# EDGAR Filing Document

**Accession Number:** 0000872625
**File Stem:** 0002071691-26-008639
**Filing Date:** 2026-4
**Character Count:** 88123
**Document Hash:** f5e03d29ae712ccbd524a808f887e147
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-008639.hdr.sgml**: 20260423

**ACCESSION NUMBER**: 0002071691-26-008639

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260423

**DATE AS OF CHANGE**: 20260423

**PERIOD START**: 20260831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FRANKLIN STRATEGIC SERIES
- **CENTRAL INDEX KEY:** 0000872625

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** FL
- **FISCAL YEAR END:** 0430

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-06243
- **FILM NUMBER:** 26887718

**BUSINESS ADDRESS:**
- **STREET 1:** ONE FRANKLIN PARKWAY
- **CITY:** SAN MATEO
- **STATE:** CA
- **ZIP:** 94403-1906
- **BUSINESS PHONE:** 650-570-3000

**MAIL ADDRESS:**
- **STREET 1:** ONE FRANKLIN PARKWAY
- **CITY:** SAN MATEO
- **STATE:** CA
- **ZIP:** 94403-1906

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FRANKLIN CALIFORNIA 250 GROWTH FUND
- **DATE OF NAME CHANGE:** 19911216

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FRANKLIN CALIFORNIA 250 GROWTH INDEX FUND
- **DATE OF NAME CHANGE:** 19910917

## Series and Classes Contracts Data

### Franklin Templeton SMACS: Series I (Series ID: S000065651)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000212376 | Advisor Class | FGTIX           |

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** Franklin Strategic Series

- **b. Investment Company Act file number:** 811-06243

- **c. CIK number of Registrant:** 0000872625

- **d. LEI of Registrant:** 549300NDWC0J6DXVSX36

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** One Franklin Parkway

  - **City:** San Mateo

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 94403-1906

  - **Telephone number:** 650-312-2000

**Item A.2. Information about the Series.**

- **a. Name of Series:** Franklin Templeton SMACS Series I

- **b. EDGAR series identifier (if any):** S000065651

- **c. LEI of Series:** 5493003KSFL8D4N0NQ52

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2026-08-31

- **b. Date as of which information is reported:** 2026-02-28

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $788997503.65

**Total Liabilities:** $4546851.13

**Net Assets:** $784450652.52

**Delayed Delivery Securities:** $9922500.00

**Currency Risk Metrics (dv01):**

- 

**Credit Spread Risk - Investment Grade (dv01):**

- **3-Month:** 0.00000000 | **1-Year:** -273.80000000 | **5-Year:** -1639.77000000 | **10-Year:** -2225.26000000 | **30-Year:** -34461.87000000

**Credit Spread Risk - Non-Investment Grade (dv01):**

- **3-Month:** -4.51000000 | **1-Year:** -15469.45000000 | **5-Year:** -113156.15000000 | **10-Year:** -51826.58000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000212376 | 0.85%                | 1.32%                | 1.06%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $716760.75               | $1321100.58                                |
| Month 2  | $-190050.90              | $4553820.53                                |
| Month 3  | $1027515.87              | $2895824.37                                |

**Designated Index Information**

- **Index Name:** Custom Blend

- **Index Identifier:** HB28471

### Schedule of Portfolio Investments

| Name                                                                        | Title                                                                                             | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| APLD ComputeCo LLC                                                          | APLD ComputeCo LLC                                                                                | CUSIP: 00202DAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3676337.00   | 0.47%             | 2030-12-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| American Airlines, Inc. / AAdvantage Loyalty IP Ltd.                        | American Airlines, Inc. / AAdvantage Loyalty IP Ltd.                                              | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     83333 | PA      | $83499.01     | 0.01%             | 2026-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust                   | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                         | CUSIP: 00774MBH7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    200000 | PA      | $205820.04    | 0.03%             | 2034-01-19      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Alcoa Nederland Holding BV                                                  | Alcoa Nederland Holding BV                                                                        | CUSIP: 013822AG6<br>LEI: 5493000UL1QLQLT1VQ42 | Long             | DBT              | CORP              | NL        |    750000 | PA      | $738092.33    | 0.09%             | 2029-03-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                        | American Tower Corp.                                                                              | CUSIP: 03027XBW9<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49307.69     | 0.01%             | 2032-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| ArcelorMittal SA                                                            | ArcelorMittal SA                                                                                  | CUSIP: 03938LBF0<br>LEI: 2EULGUTUI56JI9SAL165 | Long             | DBT              | CORP              | LU        |     50000 | PA      | $56761.94     | 0.01%             | 2032-11-29      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Ardagh Group SA                                                             | Ardagh Group SA                                                                                   | CUSIP: 03969UAA4<br>LEI: 6354006L1NWUUOPYX274 | Long             | DBT              | CORP              | LU        |   6000000 | PA      | $5820000.00   | 0.74%             | 2030-12-01      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc | Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance plc                       | CUSIP: 03969YAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $955291.10    | 0.12%             | 2029-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ashtead Capital, Inc.                                                       | Ashtead Capital, Inc.                                                                             | CUSIP: 045054AR4<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |    200000 | PA      | $213500.97    | 0.03%             | 2033-10-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Asurion LLC and Asurion Co-Issuer, Inc.                                     | Asurion LLC and Asurion Co-Issuer, Inc.                                                           | CUSIP: 045941AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4000000 | PA      | $4204672.00   | 0.54%             | 2032-12-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Asurion LLC and Asurion Co-Issuer, Inc.                                     | Asurion LLC and Asurion Co-Issuer, Inc.                                                           | CUSIP: 045941AB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3983146.64   | 0.51%             | 2034-02-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                                           | BAT Capital Corp.                                                                                 | CUSIP: 054989AB4<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     50000 | PA      | $55630.03     | 0.01%             | 2033-08-02      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                       | Bank of America Corp.                                                                             | CUSIP: 060505104<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EC               | CORP              | US        |     45000 | NS      | $2242350.00   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America Corp.                                                       | Bank of America Corp.                                                                             | CUSIP: 06051GMB2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     50000 | PA      | $51243.01     | 0.01%             | 2035-08-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                       | Bank of America Corp.                                                                             | CUSIP: 06055HAK9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $4118208.56   | 0.52%             | 2030-07-26      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                                | Barclays plc                                                                                      | CUSIP: 06738ECH6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $224672.26    | 0.03%             | 2034-06-27      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                                | Barclays plc                                                                                      | CUSIP: 06738EDC6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   2000000 | PA      | $2124420.00   | 0.27%             | 2035-03-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Beach Acquisition Bidco LLC                                                 | Beach Acquisition Bidco LLC                                                                       | CUSIP: 07337JAC1<br>LEI: 254900F2FNX3GBTB6202 | Long             | DBT              | CORP              | US        |  13175607 | PA      | $14568634.15  | 1.86%             | 2033-07-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| CCO Holdings LLC / CCO Holdings Capital Corp.                               | CCO Holdings LLC / CCO Holdings Capital Corp.                                                     | CUSIP: 1248EPBT9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1538000 | PA      | $1540109.06   | 0.20%             | 2027-05-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CCO Holdings LLC / CCO Holdings Capital Corp.                               | CCO Holdings LLC / CCO Holdings Capital Corp.                                                     | CUSIP: 1248EPBX0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7500000 | PA      | $7488404.25   | 0.95%             | 2028-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CCO Holdings LLC / CCO Holdings Capital Corp.                               | CCO Holdings LLC / CCO Holdings Capital Corp.                                                     | CUSIP: 1248EPCS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  11000000 | PA      | $11153481.57  | 1.42%             | 2029-09-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| CCO Holdings LLC / CCO Holdings Capital Corp.                               | CCO Holdings LLC / CCO Holdings Capital Corp.                                                     | CUSIP: 1248EPCU5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  18000000 | PA      | $18417617.82  | 2.35%             | 2033-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CHS/Community Health Systems, Inc.                                          | CHS/Community Health Systems, Inc.                                                                | CUSIP: 12543DBJ8<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |  15000000 | PA      | $14504805.00  | 1.85%             | 2029-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CHS/Community Health Systems, Inc.                                          | CHS/Community Health Systems, Inc.                                                                | CUSIP: 12543DBL3<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |  30000000 | PA      | $26554218.60  | 3.39%             | 2030-04-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| CHS/Community Health Systems, Inc.                                          | CHS/Community Health Systems, Inc.                                                                | CUSIP: 12543DBN9<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |  12800000 | PA      | $13887692.80  | 1.77%             | 2032-01-15      | Fixed         | 10.88%                | No            |                  2 | On Loan: No      |
| CHS/Community Health Systems, Inc.                                          | CHS/Community Health Systems, Inc.                                                                | CUSIP: 12543DBQ2<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $10550690.00  | 1.34%             | 2034-01-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                            | CVS Health Corp.                                                                                  | CUSIP: 126650EG1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2601875.00   | 0.33%             | 2054-12-10      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                            | CVS Health Corp.                                                                                  | CUSIP: 126650EH9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5262045.00   | 0.67%             | 2055-03-10      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Caesars Entertainment, Inc.                                                 | Caesars Entertainment, Inc.                                                                       | CUSIP: 12769GAB6<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |   4500000 | PA      | $4615893.00   | 0.59%             | 2030-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Caesars Entertainment, Inc.                                                 | Caesars Entertainment, Inc.                                                                       | CUSIP: 12769GAD2<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |   8000000 | PA      | $7826931.44   | 1.00%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Calumet Specialty Products Partners LP / Calumet Finance Corp.              | Calumet Specialty Products Partners LP / Calumet Finance Corp.                                    | CUSIP: 131477AW1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3132585.00   | 0.40%             | 2028-07-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Calumet Specialty Products Partners LP / Calumet Finance Corp.              | Calumet Specialty Products Partners LP / Calumet Finance Corp.                                    | CUSIP: 131477AX9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3075000.00   | 0.39%             | 2029-07-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Calumet Specialty Products Partners LP / Calumet Finance Corp.              | Calumet Specialty Products Partners LP / Calumet Finance Corp.                                    | CUSIP: 131477BA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4000000 | PA      | $4264160.00   | 0.54%             | 2031-02-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Carnival Corp.                                                              | Carnival Corp.                                                                                    | CUSIP: 143658BX9<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |   8500000 | PA      | $8804861.00   | 1.12%             | 2033-02-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                                    | Celanese US Holdings LLC                                                                          | CUSIP: 15089QAP9<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2110224.00   | 0.27%             | 2032-07-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                                    | Celanese US Holdings LLC                                                                          | CUSIP: 15089QAX2<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1066989.00   | 0.14%             | 2030-11-15      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                                    | Celanese US Holdings LLC                                                                          | CUSIP: 15089QAY0<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3762783.50   | 0.48%             | 2033-11-15      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| Cheniere Corpus Christi Holdings LLC                                        | Cheniere Corpus Christi Holdings LLC                                                              | CUSIP: 16412XAJ4<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |    100000 | PA      | $98655.42     | 0.01%             | 2029-11-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Cipher Compute LLC                                                          | Cipher Compute LLC                                                                                | CUSIP: 17253NAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3652579.00   | 0.47%             | 2030-11-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                             | Citigroup, Inc., Series GG                                                                        | CUSIP: 17327CBC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5129775.00   | 0.65%             | 2030-08-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Cleveland-Cliffs, Inc.                                                      | Cleveland-Cliffs, Inc.                                                                            | CUSIP: 185899AR2<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |   8000000 | PA      | $8216536.96   | 1.05%             | 2033-05-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Cleveland-Cliffs, Inc.                                                      | Cleveland-Cliffs, Inc.                                                                            | CUSIP: 18589GAA3<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |   2250000 | PA      | $2310617.63   | 0.29%             | 2034-01-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Cloud Software Group, Inc.                                                  | Cloud Software Group, Inc.                                                                        | CUSIP: 18912UAA0<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |   6000000 | PA      | $5882064.72   | 0.75%             | 2029-09-30      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Clydesdale Acquisition Holdings, Inc.                                       | Clydesdale Acquisition Holdings, Inc.                                                             | CUSIP: 18972EAD7<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2520838.98   | 0.32%             | 2032-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Connect Holding II LLC                                                      | Connect Holding II LLC                                                                            | CUSIP: 20753PAD3<br>LEI: 254900LCX7S2QHYUOI31 | Long             | DBT              | CORP              | US        |   5500000 | PA      | $5324946.55   | 0.68%             | 2031-04-03      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| CoreWeave, Inc.                                                             | CoreWeave, Inc.                                                                                   | CUSIP: 21873SAB4<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |   7500000 | PA      | $7353673.50   | 0.94%             | 2030-06-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| DaVita, Inc.                                                                | DaVita, Inc.                                                                                      | CUSIP: 23918KAT5<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |   6000000 | PA      | $5610616.86   | 0.72%             | 2031-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| DaVita, Inc.                                                                | DaVita, Inc.                                                                                      | CUSIP: 23918KAW8<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3119133.00   | 0.40%             | 2032-09-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| DaVita, Inc.                                                                | DaVita, Inc.                                                                                      | CUSIP: 23918KAY4<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |    500000 | PA      | $519496.50    | 0.07%             | 2033-07-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| RR Donnelley & Sons Co.                                                     | RR Donnelley & Sons Co.                                                                           | CUSIP: 257867BJ9<br>LEI: SU4X0P4WWRGOQDTSV032 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2578497.50   | 0.33%             | 2029-08-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Dornoch Debt Merger Sub, Inc.                                               | Dornoch Debt Merger Sub, Inc.                                                                     | CUSIP: 25830JAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4521073.00   | 0.58%             | 2029-10-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| EMRLD Borrower LP / Emerald Co-Issuer, Inc.                                 | EMRLD Borrower LP / Emerald Co-Issuer, Inc.                                                       | CUSIP: 29103CAA6<br>LEI: 5493000GJYE7GAQCUC61 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2072490.00   | 0.26%             | 2030-12-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                          | Energy Transfer LP                                                                                | CUSIP: 29273VAU4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     50000 | PA      | $55392.33     | 0.01%             | 2033-12-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Endo Finance Holdings LP                                                    | Endo Finance Holdings LP                                                                          | CUSIP: 29281RAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2126856.00   | 0.27%             | 2031-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fortescue Treasury Pty. Ltd.                                                | Fortescue Treasury Pty. Ltd.                                                                      | CUSIP: 30251GBC0<br>LEI: 549300EFD6S2NFE9D745 | Long             | DBT              | CORP              | AU        |    800000 | PA      | $776155.50    | 0.10%             | 2031-04-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fortescue Treasury Pty. Ltd.                                                | Fortescue Treasury Pty. Ltd.                                                                      | CUSIP: 30251GBE6<br>LEI: 549300EFD6S2NFE9D745 | Long             | DBT              | CORP              | AU        |   6000000 | PA      | $6289453.74   | 0.80%             | 2032-04-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                  | FHLMC Pool, 30 Year                                                                               | CUSIP: 3132DWG80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1464852 | PA      | $1479543.73   | 0.19%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                  | FHLMC Pool, 30 Year                                                                               | CUSIP: 3132DWHH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2098774 | PA      | $2167644.59   | 0.28%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                  | FHLMC Pool, 30 Year                                                                               | CUSIP: 3132DWHT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5197531 | PA      | $5303550.74   | 0.68%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                  | FHLMC Pool, 30 Year                                                                               | CUSIP: 3132DWJR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    705993 | PA      | $719803.98    | 0.09%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                  | FHLMC Pool, 30 Year                                                                               | CUSIP: 3132DWMX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4608424 | PA      | $4636328.77   | 0.59%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                  | FHLMC Pool, 30 Year                                                                               | CUSIP: 3132DWMY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2120362 | PA      | $2156986.11   | 0.27%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                  | FHLMC Pool, 30 Year                                                                               | CUSIP: 3132DWNG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10147784 | PA      | $10208969.99  | 1.30%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                  | FHLMC Pool, 30 Year                                                                               | CUSIP: 3132DWNJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9361975 | PA      | $9523206.50   | 1.21%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                  | FHLMC Pool, 30 Year                                                                               | CUSIP: 3132DWNK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3739093 | PA      | $3803296.92   | 0.48%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                  | FHLMC Pool, 30 Year                                                                               | CUSIP: 3132DWNX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3396625 | PA      | $3454775.41   | 0.44%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA, 30 Year                                                                                     | CUSIP: 3140XPBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4419549 | PA      | $4460927.77   | 0.57%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA, 30 Year                                                                                     | CUSIP: 31418ER77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1454725 | PA      | $1465875.37   | 0.19%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA, 30 Year                                                                                     | CUSIP: 31418FED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3355485 | PA      | $3413443.61   | 0.44%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA, 30 Year                                                                                     | CUSIP: 31418FNK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5253008 | PA      | $5391625.54   | 0.69%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA, 30 Year                                                                                     | CUSIP: 31418FQ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4840908 | PA      | $4922657.42   | 0.63%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA, 30 Year                                                                                     | CUSIP: 31418FR82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4895140 | PA      | $4979177.75   | 0.63%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA, 30 Year                                                                                     | CUSIP: 31418FTB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4940533 | PA      | $5025099.92   | 0.64%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                  | FHLMC Pool, 30 Year                                                                               | CUSIP: 3142J6BU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6275009 | PA      | $6439125.05   | 0.82%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc.       | Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc.                             | CUSIP: 31556TAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  12000000 | PA      | $11328177.60  | 1.44%             | 2030-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fifth Third Bancorp                                                         | Fifth Third Bancorp                                                                               | CUSIP: 316773DK3<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |     50000 | PA      | $52584.45     | 0.01%             | 2029-07-27      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                                   | Ford Motor Credit Co. LLC                                                                         | CUSIP: 345397D42<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3240260.49   | 0.41%             | 2030-06-10      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA II, Single-family, 30 Year                                                                   | CUSIP: 3618N53Y3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10698392 | PA      | $10870617.43  | 1.39%             | 2055-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA II, Single-family, 30 Year                                                                   | CUSIP: 3618N56K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5887621 | PA      | $6027451.15   | 0.77%             | 2056-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA II, Single-family, 30 Year                                                                   | CUSIP: 3618N5MQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8090910 | PA      | $8206230.23   | 1.05%             | 2055-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA II, Single-family, 30 Year                                                                   | CUSIP: 3618N5PJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3576425 | PA      | $3626561.98   | 0.46%             | 2055-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA II, Single-family, 30 Year                                                                   | CUSIP: 3618N5TN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5901907 | PA      | $5985618.89   | 0.76%             | 2055-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA II, Single-family, 30 Year                                                                   | CUSIP: 3618N5TP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7832790 | PA      | $7999799.74   | 1.02%             | 2055-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA II, Single-family, 30 Year                                                                   | CUSIP: 3618N5XQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21762878 | PA      | $22077940.11  | 2.81%             | 2055-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Genmab A/S / Genmab Finance LLC                                             | Genmab A/S / Genmab Finance LLC                                                                   | CUSIP: 37230JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |   2750000 | PA      | $2855855.75   | 0.36%             | 2032-12-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Genmab A/S / Genmab Finance LLC                                             | Genmab A/S / Genmab Finance LLC                                                                   | CUSIP: 37230JAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | DK        |   1250000 | PA      | $1327138.75   | 0.17%             | 2033-12-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                             | Goldman Sachs Group, Inc. (The)                                                                   | CUSIP: 38141GC28<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2095676.00   | 0.27%             | 2030-02-10      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| HP, Inc.                                                                    | HP, Inc.                                                                                          | CUSIP: 40434LAN5<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | DBT              | CORP              | US        |     80000 | PA      | $82230.04     | 0.01%             | 2033-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Herc Holdings, Inc.                                                         | Herc Holdings, Inc.                                                                               | CUSIP: 42704LAF1<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2097084.10   | 0.27%             | 2030-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Hewlett Packard Enterprise Co.                                              | Hewlett Packard Enterprise Co.                                                                    | CUSIP: 42824CBV0<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49567.67     | 0.01%             | 2034-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Hilcorp Energy I LP / Hilcorp Finance Co.                                   | Hilcorp Energy I LP / Hilcorp Finance Co.                                                         | CUSIP: 431318AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $988031.30    | 0.13%             | 2030-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Hilcorp Energy I LP / Hilcorp Finance Co.                                   | Hilcorp Energy I LP / Hilcorp Finance Co.                                                         | CUSIP: 431318BG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7000000 | PA      | $6937539.00   | 0.88%             | 2035-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Franklin Institutional U.S. Government Money Market Fund                    | Franklin Institutional U.S. Government Money Market Fund                                          | CUSIP: 457756500<br>LEI: 549300M4TP89K77LG374 | Long             | STIV             | RF                | US        |   7445091 | NS      | $7445091.39   | 0.95%             |  |  |  | No            |                  1 | On Loan: No      |
| JBS NV / JBS USA Foods Group Holdings, Inc. / JBS USA Food Co. Holdings     | JBS NV / JBS USA Foods Group Holdings, Inc. / JBS USA Food Co. Holdings                           | CUSIP: 46590XAY2<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     50000 | PA      | $52612.05     | 0.01%             | 2033-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JetBlue Airways Corp. / JetBlue Loyalty LP                                  | JetBlue Airways Corp. / JetBlue Loyalty LP                                                        | CUSIP: 476920AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4500000 | PA      | $4577178.65   | 0.58%             | 2031-09-20      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| Kedrion SpA                                                                 | Kedrion SpA                                                                                       | CUSIP: 49272YAB9<br>LEI: 81560047FA58E1BEDF67 | Long             | DBT              | CORP              | IT        |   1000000 | PA      | $973964.57    | 0.12%             | 2029-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Lowe's Cos., Inc.                                                           | Lowe's Cos., Inc.                                                                                 | CUSIP: 548661EL7<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     60000 | PA      | $61953.23     | 0.01%             | 2033-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Macquarie Airfinance Holdings Ltd.                                          | Macquarie Airfinance Holdings Ltd.                                                                | CUSIP: 55609NAC2<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |     50000 | PA      | $52739.95     | 0.01%             | 2029-03-26      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Matador Resources Co.                                                       | Matador Resources Co.                                                                             | CUSIP: 576485AG1<br>LEI: 549300CI3Q2UUK5R4G79 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $4087182.60   | 0.52%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Mauser Packaging Solutions Holding Co.                                      | Mauser Packaging Solutions Holding Co.                                                            | CUSIP: 57763RAE7<br>LEI: 549300DNGHXL0OMHW304 | Long             | DBT              | CORP              | US        |   5500000 | PA      | $5633512.50   | 0.72%             | 2030-04-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Mauser Packaging Solutions Holding Co.                                      | Mauser Packaging Solutions Holding Co.                                                            | CUSIP: 57763RAF4<br>LEI: 549300DNGHXL0OMHW304 | Long             | DBT              | CORP              | US        |  12000000 | PA      | $11835223.20  | 1.51%             | 2030-04-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| McAfee Corp.                                                                | McAfee Corp.                                                                                      | CUSIP: 579063AB4<br>LEI: 2549009UKR8UEZYVCR93 | Long             | DBT              | CORP              | US        |   6000000 | PA      | $4916367.00   | 0.63%             | 2030-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Micron Technology, Inc.                                                     | Micron Technology, Inc.                                                                           | CUSIP: 595112BZ5<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    200000 | PA      | $215460.35    | 0.03%             | 2033-02-09      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Stagwell Global LLC                                                         | Stagwell Global LLC                                                                               | CUSIP: 59565JAA9<br>LEI: 984500904E015Z0C1F82 | Long             | DBT              | CORP              | US        |    200000 | PA      | $184541.14    | 0.02%             | 2029-08-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Millrose Properties, Inc.                                                   | Millrose Properties, Inc.                                                                         | CUSIP: 601137AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2566250.00   | 0.33%             | 2030-08-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Mineral Resources Ltd.                                                      | Mineral Resources Ltd.                                                                            | CUSIP: 603051AD5<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |    550000 | PA      | $569531.98    | 0.07%             | 2030-05-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Mohegan Tribal Gaming Authority / MS Digital Entertainment Holdings LLC     | Mohegan Tribal Gaming Authority / MS Digital Entertainment Holdings LLC                           | CUSIP: 60832QAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3128349.00   | 0.40%             | 2030-04-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                              | Morgan Stanley                                                                                    | CUSIP: 61747YFB6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     50000 | PA      | $52726.75     | 0.01%             | 2038-01-19      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                              | Morgan Stanley                                                                                    | CUSIP: 61747YFJ9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    100000 | PA      | $112377.02    | 0.01%             | 2034-11-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Medline Borrower LP                                                         | Medline Borrower LP                                                                               | CUSIP: 62482BAB8<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5002853.00   | 0.64%             | 2029-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NCL Corp. Ltd.                                                              | NCL Corp. Ltd.                                                                                    | CUSIP: 62886HBR1<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |    750000 | PA      | $772890.00    | 0.10%             | 2032-02-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                            | NRG Energy, Inc.                                                                                  | CUSIP: 629377CT7<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     50000 | PA      | $55674.43     | 0.01%             | 2033-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                            | NRG Energy, Inc.                                                                                  | CUSIP: 629377DD1<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $10182820.00  | 1.30%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Netflix, Inc.                                                               | Netflix, Inc.                                                                                     | CUSIP: 64110LAU0<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    100000 | PA      | $104363.57    | 0.01%             | 2029-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Newell Brands, Inc.                                                         | Newell Brands, Inc.                                                                               | CUSIP: 651229BF2<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2007744.00   | 0.26%             | 2030-05-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Newell Brands, Inc.                                                         | Newell Brands, Inc.                                                                               | CUSIP: 651229BG0<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5265707.10   | 0.67%             | 2028-06-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                                                  | Occidental Petroleum Corp.                                                                        | CUSIP: 674599EA9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     50000 | PA      | $58128.15     | 0.01%             | 2030-07-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| 1261229 BC Ltd.                                                             | 1261229 BC Ltd.                                                                                   | CUSIP: 68288AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |  13000000 | PA      | $13455099.45  | 1.72%             | 2032-04-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Opal Bidco SAS                                                              | Opal Bidco SAS                                                                                    | CUSIP: 68348BAA1<br>LEI: 969500R96XT7XY2UJ564 | Long             | DBT              | CORP              | FR        |   3000000 | PA      | $3091941.00   | 0.39%             | 2032-03-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Organon & Co. / Organon Foreign Debt Co-Issuer BV                           | Organon & Co. / Organon Foreign Debt Co-Issuer BV                                                 | CUSIP: 68622FAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7500000 | PA      | $6999092.25   | 0.89%             | 2034-05-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Organon & Co. / Organon Foreign Debt Co-Issuer BV                           | Organon & Co. / Organon Foreign Debt Co-Issuer BV                                                 | CUSIP: 68622TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2946826.65   | 0.38%             | 2028-04-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Organon & Co. / Organon Foreign Debt Co-Issuer BV                           | Organon & Co. / Organon Foreign Debt Co-Issuer BV                                                 | CUSIP: 68622TAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2223726.25   | 0.28%             | 2031-04-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| PG&E Corp.                                                                  | PG&E Corp.                                                                                        | CUSIP: 69331CAH1<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49897.58     | 0.01%             | 2028-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                                | Pacific Gas and Electric Co.                                                                      | CUSIP: 694308KM8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     50000 | PA      | $54492.28     | 0.01%             | 2033-06-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Post Holdings, Inc.                                                         | Post Holdings, Inc.                                                                               | CUSIP: 737446AU8<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2059894.00   | 0.26%             | 2032-02-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Qnity Electronics, Inc.                                                     | Qnity Electronics, Inc.                                                                           | CUSIP: 74743LAA8<br>LEI: 254900RSUG4J9TFFZX53 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1536624.78   | 0.20%             | 2032-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Qnity Electronics, Inc.                                                     | Qnity Electronics, Inc.                                                                           | CUSIP: 74743LAB6<br>LEI: 254900RSUG4J9TFFZX53 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1039549.53   | 0.13%             | 2033-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Quikrete Holdings, Inc.                                                     | Quikrete Holdings, Inc.                                                                           | CUSIP: 74843PAA8<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3119844.00   | 0.40%             | 2032-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Rain Carbon, Inc.                                                           | Rain Carbon, Inc.                                                                                 | CUSIP: 75079LAB7<br>LEI: 25490038N6JQH7QXUK52 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3731476.00   | 0.48%             | 2029-09-01      | Fixed         | 12.25%                | No            |                  2 | On Loan: No      |
| Regal Rexnord Corp.                                                         | Regal Rexnord Corp.                                                                               | CUSIP: 758750AM5<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |     50000 | PA      | $51853.94     | 0.01%             | 2028-04-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Rivian Holdings LLC / Rivian LLC / Rivian Automotive LLC                    | Rivian Holdings LLC / Rivian LLC / Rivian Automotive LLC                                          | CUSIP: 76954LAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1893452.52   | 0.24%             | 2031-01-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| SCIH Salt Holdings, Inc.                                                    | SCIH Salt Holdings, Inc.                                                                          | CUSIP: 78433BAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6000000 | PA      | $5989860.00   | 0.76%             | 2029-05-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Charles Schwab Corp. (The)                                                  | Charles Schwab Corp. (The)                                                                        | CUSIP: 808513CD5<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |     50000 | PA      | $51907.41     | 0.01%             | 2029-05-19      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Delta Air Lines, Inc. / SkyMiles IP Ltd.                                    | Delta Air Lines, Inc. / SkyMiles IP Ltd.                                                          | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     45833 | PA      | $46245.55     | 0.01%             | 2028-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Tenet Healthcare Corp.                                                      | Tenet Healthcare Corp.                                                                            | CUSIP: 88033GDK3<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |  12000000 | PA      | $12034716.00  | 1.53%             | 2028-10-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Tenet Healthcare Corp.                                                      | Tenet Healthcare Corp.                                                                            | CUSIP: 88033GDQ0<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |  11000000 | PA      | $11233134.00  | 1.43%             | 2030-06-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Tenet Healthcare Corp.                                                      | Tenet Healthcare Corp.                                                                            | CUSIP: 88033GDU1<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |  15000000 | PA      | $15615368.25  | 1.99%             | 2031-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Cloud Software Group, Inc.                                                  | Cloud Software Group, Inc.                                                                        | CUSIP: 88632QAE3<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2944641.00   | 0.38%             | 2029-03-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Toucan FinCo Ltd. / Toucan FinCo Can, Inc. / Toucan FinCo US LLC            | Toucan FinCo Ltd. / Toucan FinCo Can, Inc. / Toucan FinCo US LLC                                  | CUSIP: 89157UAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1899642.80   | 0.24%             | 2030-05-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                             | TransDigm, Inc.                                                                                   | CUSIP: 893647BR7<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1528582.50   | 0.19%             | 2028-08-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                             | TransDigm, Inc.                                                                                   | CUSIP: 893647BS5<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2603370.00   | 0.33%             | 2030-12-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                             | TransDigm, Inc.                                                                                   | CUSIP: 893647BV8<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |   8000000 | PA      | $8297936.00   | 1.06%             | 2032-03-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                             | TransDigm, Inc.                                                                                   | CUSIP: 893647CA3<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |   4250000 | PA      | $4414204.53   | 0.56%             | 2034-01-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Transocean International Ltd.                                               | Transocean International Ltd.                                                                     | CUSIP: 893830BZ1<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | BM        |   2500000 | PA      | $2645300.93   | 0.34%             | 2031-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Tronox, Inc.                                                                | Tronox, Inc.                                                                                      | CUSIP: 897051AC2<br>LEI: 549300EPZ4YXC7E5P181 | Long             | DBT              | CORP              | US        |  13000000 | PA      | $10062816.40  | 1.28%             | 2029-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Tronox, Inc.                                                                | Tronox, Inc.                                                                                      | CUSIP: 897051AD0<br>LEI: 549300EPZ4YXC7E5P181 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9827327.00   | 1.25%             | 2030-09-30      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| MPH Acquisition Holdings LLC                                                | MPH Acquisition Holdings LLC, First Lien, Exchange First Out CME Term Loan                        | CUSIP: 55328HAP6<br>LEI: 5493002WXOPRPTXWTU06 | Long             | LON              | CORP              | US        |    533370 | PA      | $527503.42    | 0.07%             | 2030-12-31      | Variable      | 7.42%                 | No            |                  2 | On Loan: No      |
| X Corp.                                                                     | X Corp., First Lien, CME Term Loan, B1                                                            | CUSIP: 90184NAG3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   5938776 | PA      | $5961669.49   | 0.76%             | 2029-10-26      | Variable      | 10.45%                | No            |                  2 | On Loan: No      |
| Clydesdale Acquisition Holdings, Inc.                                       | Clydesdale Acquisition Holdings, Inc., First Lien, 2025 Incremental Closing Date CME Term Loan, B | CUSIP: 18972FAE2<br>LEI: 254900QKSDYFR3K5YD98 | Long             | LON              | CORP              | US        |   2480465 | PA      | $2458761.41   | 0.31%             | 2032-04-01      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| United Rentals North America, Inc.                                          | United Rentals North America, Inc.                                                                | CUSIP: 911365BQ6<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |     50000 | PA      | $51316.05     | 0.01%             | 2029-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Univision Communications, Inc.                                              | Univision Communications, Inc.                                                                    | CUSIP: 914906BA9<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2647503.35   | 0.34%             | 2032-08-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| Venture Global Plaquemines LNG LLC                                          | Venture Global Plaquemines LNG LLC                                                                | CUSIP: 922966AB2<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2269544.00   | 0.29%             | 2035-05-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Venture Global Plaquemines LNG LLC                                          | Venture Global Plaquemines LNG LLC                                                                | CUSIP: 922966AE6<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2078586.00   | 0.26%             | 2030-12-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Venture Global Plaquemines LNG LLC                                          | Venture Global Plaquemines LNG LLC                                                                | CUSIP: 922966AF3<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3151398.00   | 0.40%             | 2034-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Venture Global LNG, Inc.                                                    | Venture Global LNG, Inc.                                                                          | CUSIP: 92332YAA9<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $10266150.00  | 1.31%             | 2028-06-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| Venture Global LNG, Inc.                                                    | Venture Global LNG, Inc.                                                                          | CUSIP: 92332YAD3<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |  14000000 | PA      | $14842436.00  | 1.89%             | 2032-02-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| Venture Global LNG, Inc.                                                    | Venture Global LNG, Inc.                                                                          | CUSIP: 92332YAF8<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |  16000000 | PA      | $14004975.20  | 1.79%             | 2029-09-30      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| VICI Properties LP / VICI Note Co., Inc.                                    | VICI Properties LP / VICI Note Co., Inc.                                                          | CUSIP: 92564RAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | PA      | $49967.88     | 0.01%             | 2029-12-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Vistra Corp.                                                                | Vistra Corp.                                                                                      | CUSIP: 92840MAB8<br>LEI: 549300KP43CPCUJOOG15 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $10193410.00  | 1.30%             | 2026-10-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                                   | Vistra Operations Co. LLC                                                                         | CUSIP: 92840VAQ5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     50000 | PA      | $56084.60     | 0.01%             | 2033-10-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                                   | Vistra Operations Co. LLC                                                                         | CUSIP: 92840VAR3<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $4209960.00   | 0.54%             | 2032-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Weatherford International Ltd.                                              | Weatherford International Ltd.                                                                    | CUSIP: 947075AU1<br>LEI: 549300A2JKMG5PGOGF82 | Long             | DBT              | CORP              | BM        |   2384000 | PA      | $2457942.14   | 0.31%             | 2030-04-30      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Weatherford International Ltd.                                              | Weatherford International Ltd.                                                                    | CUSIP: 947075AW7<br>LEI: 549300A2JKMG5PGOGF82 | Long             | DBT              | CORP              | BM        |   2000000 | PA      | $2092028.00   | 0.27%             | 2033-10-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                           | Wells Fargo & Co.                                                                                 | CUSIP: 95000U3H4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    100000 | PA      | $111073.51    | 0.01%             | 2034-10-23      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                           | Wells Fargo & Co.                                                                                 | CUSIP: 95002YAC7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $4221612.00   | 0.54%             | 2029-09-15      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| OPAL US LLC                                                                 | OPAL US LLC, First Lien, CME Term Loan, B4                                                        | CUSIP: F7000QAC5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1995000 | PA      | $1995249.38   | 0.25%             | 2032-04-28      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                                                   | Williams Cos., Inc. (The)                                                                         | CUSIP: 969457CJ7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    100000 | PA      | $105846.49    | 0.01%             | 2033-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Hologic, Inc.                                                               | Hologic, Inc., First Lien, CME Term Loan, B                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   3000000 | PA      | $2968125.00   | 0.38%             | 2033-01-14      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Hologic, Inc.                                                               | Hologic, Inc., First Lien, CME Term Loan                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   7000000 | PA      | $6922706.00   | 0.88%             | 2033-01-14      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| WULF Compute LLC                                                            | WULF Compute LLC                                                                                  | CUSIP: 982911AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3709209.00   | 0.47%             | 2030-10-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Wynn Resorts Finance LLC / Wynn Resorts Capital Corp.                       | Wynn Resorts Finance LLC / Wynn Resorts Capital Corp.                                             | CUSIP: 983133AC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10000000 | PA      | $10804250.00  | 1.38%             | 2031-02-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| CHS/Community Health Systems, Inc.                                          | CHS/Community Health Systems, Inc.                                                                | CUSIP: N/A<br>LEI: 5493007X5NC5XI1BB106       | Long             | DBT              | CORP              | US        |  17500000 | PA      | $18745212.50  | 2.39%             | 2033-06-15      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| American Airlines, Inc. / AAdvantage Loyalty IP Ltd.                        | American Airlines, Inc. / AAdvantage Loyalty IP Ltd.                                              | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250001 | PA      | $250499.01    | 0.03%             | 2026-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Holdings, Inc. into Halliburton Co.                | Citigroup Global Markets Holdings, Inc. into Halliburton Co.                                      | CUSIP: 17333P122<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | SN               | CORP              | US        |      6000 | NS      | $203144.12    | 0.03%             | 2027-01-21      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Keenova Therapeutics plc                                                    | Keenova Therapeutics plc                                                                          | CUSIP: N/A<br>LEI: 549300LMDE3RUP8Z3L60       | Long             | EC               | CORP              | IE        |      1196 | NS      | $109314.40    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                            | NRG Energy, Inc.                                                                                  | CUSIP: 629377CW0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3074170.53   | 0.39%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                            | NRG Energy, Inc.                                                                                  | CUSIP: 629377CX8<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3104080.80   | 0.40%             | 2034-11-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Ardagh Group SA                                                             | Ardagh Group SA                                                                                   | CUSIP: 039959AA9<br>LEI: 6354006L1NWUUOPYX274 | Long             | DBT              | CORP              | LU        |   7315000 | PA      | $7927464.32   | 1.01%             | 2030-12-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-30

**Name of Applicant:** Franklin Strategic Series

**Signature:** Monica Krogh

**Name of Signer:** Monica Krogh

**Title:** Assistant Treasurer