short. While the short sale is outstanding, the broker retains the proceeds of the short sale to the extent necessary to meet margin requirements until the short position is closed out. A deposit must also be maintained with the Fund’s custodian/counterparty broker consisting of cash and/or securities having a value equal to a specified percentage of the value of the securities sold short. The Fund is obligated to pay fees for borrowing the securities sold short and is required to pay the counterparty any dividends and/or interest due on securities sold short. Such dividends and/or interest and any security borrowing fees are recorded as an expense to the Fund.
g. Securities Lending
The Fund participates in an agency based securities lending program to earn additional income. The Fund receives collateral in the form of cash and/or U.S. Government and Agency Securities against the loaned securities in an amount equal to at least 102% of the fair value of the loaned securities. Collateral is maintained over the life of the loan in an amount not less than 100% of the fair value of loaned securities, as determined at the close of Fund business each day; any additional collateral required due to changes in security values is delivered to the Fund on the next business day. Any cash collateral received is deposited into a joint cash account
with other funds and is used to invest in a money market fund managed by Franklin Advisers, Inc., an affiliate of the Fund, and/or a joint repurchase agreement. Additionally, the Fund received $1,752,511 in U.S. Government and Agency Securities as collateral. These securities received as collateral are held in segregated accounts with the Fund’s custodian. The Fund cannot repledge or resell these securities received as collateral. As such, the non-cash collateral is excluded from the Consolidated Statement of Assets and Liabilities. The Fund may receive income from the investment of cash collateral, in addition to lending fees and rebates paid by the borrower. Income from securities loaned, net of fees paid to the securities lending agent and/or third party vendor, is reported separately in the Consolidated Statement of Operations. The Fund bears the market risk with respect to any cash collateral investment, securities loaned, and the risk that the agent may default on its obligation to the Fund. If the borrower defaults on its obligations to return the securities loaned, the Fund has the right to repurchase the securities in the open market using the collateral received. The securities lending agent has agreed to indemnify the Fund in the event of default by a third party borrower.
h. Investments in K2 Holdings Investment Corp. (K2 Subsidiary)
The Fund invests in certain financial instruments and commodity-linked derivative investments through its investment in the K2 Subsidiary. The K2 Subsidiary 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 commodity-linked derivative investments consistent with the investment objective of the Fund. At May 31, 2023, the K2 Subsidiary’s investments, as well as any other assets and liabilities of the K2 Subsidiary, are reflected in the Fund’s Consolidated Schedule of Investments and Consolidated Statement of Assets and Liabilities. All intercompany transactions and balances have been eliminated. For tax purposes, the Fund is required to increase its taxable income by its share of the K2 Subsidiary’s income. Net losses incurred by the K2 Subsidiary cannot offset income earned by the Fund and cannot be carried back or forward by the K2 Subsidiary to offset income from prior or future years. At May 31, 2023, the net assets of the K2 Subsidiary were $26,314,223 representing 3.1% of the Fund’s consolidated net assets. The Fund’s investment in the K2 Subsidiary is limited to 25% of consolidated assets.
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FRANKLIN ALTERNATIVE STRATEGIES FUNDS
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
K2 Alternative Strategies Fund (continued)
i. Senior Floating Rate Interests
The Fund invests 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, the London Interbank Offered Rate (LIBOR) or the Senior Overnight Financing Rate (SOFR). Senior secured corporate loans often require prepayment of principal from excess cash flows, 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 Fund invests are generally readily marketable, but may be subject to certain restrictions on resale.
j. Income and Deferred Taxes
It is the Fund’s policy to qualify as a regulated investment company under the Internal Revenue Code. The Fund intends to distribute to shareholders substantially all of its taxable income and net realized gains to relieve it from federal income and excise taxes. As a result, no provision for U.S. federal income taxes is required.
The Fund may 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 it invests. Foreign taxes, if any, are recorded based on the tax regulations and rates that exist in the foreign markets in which the Fund invests. When a capital gain tax is determined to apply, the Fund records an estimated deferred tax liability in an amount that would be payable if the securities were disposed of on the valuation date.
The Fund may recognize an income tax liability related to its uncertain tax positions under U.S. GAAP when the uncertain tax position has a less than 50% probability that it will be sustained upon examination by the tax authorities based on its technical merits. As of May 31, 2023, the Fund has determined that no tax liability is required in its consolidated 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.
k. 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. Paydown gains and losses are recorded as an adjustment to interest income. The Fund may receive other income from investments in senior secured corporate loans or unfunded commitments, including amendment fees, consent fees or commitment fees. These fees are recorded as income when received by the Fund. Facility fees are recognized as income over the expected term of the loan. Dividend income and dividends declared on securities sold short 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 Fund. 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 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 or based on the ratio of number of shareholders of each Fund to the combined number of shareholders of the Trust. Fund specific expenses are charged directly to the Fund that incurred the expense.
Realized and unrealized gains and losses and net investment income, excluding class specific expenses, are allocated daily to each class of shares based upon the relative proportion of net assets of each class. Differences in per share distributions by class are generally due to differences in class specific expenses.
l. 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
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FRANKLIN ALTERNATIVE STRATEGIES FUNDS
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
K2 Alternative Strategies Fund (continued)
1. Organization and Significant Accounting Policies (continued)
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.
m. 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 Fund, 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
At May 31, 2023, there were an unlimited number of shares authorized (without par value). Transactions in the Fund’s shares were as follows:
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| |
| | | Year Ended May 31, | |
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| | | 2023 | | | | | | 2022 | |
| | | | | |
| | | Shares | | | Amount | | | | | | Shares | | | Amount | |
| | | | | |
| Class A Shares: | | | | | | | | | | | | | | | | | | | | |
Shares solda | | | 1,184,496 | | | $ | 12,884,556 | | | | | | | | 1,769,519 | | | $ | 21,332,819 | |
Shares issued in reinvestment of distributions | | | 197,144 | | | | 2,107,467 | | | | | | | | 360,033 | | | | 4,313,199 | |
Shares redeemed | | | (2,702,826 | ) | | | (29,382,568 | ) | | | | | | | (1,847,856 | ) | | | (21,959,532 | ) |
| | | | |
Net increase (decrease) | | | (1,321,186 | ) | | $ | (14,390,545 | ) | | | | | | | 281,696 | | | $ | 3,686,486 | |
| | | | |
| | | | | |
| Class C Shares: | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 112,939 | | | $ | 1,186,468 | | | | | | | | 480,168 | | | $ | 5,612,560 | |
Shares issued in reinvestment of distributions | | | 30,061 | | | | 312,336 | | | | | | | | 86,857 | | | | 1,009,276 | |
Shares redeemeda | | | (892,790 | ) | | | (9,396,027 | ) | | | | | | | (904,193 | ) | | | (10,516,915 | ) |
| | | | |
Net increase (decrease) | | | (749,790 | ) | | $ | (7,897,223 | ) | | | | | | | (337,168 | ) | | $ | (3,895,079 | ) |
| | | | |
| | | | | |
| Class R Shares: | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 5,131 | | | $ | 55,176 | | | | | | | | 44,316 | | | $ | 551,233 | |
Shares issued in reinvestment of distributions | | | 629 | | | | 6,760 | | | | | | | | 4,740 | | | | 56,639 | |
Shares redeemed | | | (45,962 | ) | | | (505,276 | ) | | | | | | | (43,693 | ) | | | (492,306 | ) |
| | | | |
Net increase (decrease) | | | (40,202 | ) | | $ | (443,340 | ) | | | | | | | 5,363 | | | $ | 115,566 | |
| | | | |
| | | | | |
| Class R6 Shares: | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 1,973,905 | | | $ | 21,789,501 | | | | | | | | 2,732,753 | | | $ | 34,472,560 | |
Shares issued in reinvestment of distributions | | | 127,748 | | | | 1,375,848 | | | | | | | | 204,346 | | | | 2,468,501 | |
Shares redeemed | | | (2,249,882 | ) | | | (24,573,830 | ) | | | | | | | (872,943 | ) | | | (10,516,538 | ) |
| | | | |
Net increase (decrease) | | | (148,229 | ) | | $ | (1,408,481 | ) | | | | | | | 2,064,156 | | | $ | 26,424,523 | |
| | | | |
| | | | | |
| Advisor Class Shares: | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 13,145,615 | | | $ | 144,459,116 | | | | | | | | 31,381,005 | | | $ | 381,327,809 | |
Shares issued in reinvestment of distributions | | | 1,667,367 | | | | 17,940,869 | | | | | | | | 3,252,963 | | | | 39,198,207 | |
Shares redeemed | | | (46,582,302 | ) | | | (511,825,433 | ) | | | | | | | (28,619,216 | ) | | | (341,198,204 | ) |
| | | | |
Net increase (decrease) | | | (31,769,320 | ) | | $ | (349,425,448 | ) | | | | | | | 6,014,752 | | | $ | 79,327,812 | |
| | | | |
aMay include a portion of Class C shares that were automatically converted to Class A.
| | | | | | | | | | |
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FRANKLIN ALTERNATIVE STRATEGIES FUNDS
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
K2 Alternative Strategies Fund (continued)
3. Transactions with Affiliates
Franklin Resources, Inc. is the holding company for various subsidiaries that together are referred to as Franklin Templeton. Certain officers and trustees of the Trust are also officers and/or directors of the following subsidiaries:
| | |
| |
| Subsidiary | | Affiliation |
K2/D&S Management Co., L.L.C. (K2 Advisors) | | Investment manager |
Franklin Templeton Services, LLC (FT Services) | | Administrative manager |
Franklin Distributors, LLC (Distributors) | | Principal underwriter |
Franklin Templeton Investor Services, LLC (Investor Services) | | Transfer agent |
a. Management Fees
The Fund and K2 Subsidiary pay an investment management fee, calculated daily and paid monthly, to K2 Advisors based on the average daily net assets of the Fund and K2 Subsidiary as follows:
| | |
| |
| Annualized Fee Rate | | Net Assets |
1.90% | | Up to and including $1 billion |
1.85% | | Over $1 billion, up to and including $1.5 billion |
1.80% | | Over $1.5 billion, up to and including $3 billion |
1.75% | | In excess of $3 billion |
For the year ended May 31, 2023, the gross effective management fee rate was 1.90% of the Fund’s average daily net assets.
Management fees paid by the Fund are reduced on assets invested in the K2 Subsidiary, in an amount equal to the management fees paid by the K2 Subsidiary.
Under each subadvisory agreement, the below entities provide subadvisory services to the Fund or K2 Subsidiary. The subadvisory fees are paid by K2 Advisors and are not an additional expense of the Fund or K2 Subsidiary. Each subadvisor is compensated for managing its respective portion of the average daily net assets of the Fund or K2 Subsidiary.
|
|
| Subadvisors |
ActusRayPartners Limited |
Apollo Credit Management LLC |
Bardin Hill Arbitrage IC Management LP |
BlueBay Asset Management LLP |
Chilton Investment Company, Inc. |
DLD Asset Management, LP |
Electron Capital Partners, LLC |
Graham Capital Management, L.P. |
Jennison Associates, LLC |
Lazard Asset Management, LLC |
Loomis Sayles & Company, L.P. |
One River Asset Management, LLC |
P. Schoenfeld Asset Management L.P. |
Portland Hill Asset Management Limited |
RV Capital Management Private, Ltd. |
| | | | | | | | | | |
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| franklintempleton.com | | Annual Report | | | | | | | | 119 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
K2 Alternative Strategies Fund (continued)
3. Transactions with Affiliates (continued)
b. Administrative Fees
Under an agreement with K2 Advisors, FT Services provides administrative services to the Fund and K2 Subsidiary. The fee is paid by K2 Advisors based on the Fund’s and K2 Subsidiary’s average daily net assets, and is not an additional expense of the Fund or K2 Subsidiary.
c. Distribution Fees
The Board has adopted distribution plans for each share class, with the exception of Class R6 and Advisor Class shares, pursuant to Rule 12b-1 under the 1940 Act. Under the Fund’s Class A reimbursement distribution plan, the Fund reimburses Distributors for costs incurred in connection with the servicing, sale and distribution of the Fund’s shares up to the maximum annual plan rate. Under the Class A reimbursement distribution plan, costs exceeding the maximum for the current plan year cannot be reimbursed in subsequent periods. In addition, under the Fund’s Class C and R compensation distribution plans, the Fund pays Distributors for costs incurred in connection with the servicing, sale and distribution of the Fund’s shares up to the maximum annual plan rate for each class. The plan year, for purposes of monitoring compliance with the maximum annual plan rates, is February 1 through January 31.
The maximum annual plan rates, based on the average daily net assets, for each class, are as follows:
| | | | |
Class A | | | 0.30% | |
Class C | | | 1.00% | |
Class R | | | 0.50% | |
The Board has set the current rate at 0.25% per year for Class A shares until further notice and approval by the Board.
d. Sales Charges/Underwriting Agreements
Front-end sales charges and contingent deferred sales charges (CDSC) do not represent expenses of the Fund. These charges are deducted from the proceeds of sales of Fund shares prior to investment or from redemption proceeds prior to remittance, as applicable. Distributors has advised the Fund of the following commission transactions related to the sales and redemptions of the Fund’s shares for the year:
| | | | |
Sales charges retained net of commissions paid to unaffiliated brokers/dealers | | $ | 3,530 | |
CDSC retained | | $ | 2,227 | |
e. Transfer Agent Fees
Each class of shares pays transfer agent fees to Investor Services for its performance of shareholder servicing obligations. Effective October 1, 2022, the fees are based on an annualized asset based fee of 0.016% plus a reduced transaction based fee. Prior to October 1, 2022, the fees were based on an annualized asset based fee of 0.02% plus a transaction based fee. In addition, each class reimburses Investor Services for out of pocket expenses incurred and, except for Class R6, reimburses shareholder servicing fees paid to third parties. These fees are allocated daily based upon their relative proportion of such classes’ aggregate net assets. Class R6 pays Investor Services transfer agent fees specific to that class.
For the year ended May 31, 2023, the Fund paid transfer agent fees of $1,139,390, of which $280,865 was retained by Investor Services.
| | | | | | | | | | |
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FRANKLIN ALTERNATIVE STRATEGIES FUNDS
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
K2 Alternative Strategies Fund (continued)
f. Investments in Affiliated Management Investment Companies
The Fund invests in one or more affiliated management investment companies. As defined in the 1940 Act, an investment is deemed to be a “Controlled Affiliate” of a fund when a fund owns, either directly or indirectly, 25% or more of the affiliated fund’s outstanding shares or has the power to exercise control over management or policies of such fund. The Fund does not invest for purposes of exercising a controlling influence over the management or policies. Management fees paid by the Fund are waived on assets invested in the affiliated management investment companies, as noted in the Consolidated Statement of Operations, in an amount not to exceed the management and administrative fees paid directly or indirectly by each affiliate. During the year ended May 31, 2023, the Fund held investments in affiliated management investment companies as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | Value at
Beginning of Year | | | Purchases | | | Sales | | | Realized
Gain (Loss) | | | Net Change in
Unrealized
Appreciation
(Depreciation) | | | Value at End of Year | | | Number of
Shares
Held at
End of
Year | | | Income
from
Securities
Loaned | |
| Non-Controlled Affiliates | | | | | | | | | | | | | | | | | | | | | | | | |
Institutional Fiduciary Trust Money Market Portfolio, 4.62% | | $ | 4,937,000 | | | $ | 66,941,000 | | | $ | (68,530,000 | ) | | $ | — | | | $ | — | | | $ | 3,348,000 | | | | 3,348,000 | | | $ | 111,756 | |
| | | | |
g. Waiver and Expense Reimbursements
K2 Advisors has contractually agreed in advance to waive or limit its fees and to assume as their own expense certain expenses otherwise payable by the Fund so that the operating expenses (excluding interest expense, distribution fees, acquired fund fees and expenses, expenses related to securities sold short and certain non-routine expenses or costs, including those relating to litigation, indemnification, reorganizations and liquidations) for each class of the Fund do not exceed 1.95% based on the average net assets of each class until September 30, 2023. Total expenses waived or paid are not subject to recapture subsequent to the Fund’s fiscal year end.
Effective July 1, 2023, the expenses (excluding certain fees and expenses as previously disclosed) for each class of the Fund will be limited to 1.90% based on the average net assets of each class until September 30, 2024.
Investor Services has contractually agreed in advance to waive or limit its fees so that the Class R6 transfer agent fees do not exceed 0.03% based on the average net assets of the class until September 30, 2023.
4. Expense Offset Arrangement
The Fund has entered into an arrangement with its custodian whereby credits realized as a result of uninvested cash balances are used to reduce a portion of the Fund’s custodian expenses. During the year ended May 31, 2023, the custodian fees were reduced as noted in the Consolidated Statement of Operations.
5. Income Taxes
For tax purposes, capital losses may be carried over to offset future capital gains. At May 31, 2023, the Fund had short term and long term capital loss carryforwards not subject to expiration of $8,472,495 and $8,985,682, respectively.
For tax purposes, the Fund may elect to defer any portion of a post-October capital loss or late-year ordinary loss to the first day of the following fiscal year. At May 31, 2023, the Fund deferred late-year ordinary losses of $605,340.
| | | | | | | | | | |
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FRANKLIN ALTERNATIVE STRATEGIES FUNDS
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
K2 Alternative Strategies Fund (continued)
5. Income Taxes (continued)
The tax character of distributions paid during the years ended May 31, 2023 and 2022, was as follows:
| | | | | | | | |
| | |
| | | 2023 | | | 2022 | |
| Distributions paid from: | | | | | | | | |
Ordinary income | | $ | 21,007,267 | | | $ | 18,664,819 | |
Long term capital gain | | | 8,295,038 | | | | 48,159,757 | |
| | | | |
Total distributions paid | | $ | 29,302,305 | | | $ | 66,824,576 | |
| | | | |
At May 31, 2023, the cost of investments and net unrealized appreciation (depreciation) for income tax purposes were as follows:
| | | | |
Cost of investments | | $ | 613,894,372 | |
| | | | |
Unrealized appreciation | | $ | 83,055,866 | |
Unrealized depreciation | | | (76,084,527 | ) |
| | | | |
Net unrealized appreciation (depreciation) | | $ | 6,971,339 | |
| | | | |
Differences between income and/or capital gains as determined on a book basis and a tax basis are primarily due to differing treatments of foreign currency transactions, wash sales and investments in the K2 Subsidiary.
6. Investment Transactions
Purchases and sales of investments and securities sold short (excluding short term securities) for the year ended May 31, 2023, aggregated $2,067,142,362 and $2,371,627,948, respectively.
At May 31, 2023, in connection with securities lending transactions, the Fund loaned equity investments and corporate bonds and notes and received $3,348,000 of cash collateral. The gross amounts of recognized liability for such transactions are included in payable upon return of securities loaned in the Consolidated Statement of Assets and Liabilities. The agreements can be terminated at any time.
The Fund sold certain long positions held in the portfolio and simultaneously entered into total return swaps on the positions, retaining substantially all of the exposure to the economic return and the related risks on the long positions. At May 31, 2023, the transfers of financial assets accounted for as sales were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | At Original Transactions Dates | | | At Year Ended May 31, 2023 | |
| | | | | |
| | | Cost Basis of Positions Sold | | | Gross Cash Received for Positions Sold | | | Fair Value of Transferred Assetsa | | | Gross Derivative Assets
Recordedb | | | Gross Derivative Liabilities
Recordedb | |
Sales and total return swaps | | $ | 1,409,304 | | | $ | 1,430,068 | | | $ | 1,398,584 | | | $ | 1,404,231 | | | $ | (1,435,716 | ) |
| | | | | | | | |
a $(31,485) of fair value of transferred assets are included as unrealized appreciation and depreciation on OTC swap contracts in the Consolidated Statement of Assets and Liabilities.
b Balances are presented on a gross basis, based on each leg of the swap contract, before the application of counterparty and cash collateral offsetting.
See Notes 1(d) and 11 regarding derivative financial instruments and other derivative information, respectively.
7. Credit Risk and Defaulted Securities
At May 31, 2023, the Fund had 29.1% of its portfolio invested in high yield, senior secured floating rate loans, or other securities rated below investment grade and unrated securities. 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.
| | | | | | | | | | |
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FRANKLIN ALTERNATIVE STRATEGIES FUNDS
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
K2 Alternative Strategies Fund (continued)
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 of distressed companies, will not be collected, the Fund discontinues accruing income and recognizes an adjustment for uncollectible interest.
At May 31, 2023, the aggregate long value of distressed company securities for which interest recognition has been discontinued was $1,936,327, representing 0.2% of the Fund’s net assets. For information as to specific securities, see the accompanying Consolidated Schedule of Investments.
8. Concentration of Risk
Investments in issuers domiciled or with significant operations in developing or emerging market countries may be subject to higher risks than investments in developed countries. These risks include fluctuating currency values, underdeveloped legal or business systems, and changing local and regional economic, political and social conditions, which may result in greater market volatility. In addition, certain foreign securities may not be as liquid as U.S. securities. Currencies of developing or emerging market countries may be subject to significantly greater risks than currencies of developed countries, including the potential inability to repatriate those currencies into U.S. dollars.
9. Investments in Russian Securities
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. To the extent that the Fund has exposure to Russian investments or investments in countries affected by the invasion, the Fund’s ability to price, buy, sell, receive or deliver such investments was impaired. The Fund could determine at any time that certain of the most affected securities have little or no value. In addition, any exposure that the Fund may have to counterparties in Russia or in countries affected by the invasion could negatively impact the Fund’s portfolio. The extent and duration of Russia’s military actions and the repercussions of such actions (including any retaliatory actions or countermeasures that may be taken by those subject to sanctions) are impossible to predict, but could result in significant market disruptions, including in the oil and natural gas markets, and may negatively affect global supply chains, inflation and global growth. These and any related events could significantly impact the Fund’s performance and the value of an investment in the Fund, even beyond any direct exposure the Fund may have to Russian issuers or issuers in other countries affected by the invasion. The Valuation Committee determined that based on their analysis of the market and access to market participants, the Russian financial instruments held by the Fund had little or no value at May 31, 2023.
10. Unfunded Loan Commitments
The Fund enters into certain credit agreements, all or a portion of which may be unfunded. The Fund is obligated to fund these loan commitments at the borrowers’ discretion. Unfunded loan commitments and funded portions of credit agreements are marked to market daily and any unrealized appreciation or depreciation is included in the Consolidated Statement of Assets and Liabilities and the Consolidated Statement of Operations. Funded portions of credit agreements are presented in the Consolidated Schedule of Investments.
| | | | | | | | | | |
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| franklintempleton.com | | Annual Report | | | | | | | | 123 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
K2 Alternative Strategies Fund (continued)
10. Unfunded Loan Commitments (continued)
At May 31, 2023, unfunded commitments were as follows:
| | | | |
| |
| Borrower | | Unfunded
Commitment | |
Advantage Sales & Marketing Inc., Term Loan B1 | | $ | 52,171 | |
Bausch Health Cos. Inc., Term Loan B | | | 91,410 | |
CSC Holdings LLC, Term Loan B | | | 40,000 | |
Euro Garage Ltd., Term Loan B1 | | | 30,251 | |
Hercules Achievement Inc., Initial Term Loan | | | 58,000 | |
K. Hovnanian Enterprises Inc., Initial Term Loan | | | 1,000,000 | |
Ligado Networks LLC, Initial Term Loan | | | 35,315 | |
Oldcastle BuildingEnvelope Inc., Term Loan RC | | | 274,845 | |
OpenText Corp., Initial Term Loan | | | 94,763 | |
Peloton Interactive Inc., Initial Term Loan | | | 242,405 | |
Trinseo, Initial Term Loan | | | 34,762 | |
Uber Technologies, Initial Term Loan | | | 95,000 | |
Upfield Group BV, Term Loan RC | | | 266,603 | |
| | | | |
| | $ | 2,315,525 | |
| | | | |
11. Other Derivative Information
At May 31, 2023, the investments in derivative contracts are reflected in the Consolidated Statement of Assets and Liabilities as follows:
| | | | | | | | | | | | |
| | |
| | | Asset Derivatives | | | Liability Derivatives | |
| | | | |
Derivative Contracts
Not Accounted for as
Hedging Instruments | | Consolidated Statement of
Assets and Liabilities Location | | Fair Value | | | Consolidated Statement of
Assets and Liabilities Location | | Fair Value | |
| | | | |
Interest rate contracts | | Investments in securities, at value | | $ | 677,993a | | | Options written, at value | | $ | 369,462 | |
| | Variation margin on futures contracts | | | 307,309b | | | Variation margin on futures contracts | | | 902,261b | |
| | Variation margin on centrally cleared swap contracts | | | 1,637,716b | | | Variation margin on centrally cleared swap contracts | | | 1,131,908b | |
| | | | |
Foreign exchange contracts | | Investments in securities, at value | | | 33,538a | | | Options written, at value | | | 2,693 | |
| | Variation margin on futures contracts | | | 280,407b | | | Variation margin on futures contracts | | | 153,706b | |
| | Unrealized appreciation on OTC forward exchange contracts | | | 7,628,648 | | | Unrealized depreciation on OTC forward exchange contracts | | | 9,263,406 | |
| | | | |
Credit contracts | | Variation margin on centrally cleared swap contracts | | | 18,570b | | | Variation margin on centrally cleared swap contracts | | | 96,043b | |
| | OTC swap contracts (upfront payments) | | | 3,469,178 | | | OTC swap contracts (upfront receipts) | | | 420,669 | |
| | Unrealized appreciation on OTC swap contracts | | | 1,139,637 | | | Unrealized depreciation on OTC swap contracts | | | 763,626 | |
| | | | |
Equity contracts | | Investments in securities, at value | | | 4,493,053a | | | Options written, at value | | | 1,483,109 | |
| | Variation margin on futures contracts | | | 960,059b | | | Variation margin on futures contracts | | | 1,486,902b | |
| | Unrealized appreciation on OTC swap contracts | | | 8,227,913 | | | Unrealized depreciation on OTC swap contracts | | | 12,594,613 | |
| | | | | | | | | | |
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FRANKLIN ALTERNATIVE STRATEGIES FUNDS
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
K2 Alternative Strategies Fund (continued)
| | | | | | | | | | | | |
| | |
| | | Asset Derivatives | | | Liability Derivatives | |
| | | | |
Derivative Contracts
Not Accounted for as
Hedging Instruments | | Consolidated Statement of
Assets and Liabilities Location | | Fair Value | | | Consolidated Statement of
Assets and Liabilities Location | | Fair Value | |
| | | | |
Commodity contracts | | Variation margin on futures contracts | | $ | 2,738,432b | | | Variation margin on futures contracts | | $ | 1,536,185b | |
| | | | | | | | | | | | |
Totals | | | | $ | 31,612,453 | | | | | $ | 30,204,583 | |
| | | | | | | | | | | | |
a Purchased option contracts are included in investments in securities, at value in the Consolidated Statement of Assets and Liabilities.
b This amount reflects the cumulative appreciation (depreciation) of futures contracts and centrally cleared swap contracts as reported in the Consolidated Schedule of Investments. Only the variation margin receivable/payable at year end is separately reported within the Consolidated Statement of Assets and Liabilities. Prior variation margin movements were recorded to cash upon receipt or payment.
For the year ended May 31, 2023, the effect of derivative contracts in the Consolidated Statement of Operations was as follows:
| | | | | | | | | | | | |
| | | | |
Derivative Contracts Not Accounted for as
Hedging Instruments | | Consolidated Statement
of Operations Location | | Net
Realized
Gain (Loss)
for the Year | | | Consolidated Statement of
Operations Location | | Net Change in
Unrealized
Appreciation
(Depreciation)
for the Year | |
| | Net realized gain (loss) from: | | | | | | Net change in unrealized appreciation (depreciation) on: | | | | |
| | | | |
Interest rate contracts | | Investments | | $ | (1,020,754 | )a | | Investments | | $ | 211,345a | |
| | Written options | | | (174,033 | ) | | Written options | | | (272,240 | ) |
| | Futures contracts | | | 3,488,778 | | | Futures contracts | | | (1,084,319 | ) |
| | Swap contracts | | | (995,143 | ) | | Swap contracts | | | 320,497 | |
| | | | |
Foreign exchange contracts | | Investments | | | (104,500 | )a | | Investments | | | (131,845 | )a |
| | Written options | | | 33,041 | | | Written options | | | 8,020 | |
| | Forward exchange contracts | | | 10,928,206 | | | Forward exchange contracts | | | (3,529,820 | ) |
| | Futures contracts | | | 83,060 | | | Futures contracts | | | 98,896 | |
| | Swap contracts | | | 54,629 | | | Swap contracts | | | (196,815 | ) |
| | | | |
| Credit contracts | | Swap contracts | | | (1,477,137 | ) | | Swap contracts | | | (16,762 | ) |
| | | | |
| Equity contracts | | Investments | | | (5,197,259 | )a | | Investments | | | (133,309 | )a |
| | Written options | | | 2,413,681 | | | Written options | | | 395,355 | |
| | Futures contracts | | | (3,062,736 | ) | | Futures contracts | | | 513,317 | |
| | Swap contracts | | | 2,327,775 | | | Swap contracts | | | (6,040,165 | ) |
| | | | |
| Commodity contracts | | Written options | | | 73,745 | | | | | | | |
| | Futures contracts | | | (6,121,231 | ) | | Futures contracts | | | 438,805 | |
| | | | | | | | | | | | |
Totals | | | | $ | 1,250,122 | | | | | $ | (9,419,040 | ) |
| | | | | | | | | | | | |
a Purchased option contracts are included in net realized gain (loss) from investments and net change in unrealized appreciation (depreciation) on investments in the Consolidated Statement of Operations.
| | | | | | | | | | |
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| franklintempleton.com | | Annual Report | | | | | | | | 125 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
K2 Alternative Strategies Fund (continued)
11. Other Derivative Information (continued)
For the year ended May 31, 2023, the average month end notional amount of futures contracts and swap contracts represented $553,484,389 and $797,625,243, respectively. The average month end fair value of options was $5,445,522. The average month end contract value of forward exchange contracts was $590,931,708.
At May 31, 2023, OTC derivative assets and liabilities are as follows:
| | | | | | | | |
| |
| | | Gross Amounts of Assets
and Liabilities Presented in
the Consolidated Statement
of Assets and Liabilities | |
| | |
| | | Assetsa | | | Liabilitiesa | |
| Derivatives | | | | | | |
Forward Exchange Contracts | | $ | 7,628,648 | | | $ | 9,263,406 | |
Options Purchased | | | 274,410 | | | | — | |
Options Written | | | — | | | | 5,560 | |
Swap Contracts | | | 12,836,728 | | | | 13,778,908 | |
| | | | |
Total | | $ | 20,739,786 | | | $ | 23,047,874 | |
| | | | |
a Absent an event of default or early termination, OTC derivative assets and liabilities are presented gross and not offset in the Consolidated Statement of Assets and Liabilities.
At May 31, 2023, OTC derivative assets, which may be offset against OTC derivative liabilities and collateral received from the counterparty, are as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | |
| | | | | | Amounts Not Offset in the Consolidated Statement
of Assets and Liabilities | | | | |
| | | | | |
| | | Gross Amounts of Assets
Presented in the
Consolidated Statement
of Assets and Liabilities | | | Financial
Instruments
Available for Offset | | | Financial
Instruments
Collateral
Receiveda | | | Cash
Collateral
Receiveda | | | Net Amount (Not
less than zero) | |
| Counterparty | | | | | | | | | | | | | | | |
BNPP | | $ | 989,024 | | | $ | (853,806 | ) | | $ | — | | | $ | — | | | $ | 135,218 | |
BNYM | | | 192,184 | | | | (45,326 | ) | | | (74,340 | ) | | | — | | | | 72,518 | |
BOFA | | | 525,321 | | | | (525,321 | ) | | | — | | | | — | | | | — | |
BZWS | | | 2,229,253 | | | | (1,282,485 | ) | | | (946,768 | ) | | | — | | | | — | |
CITI | | | 1,621,293 | | | | (1,621,293 | ) | | | — | | | | — | | | | — | |
GSCO | | | 2,446,501 | | | | (839,793 | ) | | | — | | | | (1,606,708 | ) | | | — | |
HSBC | | | 202,623 | | | | (202,623 | ) | | | — | | | | — | | | | — | |
JPHQ | | | 3,083,247 | | | | (3,083,247 | ) | | | — | | | | — | | | | — | |
JPHQb | | | 1,986,047 | | | | — | | | | — | | | | — | | | | 1,986,047 | |
MSCO | | | 277,259 | | | | (277,259 | ) | | | — | | | | — | | | | — | |
MSCOb | | | — | | | | — | | | | — | | | | — | | | | — | |
MSCOc | | | 1,639,700 | | | | (1,291,334 | ) | | | — | | | | — | | | | 348,366 | |
MSCS | | | 4,417,586 | | | | (4,417,586 | ) | | | — | | | | — | | | | — | |
SEBA | | | 1,129,748 | | | | (1,129,748 | ) | | | — | | | | — | | | | — | |
| | | | |
Total | | $ | 20,739,786 | | | $ | (15,569,821 | ) | | $ | (1,021,108 | ) | | $ | (1,606,708 | ) | | $ | 2,542,149 | |
| | | | |
| | | | | | | | | | |
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FRANKLIN ALTERNATIVE STRATEGIES FUNDS
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
K2 Alternative Strategies Fund (continued)
At May 31, 2023, OTC derivative liabilities, which may be offset against OTC derivative assets and collateral pledged to the counterparty, are as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | |
| | | | | | Amounts Not Offset in the Consolidated Statement
of Assets and Liabilities | | | | |
| | | | | |
| | | Gross Amounts of Liabilities
Presented in the
Consolidated Statement of
Assets and Liabilities | | | Financial
Instruments
Available for Offset | | | Financial
Instruments
Collateral
Pledgeda | | | Cash
Collateral
Pledgeda | | | Net Amount (Not
less than zero) | |
| Counterparty | | | | | | | | | | | | | | | |
BNPP | | $ | 853,806 | | | $ | (853,806 | ) | | $ | — | | | $ | — | | | $ | — | |
BNYM | | | 45,326 | | | | (45,326 | ) | | | — | | | | — | | | | — | |
BOFA | | | 528,821 | | | | (525,321 | ) | | | — | | | | (3,500 | ) | | | — | |
BZWS | | | 1,282,485 | | | | (1,282,485 | ) | | | — | | | | — | | | | — | |
CITI | | | 1,679,652 | | | | (1,621,293 | ) | | | — | | | | (58,359 | ) | | | — | |
GSCO | | | 839,793 | | | | (839,793 | ) | | | — | | | | — | | | | — | |
HSBC | | | 389,770 | | | | (202,623 | ) | | | — | | �� | | — | | | | 187,147 | |
JPHQ | | | 3,728,942 | | | | (3,083,247 | ) | | | — | | | | (645,695 | ) | | | — | |
JPHQb | | | 3,165,866 | | | | — | | | | — | | | | — | | | | 3,165,866 | |
MSCO | | | 542,221 | | | | (277,259 | ) | | | — | | | | — | | | | 264,962 | |
MSCOb | | | 1,007,074 | | | | — | | | | — | | | | — | | | | 1,007,074 | |
MSCOc | | | 1,291,334 | | | | (1,291,334 | ) | | | — | | | | — | | | | — | |
MSCS | | | 5,671,616 | | | | (4,417,586 | ) | | | — | | | | (1,254,030 | ) | | | — | |
SEBA | | | 2,021,168 | | | | (1,129,748 | ) | | | — | | | | (891,420 | ) | | | — | |
| | | | |
Total | | $ | 23,047,874 | | | $ | (15,569,821 | ) | | $ | — | | | $ | (2,853,004 | ) | | $ | 4,625,049 | |
| | | | |
a In some instances, the collateral amounts disclosed in the table above were adjusted due to the requirement to limit the collateral amounts to avoid the effect of over collateralization. Actual collateral received and/or pledged may be more than the amounts disclosed herein.
b Represents derivatives not subject to an ISDA master agreement.
c Represents derivatives owned by the K2 Holdings Investment Corp., a wholly-owned subsidiary of the Fund. See Note 1(h).
See Notes 1(d) and 6 regarding derivative financial instruments and investment transactions, respectively.
See Abbreviations on page 130.
12. Credit Facility
The Fund, 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 2, 2024. 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 Fund shall, in addition to interest charged on any borrowings made by the Fund and other costs incurred by the Fund, pay its share of fees and expenses incurred in connection with the implementation and maintenance of the Global Credit Facility, based upon its 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 Consolidated Statement of Operations. During the year ended May 31, 2023, the Fund did not use the Global Credit Facility.
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FRANKLIN ALTERNATIVE STRATEGIES FUNDS
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
K2 Alternative Strategies Fund (continued)
13. Fair Value Measurements
The Fund follows a fair value hierarchy that distinguishes between market data obtained from independent sources (observable inputs) and the Fund’s own market assumptions (unobservable inputs). These inputs are used in determining the value of the Fund’s financial instruments and are summarized in the following fair value hierarchy:
| | • | | Level 1 – quoted prices in active markets for identical financial instruments |
| | • | | Level 2 – other significant observable inputs (including quoted prices for similar financial instruments, interest rates, prepayment speed, credit risk, etc.) |
| | • | | Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of financial instruments) |
The input levels are not necessarily an indication of the risk or liquidity associated with financial instruments at that level.
A summary of inputs used as of May 31, 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:a | | | | | | | | | | | | | | | | |
Equity Investmentsb | | $ | 224,612,696 | | | $ | 21,582,374 | | | $ | 8,566 | | | $ | 246,203,636 | |
Convertible Bonds | | | — | | | | 108,145,882 | | | | — | | | | 108,145,882 | |
Corporate Bonds and Notes | | | — | | | | 113,805,907 | | | | 31,970 | | | | 113,837,877 | |
Corporate Bonds and Notes in Reorganization | | | — | | | | 1,936,327 | | | | — | | | | 1,936,327 | |
Senior Floating Rate Interests | | | — | | | | 6,510,540 | | | | — | | | | 6,510,540 | |
Foreign Government and Agency Securities | | | — | | | | 43,327,780 | | | | — | | | | 43,327,780 | |
U.S. Government and Agency Securities | | | — | | | | 15,240,546 | | | | — | | | | 15,240,546 | |
Asset-Backed Securities and Commercial Mortgage-Backed Securities | | | — | | | | 15,487,126 | | | | 13,583 | | | | 15,500,709 | |
Options Purchased | | | 5,056,009 | | | | 148,575 | | | | –c | | | | 5,204,584 | |
Short Term Investments | | | 199,856,411 | | | | 6,139,192 | | | | — | | | | 205,995,603 | |
| | | | |
Total Investments in Securities | | $ | 429,525,116 | | | $ | 332,324,249d | | | $ | 54,119 | | | $ | 761,903,484 | |
| | | | |
Other Financial Instruments: | | | | |
Futures Contracts | | $ | 4,286,207 | | | $ | — | | | $ | — | | | $ | 4,286,207 | |
Forward Exchange Contracts | | | — | | | | 7,628,648 | | | | — | | | | 7,628,648 | |
Swap Contracts | | | — | | | | 11,023,836 | | | | — | | | | 11,023,836 | |
Unfunded Loan Commitments | | | — | | | | 2,197e | | | | 30,000e | | | | 32,197 | |
| | | | |
Total Other Financial Instruments | | $ | 4,286,207 | | | $ | 18,654,681 | | | $ | 30,000 | | | $ | 22,970,888 | |
| | | | |
|
| Liabilities: | |
Other Financial Instruments: | |
Options Written | | $ | 1,852,571 | | | $ | 2,693 | | | $ | — | | | $ | 1,855,264 | |
Securities Sold Shorta | | | 110,995,329 | | | | 18,975,408f | | | | — | | | | 129,970,737 | |
Futures Contracts | | | 4,079,054 | | | | — | | | | — | | | | 4,079,054 | |
Forward Exchange Contracts | | | — | | | | 9,263,406 | | | | — | | | | 9,263,406 | |
Swap Contracts | | | — | | | | 14,586,190 | | | | –c | | | | 14,586,190 | |
Unfunded Loan Commitments | | | — | | | | 58,840 | | | | 1,720 | | | | 60,560 | |
| | | | |
Total Other Financial Instruments | | $ | 116,926,954 | | | $ | 42,886,537 | | | $ | 1,720 | | | $ | 159,815,211 | |
| | | | |
a For detailed categories, see the accompanying Consolidated Schedule of Investments.
b Includes common stocks, exchange traded funds, convertible preferred stocks, and preferred stocks as well as other equity interests.
c Includes financial instruments determined to have no value.
d Includes foreign securities valued at $21,422,493, which were categorized as Level 2 as a result of the application of market level fair value procedures. See the Financial Instrument Valuation note for more information.
e Included in unrealized depreciation on unfunded loan commitments in the Consolidated Statement of Assets and Liabilities.
f Includes foreign securities valued at $2,045,068, which were categorized as Level 2 as a result of the application of market level fair value procedures. See the Financial Instrument Valuation note for more information.
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FRANKLIN ALTERNATIVE STRATEGIES FUNDS
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
K2 Alternative Strategies Fund (continued)
A reconciliation in which Level 3 inputs are used in determining fair value is presented when there are significant Level 3 assets and/or liabilities at the beginning and/or end of the year.
14. New Accounting Pronouncements
In March 2020, the 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 and December 2022, the FASB issued ASU No. 2021-01 and ASU No. 2022-06, with further amendments to Topic 848. The amendments in the ASUs provide optional temporary accounting recognition and financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the LIBOR and other interbank-offered based reference rates as of the end of 2021 for certain LIBOR settings and 2023 for the remainder. The ASUs are effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2024. 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 Fund has evaluated subsequent events through the issuance of the consolidated financial statements and determined that no events have occurred that require disclosure other than those already disclosed in the consolidated financial statements.
| | | | | | | | | | |
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FRANKLIN ALTERNATIVE STRATEGIES FUNDS
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
K2 Alternative Strategies Fund (continued)
Abbreviations
| | | | | | | | | | |
| Counterparty | | Currency | | Selected Portfolio |
| BNPP | | BNP Paribas | | AUD | | Australian Dollar | | ADR | | American Depositary Receipt |
| BNYM | | The Bank of New York Mellon Corp. | | BRL | | Brazilian Real | | AONIA | | Australian Interbank Offered Rate |
| BOFA | | Bank of America, NA | | CAD | | Canadian Dollar | | ARM | | Adjustable Rate Mortgage |
| BZWS | | Barclays Bank PLC | | CHF | | Swiss Franc | | BBSW | | Bank Bill Swap Rate |
| CITI | | Citigroup, NA | | CLP | | Chilean Peso | | BKBM | | Bank Bill Benchmark Rate |
| GSCO | | Goldman Sachs International | | CNY | | Chinese Yuan | | BRLCDI | | Brazil Cetip Di Interbank Deposit Rate |
| HSBC | | HSBC Bank PLC | | COP | | Colombian Peso | | CAC | | Cotation Assistee en Continu |
| JPHQ | | JP Morgan Chase Bank, NA | | CZK | | Czech Koruna | | CBOE | | Chicago Board Options Exchage |
MSCO | | Morgan Stanley & Co. LLC | | DKK | | Danish Krone | | CIBOR | | Copenhagen Interbank Offered Rate |
MSCS | | Morgan Stanley Capital Services LLC | | EUR | | Euro | | CLO | | Collateralized Loan Obligation |
SEBA | | Skandinaviska Enskilda Banken AB | | GBP | | British Pound | | CNRR007 | | China 7-Day Reverse Repo Rate |
| | | | HKD | | Hong Kong Dollar | | COLIBOR | | Colombia Overnight Interbank Rate |
| | | | HUF | | Hungarian Forint | | CZEONIA | | Czech Overnight Index Average |
| | | | IDR | | Indonesian Rupiah | | DAX | | Deutscher Aktienindex |
| | | | INR | | Indian Rupee | | DJIA | | Dow Jones Industrial Average |
| | | | JPY | | Japanese Yen | | EONIA | | Euro OverNight Index Average |
| | | | KRW | | South Korean Won | | ESTR | | Euro Short Term Rate |
| | | | MXN | | Mexican Peso | | ETF | | Exchange Traded Fund |
| | | | MYR | | Malaysian Ringgit | | EURIBOR | | Euro Interbank Offered Rate |
| | | | NOK | | Norwegian Krone | | FEDEF | | Federal Funds Effective Rate |
| | | | NZD | | New Zealand Dollar | | FHLMC | | Federal Home Loan Mortgage Corp. |
| | | | PEN | | Peruvian Nuevo Sol | | FNMA | | Federal National Mortgage Association |
| | | | PLN | | Polish Zloty | | FRN | | Floating Rate Note |
| | | | RON | | Romanian Leu | | FTSE | | Financial Times Stock Exchange |
| | | | SEK | | Swedish Krona | | HIBOR | | Hong Kong Interbank Offered Rate |
| | | | SGD | | Singapore Dollar | | JIBAR | | Johannesburg Interbank Agreed Rate |
| | | | THB | | Thai Baht | | KDR | | Korean Depositary Receipt |
| | | | TWD | | Taiwan Dollar | | KLIBOR | | Kuala Lumpur Interbank Offered Rate |
| | | | USD | | United States Dollar | | LIBOR | | London Interbank Offered Rate |
| | | | ZAR | | South African Rand | | MIBOR | | Mumbai Interbank Offered Rate |
| Index | | | | | | | | MUTSCALM | | Japan Unsecured Overnight Call Rate |
| | | | | | | | NIBOR | | Norwegian Interbank Offered Rate |
| CDX.NA.HY | | CDX North America High Yield Index | | | | | | OBFR | | Overnight Bank Funding Rate |
| | | | | | | | PIK | | Payment In-Kind |
| | | | | | | | RC | | Revolving Loan Commitment |
| | | | | | | | REIT | | Real Estate Investment Trust |
| | | | | | | | SABOR | | South African Benchmark Overnight Rate |
| | | | | | | | SARON | | Swiss Average Rate Overnight |
| | | | | | | | SIBCSORA | | Singapore Overnight Rate Average |
| | | | | | | | SOFR | | Secured Overnight Financing Rate |
| | | | | | | | SONIA | | Sterling Overnight Index Average |
| | | | | | | | SPDR | | Standard & Poor’s Depositary Receipt |
| | | | | | | | STR | | Short Term Rate |
| | | | | | | | STIBOR | | Stockholm Interbank Offered Rate |
| | | | | | | | TAIBOR | | Taiwan Interbank Offered Rate |
| | | | | | | | THOR | | Thai Overnight Repurchase Rate |
| | | | | | | | TOPIX | | Tokyo Price Index |
| | | | | | | | | | |
| | | | | | |
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FRANKLIN ALTERNATIVE STRATEGIES FUNDS
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Franklin Alternative Strategies Funds
and Shareholders of K2 Alternative Strategies Fund:
Opinion on the Financial Statements
We have audited the accompanying consolidated statement of assets and liabilities of K2 Alternative Strategies Fund (formerly, Franklin K2 Alternative Strategies Fund) (the “Fund”) (the sole Fund comprising Franklin Alternative Strategies Funds (the “Trust”)), including the consolidated schedule of investments, as of May 31, 2023, and the related consolidated statement of operations for the year then ended, the consolidated statements of changes in net assets for each of the two years in the period then ended, the consolidated financial highlights for each of the five years in the period then ended, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the consolidated financial position of the Fund (the sole Fund comprising Franklin Alternative Strategies Funds) at May 31, 2023, the consolidated results of its operations for the year then ended, the consolidated changes in its net assets for each of the two years in the period then ended and its consolidated financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of May 31, 2023, by correspondence with the custodian, brokers, and others; when replies were not received from brokers and others, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Franklin investment companies since 1987.
Boston, Massachusetts
July 25, 2023
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| franklintempleton.com | | Annual Report | | | | | | | | 131 |
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
K2 ALTERNATIVE STRATEGIES FUND
Tax Information (unaudited)
By mid-February, tax information related to a shareholder’s proportionate share of distributions paid during the preceding calendar year will be received, if applicable. Please also refer to www.franklintempleton.com for per share tax information related to any distributions paid during the preceding calendar year. Shareholders are advised to consult with their tax advisors for further information on the treatment of these amounts on their tax returns.
The following tax information for the Fund is required to be furnished to shareholders with respect to income earned and distributions paid during its fiscal year.
The Fund hereby reports the following amounts, or if subsequently determined to be different, the maximum allowable amounts, for the fiscal year ended May 31, 2023:
| | | | | | |
| | |
| | | Pursuant to: | | Amount
Reported | |
Long-Term Capital Gain Dividends | | §852(b)(3)(C) | | $ | 8,295,038 | |
Dividends Received Deduction (DRD) | | §854(b)(1)(A) | | $ | 2,174,896 | |
Qualified Dividend Income (QDI) | | §854(b)(1)(B) | | $ | 2,701,101 | |
| | | | | | | | | | |
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FRANKLIN ALTERNATIVE STRATEGIES FUNDS
Board Members and Officers
The name, year of birth and address of the officers and board members, as well as their affiliations, positions held with the Funds, principal occupations during at least the past five years and number of U.S. registered portfolios overseen in the Franklin Templeton/Legg Mason fund complex, are shown below. Generally, each board member serves until that person’s successor is elected and qualified.
Independent Board Members
| | | | | | | | |
| | | | |
Name, Year of Birth
and Address | | Position | | Length of Time
Served | | Number of Portfolios in
Fund Complex Overseen
by Board Member1 | | Other Directorships Held During
at Least the Past 5 Years |
| | | | |
Edward I. Altman, Ph.D. (1941)
One Franklin Parkway
San Mateo, CA 94403-1906 | | Trustee | | Since 2011 | | 11 | | None |
|
| Principal Occupation During at Least the Past 5 Years: |
| Max L. Heine Professor of Finance, Emeritus and Director of The Credit and Debt Markets Research Program, Salomon Center, Stern School of Business, New York University; editor and author of numerous financial publications; financial consultant; an adviser to numerous financial and publishing organizations; and formerly, Vice Director, Salomon Center, Stern School of Business, New York University. |
| | | | |
Ann Torre Bates (1958)
One Franklin Parkway
San Mateo, CA 94403-1906 | | Trustee and Chairperson | | Chairperson of the Board since 2020 and Trustee since 2011 | | 30 | | Ares Strategic Income Fund (closed-end investment company) (September 2022-present); Ares Capital Corporation (specialty finance company) (2010-present), United Natural Foods, Inc. (distributor of natural, organic and specialty foods) (2013-present); and formerly, Navient Corporation (loan management, servicing and asset recovery) (2014-2016). |
|
| Principal Occupation During at Least the Past 5 Years: |
| Director of various companies; and formerly, Executive Vice President and Chief Financial Officer, NHP Incorporated (manager of multifamily housing) (1995-1997); and Vice President and Treasurer, US Airways, Inc. (until 1995). |
| | | | |
Jan Hopkins Trachtman (1947)
One Franklin Parkway
San Mateo, CA 94403-1906 | | Trustee | | Since 2011 | | 11 | | FTAC Parnassus Acquisition Corp. (special purpose fintech acquisition company) (2021-2023); FTAC Olympus Acquisition Corp. (special purpose fintech acquisition company) (2020-2022) and FinTech Acquisition Corp. III (special purpose fintech acquisition company) (2018-2021). |
|
| Principal Occupation During at Least the Past 5 Years: |
| President and Founder, The Jan Hopkins Group (communications consulting firm); serves on Alumni Advisory Board of Knight Bagehot Fellowship; and formerly, President, Economic Club of New York (2007-2015); Anchor/Correspondent, CNN Financial News (until 2003); Managing Director and Head of Client Communications, Citigroup Private Bank (until 2005); Off-Air Reporter, ABC News’ World News Tonight; and Editor, CBS Network News. |
| | | | |
Keith E. Mitchell (1954)
One Franklin Parkway
San Mateo, CA 94403-1906 | | Trustee | | Since 2011 | | 11 | | None |
|
| Principal Occupation During at Least the Past 5 Years: |
| Director of various boards of asset management firms; and formerly, Managing Member, Mitchell, Hartley & Bechtel Advisers, LLC (formerly, Mitchell Advisers, LLC) (advisory firm) (2003-2015) and Managing Director, Putman Lovell NBF. |
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FRANKLIN ALTERNATIVE STRATEGIES FUNDS
Independent Board Members (continued)
| | | | | | | | |
| | | | |
Name, Year of Birth
and Address | | Position | | Length of Time
Served | | Number of Portfolios in
Fund Complex Overseen
by Board Member1 | | Other Directorships Held During
at Least the Past 5 Years |
| | | | |
David W. Niemiec (1949)
One Franklin Parkway
San Mateo, CA 94403-1906 | | Trustee | | Since 2015 | | 30 | | Hess Midstream LP (oil and gas midstream infrastructure) (2017-present). |
|
| Principal Occupation During at Least the Past 5 Years: |
| Advisor, Saratoga Partners (private equity fund); and formerly, Managing Director, Saratoga Partners (1998-2001) and SBC Warburg Dillon Read (investment banking) (1997-1998); Vice Chairman, Dillon, Read & Co. Inc. (investment banking) (1991-1997); and Chief Financial Officer, Dillon, Read & Co. Inc. (1982-1997). |
| | | | |
Gregory H. Williams (1943)
One Franklin Parkway
San Mateo, CA 94403-1906 | | Trustee | | Since 2015 | | 11 | | None |
|
| Principal Occupation During at Least the Past 5 Years: |
| Private investor; Consultant; and formerly, President, University of Cincinnati (2009-2012); President, The City College of New York (2001-2009); Dean, College of Law, Ohio State University (1993-2001); and Associate Vice President, Academic Affairs and Professor of Law, University of Iowa (1977-1993). |
| | | | |
Valerie M. Williams (1956)
One Franklin Parkway
San Mateo, CA 94403-1906 | | Trustee | | Since January 2023 | | 110 | | Omnicom Group, Inc. (advertising and marketing communications services) (2016-present), DTE Energy Co. (gas and electric utility) (2018-present), Devon Energy Corporation (exploration and production of oil and gas) (2021-present); and formerly, WPX Energy, Inc. (exploration and production of oil and gas) (2018-2021). |
|
| Principal Occupation During at Least the Past 5 Years: |
| Director of various companies; and formerly, Regional Assurance Managing Partner, Ernst & Young LLP (public accounting) (2005-2016) and various roles of increasing responsibility at Ernst & Young (1981-2005). |
Interested Board Members and Officers
| | | | | | | | |
| | | | |
Name, Year of Birth
and Address | | Position | | Length of Time
Served | | Number of Portfolios in
Fund Complex Overseen
by Board Member1 | | Other Directorships Held During
at Least the Past 5 Years |
| | | | |
**Gregory E. Johnson (1961)
One Franklin Parkway
San Mateo, CA 94403-1906 | | Trustee | | Since 2011 | | 129 | | None |
|
| Principal Occupation During at Least the Past 5 Years: |
| Executive Chairman, Chairman of the Board and Director, Franklin Resources, Inc.; officer and/or director or trustee, as the case may be, of some of the other subsidiaries of Franklin Resources, Inc. and of certain funds in the Franklin Templeton/Legg Mason fund complex; Vice Chairman, Investment Company Institute; and formerly, Chief Executive Officer (2013-2020) and President (1994-2015) Franklin Resources, Inc. |
| | | | |
**Jennifer M. Johnson (1964)
One Franklin Parkway
San Mateo, CA 94403-1906 | | Trustee | | Since 2015 | | 70 | | None |
|
| Principal Occupation During at Least the Past 5 Years: |
| Chief Executive Officer, President and Director, Franklin Resources, Inc.; officer and/or director or trustee, as the case may be, of some of the other subsidiaries of Franklin Resources, Inc. and of certain funds in the Franklin Templeton/Legg Mason fund complex; and formerly, Chief Operating Officer and Executive Vice President, Franklin Resources, Inc. (1994-2015); Executive Vice President of Operations and Technology, Franklin Resources, Inc. (2005-2010); and Senior Vice President, Franklin Resources, Inc. (2003-2005). |
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Interested Board Members and Officers (continued)
| | | | | | | | |
| | | | |
Name, Year of Birth
and Address | | Position | | Length of Time
Served | | Number of Portfolios in
Fund Complex Overseen
by Board Member1 | | Other Directorships Held During
at Least the Past 5 Years |
| | | | |
Ted P. Becker (1951)
280 Park Avenue
New York, NY 10017 | | Chief Compliance Officer | | Since June 2023 | | Not Applicable | | Not Applicable |
|
| Principal Occupation During at Least the Past 5 Years: |
| Vice President, Global Compliance of Franklin Templeton (since 2020); Chief Compliance Officer of Legg Mason Partners Fund Advisor, LLC (since 2006); Chief Compliance Officer of certain funds associated with Legg Mason & Co. or its affiliates (since 2006); formerly, Director of Global Compliance at Legg Mason (2006 to 2020); Managing Director of Compliance of Legg Mason & Co. (2005 to 2020). |
| | | | |
Matthew T. Hinkle (1971)
One Franklin Parkway
San Mateo, CA 94403-1906 | | Chief Executive Officer – Finance and Administration | | Since 2017 | | Not Applicable | | Not Applicable |
|
| Principal Occupation During at Least the Past 5 Years: |
Senior Vice President, Franklin Templeton Services, LLC; officer of certain funds in the Franklin Templeton/Legg Mason fund complex; and formerly, Vice President, Global Tax (2012-April 2017) and Treasurer/Assistant Treasurer, Franklin Templeton (2009-2017).
|
| | | | |
Susan Kerr (1949)
280 Park Avenue
New York, NY 10017 | | Vice President – AML Compliance | | Since 2021 | | Not Applicable | | Not Applicable |
|
| Principal Occupation During at Least the Past 5 Years: |
| Senior Compliance Analyst, Franklin Templeton; Chief Anti-Money Laundering Compliance Officer, Legg Mason & Co., or its affiliates; Anti Money Laundering Compliance Officer; Senior Compliance Officer, LMIS; and officer of certain funds in the Franklin Templeton/Legg Mason fund complex. |
| | | | |
Christopher Kings (1974)
One Franklin Parkway
San Mateo, CA 94403-1906 | | Chief Financial Officer, Chief Accounting Officer and Treasurer | | Since 2022 | | Not Applicable | | Not Applicable |
|
| Principal Occupation During at Least the Past 5 Years: |
| Treasurer, U.S. Fund Administration & Reporting; and officer of certain funds in the Franklin Templeton/Legg Mason fund complex. |
| | | | |
Alexander Y. Kymn (1973)
One Franklin Parkway
San Mateo, CA 94403-1906 | | Vice President and Secretary | | June 2023 | | Not Applicable | | Not Applicable |
|
| Principal Occupation During at Least the Past 5 Years: |
| Associate General Counsel, Franklin Templeton; officer of certain funds in the Franklin Templeton/Legg Mason fund complex; and formerly, Senior Counsel, Wells Fargo (banking) and officer of certain funds in Wells Fargo complex (2018-2019). |
| | | | |
Brooks Ritchey (1959)
300 S.E. 2nd Street
Fort Lauderdale, FL 33301 | | President and Chief Executive Officer – Investment Management | | Since 2020 | | Not Applicable | | Not Applicable |
|
| Principal Occupation During at Least the Past 5 Years: |
| Senior Managing Director and Co-Head of the Investment Research & Management, K2 Advisors and officer of certain funds in the Franklin Templeton/Legg Mason fund complex. |
We base the number of portfolios on each separate series of the U.S. registered investment companies within the Franklin Templeton fund complex. These portfolios have a common investment manager or affiliated investment managers.
**Gregory E. Johnson is considered to be an interested person of the Fund under the federal securities laws due to his position as an officer and director of Franklin Resources, Inc. (Resources), which is the parent company of the Fund’s investment manager and distributor. Jennifer M. Johnson is considered to be an interested person of the Fund under the federal securities laws due to her position as an officer and director of Resources.
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Note 1: Gregory E. Johnson and Jennifer M. Johnson are siblings.
Note 2: Officer information is current as of the date of this report. It is possible that after this date, information about officers may change.
The Sarbanes-Oxley Act of 2002 and Rules adopted by the U.S. Securities and Exchange Commission require the Fund to disclose whether the Fund’s Audit Committee includes at least one member who is an audit committee financial expert within the meaning of such Act and Rules. The Fund’s Board has determined that there is at least one such financial expert on the Audit Committee and has designated each of Ann Torre Bates and David W. Niemiec as an audit committee financial expert. The Board believes that Ms. Bates and Mr. Niemiec qualify as such an expert in view of their extensive business background and experience. Ms. Bates has served as a member of the Fund Audit Committee since 2011. She currently serves as a director of Ares Capital Corporation (2010-present) and United Natural Foods, Inc. (2013-present) and was formerly a director of Navient Corporation from 2014 to 2016, SLM Corporation from 1997 to 2014 and Allied Capital Corporation from 2003 to 2010, Executive Vice President and Chief Financial Officer of NHP Incorporated from 1995 to 1997 and Vice President and Treasurer of US Airways, Inc. until 1995. Mr. Niemiec has served as a member of the Fund Audit Committee since 2015, currently serves as an Advisor to Saratoga Partners and was formerly its Managing Director from 1998 to 2001 and serves as a director of Hess Midstream Partners LP (2017-present). Mr. Niemiec was formerly a director of Emeritus Corporation from 1999 to 2010 and OSI Pharmaceuticals, Inc. from 2006 to 2010, Managing Director of SBC Warburg Dillon Read from 1997 to 1998, and was Vice Chairman from 1991 to 1997 and Chief Financial Officer from 1982 to 1997 of Dillon, Read & Co. Inc. As a result of such background and experience, the Board believes that Ms. Bates and Mr. Niemiec have each acquired an understanding of generally accepted accounting principles and financial statements, the general application of such principles in connection with the accounting estimates, accruals and reserves, and analyzing and evaluating financial statements that present a breadth and level of complexity of accounting issues generally comparable to those of the Fund, as well as an understanding of internal controls and procedures for financial reporting and an understanding of audit committee functions. Ms. Bates and Mr. Niemiec are independent Board members as that term is defined under the applicable U.S. Securities and Exchange Commission Rules and Releases.
The Statement of Additional Information (SAI) includes additional information about the board members and is available, without charge, upon request. Shareholders may call (800) DIAL BEN/342-5236 to request the SAI.
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Shareholder Information
Board Approval of Investment Management Agreements and Sub-Advisory Agreements
FRANKLIN ALTERNATIVE STRATEGIES FUNDS
K2 Alternative Strategies Fund
(Fund)
The Board of Trustees (Board) of Franklin Alternative Strategies Funds (the Trust), including a majority of trustees that are not “interested persons” as such term is defined in section 2(a)(19) of the Investment Company Act of 1940 (hereinafter referred to as “independent trustees”), at a meeting held on May 23, 2023, unanimously approved the renewal of the Fund’s investment management agreement with K2/D&S Management Co., L.L.C. (K2 Advisors), and of each sub-advisory agreement between K2 Advisors and each of following sub-advisors (the Sub-Advisors):
ActusRayPartners Limited
Apollo Credit Management, LLC
Bardin Hill Arbitrage IC Management LP
Chilton Investment Company, Inc.
Electron Capital Partners, LLC
Graham Capital Management, L.P.
Jennison Associates LLC
Lazard Asset Management LLC
Loomis, Sayles & Company, L.P.
One River Asset Management, LLC
P. Schoenfeld Asset Management LP
Portland Hill Asset Management Limited
RBC Global Asset Management (UK) Limited (formerly, BlueBay Asset Management LLP)
RV Capital Management Private Ltd.
Prior to a meeting of all of the trustees for the purpose of considering such renewal, the independent trustees participated in two other meetings held in connection with the renewal process. Throughout the process, the independent trustees received assistance and advice from and met separately with independent counsel. The independent trustees met with and interviewed officers of K2 Advisors and certain Sub-Advisors (including portfolio managers), the transfer agent and shareholder services group and the distributor. In approving the renewal of the investment management agreement and the sub-advisory agreements for the Fund, the Board, including the independent trustees, determined that the investment management fee structure was fair and reasonable and that continuance of the agreement was in the best interests of the Fund and its shareholders.
In making the foregoing approvals, the Board considered various materials related to the investment management agreement and the sub-advisory agreements including: (1) a copy of the investment management agreement and sub-advisory agreements; (2) information describing the nature, quality and extent of services that K2 Advisors and each Sub-Advisor provided, and are expected to provide, to the Fund, and the investment management fees and sub-advisory fees payable to K2 Advisors and each Sub-Advisor; (3) reports from K2 Advisors on the continued diligence conducted on each Sub-Advisor and the reasons for recommending renewal of each of the sub-advisory agreements, including, but not limited to, each Sub-Advisor’s background, experience, personnel, operations, policies, procedures and compliance functions; and (4) a report from the Trust’s Chief Compliance Officer regarding K2 Advisors’ and each Sub-Advisor’s compliance program and capabilities, including policies and procedures in place to address potential conflicts of interest, and the diligence undertaken by the Trust’s Chief Compliance Officer with respect thereto. The Board also reviewed and considered an annual report on payments made by Franklin Templeton (FT) or the Fund to financial intermediaries, as well as a memorandum relating to third-party servicing arrangements.
The Board also took into account information furnished throughout the year at Board meetings, as well as information specifically requested and furnished for the renewal process, which culminated in the meetings referred to above for the specific purpose of considering such agreements. Information furnished throughout the year included, among others, reports on the Fund’s investment performance, expenses, portfolio composition, derivatives, asset segregation, portfolio turnover, Rule 12b-1 plan, distribution, shareholder servicing, legal and compliance matters, pricing of securities, sales and redemptions, and marketing support payments made to financial intermediaries, as well as a third-party survey of transfer agent fees charged to funds within the FT complex in comparison with those charged to other fund complexes deemed comparable. Also, related financial statements and other information about the scope and quality of services provided by K2 Advisors and its affiliates and enhancements to such services over the past year were provided. In addition, the trustees received periodic reports throughout the year and during the renewal process relating to compliance with the Fund’s investment policies and restrictions. During the renewal process, the independent trustees considered K2 Advisors’ methods of operation within the Franklin Templeton group and its activities on behalf of other clients.
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The information obtained by the trustees during the renewal process also included a special report prepared by Broadridge Financial Solutions, Inc., an independent third-party analyst that utilizes data from Lipper, Inc. (“Lipper”), comparing the Fund’s investment performance and expenses with those of other mutual funds deemed comparable to such Fund as selected by Lipper (Broadridge Section 15(c) Report). The trustees reviewed the Broadridge Section 15(c) Report and its usefulness in the renewal process with respect to matters such as comparative fees, expenses, expense ratios and performance. The Board considered K2 Advisors’ views that the peer group determined by Lipper for comparison purposes may not be an entirely appropriate representation of the Fund’s peer universe. K2 Advisors explained that the universe of funds that are managed using multi-manager, multistrategy structures, like the Fund, continues to evolve, and has presented challenges in identifying an appropriate set of peers for the Fund. It was noted by K2 Advisors that the peer group compiled by Lipper includes single-manager funds which, due to their nature and relative simplicity, have lower expense ratios and are not true peers for fee comparison purposes (“Base Expense Group”). Because some of the sponsors of funds with multi-manager strategies that K2 Advisors considers to be peers were excluded from the peer group determined by Lipper, K2 Advisors requested a second peer group including funds that K2 Advisors considers to be peer funds (“Alternate Expense Group”) for the Board’s consideration. While noting the limitations of the Broadridge Section 15(c) Report, the Board concluded that the Broadridge Section 15(c) Report was helpful in the performance of its duties and took into account the Alternate Expense Group as part of their considerations.
In addition, the trustees received a Profitability Study (Profitability Study) prepared by management discussing the profitability to FT from its overall U.S. fund operations, as well as on an individual fund-by-fund basis. Over the past year, the Board and counsel to the independent trustees continued to receive reports on management’s handling of recent regulatory inquiries and pending legal actions against K2 Advisors and its affiliates. The independent trustees were satisfied with the actions taken to date by management in response to such regulatory and legal matters. The independent trustees also received reports from the Trust’s Chief Compliance Officer on regulatory inquiries and pending legal actions against the Sub-Advisors applicable to the services provided by the Sub-Advisors to the Fund and noted that there were not any issues in this regard that should prevent the renewal of the sub-advisory agreements.
The trustees reviewed the personnel, operations, financial condition, and investment management capabilities, methodologies and resources of K2 Advisors and each Sub-Advisor, including each management team’s expertise in the management of other alternative strategies funds. As part of this review, particular attention was given to (1) the diligent risk management program of K2 Advisors and its parent, including those aspects of the program related to selecting and overseeing sub-advisors to the Fund and continual monitoring and management of cybersecurity, liquidity and counterparty credit risk, (2) each Sub-Advisor’s risk management program, and (3) derivatives and other complex instruments that are held and expected to be held by the Fund and how such instruments are used to carry out the Fund’s investment goal.
The Board also took into account, among other things, management’s efforts in establishing a global credit facility for the benefit of the Fund and other accounts managed by FT to provide a source of cash for temporary and emergency purposes or to meet unusual redemption requests as well as the strong financial position of K2 Advisors’ parent company and its commitment to the mutual fund business. The Board noted management’s continuing efforts and expenditures in establishing effective business continuity plans and developing strategies to address areas of heightened concern in the mutual fund industry, such as cybersecurity and liquidity risk management. The Board also recognized management’s commitment to facilitating Board oversight of particular areas, including derivatives and payments to intermediaries, by enhanced reporting. In addition, the Board received updates from management on the compliance of the investment manager with comprehensive rules and regulations promulgated by the SEC and the U.S. Commodity Futures Trading Commission.
In addition to the above and other matters considered by the trustees throughout the course of the year, the following discussion relates to certain primary factors relevant to the Board’s decision. This discussion of the information and factors considered by the Board (including the information and factors discussed above) is not intended to be exhaustive, but rather summarizes certain factors considered by the Board. In view of the wide variety of factors considered, the Board did not, unless otherwise noted, find it practicable to quantify or otherwise assign relative weights to the foregoing factors. In addition, individual trustees may have assigned different weights to various factors.
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NATURE, EXTENT AND QUALITY OF SERVICES. The trustees reviewed the nature, extent and quality of the services provided, and to be provided, by K2 Advisors and each Sub-Advisor. In this regard, they reviewed the Fund’s investment goal and K2 Advisors’ and each Sub-Advisor’s investment strategy and sub-strategy, and K2 Advisors’ and each Sub-Advisor’s ability to implement such investment strategy and/or sub-strategy, including, but not limited to, K2 Advisors’ and each Sub-Advisor’s trading practices, investment decision processes and reputation. The Board also considered the investment management services that the investment manager provides to the Cayman Islands-based company, which is wholly owned by the Fund (Cayman Subsidiary).
The Board noted that the Fund employs a “manager of managers” structure, whereby K2 Advisors is responsible for selecting sub-advisors (subject to Board approval), principally allocating the Fund’s assets among them, and overseeing the sub-advisors’ day-to-day management of the Fund’s assets. The Board noted the responsibilities that K2 Advisors has as the Fund’s investment manager, including (1) due diligence on the Sub-Advisors and any potential new sub-advisors to the Fund, their respective trading strategies, risk management, operations and businesses, (2) on-going oversight and monitoring of the day-to-day investment activities of Sub-Advisors and other service providers, including their respective compliance with the investment mandate and restrictions, compliance policies and procedures and federal securities laws, and K2 Advisors’ ongoing assessment of their performance, (3) portfolio construction with respect to the allocation of assets among Sub-Advisors, investment funds, cash and other investments, (4) directly managing a portion of the Fund’s assets which are not allocated to Sub-Advisors to implement the Fund’s non-traditional or “alternative” strategies, (5) risk management, (6) preparing quarterly reports to the Board, and (7) the implementation of Board directives as they relate to the Fund. The Trustees also considered the successful performance of K2 Advisors in managing the Fund and other investment products with similar investment strategies to the investment strategies of the Fund that are not subject to the Investment Company Act of 1940.
With respect to the sub-advisory services provided, and to be provided, by each Sub-Advisor, the Board noted the responsibilities that each Sub-Advisor has with respect to the portion of the Fund’s assets allocated to the Sub-Advisor by K2 Advisors (Sub-Advised Portion), including, among others,
implementing the investment strategies with respect to the Sub-Advised Portion and ensuring compliance with the investment strategies, policies and limitations of the Sub-Advised Portion. The trustees considered the successful performance of each Sub-Advisor in managing the Fund and other investment products with similar investment strategies to the investment strategies of its Sub-Advised Portion of the Fund, including, with respect to certain Sub-Advisors, mutual funds with similar investment strategies. The Board considered K2 Advisors’ rationale for recommending the continued retention of each Sub-Advisor.
The trustees reviewed the Fund’s portfolio management teams at K2 Advisors and each Sub-Advisor, including each such team’s performance, staffing, skills and compensation program. With respect to portfolio manager compensation, management assured the trustees that the Fund’s long-term performance is a significant component of incentive-based compensation for K2 Advisors’ portfolio management team and noted that a portion of a K2 Advisors’ portfolio manager’s incentive-based compensation is paid in shares of pre-designated funds from the portfolio manager’s fund management area. The trustees noted that the portfolio manager compensation program aligned the interests of the portfolio managers with that of Fund shareholders. During regular Board meetings and the aforementioned meetings of the independent trustees, the trustees considered periodic reports provided to them showing that K2 Advisors and the Sub-Advisors complied with the investment policies and restrictions of the Fund as well as other reports periodically furnished to the Board covering matters such as the compliance of portfolio managers and other management personnel with the code of ethics covering the investment management personnel, the adherence to fair value pricing procedures established by the Board and the accuracy of net asset value calculations. The Board noted the extent of the benefits provided to Fund shareholders from being part of the Franklin Templeton group of funds, including the right to exchange investments between funds (same class) without a sales charge, the ability to reinvest Fund dividends into other funds and the right to combine holdings of other funds to obtain reduced sales charges.
The trustees discussed with management various other products, portfolios and entities that are advised by K2 Advisors and each Sub-Advisor and the allocation of assets and expenses among and within them, as well as their relative fees and reasons for differences with respect thereto and any potential conflicts.
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The Board also considered a report from the Trust’s Chief Compliance Officer regarding K2 Advisors’ and each Sub-Advisor’s compliance programs and capabilities as such programs and capabilities relate to the operations of the Fund and the monitoring and testing of such program undertaken by the Trust’s Chief Compliance Officer. The Board considered the selection and due diligence process employed by K2 Advisors in selecting and deciding to retain each Sub-Advisor as a sub-advisor to the Fund, including the due diligence undertaken with respect to the Sub-Advisor’s compliance and risk management capabilities. The trustees considered K2 Advisors’ significant efforts in developing and implementing compliance procedures established in accordance with SEC and other requirements.
The Board also considered the nature, extent and quality of the services to be provided under the Fund’s other service agreements to determine that, on an overall basis, Fund shareholders were well served. In this connection, the Board also took into account transfer agent and shareholder services provided to Fund shareholders by an affiliate of K2 Advisors, noting favorable periodic reports on shareholder services conducted by independent third parties. While such considerations directly affected the trustees’ decision in renewing the Fund’s transfer agent and shareholder services agreement, the Board also considered these commitments as incidental benefits to Fund shareholders deriving from the investment management relationship.
Based on their review, the trustees were satisfied with the nature and quality of the overall services provided, and to be provided, by K2 Advisors and its affiliates and each Sub Advisor to the Fund and its shareholders and were confident in the abilities of K2 Advisors and each Sub-Advisor to implement their respective investment strategy and/or sub-strategy and to provide quality services to the Fund and its shareholders.
INVESTMENT PERFORMANCE. As the Fund commenced operations in October 2013, the trustees reviewed the investment performance of the Fund for the one-, three-, and five-year and since inception periods ended December 31, 2022.
As part of their review, they inquired of management regarding benchmark and hedging activities. Consideration was also given to performance in the context of available levels of cash, including as affected by net flows, during the periods. The trustees had meetings during the year, including the meetings referred to above held in connection with the renewal process, with the Fund’s portfolio managers to discuss performance and the management of the Fund and each Sub-Advisor.
In addition, attention in assessing performance was given to the Broadridge Section 15(c) Report. That report showed the investment performance of the Fund (Advisor Class shares) in comparison to other funds determined comparable by Lipper.
The comparable funds to the Fund, as chosen by Lipper, included all retail and institutional alternative multi-strategy funds. The Fund had total returns in the second-lowest performing quintile for the one-, three-, and five-year periods ended December 31, 2022 and total returns in the best performing quintile for the since inception period ended December 31, 2022. The trustees also compared Fund performance to other industry benchmarks, including measures of risk-adjusted performance of a fund, as part of their evaluation of investment performance. The trustees discussed with management the reasons for the relative underperformance for the one-, three- and five-year periods ended December 31, 2022. In this regard, K2 Advisors informed the Board that, following a comprehensive review during 2022 of certain sub-advisors and their relative underperformance, K2 Advisors determined that certain sub-advisors did not meet expectations and, as a result, K2 Advisors made changes to the sub-advisors providing services to the Fund and the allocations to the Sub-Advisors. While disappointed with the relative underperformance of the Fund, other than for the since inception period, the Board did not believe that any further changes with respect to the Fund were warranted at the time. The Board noted that it would continue to monitor future performance.
COMPARATIVE EXPENSES AND PROFITABILITY. The trustees considered the cost of the services provided, and to be provided, by K2 Advisors and each Sub-Advisor and the profits realized by K2 Advisors and its affiliates from their relationships with the Fund. As part of the renewal process, they explored with management the trends in expense ratios over the past three fiscal years and the reasons for any increases in the Fund’s expense ratios (or components thereof). In this regard, the trustees took into account the introduction in 2020 of breakpoints in the investment management fee schedule of the Fund, which were designed to better position the Fund for potential asset growth. In addition, and following on-going discussions with the independent trustees with respect to the investment management fees and expense ratio of the Fund, the trustees took into account the proposed reduction in the cap in the fee waiver and expense limitation arrangement from 1.95% to 1.90%, which was negotiated by the independent trustees with management. In considering the appropriateness of the management fee and other expenses charged to the Fund, the Board took
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into account various factors including investment performance and matters relating to Fund operations, including, but not limited to, the quality and experience of K2 Advisors personnel. The Board also reviewed and considered the investment management fees in light of the nature, extent and quality of the investment management services provided, and to be provided, by K2 Advisors and each Sub-Advisor, as more fully discussed above. The Board also considered the reductions negotiated by K2 Advisors in the sub-advisory fees charged by the Sub-Advisers, including the addition of breakpoints in the sub-advisory fee schedules of certain Sub-Advisors in the past few years. The Board noted that the sub-advisory fees are paid by K2 Advisors to each Sub-Advisor and are not additional fees borne by the Fund. The Board also noted that the sub-advisory fees paid, and to be paid, by K2 Advisors to each Sub-Advisor were the product of arms-length negotiations between K2 Advisors and each Sub-Advisor.
Furthermore, the Board took into account that information regarding Sub-Advisor profitability is not legally required to be provided. Accordingly, profitability information of the sub-advisors was given lesser weight than other factors. In addition, the Board considered the allocation of the investment management fee charged to the Fund between K2 Advisors and each Sub-Advisor in light of the nature, extent and quality of the investment management services provided, and to be provided, by K2 Advisors and each Sub-Advisor. As part of this discussion, the Board took into account the fee waiver and expense limitation arrangement in effect (as modified on the terms set forth above), and the amount of Fund expenses that were absorbed since inception of the Fund by K2 Advisors through such waivers and arrangements. The Board also considered the investment management services that the investment manager provides to the Cayman Subsidiary and the related fee waivers that were in place.
Consideration was also given to a comparative analysis in the Broadridge Section 15(c) Report of the investment management fee and total expense ratio of the Fund in comparison with those of a group of other funds selected by Lipper as its appropriate Lipper expense group.
Lipper expense data is based upon information taken from each fund’s most recent annual report, which reflects historical asset levels that may be quite different from those currently existing, particularly in a period of market volatility.
In reviewing comparative costs, emphasis was given to the Fund’s contractual management fee in comparison with the
contractual management fee that would have been charged by other funds within its Lipper expense group assuming they were similar in size to the Fund, as well as the actual total expenses of the Fund in comparison with those of its Lipper expense group. The Lipper contractual management fee analysis includes administrative charges as being part of the management fee, and total expenses, for comparative consistency, are shown by Lipper for Fund Advisor Class shares. The Fund’s contractual management fee rate was in the most expensive quintile of its Base Expense Group and the second-most expensive quintile of its Alternate Expense Group. The Fund’s total expenses were in the most expensive quintile of its Base Expense Group and the middle quintile of its Alternate Expense Group.
Noting (i) that the Fund’s contractual management fee and total expenses were lower than the Fund’s primary competitor, (ii) the factors and limitations with respect to the Broadridge Section 15(c) Report (including the inclusion of single-manager funds in both peer groups) and (iii) factors relating to the Fund’s operations, such as the quality and experience of K2 Advisors and the Sub-Advisors and the nature and quality of the services provided and to be provided by K2 Advisors and the Sub-Advisors, the Board found such comparative fees and expenses to be acceptable.
The trustees also reviewed the Profitability Study addressing profitability of Franklin Resources, Inc., from its overall U.S. fund business, as well as profitability to K2 Advisors and its affiliates, from providing investment management and other services to the Fund during the 12-month period ended September 30, 2022, the most recent fiscal year-end of Franklin Resources, Inc. The trustees reviewed the basis on which such reports are prepared and the cost allocation methodology utilized in the Profitability Study, it being recognized that allocation methodologies may each be reasonable while producing different results. In this respect, the Board noted that the reasonableness of the cost allocation methodologies was reviewed by independent accountants on an every other year basis.
The independent trustees met with management to discuss the Profitability Study. This included, among other things, a comparison of investment management income with investment management expenses of the Fund; comparison of underwriting revenues and expenses; the relative relationship of investment management and underwriting expenses; shareholder servicing profitability; economies of scale; and the relative contribution of the Fund to the profitability of K2 Advisors and its parent. In discussing the Profitability Study with the Board, K2 Advisors stated its belief that the costs
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FRANKLIN ALTERNATIVE STRATEGIES FUNDS
SHAREHOLDER INFORMATION
incurred in establishing the infrastructure necessary to operate the type of mutual fund operations conducted by it and its affiliates may not be fully reflected in the expenses allocated to the Fund in determining its profitability.
The Board also took into account management’s expenditures in improving shareholder services provided to the Fund, as well as the need to meet additional regulatory and compliance requirements. The trustees also considered the extent to which K2 Advisors and the Sub-Advisors may derive ancillary benefits from Fund operations, including those derived from the allocation of Fund brokerage and the use of commission dollars to pay for research and other similar services.
Based upon their consideration of all these factors, the trustees determined that the level of profits realized by K2 Advisors and its affiliates in providing services to the Fund was not excessive in view of the nature, quality and extent of services provided. In addition, the Board noted that shareholders are able to redeem their Fund shares at any time if shareholders believe that Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
ECONOMIES OF SCALE. The Board considered economies of scale realized by K2 Advisors and its affiliates and the Sub-Advisors as the Fund grows larger and the extent to which they are shared with Fund shareholders, as for example, in the level of the investment management fees charged, in the quality and efficiency of services rendered and in increased capital commitments benefiting the Fund directly or indirectly. The trustees noted that benefits of economies of scale will, depending on the fee waiver and expense limitation arrangement in effect at the time, potentially be shared with Fund shareholders due to the decline in the effective investment management fee rate as breakpoints are achieved by the Fund. The Board also considered the fee waiver and expense limitation arrangement in effect, and the amount of Fund expenses that were absorbed since inception of the Fund by K2 Advisors through such waiver and arrangement. The Board concluded that economies of scale were deemed not to be a significant factor at that time in light of, among other matters, the fee waiver and expense limitation arrangement in effect.
Liquidity Risk Management Program
Each of the Franklin Templeton and Legg Mason 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 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
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FRANKLIN ALTERNATIVE STRATEGIES FUNDS
SHAREHOLDER INFORMATION
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 2023, the Program Administrator provided a written report to the Board addressing the adequacy and effectiveness of the program for the year ended December 31, 2022. 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 Fund’s investment manager has established Proxy Voting Policies and Procedures (Policies) that the Fund uses to determine how to vote proxies relating to portfolio securities. Shareholders may view the Fund’s complete Policies online at franklintempleton.com. Alternatively, shareholders may request copies of the Policies free of charge by calling the Proxy Group collect at (954) 527-7678 or by sending a written request to: Franklin Templeton Companies, LLC, 300 S.E. 2nd Street, Fort Lauderdale, FL 33301, Attention: Proxy Group. Copies of the Fund’s proxy voting records are also made available online at franklintempleton.com and posted on the U.S. Securities and Exchange Commission’s website at sec.gov and reflect the most recent 12-month period ended June 30.
Quarterly Consolidated Schedule of Investments
The Trust, on behalf of the Fund, 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.
Householding of Reports and Prospectuses
You will receive, or receive notice of the availability of, the Fund’s financial reports every six months. In addition, you will receive an annual updated summary prospectus (detail prospectus available upon request). To reduce Fund expenses, we try to identify related shareholders in a household and send only one copy of the financial reports (to the extent received by mail) and summary prospectus. This process, called “householding,” will continue indefinitely unless you instruct us otherwise. If you prefer not to have these documents householded, please call us at (800) 632-2301. At any time you may view current prospectuses/summary prospectuses and financial reports on our website. If you choose, you may receive these documents through electronic delivery.
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| franklintempleton.com | | Annual Report | | | | | | | | 143 |
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.
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 | | Annual Report and Shareholder Letter K2 Alternative Strategies Fund | | |
| | | |
| | Investment Manager | | Distributor | | Shareholder Services |
| | K2/D&S Management Co., L.L.C. | | Franklin Distributors, LLC (800) DIAL BEN®/342-5236 franklintempleton.com | | (800) 632-2301 |
| © 2023 Franklin Templeton Investments. All rights reserved. | | | | 068 A 07/23 |
Item 2. Code of Ethics.
(a) The Registrant has adopted a code of ethics that applies to its principal executive officers and principal financial and accounting officer.
(c) N/A
(d) N/A
(f) Pursuant to Item 13(a)(1), the Registrant is attaching as an exhibit a copy of its code of ethics that applies to its principal executive officers and principal financial and accounting officer.
Item 3. Audit Committee Financial Expert.
(a)(1) The Registrant has an audit committee financial expert serving on its audit committee.
(2) The audit committee financial experts are Ann Torre Bates and David W. Niemiec and they are “independent” as defined under the relevant Securities and Exchange Commission Rules and Releases.
Item 4. Principal Accountant Fees and Services.
Audit Fees
(a) The aggregate fees paid to the principal accountant for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or for services that are normally provided by the principal accountant in connection with statutory and regulatory filings or engagements were $189,474 for the fiscal year ended May 31, 2023 and $215,144 for the fiscal year ended May 31, 2022.
Audit-Related Fees
(b) There were no fees paid to the principal accountant for assurance and related services rendered by the principal accountant to the registrant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of Item 4.
There were no fees paid to the principal accountant for assurance and related services rendered by the principal accountant to the registrant’s investment adviser and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the registrant that are reasonably related to the performance of the audit of their financial statements.
Tax Fees
(c) The aggregate fees paid to the principal accountant for professional services rendered by the principal accountant to the registrant for tax compliance, tax advice and tax planning were $0 for the fiscal year ended May 31, 2023 and $2,846 for the fiscal year ended May 31, 2022. The services for which these fees were paid included identifying passive foreign investment companies to manage exposure to tax liabilities.
The aggregate fees paid to the principal accountant for professional services rendered by the principal accountant to the registrant’s investment adviser and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the registrant for tax compliance, tax advice and tax planning were $0 for the fiscal year ended May 31, 2023 and $100,000 for the fiscal year ended May 31, 2022. The services for which these fees were paid included technical tax consultation for withholding tax report to foreign governments, application of local country tax laws and tax advice.
All Other Fees
(d) There were no fees paid to the principal accountant for products and services rendered by the principal accountant to the registrant other than the services reported in paragraphs (a)-(c) of Item 4.
There were no fees paid to the principal accountant for products and services rendered by the principal accountant to the registrant’s investment adviser and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the registrant other than the services reported in paragraphs (a)-(c) of Item 4.
(e) (1) The registrant’s audit committee is directly responsible for approving the services to be provided by the auditors, including:
(i) pre-approval of all audit and audit related services;
(ii) pre-approval of all non-audit related services to be provided to the Fund by the auditors;
(iii) pre-approval of all non-audit related services to be provided to the registrant by the auditors to the registrant’s investment adviser or to any entity that controls, is controlled by or is under common control with the registrant’s investment adviser and that provides ongoing services to the registrant where the non-audit services relate directly to the operations or financial reporting of the registrant; and
(iv) establishment by the audit committee, if deemed necessary or appropriate, as an alternative to committee pre-approval of services to be provided by the auditors, as required by paragraphs (ii) and (iii) above, of policies and procedures to permit such services to be pre-approved by other means, such as through establishment of guidelines or by action of a designated member or members of the committee; provided the policies and procedures are detailed as to the particular service and the committee is informed of each service and such policies and procedures do not include delegation of audit committee responsibilities, as contemplated under the Securities Exchange Act of 1934, to management; subject, in the case of (ii) through (iv), to any waivers, exceptions or exemptions that may be available under applicable law or rules.
| (e)(2) | None of the services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. |
(f) No disclosures are required by this Item 4(f).
(g) The aggregate non-audit fees paid to the principal accountant for services rendered by the principal accountant to the registrant and the registrant���s investment adviser and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the registrant were $0 for the fiscal year ended May 31, 2023 and $102,846 for the fiscal year ended May 31, 2022.
(h) The registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
Item 5. Audit Committee of Listed Registrants.
Not Applicable.
Item 6. Investments.
Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees that would require disclosure herein.
Item 11. Controls and Procedures.
| | (a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
| | (b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
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| (Registrant) Franklin Alternative Strategies Funds | | |
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| By (Signature and Title) | | | | /s/ Matthew T. Hinkle |
| | | | Matthew T. Hinkle, Chief Executive Officer – Finance and |
| | | | Administration |
Date July 26, 2023
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| | | | | | |
| By (Signature and Title) | | | | /s/ Matthew T. Hinkle |
| | | | Matthew T. Hinkle, Chief Executive Officer – Finance and |
| | | | Administration |
Date July 26, 2023
| | |
| By (Signature and Title) | | /s/ Christopher Kings |
| | Christopher Kings, Treasurer, Chief Financial Officer, and Chief |
| | Accounting Officer |
Date July 26, 2023
