Form NPORT-P - Monthly Portfolio Investments Report on Form N-PORT (Public)
August 26 2024 - 11:22AM
Edgar (US Regulatory)
Schedule of Investments (unaudited)
June 30, 2024
Franklin Short Duration U.S. Government ETF
(Percentages shown based on Fund net assets)
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Collateralized Mortgage Obligations(a) — 44.7%
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF57 A (30 Day Average SOFR + 0.565%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, K043 A2
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, K053 A2
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, K-F112 AS (30 Day Average SOFR + 0.230%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF129 AS (30 Day Average SOFR + 0.250%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF130 AS (30 Day Average SOFR + 0.290%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF132 AS (30 Day Average SOFR + 0.390%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF135 AS (30 Day Average SOFR + 0.370%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF137 AS (30 Day Average SOFR + 0.450%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF138 AS (30 Day Average SOFR + 0.480%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF139 AS (30 Day Average SOFR + 0.540%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF160 AS (30 Day Average SOFR + 0.700%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF30 A (30 Day Average SOFR + 0.484%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF34 A (30 Day Average SOFR + 0.474%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF38 A (30 Day Average SOFR + 0.444%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF40 A (30 Day Average SOFR + 0.454%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF41 A (30 Day Average SOFR + 0.414%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF42 A (30 Day Average SOFR + 0.364%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF43 A (30 Day Average SOFR + 0.354%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF44 A (30 Day Average SOFR + 0.304%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF45 A (30 Day Average SOFR + 0.324%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF46 A (30 Day Average SOFR + 0.334%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF47 A (30 Day Average SOFR + 0.344%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF48 A (30 Day Average SOFR + 0.404%)
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See Notes to Schedule of Investments.
Franklin Short Duration U.S. Government ETF 2024 Quarterly Report
Schedule of Investments (unaudited) (cont’d)
June 30, 2024
Franklin Short Duration U.S. Government ETF
(Percentages shown based on Fund net assets)
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Collateralized Mortgage Obligations(a) — continued
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF51 A (30 Day Average SOFR + 0.514%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF56 A (30 Day Average SOFR + 0.674%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF58 A (30 Day Average SOFR + 0.614%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF59 A (30 Day Average SOFR + 0.654%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF60 A (30 Day Average SOFR + 0.604%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF61 A (30 Day Average SOFR + 0.644%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF62 A (30 Day Average SOFR + 0.594%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF63 A (30 Day Average SOFR + 0.554%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF64 A (30 Day Average SOFR + 0.554%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF65 A (30 Day Average SOFR + 0.634%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF67 A (30 Day Average SOFR + 0.634%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF68 A (30 Day Average SOFR + 0.604%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF70 A (30 Day Average SOFR + 0.634%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF72 A (30 Day Average SOFR + 0.614%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF75 AL (30 Day Average SOFR + 0.624%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF77 AL (30 Day Average SOFR + 0.814%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF78 AL (30 Day Average SOFR + 0.914%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF79 AL (30 Day Average SOFR + 0.584%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF80 AL (30 Day Average SOFR + 0.554%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF81 AL (30 Day Average SOFR + 0.474%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF82 AL (30 Day Average SOFR + 0.484%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF83 AL (30 Day Average SOFR + 0.474%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF84 AL (30 Day Average SOFR + 0.414%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF85 AL (30 Day Average SOFR + 0.414%)
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See Notes to Schedule of Investments.
Franklin Short Duration U.S. Government ETF 2024 Quarterly Report
Franklin Short Duration U.S. Government ETF
(Percentages shown based on Fund net assets)
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Collateralized Mortgage Obligations(a) — continued
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF86 AL (30 Day Average SOFR + 0.404%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF87 AL (30 Day Average SOFR + 0.464%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF88 AL (30 Day Average SOFR + 0.444%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF89 AL (30 Day Average SOFR + 0.434%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF94 AL (30 Day Average SOFR + 0.414%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF96 AL (30 Day Average SOFR + 0.374%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF98 AL (30 Day Average SOFR + 0.284%)
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Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF99 AS (30 Day Average SOFR + 0.200%)
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Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3736 FN (30 Day Average
SOFR + 0.564%)
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Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4952 PD, PAC
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Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5009 BH
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Federal National Mortgage Association (FNMA) ACES, 2020-M42 A1
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Federal National Mortgage Association (FNMA) REMIC, 2011-96 FA (30 Day
Average SOFR + 0.564%)
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Federal National Mortgage Association (FNMA) REMIC, 2013-3 BQ, PAC
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Federal National Mortgage Association (FNMA) REMIC, 2016-62 FH (30 Day
Average SOFR + 0.514%)
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Federal National Mortgage Association (FNMA) REMIC, 2016-75 FC (30 Day
Average SOFR + 0.514%)
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Federal National Mortgage Association (FNMA) REMIC, 2017-20 JA, PAC
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Federal National Mortgage Association (FNMA) REMIC, 2018-70 HF (30 Day
Average SOFR + 0.464%)
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Federal National Mortgage Association (FNMA) REMIC, 2019-47 FB (30 Day
Average SOFR + 0.514%)
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Federal National Mortgage Association (FNMA) REMIC, 2019-38 CF (30 Day
Average SOFR + 0.565%)
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Government National Mortgage Association (GNMA), 2007-20 FM (1 mo. Term
SOFR + 0.414%)
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Government National Mortgage Association (GNMA), 2010-12 FD (1 mo. Term SOFR
+ 0.714%)
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Government National Mortgage Association (GNMA), 2011-80 FC (1 mo. Term SOFR
+ 0.444%)
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Total Collateralized Mortgage Obligations (Cost — $67,962,265)
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Mortgage-Backed Securities — 27.6%
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Federal Home Loan Mortgage Corp. (FHLMC)
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Federal Home Loan Mortgage Corp. (FHLMC)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.347%)
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See Notes to Schedule of Investments.
Franklin Short Duration U.S. Government ETF 2024 Quarterly Report
Schedule of Investments (unaudited) (cont’d)
June 30, 2024
Franklin Short Duration U.S. Government ETF
(Percentages shown based on Fund net assets)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.475%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.520%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.558%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.621%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.625%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.638%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.645%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.647%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.652%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.660%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.663%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.733%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.740%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.746%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.750%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.750%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.761%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.769%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.774%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.780%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.801%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.817%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.826%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.841%)
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See Notes to Schedule of Investments.
Franklin Short Duration U.S. Government ETF 2024 Quarterly Report
Franklin Short Duration U.S. Government ETF
(Percentages shown based on Fund net assets)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.848%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.850%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.861%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.861%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.863%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.872%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.875%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.882%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.958%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.980%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 2.027%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 1.695%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 1.975%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 1.975%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.219%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.225%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.225%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.225%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.237%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.238%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.245%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.245%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.248%)
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See Notes to Schedule of Investments.
Franklin Short Duration U.S. Government ETF 2024 Quarterly Report
Schedule of Investments (unaudited) (cont’d)
June 30, 2024
Franklin Short Duration U.S. Government ETF
(Percentages shown based on Fund net assets)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.250%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.250%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.250%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.250%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.250%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.250%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.250%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.251%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.252%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.252%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.265%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.266%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.315%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.315%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.339%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.353%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.353%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.357%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.375%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.409%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.500%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.764%)
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Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.833%)
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Federal Home Loan Mortgage Corp. (FHLMC) (6 mo. FTSE USD IBOR Consumer Cash
Fallbacks + 2.336%)
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See Notes to Schedule of Investments.
Franklin Short Duration U.S. Government ETF 2024 Quarterly Report
Franklin Short Duration U.S. Government ETF
(Percentages shown based on Fund net assets)
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Federal National Mortgage Association (FNMA)
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Federal National Mortgage Association (FNMA)
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Federal National Mortgage Association (FNMA)
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Federal National Mortgage Association (FNMA)
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Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.784%)
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Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.336%)
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Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.344%)
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Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.359%)
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Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.365%)
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|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.434%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.445%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.450%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.515%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.538%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.543%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.553%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.565%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.595%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.605%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.617%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.620%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.623%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.623%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.625%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.625%)
|
|
|
|
|
See Notes to Schedule of Investments.
Franklin Short Duration U.S. Government ETF 2024 Quarterly Report
Schedule of Investments (unaudited) (cont’d)
June 30, 2024
Franklin Short Duration U.S. Government ETF
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.631%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.637%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.643%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.643%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.644%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.650%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.650%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.657%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.665%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.665%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.669%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.676%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.690%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.691%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.701%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.703%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.706%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.709%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.715%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.718%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.720%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.723%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.729%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.730%)
|
|
|
|
|
See Notes to Schedule of Investments.
Franklin Short Duration U.S. Government ETF 2024 Quarterly Report
Franklin Short Duration U.S. Government ETF
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.739%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.750%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.750%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.750%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.765%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.771%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.797%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.810%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.811%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.820%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.832%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.838%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.844%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.856%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.870%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.978%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 2.377%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 1.869%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 1.999%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.002%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.046%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.075%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.076%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.091%)
|
|
|
|
|
See Notes to Schedule of Investments.
Franklin Short Duration U.S. Government ETF 2024 Quarterly Report
Schedule of Investments (unaudited) (cont’d)
June 30, 2024
Franklin Short Duration U.S. Government ETF
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.135%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.142%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.155%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.162%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.163%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.167%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.182%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.185%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.188%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.193%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.193%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.193%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.204%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.207%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.210%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.219%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.222%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.223%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.230%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.236%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.241%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.243%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.249%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.262%)
|
|
|
|
|
See Notes to Schedule of Investments.
Franklin Short Duration U.S. Government ETF 2024 Quarterly Report
Franklin Short Duration U.S. Government ETF
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.273%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.281%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.282%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.290%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.290%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.303%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.320%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.323%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.478%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.486%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.515%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 3.014%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 0.845%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 0.926%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.169%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.355%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.375%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.375%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.412%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.430%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.490%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.494%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.495%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.498%)
|
|
|
|
|
See Notes to Schedule of Investments.
Franklin Short Duration U.S. Government ETF 2024 Quarterly Report
Schedule of Investments (unaudited) (cont’d)
June 30, 2024
Franklin Short Duration U.S. Government ETF
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.507%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.510%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.518%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.550%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.550%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.550%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.550%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.565%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.565%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.570%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.570%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.600%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.680%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.745%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.770%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 2.175%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (Enterprise 11th District COFI
Replacement Index + 1.254%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (Enterprise 11th District COFI
Replacement Index + 1.254%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (Enterprise 11th District COFI
Replacement Index + 1.695%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (Federal Reserve U.S. 12 mo.
Cumulative Avg 1 Year CMT + 1.400%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (Federal Reserve U.S. 12 mo.
Cumulative Avg 1 Year CMT + 1.664%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (Federal Reserve U.S. 12 mo.
Cumulative Avg 1 Year CMT + 1.668%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (Federal Reserve U.S. 12 mo.
Cumulative Avg 1 Year CMT + 1.831%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (Federal Reserve U.S. 12 mo.
Cumulative Avg 1 Year CMT + 1.851%)
|
|
|
|
|
See Notes to Schedule of Investments.
Franklin Short Duration U.S. Government ETF 2024 Quarterly Report
Franklin Short Duration U.S. Government ETF
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
Federal National Mortgage Association (FNMA) (Federal Reserve U.S. 12 mo.
Cumulative Avg 1 Year CMT + 1.879%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (Federal Reserve U.S. 12 mo.
Cumulative Avg 1 Year CMT + 1.894%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (Federal Reserve U.S. 12 mo.
Cumulative Avg 1 Year CMT + 1.903%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (Federal Reserve U.S. 12 mo.
Cumulative Avg 1 Year CMT + 1.917%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (Federal Reserve U.S. 12 mo.
Cumulative Avg 1 Year CMT + 1.940%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (Federal Reserve U.S. 12 mo.
Cumulative Avg 1 Year CMT + 1.988%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (Federal Reserve U.S. 12 mo.
Cumulative Avg 1 Year CMT + 2.003%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (Federal Reserve U.S. 12 mo.
Cumulative Avg 1 Year CMT + 2.058%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (Federal Reserve U.S. 12 mo.
Cumulative Avg 1 Year CMT + 2.177%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (Federal Reserve U.S. 12 mo.
Cumulative Avg 1 Year CMT + 2.229%)
|
|
|
|
|
Federal National Mortgage Association (FNMA) (Federal Reserve U.S. 12 mo.
Cumulative Avg 1 Year CMT + 2.247%)
|
|
|
|
|
|
|
|
Government National Mortgage Association (GNMA) II
|
|
|
|
|
|
Total Mortgage-Backed Securities (Cost — $41,548,242)
|
|
U.S. Government & Agency Obligations — 23.1%
|
U.S. Government Agencies — 1.3%
|
Export-Import Bank of the United States, Secured Notes
|
|
|
|
|
Export-Import Bank of the United States, Senior Secured Notes
|
|
|
|
|
United States International Development Finance Corp.
|
|
|
|
|
Total U.S. Government Agencies
|
|
U.S. Government Obligations — 21.8%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total U.S. Government Obligations
|
|
|
Total U.S. Government & Agency Obligations (Cost — $34,578,047)
|
|
Corporate Bonds & Notes — 1.0%
|
|
Oil, Gas & Consumable Fuels — 0.7%
|
Petroleos Mexicanos, Senior Notes
|
|
|
|
|
Reliance Industries Ltd., Senior Notes
|
|
|
|
|
Reliance Industries Ltd., Senior Notes
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
Franklin Short Duration U.S. Government ETF 2024 Quarterly Report
Schedule of Investments (unaudited) (cont’d)
June 30, 2024
Franklin Short Duration U.S. Government ETF
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
Financial Services — 0.3%
|
KE Export Leasing 2013-A LLC, Senior Notes (3 mo. Term SOFR + 0.492%)
|
|
|
|
|
MSN 41079 and 41084 Ltd., Senior Notes
|
|
|
|
|
Ulani MSN 37894, Senior Notes
|
|
|
|
|
|
|
|
Total Corporate Bonds & Notes (Cost — $1,555,894)
|
|
Total Investments before Short-Term Investments (Cost — $145,644,448)
|
|
|
|
|
|
|
|
Short-Term Investments — 3.4%
|
Institutional Fiduciary Trust, Money Market Portfolio (Cost — $5,130,056)
|
|
|
|
|
Total Investments — 99.8% (Cost — $150,774,504)
|
|
Other Assets in Excess of Liabilities — 0.2%
|
|
Total Net Assets — 100.0%
|
|
|
Collateralized mortgage obligations are secured by an underlying pool of mortgages
or mortgage pass-through certificates that are structured to direct
payments on underlying collateral to different series or classes of the obligations.
The interest rate may change positively or inversely in relation to one or
more interest rates, financial indices or other financial indicators and may be subject
to an upper and/or lower limit.
|
|
Variable rate security. Interest rate disclosed is as of the most recent information
available. Certain variable rate securities are not based on a published
reference rate and spread but are determined by the issuer or agent and are based
on current market conditions. These securities do not indicate a
reference rate and spread in their description above.
|
|
This security is traded on a to-be-announced (“TBA”) basis. At June 30, 2024, the Fund held TBA securities with a total cost of $9,354,805.
|
|
In this instance, as defined in the Investment Company Act of 1940, and “Affiliated Company” represents Fund ownership of at least 5% of the outstanding
voting securities of an issuer. At June 30, 2024, the total market value of investments
in Affiliated Companies was $5,130,056 and the cost was
$5,130,056 (Note 2).
|
Abbreviation(s) used in this schedule:
|
|
|
Alternative Credit Enhancement Securities
|
|
|
Constant Maturity Treasury
|
|
|
|
|
|
Planned Amortization Class
|
|
|
Real Estate Mortgage Investment Conduit
|
|
|
Secured Overnight Financing Rate
|
|
|
|
At June 30, 2024, the Fund had the following open futures contracts:
|
|
|
|
|
Unrealized
Appreciation
(Depreciation)
|
|
|
|
|
|
|
U.S. Treasury 2-Year Notes
|
|
|
|
|
|
U.S. Treasury 5-Year Notes
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury 10-Year Notes
|
|
|
|
|
|
U.S. Treasury Long-Term Bonds
|
|
|
|
|
|
U.S. Treasury Ultra 10-Year Notes
|
|
|
|
|
|
|
|
|
|
|
|
Net unrealized appreciation on open futures contracts
|
|
See Notes to Schedule of Investments.
Franklin Short Duration U.S. Government ETF 2024 Quarterly Report
Franklin Short Duration U.S. Government ETF
This Schedule of Investments is unaudited and is intended to provide information about the Fund’s investments as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.
See Notes to Schedule of Investments.
Franklin Short Duration U.S. Government ETF 2024 Quarterly Report
Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
Franklin Short Duration U.S. Government ETF (the “Fund”) is a separate diversified investment series of Franklin ETF Trust (the “Trust”). The Trust, a Delaware statutory trust, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
The Fund is an actively managed exchange-traded fund (“ETF”). ETFs are funds that trade like other publicly-traded securities. Unlike shares of a mutual fund, which can be bought from and redeemed by the issuing
fund by all shareholders at a price based on net asset value (“NAV”), shares of the Fund may be directly purchased from and redeemed by the Fund at NAV solely by certain large institutional investors who have entered into agreements with the Fund’s distributor (“Authorized Participants”). Also unlike shares of a mutual fund, shares of the Fund are listed on a national securities exchange and trade in the secondary market at market prices that change throughout the day.
Shares of the Fund are listed and traded at market prices on NASDAQ. The market price for the Fund’s shares may be different from the Fund’s NAV. The Fund issues and redeems shares at NAV only in blocks of a specified number of shares or multiples thereof (“Creation Units”). Only Authorized Participants may purchase or redeem Creation Units directly with the Fund at NAV. Creation Units are issued and redeemed generally in-kind for a basket
of securities and/or cash. Except when aggregated in Creation Units, shares of the Fund are not redeemable by the Fund. Shareholders
who are not Authorized Participants may not redeem shares directly from the Fund at NAV.
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”). The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S.
generally accepted accounting principles (“GAAP”), including, but not limited to, ASC 946.
(a) Investment valuation. The valuations for fixed income securities (which may include, but are not limited
to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed
securities) and certain derivative instruments are typically the prices supplied by independent third party
pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies.
The independent third party pricing services typically use inputs that are observable such as issuer details, interest
rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments
in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. Futures contracts
are valued daily at the settlement price established by the board of trade or exchange on which they are traded. When
the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency
exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for
a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined
by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently
been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are
not readily available, such as when the value of a security has been significantly affected by events after the close of the
exchange or market on which the security is principally traded, but before the Fund calculates its net asset value,
the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Trustees.
Pursuant to policies adopted by the Board of Trustees, the Fund’s manager has been designated as the valuation designee and is responsible for the oversight of the daily valuation process. The Fund’s manager is assisted by the Global Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Fund’s manager and the Board of Trustees. When determining the reliability of third party pricing information for investments
owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the
daily change in prices and reviews transactions among market participants.
The Valuation Committee will consider pricing methodologies it deems relevant and
appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to,
multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or
a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation
Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of
possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect
to the security; the existence of merger
Franklin Short Duration U.S. Government ETF 2024 Quarterly Report
proposals or tender offers affecting the security; the price and extent of public
trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.
For each portfolio security that has been fair valued pursuant to the policies adopted
by the Board of Trustees, the fair value price is compared against the last available and next available market quotations.
The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to
the Board of Trustees quarterly.
The Fund uses valuation techniques to measure fair value that are consistent with
the market approach and/or income approach, depending on the type of security and the particular circumstance. The market
approach uses prices and other relevant information generated by market transactions involving identical or comparable
securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques
used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels
listed below:
•
Level 1 — unadjusted quoted prices in active markets for identical investments
•
Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
•
Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodologies used to value securities are not necessarily an indication
of the risk associated with investing in those securities.
The following is a summary of the inputs used in valuing the Fund’s assets and liabilities carried at fair value:
|
|
|
Other Significant
Observable Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
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|
|
|
|
|
Collateralized Mortgage Obligations
|
|
|
|
|
Mortgage-Backed Securities
|
|
|
|
|
U.S. Government & Agency Obligations
|
|
|
|
|
|
|
|
|
|
Total Long-Term Investments
|
|
|
|
|
|
|
|
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|
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Other Financial Instruments:
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Significant
Observable Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
|
Other Financial Instruments:
|
|
|
|
|
|
|
|
|
|
|
See Schedule of Investments for additional detailed categorizations.
|
|
Reflects the unrealized appreciation (depreciation) of the instruments.
|
Franklin Short Duration U.S. Government ETF 2024 Quarterly Report
Notes to Schedule of Investments (unaudited) (cont’d)
2. Transactions with affiliated company
As defined in the 1940 Act, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the
Fund. The following company was considered an affiliated company for all or some portion of the period ended June
30, 2024. The following transactions were effected in such company for the period ended June 30, 2024.
|
Affiliate
Value at
March 31,
2024
|
|
|
|
|
|
|
Institutional Fiduciary
Trust, Money Market
Portfolio
|
|
|
|
|
|
|
|
|
Net Increase
(Decrease) in
Unrealized
Appreciation
(Depreciation)
|
Affiliate
Value at
June 30,
2024
|
Institutional Fiduciary Trust,
Money Market Portfolio
|
|
|
|
|
Franklin Short Duration U.S. Government ETF 2024 Quarterly Report
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