# For Professional Client Use Only. Not for distribution to Retail Clients.
Base Currency for Fund	USD
Total Net Assets (USD)	28 million

## Past performance does not predict future returns.
Performance Since Inception in Share Class Currency (%)
Fund Inception Date	30.09.2019
Franklin K2 Ellington Structured Credit UCITS Fund EO PF (acc) USD
HFRX RV: Fixed Income Asset Backed Index
Number of Issuers Long (excl. cash)
Number of Issuers Short (excl. cash)
36	Bloomberg U.S. Aggregate Index
120
7
Benchmark		HFRX RV: Fixed Income Asset Backed Index, Bloomberg U.S. Aggregate
Index
Investment Style	Alternative
Fund Domicile	Luxembourg
Fund Type	UCITS
Subscription	Daily
Redemption	
Daily (Upon 5 Days’ Notice)
Morningstar Category™	Other Bond
Summary of Investment Objective
The Fund’s investment objective is to achieve total return over a full market cycle through a combination of current income, capital preservation and capital appreciation.
Fund Management
Mark Tecotzky: United States Gregory Valli: United States
Portfolio Exposure (% of Total)
Gross Exposure	105.92
100
80
60 10/19	04/20	10/20	04/21	10/21	04/22	10/22	01/23
| Discrete Annual Performance in Share Cl | ass Cu | rrenc | y (%) |  |
| --- | --- | --- | --- | --- |
|  | 01/22 | 01/21 | 01/20 | 01/19  01/18  01/17  01/16  01/15  01/14 | 01/13 |
|  | 01/23 | 01/22 | 01/21 | 01/20  01/19  01/18  01/17  01/16  01/15 | 01/14 |
| EO PF (acc) USD | 0.19 | 3.70 | -1.87 | N/A	N/A	N/A	N/A	N/A	N/A | N/A |
| HFRX RV: Fixed Income Asset Backed Index in USD | -3.61 | 7.92 | -15.34 | N/A	N/A	N/A	N/A	N/A	N/A | N/A |
| Bloomberg U.S. Aggregate Index in USD | -8.36 | -2.97 | 4.72 | N/A	N/A	N/A	N/A	N/A	N/A | N/A |
| HFRX RV: Fixed Income Asset Backed Index in EUR | -0.50 | 16.96 | -22.78 | N/A	N/A	N/A	N/A	N/A	N/A | N/A |
| Bloomberg U.S. Aggregate Index in EUR | -5.41 | 5.16 | -4.48 | N/A	N/A	N/A	N/A	N/A	N/A | N/A |

Performance in Share Class Currency (%)
Cumulative	Annualised
| Net Exposure | 51.49 |  |  |  |  |  |  |  | Since | Since |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Long Exposure | 78.71 |  |  | 1 Mth | 6 Mths | YTD | 1 Yr | 3 Yrs | Incept | 	3 Yrs	Incept |
| Short Exposure | -27.21 |  | EO PF (acc) USD | 1.37 | 2.87 | 1.37 | 0.19 | 1.96 | 3.90 | 0.65	1.15 |
|  |  |  |  |  |  |  |  |  |  |  |
|  |  |  | HFRX RV: Fixed Income Asset Backed Index in USD | 1.21 | -0.40 | 1.21 | -3.61 | -12.58 | -10.54 | -4.38	-3.28 |
|  |  |  | Bloomberg U.S. Aggregate Index in USD | 3.08 | -2.37 | 3.08 | -8.36 | -6.88 | -4.92 | -2.35	-1.50 |
|  |  |  | HFRX RV: Fixed Income Asset Backed Index in EUR | -0.55 | -6.49 | -0.55 | -0.50 | -10.79 | -10.20 | -3.74	-3.17 |
|  |  |  | Bloomberg U.S. Aggregate Index in EUR | 1.29 | -8.34 | 1.29 | -5.41 | -4.98 | -4.56 | -1.69	-1.39 |

| Calendar Year Performance in Share Class Currency (%) |  |
| --- | --- |
|  | 2022 | 2021 | 2020 |
| EO PF (acc) USD | -0.87 | 4.45 | -2.27 |
| HFRX RV: Fixed Income Asset Backed Index in USD | -5.00 | 8.41 | -15.75 |
| Bloomberg U.S. Aggregate Index in USD | -13.01 | -1.54 | 7.51 |
| HFRX RV: Fixed Income Asset Backed Index in EUR | 1.23 | 16.65 | -22.71 |
| Bloomberg U.S. Aggregate Index in EUR | -7.31 | 5.93 | -1.37 |

The fund’s returns may increase or decrease as a result of changes to foreign exchange rates.
The value of shares in the fund and income received from it can go down as well as up, and investors may not get back the full amount invested. All performance data shown is in the currency stated, include reinvested dividends and are net of management fees. Sales charges and other commissions, taxes and other relevant costs paid by the investor are not included in the calculations. The fund offers other share classes subject to different fees and expenses, which will affect their performance.
Fund Measures
Value at Risk (VaR)	-2.30%
Standard Deviation (3 Yrs)	10.16%
Sharpe Ratio (3 Yrs)	-0.02
Alpha (3 Yrs)	0.87%
Beta (3 Yrs)	0.15
R-Squared (3 Yrs)	0.69%
Correlation (3 Yrs)	0.08
% Maximum Drawdown (3 Yrs)	-16.29%
Drawdown Period: 01/20-03/20
Share Class Information
Fees	Dividends	Fund Identifiers	
|  | Max. Annual | Last Paid |  |
| --- | --- | --- | --- |
| Share Class | Incept Date | NAV | TER (%)	Charge (%) | Frequency Last Paid Date	Amount | Bloomberg ID | ISIN |

 EO PF (acc) USD	30.09.2019	USD 10.39	0.95		0.65		N/A	N/A	N/A	 FREEOPF LX	LU2039786343 
The Performance Fee is 10% a year of any returns the Fund achieves above an applicable High Water Mark. Please see the “Performance Fees” disclosure in the Important Information section. The charges are the fees the fund charges to investors to cover the costs of running the Fund. Additional costs, including transaction fees, will also be incurred. These costs are paid out by the Fund, which will impact on the overall return of the Fund.
Fund charges will be incurred in multiple currencies, meaning that payments may increase or decrease as a result of currency exchange fluctuations.
| Tel | Fax | E-Mail | Web |
| --- | --- | --- | --- |
| +352 46 66 67 1 | +352 46 66 76 | lucs@franklintempleton.com | www.franklintempleton.lu |

Franklin K2 Ellington Structured Credit UCITS Fund	
31 January 2023

Translation (ENFR, 2023-01-31):
# Réservé aux clients professionnels. Non destiné aux clients particuliers.
Devise de référence du compartiment
USD

## La performance passée ne permet pas de prédire les rendements futurs.
Performance sur 3 ans en devise de la part (%)
Actif net total (USD)	28 millions
Date de création	30.09.2019
Franklin K2 Ellington Structured Credit UCITS Fund EO PF (acc) USD
Bloomberg U.S. Aggregate Index
HFRX RV: Fixed Income Asset Backed Index
Nombre d'émetteurs, positions longues (hors liquidités)
Nombre d'émetteurs, positions courtes (hors liquidités)
36	
120
7
Indice de référence		HFRX RV: Fixed Income Asset Backed Index, Bloomberg U.S. Aggregate
Index
Domicile du fonds	Luxembourg Type de fonds		UCITS
Souscription	Quotidiennement
Rachat	
Quotidienne sur préavis de 5 jours
Catégorie Morningstar™	Autre obligation
Résumé des objectifs d'investissement
100
80
60 01/20	07/20	01/21	07/21	01/22	07/22	01/23
Performances annuelles glissantes en devise de la part (%)
01/22  01/21  01/20  01/19  01/18  01/17  01/16  01/15  01/14  01/13
01/23  01/22  01/21  01/20  01/19  01/18  01/17  01/16  01/15  01/14
EO PF (acc) USD	0,19  3,70 -1,87	N/A	N/A	N/A	N/A	N/A	N/A	N/A
L’objectif d’investissement du Fonds est de générer un rendement total sur un cycle complet de marché grâce à une combinaison de revenus courants, de protection du capital et de gains en capital.
| Équipe de gestion |  |
| --- | --- |
| Mark Tecotzky: USA Gregory Valli: USA |  |
| Exposition du portefeuille (% du total) |  |
| Exposition Brute | 105,92 |
| Exposition Nette | 51,49 |
| Position acheteuse | 78,71 |
| Position vendeuse | -27,21 |

HFRX RV: Fixed Income Asset Backed Index	-3,61 7,92 -15,34	N/A	N/A	N/A	N/A	N/A	N/A	N/A en USD
Bloomberg U.S. Aggregate Index en USD	-8,36 -2,97  4,72	N/A	N/A	N/A	N/A	N/A	N/A	N/A
Performance en devise de la part (%)
Cumulée
|  | 1 mois | 3 mois | YTD | 1 an | 3 ans | Depuis création |
| --- | --- | --- | --- | --- | --- | --- |
| EO PF (acc) USD | 1,37 | 2,77 | 1,37 | 0,19 | 1,96 | 3,90 |
| HFRX RV: Fixed Income Asset Backed Index en USD | 1,21 | 1,07 | 1,21 | -3,61 | -12,58 | -10,54 |
| Bloomberg U.S. Aggregate Index en USD | 3,08 | 6,39 | 3,08 | -8,36 | -6,88 | -4,92 |

| Performance par année civile en devise de la part (%) |  |
| --- | --- |
|  | 2022 | 2021 | 2020 |
| EO PF (acc) USD | -0,87 | 4,45 | -2,27 |
| HFRX RV: Fixed Income Asset Backed Index en USD | -5,00 | 8,41 | -15,75 |
| Bloomberg U.S. Aggregate Index en USD | -13,01 | -1,54 | 7,51 |

Le rendement du fonds peut augmenter ou baisser sous l’effet des fluctuations de taux de change.
Le cours des actions du compartiment, ainsi que les revenus afférents, peuvent fluctuer à la hausse comme à la baisse, et il est possible que les investisseurs ne puissent pas récupérer l'intégralité des montants investis. Toutes les performances sont exprimées dans la devise du compartiment, incluent les dividendes réinvestis et sont nettes de frais de gestion. Les frais d'acquisition et autres commissions, taxes et divers frais à la charge de l'investisseur ne sont pas inclus. Le compartiment offre d'autres catégories d'actions sujettes à d'autres frais et dépenses, qui auront un impact sur leur performance.
| Statistiques sur le compart | iment |
| --- | --- |
| Valeur à risque (VAR) | -2.30% |
| Ecart type (3 ans) | 10,16% |
| Ratio de Sharpe (3 ans) | -0,02 |
| Alpha (3 ans) | 0,87% |
| Beta (3 ans) | 0,15 |
| R² (3 ans) | 0,69% |
| Corrélation (3 ans) | 0,08 |
| % de recul maximal (3 ans) Période de recul: 01/20-03/20 | -16,29% |

Informations sur la part
Frais	Dividendes	Identifiants du compartiment	
|  | Droits | Frais de |  | Date du | Dernier |  |
| --- | --- | --- | --- | --- | --- | --- |
| Date de |  |  | d’entrée | gestion max |  | dernier | dividende |  |  |
| Part	création | VL | TER (%) | (max) (%) | (annuels) (%) | Fréquence | versement | versé | Bloomberg ID | ISIN |

 EO PF (acc) USD	30.09.2019	10,39 USD	0,95 	N/A	0,65		N/A	N/A	N/A	 FREEOPF LX LU2039786343
La Commission de performance s'établit à 15% par an de tout rendement que le Fonds réalise, soumis au principe du High Water Mark. Veuillez consulter les informations relatives aux
« Commissions de performance » dans la section Informations importantes du prospectus.
Les frais désignent les frais facturés aux investisseurs par le fonds pour couvrir les coûts d’exploitation du Fonds. Des frais supplémentaires, notamment des frais de transaction, seront également supportés. Ces frais seront acquittés par le Fonds, ce qui aura une incidence sur le rendement global du Fonds.
Les frais du Fonds seront supportés dans différentes devises, ce qui signifie que les montants acquittés peuvent augmenter ou diminuer en fonction des fluctuations de change.
Adresse	Téléphone	Site Internet
14 boulevard de la Madeleine - 75008 Paris 01 40 73 86 00	www.franklintempleton.fr
Franklin K2 Ellington Structured Credit UCITS Fund	
31 janvier 2023
Composition du compartiment
| Exposition aux	 Position secteurs—Total	 (% du total) | Position vendeuse (% du total) | Exposition brute (% du total) | Exposition nette (% du total) |
| --- | --- | --- | --- |
| Titre adossé à des prêts	33,37 aux entreprises (CLO) | N/A | 33,37 | 33,37 |
| Collateralized Mortgage	28,36 Obligation | N/A | 28,36 | 28,36 |
| Titres adossés à des	12,94 créances hypothécaires | N/A | 12,94 | 12,94 |
| Titres adossés à des	3,52 actifs | N/A | 3,52 | 3,52 |
| Principal Only Securities	0,12 | N/A | 0,12 | 0,12 |
| Autres	0,39 | -5,19 | 5,58 | -4,80 |
| Interest Rate Swap	N/A | -6,64 | 6,64 | -6,64 |
| Dérivés de change	N/A | -15,39 | 15,39 | -15,39 |