Franklin K2 Global Macro Opportunities Fund

Transcription

1 Franklin K2 Global Macro Opportunities Fund November 30, 2017 Portfolio Holdings The following portfolio data for the Franklin Templeton funds is made available to the public under our Portfolio Holdings Release Policy and is "as of" the date indicated. This portfolio data should not be relied upon as a complete listing of a fund's holdings (or of a fund's top holdings) as information on particular holdings may be withheld if it is in the fund's interest to do so. Additionally, foreign currency forwards are not included in the portfolio data. Instead, the net market value of all currency forward contracts is included in cash and other net assets of the fund. Further, portfolio holdings data of over-the-counter derivative investments such as Credit Default Swaps, Interest Swaps or other Swap contracts list only the name of counterparty to the derivative contract, not the details of the derivative. Complete portfolio data can be found in the semi- and annual financial statements of the fund. DDD YR MINI JGB FUTURE 6 $ % N/A 12/12/17 DDD MONTH EURO EURIBOR FUTURE 1 $ % N/A 12/16/19 DDD MONTH EURO EURIBOR FUTURE 1 -$ % N/A 03/16/20 DDD DAY BANK BILL FUTURE 4 $ % N/A 06/07/18 DDD DAY BANK BILL FUTURE 4 $ % N/A 09/13/18 DDD DAY BANK BILL FUTURE 3 $ % N/A 12/13/18 DDD DAY EURODOLLAR FUTURE -4 $1, % N/A 06/18/18 DDD DAY EURODOLLAR FUTURE -1 $ % N/A 03/19/18 DDD DAY EURODOLLAR FUTURE -6 $2, % N/A 09/17/18 DDD DAY EURODOLLAR FUTURE -20 $4, % N/A 12/17/18 DDD DAY EURODOLLAR FUTURE -4 $1, % N/A 03/18/19 DDD DAY EURODOLLAR FUTURE -8 $1, % N/A 06/17/19 DDD DAY EURODOLLAR FUTURE -1 $ % N/A 09/16/19 DDD DAY EURODOLLAR FUTURE -1 $ % N/A 12/16/19 DDD DAY EURODOLLAR FUTURE -1 $ % N/A 03/16/20 DDD DAY STERLING FUTURE 1 -$ % N/A 09/19/18 DDD DAY STERLING FUTURE 1 -$ % N/A 12/19/18 DDD DAY STERLING FUTURE -1 $ % N/A 03/20/19 DDD DAY STERLING FUTURE 1 -$ % N/A 06/19/19 DDD DAY STERLING FUTURE 1 -$ % N/A 09/18/19 DDD DAY STERLING FUTURE 1 -$ % N/A 12/18/19 DDD AMSTERDAM INDEX FUTURE 1 $1, % N/A 12/15/17 BF116H5 ARGENTINA POM POLITICA MONETARIA 538,849 $33, % 26.25% 06/21/20 DDD AUD/USD -15 $47, % N/A 12/18/17 DDD AUST 10YR BOND FUTURE 2 $1, % N/A 12/15/17 DDD AUST 3YR BOND FUTURE 6 $ % N/A 12/15/17 DDD BANK OF AMERICA NA -78,445 $ % N/A 11/29/46 DDD BANK OF AMERICA NA 971,485 $1, % N/A 01/04/21 1

2 DDD BANK OF MONTREAL 639,696 $3, % N/A 01/04/21 DDD BNP PARIBAS ARBITRAGE ISSUANCE BV 4,013,070 $199, % N/A 06/13/18 DDD CAC EURO FUTURE 1 $ % N/A 12/15/17 DDD CAD/USD -2 $2, % N/A 12/19/17 DDD CAN 10YR BOND FUTURE 5 $ % N/A 03/20/18 DDD CHF/USD -8 $20, % N/A 12/18/17 DDD DDD DDD CME E-MINI RUSSELL 2000 INDEX FUTURES CME ULTRA LONG TERM US TREASURY BOND FUTURE CME ULTRA LONG TERM US TREASURY BOND FUTURE 2 $12, % N/A 12/15/17 2 -$ % N/A 12/19/17 1 -$ % N/A 03/20/18 DDD DAX INDEX FUTURE 1 $1, % N/A 12/15/17 DDD DEUTSCHE BANK AG -85,166 $4, % N/A 01/05/47 DDD DJIA MINI E-CBOT 2 $24, % N/A 12/15/17 DDD DJIA MINI E-CBOT -4 -$17, % N/A 12/15/17 BD1XD09 EGYPT TREASURY BILL 9,625,000 $521, % N/A 03/06/18 DDD EURO BOBL FUTURE -1 $ % N/A 12/07/17 DDD EURO BOBL FUTURE 5 $ % N/A 12/07/17 DDD EURO-BTP FUTURE 5 $25, % N/A 12/07/17 DDD EURO-BUND FUTURE 4 $1, % N/A 12/07/17 DDD EURO-BUND FUTURE -2 -$ % N/A 12/07/17 DDD EURO BUXL 30Y BOND 1 $ % N/A 12/07/17 DDD EURO BUXL 30Y BOND -1 -$1 0.00% N/A 12/07/17 DDD EURO-OAT FUTURE 2 $6, % N/A 12/07/17 DDD EURO SCHATZ FUTURE 2 $ % N/A 12/07/17 DDD EURO STOXX 50 FUTURE 5 $ % N/A 12/15/17 DDD EUR/USD -24 $35, % N/A 12/18/17 DDD EUR/USD 9 -$1, % N/A 12/18/17 DDD FTSE 100 INDEX FUTURE 6 -$2, % N/A 12/15/17 DDD FTSE/JSE AFRICA TOP 40 INDEX FUTURE 5 $8, % N/A 12/21/17 DDD GBP/USD -1 -$1, % N/A 12/18/17 DDD HANG SENG CHINA ENTERPRISES INDEX FUTURE 1 -$1, % N/A 12/28/17 DDD HANG SENG INDEX FUTURE 4 -$12, % N/A 12/28/17 DDD JPMORGAN CHASE BANK NA -71,000 $5, % N/A 02/28/67 DDD JPMORGAN CHASE BANK NA -60,000 $1, % N/A 08/04/67 DDD JPMORGAN CHASE BANK NA 43,660 $ % N/A 06/21/18 DDD JPMORGAN CHASE BANK NA 50,190 $1, % N/A 05/16/18 DDD JP MORGAN STRUCTURED PRODUCTS BV 10,265,000 $567, % N/A 01/18/18 DDD JPY/USD -7 $14, % N/A 12/18/17 2

3 DDD DDD K2 GMOF HOLDINGS CORPORATION - ASPECT K2 GMOF HOLDINGS CORPORATION - GRAHAM 332,288 $2,717, % N/A N/A 340,319 $2,324, % N/A N/A DDD KOREA INTERNATIONAL BOND 207,885 -$4, % 1.00% 12/20/21 DDD LONG GILT FUTURES 6 -$5, % N/A 03/27/18 B3ZD2V9 MEXICAN FIXED RATE BONDS 0 $0 0.00% 6.50% 06/10/21 DDD MINI MSCI EAFE INDEX FUTURES 1 $3, % N/A 12/15/17 DDD DDD DDD MORGAN STANLEY & CO INTERNATIONAL PLC MORGAN STANLEY & CO INTERNATIONAL PLC MSCI EMERGING MARKETS INDEX FUTURE -38,267 -$ % N/A 12/03/46 436,229 -$1, % N/A 01/04/21 5 $8, % N/A 12/15/17 DDD MXN/USD 1 -$ % N/A 12/18/17 DDD NASDAQ 100 E-MINI FUTURE 1 $8, % N/A 12/15/17 DDD NASDAQ 100 E-MINI FUTURE -6 -$14, % N/A 12/15/17 BYP78D2 NATIONAL HIGHWAYS AUTHORITY OF INDIA 10,000,000 $158, % 7.30% 05/18/22 DDD NIKKEI 225 FUTURE 1 $13, % N/A 12/07/17 DDD NIKKEI 225 INDEX FUTURE 1 $22, % N/A 12/07/17 DDD NZD/USD -10 $12, % N/A 12/18/17 DDD OMXS30 INDEX FUTURE 4 -$ % N/A 12/15/ WAR2 PETROBRAS GLOBAL FINANCE BV 156,000 $162, % 5.38% 01/27/ NAM1 PETROBRAS GLOBAL FINANCE BV 93,000 $99, % 6.25% 03/17/ NAP4 PETROBRAS GLOBAL FINANCE BV 109,000 $124, % 8.38% 05/23/21 BD8PKZ2 PETROBRAS GLOBAL FINANCE BV 186,000 $198, % 6.13% 01/17/ MBN8 PETROLEOS MEXICANOS 42,000 $46, % 4.97% 03/11/ MBP3 PETROLEOS MEXICANOS 40,000 $42, % 5.38% 03/13/22 B46JZD6 PETROLEOS MEXICANOS 139,000 $148, % 6.00% 03/05/20 BYWD0H1 PETROLEOS MEXICANOS 126,000 $137, % 6.38% 02/04/21 B0R1748 REPUBLIC OF ARGENTINA 197,000 $168, % 2.26% 12/31/38 B3RGVN1 REPUBLIC OF ARGENTINA 119,721 $163, % 7.82% 12/31/33 B3YJYS9 REPUBLIC OF ARGENTINA 31,585 $26, % 2.26% 12/31/38 BDVK8Y9 REPUBLIC OF ARGENTINA 92,000 $96, % 5.63% 01/26/22 BZBFK86 REPUBLIC OF ARGENTINA 100,000 $124, % 3.88% 01/15/22 BYPZPC4 RUSSIA GOVT BOND - OFZ 5,054,000 $87, % 7.40% 12/07/22 DDD RUSSIAN FOREIGN BOND - EUROBOND -393,000 $ % 1.00% 12/20/21 DDD SGX NIKKEI 225 STOCK INDEX FUTURE 1 $14, % N/A 12/07/17 DDD SHORT TERM INVESTMENT FUND 12,543,616 $12,543, %.63% 02/20/49 DDD SHORT TERM INVESTMENT FUND 40,000 $40, % N/A 12/31/49 DDD SOUTH AFRICA REPUBLIC OF 275,000 $4, % 1.00% 12/20/21 DDD SOUTH AFRICA REPUBLIC OF 168,000 $4, % 1.00% 06/20/22 3

4 DDD SOUTH AFRICA REPUBLIC OF 7,000 $ % 1.00% 12/20/22 DDD S&P 500 E-MINI FUTURE 1 $9, % N/A 12/15/17 DDD S&P 500 E-MINI FUTURE -1 -$8, % N/A 12/15/17 DDD SPI 200 INDEX FUTURE 2 $3, % N/A 12/21/17 DDD S&P MIDCAP 400 E-MINI 1 $15, % N/A 12/15/17 DDD S&P/TSX 60 INDEX 2 $15, % N/A 12/14/17 DDD TOPIX INDEX FUTURE 1 $17, % N/A 12/07/17 DDD TURKEY REPUBLIC OF 405,000 $6, % 1.00% 06/21/21 DDD TURKEY REPUBLIC OF 43,000 $1, % 1.00% 12/20/21 DDD TURKEY REPUBLIC OF -105,000 -$4, % 1.00% 12/20/22 DDD UNITED MEXICAN STATES 191,000 -$1, % 1.00% 12/20/21 DDD US 10YR NOTE FUTURE -2 $ % N/A 12/19/17 DDD US 2YR NOTE FUTURE -16 $1, % N/A 03/29/18 DDD US 5YR NOTE FUTURE -17 $5, % N/A 03/29/18 DDD US LONG BOND FUTURE 1 -$1, % N/A 03/20/18 4

5 Important Legal Information Portfolio holdings are subject to change without notice and may not represent current or future portfolio composition. The portfolio data is as of the date indicated and we disclaim any responsibility to update the information. The net market value of all currency forward contracts is included in cash and other net assets, reflected in the base currency of the fund. The net market value of any Credit Default, Interest and/or other Swap contract positions are displayed as exposure to the issuing counterparty (i.e. "Citibank"). Unlike the fund s regulatory filings, the portfolio data and its presentation in this document are not required to conform to Generally Accepted Accounting Principles (GAAP) and Securities and Exchange Commission (SEC) presentation requirements. Therefore, it differs from that in the complete statement of investments in the annual and semiannual report to shareholders filed with the SEC on Form N-CSR, and the complete statement of investments provided in the first and third quarter SEC Form N-Q filings for each fiscal year. The portfolio data is for information only. It does not constitute a recommendation or an offer for a particular security or fund, nor should it be taken as a solicitation or a recommendation to buy or sell securities or other investments. Investors should carefully consider a fund s investment goals, risks, charges and expenses before investing. To obtain a prospectus, which contains this and other information, talk to your financial advisor, call us at 1-800/DIAL BEN (1-800/ ) or visit our website at. Please read the prospectus carefully before investing. Franklin Templeton Distributors Inc., One Franklin Parkway, San Mateo, CA Franklin Templeton Distributors, Inc. One Franklin Parkway San Mateo, CA (800) DIAL BEN/ Franklin Templeton Investments. All rights reserved. 5